N-Q 1 d93208dnq.htm AB VARIABLE PRODUCTS SERIES FUND, INC. AB Variable Products Series Fund, Inc.

 

 

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: 811-05398

AB VARIABLE PRODUCTS SERIES 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: December 31, 2015

Date of reporting period: September 30, 2015

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

AB Variable Products Series Fund

AB Balanced Wealth Strategy Portfolio

Portfolio of Investments

September 30, 2015 (unaudited)

 

Company

    Shares        U.S. $ Value  

COMMON STOCKS - 62.5%

  

Consumer Discretionary - 10.0%

  

Auto Components - 1.2%

  

Aisin Seiki Co., Ltd.

      9,600         $ 322,099   

Bridgestone Corp.

      5,400           186,873   

Cie Generale des Etablissements Michelin-Class B

      1,340           122,602   

Continental AG

      2,580           551,051   

Hankook Tire Co., Ltd.

      6,320           211,575   

Lear Corp.

      6,446           701,196   

Magna International, Inc.-Class A

      18,064           867,253   

Nokian Renkaat Oyj

      4,740           153,441   

Plastic Omnium SA

      5,490           126,119   

Sumitomo Electric Industries Ltd.

      29,200           373,560   

Valeo SA

      2,270           308,214   
       

 

 

  
          3,923,983   
       

 

 

  

Automobiles - 0.6%

        

General Motors Co.

      11,102           333,282   

Honda Motor Co., Ltd.

      17,500           522,317   

Isuzu Motors Ltd.

      17,500           175,736   

Peugeot SA (a)

      27,410           415,332   

Tata Motors Ltd. (a)

      23,176           105,214   

Toyota Motor Corp.

      9,100           532,786   
       

 

 

  
          2,084,667   
       

 

 

  

Diversified Consumer Services - 0.2%

        

Estacio Participacoes SA

      29,500           104,919   

Kroton Educacional SA

      20,600           40,062   

TAL Education Group (ADR) (a)(b)

      13,639           438,494   
       

 

 

  
          583,475   
       

 

 

  

Hotels, Restaurants & Leisure - 1.1%

        

Carnival Corp.

      5,414           269,076   

Melco International Development Ltd. (b)

      113,000           138,330   

Merlin Entertainments PLC (c)

      54,879           309,220   

Sodexo SA

      10,319           856,210   

Starbucks Corp.

      26,620           1,513,081   

Wyndham Worldwide Corp.

      4,500           323,550   

Yum! Brands, Inc.

      1,870           149,507   
       

 

 

  
            3,558,974   
       

 

 

  

Internet & Catalog Retail - 0.5%

        

Priceline Group, Inc. (The) (a)

      1,160           1,434,758   

TripAdvisor, Inc. (a)

      2,905           183,073   

Vipshop Holdings Ltd. (ADR) (a)

      4,280           71,904   
       

 

 

  
          1,689,735   
       

 

 

  

Leisure Products - 0.1%

        

Bandai Namco Holdings, Inc.

      9,600           222,804   
       

 

 

  

Media - 2.0%

        

Comcast Corp.-Class A

      46,338           2,635,705   

CTS Eventim AG & Co. KGaA

      6,259           232,151   

Company

    Shares        U.S. $ Value  

Liberty Global PLC-Series C (a)

      9,578           392,890   

Naspers Ltd.-Class N

      500           62,663   

Thomson Reuters Corp.

      2,453           98,758   

Time Warner, Inc.

      10,734           737,962   

Vivendi SA

      16,444           389,586   

Walt Disney Co. (The)

      22,148           2,263,526   
       

 

 

  
          6,813,241   
       

 

 

  

Multiline Retail - 1.1%

        

B&M European Value Retail SA

      154,987           764,677   

Dollar General Corp.

      9,000           651,960   

Dollar Tree, Inc. (a)

      7,620           507,949   

Kohl’s Corp.

      11,275           522,145   

Macy’s, Inc.

      5,641           289,496   

Poundland Group PLC

      55,290           234,192   

Target Corp.

      8,014           630,381   
       

 

 

  
          3,600,800   
       

 

 

  

Specialty Retail - 1.9%

        

Foot Locker, Inc.

      7,443           535,673   

Foschini Group Ltd. (The)

      8,050           81,750   

GameStop Corp.-Class A (b)

      15,400           634,634   

Home Depot, Inc. (The)

      22,161           2,559,374   

Kingfisher PLC

      29,490           160,197   

L’Occitane International SA

      3,500           7,289   

O’Reilly Automotive, Inc. (a)

      2,400           600,000   

Office Depot, Inc. (a)

      55,194           354,345   

Ross Stores, Inc.

      3,292           159,563   

Sports Direct International PLC (a)

      60,816           697,723   

Ulta Salon Cosmetics & Fragrance, Inc. (a)

      3,200           522,720   

Yamada Denki Co., Ltd. (b)

      38,900           156,826   
       

 

 

  
          6,470,094   
       

 

 

  

Textiles, Apparel & Luxury Goods - 1.3%

        

Cie Financiere Richemont SA

      11,180           869,926   

Global Brands Group Holding Ltd. (a)

      600,000           124,207   

HUGO BOSS AG

      3,850           432,896   

Kering

      590           96,579   

NIKE, Inc.-Class B

      17,811           2,190,219   

Samsonite International SA

      152,100           496,060   
       

 

 

  
          4,209,887   
       

 

 

  
            33,157,660   
       

 

 

  

Information Technology - 9.5%

        

Communications Equipment - 0.5%

        

Arista Networks, Inc. (a)(b)

      3,990           244,148   

Cisco Systems, Inc.

      35,490           931,613   

F5 Networks, Inc. (a)

      4,930           570,894   
       

 

 

  
          1,746,655   
       

 

 

  

Electronic Equipment, Instruments & Components - 0.6%

        

Amphenol Corp.-Class A

      20,211           1,029,952   

Hitachi Ltd.

      33,000           166,519   

Keysight Technologies, Inc. (a)

      20,557           633,978   

Largan Precision Co., Ltd.

      1,000           78,045   
       

 

 

  
          1,908,494   
       

 

 

  

Company

    Shares        U.S. $ Value  

Internet Software & Services - 2.3%

        

Baidu, Inc. (Sponsored ADR) (a)

      2,471           339,540   

Facebook, Inc.-Class A (a)

      30,560           2,747,344   

Google, Inc.-Class A (a)

      990           631,986   

Google, Inc.-Class C (a)

      4,438           2,700,168   

Tencent Holdings Ltd.

      11,700           197,527   

Twitter, Inc. (a)

      35,520           956,909   
       

 

 

  
          7,573,474   
       

 

 

  

IT Services - 1.5%

        

Booz Allen Hamilton Holding Corp.

      6,126           160,563   

Cap Gemini SA

      1,690           150,922   

Cognizant Technology Solutions Corp.-Class A (a)

      14,730           922,245   

HCL Technologies Ltd.

      3,680           55,349   

Tata Consultancy Services Ltd.

      7,430           293,357   

Visa, Inc.-Class A

      39,140           2,726,492   

Wirecard AG

      1,670           79,963   

Xerox Corp.

      49,514           481,771   
       

 

 

  
          4,870,662   
       

 

 

  

Semiconductors & Semiconductor Equipment - 1.3%

        

Advanced Semiconductor Engineering, Inc.

      86,000           93,704   

Applied Materials, Inc.

      46,644           685,200   

ASM International NV

      5,020           162,929   

Infineon Technologies AG

      22,340           251,000   

Intel Corp.

      29,061           875,899   

Novatek Microelectronics Corp.

      41,000           128,723   

NVIDIA Corp.

      50,799           1,252,195   

SCREEN Holdings Co., Ltd.

      49,000           239,635   

Sumco Corp.

      24,900           223,326   

Tokyo Electron Ltd.

      6,800           321,064   
       

 

 

  
          4,233,675   
       

 

 

  

Software - 1.8%

        

Adobe Systems, Inc. (a)

      4,830           397,123   

ANSYS, Inc. (a)

      8,975           791,057   

Aspen Technology, Inc. (a)

      13,150           498,517   

Dassault Systemes

      10,050           742,745   

Electronic Arts, Inc. (a)

      4,843           328,113   

Microsoft Corp.

      34,107           1,509,576   

Mobileye NV (a) (b)

      9,092           413,504   

Nintendo Co., Ltd.

      1,400           235,972   

Oracle Corp.

      20,951           756,750   

ServiceNow, Inc. (a)

      6,215           431,632   
       

 

 

  
          6,104,989   
       

 

 

  

Technology Hardware, Storage & Peripherals - 1.5%

        

Apple, Inc.

      33,430           3,687,329   

Hewlett-Packard Co.

      43,000           1,101,230   

Samsung Electronics Co., Ltd.

      270           259,052   
       

 

 

  
          5,047,611   
       

 

 

  
            31,485,560   
       

 

 

  

Company

    Shares        U.S. $ Value  

Financials - 9.3%

        

Banks - 3.6%

        

Banco Macro SA (ADR) (a)(b)

      2,105           80,832   

Bank Hapoalim BM

      36,715           184,754   

Bank of America Corp.

      129,849           2,023,047   

Bank of Baroda

      44,250           124,648   

Bank of China Ltd.-Class H

      415,000           178,962   

Bank of Queensland Ltd.

      42,608           348,808   

Citigroup, Inc.

      18,242           904,986   

Citizens Financial Group, Inc.

      41,197           982,960   

Comerica, Inc.

      7,830           321,813   

Danske Bank A/S

      16,680           504,075   

Fifth Third Bancorp

      5,248           99,240   

ING Groep NV

      38,530           544,626   

Intesa Sanpaolo SpA

      55,750           196,948   

JPMorgan Chase & Co.

      26,221           1,598,694   

KB Financial Group, Inc.

      4,800           142,679   

KeyCorp

      5,836           75,926   

Mitsubishi UFJ Financial Group, Inc.

      125,000           755,280   

PNC Financial Services Group, Inc. (The)

      3,700           330,040   

Sumitomo Mitsui Financial Group, Inc.

      3,700           140,305   

UniCredit SpA

      46,450           289,578   

Wells Fargo & Co.

      42,587           2,186,842   
       

 

 

  
            12,015,043   
       

 

 

  

Capital Markets - 1.2%

        

Affiliated Managers Group, Inc. (a)

      3,128           534,857   

Bank of New York Mellon Corp. (The)

      8,000           313,200   

BlackRock, Inc.-Class A

      1,860           553,294   

Credit Suisse Group AG (REG) (a)

      7,800           187,487   

Goldman Sachs Group, Inc. (The)

      3,077           534,660   

Morgan Stanley

      10,587           333,490   

Partners Group Holding AG

      1,070           362,665   

State Street Corp.

      4,100           275,561   

UBS Group AG

      49,762           920,006   
       

 

 

  
          4,015,220   
       

 

 

  

Consumer Finance - 0.6%

        

Capital One Financial Corp.

      15,400           1,116,808   

Discover Financial Services

      9,355           486,367   

Springleaf Holdings, Inc. (a)

      10,699           467,760   
       

 

 

  
          2,070,935   
       

 

 

  

Diversified Financial Services - 0.6%

        

Berkshire Hathaway, Inc.-Class B (a)

      4,127           538,161   

Challenger Ltd./Australia

      38,980           196,717   

Deutsche Boerse AG

      1,630           140,578   

GRENKELEASING AG

      864           136,895   

ORIX Corp.

      15,100           194,780   

Voya Financial, Inc.

      16,866           653,895   
       

 

 

  
          1,861,026   
       

 

 

  

Insurance - 2.7%

        

ACE Ltd.

      2,100           217,140   

Admiral Group PLC

      38,590           877,682   

AIA Group Ltd.

      211,000           1,097,358   

Company

    Shares        U.S. $ Value  

Allstate Corp. (The)

      19,165           1,116,170   

American Financial Group, Inc./OH

      10,700           737,337   

American International Group, Inc.

      9,320           529,562   

Aon PLC

      5,189           459,797   

Assicurazioni Generali SpA

      21,336           390,368   

Aviva PLC

      26,662           182,356   

Direct Line Insurance Group PLC

      24,707           140,191   

First American Financial Corp.

      9,321           364,171   

FNF Group

      3,000           106,410   

Hanover Insurance Group, Inc. (The)

      5,700           442,890   

Hartford Financial Services Group, Inc. (The)

      2,784           127,452   

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (REG)

      1,650           308,161   

NN Group NV

      10,200           292,814   

Progressive Corp. (The)

      4,200           128,688   

Prudential PLC

      44,040           929,091   

Suncorp Group Ltd.

      15,340           131,964   

Travelers Cos., Inc. (The)

      3,700           368,261   

Unum Group

      2,300           73,784   
       

 

 

  
          9,021,647   
       

 

 

  

Real Estate Investment Trusts (REITs) - 0.1%

        

Welltower, Inc. (b)

      5,190           349,443   
       

 

 

  

Real Estate Management & Development - 0.3%

        

Ayala Land, Inc.

      21,100           15,394   

CBRE Group, Inc.-Class A (a)

      7,110           227,520   

Global Logistic Properties Ltd.

      423,000           608,149   

Wharf Holdings Ltd. (The)

      13,000           73,520   
       

 

 

  
          924,583   
       

 

 

  

Thrifts & Mortgage Finance - 0.2%

        

Housing Development Finance Corp. Ltd.

      25,170           466,049   

LIC Housing Finance Ltd.

      14,450           103,538   
       

 

 

  
          569,587   
       

 

 

  
            30,827,484   
       

 

 

  

Health Care - 7.1%

        

Biotechnology - 1.4%

        

Biogen, Inc. (a)

      8,352           2,437,197   

Gilead Sciences, Inc.

      22,460           2,205,347   
       

 

 

  
          4,642,544   
       

 

 

  

Health Care Equipment & Supplies - 1.1%

        

Align Technology, Inc. (a)

      10,164           576,909   

Edwards Lifesciences Corp. (a)

      4,150           590,005   

Essilor International SA

      1,170           142,937   

Intuitive Surgical, Inc. (a)

      4,607           2,117,285   

Sartorius AG (Preference Shares)

      1,339           318,167   
       

 

 

  
          3,745,303   
       

 

 

  

Health Care Providers & Services - 1.8%

        

Aetna, Inc.

      10,060           1,100,665   

Anthem, Inc.

      3,701           518,140   

Premier, Inc.-Class A (a)

      16,581           569,889   

Quest Diagnostics, Inc.

      5,934           364,763   

UnitedHealth Group, Inc.

      29,717           3,447,469   
       

 

 

  
          6,000,926   
       

 

 

  

Company

    Shares        U.S. $ Value  

Life Sciences Tools & Services - 0.9%

        

Eurofins Scientific SE

      3,528           1,084,893   

Illumina, Inc. (a)

      5,098           896,330   

Mettler-Toledo International, Inc. (a)

      1,889           537,874   

Quintiles Transnational Holdings, Inc. (a)

      7,723           537,289   
       

 

 

  
          3,056,386   
       

 

 

  

Pharmaceuticals - 1.9%

        

Aspen Pharmacare Holdings Ltd. (a)

      2,540           54,045   

GlaxoSmithKline PLC

      31,710           608,638   

Johnson & Johnson

      18,000           1,680,300   

Merck & Co., Inc.

      11,381           562,108   

Novo Nordisk A/S-Class B

      7,510           405,274   

Pfizer, Inc.

      59,423           1,866,476   

Roche Holding AG

      3,760           998,173   

Sun Pharmaceutical Industries Ltd. (a)

      8,560           113,609   
       

 

 

  
          6,288,623   
       

 

 

  
            23,733,782   
       

 

 

  

Industrials - 6.8%

        

Aerospace & Defense - 1.0%

        

Airbus Group SE

      4,330           256,423   

General Dynamics Corp.

      2,100           289,695   

L-3 Communications Holdings, Inc.

      6,575           687,219   

Northrop Grumman Corp.

      894           148,359   

Rockwell Collins, Inc.

      6,260           512,318   

Safran SA

      3,460           260,163   

United Technologies Corp.

      5,360           476,986   

Zodiac Aerospace

      28,427           652,691   
       

 

 

  
          3,283,854   
       

 

 

  

Airlines - 0.9%

        

Alaska Air Group, Inc.

      6,680           530,726   

Delta Air Lines, Inc.

      13,512           606,283   

International Consolidated Airlines Group SA (a)

      65,430           584,477   

Japan Airlines Co., Ltd.

      8,100           286,618   

JetBlue Airways Corp. (a)

      19,029           490,377   

Qantas Airways Ltd. (a)

      125,180           328,644   
       

 

 

  
          2,827,125   
       

 

 

  

Building Products - 0.0%

        

Assa Abloy AB-Class B

      7,740           138,823   
       

 

 

  

Commercial Services & Supplies - 0.6%

        

APR Energy PLC (a)(b)

      26,577           31,992   

Babcock International Group PLC

      61,835           855,438   

Regus PLC

      174,910           813,761   

Waste Management, Inc.

      2,844           141,660   
       

 

 

  
          1,842,851   
       

 

 

  

Company

    Shares        U.S. $ Value  

Electrical Equipment - 0.7%

        

Acuity Brands, Inc.

      3,310           581,170   

AMETEK, Inc.

      20,009           1,046,871   

Eaton Corp. PLC

      14,650           751,545   
       

 

 

  
          2,379,586   
       

 

 

  

Industrial Conglomerates - 0.7%

        

CK Hutchison Holdings Ltd.

      10,944           142,924   

Danaher Corp.

      18,259           1,555,849   

General Electric Co.

      27,179           685,454   
       

 

 

  
          2,384,227   
       

 

 

  

Industrial Warehouse Distribution - 0.6%

        

DCT Industrial Trust, Inc.

      12,150           408,969   

GLP J-Reit (b)

      141           134,912   

Granite Real Estate Investment Trust

      11,332           319,902   

Japan Logistics Fund, Inc.

      59           106,033   

Mapletree Industrial Trust

      156,400           163,209   

Mapletree Logistics Trust

      211,689           145,879   

Mexico Real Estate Management SA de CV (a)

      59,400           75,089   

PLA Administradora Industrial S de RL de CV (a)

      71,170           129,837   

Prologis, Inc.

      9,693           377,058   

Warehouses De Pauw CVA

      2,180           169,078   
       

 

 

  
          2,029,966   
       

 

 

  

Machinery - 0.7%

        

Hoshizaki Electric Co., Ltd.

      7,000           490,675   

ITT Corp.

      13,651           456,353   

JTEKT Corp.

      19,200           268,819   

Wabtec Corp./DE

      11,450           1,008,173   
       

 

 

  
            2,224,020   
       

 

 

  

Marine - 0.1%

        

AP Moeller-Maersk A/S-Class B

      83           127,943   

Nippon Yusen KK

      156,000           361,520   
       

 

 

  
          489,463   
       

 

 

  

Mixed Office Industrial - 0.1%

        

Goodman Group

      89,180           368,626   
       

 

 

  

Professional Services - 1.0%

        

Adecco SA (REG) (a)

      2,650           194,074   

Bureau Veritas SA

      36,009           760,160   

Capita PLC

      49,300           895,386   

Robert Half International, Inc.

      11,410           583,736   

Teleperformance

      11,249           853,544   
       

 

 

  
          3,286,900   
       

 

 

  

Road & Rail - 0.2%

        

Central Japan Railway Co.

      3,100           499,806   

East Japan Railway Co.

      2,300           193,811   
       

 

 

  
          693,617   
       

 

 

  

Company

    Shares        U.S. $ Value  

Trading Companies & Distributors - 0.2%

        

Brenntag AG

      6,350           342,607   

Bunzl PLC

      7,760           208,233   
       

 

 

  
          550,840   
       

 

 

  
          22,499,898   
       

 

 

  

Consumer Staples - 4.3%

        

Beverages - 0.4%

        

Asahi Group Holdings Ltd.

      3,200           103,818   

Monster Beverage Corp. (a)

      10,011           1,352,887   
       

 

 

  
          1,456,705   
       

 

 

  

Food & Staples Retailing - 1.3%

        

Costco Wholesale Corp.

      7,960           1,150,777   

CP ALL PCL

      51,300           67,491   

CVS Health Corp.

      23,500           2,267,280   

Delhaize Group

      4,790           424,588   

Lenta Ltd. (GDR) (a)(c)

      6,510           48,825   

Olam International Ltd.

      179,412           255,383   
       

 

 

  
          4,214,344   
       

 

 

  

Food Products - 0.4%

        

Archer-Daniels-Midland Co.

      4,200           174,090   

Bunge Ltd.

      1,020           74,766   

ConAgra Foods, Inc.

      2,447           99,128   

Ingredion, Inc.

      2,731           238,444   

Mondelez International, Inc.-Class A

      10,786           451,610   

Universal Robina Corp.

      4,300           17,679   

WhiteWave Foods Co. (The)-Class A (a)

      5,550           222,832   
       

 

 

  
          1,278,549   
       

 

 

  

Household Products - 0.3%

        

Henkel AG & Co. KGaA

      2,673           236,261   

Procter & Gamble Co. (The)

      10,729           771,844   

Reckitt Benckiser Group PLC

      2,290           207,671   
       

 

 

  
          1,215,776   
       

 

 

  

Personal Products - 0.5%

        

Estee Lauder Cos., Inc. (The)-Class A

      12,540           1,011,727   

Hengan International Group Co., Ltd.

      28,000           273,789   

L’Oreal SA

      820           142,528   

Unilever PLC

      3,518           143,287   
       

 

 

  
          1,571,331   
       

 

 

  

Tobacco - 1.4%

        

Altria Group, Inc.

      12,683           689,955   

British American Tobacco PLC

      31,599           1,743,497   

Imperial Tobacco Group PLC

      4,220           218,169   

Japan Tobacco, Inc.

      10,700           331,916   

Philip Morris International, Inc.

      21,145           1,677,433   
       

 

 

  
          4,660,970   
       

 

 

  
            14,397,675   
       

 

 

  

Company

    Shares        U.S. $ Value  

Equity: Other - 3.4%

        

Diversified/Specialty - 2.7%

        

British Land Co. PLC (The)

      39,723           504,467   

CA Immobilien Anlagen AG (a)

      14,900           274,213   

Cheung Kong Property Holdings Ltd.

      77,444           567,379   

ClubCorp Holdings, Inc.

      11,254           241,511   

Cofinimmo SA

      2,115           223,283   

CSR Ltd.

      34,260           69,979   

Duke Realty Corp.

      26,800           510,540   

Folkestone Education Trust

      51,780           71,916   

GPT Group (The)

      100,530           319,502   

Gramercy Property Trust, Inc.

      23,297           483,879   

Hemfosa Fastigheter AB

      21,730           232,001   

IMMOFINANZ AG (a)

      128,320           295,990   

Kaisa Group Holdings Ltd. (a)(b)(d)(e)

      409,000           69,049   

Kennedy Wilson Europe Real Estate PLC

      17,684           304,432   

Lend Lease Group

      48,336           427,927   

Leopalace21 Corp. (a)

      18,800           87,725   

Merlin Properties Socimi SA (a)

      58,074           691,655   

Mitsubishi Estate Co., Ltd.

      24,000           490,260   

Mitsui Fudosan Co., Ltd.

      21,100           578,380   

New World Development Co., Ltd.

      198,000           192,572   

Nomura Real Estate Holdings, Inc.

      4,400           88,458   

Orix JREIT, Inc. (b)

      80           108,228   

Premier Investment Corp.

      21           104,606   

Spirit Realty Capital, Inc.

      45,421           415,148   

Sumitomo Realty & Development Co., Ltd.

      15,000           477,412   

Sun Hung Kai Properties Ltd.

      31,600           412,169   

United Urban Investment Corp.

      140           186,969   

UOL Group Ltd. (b)

      86,761           367,336   

Vornado Realty Trust

      1,960           177,223   

West China Cement Ltd.

      632,000           86,025   
       

 

 

  
          9,060,234   
       

 

 

  

Health Care - 0.4%

        

Care Capital Properties, Inc.

      1,627           53,577   

HCP, Inc.

      7,940           295,765   

LTC Properties, Inc.

      8,940           381,470   

Ventas, Inc.

      11,820           662,629   
       

 

 

  
          1,393,441   
       

 

 

  

Triple Net - 0.3%

        

National Retail Properties, Inc.

      12,700           460,629   

Realty Income Corp. (b)

      7,180           340,260   
       

 

 

  
          800,889   
       

 

 

  
            11,254,564   
       

 

 

  

Energy - 2.6%

        

Energy Equipment & Services - 0.0%

        

Aker Solutions ASA (c)

      14,840           51,359   

National Oilwell Varco, Inc.

      2,700           101,655   
       

 

 

  
          153,014   
       

 

 

  

Oil, Gas & Consumable Fuels - 2.6%

        

Apache Corp.

      1,898           74,326   

BG Group PLC

      26,560           383,151   

Chevron Corp.

      977           77,066   

EOG Resources, Inc.

      11,526           839,093   

Exxon Mobil Corp.

      27,724           2,061,279   

Hess Corp.

      13,380           669,803   

Company

    Shares        U.S. $ Value  

JX Holdings, Inc.

      112,800           407,312   

Lukoil PJSC (London) (Sponsored ADR) (b)

      2,310           78,679   

Marathon Petroleum Corp.

      9,845           456,119   

Murphy Oil Corp.

      17,037           412,295   

Occidental Petroleum Corp.

      5,381           355,953   

Petroleo Brasileiro SA (Sponsored ADR) (a)

      20,650           75,992   

Phillips 66

      2,004           153,987   

QEP Resources, Inc.

      25,377           317,974   

Royal Dutch Shell PLC (Euronext Amsterdam)-Class A

      10,595           251,311   

SM Energy Co.

      13,449           430,906   

Tesoro Corp.

      782           76,042   

TOTAL SA

      9,130           410,693   

Valero Energy Corp.

      16,962           1,019,416   
       

 

 

  
          8,551,397   
       

 

 

  
          8,704,411   
       

 

 

  

Retail - 2.2%

        

Regional Mall - 0.7%

        

Pennsylvania Real Estate Investment Trust

      21,920           434,674   

Simon Property Group, Inc.

      8,556           1,571,908   

Westfield Corp.

      15,480           108,928   
       

 

 

  
          2,115,510   
       

 

 

  

Shopping Center/Other Retail - 1.5%

        

Aeon Mall Co., Ltd.

      10,677           164,013   

Brixmor Property Group, Inc.

      7,020           164,830   

DDR Corp.

      19,970           307,139   

Federation Centres

      132,420           255,708   

Fibra Shop Portafolios Inmobiliarios SAPI de CV

      128,490           127,693   

Hammerson PLC

      20,140           190,175   

Japan Retail Fund Investment Corp.

      101           195,421   

JB Hi-Fi Ltd. (b)

      10,780           145,174   

Kite Realty Group Trust

      16,210           385,960   

Klepierre

      8,383           379,937   

Link REIT

      91,768           504,033   

Mercialys SA

      12,420           268,447   

Ramco-Gershenson Properties Trust

      22,650           339,976   

Retail Opportunity Investments Corp.

      22,800           377,112   

Scentre Group

      188,849           519,769   

Unibail-Rodamco SE

      1,879           487,006   

Vastned Retail NV

      6,014           261,115   
       

 

 

  
            5,073,508   
       

 

 

  
          7,189,018   
       

 

 

  

Utilities - 1.9%

        

Electric Utilities - 1.3%

        

American Electric Power Co., Inc.

      10,800           614,088   

Duke Energy Corp.

      4,585           329,845   

Edison International

      14,633           922,903   

EDP-Energias de Portugal SA

      123,410           452,116   

Electricite de France SA

      11,950           211,007   

Enel SpA

      40,691           181,563   

Exelon Corp.

      16,177           480,457   

FirstEnergy Corp.

      2,857           89,453   

PPL Corp.

      16,664           548,079   

Westar Energy, Inc.

      10,000           384,400   
       

 

 

  
          4,213,911   
       

 

 

  

Company

    Shares        U.S. $ Value  

Gas Utilities - 0.2%

        

UGI Corp.

      15,167           528,115   
       

 

 

  

Independent Power and Renewable Electricity Producers - 0.2%

        

AES Corp./VA

      31,244           305,879   

Calpine Corp. (a)

      4,044           59,042   

Huadian Power International Corp., Ltd.-Class H

      156,000           122,404   

TerraForm Global, Inc.-Class A (a)

      31,800           211,788   
       

 

 

  
          699,113   
       

 

 

  

Multi-Utilities - 0.2%

        

Consolidated Edison, Inc.

      1,942           129,822   

PG&E Corp.

      10,091           532,805   

Public Service Enterprise Group, Inc.

      3,500           147,560   
       

 

 

  
          810,187   
       

 

 

  
          6,251,326   
       

 

 

  

Residential - 1.7%

        

Multi-Family - 1.2%

        

AvalonBay Communities, Inc.

      3,620           632,848   

China Resources Land Ltd.

      84,000           198,351   

China Vanke Co., Ltd.-Class H (b)

      92,260           197,487   

CIFI Holdings Group Co., Ltd.

      640,000           113,767   

Comforia Residential REIT, Inc. (b)

      36           67,818   

Emlak Konut Gayrimenkul Yatirim Ortakligi AS

      149,590           124,208   

Equity Residential

      4,830           362,830   

Essex Property Trust, Inc.

      2,465           550,730   

Ichigo Office REIT Investment (b)

      171           117,945   

Independence Realty Trust, Inc.

      21,400           154,294   

Japan Rental Housing Investments, Inc.

      131           85,539   

KWG Property Holding Ltd.

      148,000           97,738   

Mid-America Apartment Communities, Inc.

      5,950           487,126   

Sun Communities, Inc.

      4,661           315,829   

UNITE Group PLC (The)

      16,570           163,829   

Vonovia SE

      5,142           165,500   

Wing Tai Holdings Ltd.

      260,900           306,523   
       

 

 

  
          4,142,362   
       

 

 

  

Self Storage - 0.5%

        

CubeSmart

      16,880           459,305   

Extra Space Storage, Inc.

      5,820           449,071   

National Storage Affiliates Trust

      17,343           234,998   

Public Storage

      1,690           357,655   

Safestore Holdings PLC

      38,290           170,728   
       

 

 

  
          1,671,757   
       

 

 

  
            5,814,119   
       

 

 

  

Materials - 1.2%

        

Chemicals - 1.0%

        

Arkema SA

      3,966           257,068   

CF Industries Holdings, Inc.

      19,720           885,428   

Essentra PLC

      82,318           980,826   

Incitec Pivot Ltd.

      41,239           113,665   

Company

    Shares        U.S. $ Value  

JSR Corp.

      22,200           320,011   

Koninklijke DSM NV

      4,938           227,896   

LyondellBasell Industries NV-Class A

      8,300           691,888   

Nippon Shokubai Co., Ltd. (b)

      1,600           108,806   
       

 

 

  
          3,585,588   
       

 

 

  

Construction Materials - 0.0%

        

Taiheiyo Cement Corp.

      18,000           53,935   
       

 

 

  

Metals & Mining - 0.1%

        

Alcoa, Inc.

      8,700           84,042   

Novolipetsk Steel OJSC (GDR) (c)

      7,780           89,185   
       

 

 

  
          173,227   
       

 

 

  

Paper & Forest Products - 0.1%

        

Mondi PLC

      12,180           255,283   
       

 

 

  
            4,068,033   
       

 

 

  

Office - 1.0%

        

Office - 1.0%

        

Allied Properties Real Estate Investment Trust

      7,776           203,534   

alstria office REIT-AG (a)(b)

      21,358           277,971   

Boston Properties, Inc.

      1,764           208,858   

Cousins Properties, Inc.

      25,200           232,344   

Dream Office Real Estate Investment Trust

      12,286           195,177   

Entra ASA (c)

      18,146           146,572   

Fabege AB

      18,240           267,637   

Highwoods Properties, Inc.

      6,730           260,787   

Hongkong Land Holdings Ltd.

      56,500           374,131   

Hudson Pacific Properties, Inc.

      7,440           214,198   

Investa Office Fund

      50,000           139,005   

Japan Prime Realty Investment Corp.

      49           159,282   

Kenedix Office Investment Corp.-Class A (b)

      66           313,712   

Kilroy Realty Corp.

      1,320           86,011   

Workspace Group PLC

      13,910           197,564   
       

 

 

  
          3,276,783   
       

 

 

  

Telecommunication Services - 0.9%

        

Diversified Telecommunication Services - 0.5%

        

AT&T, Inc.

      6,250           203,625   

Bezeq The Israeli Telecommunication Corp., Ltd.

      63,518           121,561   

BT Group PLC

      63,730           405,612   

Nippon Telegraph & Telephone Corp.

      17,200           605,846   

Telefonica Brasil SA (Preference Shares)

      15,673           144,969   

Telenor ASA

      6,620           123,705   
       

 

 

  
          1,605,318   
       

 

 

  

Wireless Telecommunication Services - 0.4%

        

China Mobile Ltd.

      15,000           178,959   

SK Telecom Co., Ltd.

      470           104,263   

Turkcell Iletisim Hizmetleri AS

      25,770           89,923   

Vodafone Group PLC

      204,023           643,505   

Vodafone Group PLC (Sponsored ADR)

      16,900           536,406   
       

 

 

  
          1,553,056   
       

 

 

  
          3,158,374   
       

 

 

  

Company

    Shares        U.S. $ Value  

Lodging - 0.5%

        

Lodging - 0.5%

        

Ashford Hospitality Trust, Inc.

      24,011           146,467   

Japan Hotel REIT Investment Corp. (b)

      183           116,760   

Pebblebrook Hotel Trust

      11,870           420,792   

RLJ Lodging Trust

      28,870           729,545   

Summit Hotel Properties, Inc.

      28,920           337,496   
       

 

 

  
          1,751,060   
       

 

 

  

Mortgage - 0.1%

        

Mortgage - 0.1%

        

Blackstone Mortgage Trust, Inc.-Class A

      5,980           164,091   

Concentradora Hipotecaria SAPI de CV

      104,000           159,769   
       

 

 

  
          323,860   
       

 

 

  

Financial:Other - 0.0%

        

Financial:Other - 0.0%

        

HFF, Inc.-Class A

      4,100           138,416   
       

 

 

  

Real Estate - 0.0%

        

Developers - 0.0%

        

Daelim Industrial Co., Ltd.

      1,420           80,861   
       

 

 

  

Total Common Stocks
(cost $190,998,686)

           208,112,884   
       

 

 

  
     Principal
Amount
(000)		           

CORPORATES - INVESTMENT GRADE - 9.9%

  

     

Industrial - 6.5%

        

Basic - 0.4%

        

Barrick Gold Corp.

        

4.10%, 5/01/23

    U.S.$ 125           110,614   

Dow Chemical Co. (The)

        

4.125%, 11/15/21

      165           172,371   

Eastman Chemical Co.

        

3.80%, 3/15/25

      110           107,380   

Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc.

        

6.50%, 11/15/20

      49           44,192   

Glencore Funding LLC

        

4.125%, 5/30/23 (c)

      126           99,146   

International Paper Co.

        

3.65%, 6/15/24

      31           30,637   

5.15%, 5/15/46

      11           10,746   

LyondellBasell Industries NV

        

5.75%, 4/15/24

      200           223,579   

Minsur SA

        

6.25%, 2/07/24 (c)

      168           168,555   

Mosaic Co. (The)

        

5.625%, 11/15/43

      96           101,141   

Sociedad Quimica y Minera de Chile SA

        

3.625%, 4/03/23 (c)

      237           196,710   

Vale Overseas Ltd.

        

6.875%, 11/21/36

      65           51,031   
       

 

 

  
          1,316,102   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Capital Goods - 0.1%

        

Odebrecht Finance Ltd.

        

5.25%, 6/27/29 (c)

    U.S.$     217           114,983   

Owens Corning

        

6.50%, 12/01/16 (f)

      11           11,738   

Republic Services, Inc.

        

3.80%, 5/15/18

      17           17,839   

Yamana Gold, Inc.

        

4.95%, 7/15/24

      277           247,511   
       

 

 

  
          392,071   
       

 

 

  

Communications - Media - 1.2%

        

21st Century Fox America, Inc.

        

3.00%, 9/15/22

      400           394,202   

6.15%, 2/15/41

      130           148,262   

CBS Corp.

        

3.50%, 1/15/25

      215           207,061   

5.75%, 4/15/20

      250           281,059   

CCO Safari II LLC

        

4.908%, 7/23/25 (c)

      165           164,209   

Comcast Corp.

        

5.15%, 3/01/20

      451           509,155   

Cox Communications, Inc.

        

2.95%, 6/30/23 (c)

      91           83,094   

Discovery Communications LLC

        

3.45%, 3/15/25

      176           163,056   

McGraw Hill Financial, Inc.

        

4.40%, 2/15/26 (c)

      226           229,348   

NBCUniversal Enterprise, Inc.

        

5.25%, 3/19/21 (c)(g)

      233           246,106   

RELX Capital, Inc.

        

8.625%, 1/15/19

      435           518,082   

Time Warner Cable, Inc.

        

4.125%, 2/15/21

      165           169,590   

4.50%, 9/15/42

      85           67,203   

Time Warner, Inc.

        

3.55%, 6/01/24

      99           98,098   

4.70%, 1/15/21

      123           134,314   

7.625%, 4/15/31

      110           140,465   

Viacom, Inc.

        

3.875%, 4/01/24

      300           281,245   

5.625%, 9/15/19

      83           91,312   
       

 

 

  
            3,925,861   
       

 

 

  

Communications - Telecommunications - 0.8%

  

     

American Tower Corp.

        

5.05%, 9/01/20

      380           415,319   

AT&T, Inc.

        

3.40%, 5/15/25

      475           453,386   

Deutsche Telekom International Finance BV

        

4.875%, 3/06/42 (c)

      340           337,239   

DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.

        

3.80%, 3/15/22

      75           75,489   

     Principal
Amount
(000)		        U.S. $ Value  

4.45%, 4/01/24

    U.S.$ 107           109,763   

5.00%, 3/01/21

      290           316,084   

Rogers Communications, Inc.

        

4.00%, 6/06/22

    CAD 46           36,391   

Telefonica Emisiones SAU

        

5.462%, 2/16/21

    U.S.$     185           206,712   

Verizon Communications, Inc.

        

3.50%, 11/01/24

      418           410,982   

6.55%, 9/15/43

      297           350,889   
       

 

 

  
          2,712,254   
       

 

 

  

Consumer Cyclical - Automotive - 0.4%

        

Ford Motor Credit Co. LLC

        

5.875%, 8/02/21

      915           1,035,784   

General Motors Co.

        

3.50%, 10/02/18

      130           131,049   

General Motors Financial Co., Inc.

        

4.00%, 1/15/25

      41           38,827   

4.30%, 7/13/25

      50           48,370   
       

 

 

  
          1,254,030   
       

 

 

  

Consumer Cyclical - Retailers - 0.3%

        

CVS Health Corp.

        

3.875%, 7/20/25

      250           257,702   

Kohl's Corp.

        

4.25%, 7/17/25

      320           320,559   

Macy's Retail Holdings, Inc.

        

3.875%, 1/15/22

      201           204,671   

Walgreens Boots Alliance, Inc.

        

3.80%, 11/18/24

      320           318,289   
       

 

 

  
          1,101,221   
       

 

 

  

Consumer Non-Cyclical - 1.4%

        

AbbVie, Inc.

        

3.60%, 5/14/25

      166           163,720   

Actavis Funding SCS

        

3.80%, 3/15/25

      282           272,423   

3.85%, 6/15/24

      89           87,179   

Agilent Technologies, Inc.

        

5.00%, 7/15/20

      71           77,255   

Altria Group, Inc.

        

2.625%, 1/14/20

      320           323,402   

AstraZeneca PLC

        

6.45%, 9/15/37

      90           116,330   

Baxalta, Inc.

        

5.25%, 6/23/45 (c)

      130           131,215   

Bayer US Finance LLC

        

3.375%, 10/08/24 (c)

      321           322,713   

Becton Dickinson and Co.

        

3.734%, 12/15/24

      141           143,541   

Biogen, Inc.

        

4.05%, 9/15/25

      251           253,556   

Bunge Ltd. Finance Corp.

        

8.50%, 6/15/19

      155           185,183   

Celgene Corp.

        

3.875%, 8/15/25

      280           280,052   

     Principal
Amount
(000)		        U.S. $ Value  

Gilead Sciences, Inc.

        

3.65%, 3/01/26

    U.S.$     246           247,145   

Grupo Bimbo SAB de CV

        

3.875%, 6/27/24 (c)

      339           328,308   

Kraft Heinz Foods Co.

        

2.80%, 7/02/20 (c)

      130           130,852   

3.50%, 7/15/22 (c)

      162           165,486   

Laboratory Corp. of America Holdings

        

3.60%, 2/01/25

      100           96,807   

Medtronic, Inc.

        

3.50%, 3/15/25

      320           326,510   

Perrigo Finance PLC

        

3.50%, 12/15/21

      300           296,192   

Reynolds American, Inc.

        

3.25%, 11/01/22

      220           218,878   

5.85%, 8/15/45

      79           87,893   

Thermo Fisher Scientific, Inc.

        

4.15%, 2/01/24

      121           125,328   

Tyson Foods, Inc.

        

2.65%, 8/15/19

      64           64,482   

3.95%, 8/15/24

      206           209,834   
       

 

 

  
            4,654,284   
       

 

 

  

Energy - 1.3%

        

Diamond Offshore Drilling, Inc.

        

4.875%, 11/01/43

      111           72,587   

Encana Corp.

        

3.90%, 11/15/21

      140           128,980   

Energy Transfer Partners LP

        

7.50%, 7/01/38

      248           260,164   

EnLink Midstream Partners LP

        

5.05%, 4/01/45

      215           182,159   

Enterprise Products Operating LLC

        

3.70%, 2/15/26

      278           262,696   

5.20%, 9/01/20

      185           203,434   

Kinder Morgan Energy Partners LP

        

2.65%, 2/01/19

      302           297,111   

3.95%, 9/01/22

      424           398,160   

Kinder Morgan, Inc./DE

        

5.00%, 2/15/21 (c)

      250           255,461   

Marathon Petroleum Corp.

        

5.125%, 3/01/21

      163           177,617   

Noble Energy, Inc.

        

3.90%, 11/15/24

      170           158,101   

8.25%, 3/01/19

      374           439,250   

Noble Holding International Ltd.

        

4.90%, 8/01/20

      3           2,493   

Plains All American Pipeline LP/PAA

        

Finance Corp.

        

3.60%, 11/01/24

      232           217,140   

Reliance Holding USA, Inc.

        

5.40%, 2/14/22 (c)

      315           344,152   

Sunoco Logistics Partners Operations LP

        

5.30%, 4/01/44

      295           238,601   

TransCanada PipeLines Ltd.

        

6.35%, 5/15/67

      120           101,250   

     Principal
Amount
(000)		        U.S. $ Value  

Valero Energy Corp.

        

6.125%, 2/01/20

    U.S.$     175           198,430   

Weatherford International Ltd./Bermuda

        

9.625%, 3/01/19

      230           246,407   

Williams Partners LP

        

4.125%, 11/15/20

      155           157,761   
       

 

 

  
          4,341,954   
       

 

 

  

Other Industrial - 0.1%

        

Hutchison Whampoa International 14 Ltd.

        

1.625%, 10/31/17 (c)

      320           318,764   
       

 

 

  

Technology - 0.5%

        

Hewlett-Packard Co.

        

4.65%, 12/09/21

      114           120,894   

HP Enterprise Co.

        

4.90%, 10/15/25

      300           299,175   

KLA-Tencor Corp.

        

4.65%, 11/01/24

      225           224,838   

Motorola Solutions, Inc.

        

3.50%, 3/01/23

      156           140,588   

7.50%, 5/15/25

      35           40,284   

Seagate HDD Cayman

        

4.75%, 1/01/25

      127           121,915   

Tencent Holdings Ltd.

        

3.375%, 5/02/19 (c)

      335           340,591   

Total System Services, Inc.

        

2.375%, 6/01/18

      141           141,383   

3.75%, 6/01/23

      139           135,957   
       

 

 

  
          1,565,625   
       

 

 

  
            21,582,166   
       

 

 

  

Financial Institutions - 3.0%

        

Banking - 1.9%

        

ABN AMRO Bank NV

        

4.75%, 7/28/25 (c)

      200           198,137   

Barclays Bank PLC

        

6.625%, 3/30/22 (c)

    EUR 84           114,891   

Barclays PLC

        

3.65%, 3/16/25

    U.S.$     270           257,781   

Citigroup, Inc.

        

3.875%, 3/26/25

      235           227,654   

Compass Bank

        

5.50%, 4/01/20

      314           337,955   

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands

        

4.375%, 8/04/25

      320           320,230   

Countrywide Financial Corp.

        

6.25%, 5/15/16

      92           94,612   

Credit Suisse Group Funding Guernsey Ltd.

        

3.75%, 3/26/25 (c)

      390           378,750   

Goldman Sachs Group, Inc. (The)

        

3.75%, 5/22/25

      186           186,386   

5.75%, 1/24/22

      335           384,476   

Series D

        

     Principal
Amount
(000)		        U.S. $ Value  

6.00%, 6/15/20

    U.S.$     440           505,669   

Morgan Stanley

        

5.625%, 9/23/19

      168           187,682   

Series G

        

4.00%, 7/23/25

      249           254,476   

5.50%, 7/24/20

      189           212,181   

Murray Street Investment Trust I

        

4.647%, 3/09/17

      44           45,888   

Nationwide Building Society

        

6.25%, 2/25/20 (c)

      465           545,484   

PNC Bank NA

        

3.80%, 7/25/23

      685           707,396   

Rabobank Capital Funding Trust III

        

5.254%, 10/21/16 (c)(g)

      190           191,663   

Santander UK PLC

        

5.00%, 11/07/23 (c)

      200           207,908   

Standard Chartered PLC

        

Series E

        

4.00%, 7/12/22 (c)

      470           465,300   

UBS AG/Stamford CT

        

7.625%, 8/17/22

      380           437,185   

UBS Group Funding Jersey Ltd.

        

4.125%, 9/24/25 (c)

      305           303,403   
       

 

 

  
            6,565,107   
       

 

 

  

Brokerage - 0.1%

        

Nomura Holdings, Inc.

        

2.00%, 9/13/16

      468           470,340   
       

 

 

  

Finance - 0.1%

        

Aviation Capital Group Corp.

        

7.125%, 10/15/20 (c)

      173           201,866   
       

 

 

  

Insurance - 0.7%

        

Allied World Assurance Co. Holdings Ltd.

        

7.50%, 8/01/16

      160           167,911   

American International Group, Inc.

        

4.875%, 6/01/22

      155           171,035   

6.40%, 12/15/20

      300           355,585   

Dai-ichi Life Insurance Co., Ltd. (The)

        

5.10%, 10/28/24 (c)(g)

      320           328,800   

Hartford Financial Services Group, Inc. (The)

        

5.125%, 4/15/22

      180           199,613   

5.50%, 3/30/20

      242           272,249   

Lincoln National Corp.

        

8.75%, 7/01/19

      98           119,700   

MetLife, Inc.

        

10.75%, 8/01/39

      70           109,200   

Series C

        

5.25%, 6/15/20(g)

      159           157,410   

Prudential Financial, Inc.

        

5.625%, 6/15/43

      200           206,400   

XLIT Ltd.

        

6.375%, 11/15/24

      157           186,120   
       

 

 

  
          2,274,023   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

REITS - 0.2%

        

Host Hotels & Resorts LP

        

Series D

        

3.75%, 10/15/23

    U.S.$     10           9,788   

Trust F/1401

        

5.25%, 12/15/24 (c)

      270           276,075   

Welltower, Inc.

        

5.25%, 1/15/22

      300           328,766   
       

 

 

  
          614,629   
       

 

 

  
          10,125,965   
       

 

 

  

Utility - 0.4%

        

Electric - 0.2%

        

CMS Energy Corp.

        

5.05%, 3/15/22

      155           170,346   

Constellation Energy Group, Inc.

        

5.15%, 12/01/20

      89           97,871   

Entergy Corp.

        

4.00%, 7/15/22

      223           230,288   

Exelon Corp.

        

5.10%, 6/15/45

      125           127,634   

Exelon Generation Co. LLC

        

4.25%, 6/15/22

      128           130,997   

Pacific Gas & Electric Co.

        

6.05%, 3/01/34

      38           45,883   
       

 

 

  
          803,019   
       

 

 

  

Natural Gas - 0.2%

        

Talent Yield Investments Ltd.

        

4.50%, 4/25/22 (c)

      490           508,449   
       

 

 

  
          1,311,468   
       

 

 

  

Total Corporates - Investment Grade
(cost $32,557,403)

           33,019,599   
       

 

 

  

MORTGAGE PASS-THROUGHS - 7.9%

        

Agency Fixed Rate 30-Year - 7.3%

        

Federal Home Loan Mortgage Corp. Gold

        

4.00%, 1/01/45

      1,286           1,389,451   

Series 2005

        

5.50%, 1/01/35

      299           333,249   

Series 2007

        

5.50%, 7/01/35

      29           32,857   

Federal National Mortgage Association

        

3.00%, 10/01/45, TBA

      2,668           2,703,434   

3.50%, 5/01/42-9/01/45

      4,813           5,064,358   

3.50%, 10/01/45, TBA

      100           104,297   

4.00%, 10/01/44

      1,452           1,570,974   

4.00%, 10/25/45, TBA

      2,821           3,008,773   

4.50%, 10/25/45, TBA

      3,238           3,510,194   

5.00%, 12/01/39

      189           208,653   

Series 2004

        

5.50%, 2/01/34-11/01/34

      113           126,297   

Series 2007

        

5.50%, 1/01/37-8/01/37

      422           473,280   

     Principal
Amount
(000)		        U.S. $ Value  

Series 2008

        

5.50%, 8/01/37

    U.S.$     185           207,357   

Series 2015

        

3.50%, 4/01/45

      602           633,398   

Government National Mortgage Association

        

3.00%, 10/01/45, TBA

      1,740           1,775,344   

3.50%, 10/01/45, TBA

      1,855           1,943,113   

4.50%, 7/20/45

      1,142           1,228,007   
       

 

 

  
          24,313,036   
       

 

 

  

Agency Fixed Rate 15-Year - 0.6%

        

Federal National Mortgage Association

        

2.50%, 9/01/30

      862           879,758   

3.50%, 10/01/30, TBA

      1,202           1,269,706   
       

 

 

  
          2,149,464   
       

 

 

  

Total Mortgage Pass-Throughs
(cost $26,214,189)

           26,462,500   
       

 

 

  

ASSET-BACKED SECURITIES - 5.7%

        

Autos - Fixed Rate - 3.4%

        

Ally Auto Receivables Trust

        

Series 2015-2, Class A3

        

1.49%, 11/15/19

      306           306,788   

Ally Master Owner Trust

        

Series 2015-3, Class A

        

1.63%, 5/15/20

      454           455,559   

AmeriCredit Automobile Receivables Trust

        

Series 2011-3, Class D

        

4.04%, 7/10/17

      301           302,193   

Series 2013-3, Class A3

        

0.92%, 4/09/18

      346           345,775   

Series 2013-4, Class A3

        

0.96%, 4/09/18

      166           166,566   

Series 2014-1, Class A3

        

0.90%, 2/08/19

      310           309,975   

ARI Fleet Lease Trust

        

Series 2014-A, Class A2

        

0.81%, 11/15/22 (c)

      89           88,568   

Avis Budget Rental Car Funding AESOP LLC

        

Series 2014-1A, Class A

        

2.46%, 7/20/20 (c)

      705           716,016   

Bank of The West Auto Trust

        

Series 2015-1, Class A3

        

1.31%, 10/15/19 (c)

      452           452,796   

California Republic Auto Receivables Trust

        

Series 2014-2, Class A4

        

1.57%, 12/16/19

      203           203,015   

Series 2015-2, Class A3

        

1.31%, 8/15/19

      208           208,333   

Capital Auto Receivables Asset Trust

        

Series 2013-3, Class A2

        

1.04%, 11/21/16

      12           12,228   

Series 2014-1, Class B

        

2.22%, 1/22/19

      80           81,049   

     Principal
Amount
(000)		        U.S. $ Value  

CPS Auto Receivables Trust

        

Series 2013-B, Class A

        

1.82%, 9/15/20 (c)

    U.S.$     132           131,734   

Series 2014-B, Class A

        

1.11%, 11/15/18 (c)

      100           100,278   

Drive Auto Receivables Trust

        

Series 2015-BA, Class A2A

        

0.93%, 12/15/17 (c)

      216           215,974   

Series 2015-CA, Class A2A

        

1.03%, 2/15/18 (c)

      145           144,986   

Series 2015-DA, Class A2A

        

1.23%, 6/15/18 (c)

      181           180,991   

Enterprise Fleet Financing LLC

        

Series 2014-1, Class A2

        

0.87%, 9/20/19 (c)

      136           135,750   

Series 2014-2, Class A2

        

1.05%, 3/20/20 (c)

      235           234,538   

Series 2015-1, Class A2

        

1.30%, 9/20/20 (c)

      446           445,542   

Exeter Automobile Receivables Trust

        

Series 2013-1A, Class A

        

1.29%, 10/16/17 (c)

      6           5,722   

Series 2014-1A, Class A

        

1.29%, 5/15/18 (c)

      38           37,720   

Series 2014-2A, Class A

        

1.06%, 8/15/18 (c)

      44           44,210   

Fifth Third Auto Trust

        

Series 2014-3, Class A4

        

1.47%, 5/17/21

      268           270,109   

Flagship Credit Auto Trust

        

Series 2013-1, Class A

        

1.32%, 4/16/18 (c)

      29           28,971   

Ford Auto Securitization Trust

        

Series 2013-R1A, Class A2

        

1.676%, 9/15/16 (c)

    CAD     4           2,879   

Ford Credit Auto Lease Trust

        

Series 2014-B, Class A3

        

0.89%, 9/15/17

    U.S.$ 244           243,963   

Ford Credit Auto Owner Trust

        

Series 2012-D, Class B

        

1.01%, 5/15/18

      155           154,775   

Series 2014-2, Class A

        

2.31%, 4/15/26 (c)

      440           447,303   

Series 2014-B, Class A2

        

0.47%, 3/15/17

      83           83,310   

Ford Credit Floorplan Master Owner Trust

        

Series 2015-2, Class A1

        

1.98%, 1/15/22

      322           323,078   

GM Financial Automobile Leasing Trust

        

Series 2015-1, Class A2

        

1.10%, 12/20/17

      449           450,208   

Series 2015-2, Class A3

        

1.68%, 12/20/18

      412           413,495   

GMF Floorplan Owner Revolving Trust

        

Series 2015-1, Class A1

        

1.65%, 5/15/20 (c)

      221           220,935   

     Principal
Amount
(000)		        U.S. $ Value  

Harley-Davidson Motorcycle Trust

        

Series 2014-1, Class A3

        

1.10%, 9/15/19

    U.S.$     270           270,300   

Series 2015-1, Class A3

        

1.41%, 6/15/20

      126           126,377   

Hertz Vehicle Financing LLC

        

Series 2013-1A, Class A1

        

1.12%, 8/25/17(c)

      345           345,246   

Series 2013-1A, Class B2

        

2.48%, 8/25/19(c)

      192           190,013   

Series 2015-2A, Class A

        

2.02%, 9/25/19(c)

      180           179,962   

Hyundai Auto Lease Securitization Trust

        

Series 2015-A, Class A2

        

1.00%, 10/16/17(c)

      305           305,152   

Series 2015-B, Class A3

        

1.40%, 11/15/18(c)

      213           213,684   

Hyundai Auto Receivables Trust

        

Series 2012-B, Class C

        

1.95%, 10/15/18

      140           140,301   

Nissan Auto Lease Trust

        

Series 2015-A, Class A3

        

1.40%, 6/15/18

      370           371,959   

Santander Drive Auto Receivables Trust

        

Series 2013-4, Class A3

        

1.11%, 12/15/17

      78           78,030   

Series 2014-2, Class A3

        

0.80%, 4/16/18

      335           334,741   

Series 2015-3, Class A2A

        

1.02%, 9/17/18

      220           220,087   

Series 2015-4,Class A2A

        

1.20%, 12/17/18

      215           214,912   

TCF Auto Receivables Owner Trust

        

Series 2015-1A, Class A2

        

1.02%, 8/15/18 (c)

      297           296,930   
       

 

 

  
          11,253,026   
       

 

 

  

Credit Cards - Fixed Rate - 0.9%

        

American Express Credit Account Master Trust

        

Series 2014-2, Class A

        

1.26%, 1/15/20

      141           141,656   

Barclays Dryrock Issuance Trust

        

Series 2014-3, Class A

        

2.41%, 7/15/22

      326           336,126   

Series 2015-2, Class A

        

1.56%, 3/15/21

      214           215,872   

Capital One Multi-Asset Execution Trust

        

Series 2015-A5, Class A5

        

1.60%, 5/17/21

      285           287,234   

Chase Issuance Trust

        

Series 2014-A1, Class A1

        

1.15%, 1/15/19

      270           271,020   

Discover Card Execution Note Trust

        

Series 2015-A2, Class A

        

1.90%, 10/17/22

      415           414,462   

     Principal
Amount
(000)		        U.S. $ Value  

Synchrony Credit Card Master Note Trust

        

Series 2012-2, Class A

        

2.22%, 1/15/22

    U.S.$     379           385,142   

Series 2015-3, Class A

        

1.74%, 9/15/21

      315           315,567   

World Financial Network Credit Card Master Trust

  

     

Series 2012-B, Class A

        

1.76%, 5/17/21

      310           312,869   

Series 2013-A, Class A

        

1.61%, 12/15/21

      246           247,274   
       

 

 

  
          2,927,222   
       

 

 

  

Autos - Floating Rate - 0.5%

        

BMW Floorplan Master Owner Trust

        

Series 2015-1A, Class A

        

0.707%, 7/15/20 (c)(f)

      378           376,785   

GE Dealer Floorplan Master Note Trust

        

Series 2014-1, Class A

        

0.596%, 7/20/19 (f)

      203           201,564   

Series 2015-1, Class A

        

0.716%, 1/20/20 (f)

      384           381,166   

Hertz Fleet Lease Funding LP

        

Series 2013-3, Class A

        

0.753%, 12/10/27 (c)(f)

      202           202,544   

Navistar Financial Dealer Note Master Trust

        

Series 2014-1, Class A

        

0.944%, 10/25/19 (c)(f)

      207           206,163   

NCF Dealer Floorplan Master Trust

        

Series 2014-1A, Class A

        

1.716%, 10/20/20 (c)(f)

      320           320,000   
       

 

 

  
          1,688,222   
       

 

 

  

Credit Cards - Floating Rate - 0.4%

        

Cabela’s Credit Card Master Note Trust

        

Series 2012-1A, Class A2

        

0.737%, 2/18/20 (c)(f)

      325           325,177   

Discover Card Execution Note Trust

        

Series 2015-A1, Class A1

        

0.557%, 8/17/20 (f)

      240           239,139   

First National Master Note Trust

        

Series 2013-2, Class A

        

0.737%, 10/15/19 (f)

      346           346,416   

World Financial Network Credit Card Master Trust

  

     

Series 2014-A, Class A

        

0.587%, 12/15/19 (f)

      295           295,092   

Series 2015-A, Class A

        

0.687%, 2/15/22 (f)

      256           255,451   
       

 

 

  
          1,461,275   
       

 

 

  

Other ABS - Fixed Rate - 0.4%

        

CIT Equipment Collateral

        

Series 2014-VT1, Class A2

        

0.86%, 5/22/17 (c)

      319           319,068   

     Principal
Amount
(000)		        U.S. $ Value  

CNH Equipment Trust

        

Series 2014-B, Class A4

        

1.61%, 5/17/21

    U.S.$     210           211,187   

Series 2015-A, Class A4

        

1.85%, 4/15/21

      227           227,691   

Dell Equipment Finance Trust

        

Series 2015-1, Class A3

        

1.30%, 3/23/20 (c)

      173           172,733   

SBA Tower Trust

        

Series 2014-1A, Class C

        

2.898%, 10/15/44 (c)

      251           251,801   
       

 

 

  
          1,182,480   
       

 

 

  

Home Equity Loans - Floating Rate - 0.1%

        

GSAA Trust

        

Series 2006-5, Class 2A3

        

0.464%, 3/25/36 (f)

      357           242,651   

Residential Asset Securities Corp. Trust

        

Series 2003-KS3, Class A2

        

0.794%, 5/25/33 (f)

      1           798   
       

 

 

  
          243,449   
       

 

 

  

Home Equity Loans - Fixed Rate - 0.0%

        

Credit-Based Asset Servicing and

        

Securitization LLC

        

Series 2003-CB1, Class AF

        

3.95%, 1/25/33

      68           68,215   
       

 

 

  

Total Asset-Backed Securities
(cost $18,781,726)

           18,823,889   
       

 

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.1%

        

Non-Agency Fixed Rate CMBS - 3.6%

        

Banc of America Commercial Mortgage Trust

        

Series 2007-4, Class A1A

        

5.774%, 2/10/51

      548           582,364   

Series 2007-5, Class AM

        

5.772%, 2/10/51

      150           158,201   

Bear Stearns Commercial Mortgage

        

Securities Trust

        

Series 2006-PW13, Class AJ

        

5.611%, 9/11/41

      184           185,679   

BHMS Mortgage Trust

        

Series 2014-ATLS, Class AFX

        

3.601%, 7/05/33 (c)

      335           342,812   

CGRBS Commercial Mortgage Trust

        

Series 2013-VN05, Class A

        

3.369%, 3/13/35 (c)

      495           513,538   

Citigroup Commercial Mortgage Trust

        

Series 2006-C4, Class A1A

        

5.973%, 3/15/49

      206           208,679   

Series 2015-GC27, Class A5

        

3.137%, 2/10/48

      246           245,294   

COBALT CMBS Commercial Mortgage Trust

        

Series 2007-C3, Class A4

        

5.959%, 5/15/46

      270           286,424   

     Principal
Amount
(000)		        U.S. $ Value  

Commercial Mortgage Loan Trust

        

Series 2008-LS1, Class A1A

        

6.23%, 12/10/49

    U.S.$     1,005           1,080,831   

Commercial Mortgage Trust

        

Series 2006-C8, Class A1A

        

5.292%, 12/10/46

      415           429,395   

Series 2006-C8, Class A4

        

5.306%, 12/10/46

      304           313,070   

Series 2013-SFS, Class A1

        

1.873%, 4/12/35 (c)

      198           196,476   

Credit Suisse Commercial Mortgage Trust

        

Series 2007-C3, Class AM

        

5.889%, 6/15/39

      155           159,550   

CSAIL Commercial Mortgage Trust

        

Series 2015-C3, Class A4

        

3.718%, 8/15/48

      343           361,640   

DBUBS Mortgage Trust

        

Series 2011-LC1A, Class E

        

5.735%, 11/10/46 (c)

      130           140,471   

Extended Stay America Trust

        

Series 2013-ESH7, Class A17

        

2.295%, 12/05/31 (c)

      330           330,660   

GS Mortgage Securities Corp. II

        

Series 2013-KING, Class A

        

2.706%, 12/10/27 (c)

      478           487,046   

GS Mortgage Securities Trust

        

Series 2007-GG10, Class A4

        

5.989%, 8/10/45

      199           209,572   

Series 2013-G1, Class A2

        

3.557%, 4/10/31 (c)

      276           281,796   

JPMorgan Chase Commercial Mortgage Securities Trust

        

Series 2004-LN2, Class A1A

        

4.838%, 7/15/41 (c)

      109           108,124   

Series 2006-LDP9, Class AM

        

5.372%, 5/15/47

      135           138,788   

Series 2007-CB19, Class AM

        

5.884%, 2/12/49

      175           184,157   

Series 2007-LD12, Class AM

        

6.208%, 2/15/51

      280           298,306   

Series 2007-LDPX, Class A1A

        

5.439%, 1/15/49

      590           615,277   

Series 2008-C2, Class A1A

        

5.998%, 2/12/51

      268           288,417   

Series 2010-C2, Class A1

        

2.749%, 11/15/43 (c)

      92           92,890   

Series 2011-C5, Class D

        

5.50%, 8/15/46 (c)

      100           105,541   

JPMBB Commercial Mortgage Securities Trust

        

Series 2015-C31, Class A3

        

3.801%, 8/15/48

      368           388,869   

LB-UBS Commercial Mortgage Trust

        

Series 2006-C1, Class A4

        

5.156%, 2/15/31

      232           232,733   

     Principal
Amount
(000)		        U.S. $ Value  

Series 2007-C1, Class AM

        

5.455%, 2/15/40

    U.S.$     100           104,164   

LSTAR Commercial Mortgage Trust

        

Series 2014-2, Class A2

        

2.767%, 1/20/41(c)

      188           188,454   

Series 2015-3, Class A2

        

2.729%, 4/20/48 (c)

      258           261,811   

Merrill Lynch Mortgage Trust

        

Series 2006-C2, Class A1A

        

5.739%, 8/12/43

      296           304,239   

Merrill Lynch/Countrywide Commercial Mortgage Trust

        

Series 2006-4, Class A1A

        

5.166%, 12/12/49

      263           272,100   

UBS-Barclays Commercial Mortgage Trust

        

Series 2012-C3, Class A4

        

3.091%, 8/10/49

      86           87,938   

Series 2012-C4, Class A5

        

2.85%, 12/10/45

      168           169,266   

Wachovia Bank Commercial Mortgage Trust

        

Series 2006-C23, Class A5

        

5.416%, 1/15/45

      616           618,879   

Series 2006-C26, Class A1A

        

6.009%, 6/15/45

      133           136,065   

WF-RBS Commercial Mortgage Trust

        

Series 2013-C14, Class A5

        

3.337%, 6/15/46

      456           471,214   

Series 2014-C20, Class A2

        

3.036%, 5/15/47

      206           213,992   
       

 

 

  
          11,794,722   
       

 

 

  

Non-Agency Floating Rate CMBS - 0.5%

        

Carefree Portfolio Trust

        

Series 2014-CARE, Class A

        

1.527%, 11/15/19 (c)(f)

      169           168,722   

Commercial Mortgage Trust

        

Series 2014-KYO, Class A

        

1.104%, 6/11/27 (c)(f)

      208           206,832   

Series 2014-SAVA, Class A

        

1.357%, 6/15/34 (c)(f)

      156           154,956   

H/2 Asset Funding NRE

        

Series 2015-1A

        

1.844%, 6/24/49 (c)(f)

      254           252,611   

JPMorgan Chase Commercial Mortgage Securities Trust

        

Series 2014-INN, Class A

        

1.127%, 6/15/29 (c)(f)

      339           336,563   

PFP III Ltd.

        

Series 2014-1, Class A

        

1.629%, 6/14/31 (c)(f)

      138           137,873   

Resource Capital Corp., Ltd.

        

Series 2014-CRE2, Class A

        

1.257%, 4/15/32 (c)(f)

      157           156,054   

Starwood Retail Property Trust

        

Series 2014-STAR, Class A

        

1.427%, 11/15/27 (c)(f)

      183           181,242   

     Principal
Amount
(000)		        U.S. $ Value  

Wells Fargo Commercial Mortgage Trust

        

Series 2015-SG1, Class C

        

4.62%, 12/15/47 (h)

    U.S.$     197           192,101   
       

 

 

  
          1,786,954   
       

 

 

  

Total Commercial Mortgage-Backed Securities
(cost $13,849,716)

           13,581,676   
       

 

 

  

GOVERNMENTS - TREASURIES - 2.8%

        

Brazil - 0.1%

        

Brazil Notas do Tesouro Nacional

        

Series F

        

10.00%, 1/01/17

    BRL     1,670           395,062   
       

 

 

  

United States - 2.7%

        

U.S. Treasury Bonds

        

2.75%, 8/15/42

    U.S.$ 280           273,007   

3.00%, 5/15/45

      495           506,563   

3.125%, 2/15/43-8/15/44

      650           680,540   

3.375%, 5/15/44

      234           256,711   

3.625%, 8/15/43

      1,195           1,375,371   

4.375%, 2/15/38

      1,027           1,321,173   

4.50%, 2/15/36

      223           292,403   

U.S. Treasury Notes

        

1.50%, 1/31/19

      288           292,328   

1.625%, 8/31/19

      545           554,353   

2.00%, 11/15/21

      645           658,203   

2.50%, 8/15/23-5/15/24

      883           921,177   

2.75%, 2/15/24

      1,597           1,697,523   
       

 

 

  
          8,829,352   
       

 

 

  

Total Governments - Treasuries
(cost $9,041,246)

           9,224,414   
       

 

 

  

COLLATERALIZED MORTGAGE OBLIGATIONS - 2.2%

  

     

GSE Risk Share Floating Rate - 1.2%

        

Bellemeade Re Ltd.

        

Series 2015-1A, Class M1

        

2.689%, 7/25/25 (c)(f)

      225           224,660   

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

  

     

Series 2013-DN2, Class M2

        

4.444%, 11/25/23 (f)

      340           339,111   

Series 2014-DN3, Class M3

        

4.194%, 8/25/24(f)

      330           320,980   

Series 2014-DN4, Class M3

        

4.744%, 10/25/24 (f)

      250           250,299   

Series 2015-DNA1, Class M3

        

3.494%, 10/25/27 (f)

      260           244,916   

Series 2015-DNA2, Class M2

        

2.794%, 12/25/27 (f)

      639           641,646   

Series 2015-HQ1, Class M2

        

2.394%, 3/25/25 (f)

      388           384,211   

Series 2015-HQA1, Class M2

        

2.844%, 3/25/28 (f)

      363           363,300   

     Principal
Amount
(000)		        U.S. $ Value  

Federal National Mortgage Association Connecticut Avenue Securities

        

Series 2014-C03, Class 1M1

        

1.394%, 7/25/24 (f)

    U.S.$     93           92,660   

Series 2014-C04, Class 1M2

        

5.094%, 11/25/24 (f)

      180           180,487   

Series 2014-C04, Class 2M2

        

5.194%, 11/25/24 (f)

      75           75,569   

Series 2015-C01, Class 1M2

        

4.494%, 2/25/25 (f)

      155           150,636   

Series 2015-C01, Class 2M2

        

4.744%, 2/25/25 (f)

      138           137,171   

Series 2015-C02, Class 2M2

        

4.194%, 5/25/25 (f)

      185           176,797   

Series 2015-C03, Class 1M2

        

5.194%, 7/25/25 (f)

      90           89,729   

Series 2015-C03, Class 2M2

        

5.194%, 7/25/25 (f)

      195           194,764   

Wells Fargo Credit Risk Transfer Securities Trust

  

     

Series 2015-WF1, Class 1M2

        

5.447%, 11/25/25 (c)(f)

      145           144,900   

Series 2015-WF1, Class 2M2

        

5.697%, 11/25/25 (c)(f)

      41           41,100   
       

 

 

  
          4,052,936   
       

 

 

  

Non-Agency Fixed Rate - 0.6%

        

Alternative Loan Trust

        

Series 2005-20CB, Class 3A6

        

5.50%, 7/25/35

      46           44,157   

Series 2005-57CB, Class 4A3

        

5.50%, 12/25/35

      122           112,434   

Series 2006-23CB, Class 1A7

        

6.00%, 8/25/36

      81           78,665   

Series 2006-24CB, Class A16

        

5.75%, 6/25/36

      190           170,759   

Series 2006-28CB, Class A14

        

6.25%, 10/25/36

      132           112,470   

Series 2006-J1, Class 1A13

        

5.50%, 2/25/36

      118           105,698   

Series 2007-2CB, Class 2A4

        

5.75%, 3/25/37

      104           91,890   

Chase Mortgage Finance Trust

        

Series 2007-S5, Class 1A17

        

6.00%, 7/25/37

      60           51,574   

Citigroup Mortgage Loan Trust, Inc.

        

Series 2005-2, Class 1A4

        

2.617%, 5/25/35

      26           24,970   

Countrywide Home Loan Mortgage Pass-Through Trust

  

     

Series 2006-10, Class 1A8

        

6.00%, 5/25/36

      101           94,482   

Series 2006-13, Class 1A18

        

6.25%, 9/25/36

      149           135,600   

Series 2006-13, Class 1A19

        

6.25%, 9/25/36

      54           48,769   

     Principal
Amount
(000)		        U.S. $ Value  

Series 2007-HYB2, Class 3A1

        

2.596%, 2/25/47

    U.S.$     278           245,674   

Credit Suisse Mortgage Trust

        

Series 2010-6R, Class 3A2

        

5.875%, 1/26/38 (c)

      151           126,015   

First Horizon Alternative Mortgage

        

Securities Trust

        

Series 2006-FA3, Class A9

        

6.00%, 7/25/36

      218           180,341   

JPMorgan Mortgage Trust

        

Series 2007-S3, Class 1A8

        

6.00%, 8/25/37

      84           76,826   

RBSSP Resecuritization Trust

        

Series 2009-7, Class 10A3

        

6.00%, 8/26/37 (c)

      211           180,559   

Wells Fargo Mortgage Backed Securities Trust

        

Series 2007-8, Class 2A5

        

5.75%, 7/25/37

      77           75,568   
       

 

 

  
          1,956,451   
       

 

 

  

Non-Agency Floating Rate - 0.4%

        

Deutsche Alt-A Securities Mortgage Loan Trust

        

Series 2006-AR4, Class A2

        

0.384%, 12/25/36 (f)

      387           242,106   

HomeBanc Mortgage Trust

        

Series 2005-1, Class A1

        

0.444%, 3/25/35 (f)

      181           161,070   

IndyMac Index Mortgage Loan Trust

        

Series 2006-AR15, Class A1

        

0.314%, 7/25/36 (f)

      282           229,515   

JPMorgan Chase Commercial Mortgage Securities Trust

        

Series 2015-SGP, Class A

        

1.894%, 7/15/36 (c)(f)

      304           303,626   

RBSSP Resecuritization Trust

        

Series 2010-9, Class 7A6

        

6.893%, 5/26/37 (c)(h)

      184           153,736   
       

 

 

  
          1,090,053   
       

 

 

  

Agency Fixed Rate - 0.0%

        

Federal National Mortgage Association REMICs

        

Series 2010-117, Class DI

        

4.50%, 5/25/25 (i)

      857           89,563   
       

 

 

  

Total Collateralized Mortgage Obligations
(cost $7,258,705)

           7,189,003   
       

 

 

  

CORPORATES - NON-INVESTMENT GRADE - 1.4%

  

     

Financial Institutions - 0.9%

        

Banking - 0.8%

        

Bank of America Corp.

        

Series Z

        

6.50%, 10/23/24 (g)

      79           80,580   

     Principal
Amount
(000)		        U.S. $ Value  

Barclays Bank PLC

        

6.86%, 6/15/32 (c)(g)

    U.S.$ 44           49,940   

7.625%, 11/21/22

      239           267,829   

7.75%, 4/10/23

      305           326,731   

BNP Paribas SA

        

7.375%, 8/19/25 (c)(g)

      200           201,250   

Credit Agricole SA

        

7.875%, 1/23/24 (c)(g)

      205           203,719   

HBOS Capital Funding LP

        

4.939%, 5/23/16 (g)

    EUR     298           331,325   

Intesa Sanpaolo SpA

        

5.017%, 6/26/24 (c)

    U.S.$ 339           334,525   

LBG Capital No.1 PLC

        

8.00%, 6/15/20 (c)(g)

      94           105,280   

Royal Bank of Scotland PLC (The)

        

9.50%, 3/16/22 (c)

      215           234,326   

Societe Generale SA

        

5.922%, 4/05/17 (c)(g)

      100           101,000   

8.00%, 9/29/25 (c)(g)

      200           196,909   

UniCredit Luxembourg Finance SA

        

6.00%, 10/31/17 (c)

      230           241,602   
       

 

 

  
          2,675,016   
       

 

 

  

Finance - 0.1%

        

AerCap Aviation Solutions BV

        

6.375%, 5/30/17

      200           208,250   

International Lease Finance Corp.

        

5.875%, 4/01/19

      93           97,789   
       

 

 

  
          306,039   
       

 

 

  
          2,981,055   
       

 

 

  

Industrial - 0.4%

        

Basic - 0.1%

        

Novelis, Inc.

        

8.375%, 12/15/17

      29           28,130   

Teck Resources Ltd.

        

4.50%, 1/15/21

      280           188,720   
       

 

 

  
          216,850   
       

 

 

  

Communications - Media - 0.0%

        

CSC Holdings LLC

        

8.625%, 2/15/19

      44           45,320   
       

 

 

  

Communications - Telecommunications - 0.2%

  

     

Numericable-SFR SAS

        

5.375%, 5/15/22 (c)

    EUR     195           218,354   

Sprint Capital Corp.

        

6.90%, 5/01/19

    U.S.$ 370           325,600   

Sprint Corp.

        

7.875%, 9/15/23

      53           42,897   

Telecom Italia Capital SA

        

6.00%, 9/30/34

      65           60,125   
       

 

 

  
          646,976   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Consumer Cyclical - Automotive - 0.0%

        

Goodyear Tire & Rubber Co. (The)

        

8.25%, 8/15/20

    U.S.$     60           62,475   
       

 

 

  

Consumer Cyclical - Other - 0.1%

        

KB Home

        

4.75%, 5/15/19

      107           102,854   

MCE Finance Ltd.

        

5.00%, 2/15/21 (c)

      210           189,000   
       

 

 

  
          291,854   
       

 

 

  

Energy - 0.0%

        

SM Energy Co.

        

6.50%, 1/01/23

      14           13,020   

Transocean, Inc.

        

6.50%, 11/15/20

      135           103,275   
       

 

 

  
          116,295   
       

 

 

  

Technology - 0.0%

        

Advanced Micro Devices, Inc.

        

6.75%, 3/01/19

      104           71,890   
       

 

 

  
          1,451,660   
       

 

 

  

Utility - 0.1%

        

Electric - 0.1%

        

AES Corp./VA

        

7.375%, 7/01/21

      119           123,463   

NRG Energy, Inc.

        

Series WI

        

6.25%, 5/01/24

      92           81,190   
       

 

 

  
          204,653   
       

 

 

  

Total Corporates - Non-Investment Grade
(cost $4,908,131)

           4,637,368   
       

 

 

  

INFLATION-LINKED SECURITIES - 1.2%

        

United States - 1.2%

        

U.S. Treasury Inflation Index

        

0.125%, 4/15/19 (TIPS)

(cost $4,236,870)

      4,162           4,147,396   
       

 

 

  

QUASI-SOVEREIGNS - 0.4%

        

Quasi-Sovereign Bonds - 0.4%

        

Chile - 0.2%

        

Corp. Nacional del Cobre de Chile

        

4.50%, 9/16/25 (c)

      310           297,793   

Empresa de Transporte de Pasajeros Metro SA

        

4.75%, 2/04/24 (c)

      340           343,719   
       

 

 

  
          641,512   
       

 

 

  

Malaysia - 0.1%

        

Petronas Capital Ltd.

        

5.25%, 8/12/19 (c)

      460           501,580   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Mexico - 0.1%

        

Petroleos Mexicanos

        

3.50%, 7/18/18-1/30/23

    U.S.$     217           209,952   
       

 

 

  

Total Quasi-Sovereigns
(cost $1,316,079)

           1,353,044   
       

 

 

  

GOVERNMENTS - SOVEREIGN AGENCIES - 0.3%

  

     

Israel - 0.1%

        

Israel Electric Corp. Ltd.

        

Series 6

        

5.00%, 11/12/24 (c)

      320           326,515   

United Kingdom - 0.1%

        

Royal Bank of Scotland Group PLC

        

7.50%, 8/10/20 (g)

      200           199,562   

Brazil - 0.1%

        

Petrobras Global Finance BV

        

5.75%, 1/20/20

      253           188,725   

Canada - 0.0%

        

NOVA Chemicals Corp.

        

5.25%, 8/01/23 (c)

      125           121,094   

Colombia - 0.0%

        

Ecopetrol SA

        

5.875%, 5/28/45

      94           72,380   
       

 

 

  

Total Governments - Sovereign Agencies
(cost $1,001,808)

           908,276   
       

 

 

  

LOCAL GOVERNMENTS - MUNICIPAL BONDS - 0.1%

  

     

United States - 0.1%

        

State of California

        

Series 2010

        

7.625%, 3/01/40

(cost $350,503)

      345           495,034   
       

 

 

  

EMERGING MARKETS - CORPORATE BONDS - 0.1%

  

     

Industrial - 0.1%

        

Communications - Telecommunications - 0.1%

  

     

Comcel Trust via Comunicaciones

        

Celulares SA

        

6.875%, 2/06/24 (c)

      200           197,560   
       

 

 

  

Consumer Non-Cyclical - 0.0%

        

Marfrig Overseas Ltd.

        

9.50%, 5/04/20 (c)

      195           189,150   
       

 

 

  

Total Emerging Markets - Corporate Bonds
(cost $391,536)

   

        386,710   
       

 

 

  
     Shares           

PREFERRED STOCKS - 0.1%

        

Financial Institutions - 0.1%

        

Insurance - 0.1%

        

Allstate Corp. (The)

        

5.10%

(cost $179,024)

      6,700           170,046   
       

 

 

  

     Principal
Amount
(000)		      U.S. $ Value  

GOVERNMENTS - SOVEREIGN BONDS - 0.0%

  

   

Mexico - 0.0%

      

Mexico Government International Bond

      

Series E

      

5.95%, 3/19/19

(cost $92,560)

    U.S.$     82         91,963   
     

 

 

  

SHORT-TERM INVESTMENTS - 2.2%

      

Time Deposit - 2.2%

      

State Street Time Deposit

      

0.01%, 10/01/15

(cost $7,455,952)

      7,456         7,455,952   
     

 

 

  

Total Investments Before Security Lending Collateral for Securities
Loaned - 100.9%
(cost $318,634,134)

    

      336,059,754   
     

 

 

  
     Shares         

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED - 1.1%

  

Investment Companies - 1.1%

      

AB Exchange Reserves - Class I, 0.13% (j)(k)
(cost $3,747,151)

      3,747,151         3,747,151   
     

 

 

  

Total Investments - 102.0%
(cost $322,381,285)(l)

         339,806,905   
     

 

 

  

Other assets less liabilities - (2.0)% (m)

         (6,749,411 ) 
     

 

 

  

Net Assets - 100.0%

       $     333,057,494   
     

 

 

  

FUTURES

 

Type

    Number
of
Contracts		      Expiration
Month		      Original
Value		      Value at
September 30,
2015		      Unrealized
Appreciation/
(Depreciation)		  

Purchased Contracts

               

10 Yr Canadian Bond Futures

      12         December 2015       $ 1,290,030       $ 1,274,994       $ (15,036 ) 

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

      46         December 2015         10,068,203         10,075,438         7,235   

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

      108         December 2015         12,977,805         13,015,688         37,883   

U.S. Ultra Bond (CBT) Futures

      29         December 2015         4,756,691         4,651,781         (104,910 ) 

Sold Contracts

               

EURO-BOBL Futures

      34         December 2015         4,867,816         4,901,674         (33,858 ) 

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

      50         December 2015         6,404,801         6,436,719         (31,918 ) 
              

 

 

  
            $ (140,604 ) 
              

 

 

  

 

FORWARD CURRENCY EXCHANGE CONTRACTS

 

    

Counterparty

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

Bank of America, NA

    AUD      172       USD      122       12/15/15    $ 1,439   

Barclays Bank PLC

    JPY      400,000       USD      3,232       10/15/15      (102,520 ) 

Barclays Bank PLC

    CNY      3,531       USD      546       11/13/15      (7,155 ) 

Barclays Bank PLC

    TWD      14,848       USD      469       11/13/15      19,916   

Barclays Bank PLC

    USD      362       JPY      43,419       11/13/15      554   

Barclays Bank PLC

    USD      673       SEK      5,712       11/13/15      10,133   

Barclays Bank PLC

    USD      792       SGD      1,100       11/13/15      (20,277 ) 

Barclays Bank PLC

    CNY      4,834       USD      741       12/15/15      (13,029 ) 

BNP Paribas SA

    AUD      1,562       USD      1,097       12/15/15      4,513   

Citibank

    GBP      1,428       USD      2,229       11/13/15      69,088   

Citibank

    USD      55       CNY      362       11/13/15      1,522   

Citibank

    USD      986       GBP      632       11/13/15      (30,577 ) 

Credit Suisse International

    KRW      129,569       USD      110       11/13/15      586   

Credit Suisse International

    KRW      119,013       USD      100       11/13/15      (304 ) 

Credit Suisse International

    USD      474       SEK      3,970       11/13/15      1,067   

Deutsche Bank AG

    BRL      1,655       USD      457       10/02/15      39,449   

Deutsche Bank AG

    USD      417       BRL      1,655       10/02/15      883   

Deutsche Bank AG

    SGD      1,100       USD      783       11/13/15      11,586   

Goldman Sachs Bank USA

    RUB      9,336       USD      136       10/16/15      (5,535 ) 

HSBC Bank USA

    JPY      720,000       USD      5,966       10/07/15      (36,276 ) 

HSBC Bank USA

    HKD      13,997       USD      1,805       11/13/15      (573 ) 

HSBC Bank USA

    USD      418       HKD      3,243       11/13/15      342   

JPMorgan Chase Bank

    JPY      220,000       USD      1,845       3/25/16      4,271   

Morgan Stanley & Co., Inc.

    JPY      51,676       USD      416       11/13/15      (14,519 ) 

Morgan Stanley & Co., Inc.

    USD      833       EUR      758       11/13/15      14,866   

Morgan Stanley & Co., Inc.

    USD      563       JPY      67,979       11/13/15      4,058   

Royal Bank of Scotland PLC

    JPY      115,000       USD      961       10/15/15      2,160   

Royal Bank of Scotland PLC

    GBP      234       USD      362       11/13/15      8,509   

Royal Bank of Scotland PLC

    JPY      50,171       USD      404       11/13/15      (14,343 ) 

Royal Bank of Scotland PLC

    KRW      606,024       USD      514       11/13/15      3,876   

Royal Bank of Scotland PLC

    CAD      625       USD      472       12/15/15      4,137   

Royal Bank of Scotland PLC

    USD      66       CNY      420       12/15/15      (60 ) 

Standard Chartered Bank

    BRL      2,385       USD      600       10/02/15      (1,272 ) 

Standard Chartered Bank

    BRL      730       USD      203       10/02/15      18,731   

Standard Chartered Bank

    USD      778       BRL      3,115       10/02/15      7,365   

Standard Chartered Bank

    BRL      2,385       USD      588       11/04/15      (7,008 ) 

Standard Chartered Bank

    JPY      74,468       USD      597       11/13/15      (24,192 ) 

Standard Chartered Bank

    USD      656       AUD      898       11/13/15      (26,926 ) 

Standard Chartered Bank

    USD      1,908       JPY      238,042       11/13/15      77,332   

Standard Chartered Bank

    USD      191       TWD      6,190       11/13/15      (3,552 ) 

Standard Chartered Bank

    USD      396       GBP      253       12/15/15      (13,832 ) 

State Street Bank & Trust Co.

    CAD      295       USD      222       10/02/15      440   

State Street Bank & Trust Co.

    EUR      618       USD      699       10/27/15      8,254   

State Street Bank & Trust Co.

    AUD      729       USD      534       11/13/15      23,393   

State Street Bank & Trust Co.

    CAD      363       USD      275       11/13/15      3,151   

State Street Bank & Trust Co.

    CHF      107       USD      110       11/13/15      344   

State Street Bank & Trust Co.

    CHF      209       USD      215       11/13/15      (224 ) 

State Street Bank & Trust Co.

    EUR      2,039       USD      2,232       11/13/15      (47,584 ) 

State Street Bank & Trust Co.

    EUR      622       USD      710       11/13/15      14,737   

Counterparty

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

State Street Bank & Trust Co.

    GBP      300       USD      460       11/13/15    $ 5,887   

State Street Bank & Trust Co.

    ILS      677       USD      177       11/13/15      4,717   

State Street Bank & Trust Co.

    JPY      38,259       USD      313       11/13/15      (6,313 ) 

State Street Bank & Trust Co.

    JPY      23,394       USD      195       11/13/15      125   

State Street Bank & Trust Co.

    SEK      2,363       USD      278       11/13/15      (4,174 ) 

State Street Bank & Trust Co.

    USD      156       AUD      213       11/13/15      (6,532 ) 

State Street Bank & Trust Co.

    USD      74       CAD      97       11/13/15      (1,205 ) 

State Street Bank & Trust Co.

    USD      539       CHF      526       11/13/15      1,641   

State Street Bank & Trust Co.

    USD      189       CHF      183       11/13/15      (664 ) 

State Street Bank & Trust Co.

    USD      79       CNY      507       11/13/15      232   

State Street Bank & Trust Co.

    USD      396       EUR      359       11/13/15      5,093   

State Street Bank & Trust Co.

    USD      180       EUR      161       11/13/15      (44 ) 

State Street Bank & Trust Co.

    USD      640       GBP      414       11/13/15      (13,809 ) 

State Street Bank & Trust Co.

    USD      512       HKD      3,968       11/13/15      191   

State Street Bank & Trust Co.

    USD      617       JPY      74,305       11/13/15      2,917   

State Street Bank & Trust Co.

    USD      66       KRW      78,597       11/13/15      523   

State Street Bank & Trust Co.

    USD      204       NOK      1,686       11/13/15      (5,808 ) 

State Street Bank & Trust Co.

    USD      1,074       SEK      9,336       11/13/15      42,054   

State Street Bank & Trust Co.

    CAD      273       USD      205       12/15/15      359   

State Street Bank & Trust Co.

    EUR      133       USD      149       12/15/15      (60 ) 

State Street Bank & Trust Co.

    EUR      250       USD      282       12/15/15      2,721   

State Street Bank & Trust Co.

    JPY      19,980       USD      167       12/15/15      230   

State Street Bank & Trust Co.

    NOK      1,045       USD      127       12/15/15      4,270   

State Street Bank & Trust Co.

    SEK      1,626       USD      192       12/15/15      (2,694 ) 

State Street Bank & Trust Co.

    USD      326       JPY      38,985       12/15/15      (257 ) 

State Street Bank & Trust Co.

    USD      278       JPY      33,471       12/15/15      1,340   

UBS AG

    USD      586       EUR      525       11/13/15      1,262   

UBS AG

    USD      367       GBP      239       12/15/15      (5,889 ) 
                 

 

 

  
   $ 13,057   
                 

 

 

  

 

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

 

Clearing Broker/(Exchange) & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Implied Credit
Spread at
September 30, 2015		     Notional
Amount
(000)		      Market
Value		     Unrealized
Appreciation/
(Depreciation)		  

Buy Contracts

            

Morgan Stanley & Co., LLC/(INTRCONX):

            

CDX-NAHY Series 21, 5 Year Index, 12/20/18*

      (5.00 )%      3.24 %    $ 2,784       $ (150,555 )    $ (78,322 ) 

CDX-NAIG Series 22, 5 Year Index, 6/20/19*

      (1.00 )      0.75        4,100         (37,520 )      5,615   
         

 

 

    

 

 

  
          $ (188,075 )    $ (72,707 ) 
         

 

 

    

 

 

  

 

* Termination date

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 Group)

     CAD        6,090      3/10/17   0.973%   3 Month CDOR   $ (14,928 ) 

Morgan Stanley & Co., LLC/(CME Group)

     AUD        8,060      3/11/17   2.140%   3 Month BBSW     (14,945 ) 

Morgan Stanley & Co., LLC/(CME Group)

     CAD        5,740      6/05/17   1.054%   3 Month CDOR     (22,021 ) 

Morgan Stanley & Co., LLC/(CME Group)

     NZD        11,300      6/09/17   3.366%   3 Month BKBM     (145,759 ) 

Morgan Stanley & Co., LLC/(CME Group)

     AUD        7,220      6/09/17   2.218%   3 Month BBSW     (22,235 ) 

Morgan Stanley & Co., LLC/(CME Group)

     GBP        2,090      6/05/20   6 Month LIBOR   1.651%     49,941   

Morgan Stanley & Co., LLC/(CME Group)

     AUD        1,230      3/11/25   6 Month BBSW   2.973%     7,978   

Morgan Stanley & Co., LLC/(CME Group)

     NZD        1,320      6/09/25   3 Month BKBM   4.068%     51,102   

Morgan Stanley & Co., LLC/(CME Group)

     AUD        780      6/09/25   6 Month BBSW   3.384%     25,722   

Morgan Stanley & Co., LLC/(CME Group)

     $              430      6/09/25   2.488%   3 Month LIBOR     (22,839 ) 

Morgan Stanley & Co., LLC/(CME Group)

     GBP        190      6/05/45   2.396%   6 Month LIBOR     (23,673 ) 
           

 

 

  
            $ (131,657 ) 
           

 

 

  

CREDIT DEFAULT SWAPS

 

Swap Counterparty & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Implied Credit
Spread at
September 30, 2015		     Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Buy Contracts

              

Citibank, NA:

              

Advanced Micro Devices, Inc.,

              

7.75%, 8/01/20, 3/20/19*

      (5.00 )%      13.46 %    $ 104       $ 22,635      $ 6,454      $ 16,181   

Sprint Communications, Inc.,

              

8.375%, 8/15/17, 6/20/19*

      (5.00 )      7.78        198         16,929        (9,388 )      26,317   

Sprint Communications, Inc.,

              

8.375%, 8/15/17, 6/20/19*

      (5.00 )      7.78        172         14,707        (7,865 )      22,572   

Sale Contracts

              

BNP Paribas:

              

Anadarko Petroleum Corp.,

              

5.95%, 9/15/16, 9/20/17*

      1.00        0.77        530         2,202        (7,075 )      9,277   

Credit Suisse International:

              

Kohl’s Corp.,

              

6.25% 12/15/17, 6/20/19*

      1.00        0.99        39         (47 )      (390 )      343   
         

 

 

    

 

 

    

 

 

  
          $ 56,426      $ (18,264 )    $ 74,690   
         

 

 

    

 

 

    

 

 

  

 

* Termination date

INFLATION (CPI) SWAPS

 

                   Rate Type        

Swap Counterparty

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

Barclays Bank PLC

    $ 1,920         3/04/16         CPI #      1.170 %    $ 6,228   
            

INTEREST RATE SWAPS

 

                   Rate Type         

Swap Counterparty

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

JPMorgan Chase Bank, NA

    $ 1,970         1/30/17         1.059 %      3 Month LIBOR       $ (14,841 ) 

                   Rate Type         

Swap Counterparty

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

JPMorgan Chase Bank, NA

    $ 2,200         2/07/22         2.043 %      3 Month LIBOR       $ (63,599 ) 
             

 

 

  
         $ (78,440 ) 
             

 

 

  

 

(a) Non-income producing security.
(b) Represents entire or partial securities out on loan.
(c) 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 September 30, 2015, the aggregate market value of these securities amounted to $25,555,374 or 7.7% of net assets.
(d) Illiquid security.
(e) Fair valued by the Adviser.
(f) Floating Rate Security. Stated interest rate was in effect at September 30, 2015.
(g) Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.
(h) Variable rate coupon, rate shown as of September 30, 2015.
(i) IO - Interest Only
(j) 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.
(k) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(l) As of September 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $32,798,484 and gross unrealized depreciation of investments was $(15,372,864), resulting in net unrealized appreciation of $17,425,620.
(m) An amount of U.S.$234,533 has been segregated to collateralize margin requirements for the open futures contracts at September 30, 2015.

Currency Abbreviations:

 

AUD    -    Australian Dollar
BRL    -    Brazilian Real
CAD    -    Canadian Dollar
CHF    -    Swiss Franc
CNY    -    Chinese Yuan Renminbi
EUR    -    Euro
GBP    -    Great British Pound
HKD    -    Hong Kong Dollar
ILS    -    Israeli Shekel
JPY    -    Japanese Yen
KRW    -    South Korean Won
NOK    -    Norwegian Krone
NZD    -    New Zealand Dollar
RUB    -    Russian Ruble
SEK    -    Swedish Krona
SGD    -    Singapore Dollar
TWD    -    New Taiwan Dollar
USD    -    United States Dollar

Glossary:

 

ABS    -    Asset-Backed Securities
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
CDX-NAIG     -    North American Investment Grade Credit Default Swap Index
CMBS    -    Commercial Mortgage-Backed Securities
CME    -    Chicago Mercantile Exchange
CPI    -    Consumer Price Index
GDR    -    Global Depositary Receipt
GSE    -    Government-Sponsored Enterprise
INTRCONX     -    Inter-Continental Exchange
LIBOR    -    London Interbank Offered Rates
OJSC    -    Open Joint Stock Company
PJSC    -    Public Joint Stock Company
REG    -    Registered Shares
REIT    -    Real Estate Investment Trust
REMICs    -    Real Estate Mortgage Investment Conduits
TBA    -    To Be Announced
TIPS    -    Treasury Inflation Protected Security

AB Variable Products Series Fund

AB Balanced Wealth Strategy Portfolio

September 30, 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 about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

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

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.

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

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 September 30, 2015:

 

Investments in Securities:

    Level 1      Level 2      Level 3     Total  

Assets:

  

Common Stocks:

         

Consumer Discretionary

    $     22,958,936       $     10,198,724       $             – 0  –    $     33,157,660   

Information Technology

      27,805,728         3,679,832         – 0  –      31,485,560   

Financials

      20,205,684         10,621,800         – 0  –      30,827,484   

Health Care

      20,326,213         3,407,569         – 0  –      23,733,782   

Industrials

      12,026,838         10,473,060         – 0  –      22,499,898   

Consumer Staples

      10,231,598         4,166,077         – 0  –      14,397,675   

Equity: Other

      4,601,276         6,584,239         69,049        11,254,564   

Energy

      7,200,585         1,503,826         – 0  –      8,704,411   

Retail

      3,709,292         3,479,726         – 0  –      7,189,018   

Utilities

      5,284,236         967,090         – 0  –      6,251,326   

Residential

      4,175,414         1,638,705         – 0  –      5,814,119   

Materials

      1,661,358         2,406,675         – 0  –      4,068,033   

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Office

    $ 1,400,909      $ 1,875,874      $ – 0  –    $ 3,276,783   

Telecommunication Services

      885,000        2,273,374        – 0  –      3,158,374   

Lodging

      1,634,300        116,760        – 0  –      1,751,060   

Mortgage

      323,860        – 0  –      – 0  –      323,860   

Financial:Other

      138,416        – 0  –      – 0  –      138,416   

Real Estate

      – 0  –      80,861        – 0  –      80,861   

Corporates - Investment Grade

      – 0  –      33,019,599        – 0  –      33,019,599   

Mortgage Pass-Throughs

      – 0  –      26,462,500        – 0  –      26,462,500   

Asset-Backed Securities

      – 0  –      17,058,725        1,765,164        18,823,889   

Commercial Mortgage-Backed Securities

      – 0  –      10,335,898        3,245,778        13,581,676   

Governments - Treasuries

      – 0  –      9,224,414        – 0  –      9,224,414   

Collateralized Mortgage Obligations

      – 0  –      579,189        6,609,814        7,189,003   

Corporates - Non-Investment Grade

      – 0  –      4,637,368        – 0  –      4,637,368   

Inflation-Linked Securities

      – 0  –      4,147,396        – 0  –      4,147,396   

Quasi-Sovereigns

      – 0  –      1,353,044        – 0  –      1,353,044   

Governments - Sovereign Agencies

      – 0  –      908,276        – 0  –      908,276   

Local Governments - Municipal Bonds

      – 0  –      495,034        – 0  –      495,034   

Emerging Markets - Corporate Bonds

      – 0  –      386,710        – 0  –      386,710   

Preferred Stocks

      170,046        – 0  –      – 0  –      170,046   

Governments - Sovereign Bonds

      – 0  –      91,963        – 0  –      91,963   

Short-Term Investments

      – 0  –      7,455,952        – 0  –      7,455,952   

Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund

      3,747,151        – 0  –      – 0  –      3,747,151   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      148,486,840        179,630,260        11,689,805        339,806,905   

Other Financial Instruments* :

         

Assets:

         

Futures

      45,118        – 0  –      – 0  –      45,118   

Forward Currency Exchange Contracts

      – 0  –      430,264        – 0  –      430,264   

Centrally Cleared Credit Default Swaps

      – 0  –      5,615        – 0  –      5,615   

Centrally Cleared Interest Rate Swaps

      – 0  –      134,743        – 0  –      134,743   

Credit Default Swaps

      – 0  –      74,690        – 0  –      74,690   

Inflation (CPI) Swaps

      – 0  –      6,228        – 0  –      6,228   

Liabilities:

         

Futures

      (185,722 )      – 0  –      – 0  –      (185,722 ) 

Forward Currency Exchange Contracts

      – 0  –      (417,207 )      – 0  –      (417,207 ) 

Centrally Cleared Credit Default Swaps

      – 0  –      (78,322 )      – 0  –      (78,322 ) 

Centrally Cleared Interest Rate Swaps

      – 0  –      (266,400 )      – 0  –      (266,400 ) 

Interest Rate Swaps

      – 0  –      (78,440 )      – 0  –      (78,440 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total^

    $     148,346,236      $     179,441,431      $     11,689,805      $     339,477,472   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
^ There were de minimis transfers under 1% of net assets between Level 1 and Level 2 during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were 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     Asset-Backed
Securities		     Commercial
Mortgage-Backed
Securities		  

Balance as of 12/31/14

    $       83,861      $       2,438,554      $     2,402,381   

Accrued discounts/(premiums)

      – 0  –      4,408        (5,807 ) 

Realized gain (loss)

      – 0  –      (3,587 )      (1,452 ) 

Change in unrealized appreciation/depreciation

      (14,812 )      2,193        (40,645 ) 

Purchases/Payups

      – 0  –      399,572        902,873   

     Common Stocks     Asset-Backed
Securities		     Commercial
Mortgage-Backed
Securities		  

Sales/Paydowns

    $ – 0  –    $ (921,027 )    $ (11,572 ) 

Transfers in to Level 3

      – 0  –      251,658        – 0  – 

Transfers out of Level 3

        (406,607 )      – 0  – 
  

 

 

    

 

 

    

 

 

  

Balance as of 9/30/15

    $ 69,049      $ 1,765,164      $     3,245,778   
  

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from
Investments held as of 9/30/15

    $ (14,812 )    $ (4,806 )    $ (40,645 ) 
  

 

 

    

 

 

    

 

 

  
     Collateralized
Mortgage Obligation		     Total        

Balance as of 12/31/14

    $ 3,905,817      $ 8,830,613     

Accrued discounts/(premiums)

      14,435        13,036     

Realized gain (loss)

      (11,583 )      (16,622 )   

Change in unrealized appreciation/depreciation

      (9,301 )      (62,565 )   

Purchases/Payups

      3,640,439        4,942,884     

Sales/Paydowns

      (929,993 )      (1,862,592 )   

Transfers in to Level 3

      – 0  –      251,658     

Transfers out of Level 3

      – 0  –      (406,607 )   
  

 

 

    

 

 

    

Balance as of 9/30/15

    $     6,609,814      $     11,689,805 +   
  

 

 

    

 

 

    

Net change in unrealized appreciation/depreciation from
Investments held as of 9/30/15

    $ (18,572 )    $ (78,835 )   
  

 

 

    

 

 

    

 

+ There were de minimis transfers under 1% of net assets during the reporting period.

The following presents information about significant unobservable inputs related to the Portfolio’s Level 3 investments at September 30, 2015. Securities priced by third party vendors or using prior transaction are excluded from the following table.

Quantitative Information about Level 3 Fair Value Measurements

 

     Fair Value at
9/30/15		     

Valuation Technique

    Unobservable Input    Range/
Weighted Average		  

Common Stocks

    $ 69,049      

Market Approach

    Last Traded Price adjusted by Hang Seng index
change.		      HKD 1.31 / NA   

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 compare 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).

AB Variable Products Series Fund

AB Dynamic Asset Allocation Portfolio

Portfolio of Investments

September 30, 2015 (unaudited)

 

Company

    Shares        U.S. $ Value  

COMMON STOCKS - 27.4%

  

Financials - 5.8%

  

Banks - 2.6%

  

Aozora Bank Ltd.

      6,000         $ 20,810   

Australia & New Zealand Banking Group Ltd.

      16,735           319,741   

Banca Monte dei Paschi di Siena SpA (a)

      15,452           27,534   

Banco Bilbao Vizcaya Argentaria SA

      38,399           324,695   

Banco Comercial Portugues SA (a)(b)

      230,718           11,275   

Banco de Sabadell SA (b)

      29,722           54,705   

Banco Espirito Santo SA (REG) (a)(c)(d)

      10,016           0   

Banco Popular Espanol SA

      10,844           39,614   

Banco Santander SA

      87,371           464,587   

Bank Hapoalim BM

      4,812           24,215   

Bank Leumi Le-Israel BM (a)

      12,645           47,200   

Bank of America Corp.

      39,445           614,553   

Bank of East Asia Ltd. (The)

      9,600           32,276   

Bank of Ireland (a)

      199,710           78,085   

Bank of Kyoto Ltd. (The)

      2,000           20,342   

Bank of Queensland Ltd.

      3,683           30,151   

Bank of Yokohama Ltd. (The)

      5,000           30,390   

Bankia SA

      22,531           29,242   

Bankinter SA (b)

      3,048           22,455   

Barclays PLC

      99,698           368,961   

BB&T Corp.

      2,700           96,120   

Bendigo & Adelaide Bank Ltd.

      3,446           24,083   

BNP Paribas SA

      6,431           378,619   

BOC Hong Kong Holdings Ltd.

      22,500           66,213   

CaixaBank SA

      13,908           53,674   

Chiba Bank Ltd. (The)

      3,000           21,303   

Citigroup, Inc.

      11,379           564,512   

Comerica, Inc.

      650           26,715   

Commerzbank AG (a)

      6,474           68,377   

Commonwealth Bank of Australia

      10,271           527,195   

Credit Agricole SA

      6,256           72,024   

Danske Bank A/S

      3,980           120,277   

DBS Group Holdings Ltd.

      10,000           114,143   

DNB ASA

      5,944           77,357   

Erste Group Bank AG (a)

      1,696           49,287   

Fifth Third Bancorp

      3,090           58,432   

Fukuoka Financial Group, Inc.

      4,000           19,051   

Gunma Bank Ltd. (The)

      4,000           25,602   

Hachijuni Bank Ltd. (The)

      4,000           28,393   

Hang Seng Bank Ltd.

      4,600           83,036   

Hiroshima Bank Ltd. (The)

      5,000           28,896   

HSBC Holdings PLC

      116,255           876,994   

Huntington Bancshares, Inc./OH

      3,015           31,959   

ING Groep NV

      22,105           312,457   

Intesa Sanpaolo SpA

      70,654           249,599   

Iyo Bank Ltd. (The)

      2,000           22,991   

Joyo Bank Ltd. (The)

      3,000           15,805   

JPMorgan Chase & Co.

      14,115           860,592   

KBC Groep NV

      1,520           96,128   

KeyCorp

      3,275           42,608   

Lloyds Banking Group PLC

      346,648           394,645   

M&T Bank Corp.

      515           62,804   

Mitsubishi UFJ Financial Group, Inc.

      77,400           467,669   

Mizrahi Tefahot Bank Ltd.

      973           11,505   

Mizuho Financial Group, Inc.

      140,100           262,071   

Company

    Shares        U.S. $ Value  

National Australia Bank Ltd.

      15,512           328,279   

Natixis SA

      9,006           49,864   

Nordea Bank AB

      18,440           205,726   

Oversea-Chinese Banking Corp., Ltd.

      18,000           111,461   

People’s United Financial, Inc.

      1,015           15,966   

PNC Financial Services Group, Inc. (The)

      2,030           181,076   

Raiffeisen Bank International AG (a)

      718           9,436   

Regions Financial Corp.

      5,025           45,275   

Resona Holdings, Inc.

      13,400           68,276   

Royal Bank of Scotland Group PLC (a)

      15,350           73,236   

Seven Bank Ltd.

      5,324           23,043   

Shinsei Bank Ltd.

      12,000           24,668   

Shizuoka Bank Ltd. (The)

      4,000           40,143   

Skandinaviska Enskilda Banken AB-Class A

      9,222           98,631   

Societe Generale SA

      4,399           196,596   

Standard Chartered PLC

      14,996           145,535   

Sumitomo Mitsui Financial Group, Inc.

      7,700           291,986   

Sumitomo Mitsui Trust Holdings, Inc.

      20,000           73,301   

SunTrust Banks, Inc.

      1,990           76,098   

Suruga Bank Ltd.

      1,000           18,607   

Svenska Handelsbanken AB-Class A

      6,684           95,881   

Swedbank AB-Class A

      4,044           89,455   

UniCredit SpA

      26,697           166,434   

Unione di Banche Italiane SCpA

      5,202           36,911   

United Overseas Bank Ltd.

      8,000           104,457   

US Bancorp

      6,765           277,433   

Wells Fargo & Co.

      17,825           915,314   

Westpac Banking Corp.

      18,875           396,505   

Zions Bancorporation

      730           20,104   
       

 

 

  
          12,951,664   
       

 

 

  

Capital Markets - 0.6%

        

3i Group PLC

      7,720           54,533   

Aberdeen Asset Management PLC

      5,585           25,088   

Affiliated Managers Group, Inc. (a)

      207           35,395   

Ameriprise Financial, Inc.

      695           75,845   

Bank of New York Mellon Corp. (The)

      4,215           165,017   

BlackRock, Inc.-Class A

      477           141,893   

Charles Schwab Corp. (The)

      4,290           122,522   

Credit Suisse Group AG (REG) (a)

      9,269           222,797   

Daiwa Securities Group, Inc.

      10,000           64,705   

Deutsche Bank AG (REG)

      8,374           225,991   

E*TRADE Financial Corp. (a)

      1,020           26,857   

Franklin Resources, Inc.

      1,470           54,772   

Goldman Sachs Group, Inc. (The)

      1,538           267,243   

Hargreaves Lansdown PLC

      1,481           27,085   

ICAP PLC

      4,211           29,166   

Invesco Ltd.

      1,580           49,343   

Investec PLC

      2,464           18,867   

Julius Baer Group Ltd. (a)

      1,220           55,403   

Legg Mason, Inc.

      360           14,980   

Macquarie Group Ltd.

      1,755           95,112   

Mediobanca SpA

      12,965           127,559   

Morgan Stanley

      5,720           180,180   

Nomura Holdings, Inc.

      22,000           127,696   

Northern Trust Corp.

      810           55,210   

Partners Group Holding AG

      158           53,552   

Schroders PLC

      729           30,977   

State Street Corp.

      1,585           106,528   

Company

    Shares        U.S. $ Value  

T Rowe Price Group, Inc.

      975           67,762   

UBS Group AG

      22,171           409,900   
       

 

 

  
          2,931,978   
       

 

 

  

Consumer Finance - 0.1%

        

Acom Co., Ltd. (a)

      6,200           31,724   

AEON Financial Service Co., Ltd.

      800           15,829   

American Express Co.

      3,360           249,077   

Capital One Financial Corp.

      2,113           153,235   

Credit Saison Co., Ltd.

      700           12,717   

Discover Financial Services

      1,710           88,903   

Navient Corp.

      1,500           16,860   
       

 

 

  
          568,345   
       

 

 

  

Diversified Financial Services - 0.5%

        

ASX Ltd.

      1,453           38,792   

Berkshire Hathaway, Inc.-Class B (a)

      7,244           944,618   

CME Group, Inc./IL-Class A

      1,200           111,288   

Deutsche Boerse AG

      1,511           130,315   

Eurazeo SA

      1,243           82,789   

EXOR SpA

      1,279           55,758   

Groupe Bruxelles Lambert SA

      360           27,167   

Hong Kong Exchanges and Clearing Ltd.

      6,700           153,618   

Industrivarden AB-Class C

      996           17,495   

Intercontinental Exchange, Inc.

      466           109,505   

Investment AB Kinnevik-Class B

      2,015           57,599   

Investor AB-Class B

      1,705           58,586   

Japan Exchange Group, Inc.

      3,166           46,281   

Leucadia National Corp.

      1,105           22,387   

London Stock Exchange Group PLC

      1,899           69,606   

McGraw Hill Financial, Inc.

      1,010           87,365   

Mitsubishi UFJ Lease & Finance Co., Ltd.

      3,500           15,419   

Moody’s Corp.

      695           68,249   

Nasdaq, Inc.

      410           21,865   

ORIX Corp.

      8,040           103,711   

Pargesa Holding SA

      255           14,965   

Singapore Exchange Ltd.

      10,000           49,469   

Wendel SA

      398           46,664   
       

 

 

  
          2,333,511   
       

 

 

  

Insurance - 1.1%

        

ACE Ltd.

      1,285           132,869   

Admiral Group PLC

      819           18,627   

Aegon NV

      27,440           157,345   

Aflac, Inc.

      1,705           99,112   

Ageas

      1,646           67,645   

AIA Group Ltd.

      73,125           380,305   

Allianz SE (REG)

      2,771           435,304   

Allstate Corp. (The)

      1,600           93,184   

American International Group, Inc.

      5,352           304,101   

AMP Ltd.

      17,956           70,524   

Aon PLC

      1,115           98,800   

Assicurazioni Generali SpA

      5,214           95,396   

Assurant, Inc.

      260           20,543   

Aviva PLC

      24,265           165,962   

Baloise Holding AG (REG)

      277           31,745   

Chubb Corp. (The)

      910           111,611   

Cincinnati Financial Corp.

      560           30,128   

CNP Assurances

      4,544           63,138   

Company

    Shares        U.S. $ Value  

Dai-ichi Life Insurance Co., Ltd. (The)

      6,545           104,195   

Direct Line Insurance Group PLC

      9,978           56,617   

Genworth Financial, Inc.-Class A (a)

      1,785           8,247   

Gjensidige Forsikring ASA

      1,333           17,948   

Hannover Rueck SE (REG)

      377           38,616   

Hartford Financial Services Group, Inc. (The)

      1,675           76,682   

Insurance Australia Group Ltd.

      10,333           35,330   

Legal & General Group PLC

      36,049           129,984   

Lincoln National Corp.

      990           46,985   

Loews Corp.

      1,140           41,200   

Mapfre SA

      10,570           27,639   

Marsh & McLennan Cos., Inc.

      2,040           106,529   

Medibank Pvt Ltd.

      33,575           57,199   

MetLife, Inc.

      4,220           198,973   

MS&AD Insurance Group Holdings, Inc.

      3,100           83,173   

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (REG)

      1,050           196,103   

Old Mutual PLC

      29,782           85,351   

Principal Financial Group, Inc.

      1,040           49,234   

Progressive Corp. (The)

      1,995           61,127   

Prudential Financial, Inc.

      1,715           130,700   

Prudential PLC

      15,581           328,705   

QBE Insurance Group Ltd.

      8,147           74,193   

RSA Insurance Group PLC

      7,994           48,735   

Sampo Oyj-Class A

      2,714           131,350   

SCOR SE

      1,611           57,851   

Sompo Japan Nipponkoa Holdings, Inc.

      2,000           58,090   

Sony Financial Holdings, Inc.

      875           14,361   

St James’s Place PLC

      3,195           41,120   

Standard Life PLC

      11,878           69,761   

Suncorp Group Ltd.

      7,811           67,195   

Swiss Life Holding AG (a)

      249           55,543   

Swiss Re AG

      2,138           183,434   

T&D Holdings, Inc.

      2,600           30,711   

Tokio Marine Holdings, Inc.

      4,200           156,912   

Torchmark Corp.

      502           28,313   

Travelers Cos., Inc. (The)

      1,280           127,398   

Tryg A/S

      795           15,446   

UnipolSai SpA

      4,035           8,774   

Unum Group

      920           29,514   

XL Group PLC

      960           34,867   

Zurich Insurance Group AG (a)

      907           222,674   
       

 

 

  
          5,713,118   
       

 

 

  

Real Estate Investment Trusts (REITs) - 0.6%

        

American Tower Corp.

      1,515           133,290   

Apartment Investment & Management Co.-Class A

      525           19,435   

AvalonBay Communities, Inc.

      495           86,536   

Boston Properties, Inc.

      600           71,040   

British Land Co. PLC (The)

      5,864           74,471   

CapitaLand Mall Trust

      14,000           18,720   

Crown Castle International Corp.

      1,270           100,165   

Dexus Property Group

      3,880           19,567   

Equinix, Inc.

      215           58,781   

Equity Residential

      1,340           100,661   

Essex Property Trust, Inc.

      228           50,940   

Federation Centres

      48,865           94,360   

Fonciere Des Regions

      933           81,353   

Company

    Shares        U.S. $ Value  

Gecina SA

      253           30,854   

General Growth Properties, Inc.

      2,344           60,874   

Goodman Group

      10,596           43,799   

GPT Group (The)

      6,698           21,287   

Hammerson PLC

      4,761           44,956   

HCP, Inc.

      1,680           62,580   

Host Hotels & Resorts, Inc.

      2,750           43,477   

ICADE

      449           30,464   

Intu Properties PLC

      5,825           29,074   

Iron Mountain, Inc.

      658           20,411   

Japan Prime Realty Investment Corp.

      7           22,755   

Japan Real Estate Investment Corp.

      8           36,850   

Japan Retail Fund Investment Corp.

      15           29,023   

Kimco Realty Corp.

      1,480           36,156   

Klepierre

      1,311           59,418   

Land Securities Group PLC

      4,798           91,469   

Link REIT

      10,500           57,671   

Macerich Co. (The)

      510           39,178   

Mirvac Group

      40,488           49,159   

Nippon Building Fund, Inc.

      9           43,549   

Nippon Prologis REIT, Inc.

      5           9,072   

Plum Creek Timber Co., Inc.

      630           24,891   

Prologis, Inc.

      1,870           72,743   

Public Storage

      580           122,745   

Realty Income Corp. (b)

      858           40,661   

Scentre Group

      33,577           92,414   

Segro PLC

      3,337           21,711   

Simon Property Group, Inc.

      1,166           214,217   

SL Green Realty Corp.

      376           40,668   

Stockland

      14,259           38,739   

Unibail-Rodamco SE

      613           158,880   

United Urban Investment Corp.

      12           16,026   

Ventas, Inc.

      1,091           61,161   

Vornado Realty Trust

      685           61,938   

Welltower, Inc. (b)

      1,225           82,479   

Westfield Corp.

      9,308           65,498   

Weyerhaeuser Co.

      1,940           53,040   
       

 

 

  
          2,939,206   
       

 

 

  

Real Estate Management & Development - 0.3%

        

Aeon Mall Co., Ltd.

      1,700           26,114   

CapitaLand Ltd.

      35,000           66,088   

CBRE Group, Inc.-Class A (a)

      1,015           32,480   

Cheung Kong Property Holdings Ltd.

      14,840           108,723   

City Developments Ltd.

      3,000           16,255   

Daito Trust Construction Co., Ltd.

      400           40,642   

Daiwa House Industry Co., Ltd.

      4,000           99,163   

Deutsche Wohnen AG

      1,334           35,677   

Global Logistic Properties Ltd.

      30,422           43,738   

Hang Lung Properties Ltd.

      14,000           31,491   

Henderson Land Development Co., Ltd.

      5,324           31,905   

Hulic Co., Ltd.

      2,197           19,875   

Kerry Properties Ltd.

      8,500           23,338   

Lend Lease Group

      3,450           30,543   

Mitsubishi Estate Co., Ltd.

      8,000           163,420   

Mitsui Fudosan Co., Ltd.

      6,000           164,468   

New World Development Co., Ltd.

      22,000           21,397   

Nomura Real Estate Holdings, Inc.

      800           16,083   

NTT Urban Development Corp. (b)

      1,600           14,743   

Company

    Shares        U.S. $ Value  

Sino Land Co., Ltd.

      16,000           24,486   

Sumitomo Realty & Development Co., Ltd.

      2,000           63,655   

Sun Hung Kai Properties Ltd.

      10,000           130,433   

Swire Pacific Ltd.-Class A

      2,000           22,456   

Swire Properties Ltd.

      25,389           70,864   

Tokyo Tatemono Co., Ltd.

      1,500           17,885   

Tokyu Fudosan Holdings Corp.

      2,000           13,307   

Vonovia SE

      2,725           87,707   

Wharf Holdings Ltd. (The)

      13,000           73,520   

Wheelock & Co., Ltd.

      6,000           26,096   
       

 

 

  
          1,516,552   
       

 

 

  

Thrifts & Mortgage Finance - 0.0%

        

Hudson City Bancorp, Inc.

      1,730           17,594   
       

 

 

  
          28,971,968   
       

 

 

  

Health Care - 3.6%

        

Biotechnology - 0.5%

        

Actelion Ltd. (REG) (a)

      608           77,274   

Alexion Pharmaceuticals, Inc. (a)

      780           121,984   

Amgen, Inc.

      2,853           394,627   

Baxalta, Inc.

      2,030           63,965   

Biogen, Inc. (a)

      915           267,006   

Celgene Corp. (a)

      3,030           327,755   

CSL Ltd.

      2,881           181,311   

Gilead Sciences, Inc.

      5,680           557,719   

Grifols SA

      757           31,299   

Regeneron Pharmaceuticals, Inc. (a)

      290           134,891   

Vertex Pharmaceuticals, Inc. (a)

      907           94,455   
       

 

 

  
          2,252,286   
       

 

 

  

Health Care Equipment & Supplies - 0.4%

        

Abbott Laboratories

      5,615           225,835   

Baxter International, Inc.

      2,030           66,686   

Becton Dickinson and Co.

      787           104,403   

Boston Scientific Corp. (a)

      4,860           79,753   

Coloplast A/S-Class B

      496           35,166   

CR Bard, Inc.

      315           58,688   

DENTSPLY International, Inc.

      530           26,802   

Edwards Lifesciences Corp. (a)

      395           56,157   

Essilor International SA

      1,241           151,611   

Getinge AB-Class B

      2,013           44,929   

Hoya Corp.

      2,600           85,155   

Intuitive Surgical, Inc. (a)

      155           71,235   

Medtronic PLC

      5,309           355,384   

Olympus Corp.

      1,500           46,797   

Smith & Nephew PLC

      5,421           94,711   

Sonova Holding AG (REG)

      351           45,198   

St Jude Medical, Inc.

      1,065           67,191   

Stryker Corp.

      1,125           105,863   

Sysmex Corp.

      700           36,968   

Terumo Corp.

      1,400           39,624   

Varian Medical Systems, Inc. (a)

      395           29,143   

William Demant Holding A/S (a)

      81           6,729   

Zimmer Biomet Holdings, Inc.

      635           59,646   
       

 

 

  
          1,893,674   
       

 

 

  

Company

    Shares        U.S. $ Value  

Health Care Providers & Services - 0.4%

  

Aetna, Inc.

      1,317           144,093   

AmerisourceBergen Corp.-Class A

      785           74,567   

Anthem, Inc.

      1,050           147,000   

Cardinal Health, Inc.

      1,245           95,641   

Cigna Corp.

      1,015           137,045   

DaVita HealthCare Partners, Inc. (a)

      650           47,015   

Express Scripts Holding Co. (a)

      2,789           225,797   

Fresenius Medical Care AG & Co. KGaA

      1,318           103,008   

Fresenius SE & Co. KGaA

      2,298           154,260   

HCA Holdings, Inc. (a)

      1,150           88,964   

Healthscope Ltd.

      13,458           24,189   

Henry Schein, Inc. (a)

      320           42,470   

Humana, Inc.

      565           101,135   

Laboratory Corp. of America Holdings (a)

      325           35,253   

McKesson Corp.

      865           160,051   

Medipal Holdings Corp.

      1,500           23,800   

Patterson Cos., Inc.

      310           13,408   

Quest Diagnostics, Inc.

      550           33,809   

Ramsay Health Care Ltd.

      1,156           47,678   

Ryman Healthcare Ltd.

      3,027           14,178   

Sonic Healthcare Ltd.

      1,715           22,059   

Suzuken Co., Ltd./Aichi Japan

      600           20,008   

Tenet Healthcare Corp. (a)

      343           12,664   

UnitedHealth Group, Inc.

      3,635           421,696   

Universal Health Services, Inc.-Class B

      350           43,684   
       

 

 

  
          2,233,472   
       

 

 

  

Health Care Technology - 0.0%

        

Cerner Corp. (a)

      1,130           67,755   

M3, Inc.

      1,200           23,847   
       

 

 

  
          91,602   
       

 

 

  

Life Sciences Tools & Services - 0.1%

        

Agilent Technologies, Inc.

      1,245           42,741   

Lonza Group AG (REG) (a)

      385           50,518   

PerkinElmer, Inc.

      405           18,614   

QIAGEN NV (a)

      2,306           59,484   

Thermo Fisher Scientific, Inc.

      1,485           181,586   

Waters Corp. (a)

      345           40,782   
       

 

 

  
          393,725   
       

 

 

  

Pharmaceuticals - 2.2%

        

AbbVie, Inc.

      6,566           357,256   

Allergan PLC (a)

      1,446           393,037   

Astellas Pharma, Inc.

      13,000           168,273   

AstraZeneca PLC

      7,665           486,103   

Bayer AG

      5,020           644,058   

Bristol-Myers Squibb Co.

      6,215           367,928   

Chugai Pharmaceutical Co., Ltd.

      1,000           30,713   

Daiichi Sankyo Co., Ltd. (b)

      3,900           67,673   

Eisai Co., Ltd.

      1,500           88,502   

Eli Lilly & Co.

      3,665           306,724   

Endo International PLC (a)

      583           40,390   

GlaxoSmithKline PLC

      29,442           565,106   

Company

    Shares        U.S. $ Value  

Hisamitsu Pharmaceutical Co., Inc.

      300           10,031   

Johnson & Johnson

      10,605           989,977   

Kyowa Hakko Kirin Co., Ltd. (b)

      4,000           59,631   

Mallinckrodt PLC (a)

      424           27,111   

Merck & Co., Inc.

      10,805           533,659   

Merck KGaA

      785           69,501   

Mitsubishi Tanabe Pharma Corp.

      1,000           17,648   

Mylan NV (a)(b)

      1,405           56,565   

Novartis AG (REG)

      13,965           1,283,549   

Novo Nordisk A/S-Class B

      12,184           657,504   

Ono Pharmaceutical Co., Ltd.

      400           47,426   

Orion Oyj-Class B

      465           17,596   

Otsuka Holdings Co., Ltd.

      2,371           75,710   

Perrigo Co. PLC

      522           82,095   

Pfizer, Inc.

      23,786           747,118   

Roche Holding AG

      4,265           1,132,236   

Sanofi

      7,220           687,344   

Santen Pharmaceutical Co., Ltd.

      2,500           33,564   

Shionogi & Co., Ltd.

      1,800           64,521   

Shire PLC

      3,579           244,667   

Sumitomo Dainippon Pharma Co., Ltd. (b)

      1,400           13,996   

Taisho Pharmaceutical Holdings Co., Ltd.

      567           32,596   

Takeda Pharmaceutical Co., Ltd.

      4,800           210,587   

Teva Pharmaceutical Industries Ltd.

      5,202           293,986   

UCB SA

      769           60,246   

Zoetis, Inc.

      1,846           76,018   
       

 

 

  
          11,040,645   
       

 

 

  
          17,905,404   
       

 

 

  

Consumer Discretionary - 3.6%

        

Auto Components - 0.2%

        

Aisin Seiki Co., Ltd.

      900           30,197   

BorgWarner, Inc.

      830           34,520   

Bridgestone Corp.

      3,900           134,964   

Cie Generale des Etablissements Michelin-Class B

      1,132           103,572   

Continental AG

      668           142,675   

Delphi Automotive PLC

      1,141           86,762   

Denso Corp.

      3,000           127,077   

GKN PLC

      9,965           40,476   

Goodyear Tire & Rubber Co. (The)

      1,010           29,623   

Johnson Controls, Inc.

      2,480           102,573   

Koito Manufacturing Co., Ltd.

      1,000           32,676   

NGK Spark Plug Co., Ltd.

      1,000           22,956   

NOK Corp.

      700           15,145   

Nokian Renkaat Oyj

      503           16,283   

Stanley Electric Co., Ltd.

      1,600           31,923   

Sumitomo Electric Industries Ltd.

      4,600           58,848   

Sumitomo Rubber Industries Ltd.

      1,200           16,657   

Toyota Industries Corp.

      1,000           47,569   

Valeo SA

      339           46,028   

Yokohama Rubber Co., Ltd. (The)

      1,000           17,637   
       

 

 

  
          1,138,161   
       

 

 

  

Automobiles - 0.6%

        

Bayerische Motoren Werke AG

      2,010           175,358   

Daihatsu Motor Co., Ltd. (b)

      1,000           11,567   

Daimler AG (REG)

      5,845           425,534   

Company

    Shares        U.S. $ Value  

Fiat Chrysler Automobiles NV (a)

      5,720           74,346   

Ford Motor Co.

      14,470           196,358   

Fuji Heavy Industries Ltd.

      4,000           143,938   

General Motors Co.

      5,016           150,580   

Harley-Davidson, Inc.

      800           43,920   

Honda Motor Co., Ltd.

      9,900           295,482   

Isuzu Motors Ltd.

      3,500           35,147   

Mazda Motor Corp.

      3,200           50,564   

Mitsubishi Motors Corp.

      3,400           26,004   

Nissan Motor Co., Ltd.

      15,100           138,839   

Peugeot SA (a)

      2,295           34,775   

Porsche Automobil Holding SE (Preference Shares)

      684           29,101   

Renault SA

      1,169           84,347   

Suzuki Motor Corp.

      2,200           67,650   

Toyota Motor Corp.

      16,600           971,895   

Volkswagen AG

      140           16,495   

Volkswagen AG (Preference Shares)

      987           108,420   

Yamaha Motor Co., Ltd.

      1,200           24,142   
       

 

 

  
          3,104,462   
       

 

 

  

Distributors - 0.0%

        

Genuine Parts Co.

      560           46,419   

Jardine Cycle & Carriage Ltd.

      1,000           19,000   
       

 

 

  
          65,419   
       

 

 

  

Diversified Consumer Services - 0.0%

        

Benesse Holdings, Inc. (b)

      300           8,021   

H&R Block, Inc.

      1,020           36,924   
       

 

 

  
          44,945   
       

 

 

  

Hotels, Restaurants & Leisure - 0.4%

        

Accor SA

      750           35,165   

Carnival Corp.

      1,685           83,745   

Carnival PLC

      1,116           57,738   

Chipotle Mexican Grill, Inc.-Class A (a)

      144           103,716   

Compass Group PLC

      10,184           162,668   

Crown Resorts Ltd.

      2,537           17,745   

Darden Restaurants, Inc.

      470           32,214   

Flight Centre Travel Group Ltd. (b)

      471           11,997   

Galaxy Entertainment Group Ltd.

      8,911           22,824   

Genting Singapore PLC

      22,000           11,237   

InterContinental Hotels Group PLC

      1,433           49,645   

Marriott International, Inc./MD - Class A

      795           54,219   

McDonald’s Corp.

      3,680           362,590   

McDonald’s Holdings Co. Japan Ltd.

      500           11,223   

Merlin Entertainments PLC (e)

      3,228           18,188   

MGM China Holdings Ltd.

      14,013           16,324   

Oriental Land Co., Ltd./Japan

      1,200           67,012   

Royal Caribbean Cruises Ltd.

      627           55,859   

Sands China Ltd.

      10,875           32,962   

SJM Holdings Ltd. (b)

      13,014           9,282   

Sodexo SA

      572           47,461   

Starbucks Corp.

      5,620           319,441   

Starwood Hotels & Resorts Worldwide, Inc.

      695           46,204   

Tatts Group Ltd.

      15,121           40,119   

TUI AG

      3,700           68,363   

Company

    Shares        U.S. $ Value  

Whitbread PLC

      1,102           78,073   

William Hill PLC

      3,391           18,035   

Wyndham Worldwide Corp.

      450           32,355   

Wynn Macau Ltd. (b)

      35,799           40,958   

Wynn Resorts Ltd. (b)

      310           16,467   

Yum! Brands, Inc.

      1,645           131,518   
       

 

 

  
          2,055,347   
       

 

 

  

Household Durables - 0.2%

        

Barratt Developments PLC

      6,033           58,930   

Casio Computer Co., Ltd. (b)

      800           14,561   

DR Horton, Inc.

      1,205           35,379   

Electrolux AB-Class B

      2,430           68,664   

Garmin Ltd.

      470           16,864   

Harman International Industries, Inc.

      240           23,038   

Iida Group Holdings Co., Ltd.

      2,879           45,040   

Leggett & Platt, Inc.

      475           19,594   

Lennar Corp.-Class A

      650           31,285   

Mohawk Industries, Inc. (a)

      250           45,447   

Newell Rubbermaid, Inc.

      1,025           40,703   

Nikon Corp. (b)

      1,500           18,140   

Panasonic Corp.

      13,400           135,610   

Persimmon PLC (a)

      1,857           56,520   

PulteGroup, Inc.

      1,235           23,304   

Rinnai Corp.

      200           15,259   

Sekisui Chemical Co., Ltd.

      2,000           21,051   

Sekisui House Ltd.

      3,000           46,992   

Sharp Corp./Japan (a)(b)

      9,000           10,322   

Sony Corp.

      7,100           174,036   

Taylor Wimpey PLC

      19,787           58,624   

Whirlpool Corp.

      300           44,178   
       

 

 

  
          1,003,541   
       

 

 

  

Internet & Catalog Retail - 0.3%

        

Amazon.com, Inc. (a)

      1,430           732,003   

Expedia, Inc.

      382           44,954   

Netflix, Inc. (a)

      1,582           163,357   

Priceline Group, Inc. (The) (a)

      197           243,662   

Rakuten, Inc.

      4,835           61,803   

TripAdvisor, Inc. (a)

      412           25,964   
       

 

 

  
          1,271,743   
       

 

 

  

Leisure Products - 0.0%

        

Bandai Namco Holdings, Inc.

      900           20,888   

Hasbro, Inc.

      400           28,856   

Mattel, Inc.

      1,235           26,009   

Sankyo Co., Ltd. (b)

      300           10,673   

Sega Sammy Holdings, Inc.

      2,500           24,397   

Shimano, Inc.

      400           56,198   
       

 

 

  
          167,021   
       

 

 

  

Media - 0.8%

        

Altice NV-Class A (a)

      3,528           73,817   

Altice NV-Class B (a)

      1,176           26,235   

Axel Springer SE

      401           22,424   

Company

    Shares        U.S. $ Value  

Cablevision Systems Corp.-Class A

      780           25,327   

CBS Corp.-Class B

      1,790           71,421   

Comcast Corp.-Class A

      8,177           465,108   

Comcast Corp.-Special Class A (b)

      1,424           81,510   

Dentsu, Inc.

      1,300           66,716   

Discovery Communications, Inc.-Class A (a)(b)

      545           14,186   

Discovery Communications, Inc.-Class C (a)

      995           24,169   

Eutelsat Communications SA

      1,052           32,266   

Hakuhodo DY Holdings, Inc.

      2,490           23,607   

Interpublic Group of Cos., Inc. (The)

      1,495           28,599   

ITV PLC

      23,254           86,655   

JCDecaux SA

      1,374           49,946   

Kabel Deutschland Holding AG (a)

      410           53,467   

Lagardere SCA

      2,184           60,517   

News Corp.-Class A

      1,808           22,817   

News Corp.-Class B

      417           5,346   

Numericable-SFR SAS (a)

      770           35,647   

Omnicom Group, Inc.

      960           63,264   

Pearson PLC

      4,977           85,071   

ProSiebenSat.1 Media SE (REG)

      1,328           65,186   

Publicis Groupe SA

      807           55,153   

REA Group Ltd. (b)

      1,002           31,378   

RELX NV

      7,786           127,200   

RELX PLC

      6,934           118,928   

RTL Group SA (Germany)

      312           26,919   

Scripps Networks Interactive, Inc.-Class A

      370           18,200   

SES SA

      1,845           58,227   

Singapore Press Holdings Ltd. (b)

      6,000           16,195   

Sky PLC

      6,268           99,166   

TEGNA, Inc.

      800           17,912   

Telenet Group Holding NV (a)

      459           26,367   

Time Warner Cable, Inc.-Class A

      1,065           191,029   

Time Warner, Inc.

      3,195           219,656   

Toho Co., Ltd./Tokyo

      1,000           22,794   

Twenty-First Century Fox, Inc.-Class A

      4,721           127,373   

Twenty-First Century Fox, Inc.-Class B

      1,667           45,126   

Viacom, Inc.-Class B

      1,410           60,841   

Vivendi SA

      7,368           174,560   

Walt Disney Co. (The)

      5,914           604,411   

WPP PLC

      7,999           166,531   
       

 

 

  
          3,691,267   
       

 

 

  

Multiline Retail - 0.2%

        

Dollar General Corp.

      1,120           81,133   

Dollar Tree, Inc. (a)

      838           55,861   

Don Quijote Holdings Co., Ltd.

      1,000           37,676   

Isetan Mitsukoshi Holdings Ltd.

      2,200           33,009   

J Front Retailing Co., Ltd.

      1,500           24,298   

Kohl’s Corp.

      780           36,122   

Macy’s, Inc.

      1,305           66,973   

Marks & Spencer Group PLC

      9,926           75,346   

Next PLC

      931           107,290   

Nordstrom, Inc.

      520           37,289   

Ryohin Keikaku Co., Ltd.

      146           29,727   

Target Corp.

      2,375           186,817   
       

 

 

  
          771,541   
       

 

 

  

 

Company

    Shares        U.S. $ Value  

Specialty Retail - 0.5%

  

ABC-Mart, Inc.

      500           27,952   

Advance Auto Parts, Inc.

      281           53,258   

AutoNation, Inc. (a)

      285           16,581   

AutoZone, Inc. (a)

      125           90,479   

Bed Bath & Beyond, Inc. (a)

      745           42,480   

Best Buy Co., Inc.

      1,050           38,976   

CarMax, Inc. (a)

      820           48,642   

Dixons Carphone PLC

      7,310           46,981   

Dufry AG (REG) (a)

      264           30,912   

Fast Retailing Co., Ltd.

      300           122,028   

GameStop Corp.-Class A (b)

      415           17,102   

Gap, Inc. (The)

      1,005           28,643   

Hennes & Mauritz AB-Class B

      5,764           210,596   

Hikari Tsushin, Inc.

      200           13,999   

Home Depot, Inc. (The)

      5,080           586,689   

Industria de Diseno Textil SA

      6,622           222,045   

Kingfisher PLC

      14,379           78,110   

L Brands, Inc.

      935           84,272   

Lowe’s Cos., Inc.

      3,690           254,315   

Nitori Holdings Co., Ltd.

      400           31,322   

O’Reilly Automotive, Inc. (a)

      390           97,500   

Ross Stores, Inc.

      1,600           77,552   

Sanrio Co., Ltd. (b)

      500           13,658   

Shimamura Co., Ltd.

      200           21,543   

Signet Jewelers Ltd.

      308           41,928   

Sports Direct International PLC (a)

      1,618           18,563   

Staples, Inc.

      2,415           28,328   

Tiffany & Co.

      405           31,274   

TJX Cos., Inc. (The)

      2,570           183,549   

Tractor Supply Co.

      515           43,425   

Urban Outfitters, Inc. (a)

      335           9,842   

USS Co., Ltd.

      1,310           21,788   

Yamada Denki Co., Ltd. (b)

      2,700           10,885   
       

 

 

  
          2,645,217   
       

 

 

  

Textiles, Apparel & Luxury Goods - 0.4%

        

adidas AG

      932           75,145   

Asics Corp.

      1,000           23,834   

Burberry Group PLC

      2,695           55,864   

Christian Dior SE

      331           62,014   

Cie Financiere Richemont SA

      3,169           246,583   

Coach, Inc.

      1,030           29,798   

Fossil Group, Inc. (a)

      169           9,444   

Hanesbrands, Inc.

      1,527           44,191   

Hermes International

      156           56,786   

HUGO BOSS AG

      623           70,050   

Kering

      338           55,329   

Li & Fung Ltd.

      48,000           36,832   

Luxottica Group SpA

      1,559           108,046   

LVMH Moet Hennessy Louis Vuitton SE

      1,695           288,562   

Michael Kors Holdings Ltd. (a)

      759           32,060   

NIKE, Inc.-Class B

      2,660           327,100   

Pandora A/S

      700           81,773   

PVH Corp.

      295           30,072   

Ralph Lauren Corp.

      240           28,358   

Swatch Group AG (The)

      137           50,809   

Company

    Shares        U.S. $ Value  

Swatch Group AG (The) (REG)

      522           37,657   

Under Armour, Inc.-Class A (a)

      647           62,617   

VF Corp.

      1,310           89,355   
       

 

 

  
          1,902,279   
       

 

 

  
          17,860,943   
       

 

 

  

Information Technology - 3.4%

        

Communications Equipment - 0.3%

        

Alcatel-Lucent (a)

      12,407           45,778   

Cisco Systems, Inc.

      19,090           501,113   

F5 Networks, Inc. (a)

      280           32,424   

Harris Corp.

      395           28,894   

Juniper Networks, Inc.

      1,490           38,308   

Motorola Solutions, Inc. (b)

      845           57,781   

Nokia Oyj

      22,736           155,464   

QUALCOMM, Inc.

      6,270           336,887   

Telefonaktiebolaget LM Ericsson-Class B

      18,476           181,243   
       

 

 

  
          1,377,892   
       

 

 

  

Electronic Equipment, Instruments & Components - 0.2%

        

Alps Electric Co., Ltd.

      1,053           29,737   

Amphenol Corp.-Class A

      1,150           58,604   

Citizen Holdings Co., Ltd.

      2,800           19,351   

Corning, Inc.

      4,805           82,262   

FLIR Systems, Inc.

      510           14,275   

Hamamatsu Photonics KK

      1,200           27,157   

Hexagon AB-Class B

      2,435           74,393   

Hirose Electric Co., Ltd.

      300           32,659   

Hitachi High-Technologies Corp.

      600           12,992   

Hitachi Ltd.

      29,000           146,335   

Ingenico Group

      335           40,480   

Keyence Corp.

      300           133,973   

Kyocera Corp.

      1,900           87,020   

Murata Manufacturing Co., Ltd.

      1,200           155,009   

Omron Corp.

      1,200           36,123   

Shimadzu Corp.

      2,000           28,874   

TDK Corp.

      600           33,935   

TE Connectivity Ltd.

      1,510           90,434   

Yaskawa Electric Corp. (b)

      2,000           20,410   

Yokogawa Electric Corp. (b)

      1,100           11,514   
       

 

 

  
          1,135,537   
       

 

 

  

Internet Software & Services - 0.5%

        

Akamai Technologies, Inc. (a)

      655           45,234   

eBay, Inc. (a)

      4,235           103,504   

Facebook, Inc.-Class A (a)

      8,737           785,456   

Google, Inc.-Class A (a)

      1,089           695,185   

Google, Inc.-Class C (a)

      1,144           696,033   

Kakaku.com, Inc. (b)

      961           15,607   

Mixi, Inc. (b)

      409           13,997   

United Internet AG

      1,223           62,004   

VeriSign, Inc. (a)(b)

      425           29,988   

Yahoo Japan Corp.

      6,408           24,395   

Yahoo!, Inc. (a)

      3,465           100,173   
       

 

 

  
          2,571,576   
       

 

 

  

Company

    Shares        U.S. $ Value  

IT Services - 0.6%

        

Accenture PLC-Class A

      2,385           234,350   

Alliance Data Systems Corp. (a)

      230           59,565   

Amadeus IT Holding SA-Class A

      2,581           110,583   

Atos SE

      677           52,039   

Automatic Data Processing, Inc.

      1,820           146,255   

Cap Gemini SA

      854           76,265   

Cognizant Technology Solutions Corp.-Class A (a)

      2,280           142,751   

Computer Sciences Corp.

      540           33,145   

Computershare Ltd.

      3,663           27,353   

Fidelity National Information Services, Inc.

      1,070           71,776   

Fiserv, Inc. (a)

      950           82,280   

Fujitsu Ltd.

      11,000           47,848   

International Business Machines Corp.

      3,476           503,916   

MasterCard, Inc.-Class A

      3,710           334,345   

Nomura Research Institute Ltd.

      660           25,336   

NTT Data Corp.

      500           25,208   

Otsuka Corp.

      600           29,234   

Paychex, Inc.

      1,195           56,918   

PayPal Holdings, Inc. (a)

      4,235           131,454   

Teradata Corp. (a)

      545           15,783   

Total System Services, Inc.

      610           27,712   

Visa, Inc.-Class A

      7,500           522,450   

Western Union Co. (The)-Class W

      1,930           35,435   

Xerox Corp.

      4,045           39,358   
       

 

 

  
          2,831,359   
       

 

 

  

Semiconductors & Semiconductor Equipment - 0.4%

        

Altera Corp.

      1,110           55,589   

Analog Devices, Inc.

      1,180           66,564   

Applied Materials, Inc.

      4,535           66,619   

ARM Holdings PLC

      8,527           122,509   

ASM Pacific Technology Ltd.

      900           5,903   

ASML Holding NV

      1,801           158,313   

Avago Technologies Ltd.

      926           115,759   

Broadcom Corp.-Class A

      2,020           103,889   

Infineon Technologies AG

      4,860           54,604   

Intel Corp.

      18,540           558,796   

KLA-Tencor Corp.

      610           30,500   

Lam Research Corp.

      629           41,093   

Linear Technology Corp.

      890           35,911   

Microchip Technology, Inc. (b)

      745           32,102   

Micron Technology, Inc. (a)

      3,970           59,471   

NVIDIA Corp.

      1,885           46,465   

Qorvo, Inc. (a)

      568           25,588   

Rohm Co., Ltd.

      400           17,788   

Skyworks Solutions, Inc.

      724           60,968   

STMicroelectronics NV (b)

      4,174           28,516   

Texas Instruments, Inc.

      3,975           196,842   

Tokyo Electron Ltd.

      1,000           47,215   

Xilinx, Inc.

      985           41,764   
       

 

 

  
          1,972,768   
       

 

 

  

 

Company

    Shares        U.S. $ Value  

Software - 0.7%

  

Activision Blizzard, Inc.

      1,930           59,618   

Adobe Systems, Inc. (a)

      1,760           144,707   

Autodesk, Inc. (a)

      825           36,415   

CA, Inc.

      1,185           32,351   

Citrix Systems, Inc. (a)

      630           43,646   

COLOPL, Inc. (b)

      1,046           16,824   

Dassault Systemes

      924           68,288   

Electronic Arts, Inc. (a)

      1,135           76,896   

Gemalto NV (b)

      323           20,999   

GungHo Online Entertainment, Inc. (b)

      4,000           11,882   

Intuit, Inc.

      1,050           93,187   

Konami Corp. (b)

      1,300           28,096   

Microsoft Corp.

      30,920           1,368,519   

Nexon Co., Ltd.

      2,595           34,694   

NICE-Systems Ltd.

      596           33,381   

Nintendo Co., Ltd.

      600           101,131   

Oracle Corp.

      12,200           440,664   

Oracle Corp. Japan

      500           21,115   

Red Hat, Inc. (a)

      690           49,597   

Sage Group PLC (The)

      6,586           49,827   

salesforce.com, Inc. (a)

      2,134           148,164   

SAP SE

      5,977           387,212   

Symantec Corp.

      2,555           49,746   

Trend Micro, Inc./Japan

      500           17,662   
       

 

 

  
          3,334,621   
       

 

 

  

Technology Hardware, Storage & Peripherals - 0.7%

        

Apple, Inc.

      22,050           2,432,115   

Brother Industries Ltd.

      800           9,643   

Canon, Inc.

      6,900           199,600   

EMC Corp./MA

      7,555           182,529   

FUJIFILM Holdings Corp.

      2,800           104,670   

Hewlett-Packard Co.

      6,960           178,246   

Konica Minolta, Inc.

      2,000           21,069   

NEC Corp.

      16,000           49,261   

NetApp, Inc.

      1,190           35,224   

Ricoh Co., Ltd. (b)

      4,000           40,372   

SanDisk Corp.

      870           47,267   

Seagate Technology PLC (b)

      1,200           53,760   

Seiko Epson Corp.

      1,200           16,975   

Western Digital Corp.

      830           65,935   
       

 

 

  
          3,436,666   
       

 

 

  
          16,660,419   
       

 

 

  

Industrials - 3.1%

        

Aerospace & Defense - 0.5%

        

Airbus Group SE

      3,570           211,415   

BAE Systems PLC

      19,161           129,885   

Boeing Co. (The)

      2,510           328,684   

Cobham PLC

      7,675           33,222   

General Dynamics Corp.

      1,210           166,920   

Honeywell International, Inc.

      2,955           279,809   

L-3 Communications Holdings, Inc.

      325           33,969   

Lockheed Martin Corp.

      1,050           217,676   

Meggitt PLC

      4,891           35,284   

Company

    Shares        U.S. $ Value  

Northrop Grumman Corp.

      790           131,101   

Precision Castparts Corp.

      540           124,043   

Raytheon Co.

      1,150           125,649   

Rockwell Collins, Inc.

      500           40,920   

Rolls-Royce Holdings PLC (a)

      11,452           117,477   

Safran SA

      1,646           123,765   

Singapore Technologies Engineering Ltd.

      19,000           39,862   

Textron, Inc.

      1,005           37,828   

Thales SA

      694           48,389   

United Technologies Corp.

      3,225           286,993   

Zodiac Aerospace

      1,135           26,060   
       

 

 

  
          2,538,951   
       

 

 

  

Air Freight & Logistics - 0.2%

        

Bollore SA

      11,606           56,584   

CH Robinson Worldwide, Inc.

      565           38,296   

Deutsche Post AG (REG)

      5,875           162,755   

Expeditors International of Washington, Inc.

      720           33,876   

FedEx Corp.

      1,015           146,140   

Kuehne & Nagel International AG (REG)

      432           55,549   

Royal Mail PLC

      2,926           20,331   

United Parcel Service, Inc.-Class B

      2,655           262,022   

Yamato Holdings Co., Ltd.

      2,200           42,122   
       

 

 

  
          817,675   
       

 

 

  

Airlines - 0.2%

        

American Airlines Group, Inc.

      2,732           106,084   

ANA Holdings, Inc.

      8,000           22,411   

Cathay Pacific Airways Ltd.

      20,000           37,612   

Delta Air Lines, Inc.

      3,152           141,430   

Deutsche Lufthansa AG (REG) (a)

      3,330           46,356   

easyJet PLC

      964           26,022   

International Consolidated Airlines Group SA (a)

      6,202           55,563   

Japan Airlines Co., Ltd.

      900           31,846   

Singapore Airlines Ltd.

      3,000           22,584   

Southwest Airlines Co.

      2,555           97,192   

United Continental Holdings, Inc. (a)

      1,472           78,090   
       

 

 

  
          665,190   
       

 

 

  

Building Products - 0.1%

        

Allegion PLC

      335           19,316   

Asahi Glass Co., Ltd.

      4,000           23,373   

Assa Abloy AB-Class B

      6,096           109,336   

Cie de Saint-Gobain

      2,759           119,742   

Daikin Industries Ltd.

      1,400           78,520   

Geberit AG (REG)

      168           51,394   

LIXIL Group Corp.

      1,200           24,423   

Masco Corp.

      1,305           32,860   

TOTO Ltd.

      1,000           31,164   
       

 

 

  
          490,128   
       

 

 

  

Commercial Services & Supplies - 0.1%

        

ADT Corp. (The) (b)

      647           19,345   

Aggreko PLC

      1,141           16,449   

Babcock International Group PLC

      1,139           15,757   

Brambles Ltd.

      9,492           65,205   

Cintas Corp.

      335           28,726   

Company

    Shares        U.S. $ Value  

Dai Nippon Printing Co., Ltd.(b)

      3,000           28,987   

Edenred

      818           13,394   

G4S PLC

      12,380           43,279   

ISS A/S

      954           31,689   

Pitney Bowes, Inc.

      705           13,994   

Republic Services, Inc.-Class A

      950           39,140   

Secom Co., Ltd.

      1,300           78,183   

Societe BIC SA

      221           34,341   

Stericycle, Inc. (a)

      310           43,186   

Toppan Printing Co., Ltd.

      2,000           16,111   

Tyco International PLC

      1,645           55,042   

Waste Management, Inc.

      1,595           79,447   
       

 

 

  
          622,275   
       

 

 

  

Construction & Engineering - 0.1%

        

ACS Actividades de Construccion y Servicios SA

      1,064           30,613   

Bouygues SA

      1,739           61,715   

CIMIC Group Ltd.

      1,344           22,328   

Ferrovial SA

      2,713           64,895   

Fluor Corp.

      565           23,928   

Jacobs Engineering Group, Inc. (a)

      465           17,405   

JGC Corp.

      1,000           13,267   

Kajima Corp.

      7,000           37,148   

Obayashi Corp.

      3,000           25,597   

Quanta Services, Inc. (a)

      765           18,521   

Shimizu Corp.

      4,000           34,345   

Skanska AB-Class B

      3,301           64,808   

Taisei Corp.

      5,000           32,595   

Vinci SA

      2,970           188,858   
       

 

 

  
          636,023   
       

 

 

  

Electrical Equipment - 0.2%

        

ABB Ltd. (REG) (a)

      13,350           236,209   

Alstom SA (a)

      1,012           31,302   

AMETEK, Inc.

      899           47,036   

Eaton Corp. PLC

      1,794           92,032   

Emerson Electric Co.

      2,600           114,842   

First Solar, Inc. (a)

      270           11,542   

Fuji Electric Co., Ltd.

      4,000           14,507   

Legrand SA

      1,194           63,524   

Mitsubishi Electric Corp.

      12,000           109,926   

Nidec Corp.

      1,300           89,396   

OSRAM Licht AG

      292           15,128   

Prysmian SpA

      1,074           22,199   

Rockwell Automation, Inc.

      530           53,779   

Schneider Electric SE (Paris)

      3,189           178,581   

Vestas Wind Systems A/S

      1,008           52,405   
       

 

 

  
          1,132,408   
       

 

 

  

Industrial Conglomerates - 0.5%

        

3M Co.

      2,455           348,045   

CK Hutchison Holdings Ltd.

      14,840           193,804   

Danaher Corp.

      2,290           195,131   

General Electric Co.

      37,620           948,776   

Keihan Electric Railway Co., Ltd.

      5,000           33,349   

Keppel Corp., Ltd.

      13,000           62,172   

Koninklijke Philips NV

      7,299           171,722   

Company

    Shares        U.S. $ Value  

Roper Technologies, Inc.

      375           58,763   

Seibu Holdings, Inc.

      955           19,353   

Siemens AG (REG)

      4,814           430,068   

Smiths Group PLC

      2,461           37,498   

Toshiba Corp. (a)

      24,000           60,462   
       

 

 

  
          2,559,143   
       

 

 

  

Machinery - 0.5%

        

Alfa Laval AB

      3,611           59,115   

Amada Holdings Co., Ltd.

      3,000           22,874   

ANDRITZ AG

      485           21,855   

Atlas Copco AB-Class A

      3,037           73,037   

Atlas Copco AB-Class B

      3,579           80,056   

Caterpillar, Inc.

      2,385           155,884   

CNH Industrial NV

      8,194           53,411   

Cummins, Inc.

      650           70,577   

Deere & Co.

      1,335           98,790   

Dover Corp.

      635           36,309   

FANUC Corp.

      1,200           184,606   

Flowserve Corp.

      510           20,981   

GEA Group AG

      896           34,165   

Hino Motors Ltd.

      2,000           20,382   

Hitachi Construction Machinery Co., Ltd. (b)

      700           9,382   

IHI Corp. (b)

      8,000           20,557   

Illinois Tool Works, Inc.

      1,375           113,176   

IMI PLC

      1,648           23,680   

Ingersoll-Rand PLC

      1,005           51,024   

Joy Global, Inc. (b)

      385           5,748   

JTEKT Corp.

      1,400           19,601   

Kawasaki Heavy Industries Ltd.

      9,000           31,071   

Komatsu Ltd.

      5,700           83,667   

Kone Oyj-Class B

      1,900           72,310   

Kubota Corp.

      7,000           96,337   

Kurita Water Industries Ltd.

      1,200           25,477   

Makita Corp.

      700           37,235   

MAN SE

      407           41,461   

Melrose Industries PLC

      4,594           18,378   

Metso Oyj

      571           11,878   

Minebea Co., Ltd. (b)

      2,000           21,231   

Mitsubishi Heavy Industries Ltd.

      18,000           80,500   

Nabtesco Corp.

      1,000           18,270   

NGK Insulators Ltd.

      2,000           38,271   

NSK Ltd.

      3,000           29,079   

PACCAR, Inc.

      1,310           68,343   

Parker-Hannifin Corp.

      545           53,029   

Pentair PLC

      710           36,238   

Sandvik AB

      12,165           103,626   

Schindler Holding AG

      413           59,326   

Schindler Holding AG (REG)

      271           39,747   

Sembcorp Marine Ltd. (b)

      7,000           11,301   

SKF AB-Class B

      1,658           30,472   

SMC Corp./Japan

      300           65,688   

Snap-on, Inc.

      220           33,207   

Stanley Black & Decker, Inc.

      615           59,643   

Sumitomo Heavy Industries Ltd.

      6,000           23,776   

THK Co., Ltd. (b)

      800           12,743   

Volvo AB-Class B

      6,759           64,745   

Wartsila Oyj Abp

      793           31,468   

Company

    Shares        U.S. $ Value  

Weir Group PLC (The)

      950           16,854   

Xylem, Inc./NY

      685           22,502   

Zardoya Otis SA (b)

      2,136           23,083   
       

 

 

  
          2,536,166   
       

 

 

  

Marine - 0.0%

        

AP Moeller-Maersk A/S-Class A

      15           22,595   

AP Moeller-Maersk A/S-Class B

      43           66,284   

Mitsui OSK Lines Ltd.

      12,000           28,824   

Nippon Yusen KK

      10,000           23,174   
       

 

 

  
          140,877   
       

 

 

  

Professional Services - 0.1%

        

Adecco SA (REG) (a)

      1,033           75,652   

Bureau Veritas SA

      3,094           65,315   

Capita PLC

      4,013           72,884   

Dun & Bradstreet Corp. (The)

      165           17,325   

Equifax, Inc.

      455           44,217   

Experian PLC

      6,015           96,560   

Intertek Group PLC

      720           26,570   

Nielsen Holdings PLC

      1,116           49,629   

Randstad Holding NV

      1,613           96,410   

Recruit Holdings Co., Ltd.

      653           19,580   

Robert Half International, Inc.

      485           24,813   

SGS SA (REG)

      24           41,937   
       

 

 

  
          630,892   
       

 

 

  

Road & Rail - 0.3%

        

Asciano Ltd.

      8,374           49,577   

Aurizon Holdings Ltd.

      12,975           45,839   

Central Japan Railway Co.

      875           141,074   

CSX Corp.

      3,710           99,799   

DSV A/S

      1,630           60,908   

East Japan Railway Co.

      2,000           168,531   

Hankyu Hanshin Holdings, Inc.

      5,000           30,580   

JB Hunt Transport Services, Inc.

      353           25,204   

Kansas City Southern

      420           38,170   

Keikyu Corp.

      2,000           15,920   

Keio Corp.

      3,000           21,328   

Keisei Electric Railway Co., Ltd.

      2,000           21,940   

Kintetsu Group Holdings Co., Ltd.

      8,000           28,735   

MTR Corp., Ltd.

      15,500           67,294   

Nagoya Railroad Co., Ltd. (b)

      4,000           15,719   

Nippon Express Co., Ltd.

      3,000           14,335   

Norfolk Southern Corp.

      1,190           90,916   

Odakyu Electric Railway Co., Ltd. (b)

      4,000           36,022   

Ryder System, Inc.

      215           15,919   

Tobu Railway Co., Ltd. (b)

      6,000           25,774   

Tokyu Corp.

      5,000           36,693   

Union Pacific Corp.

      3,400           300,594   

West Japan Railway Co.

      1,002           62,801   
       

 

 

  
          1,413,672   
       

 

 

  

Trading Companies & Distributors - 0.2%

        

Ashtead Group PLC

      3,056           43,217   

Brenntag AG

      567           30,592   

Bunzl PLC

      2,030           54,473   

Company

    Shares        U.S. $ Value  

Fastenal Co. (b)

      1,030           37,708   

ITOCHU Corp.

      9,000           95,141   

Marubeni Corp. (b)

      10,000           48,994   

Mitsubishi Corp.

      8,400           137,689   

Mitsui & Co., Ltd.

      10,400           116,891   

Noble Group Ltd. (b)

      24,000           7,022   

Sumitomo Corp. (b)

      6,800           65,759   

Toyota Tsusho Corp.

      1,300           27,402   

Travis Perkins PLC

      1,926           57,458   

United Rentals, Inc. (a)

      350           21,017   

Wolseley PLC

      1,840           107,629   

WW Grainger, Inc. (b)

      230           49,452   
       

 

 

  
          900,444   
       

 

 

  

Transportation Infrastructure - 0.1%

        

Abertis Infraestructuras SA

      2,454           38,828   

Aena SA (a)(e)

      364           40,264   

Aeroports de Paris

      305           34,617   

Atlantia SpA

      2,911           81,428   

Auckland International Airport Ltd.

      6,289           19,688   

Groupe Eurotunnel SE (REG)

      2,068           28,175   

Hutchison Port Holdings Trust-Class U

      43,553           23,980   

Kamigumi Co., Ltd.

      3,000           24,582   

Mitsubishi Logistics Corp.

      1,000           11,596   

Sydney Airport

      15,829           66,526   

Transurban Group

      10,995           77,018   
       

 

 

  
          446,702   
       

 

 

  
          15,530,546   
       

 

 

  

Consumer Staples - 3.0%

        

Beverages - 0.7%

        

Anheuser-Busch InBev SA/NV

      4,882           519,227   

Asahi Group Holdings Ltd.

      2,300           74,619   

Brown-Forman Corp.-Class B

      602           58,334   

Carlsberg A/S-Class B

      695           53,405   

Coca-Cola Amatil Ltd.

      3,316           21,022   

Coca-Cola Co. (The)

      14,780           592,974   

Coca-Cola Enterprises, Inc.

      850           41,098   

Coca-Cola HBC AG (a)

      892           18,882   

Constellation Brands, Inc.-Class A

      620           77,630   

Diageo PLC

      15,252           409,774   

Dr Pepper Snapple Group, Inc.

      720           56,916   

Heineken NV

      1,401           113,437   

Kirin Holdings Co., Ltd.

      5,000           65,584   

Molson Coors Brewing Co.-Class B

      600           49,812   

Monster Beverage Corp. (a)

      560           75,678   

PepsiCo, Inc.

      5,675           535,153   

Pernod Ricard SA

      1,289           130,148   

Remy Cointreau SA

      195           12,815   

SABMiller PLC (London)

      5,871           332,462   

Suntory Beverage & Food Ltd.

      848           32,579   

Treasury Wine Estates Ltd.

      5,315           24,628   
       

 

 

  
          3,296,177   
       

 

 

  

Company

    Shares        U.S. $ Value  

Food & Staples Retailing - 0.6%

        

Aeon Co., Ltd.

      4,000           62,056   

Carrefour SA

      3,792           112,381   

Casino Guichard Perrachon SA

      482           25,669   

Colruyt SA (b)

      393           18,941   

Costco Wholesale Corp.

      1,665           240,709   

CVS Health Corp.

      4,330           417,758   

Delhaize Group

      624           55,312   

Distribuidora Internacional de Alimentacion SA (a)(b)

      4,415           26,726   

FamilyMart Co., Ltd.

      400           18,237   

J Sainsbury PLC (b)

      5,506           21,775   

Jeronimo Martins SGPS SA

      1,190           16,061   

Koninklijke Ahold NV

      5,462           106,553   

Kroger Co. (The)

      3,630           130,934   

Lawson, Inc.

      600           44,270   

METRO AG

      1,551           42,913   

Seven & i Holdings Co., Ltd.

      4,600           209,912   

Sysco Corp.

      2,155           83,980   

Tesco PLC

      49,315           136,977   

Wal-Mart Stores, Inc.

      5,913           383,399   

Walgreens Boots Alliance, Inc.

      3,295           273,815   

Wesfarmers Ltd.

      6,821           188,554   

Whole Foods Market, Inc.

      1,320           41,778   

WM Morrison Supermarkets PLC (b)

      18,352           46,182   

Woolworths Ltd.

      7,649           134,076   
       

 

 

  
          2,838,968   
       

 

 

  

Food Products - 0.7%

        

Ajinomoto Co., Inc.

      3,000           63,264   

Archer-Daniels-Midland Co.

      2,415           100,102   

Aryzta AG(a)

      470           19,920   

Associated British Foods PLC

      2,163           109,468   

Barry Callebaut AG (REG) (a)

      25           27,222   

Calbee, Inc.

      698           22,587   

Campbell Soup Co.

      675           34,209   

Chocoladefabriken Lindt & Spruengli AG (REG)

      1           70,937   

ConAgra Foods, Inc.

      1,585           64,208   

Danone SA

      3,518           222,067   

General Mills, Inc.

      2,285           128,257   

Golden Agri-Resources Ltd.

      48,000           11,157   

Hershey Co. (The)

      550           50,534   

Hormel Foods Corp.

      475           30,072   

JM Smucker Co. (The)

      395           45,066   

Kellogg Co.

      965           64,221   

Kerry Group PLC-Class A

      961           72,296   

Keurig Green Mountain, Inc.

      478           24,923   

Kikkoman Corp.

      1,000           27,543   

Kraft Heinz Co. (The)

      2,228           157,252   

McCormick & Co., Inc./MD

      475           39,036   

Mead Johnson Nutrition Co.-Class A

      760           53,504   

MEIJI Holdings Co., Ltd.

      600           43,998   

Mondelez International, Inc.-Class A

      6,285           263,153   

Nestle SA (REG)

      19,578           1,472,376   

NH Foods Ltd.

      1,000           20,407   

Nisshin Seifun Group, Inc. (b)

      1,500           21,812   

Nissin Foods Holdings Co., Ltd. (b)

      400           18,401   

Orkla ASA

      5,657           41,835   

Tate & Lyle PLC

      2,078           18,516   

Toyo Suisan Kaisha Ltd.

      1,000           37,912   

Company

    Shares        U.S. $ Value  

Tyson Foods, Inc.-Class A

      1,075           46,333   

Wilmar International Ltd.

      9,000           16,285   

Yakult Honsha Co., Ltd. (b)

      400           19,925   
       

 

 

  
          3,458,798   
       

 

 

  

Household Products - 0.4%

        

Clorox Co. (The)

      470           54,299   

Colgate-Palmolive Co.

      3,200           203,072   

Henkel AG & Co. KGaA

      579           51,177   

Henkel AG & Co. KGaA (Preference Shares)

      1,082           111,441   

Kimberly-Clark Corp.

      1,415           154,292   

Procter & Gamble Co. (The)

      10,165           731,270   

Reckitt Benckiser Group PLC

      3,945           357,755   

Svenska Cellulosa AB SCA-Class B

      4,979           139,323   

Unicharm Corp.

      2,300           40,737   
       

 

 

  
          1,843,366   
       

 

 

  

Personal Products - 0.2%

        

Beiersdorf AG

      630           55,844   

Estee Lauder Cos., Inc. (The)-Class A

      840           67,771   

Kao Corp.

      3,100           140,526   

L’Oreal SA

      1,526           265,240   

Shiseido Co., Ltd.

      1,600           34,891   

Unilever NV

      9,903           396,961   

Unilever PLC

      7,792           317,366   
       

 

 

  
          1,278,599   
       

 

 

  

Tobacco - 0.4%

        

Altria Group, Inc.

      7,410           403,104   

British American Tobacco PLC

      11,316           624,368   

Imperial Tobacco Group PLC

      5,811           300,421   

Japan Tobacco, Inc.

      6,678           207,153   

Philip Morris International, Inc.

      5,850           464,081   

Reynolds American, Inc.

      3,048           134,935   

Swedish Match AB

      831           25,120   
       

 

 

  
          2,159,182   
       

 

 

  
          14,875,090   
       

 

 

  

Energy - 1.6%

        

Energy Equipment & Services - 0.2%

        

Amec Foster Wheeler PLC

      1,606           17,446   

Baker Hughes, Inc.

      1,610           83,784   

Cameron International Corp. (a)

      770           47,216   

Diamond Offshore Drilling, Inc. (b)

      240           4,152   

Ensco PLC-Class A

      850           11,968   

FMC Technologies, Inc. (a)

      860           26,660   

Halliburton Co.

      3,190           112,767   

Helmerich & Payne, Inc. (b)

      435           20,558   

National Oilwell Varco, Inc.

      1,605           60,428   

Petrofac Ltd.

      3,159           36,791   

Saipem SpA (a)(b)

      1,479           11,859   

Schlumberger Ltd.

      4,885           336,919   

Seadrill Ltd. (a)(b)

      3,774           22,041   

Technip SA

      568           26,880   

Tenaris SA

      4,173           50,169   

Transocean Ltd. (b)

      1,250           16,150   

Transocean Ltd. (Zurich) (b)

      2,638           34,029   

WorleyParsons Ltd.

      2,661           11,140   
       

 

 

  
          930,957   
       

 

 

  

Company

    Shares        U.S. $ Value  

Oil, Gas & Consumable Fuels - 1.4%

        

Anadarko Petroleum Corp.

      1,895           114,439   

Apache Corp.

      1,445           56,586   

BG Group PLC

      20,707           298,717   

BP PLC

      111,844           567,426   

Cabot Oil & Gas Corp.

      1,540           33,664   

Caltex Australia Ltd.

      1,410           31,126   

Chesapeake Energy Corp. (b)

      1,945           14,257   

Chevron Corp.

      7,130           562,414   

Cimarex Energy Co.

      327           33,511   

Columbia Pipeline Group, Inc.

      1,155           21,125   

ConocoPhillips

      4,620           221,575   

CONSOL Energy, Inc. (b)

      840           8,232   

Delek Group Ltd.

      11           2,405   

Devon Energy Corp.

      1,420           52,668   

Eni SpA

      15,444           242,939   

EOG Resources, Inc.

      2,060           149,968   

EQT Corp.

      590           38,214   

Exxon Mobil Corp.

      16,037           1,192,351   

Galp Energia SGPS SA

      2,341           23,101   

Hess Corp.

      990           49,559   

Idemitsu Kosan Co., Ltd. (b)

      1,200           18,382   

Inpex Corp.

      5,327           47,627   

JX Holdings, Inc.

      14,000           50,553   

Kinder Morgan, Inc./DE

      6,389           176,848   

Koninklijke Vopak NV

      502           20,072   

Lundin Petroleum AB (a)

      856           11,047   

Marathon Oil Corp.

      2,505           38,577   

Marathon Petroleum Corp.

      2,124           98,405   

Murphy Oil Corp.

      605           14,641   

Neste Oyj

      572           13,165   

Newfield Exploration Co. (a)

      470           15,463   

Noble Energy, Inc.

      1,350           40,743   

Occidental Petroleum Corp.

      2,950           195,142   

OMV AG

      894           21,753   

ONEOK, Inc.

      770           24,794   

Origin Energy Ltd.

      4,903           20,362   

Phillips 66

      2,110           162,132   

Pioneer Natural Resources Co.

      565           68,727   

Range Resources Corp.

      650           20,878   

Repsol SA

      6,329           73,816   

Royal Dutch Shell PLC-Class A

      23,936           565,058   

Royal Dutch Shell PLC-Class B

      14,816           350,328   

Santos Ltd. (b)

      4,317           12,216   

Southwestern Energy Co. (a)

      1,295           16,434   

Spectra Energy Corp.

      2,485           65,281   

Statoil ASA

      6,775           98,773   

Tesoro Corp.

      475           46,189   

TonenGeneral Sekiyu KK(b)

      2,000           19,382   

TOTAL SA

      12,995           584,552   

Tullow Oil PLC (a)

      4,387           11,276   

Valero Energy Corp.

      1,975           118,698   

Williams Cos., Inc. (The)

      2,505           92,309   

Woodside Petroleum Ltd.

      4,502           92,140   
       

 

 

  
          6,920,040   
       

 

 

  
          7,850,997   
       

 

 

  

Company

    Shares        U.S. $ Value  

Materials - 1.3%

        

Chemicals - 0.8%

        

Air Liquide SA

      2,092           248,011   

Air Products & Chemicals, Inc.

      720           91,858   

Air Water, Inc.

      1,000           15,021   

Airgas, Inc.

      240           21,439   

Akzo Nobel NV

      2,417           157,200   

Arkema SA

      450           29,168   

Asahi Kasei Corp.

      8,000           56,411   

BASF SE

      5,576           426,471   

CF Industries Holdings, Inc.

      950           42,655   

Croda International PLC

      1,144           46,943   

Daicel Corp.

      3,000           36,827   

Dow Chemical Co. (The)

      4,225           179,140   

Eastman Chemical Co.

      580           37,538   

Ecolab, Inc.

      1,040           114,109   

EI du Pont de Nemours & Co.

      3,445           166,049   

EMS-Chemie Holding AG (REG)

      109           44,843   

FMC Corp.

      480           16,277   

Givaudan SA (REG) (a)

      56           91,121   

Hitachi Chemical Co., Ltd. (b)

      900           12,417   

Incitec Pivot Ltd.

      7,611           20,978   

International Flavors & Fragrances, Inc.

      300           30,978   

Israel Chemicals Ltd.

      4,414           22,714   

Israel Corp., Ltd. (The)

      16           3,837   

Johnson Matthey PLC

      1,244           46,122   

JSR Corp.

      800           11,532   

K&S AG (REG)

      1,472           49,391   

Kansai Paint Co., Ltd.

      1,000           13,600   

Kuraray Co., Ltd. (b)

      3,000           37,389   

LANXESS AG

      1,319           61,759   

Linde AG

      1,128           183,215   

LyondellBasell Industries NV-Class A

      1,599           133,293   

Mitsubishi Chemical Holdings Corp.

      8,000           41,773   

Mitsubishi Gas Chemical Co., Inc.

      5,000           23,080   

Mitsui Chemicals, Inc.

      8,000           25,640   

Monsanto Co.

      1,990           169,827   

Mosaic Co. (The)

      1,180           36,710   

Nippon Paint Holdings Co., Ltd.

      1,000           17,490   

Nitto Denko Corp.

      900           53,903   

Novozymes A/S-Class B

      1,531           66,816   

OCI NV (a)

      320           8,209   

Orica Ltd.

      2,259           23,976   

PPG Industries, Inc.

      1,100           96,459   

Praxair, Inc.

      1,090           111,027   

Sherwin-Williams Co. (The)

      315           70,176   

Shin-Etsu Chemical Co., Ltd.

      2,500           128,210   

Sigma-Aldrich Corp.

      455           63,209   

Sika AG

      6           18,507   

Solvay SA

      360           36,792   

Sumitomo Chemical Co., Ltd.

      7,000           35,397   

Symrise AG

      547           32,958   

Syngenta AG (REG)

      564           180,712   

Taiyo Nippon Sanso Corp. (b)

      2,000           19,000   

Company

    Shares        U.S. $ Value  

Teijin Ltd.

      5,000           15,187   

Toray Industries, Inc.

      9,000           77,807   

Umicore SA

      509           19,630   

Yara International ASA

      1,297           51,741   
       

 

 

  
          3,872,542   
       

 

 

  

Construction Materials - 0.1%

        

CRH PLC

      5,004           132,096   

Fletcher Building Ltd.

      4,446           19,385   

HeidelbergCement AG

      856           58,783   

Imerys SA

      448           28,781   

James Hardie Industries PLC

      3,449           41,633   

LafargeHolcim Ltd. (REG) (a)

      2,244           117,630   

Martin Marietta Materials, Inc.

      227           34,493   

Taiheiyo Cement Corp.

      5,000           14,982   

Vulcan Materials Co.

      465           41,478   
       

 

 

  
          489,261   
       

 

 

  

Containers & Packaging - 0.1%

        

Amcor Ltd./Australia

      7,326           68,131   

Avery Dennison Corp.

      335           18,951   

Ball Corp.

      510           31,722   

Owens-Illinois, Inc. (a)

      560           11,603   

Rexam PLC

      3,136           24,899   

Sealed Air Corp.

      790           37,035   

Toyo Seikan Group Holdings Ltd. (b)

      1,700           27,059   

WestRock Co.

      997           51,286   
       

 

 

  
          270,686   
       

 

 

  

Metals & Mining - 0.3%

        

Alcoa, Inc.

      4,370           42,214   

Anglo American PLC

      8,479           70,826   

Antofagasta PLC

      1,773           13,430   

ArcelorMittal (Euronext Amsterdam)

      6,075           31,504   

BHP Billiton Ltd.

      19,498           307,957   

BHP Billiton PLC

      12,822           195,172   

Boliden AB

      1,652           25,867   

Fortescue Metals Group Ltd. (b)

      18,067           23,323   

Freeport-McMoRan, Inc.

      3,875           37,549   

Fresnillo PLC

      1,459           13,070   

Glencore PLC (a)

      67,642           93,891   

Hitachi Metals Ltd.

      1,000           11,613   

Iluka Resources Ltd.

      2,008           8,822   

JFE Holdings, Inc.

      3,000           39,402   

Kobe Steel Ltd.

      12,000           13,011   

Mitsubishi Materials Corp.

      7,000           21,269   

Newcrest Mining Ltd. (a)

      7,017           63,144   

Newmont Mining Corp.

      1,795           28,846   

Nippon Steel & Sumitomo Metal Corp.

      4,600           83,825   

Norsk Hydro ASA

      6,514           21,721   

Nucor Corp.

      1,210           45,435   

Randgold Resources Ltd.

      576           33,941   

Rio Tinto Ltd.

      2,645           91,000   

Rio Tinto PLC

      7,725           259,198   

South32 Ltd. (a)

      32,320           31,240   

Sumitomo Metal Mining Co., Ltd.

      3,000           34,079   

ThyssenKrupp AG

      2,036           35,777   

voestalpine AG

      713           24,515   
       

 

 

  
          1,701,641   
       

 

 

  

Company

    Shares        U.S. $ Value  

Paper & Forest Products - 0.0%

        

International Paper Co.

      1,565           59,141   

Mondi PLC

      2,233           46,802   

Oji Holdings Corp. (b)

      4,000           17,169   

Stora Enso Oyj-Class R

      3,342           25,287   

UPM-Kymmene Oyj

      3,231           48,500   
       

 

 

  
          196,899   
       

 

 

  
          6,531,029   
       

 

 

  

Telecommunication Services - 1.0%

        

Diversified Telecommunication Services - 0.7%

        

AT&T, Inc.

      22,976           748,558   

Bezeq The Israeli Telecommunication Corp., Ltd.

      7,158           13,699   

BT Group PLC

      49,418           314,523   

CenturyLink, Inc.

      2,110           53,003   

Deutsche Telekom AG (REG)

      19,275           343,124   

Elisa Oyj

      866           29,294   

Frontier Communications Corp. (b)

      3,660           17,385   

HKT Trust & HKT Ltd.-Class SS

      18,882           22,390   

Iliad SA

      163           32,974   

Inmarsat PLC

      2,586           38,470   

Koninklijke KPN NV

      28,755           107,843   

Level 3 Communications, Inc. (a)

      1,047           45,743   

Nippon Telegraph & Telephone Corp.

      4,600           162,029   

Orange SA

      11,257           170,648   

Proximus

      795           27,501   

Singapore Telecommunications Ltd.

      48,000           120,709   

Spark New Zealand Ltd.

      9,734           18,602   

Swisscom AG (REG)

      154           76,856   

TDC A/S

      3,390           17,483   

Telecom Italia SpA (ordinary shares) (a)(b)

      64,157           79,062   

Telecom Italia SpA (savings shares)

      16,898           17,331   

Telefonica Deutschland Holding AG

      3,756           22,968   

Telefonica SA

      27,175           329,686   

Telenor ASA

      3,853           71,999   

TeliaSonera AB

      10,613           57,287   

Telstra Corp., Ltd.

      26,440           104,536   

Verizon Communications, Inc.

      15,545           676,363   
       

 

 

  
          3,720,066   
       

 

 

  

Wireless Telecommunication Services - 0.3%

        

KDDI Corp.

      10,600           237,261   

Millicom International Cellular SA

      641           40,086   

NTT DOCOMO, Inc.

      9,275           156,442   

SoftBank Group Corp.

      5,800           268,191   

StarHub Ltd.

      4,000           9,740   

Tele2 AB-Class B

      3,826           37,313   

Vodafone Group PLC

      160,882           507,435   
       

 

 

  
          1,256,468   
       

 

 

  
          4,976,534   
       

 

 

  

 

Company

    Shares        U.S. $ Value  

Utilities - 1.0%

  

Electric Utilities - 0.5%

  

American Electric Power Co., Inc.

      1,825           103,769   

AusNet Services

      37,398           35,947   

Cheung Kong Infrastructure Holdings Ltd. (b)

      7,000           62,785   

Chubu Electric Power Co., Inc.

      3,900           57,502   

Chugoku Electric Power Co., Inc. (The)

      1,300           17,918   

CLP Holdings Ltd.

      12,500           106,943   

Contact Energy Ltd.

      2,149           6,820   

Duke Energy Corp.

      2,632           189,346   

Edison International

      1,215           76,630   

EDP-Energias de Portugal SA

      14,060           51,509   

Electricite de France SA

      2,239           39,535   

Endesa SA

      1,927           40,637   

Enel SpA

      39,961           178,306   

Entergy Corp.

      675           43,942   

Eversource Energy

      1,160           58,719   

Exelon Corp.

      3,197           94,951   

FirstEnergy Corp.

      1,535           48,061   

Fortum Oyj

      2,697           39,905   

Hokuriku Electric Power Co. (b)

      1,600           21,520   

Iberdrola SA

      31,314           208,652   

Kansai Electric Power Co., Inc. (The) (a)

      3,100           34,463   

Kyushu Electric Power Co., Inc. (a)

      1,900           20,730   

Mighty River Power Ltd.

      4,915           7,918   

NextEra Energy, Inc.

      1,645           160,470   

Pepco Holdings, Inc.

      890           21,556   

Pinnacle West Capital Corp.

      385           24,694   

Power Assets Holdings Ltd.

      8,500           80,489   

PPL Corp.

      2,445           80,416   

Red Electrica Corp. SA

      657           54,554   

Shikoku Electric Power Co., Inc. (b)

      2,700           44,032   

Southern Co. (The)

      3,360           150,192   

SSE PLC

      5,919           133,965   

Terna Rete Elettrica Nazionale SpA

      8,231           40,004   

Tohoku Electric Power Co., Inc.

      2,700           36,589   

Tokyo Electric Power Co., Inc. (a)

      8,800           58,781   

Xcel Energy, Inc.

      1,870           66,217   
       

 

 

  
          2,498,467   
       

 

 

  

Gas Utilities - 0.1%

        

AGL Resources, Inc.

      448           27,346   

APA Group

      3,771           22,760   

Enagas SA

      1,276           36,590   

Gas Natural SDG SA

      2,126           41,483   

Hong Kong & China Gas Co., Ltd.

      35,574           66,707   

Osaka Gas Co., Ltd.

      11,000           41,705   

Snam SpA

      14,719           75,595   

Toho Gas Co., Ltd.

      6,000           35,381   

Tokyo Gas Co., Ltd.

      14,000           67,722   
       

 

 

  
          415,289   
       

 

 

  

Independent Power and Renewable Electricity Producers - 0.0%

        

AES Corp./VA

      2,385           23,349   

Electric Power Development Co., Ltd.

      500           15,260   

Enel Green Power SpA

      25,579           48,366   

Meridian Energy Ltd.

      6,766           9,111   

NRG Energy, Inc.

      1,240           18,414   
       

 

 

  
       114,500   
       

 

 

  

Company

    Shares        U.S. $ Value  

Multi-Utilities - 0.4%

        

AGL Energy Ltd.

      3,037           34,180   

Ameren Corp.

      910           38,466   

CenterPoint Energy, Inc.

      1,545           27,872   

Centrica PLC

      30,469           105,850   

CMS Energy Corp.

      970           34,261   

Consolidated Edison, Inc.

      1,080           72,198   

Dominion Resources, Inc./VA

      2,185           153,780   

DTE Energy Co.

      670           53,848   

E.ON SE

      12,148           104,247   

Engie

      8,789           142,210   

National Grid PLC

      22,895           318,862   

NiSource, Inc.

      1,155           21,425   

PG&E Corp.

      1,775           93,720   

Public Service Enterprise Group, Inc.

      1,855           78,207   

RWE AG

      3,008           34,182   

SCANA Corp.

      545           30,662   

Sempra Energy

      860           83,179   

Suez Environnement Co.

      2,665           47,888   

TECO Energy, Inc.

      875           22,978   

United Utilities Group PLC

      4,140           58,026   

Veolia Environnement SA

      1,552           35,395   

WEC Energy Group, Inc.

      1,188           62,037   
       

 

 

  
       1,653,473   
       

 

 

  

Water Utilities - 0.0%

        

Severn Trent PLC

      1,575           52,101   
       

 

 

  
       4,733,830   
       

 

 

  

Total Common Stocks
(cost $120,502,892)

   

        135,896,760   
       

 

 

  
     Principal
Amount
(000)		           

GOVERNMENTS - TREASURIES - 19.5%

        

United States - 19.5%

        

U.S. Treasury Bonds

   

2.50%, 2/15/45

    $ 520           478,711   

2.75%, 8/15/42

      920           897,024   

2.875%, 5/15/43-8/15/45

      960           957,562   

3.00%, 5/15/45

      185           189,321   

3.125%, 11/15/41-2/15/43

      2,825           2,966,910   

3.50%, 2/15/39

      358           403,813   

3.625%, 8/15/43

      2,245           2,583,856   

3.75%, 8/15/41

      220           258,225   

3.875%, 8/15/40

      280           333,492   

4.25%, 5/15/39

      240           302,475   

4.375%, 11/15/39-5/15/41

      1,258           1,615,647   

4.50%, 8/15/39

      220           286,991   

4.75%, 2/15/37-2/15/41

      401           543,809   

5.375%, 2/15/31

      650           902,095   

6.00%, 2/15/26

      762           1,041,559   

6.25%, 8/15/23-5/15/30

      724           1,055,440   

6.875%, 8/15/25

      325           466,764   

7.25%, 5/15/16-8/15/22

      1,868           2,194,150   

     Principal
Amount
(000)		        U.S. $ Value  

7.50%, 11/15/16

      92           99,270   

7.625%, 2/15/25

      55           81,562   

8.00%, 11/15/21

      123           168,781   

U.S. Treasury Notes

   

0.375%, 1/31/16

      882           882,827   

0.50%, 7/31/17

      1,735           1,731,792   

0.75%, 2/28/18-3/31/18

      5,625           5,618,878   

0.875%, 1/31/17-4/30/17

      1,690           1,698,667   

1.00%, 9/30/16-9/30/19

      6,570           6,589,470   

1.25%, 11/30/18-4/30/19

      5,994           6,029,692   

1.375%, 11/30/15-8/31/20

      5,452           5,474,277   

1.375%, 6/30/18-2/28/19 (f)

      4,565           4,619,038   

1.50%, 5/31/19-5/31/20

      4,840           4,892,631   

1.625%, 6/30/20-11/15/22

      4,870           4,885,157   

1.75%, 5/15/23

      1,740           1,725,182   

1.875%, 10/31/17

      1,100           1,126,984   

2.00%, 11/15/21-8/15/25

      4,550           4,597,504   

2.125%, 8/15/21-5/15/25

      1,265           1,282,156   

2.25%, 11/30/17-11/15/24

      899           924,068   

2.375%, 7/31/17-8/15/24

      1,271           1,309,724   

2.50%, 8/15/23-5/15/24

      2,242           2,340,558   

2.625%, 1/31/18-11/15/20

      3,140           3,310,013   

2.75%, 5/31/17-11/15/23

      3,570           3,747,659   

3.00%, 2/28/17

      889           920,416   

3.125%, 5/15/21

      394           426,908   

3.25%, 7/31/16

      1,147           1,174,495   

3.375%, 11/15/19

      1,890           2,052,865   

3.50%, 5/15/20

      910           997,599   

3.625%, 2/15/20

      3,519           3,865,907   

3.75%, 11/15/18

      6,205           6,736,706   
       

 

 

  

Total Governments - Treasuries
(cost $95,212,814)

   

        96,788,630   
       

 

 

  
     Shares           

INVESTMENT COMPANIES - 10.4%

        

Funds and Investment Trusts - 10.4%

        

iShares Core MSCI Emerging Markets ETF (b)

      24,008           957,679   

iShares International Developed Real Estate ETF (b)

      338,271           9,474,971   

iShares MSCI EAFE ETF (b)

      93,861           5,380,112   

SPDR S&P 500 ETF Trust

      102,005           19,547,218   

Vanguard Mid-Cap ETF (b)

      9,840           1,148,033   

Vanguard REIT ETF (b)

      144,709           10,931,318   

Vanguard Small-Cap ETF (b)

      36,321           3,920,852   
       

 

 

  

Total Investment Companies
(cost $53,641,731)

   

        51,360,183   
       

 

 

  
     Principal
Amount
(000)		           

INFLATION-LINKED SECURITIES - 8.1%

        

United States - 8.1%

        

U.S. Treasury Inflation Index
0.125%, 4/15/19-7/15/22 (TIPS)

    $ 25,649           25,342,934   

     Principal
Amount
(000)		        U.S. $ Value  

U.S. Treasury Inflation Index

   

0.625%, 7/15/21

      4,733           4,799,567   

1.125%, 1/15/21

      3,380           3,512,203   

1.25%, 7/15/20

      570           598,538   

1.375%, 1/15/20

      4,459           4,678,421   

1.875%, 7/15/19

      1,292           1,379,889   
       

 

 

  

Total Inflation-Linked Securities
(cost $40,724,363)

   

        40,311,552   
       

 

 

  
     Contracts           

OPTIONS PURCHASED - CALLS - 0.1%

        

Options on Indices - 0.1%

        

S&P 500
Index Expiration: Oct 2015, Exercise Price: $2,100.00 (a)(g)

      13,200           1,516   

S&P 500
Index Expiration: Dec 2015, Exercise Price: $2,050.00 (a)(h)

      264           318,120   
       

 

 

  
       319,636   
       

 

 

  
     Notional
Amount
(000)		           

Swaptions - 0.0%

        

CDX-NAHY Series 24 RTR, JPMorgan Chase Bank, NA (Sell Protection) Expiration: Oct 2015, Exercise Rate: 105.00% (a)

      48,000           43,207   
       

 

 

  

Total Options Purchased-Calls
(premiums paid $764,819)

   

        362,843   
       

 

 

  
     Shares           

SHORT-TERM INVESTMENTS - 40.0%

        

Investment Companies - 34.9%

        

AB Fixed Income Shares, Inc.-Government STIF Portfolio, 0.14% (i)(j)
(cost $173,270,774)

      173,270,774           173,270,774   
       

 

 

  
     Principal
Amount
(000)		           

U.S. Treasury Bills - 5.1%

        

U.S. Treasury Bill Zero Coupon, 1/28/16
(cost $25,537,156)

    $ 25,538           25,537,156   
       

 

 

  

Total Short-Term Investments
(cost $198,807,930)

   

        198,807,930   
       

 

 

  

 

     Shares        U.S. $ Value  

Total Investments Before Security Lending Collateral for Securities Loaned - 105.5%
(cost $509,654,549)

           523,527,898   
       

 

 

  

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED - 9.5%

        

Investment Companies - 9.5%

        

AB Exchange Reserves-Class I, 0.13% (i)(j)
(cost $46,896,180)

      46,896,180           46,896,180   
       

 

 

  

Total Investments - 115.0%
(cost $556,550,729) (k)

           570,424,078   

Other assets less liabilities - (15.0)% (l)

           (74,258,116 ) 
       

 

 

  

Net Assets - 100.0%

         $ 496,165,962   
       

 

 

  

FUTURES

 

Type

    Number
of
Contracts		      Expiration
Month		    Original
Value		      Value at
September 30,
2015		      Unrealized
Appreciation/
(Depreciation)		  

Purchased Contracts

               

10 Yr Australian Bond Futures

      41       December 2015    $ 3,683,317       $ 3,724,226       $ 40,909   

DAX Index Futures

      11       December 2015      3,128,182         2,968,218         (159,964 ) 

EURO STOXX 50 Index Futures

      579       December 2015      20,364,597         19,997,978         (366,619 ) 

EURO-Bund Futures

      72       December 2015      12,389,689         12,565,918         176,229   

Long GILT Futures

      39       December 2015      6,912,821         7,024,210         111,389   

Mini MSCI EAFE Futures

      5       December 2015      424,149         412,375         (11,774 ) 

S&P 500 EMINI Futures

      9       December 2015      863,548         858,915         (4,633 ) 

TOPIX Index Futures

      89       December 2015      10,667,328         10,471,679         (195,649 ) 

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

      83       December 2015      10,628,415         10,684,953         56,538   

U.S. Ultra Bond (CBT) Futures

      66       December 2015      10,727,484         10,586,813         (140,671 ) 

Sold Contracts

               

Hang Seng Index Futures

      16       October 2015      2,183,642         2,146,257         37,385   

SPI 200 Futures

      14       December 2015      1,230,509         1,230,045         464   
              

 

 

  
               $ (456,396 ) 
              

 

 

  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

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

Barclays Bank PLC

      GBP         1,341         USD         2,061         12/15/15       $ 32,897   

Barclays Bank PLC

      USD         769         CHF         748         12/15/15         518   

Credit Suisse International

      AUD         6,983         USD         4,812         12/15/15         (70,321 ) 

Deutsche Bank AG

      USD         557         EUR         498         12/15/15         51   

HSBC Bank USA

      AUD         1,213         USD         845         12/15/15         (3,480 ) 

JPMorgan Chase Bank

      USD         3,673         AUD         5,212         12/15/15         (28,559 ) 

JPMorgan Chase Bank

      USD         10,152         JPY         1,227,682         12/15/15         94,006   

Counterparty

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

Royal Bank of Scotland PLC

      USD         4,867         EUR         4,349         12/15/15       $ (1,190 ) 

Royal Bank of Scotland PLC

      USD         3,845         JPY         460,135         12/15/15         (4,732 ) 

State Street Bank & Trust Co.

      USD         1,087         SEK         9,130         12/15/15         5,243   

State Street Bank & Trust Co.

      USD         3,040         CHF         2,964         12/15/15         9,604   

UBS AG

      CAD         591         USD         447         12/15/15         3,979   

UBS AG

      EUR         4,349         USD         5,037         12/15/15         171,845   

UBS AG

      USD         9,019         EUR         7,898         12/15/15         (183,381 ) 

UBS AG

      USD         2,061         GBP         1,341         12/15/15         (33,046 ) 
                 

 

 

  
                  $ (6,566 ) 
                 

 

 

  

CREDIT DEFAULT SWAPTIONS WRITTEN

 

Description

    Counter-
party		    Buy/Sell
Protection		      Strike
Rate		     Expiration
Date		      Notional
Amount
(000)		      Premiums
Received		      Market
Value		  

Put-CDX-NAHY Series 24, 5 Year Index

    JPMorgan
Chase
Bank, NA		      Buy         103.00 %      October 2015       $ 16,000       $ 234,432       $ (180,139 ) 

PUT OPTIONS WRITTEN

 

Description

    Contracts      Exercise
Price		      Expiration
Month		      Premiums
Received		      U.S. $ Value  

S&P 500 Index (g)

      6,600         1,825.00         October 2015       $ 164,182       $ (78,200 ) 

S&P 500 Index (h)

      132         1,850.00         December 2015         622,638         (722,700 ) 
           

 

 

     

 

 

  
            $ 786,820       $ (800,900 ) 
           

 

 

     

 

 

  

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

 

Clearing Broker/(Exchange) & Referenced Obligation

    Fixed Rate
(Pay)
Receive		      Implied Credit
Spread at
September 30, 2015		      Notional
Amount
(000)		      Market
Value		      Unrealized
Appreciation/
(Depreciation)		  

Sale Contracts

               

Citigroup Global Markets, Inc./(INTRCONX):

               

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

      5.00         4.29         6,302         190,089         (194,837 ) 

CDX-NAHY Series 25, 5 Year Index, 12/20/20*

      5.00         5.00         974         1,244         5,430   

CDX-NAHY Series 25, 5 Year Index, 12/20/20*

      5.00         5.00         974         1,244         3,677   
           

 

 

     

 

 

  
            $ 192,577       $ (185,730 ) 
           

 

 

     

 

 

  

 

* 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

              

Standard and Poor’s Midcap 400 Index

      5,816       LIBOR Plus
0.07%		   $ 12,046         2/03/16       $ (1,184,269 ) 

Goldman Sachs Bank USA

              

MSCI Emerging Markets Index

      44,715       LIBOR Minus
0.25%		     15,050         10/17/16         (175,095 ) 

Goldman Sachs International

              

Russell 2000 Total Return Index

      441       LIBOR Minus
0.55%		     2,581         3/15/16         (255,057 ) 

Russell 2000 Total Return Index

      30       LIBOR Minus
0.49%		     181         4/15/16         (22,776 ) 

Russell 2000 Total Return Index

      627       LIBOR Minus
0.57%		     3,675         4/15/16         (476,019 ) 

UBS AG

              

Russell 2000 Total Return Index

      599       LIBOR Minus
0.6%		     3,021         10/15/15         (181,552 ) 
             

 

 

  
              $ (2,294,768 ) 
             

 

 

  

 

(a) Non-income producing security.
(b) Represents entire or partial securities out on loan.
(c) Fair valued by the Adviser.
(d) Illiquid security.
(e) 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 September 30, 2015, the aggregate market value of these securities amounted to $58,452 or 0.0% of net assets.
(f) Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.
(g) One contract relates to 1 share.
(h) One contract relates to 100 shares.
(i) 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.
(j) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(k) As of September 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $27,035,183 and gross unrealized depreciation of investments was $(13,161,834), resulting in net unrealized appreciation of $13,873,349.
(l) An amount of U.S. $3,989,593 has been segregated to collateralize margin requirements for the open futures contracts at September 30, 2015.

Currency Abbreviation:

 

AUD    -    Australian Dollar
CAD    -    Canadian Dollar
CHF    -    Swiss Franc
EUR    -    Euro
GBP    -    Great British Pound
JPY    -    Japanese Yen
SEK    -    Swedish Krona
USD    -    United States Dollar

Glossary:

 

ASX    -    Australian Stock Exchange
CBT    -    Chicago Board of Trade
CDX-NAHY    -    North American High Yield Credit Default Swap Index
DAX    -    Deutscher Aktien Index (German Stock Index)
EAFE    -    Europe, Australia, and Far East

ETF    -    Exchange Traded Fund
INTRCONX    -    Inter-Continental Exchange
LIBOR    -    London Interbank Offered Rates
MSCI    -    Morgan Stanley Capital International
REG    -    Registered Shares
REIT    -    Real Estate Investment Trust
RTR    -    Right To Receive
SPDR    -    Standard & Poor’s Depository Receipt
SPI    -    Share Price Index
TIPS    -    Treasury Inflation Protected Security
TOPIX    -    Tokyo Price Index

AB Variable Products Series Fund

AB Dynamic Asset Allocation Portfolio

September 30, 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 about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

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

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.

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.

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2015:

 

Investments in Securities:

    Level 1      Level 2      Level 3     Total  

Assets:

           

Common Stocks:

           

Financials

    $     10,977,175       $     17,994,793       $             – 0  –^   $     28,971,968   

Health Care

      9,422,836         8,482,568         – 0  –      17,905,404   

Consumer Discretionary

      8,588,976         9,271,967         – 0  –      17,860,943   

Information Technology

      13,210,554         3,449,865         – 0  –      16,660,419   

Industrials

      6,577,792         8,952,754         – 0  –      15,530,546   

Consumer Staples

      6,373,662         8,501,428         – 0  –      14,875,090   

Energy

      4,464,426         3,386,571         – 0  –      7,850,997   

Materials

      1,820,497         4,710,532         – 0  –      6,531,029   

Telecommunication Services

      1,563,442         3,413,092         – 0  –      4,976,534   

Utilities

      1,960,705         2,773,125         – 0  –      4,733,830   

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Governments - Treasuries

    $ – 0  –    $ 96,788,630      $ – 0  –    $ 96,788,630   

Investment Companies

      51,360,183        – 0  –      – 0  –      51,360,183   

Inflation-Linked Securities

      – 0  –      40,311,552        – 0  –      40,311,552   

Options Purchased - Calls

      – 0  –      362,843        – 0  –      362,843   

Short-Term Investments:

         

Investment Companies

      173,270,774        – 0  –      – 0  –      173,270,774   

U.S. Treasury Bils

      – 0  –      25,537,156        – 0  –      25,537,156   

Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund

      46,896,180        – 0  –      – 0  –      46,896,180   

Total Investments in Securities

      336,487,202        233,936,876        – 0  –      570,424,078   
  

 

 

    

 

 

    

 

 

    

 

 

  

Other Financial Instruments*:

         

Assets:

         

Futures

      385,065        37,849        – 0  –      422,914   

Forward Currency Exchange Contracts

      – 0  –      318,143        – 0  –      318,143   

Centrallly Cleared Credit Default Swaps

      – 0  –      9,107        – 0  –      9,107   

Liabilities:

         

Futures

      (157,078 )      (722,232 )      – 0  –      (879,310 ) 

Forward Currency Exchange Contracts

      – 0  –      (324,709 )      – 0  –      (324,709 ) 

Credit Default Swaptions Written

      – 0  –      (180,139 )      – 0  –      (180,139 ) 

Put Options Written

      – 0  –      (800,900 )      – 0  –      (800,900 ) 

Centrallly Cleared Credit Default Swaps

      – 0  –      (194,837 )      – 0  –      (194,837 ) 

Total Return Swaps

      – 0  –      (2,294,768 )      – 0  –      (2,294,768 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total+

    $     336,715,189      $     229,784,390      $              – 0  –    $     566,499,579   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

^ Less than $0.50.
* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were de minimis transfers under 1% of net assets between Level 1 and Level 2 during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were 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     Total  

Balance as of 12/31/14

    $               – 0  –    $                – 0  – 

Accrued discounts/(premiums)

      – 0  –      – 0  – 

Realized gain (loss)

      – 0  –      – 0  – 

Change in unrealized appreciation/depreciation

      – 0  –      – 0  – 

Purchases

      – 0  –      – 0  – 

Sales

      – 0  –      – 0  – 

Transfers in to Level 3

      – 0  –      – 0  – 

Transfers out of Level 3

      – 0  –      – 0  – 
  

 

 

    

 

 

  

Balance as of 9/30/15

    $ – 0  –^    $ – 0  – 
  

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from Investments held as of 9/30/15

    $ – 0  –    $ – 0  – 
  

 

 

    

 

 

  

 

^ Less than $0.50.

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 compare 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).

AB Variable Products Series Fund

AB Global Bond Portfolio

Portfolio of Investments

September 30, 2015 (unaudited)

 

Company

    Shares        U.S. $ Value  

INVESTMENT COMPANIES - 49.9%

        

Funds and Investment Trusts - 49.9%

        

AB Global Bond Fund, Inc.-Class Z (a)
(cost $5,051,195)

      597,150         $ 4,974,256   
       

 

 

  
     Principal
Amount
(000)		           

GOVERNMENTS - TREASURIES - 33.3%

        

Australia - 1.5%

        

Australia Government Bond

        

Series 122

        

5.25%, 3/15/19 (b)

    AUD  130           101,570   

Series 139

        

3.25%, 4/21/25 (b)

      28           20,692   

Series 144

        

3.75%, 4/21/37 (b)

      29           21,977   
       

 

 

  
          144,239   
       

 

 

  

Belgium - 0.4%

        

Belgium Government Bond

        

Series 71

        

3.75%, 6/22/45 (b)

    EUR 27           43,228   
       

 

 

  

Brazil - 0.4%

        

Brazil Notas do Tesouro Nacional

        

Series B

        

6.00%, 8/15/50-5/15/55

    BRL 37           20,879   

Series F

        

10.00%, 1/01/25

      121           22,025   
       

 

 

  
          42,904   
       

 

 

  

Canada - 2.8%

        

Canadian Government Bond

        

1.25%, 8/01/17

    CAD  360           273,284   

2.25%, 6/01/25

      12           9,635   
       

 

 

  
          282,919   
       

 

 

  

France - 2.2%

        

France Government Bond OAT

        

2.50%, 5/25/30 (b)

    EUR 12           15,335   

3.50%, 4/25/20 (b)

      156           201,159   
       

 

 

  
          216,494   
       

 

 

  

Germany - 1.6%

        

Bundesrepublik Deutschland

        

0.50%, 2/15/25 (b)

      110           122,132   

2.25%, 9/04/21 (b)

      26           32,782   

Series 00

        

6.25%, 1/04/30 (b)

      3           5,767   
       

 

 

  
          160,681   
       

 

 

  

     Principal
Amount
(000)		        U.S. $
Value		  

Ireland - 0.9%

        

Ireland Government Bond

        

2.40%, 5/15/30 (b)

    EUR 10           12,107   

3.40%, 3/18/24 (b)

      19           25,232   

5.40%, 3/13/25

      31           47,310   
       

 

 

  
          84,649   
       

 

 

  

Italy - 3.6%

        

Italy Buoni Poliennali Del Tesoro

        

3.75%, 5/01/21

      232           297,850   

5.00%, 8/01/34 (b)

      18           27,702   

6.00%, 5/01/31

      21           34,976   
       

 

 

  
          360,528   
       

 

 

  

South Africa - 0.2%

        

South Africa Government Bond

        

Series R186

        

10.50%, 12/21/26

    ZAR 248           20,515   
       

 

 

  

Spain - 0.7%

        

Spain Government Bond

        

1.95%, 7/30/30 (b)

    EUR 33           34,790   

4.20%, 1/31/37 (b)

      21           28,655   

5.15%, 10/31/44 (b)

      7           11,051   
       

 

 

  
          74,496   
       

 

 

  

United Kingdom - 3.4%

        

United Kingdom Gilt

        

2.25%, 9/07/23 (b)

    GBP 78           123,966   

3.25%, 1/22/44 (b)

      65           113,785   

4.75%, 3/07/20 (b)

      56           98,247   
       

 

 

  
          335,998   
       

 

 

  

United States - 15.6%

        

U.S. Treasury Bonds

        

2.875%, 5/15/43

    U.S.$     94           93,699   

3.00%, 11/15/44

      35           35,741   

4.50%, 2/15/36

      176           230,776   

U.S. Treasury Notes

        

0.875%, 4/30/17

      700           703,500   

1.25%, 1/31/20

      135           134,856   

2.00%, 2/15/25

      269           267,949   

2.50%, 5/15/24

      42           43,749   

2.625%, 8/15/20

      38           40,215   
       

 

 

  
          1,550,485   
       

 

 

  

Total Governments - Treasuries
(cost $3,374,887)

           3,317,136   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

CORPORATES - INVESTMENT GRADE - 3.3%

        

Industrial - 2.0%

        

Basic - 0.3%

        

Glencore Funding LLC

        

4.00%, 4/16/25 (b)

      5           3,862   

International Paper Co.

        

3.80%, 1/15/26

    U.S.$     4           3,941   

5.15%, 5/15/46

      3           2,931   

Mosaic Co. (The)

        

5.625%, 11/15/43

      5           5,268   

Rio Tinto Finance USA Ltd.

        

3.75%, 6/15/25

      10           9,754   
       

 

 

  
          25,756   
       

 

 

  

Communications - Media - 0.4%

        

CCO Safari II LLC

        

3.579%, 7/23/20 (b)

      5           4,963   

4.908%, 7/23/25 (b)

      5           4,976   

Cox Communications, Inc.

        

2.95%, 6/30/23 (b)

      8           7,305   

McGraw Hill Financial, Inc.

        

4.40%, 2/15/26 (b)

      15           15,222   

Time Warner, Inc.

        

3.60%, 7/15/25

      5           4,896   
       

 

 

  
          37,362   
       

 

 

  

Consumer Cyclical - Retailers - 0.1%

        

CVS Health Corp.

        

5.125%, 7/20/45

      10           10,750   
       

 

 

  

Consumer Non-Cyclical - 0.6%

        

AbbVie, Inc.

        

2.50%, 5/14/20

      4           3,978   

3.60%, 5/14/25

      10           9,863   

Baxalta, Inc.

        

5.25%, 6/23/45 (b)

      5           5,047   

Biogen, Inc.

        

2.90%, 9/15/20

      4           4,040   

Celgene Corp.

        

3.875%, 8/15/25

      5           5,001   

Gilead Sciences, Inc.

        

3.65%, 3/01/26

      6           6,028   

Kraft Heinz Foods Co.

        

2.80%, 7/02/20 (b)

      7           7,046   

3.50%, 7/15/22 (b)

      7           7,150   

Reynolds American, Inc.

        

4.45%, 6/12/25

      10           10,463   

5.85%, 8/15/45

      3           3,338   
       

 

 

  
          61,954   
       

 

 

  

Energy - 0.4%

        

Devon Energy Corp.

        

5.00%, 6/15/45

      7           6,342   

Energy Transfer Partners LP

        

4.65%, 6/01/21

      5           4,993   

EnLink Midstream Partners LP

        

4.15%, 6/01/25

      13           11,925   

Enterprise Products Operating LLC

        

3.70%, 2/15/26

      10           9,450   

     Principal
Amount
(000)		        U.S. $ Value  

Plains All American Pipeline LP/PAA Finance Corp.

        

3.60%, 11/01/24

    U.S.$     12           11,231   
       

 

 

  
          43,941   
       

 

 

  

Technology - 0.2%

        

Hewlett-Packard Co.

        

4.65%, 12/09/21

      10           10,605   

HP Enterprise Co.

        

4.90%, 10/15/25

      10           9,972   
       

 

 

  
          20,577   
       

 

 

  
          200,340   
       

 

 

  

Financial Institutions - 1.1%

        

Banking - 1.0%

        

Bank of America Corp.

        

3.875%, 8/01/25

      20           20,278   

Goldman Sachs Group, Inc. (The)

        

3.75%, 5/22/25

      10           10,021   

3.85%, 7/08/24

      10           10,194   

5.15%, 5/22/45

      3           2,945   

Morgan Stanley

        

Series G

        

4.00%, 7/23/25

      51           52,121   
       

 

 

  
          95,559   
       

 

 

  

Insurance - 0.1%

        

MetLife, Inc.

        

Series C

        

5.25%, 6/15/20 (c)

      9           8,910   
       

 

 

  
          104,469   
       

 

 

  

Utility - 0.2%

        

Electric - 0.2%

        

Entergy Corp.

        

4.00%, 7/15/22

      8           8,262   

Exelon Corp.

        

3.95%, 6/15/25

      12           12,112   
       

 

 

  
          20,374   
       

 

 

  

Total Corporates - Investment Grade
(cost $325,845)

           325,183   
       

 

 

  

MORTGAGE PASS-THROUGHS - 2.8%

        

Agency Fixed Rate 30-Year - 2.8%

        

Federal National Mortgage Association

        

4.00%, 10/25/45, TBA

      211           225,045   

Government National Mortgage Association

        

3.50%, 10/01/45, TBA

      48           49,756   
       

 

 

  

Total Mortgage Pass-Throughs
(cost $273,161)

           274,801   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

INFLATION-LINKED SECURITIES - 2.5%

        

United States - 2.5%

        

U.S. Treasury Inflation Index
0.125%, 4/15/19 (TIPS)

        

(cost $253,505)

    U.S.$     249           247,666   
       

 

 

  

GOVERNMENTS - SOVEREIGN AGENCIES - 1.3%

        

Canada - 1.3%

        

Canada Housing Trust No. 1

        

1.70%, 12/15/17 (b)

    CAD 60           45,829   

3.80%, 6/15/21 (b)

      95           80,336   
       

 

 

  

Total Governments - Sovereign Agencies
(cost $134,456)

           126,165   
       

 

 

  

COMMERCIAL MORTGAGE-BACKED SECURITY - 0.3%

        

Non-Agency Fixed Rate CMBS - 0.3%

        

LB-UBS Commercial Mortgage Trust

        

Series 2006-C6, Class AJ

        

5.452%, 9/15/39

        

(cost $31,156)

    U.S.$ 30           30,976   
       

 

 

  

CORPORATES - NON-INVESTMENT GRADE - 0.1%

        

Industrial - 0.1%

        

Basic - 0.1%

        

Teck Resources Ltd.
4.50%, 1/15/21

        

(cost $9,792)

      10           6,740   
       

 

 

  
     Shares           

SHORT-TERM INVESTMENTS - 7.2%

        

Investment Companies - 7.2%

        

AB Fixed Income Shares, Inc. - Government STIF Portfolio, 0.14% (a)(d)
(cost $720,363)

      720,363           720,363   
       

 

 

  

Total Investments - 100.7%
(cost $10,174,360) (e)

           10,023,286   

Other assets less liabilities - (0.7)% (f)

           (66,571 ) 
       

 

 

  

Net Assets - 100.0%

         $ 9,956,715   
       

 

 

  

FUTURES

 

Type

    Number
of
Contracts		      Expiration
Month		      Original
Value		      Value at
September 30,
2015		      Unrealized
Appreciation/
(Depreciation)		  

Purchased Contracts

  

10 Yr Mini Japan Government Bond Futures

      6         December 2015       $ 739,338       $ 741,216       $ 1,878   

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

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

State Street Bank & Trust Co.

    BRL      177       USD      48         10/02/15       $ 3,170   

State Street Bank & Trust Co.

    CAD      487       USD      365         10/02/15         725   

State Street Bank & Trust Co.

    IDR      654,112       USD      44         10/09/15         (203 ) 

State Street Bank & Trust Co.

    MYR      189       USD      46         10/09/15         3,107   

State Street Bank & Trust Co.

    USD      47       IDR      658,930         10/09/15         (1,667 ) 

State Street Bank & Trust Co.

    USD      44       MYR      189         10/09/15         (1,352 ) 

State Street Bank & Trust Co.

    ZAR      286       USD      22         10/13/15         980   

State Street Bank & Trust Co.

    TWD      759       USD      23         10/16/15         466   

State Street Bank & Trust Co.

    JPY      24,105       USD      201         10/23/15         486   

State Street Bank & Trust Co.

    USD      140       JPY      16,787         10/23/15         177   

State Street Bank & Trust Co.

    EUR      981       USD      1,110         10/27/15         13,148   

State Street Bank & Trust Co.

    SEK      454       EUR      48         10/27/15         (41 ) 

State Street Bank & Trust Co.

    AUD      207       USD      145         10/30/15         519   

State Street Bank & Trust Co.

    BRL      177       USD      44         11/04/15         (710 ) 

State Street Bank & Trust Co.

    USD      53       SEK      438         11/05/15         (713 ) 

State Street Bank & Trust Co.

    SGD      140       USD      100         11/06/15         1,699   

State Street Bank & Trust Co.

    GBP      223       USD      343         11/10/15         5,342   

State Street Bank & Trust Co.

    CAD      548       USD      410         11/19/15         (1,011 ) 

State Street Bank & Trust Co.

    USD      1       MXN      11         11/20/15         7   
                 

 

 

  
   $ 24,129   
                 

 

 

  

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

 

Clearing Broker/(Exchange)

& Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Implied Credit
Spread at
September 30, 2015		     Notional
Amount
(000)		      Market
Value		      Unrealized
Appreciation/
(Depreciation)		  

Sale Contracts

  

Citigroup Global Markets, Inc./(INTRCONX):

             

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

      5.00 %      4.29 %    $ 218       $ 6,564       $ (7,679 ) 

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

      1.00        0.88        1,100         6,185         (11,857 ) 
         

 

 

     

 

 

  
   $ 12,749       $ (19,536 ) 
         

 

 

     

 

 

  

 

* Termination Date

CREDIT DEFAULT SWAPS

 

Swap Counterparty & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Implied Credit
Spread at
September 30, 2015		     Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Sale Contracts

  

Bank of America, NA:

              

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

      1.00 %      3.94 %    $ 150       $ (18,202 )    $ (12,145 )    $ (6,057 ) 

Barclays Bank PLC:

              

CMBX.NA.BBB 7.00%, 1/17/47*

      3.00        3.84        100         (5,583 )      (628 )      (4,955 ) 
         

 

 

    

 

 

    

 

 

  
          $ (23,785 )    $ (12,773 )    $ (11,012 ) 
         

 

 

    

 

 

    

 

 

  

 

* Termination Date

 

(a) 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.
(b) 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 September 30, 2015, the aggregate market value of these securities amounted to $1,221,913 or 12.3% of net assets.
(c) Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.
(d) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(e) As of September 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $18,650 and gross unrealized depreciation of investments was $(169,724), resulting in net unrealized depreciation of $(151,074).
(f) An amount of U.S $4,413 has been segregated to collateralize margin requirements for the open futures contracts at September 30, 2015.

Currency Abbreviations:

 

AUD    -    Australian Dollar
BRL    -    Brazilian Real
CAD    -    Canadian Dollar
EUR    -    Euro
GBP    -    Great British Pound
IDR    -    Indonesian Rupiah
JPY    -    Japanese Yen
MXN    -    Mexican Peso
MYR    -    Malaysian Ringgit
SEK    -    Swedish Krona
SGD    -    Singapore Dollar
TWD    -    New Taiwan Dollar
USD    -    United States Dollar
ZAR    -    South African Rand

Glossary:

 

CDX-EM    -    Emerging Market Credit Default Swap Index
CDX-NAHY    -    North American High Yield Credit Default Swap Index
CDX-NAIG    -    North American Investment Grade Credit Default Swap Index
CMBX.NA    -    North American Commercial Mortgage-Backed Index
TBA    -    To Be Announced
TIPS    -    Treasury Inflation Protected Security

COUNTRY BREAKDOWN*

September 30, 2015 (unaudited)

 

  73.7%        

United States

  4.2%        

Canada

  3.6%        

Italy

  3.5%        

United Kingdom

  2.2%        

France

  1.6%        

Germany

  1.4%        

Austrailia

  0.9%        

Ireland

  0.7%        

Spain

  0.4%        

Belgium

  0.4%        

Brazil

  0.2%        

South Africa

  7.2%        

Short-Term

 

 

       
  100.0%        

Total Investments

 

 

       

 

* All data are as of September 30, 2015. The Portfolio’s country breakdown is expressed as a percentage of total investments and may vary over time.

AB Variable Products Series Fund

AB Global Bond Portfolio

September 30, 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 about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

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

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

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

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2015:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

  

Investment Companies

    $     4,974,256      $             – 0  –    $             –0  –    $ 4,974,256   

Governments - Treasuries

      – 0  –      3,317,136        – 0  –      3,317,136   

Corporates - Investment Grade

      – 0  –      325,183        – 0  –      325,183   

Mortgage Pass-Throughs

      – 0  –      274,801        – 0  –      274,801   

Inflation-Linked Securities

      – 0  –      247,666        – 0  –      247,666   

Governments - Sovereign Agencies

      – 0  –      126,165        – 0  –      126,165   

Commercial Mortgage-Backed Security

      – 0  –      – 0  –      30,976        30,976   

Corporates - Non-Investment Grade

      – 0  –      6,740        – 0  –      6,740   

Short-Term Investments

      720,363        – 0  –      – 0  –      720,363   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      5,694,619        4,297,691        30,976            10,023,286   

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Other Financial Instruments*:

         

Assets:

         

Futures

    $ 1,878      $ – 0  –    $ – 0  –    $ 1,878   

Forward Currency Exchange Contracts

      – 0  –      29,826        – 0  –      29,826   

Liabilities:

         

Forward Currency Exchange Contracts

      – 0  –      (5,697 )      – 0  –      (5,697 ) 

Centrally Cleared Credit Default Swaps

      – 0  –      (19,536 )      – 0  –      (19,536 ) 

Credit Default Swaps

      – 0  –      (11,012 )      – 0  –      (11,012 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total+

    $     5,696,497      $     4,291,272      $     30,976      $     10,018,745   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were 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.

 

     Commercial
Mortgage-Backed
Securities		     Total  

Balance as of 4/28/15^

    $             – 0  –    $             – 0  – 

Accrued discounts/(premiums)

      (8 )      (8 ) 

Realized gain (loss)

      – 0  –      – 0  – 

Change in unrealized appreciation/depreciation

      (180 )      (180 ) 

Purchases

      31,164        31,164   

Sales

      – 0  –      – 0  – 

Transfers in to Level 3

      – 0  –      – 0  – 

Transfers out of Level 3

      – 0  –      – 0  – 
  

 

 

    

 

 

  

Balance as of 9/30/15

    $ 30,976      $ 30,976   
  

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from investments held as of 9/30/15

    $ (180 )    $ (180 ) 
  

 

 

    

 

 

  

 

^ Commencement of operations.

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 compare 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).

AB Variable Products Series Fund

AB Global Risk Allocation-Moderate Portfolio

Portfolio of Investments

September 30, 2015 (unaudited)

 

Company

    Shares        U.S. $ Value  

INVESTMENT COMPANIES - 19.3%

        

Funds and Investment Trusts - 19.3%

        

iShares Core S&P 500 ETF

      6,860         $     1,321,991   

iShares MSCI EAFE ETF

      54,650           3,132,538   

SPDR S&P 500 ETF Trust

      10,650           2,040,859   

Vanguard S&P 500 ETF

      8,410           1,477,721   
       

 

 

  

Total Investment Companies
(cost $8,763,512)

           7,973,109   
       

 

 

  
      Contracts           

OPTIONS PURCHASED - PUTS - 0.3%

        

Options on Funds and Investment Trusts - 0.2%

        

SPDR S&P 500 ETF Trust Expiration: Nov 2015, Exercise Price: $ 192.00 (a)(b)

      108           68,958   
       

 

 

  

Options on Indices - 0.1%

        

EURO STOXX 50 Index Expiration: Oct 2015, Exercise Price: EUR 3,075.00 (a)(c)

      19           14,840   

FTSE 100 Index Expiration: Oct 2015, Exercise Price: GBP 5,950.00 (a)(c)

      3           3,767   

Nikkei 225 Index Expiration: Oct 2015, Exercise Price: JPY 17,750.00 (a)(d)

      2           9,919   
       

 

 

  
          28,526   
       

 

 

  

Total Options Purchased - Puts (premiums paid $84,146)

           97,484   
       

 

 

  
      Shares           

SHORT-TERM INVESTMENTS - 25.5%

        

Investment Companies - 21.9%

        

AB Fixed Income Shares, Inc. - Government STIF Portfolio, 0.14% (e)(f)
(cost $9,035,913)

      9,035,913           9,035,913   
       

 

 

  
      Principal
Amount
(000)		           

U.S. Treasury Bills - 3.6%

        

U.S. Treasury Bill Zero Coupon, 11/27/15
(cost $1,499,877)

    $ 1,500           1,499,877   
       

 

 

  

Total Short-Term Investments
(cost $10,535,790)

           10,535,790   
       

 

 

  

Company

           U.S. $ Value  

Total Investments - 45.1%
(cost $19,383,448) (g)

         $ 18,606,383   

Other assets less liabilities - 54.9% (h)

           22,673,798   
       

 

 

  

Net Assets - 100.0%

         $     41,280,181   
       

 

 

  

FUTURES

 

Type

    Number
of
Contracts		      Expiration
Month		      Original
Value		      Value at
September 30,
2015		      Unrealized
Appreciation/
(Depreciation)		  

Purchased Contracts

               

10 Yr Australian Bond Futures

      4         December 2015       $ 359,367       $ 363,339       $ 3,972   

EURO Buxl 30 Yr Bond Futures

      2         December 2015         336,340         348,048         11,708   

EURO STOXX 50 Futures

      7         December 2015         248,799         241,772         (7,027 ) 

Mini MSCI EAFE Futures

      10         December 2015         854,619         824,750         (29,869 ) 

Nikkei 225 (CME) Futures

      12         December 2015         1,054,815         1,055,700         885   

S&P 500 EMINI Futures

      52         December 2015         4,958,870         4,962,620         3,750   

S&P TSX 60 Index Futures

      3         December 2015         354,152         350,693         (3,459 ) 

U.S. 10 Yr (CBT) Futures

      40         December 2015         5,120,178         5,149,375         29,197   

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

      8         December 2015         956,385         964,125         7,740   

U.S. Ultra Bond (CBT) Futures

      5         December 2015         798,600         802,031         3,431   
              

 

 

  
               $ 20,328   
              

 

 

  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

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

State Street Bank & Trust Co.

      EUR         627         USD         704         12/15/15       $ 2,177   

State Street Bank & Trust Co.

      EUR         1,863         USD         2,080         12/15/15         (4,251 ) 

State Street Bank & Trust Co.

      GBP         344         USD         536         12/15/15         15,537   

State Street Bank & Trust Co.

      JPY         138,895         USD         1,134         12/15/15         (24,909 ) 

State Street Bank & Trust Co.

      USD         217         EUR         195         12/15/15         772   

State Street Bank & Trust Co.

      USD         40         GBP         26         12/15/15         (640 ) 

State Street Bank & Trust Co.

      USD         103         JPY         12,390         12/15/15         60   
                 

 

 

  
                  $ (11,254 ) 
                 

 

 

  

CALL OPTIONS WRITTEN

 

Description

    Contracts      Exercise
Price		      Expiration
Month		      Premiums
Received		      U.S. $ Value  

EURO STOXX 50 Index (c)

      38         EUR         3,300.00         October 2015       $ 11,349       $ (3,800 ) 

FTSE 100 Index (c)

      6         GBP         6,350.00         October 2015         2,925         (1,157 ) 

Nikkei 225 Index (d)

      4         JPY         19,125.00         October 2015         5,307         (534 ) 

SPDR S&P 500 ETF Trust (b)

      216         $         206.00         November 2015         30,878         (11,340 ) 
              

 

 

     

 

 

  
               $ 50,459       $ (16,831 ) 
              

 

 

     

 

 

  

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 Group)

      NZD         950         6/23/20         3 Month BKBM         3.396 %    $ 15,972   

Morgan Stanley & Co., LLC/(CME Group)

         2,000         6/25/20         3 Month BKBM         3.443 %      36,336   
                

 

 

  
                 $ 52,308   
                

 

 

  

 

(a) Non-income producing security.
(b) One contract relates to 100 shares.
(c) One contract relates to 10 shares.
(d) One contract relates to 1000 shares.
(e) 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.
(f) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(g) As of September 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $13,348 and gross unrealized depreciation of investments was $(790,413), resulting in net unrealized depreciation of $(777,065).
(h) An amount of U.S. $223,248 has been segregated to collateralize margin requirements for the open futures contracts at September 30, 2015.

Currency Abbreviations:

 

EUR    -    Euro
GBP    -    Great British Pound
JPY    -    Japanese Yen
NZD    -    New Zealand Dollar
USD    -    United States Dollar

Glossary:

 

BKBM    -    Bank Bill Benchmark (New Zealand)
CBT    -    Chicago Board of Trade
CME    -    Chicago Mercantile Exchange
EAFE    -    Europe, Australia, and Far East
ETF    -    Exchange Traded Fund
FTSE    -    Financial Times Stock Exchange
MSCI    -    Morgan Stanley Capital International
SPDR    -    Standard & Poor’s Depository Receipt
TSX    -    Toronto Stock Exchange

COUNTRY BREAKDOWN*

September 30, 2015 (unaudited)

 

  43.2%        

United States

  0.1%        

Germany

  0.1%        

Japan

  56.6%        

Short-Term

 

 

       
  100.0%        

Total Investments

 

 

       

 

* All data are as of September 30, 2015. The Portfolio’s country breakdown is expressed as a percentage of total investments and may vary over time.

AB Variable Products Series Fund

AB Global Risk Allocation-Moderate Portfolio

September 30, 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 about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

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

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.

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 September 30, 2015:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

         

Investment Companies

    $ 7,973,109      $             – 0  –    $             – 0  –    $ 7,973,109   

Options Purchased - Puts

      – 0  –      97,484        – 0  –      97,484   

Short-Term Investments:

         

Investment Companies

      9,035,913        – 0  –      – 0  –      9,035,913   

U.S. Treasury Bills

      – 0  –      1,499,877        – 0  –      1,499,877   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      17,009,022        1,597,361        – 0  –      18,606,383   

Other Financial Instruments*:

         

Assets:

         

Futures

      60,683        – 0  –      – 0  –      60,683   

Forward Currency Exchange Contracts

      – 0  –      18,546        – 0  –      18,546   

Centrally Cleared Interest Rate Swaps

      – 0  –      52,308        – 0  –      52,308   

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Liabilities:

         

Futures

    $ (33,328 )    $ (7,027 )    $ –0  –    $ (40,355 ) 

Forward Currency Exchange Contracts

      – 0  –      (29,800 )      – 0  –      (29,800 ) 

Call Options Written

      – 0  –      (16,831 )      – 0  –      (16,831 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total^

    $     17,036,377      $     1,614,557      $             – 0  –    $     18,650,934   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
^ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of 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 compare 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).

AB Variable Products Series Fund

AB Global Thematic Growth Portfolio

Portfolio of Investments

September 30, 2015 (unaudited)

 

Company

    Shares        U.S. $ Value  

COMMON STOCKS - 98.9%

        

Information Technology - 27.6%

        

Communications Equipment - 1.4%

        

Palo Alto Networks, Inc. (a)

      9,490         $ 1,632,280   
       

 

 

  

Internet Software & Services - 6.9%

        

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

      17,900           1,055,563   

Facebook, Inc.-Class A (a)

      24,460           2,198,954   

Google, Inc.-Class C (a)

      4,117           2,504,865   

LinkedIn Corp.-Class A (a)

      6,187           1,176,334   

Tencent Holdings Ltd.

      72,700           1,227,370   
       

 

 

  
          8,163,086   
       

 

 

  

IT Services - 1.7%

        

Visa, Inc.-Class A

      29,480           2,053,577   
       

 

 

  

Semiconductors & Semiconductor Equipment - 7.2%

        

ams AG

      27,900           1,040,966   

Avago Technologies Ltd.

      14,100           1,762,641   

NVIDIA Corp.

      75,758           1,867,435   

NXP Semiconductors NV (a)

      14,600           1,271,222   

Skyworks Solutions, Inc.

      17,780           1,497,254   

SunEdison, Inc. (a)(b)

      150,570           1,081,092   
       

 

 

  
          8,520,610   
       

 

 

  

Software - 7.5%

        

Fortinet, Inc. (a)

      26,630           1,131,242   

Imperva, Inc. (a)

      27,840           1,822,963   

Mobileye NV (a)(b)

      44,840           2,039,323   

salesforce.com, Inc. (a)

      21,712           1,507,464   

ServiceNow, Inc. (a)

      15,520           1,077,864   

Verint Systems, Inc. (a)

      27,590           1,190,509   
       

 

 

  
          8,769,365   
       

 

 

  

Technology Hardware, Storage & Peripherals - 2.9%

        

Apple, Inc.

      17,895           1,973,819   

Cray, Inc. (a)

      43,370           859,160   

Thin Film Electronics ASA (a)

      1,183,690           553,964   
       

 

 

  
          3,386,943   
       

 

 

  
          32,525,861   
       

 

 

  

Consumer Discretionary - 18.2%

        

Auto Components - 1.4%

        

Delphi Automotive PLC

      22,030           1,675,161   
       

 

 

  

Diversified Consumer Services - 1.3%

        

Kroton Educacional SA

      295,600           574,871   

TAL Education Group (ADR) (a)(b)

      28,620           920,133   
       

 

 

  
          1,495,004   
       

 

 

  

Hotels, Restaurants & Leisure - 2.9%

        

Alsea SAB de CV

      246,435           727,283   

Company

    Shares        U.S. $ Value  

Melco Crown Entertainment Ltd. (ADR) (b)

      50,640           696,806   

Starbucks Corp.

      34,860           1,981,442   
       

 

 

  
          3,405,531   
       

 

 

  

Household Durables - 0.6%

        

Panasonic Corp.

      71,700           725,613   
       

 

 

  

Internet & Catalog Retail - 5.3%

        

Amazon.com, Inc. (a)

      3,743           1,916,004   

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

      46,670           1,216,220   

Netflix, Inc. (a)

      13,170           1,359,934   

Priceline Group, Inc. (The) (a)

      1,460           1,805,816   
       

 

 

  
          6,297,974   
       

 

 

  

Multiline Retail - 1.4%

        

Lojas Renner SA

      162,500           754,193   

Matahari Department Store Tbk PT

      841,500           929,446   
       

 

 

  
          1,683,639   
       

 

 

  

Specialty Retail - 1.2%

        

Fast Retailing Co., Ltd.

      3,400           1,382,981   
       

 

 

  

Textiles, Apparel & Luxury Goods - 4.1%

        

Cie Financiere Richemont SA

      21,500           1,672,935   

NIKE, Inc.-Class B

      25,370           3,119,749   
       

 

 

  
          4,792,684   
       

 

 

  
          21,458,587   
       

 

 

  

Financials - 18.2%

        

Banks - 3.5%

        

Credicorp Ltd.

      7,260           772,174   

ING Groep NV

      103,370           1,461,146   

Wells Fargo & Co.

      35,390           1,817,276   
       

 

 

  
          4,050,596   
       

 

 

  

Capital Markets - 6.0%

        

Affiliated Managers Group, Inc. (a)

      4,550           778,005   

Azimut Holding SpA

      67,450           1,447,437   

Charles Schwab Corp. (The)

      60,850           1,737,876   

Flow Traders (c)

      21,445           835,577   

UBS Group AG (a)

      84,110           1,557,717   

WisdomTree Investments, Inc. (b)

      44,860           723,592   
       

 

 

  
          7,080,204   
       

 

 

  

Consumer Finance - 1.4%

        

Gentera SAB de CV

      521,080           851,364   

SKS Microfinance Ltd. (a)

      134,370           833,367   
       

 

 

  
          1,684,731   
       

 

 

  

Diversified Financial Services - 2.6%

        

Intercontinental Exchange, Inc.

      7,360           1,729,526   

London Stock Exchange Group PLC

      36,750           1,347,043   
       

 

 

  
          3,076,569   
       

 

 

  

 

Company

    Shares        U.S. $ Value  

Insurance - 2.9%

        

AIA Group Ltd.

      409,600           2,130,225   

St James’s Place PLC

      100,880           1,298,339   
       

 

 

  
          3,428,564   
       

 

 

  

Thrifts & Mortgage Finance - 1.8%

        

Housing Development Finance Corp. Ltd.

      111,510           2,064,725   
       

 

 

  
          21,385,389   
       

 

 

  

Health Care - 15.9%

        

Biotechnology - 1.0%

        

Cepheid (a)

      24,767           1,119,468   
       

 

 

  

Health Care Equipment & Supplies - 4.2%

        

Abbott Laboratories

      49,710           1,999,336   

Align Technology, Inc. (a)

      21,910           1,243,612   

Essilor International SA

      13,767           1,681,890   
       

 

 

  
          4,924,838   
       

 

 

  

Health Care Providers & Services - 3.3%

        

HealthEquity, Inc. (a)

      40,520           1,197,366   

UnitedHealth Group, Inc.

      23,050           2,674,031   
       

 

 

  
          3,871,397   
       

 

 

  

Life Sciences Tools & Services - 2.7%

        

Illumina, Inc. (a)

      7,191           1,264,321   

Quintiles Transnational Holdings, Inc. (a)

      28,168           1,959,648   
       

 

 

  
          3,223,969   
       

 

 

  

Pharmaceuticals - 4.7%

        

Aspen Pharmacare Holdings Ltd. (a)

      46,490           989,193   

Kalbe Farma Tbk PT

      7,255,500           682,692   

Roche Holding AG

      8,780           2,330,840   

Sun Pharmaceutical Industries Ltd. (a)

      116,100           1,540,893   
       

 

 

  
          5,543,618   
       

 

 

  
          18,683,290   
       

 

 

  

Consumer Staples - 12.7%

        

Beverages - 1.7%

        

Anheuser-Busch InBev SA/NV

      18,500           1,967,576   
       

 

 

  

Food Products - 5.1%

        

Mead Johnson Nutrition Co.-Class A

      25,920           1,824,768   

Nestle SA (REG)

      29,030           2,183,220   

Universal Robina Corp.

      330,351           1,358,236   

WH Group Ltd. (a)(c)

      1,329,000           659,663   
       

 

 

  
          6,025,887   
       

 

 

  

Household Products - 4.6%

        

Colgate-Palmolive Co.

      31,340           1,988,836   

Reckitt Benckiser Group PLC

      22,600           2,049,499   

Unicharm Corp.

      82,500           1,461,229   
       

 

 

  
          5,499,564   
       

 

 

  

 

Company

    Shares        U.S. $ Value  

Personal Products - 1.3%

        

Estee Lauder Cos., Inc. (The)-Class A

      18,730           1,511,137   
       

 

 

  
          15,004,164   
       

 

 

  

Industrials - 2.8%

        

Aerospace & Defense - 1.1%

        

Hexcel Corp.

      29,400           1,318,884   
       

 

 

  

Commercial Services & Supplies - 0.7%

        

China Everbright International Ltd.

      571,000           806,600   
       

 

 

  

Machinery - 1.0%

        

Xylem, Inc./NY

      36,490           1,198,696   
       

 

 

  
          3,324,180   
       

 

 

  

Materials - 1.6%

        

Chemicals - 1.6%

        

Ecolab, Inc.

      17,410           1,910,225   
       

 

 

  

Utilities - 1.0%

        

Water Utilities - 1.0%

        

Beijing Enterprises Water Group Ltd. (a)

      1,598,000           1,124,014   
       

 

 

  

Energy - 0.9%

        

Oil, Gas & Consumable Fuels - 0.9%

        

Concho Resources, Inc. (a)

      10,635           1,045,421   
       

 

 

  

Total Common Stocks
(cost $105,333,110)

           116,461,131   
       

 

 

  

WARRANTS - 0.0%

        

Information Technology - 0.0%

        

Technology Hardware, Storage & Peripherals - 0.0%

        

Thin Film Electronics ASA, expiring 7/14/18 (a)(d)(e)
(cost $0)

      591,845           0 ^ 
       

 

 

  
     Principal
Amount
(000)		           

SHORT-TERM INVESTMENTS - 0.8%

        

Time Deposit - 0.8%

        

State Street Time Deposit
0.01%, 10/01/15
(cost $932,253)

    U.S.$ 932           932,253   
       

 

 

  

Total Investments Before Security Lending Collateral for Securities Loaned - 99.7%
(cost $106,265,363)

           117,393,384   
       

 

 

  
     Shares           

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED - 4.4%

        

Investment Companies - 4.4%

        

AB Exchange Reserves-Class I, 0.13% (f)(g)
(cost $5,209,280)

      5,209,280           5,209,280   
       

 

 

  

 

             U.S. $ Value  

Total Investments - 104.1%
(cost $111,474,643) (h)

           122,602,664   

Other assets less liabilities - (4.1)%

           (4,801,927 ) 
       

 

 

  

Net Assets - 100.0%

         $ 117,800,737   
       

 

 

  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

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

Barclays Bank PLC

    CNY 17,600         USD         2,709         12/15/15       $ (37,466 ) 

Barclays Bank PLC

    HKD 13,312         USD         1,717         12/15/15         (418 ) 

BNP Paribas SA

    USD 2,878         AUD         4,104         12/15/15         (8,860 ) 

Citibank

    BRL 3,306         USD         920         10/02/15         85,863   

Citibank

    USD 832         BRL         3,306         10/02/15         1,763   

Citibank

    CNY 8,807         USD         1,336         12/15/15         (38,587 ) 

Deutsche Bank AG

    USD 5,792         JPY         719,184         12/15/15         210,165   

HSBC Bank USA

    JPY 68,585         USD         573         12/15/15         239   

Morgan Stanley & Co., Inc.

    USD 3,940         CAD         5,159         12/15/15         (75,797 ) 

Royal Bank of Scotland PLC

    USD 420         EUR         380         12/15/15         4,931   

Standard Chartered Bank

    BRL 3,306         USD         832         10/02/15         (1,763 ) 

Standard Chartered Bank

    USD 824         BRL         3,306         10/02/15         9,667   

Standard Chartered Bank

    BRL 3,306         USD         815         11/04/15         (9,713 ) 

State Street Bank & Trust Co.

    CHF 3,756         USD         3,849         12/15/15         (15,250 ) 

State Street Bank & Trust Co.

    HKD 3,863         USD         498         12/15/15         (260 ) 

State Street Bank & Trust Co.

    USD 1,896         EUR         1,695         12/15/15         760   

State Street Bank & Trust Co.

    USD 1,322         SEK         11,097         12/15/15         6,271   

UBS AG

    USD 1,735         GBP         1,129         12/15/15         (27,817 ) 
              

 

 

  
               $ 103,728   
              

 

 

  

 

^ Less than $0.50.

 

(a) Non-income producing security.
(b) Represents entire or partial securities out on loan.
(c) 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 September 30, 2015, the aggregate market value of these securities amounted to $1,495,240 or 1.3% of net assets.
(d) Fair valued by the Adviser.
(e) Illiquid security.
(f) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(g) 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.
(h) As of September 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $20,046,150 and gross unrealized depreciation of investments was $(8,918,129), resulting in net unrealized appreciation of $11,128,021.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market.

Currency Abbreviations:

 

AUD    -    Australian Dollar
BRL    -    Brazilian Real
CAD    -    Canadian Dollar
CHF    -    Swiss Franc
CNY    -    Chinese Yuan Renminbi
EUR    -    Euro
GBP    -    Great British Pound
HKD    -    Hong Kong Dollar
JPY    -    Japanese Yen
SEK    -    Swedish Krona
USD    -    United States Dollar

Glossary:

 

ADR    -    American Depositary Receipt
REG    -    Registered Shares

COUNTRY BREAKDOWN*

September 30, 2015 (unaudited)

 

  55.2%        

United States

  6.6%        

Switzerland

  5.4%        

United Kingdom

  5.4%        

China

  3.8%        

India

  3.0%        

Japan

  3.0%        

Netherlands

  3.0%        

Hong Kong

  1.7%        

Belgium

  1.5%        

Singapore

  1.4%        

France

  1.4%        

Indonesia

  1.4%        

Mexico

  6.4%        

Other

  0.8%        

Short-Term

 

 

       
  100.0%        

Total Investments

 

 

       

 

* All data are as of September 30, 2015. The Portfolio’s country breakdown is expressed as a percentage of total investments and may vary over time. “Other” country weightings represent 1.2% or less in the following countries: Austria, Brazil, Italy, Norway, Peru, Philippines and South Africa.

AB Variable Products Series Fund

AB Global Thematic Growth Portfolio

September 30, 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 about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

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

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

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2015:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

  

Common Stock:

       

Information Technology

    $ 29,703,561      $ 2,822,300      $ – 0  –    $ 32,525,861   

Consumer Discretionary

      16,747,612        4,710,975        – 0  –      21,458,587   

Financials

      12,264,253        9,121,136        – 0  –      21,385,389   

Health Care

      11,457,782        7,225,508        – 0  –      18,683,290   

Consumer Staples

      5,324,741        9,679,423        – 0  –      15,004,164   

Industrials

      2,517,580        806,600        – 0  –      3,324,180   

Materials

      1,910,225        – 0  –      – 0  –      1,910,225   

Utilities

      – 0  –      1,124,014        – 0  –      1,124,014   

Energy

      1,045,421        – 0  –      – 0  –      1,045,421   

Warrants

      – 0  –      – 0  –      – 0  –^      – 0  –^ 

Short-Term Investments

      – 0  –      932,253        – 0  –      932,253   

Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund

      5,209,280        – 0  –      – 0  –      5,209,280   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      86,180,455        36,422,209        – 0  –^      122,602,664   

Other Financial Instruments*:

         

Assets:

       

Forward Currency Exchange Contracts

      – 0  –      319,659        – 0  –      319,659   

Liabilities:

       

Forward Currency Exchange Contracts

      – 0  –      (215,931 )      – 0  –      (215,931 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total+#

    $     86,180,455      $     36,525,937      $     – 0  –^    $     122,706,392   
  

 

 

    

 

 

    

 

 

    

 

 

  

^ Amount less than $0.50.
* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers from Level 1 to Level 2 during the reporting period.
# An amount of $1,436,924 was transferred from Level 2 to Level 1 as the above mentioned foreign equity fair valuation by the third party vendor was not applied during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were 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.

 

     Warrants     Total  

Balance as of 12/31/14

    $             – 0  –    $             – 0  – 

Accrued discounts/(premiums)

                  – 0  –                  – 0  – 

Realized gain (loss)

                  – 0  –                  – 0  – 

Change in unrealized appreciation/depreciation

      – 0  –^      – 0  –^ 

Purchases

                  – 0  –                  – 0  – 

Sales

                  – 0  –                  – 0  – 

Transfers in to Level 3

                  – 0  –                  – 0  – 

Transfers out of Level 3

                  – 0  –                  – 0  – 
  

 

 

    

 

 

  

Balance as of 9/30/15

    $ – 0  –^    $ – 0  –^ 
  

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from investments held as of 9/30/15

    $ – 0  –^    $ – 0  –^ 
  

 

 

    

 

 

  

 

^ Amount less than $0.50.

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 compare 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).

AB Variable Products Series Fund

AB Growth Portfolio

Portfolio of Investments

September 30, 2015 (unaudited)

 

Company

    Shares        U.S. $ Value  

COMMON STOCKS - 96.9%

        

Information Technology - 32.7%

        

Communications Equipment - 0.9%

        

F5 Networks, Inc. (a)

      5,189         $ 600,886   
       

 

 

  

Electronic Equipment, Instruments & Components - 0.7%

        

Amphenol Corp.-Class A

      9,834           501,141   
       

 

 

  

Internet Software & Services - 10.8%

        

Facebook, Inc.-Class A (a)

      33,507           3,012,279   

Google, Inc.-Class A (a)

      1,649           1,052,672   

Google, Inc.-Class C (a)

      3,745           2,278,533   

Twitter, Inc.(a)

      34,800           937,512   
       

 

 

  
          7,280,996   
       

 

 

  

IT Services - 5.6%

        

Cognizant Technology Solutions Corp. - Class A (a)

      8,340           522,167   

Vantiv, Inc.-Class A (a)

      9,270           416,408   

Visa, Inc.-Class A

      41,410           2,884,621   
       

 

 

  
          3,823,196   
       

 

 

  

Semiconductors & Semiconductor Equipment - 1.4%

        

NVIDIA Corp.

      38,030           937,440   
       

 

 

  

Software - 8.0%

        

Adobe Systems, Inc. (a)

      9,230           758,891   

ANSYS, Inc. (a)

      7,026           619,272   

Aspen Technology, Inc. (a)

      14,780           560,310   

Microsoft Corp.

      30,726           1,359,933   

Mobileye NV (a)(b)

      8,380           381,122   

NetSuite, Inc. (a)

      4,230           354,897   

ServiceNow, Inc. (a)

      8,557           594,284   

Tableau Software, Inc.-Class A (a)

      5,126           408,952   

Ultimate Software Group, Inc. (The) (a)

      2,146           384,155   
       

 

 

  
          5,421,816   
       

 

 

  

Technology Hardware, Storage & Peripherals - 5.3%

        

Apple, Inc.

      32,245           3,556,623   
       

 

 

  
          22,122,098   
       

 

 

  

Consumer Discretionary - 26.1%

        

Hotels, Restaurants & Leisure - 4.9%

        

Starbucks Corp.

      46,860           2,663,522   

Wyndham Worldwide Corp.

      9,150           657,885   
       

 

 

  
          3,321,407   
       

 

 

  

Internet & Catalog Retail - 2.1%

        

Priceline Group, Inc. (The) (a)

      1,137           1,406,310   
       

 

 

  

Media - 6.7%

        

AMC Networks, Inc.-Class A (a)

      7,507           549,287   

Comcast Corp.-Class A

      32,875           1,869,930   

Walt Disney Co. (The)

      20,968           2,142,930   
       

 

 

  
          4,562,147   
       

 

 

  

Company

    Shares        U.S. $ Value  

Multiline Retail - 1.4%

        

Dollar Tree, Inc. (a)

      14,140           942,572   
       

 

 

  

Specialty Retail - 8.0%

        

Five Below, Inc. (a)

      16,419           551,350   

Home Depot, Inc. (The)

      21,429           2,474,835   

Lowe’s Cos., Inc.

      15,552           1,071,844   

O’Reilly Automotive, Inc. (a)

      2,436           609,000   

Ulta Salon Cosmetics & Fragrance, Inc. (a)

      4,212           688,030   
       

 

 

  
          5,395,059   
       

 

 

  

Textiles, Apparel & Luxury Goods - 3.0%

        

NIKE, Inc. - Class B

      16,476           2,026,054   
       

 

 

  
          17,653,549   
       

 

 

  

Health Care - 16.7%

        

Biotechnology - 6.7%

        

Alexion Pharmaceuticals, Inc. (a)

      6,920           1,082,219   

Biogen, Inc. (a)

      7,094           2,070,100   

Gilead Sciences, Inc.

      14,090           1,383,497   
       

 

 

  
          4,535,816   
       

 

 

  

Health Care Equipment & Supplies - 3.9%

        

Align Technology, Inc. (a)

      10,163           576,852   

HeartWare International, Inc. (a)(b)

      7,965           416,649   

Intuitive Surgical, Inc. (a)

      3,670           1,686,659   
       

 

 

  
          2,680,160   
       

 

 

  

Health Care Providers & Services - 4.5%

        

Premier, Inc. - Class A (a)

      19,767           679,392   

UnitedHealth Group, Inc.

      20,238           2,347,810   
       

 

 

  
          3,027,202   
       

 

 

  

Life Sciences Tools & Services - 1.3%

        

Illumina, Inc. (a)

      3,050           536,251   

Quintiles Transnational Holdings, Inc. (a)

      4,563           317,448   
       

 

 

  
          853,699   
       

 

 

  

Pharmaceuticals - 0.3%

        

Intersect ENT, Inc. (a)

      10,060           235,404   
       

 

 

  
          11,332,281   
       

 

 

  

Consumer Staples - 9.8%

        

Beverages - 2.9%

        

Monster Beverage Corp. (a)

      14,253           1,926,150   
       

 

 

  

Food & Staples Retailing - 5.6%

        

Costco Wholesale Corp.

      12,005           1,735,563   

CVS Health Corp.

      21,600           2,083,968   
       

 

 

  
          3,819,531   
       

 

 

  

Personal Products - 1.3%

        

Estee Lauder Cos., Inc. (The)-Class A

      10,917           880,784   
       

 

 

  
          6,626,465   
       

 

 

  

 

Company

    Shares        U.S. $ Value  

Industrials - 7.8%

        

Aerospace & Defense - 0.9%

        

Rockwell Collins, Inc.

      7,200           589,248   
       

 

 

  

Airlines - 0.9%

        

Spirit Airlines, Inc. (a)

      12,510           591,723   
       

 

 

  

Electrical Equipment - 1.3%

        

Acuity Brands, Inc.

      3,070           539,031   

AMETEK, Inc.

      7,050           368,856   
       

 

 

  
       907,887   
       

 

 

  

Industrial Conglomerates - 1.8%

        

Danaher Corp.

      14,326           1,220,718   
       

 

 

  

Machinery - 1.0%

        

Wabtec Corp./DE

      7,420           653,331   
       

 

 

  

Professional Services - 1.5%

        

Robert Half International, Inc.

      19,630           1,004,271   
       

 

 

  

Road & Rail - 0.4%

        

Old Dominion Freight Line, Inc. (a)

      4,900           298,900   
       

 

 

  
       5,266,078   
       

 

 

  

Financials - 2.5%

        

Capital Markets - 2.5%

        

Affiliated Managers Group, Inc. (a)

      4,221           721,749   

BlackRock, Inc.-Class A

      1,366           406,344   

Virtu Financial, Inc.-Class A

      25,603           586,820   
       

 

 

  
       1,714,913   
       

 

 

  

Telecommunication Services - 1.3%

        

Diversified Telecommunication Services - 1.3%

        

Level 3 Communications, Inc. (a)

      20,400           891,277   
       

 

 

  

Total Common Stocks
(cost $51,514,761)

           65,606,661   
       

 

 

  
     Principal
Amount
(000)		           

SHORT-TERM INVESTMENTS - 3.4%

        

Time Deposit - 3.4%

        

State Street Time Deposit
0.01%, 10/01/15
(cost $2,325,463)

    $ 2,325           2,325,463   
       

 

 

  

 

Company

    Shares        U.S. $ Value  

Total Investments Before Security Lending Collateral for Securities Loaned - 100.3%
(cost $53,840,224)

           67,932,124   
       

 

 

  

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED - 1.2%

        

Investment Companies - 1.2%

        

AB Exchange Reserves-Class I, 0.13% (c)(d)
(cost $787,194)

      787,194           787,194   

Total Investments - 101.5%
(cost $54,627,418) (e)

           68,719,318   

Other assets less liabilities - (1.5)%

           (1,015,475 ) 
       

 

 

  

Net Assets - 100.0%

         $ 67,703,843   
       

 

 

  

 

(a) Non-income producing security.
(b) Represents entire or partial securities out on loan.
(c) 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.
(d) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(e) As of September 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $15,594,583 and gross unrealized depreciation of investments was $(1,502,683), resulting in net unrealized appreciation of $14,091,900.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market.

AB Variable Products Series Fund

AB Growth Portfolio

September 30, 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 about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

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

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.

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 September 30, 2015:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

  

Common Stocks*

    $ 65,606,661      $ – 0  –    $ – 0  –    $ 65,606,661   

Short-Term Investments

      – 0  –      2,325,463        – 0  –      2,325,463   

Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund

      787,194        – 0  –      – 0  –      787,194   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      66,393,855        2,325,463        – 0  –      68,719,318   

Other Financial Instruments**

      – 0  –      – 0  –      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total+

    $     66,393,855      $       2,325,463      $               – 0  –    $     68,719,318   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* See Portfolio of Investments for sector classifications.
** Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of 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 compare 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).

AB Variable Products Series Fund

AB Growth and Income Portfolio

Portfolio of Investments

September 30, 2015 (unaudited)

 

Company

    Shares        U.S. $ Value  

COMMON STOCKS - 97.2%

  

Financials - 22.1%

  

Banks - 8.9%

  

JPMorgan Chase & Co.

      548,370         $ 33,434,119   

Wells Fargo & Co.

      670,570           34,433,769   
       

 

 

  
          67,867,888   
       

 

 

  

Capital Markets - 3.4%

  

BlackRock, Inc. - Class A

      20,020           5,955,349   

Goldman Sachs Group, Inc. (The)

      99,790           17,339,510   

Virtu Financial, Inc. - Class A (a)

      133,843           3,067,682   
       

 

 

  
          26,362,541   
       

 

 

  

Consumer Finance - 1.1%

  

Capital One Financial Corp.

      120,520           8,740,110   
       

 

 

  

Diversified Financial Services - 2.4%

  

Berkshire Hathaway, Inc. - Class B (b)

      138,882           18,110,213   
       

 

 

  

Insurance - 6.3%

  

ACE Ltd.

      264,250           27,323,450   

Allstate Corp. (The)

      119,330           6,949,779   

Hartford Financial Services Group, Inc. (The)

      142,300           6,514,494   

Validus Holdings Ltd.

      157,589           7,102,537   
       

 

 

  
          47,890,260   
       

 

 

  
          168,971,012   
       

 

 

  

Health Care - 20.5%

  

Biotechnology - 5.4%

  

Amgen, Inc.

      28,490           3,940,737   

Biogen, Inc. (b)

      71,350           20,820,643   

Gilead Sciences, Inc.

      166,250           16,324,088   
       

 

 

  
          41,085,468   
       

 

 

  

Health Care Equipment & Supplies - 2.7%

  

Medtronic PLC

      168,995           11,312,525   

Stryker Corp.

      95,880           9,022,308   
       

 

 

  
          20,334,833   
       

 

 

  

Health Care Providers & Services - 6.4%

  

Aetna, Inc.

      65,910           7,211,213   

Cigna Corp.

      105,710           14,272,964   

Express Scripts Holding Co. (b)

      54,140           4,383,174   

UnitedHealth Group, Inc.

      195,890           22,725,199   
       

 

 

  
          48,592,550   
       

 

 

  

Pharmaceuticals - 6.0%

  

Pfizer, Inc.

      1,009,550           31,709,966   

Teva Pharmaceutical Industries Ltd. (Sponsored ADR)

      256,705           14,493,564   
       

 

 

  
          46,203,530   
       

 

 

  
          156,216,381   
       

 

 

  

Company

    Shares        U.S. $ Value  

Information Technology - 17.3%

  

Communications Equipment - 3.5%

  

Cisco Systems, Inc.

      754,650           19,809,563   

Harris Corp.

      90,200           6,598,130   
       

 

 

  
          26,407,693   
       

 

 

  

Electronic Equipment, Instruments & Components - 0.7%

  

TE Connectivity Ltd.

      89,800           5,378,122   
       

 

 

  

IT Services - 0.8%

  

Vantiv, Inc. - Class A (b)

      140,521           6,312,203   
       

 

 

  

Semiconductors & Semiconductor Equipment - 4.8%

  

Intel Corp.

      616,380           18,577,693   

NVIDIA Corp.

      553,314           13,639,190   

Xilinx, Inc.

      108,290           4,591,496   
       

 

 

  
          36,808,379   
       

 

 

  

Software - 4.6%

  

Activision Blizzard, Inc.

      522,591           16,142,836   

Check Point Software Technologies Ltd. (b)

      81,871           6,494,826   

Microsoft Corp.

      277,510           12,282,593   
       

 

 

  
          34,920,255   
       

 

 

  

Technology Hardware, Storage & Peripherals - 2.9%

  

Apple, Inc.

      203,545           22,451,014   
       

 

 

  
          132,277,666   
       

 

 

  

Consumer Discretionary - 13.5%

  

Auto Components - 0.6%

  

Delphi Automotive PLC

      63,430           4,823,217   
       

 

 

  

Hotels, Restaurants & Leisure - 0.9%

  

Wyndham Worldwide Corp.

      91,530           6,581,007   
       

 

 

  

Internet & Catalog Retail - 2.9%

  

Liberty Interactive Corp. QVC Group - Class A (b)

      687,048           18,021,269   

Liberty TripAdvisor Holdings, Inc. (b)

      188,917           4,188,290   
       

 

 

  
          22,209,559   
       

 

 

  

Media - 7.1%

  

Comcast Corp. - Class A

      364,400           20,727,072   

Interpublic Group of Cos., Inc. (The)

      888,260           16,992,414   

Time Warner, Inc.

      236,720           16,274,500   
       

 

 

  
          53,993,986   
       

 

 

  

Specialty Retail - 2.0%

  

Best Buy Co., Inc.

      184,720           6,856,806   

DSW, Inc. - Class A

      215,077           5,443,599   

Lowe’s Cos., Inc.

      48,500           3,342,620   
       

 

 

  
          15,643,025   
       

 

 

  
          103,250,794   
       

 

 

  

Industrials - 10.5%

  

Aerospace & Defense - 7.3%

  

Boeing Co. (The)

      109,830           14,382,239   

General Dynamics Corp.

      146,410           20,197,260   

Company

    Shares        U.S. $ Value  

Honeywell International, Inc.

      70,000           6,628,300   

Raytheon Co.

      129,890           14,191,781   
       

 

 

  
          55,399,580   
       

 

 

  

Airlines - 0.9%

        

Delta Air Lines, Inc.

      149,460           6,706,270   
       

 

 

  

Construction & Engineering - 0.8%

        

Jacobs Engineering Group, Inc. (b)

      163,380           6,115,313   
       

 

 

  

Machinery - 1.5%

        

Dover Corp.

      77,700           4,442,886   

Parker-Hannifin Corp.

      27,899           2,714,573   

Snap-on, Inc.

      30,380           4,585,557   
       

 

 

  
          11,743,016   
       

 

 

  
          79,964,179   
       

 

 

  

Energy - 6.8%

        

Energy Equipment & Services - 2.0%

        

Cameron International Corp. (b)

      97,110           5,954,785   

Dril-Quip, Inc. (b)

      55,050           3,205,011   

Schlumberger Ltd.

      80,770           5,570,707   
       

 

 

  
          14,730,503   
       

 

 

  

Oil, Gas & Consumable Fuels - 4.8%

        

Exxon Mobil Corp.

      329,880           24,526,578   

Valero Energy Corp.

      204,890           12,313,889   
       

 

 

  
          36,840,467   
       

 

 

  
          51,570,970   
       

 

 

  

Consumer Staples - 3.9%

        

Beverages - 0.8%

        

PepsiCo, Inc.

      64,020           6,037,086   
       

 

 

  

Food & Staples Retailing - 3.1%

        

CVS Health Corp.

      247,051           23,835,480   
       

 

 

  
          29,872,566   
       

 

 

  

Telecommunication Services - 2.2%

        

Diversified Telecommunication Services - 2.2%

        

Verizon Communications, Inc.

      379,705           16,520,965   
       

 

 

  

Materials - 0.4%

        

Chemicals - 0.4%

        

Mosaic Co. (The)

      109,550           3,408,101   
       

 

 

  

Total Common Stocks
(cost $646,813,121)

           742,052,634   
       

 

 

  

 

      Principal
Amount
(000)		        U.S. $ Value  

SHORT-TERM INVESTMENTS - 3.5%

  

Time Deposit - 3.5%

  

State Street Time Deposit
0.01%, 10/01/15
(cost $26,908,336)

    $ 26,908           26,908,336   
       

 

 

  

Total Investments Before Security Lending Collateral for Securities Loaned - 100.7%
(cost $673,721,457)

   

        768,960,970   
       

 

 

  
     Shares           

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED - 0.9%

        

Investment Companies - 0.9%

        

AB Exchange Reserves - Class I, 0.13% (c)(d)
(cost $6,556,987)

      6,556,987           6,556,987   
       

 

 

  

Total Investments - 101.6%
(cost $680,278,444) (e)

   

        775,517,957   

Other assets less liabilities - (1.6)%

  

        (12,276,554 ) 
       

 

 

  

Net Assets - 100.0%

  

      $ 763,241,403   
       

 

 

  

 

(a) Represents entire or partial securities out on loan.
(b) Non-income producing security.
(c) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(d) 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.
(e) As of September 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $120,848,196 and gross unrealized depreciation of investments was $(25,608,683), resulting in net unrealized appreciation of $95,239,513.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market.

Glossary:

 

ADR    -    American Depositary Receipt

AB Variable Products Series Fund

AB Growth and Income Portfolio

September 30, 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 about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

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

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

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2015:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

  

Common Stocks*

    $ 742,052,634      $ – 0  –    $ – 0  –    $ 742,052,634   

Short-Term Investments

      – 0  –      26,908,336        – 0  –      26,908,336   

Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund

      6,556,987        – 0  –      – 0  –      6,556,987   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      748,609,621        26,908,336        – 0  –      775,517,957   

Other Financial Instruments**

      – 0  –      – 0  –      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total+

    $     748,609,621      $       26,908,336      $                 – 0  –    $     775,517,957   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* See Portfolio of Investments for sector classifications.
** Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of 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 compare 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).

AB Variable Products Series Fund

AB Intermediate Bond Portfolio

Portfolio of Investments

September 30, 2015 (unaudited)

 

     Principal
Amount
(000)		        U.S. $ Value  

CORPORATES - INVESTMENT GRADE - 26.7%

  

     

Industrial - 17.8%

        

Basic - 1.4%

        

Barrick Gold Corp.

        

4.10%, 5/01/23

    U.S.$ 47         $ 41,591   

Dow Chemical Co. (The)

        

8.55%, 5/15/19

      86           103,963   

Eastman Chemical Co.

        

3.80%, 3/15/25

      65           63,452   

Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc.

        

6.50%, 11/15/20

      31           27,958   

Glencore Funding LLC

        

4.125%, 5/30/23 (a)

      58           45,639   

International Paper Co.

        

3.65%, 6/15/24

      32           31,625   

3.80%, 1/15/26

      61           60,100   

4.75%, 2/15/22

      54           58,320   

5.15%, 5/15/46

      27           26,376   

LyondellBasell Industries NV

        

5.75%, 4/15/24

      200           223,579   

Mosaic Co. (The)

        

5.625%, 11/15/43

      53           55,838   

Sociedad Quimica y Minera de Chile SA

        

3.625%, 4/03/23 (a)

      260           215,800   

Vale Overseas Ltd.

        

6.875%, 11/21/36

      40           31,404   
       

 

 

  
            985,645   
       

 

 

  

Capital Goods - 0.2%

        

Owens Corning

        

6.50%, 12/01/16 (b)

      10           10,671   

Yamana Gold, Inc.

        

4.95%, 7/15/24

      166           148,328   
       

 

 

  
          158,999   
       

 

 

  

Communications - Media - 2.8%

        

21st Century Fox America, Inc.

        

4.00%, 10/01/23

      64           65,586   

4.50%, 2/15/21

          300           324,325   

CBS Corp.

        

3.50%, 1/15/25

      190           182,984   

CCO Safari II LLC

        

4.908%, 7/23/25 (a)

      135           134,352   

Cox Communications, Inc.

        

2.95%, 6/30/23 (a)

      51           46,569   

Discovery Communications LLC

        

3.45%, 3/15/25

      105           97,278   

McGraw Hill Financial, Inc.

        

4.40%, 2/15/26 (a)

      127           128,881   

NBCUniversal Enterprise, Inc.

        

5.25%, 3/19/21 (a)(c)

      128           135,200   

TCI Communications, Inc.

        

7.875%, 2/15/26

      115           156,556   

     Principal
Amount
(000)		        U.S. $ Value  

Time Warner Cable, Inc.

        

4.125%, 2/15/21

    U.S.$ 200           205,564   

Time Warner, Inc.

        

3.55%, 6/01/24

      114           112,961   

7.625%, 4/15/31

      69           88,110   

Viacom, Inc.

        

3.875%, 4/01/24

      178           166,872   

5.625%, 9/15/19

      60           66,009   
       

 

 

  
            1,911,247   
       

 

 

  

Communications - Telecommunications - 2.7%

  

     

American Tower Corp.

        

5.05%, 9/01/20

      260           284,166   

AT&T, Inc.

        

3.40%, 5/15/25

      270           257,714   

Deutsche Telekom International Finance BV

        

4.875%, 3/06/42 (a)

      320           317,401   

DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.

  

     

3.80%, 3/15/22

      57           57,371   

4.45%, 4/01/24

      81           83,092   

5.00%, 3/01/21

      175           190,740   

Rogers Communications, Inc.

        

4.00%, 6/06/22

    CAD 27           21,360   

Telefonica Emisiones SAU

        

5.462%, 2/16/21

    U.S.$     120           134,084   

Verizon Communications, Inc.

        

3.50%, 11/01/24

      258           253,668   

3.85%, 11/01/42

      89           73,796   

6.55%, 9/15/43

      165           194,938   
       

 

 

  
          1,868,330   
       

 

 

  

Consumer Cyclical - Automotive - 0.9%

        

Ford Motor Credit Co. LLC

        

5.875%, 8/02/21

      455           515,062   

General Motors Co.

        

3.50%, 10/02/18

      80           80,646   

General Motors Financial Co., Inc.

        

3.25%, 5/15/18

      9           9,104   

4.00%, 1/15/25

      23           21,781   

4.30%, 7/13/25

      30           29,022   
       

 

 

  
          655,615   
       

 

 

  

Consumer Cyclical - Retailers - 0.8%

        

CVS Health Corp.

        

3.875%, 7/20/25

      140           144,313   

Kohl's Corp.

        

4.25%, 7/17/25

      184           184,322   

Walgreens Boots Alliance, Inc.

        

3.80%, 11/18/24

      195           193,957   
       

 

 

  
          522,592   
       

 

 

  

Consumer Non-Cyclical - 4.1%

        

AbbVie, Inc.

        

3.60%, 5/14/25

      97           95,668   

     Principal
Amount
(000)		        U.S. $ Value  

Actavis Funding SCS

        

3.80%, 3/15/25

    U.S.$     165           159,396   

3.85%, 6/15/24

      54           52,895   

Altria Group, Inc.

        

2.625%, 1/14/20

      195           197,073   

AstraZeneca PLC

        

6.45%, 9/15/37

      50           64,628   

Baxalta, Inc.

        

5.25%, 6/23/45 (a)

      75           75,701   

Bayer US Finance LLC

        

3.375%, 10/08/24 (a)

      200           201,067   

Becton Dickinson and Co.

        

3.734%, 12/15/24

      85           86,532   

Biogen, Inc.

        

4.05%, 9/15/25

      144           145,466   

Bunge Ltd. Finance Corp.

        

8.50%, 6/15/19

      2           2,390   

Celgene Corp.

        

3.875%, 8/15/25

      155           155,029   

Gilead Sciences, Inc.

        

3.65%, 3/01/26

      138           138,642   

Grupo Bimbo SAB de CV

        

3.875%, 6/27/24 (a)

      201           194,661   

Kraft Heinz Foods Co.

        

2.80%, 7/02/20 (a)

      70           70,459   

3.50%, 7/15/22 (a)

      94           96,023   

Kroger Co. (The)

        

3.40%, 4/15/22

      194           197,759   

Laboratory Corp. of America Holdings

        

3.60%, 2/01/25

      60           58,084   

Medtronic, Inc.

        

3.50%, 3/15/25

      195           198,967   

Perrigo Finance PLC

        

3.50%, 12/15/21

      200           197,461   

Reynolds American, Inc.

        

3.25%, 11/01/22

      127           126,352   

5.85%, 8/15/45

      44           48,953   

Thermo Fisher Scientific, Inc.

        

4.15%, 2/01/24

      78           80,790   

Tyson Foods, Inc.

        

2.65%, 8/15/19

      39           39,294   

3.95%, 8/15/24

      123           125,289   
       

 

 

  
            2,808,579   
       

 

 

  

Energy - 3.2%

        

Diamond Offshore Drilling, Inc.

        

4.875%, 11/01/43

      68           44,468   

Encana Corp.

        

3.90%, 11/15/21

      45           41,458   

Energy Transfer Partners LP

        

7.50%, 7/01/38

      149           156,308   

EnLink Midstream Partners LP

        

5.05%, 4/01/45

      125           105,907   

Enterprise Products Operating LLC

        

3.70%, 2/15/26

      161           152,137   

5.20%, 9/01/20

      55           60,480   

     Principal
Amount
(000)		        U.S. $ Value  

Kinder Morgan Energy Partners LP

        

3.95%, 9/01/22

    U.S.$     321           301,437   

4.15%, 3/01/22

      89           85,005   

Noble Energy, Inc.

        

3.90%, 11/15/24

      107           99,511   

8.25%, 3/01/19

      238           279,523   

Plains All American Pipeline LP/PAA Finance Corp.

        

3.60%, 11/01/24

      137           128,225   

Sunoco Logistics Partners Operations LP

        

5.30%, 4/01/44

      100           80,882   

TransCanada PipeLines Ltd.

        

6.35%, 5/15/67

      235           198,281   

Valero Energy Corp.

        

6.125%, 2/01/20

      177           200,697   

Weatherford International Ltd./Bermuda

        

9.625%, 3/01/19

      135           144,630   

Williams Partners LP

        

4.125%, 11/15/20

      97           98,728   
       

 

 

  
          2,177,677   
       

 

 

  

Other Industrial - 0.3%

        

Hutchison Whampoa International 14 Ltd.

        

1.625%, 10/31/17 (a)

      200           199,228   
       

 

 

  

Technology - 1.4%

        

Hewlett-Packard Co.

        

4.65%, 12/09/21

      107           113,470   

HP Enterprise Co.

        

4.90%, 10/15/25

      170           169,532   

KLA-Tencor Corp.

        

4.65%, 11/01/24

      134           133,904   

Motorola Solutions, Inc.

        

3.50%, 3/01/23

      86           77,504   

7.50%, 5/15/25

      25           28,774   

Seagate HDD Cayman

        

4.75%, 1/01/25

      75           71,997   

Tencent Holdings Ltd.

        

3.375%, 5/02/19 (a)

      205           208,422   

Total System Services, Inc.

        

2.375%, 6/01/18

      74           74,201   

3.75%, 6/01/23

      69           67,489   
       

 

 

  
          945,293   
       

 

 

  
            12,233,205   
       

 

 

  

Financial Institutions - 7.6%

        

Banking - 4.6%

        

ABN AMRO Bank NV

        

4.75%, 7/28/25 (a)

      200           198,137   

Compass Bank

        

5.50%, 4/01/20

      250           269,072   

Cooperatieve Centrale Raiffeisen- Boerenleenbank BA/Netherlands

        

4.375%, 8/04/25

      250           250,179   

Credit Suisse Group Funding Guernsey Ltd.

        

3.75%, 3/26/25 (a)

      270           262,212   

     Principal
Amount
(000)		        U.S. $ Value  

Goldman Sachs Group, Inc. (The)

        

3.75%, 5/22/25

    U.S.$     53           53,110   

3.85%, 7/08/24

      210           214,072   

Series D

        

6.00%, 6/15/20

      395           453,953   

Morgan Stanley

        

5.625%, 9/23/19

      143           159,753   

Series G

        

4.00%, 7/23/25

      178           181,915   

Murray Street Investment Trust I

        

4.647%, 3/09/17

      27           28,158   

Nationwide Building Society

        

6.25%, 2/25/20 (a)

      230           269,809   

Rabobank Capital Funding Trust III

        

5.254%, 10/21/16 (a)(c)

      90           90,788   

Standard Chartered PLC

        

Series E

        

4.00%, 7/12/22 (a)

      265           262,350   

UBS AG/Stamford CT

        

7.625%, 8/17/22

      250           287,622   

UBS Group Funding Jersey Ltd.

        

4.125%, 9/24/25 (a)

      200           198,953   
       

 

 

  
            3,180,083   
       

 

 

  

Finance - 0.3%

        

Aviation Capital Group Corp.

        

7.125%, 10/15/20 (a)

      155           180,863   
       

 

 

  

Insurance - 1.9%

        

American International Group, Inc.

        

4.875%, 6/01/22

      75           82,759   

6.40%, 12/15/20

      215           254,836   

Dai-ichi Life Insurance Co., Ltd. (The)

        

5.10%, 10/28/24 (a)(c)

      200           205,500   

Hartford Financial Services Group, Inc. (The)

        

5.50%, 3/30/20

      200           224,999   

Lincoln National Corp.

        

8.75%, 7/01/19

      113           138,022   

MetLife, Inc.

        

10.75%, 8/01/39

      85           132,600   

Nationwide Mutual Insurance Co.

        

9.375%, 8/15/39 (a)

      55           83,305   

Prudential Financial, Inc.

        

5.625%, 6/15/43

      185           190,920   
       

 

 

  
          1,312,941   
       

 

 

  

REITS - 0.8%

        

HCP, Inc.

        

5.375%, 2/01/21

      138           152,849   

Host Hotels & Resorts LP

        

Series D

        

3.75%, 10/15/23

      6           5,872   

Trust F/1401

        

5.25%, 12/15/24 (a)

      200           204,500   

Welltower, Inc.

        

5.25%, 1/15/22

    U.S.$     183           200,547   
       

 

 

  
          563,768   
       

 

 

  
          5,237,655   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Utility - 1.3%

        

Electric - 0.8%

        

Berkshire Hathaway Energy Co.

        

6.125%, 4/01/36

      170           204,703   

CMS Energy Corp.

        

5.05%, 3/15/22

      37           40,663   

Constellation Energy Group, Inc.

        

5.15%, 12/01/20

      64           70,380   

Entergy Corp.

        

4.00%, 7/15/22

      125           129,086   

Exelon Corp.

        

5.10%, 6/15/45

      45           45,948   

Exelon Generation Co. LLC

        

4.25%, 6/15/22

      78           79,826   
       

 

 

  
          570,606   
       

 

 

  

Natural Gas - 0.5%

        

Talent Yield Investments Ltd.

        

4.50%, 4/25/22 (a)

      305           316,483   
       

 

 

  
          887,089   
       

 

 

  

Total Corporates - Investment Grade
(cost $18,011,340)

             18,357,949   
       

 

 

  

MORTGAGE PASS-THROUGHS - 17.9%

        

Agency Fixed Rate 15-Year - 1.8%

        

Federal National Mortgage Association

        

3.50%, 10/01/30, TBA

      689           727,810   

2.50%, 9/01/30

      494           504,178   
       

 

 

  
          1,231,988   
       

 

 

  

Agency Fixed Rate 30-Year - 16.1%

        

Federal Home Loan Mortgage Corp. Gold

        

4.00%, 1/01/45

      723           781,823   

Series 2007

        

5.50%, 7/01/35

      40           44,103   

Series 2005

        

5.50%, 1/01/35

      149           166,115   

Federal National Mortgage Association

        

3.50%, 5/01/42-9/01/45

      3,043           3,201,801   

4.00%, 10/01/44

      827           895,165   

Series 2003

        

5.50%, 4/01/33-7/01/33

      136           152,799   

Series 2004

        

5.50%, 4/01/34-11/01/34

      124           139,285   

Series 2005

        

5.50%, 2/01/35

      151           169,644   

3.00%, 10/01/45, TBA

      371           375,927   

3.50%, 10/01/45, TBA

      29           30,246   

4.00%, 10/25/45, TBA

      508           541,814   

4.50%, 10/25/45, TBA

      1,533           1,661,868   

     Principal
Amount
(000)		        U.S. $ Value  

Government National Mortgage Association

        

4.50%, 7/20/45

    U.S.$     641           689,166   

3.00%, 10/01/45, TBA

      1,032           1,052,963   

3.50%, 10/01/45, TBA

      1,064           1,114,540   

Series 1994

        

9.00%, 9/15/24

      1           1,617   
       

 

 

  
          11,018,876   
       

 

 

  

Total Mortgage Pass-Throughs
(cost $12,132,048)

             12,250,864   
       

 

 

  

ASSET-BACKED SECURITIES - 15.7%

        

Autos - Fixed Rate - 9.3%

        

Ally Auto Receivables Trust

        

Series 2015-2, Class A3

        

1.49%, 11/15/19

      174           174,448   

Ally Master Owner Trust

        

Series 2015-3, Class A

        

1.63%, 5/15/20

      259           259,890   

AmeriCredit Automobile Receivables Trust

        

Series 2011-3, Class D

        

4.04%, 7/10/17

      188           188,870   

Series 2013-3, Class A3

        

0.92%, 4/09/18

      173           172,888   

Series 2013-4, Class A3

        

0.96%, 4/09/18

      79           78,740   

ARI Fleet Lease Trust

        

Series 2014-A, Class A2

        

0.81%, 11/15/22 (a)

      56           55,522   

Avis Budget Rental Car Funding AESOP LLC

        

Series 2013-2A, Class A

        

2.97%, 2/20/20 (a)

      288           297,100   

Series 2014-1A, Class A

        

2.46%, 7/20/20 (a)

      149           151,328   

Bank of The West Auto Trust

        

Series 2015-1, Class A3

        

1.31%, 10/15/19 (a)

      259           259,456   

California Republic Auto Receivables Trust

        

Series 2014-2, Class A4

        

1.57%, 12/16/19

      122           122,009   

Series 2015-2, Class A3

        

1.31%, 8/15/19

      118           118,189   

Capital Auto Receivables Asset Trust

        

Series 2013-3, Class A2

        

1.04%, 11/21/16

      6           5,900   

Series 2014-1, Class B

        

2.22%, 1/22/19

      60           60,787   

CPS Auto Receivables Trust

        

Series 2013-B, Class A

        

1.82%, 9/15/20 (a)

      112           111,250   

Series 2014-B, Class A

        

1.11%, 11/15/18 (a)

      53           52,997   

Drive Auto Receivables Trust

        

Series 2015-BA, Class A2A

        

0.93%, 12/15/17 (a)

      124           123,985   

Series 2015-CA, Class A2A

        

     Principal
Amount
(000)		        U.S. $ Value  

1.03%, 2/15/18 (a)

    U.S.$ 82           81,992   

Series 2015-DA, Class A2A

        

1.23%, 6/15/18 (a)

      103           102,995   

Enterprise Fleet Financing LLC

        

Series 2014-2, Class A2

        

1.05%, 3/20/20 (a)

      174           173,732   

Series 2015-1, Class A2

        

1.30%, 9/20/20 (a)

      263           262,730   

Exeter Automobile Receivables Trust

        

Series 2013-1A, Class A

        

1.29%, 10/16/17 (a)

      3           2,913   

Series 2014-1A, Class A

        

1.29%, 5/15/18 (a)

      23           23,051   

Series 2014-2A, Class A

        

1.06%, 8/15/18 (a)

      26           26,199   

Fifth Third Auto Trust

        

Series 2014-3, Class A4

        

1.47%, 5/17/21

      165             166,298   

Flagship Credit Auto Trust

        

Series 2013-1, Class A

        

1.32%, 4/16/18 (a)

      15           15,451   

Ford Auto Securitization Trust

        

Series 2013-R1A, Class A2

        

1.676%, 9/15/16 (a)

    CAD 2           1,731   

Ford Credit Auto Lease Trust

        

Series 2014-B, Class A3

        

0.89%, 9/15/17

    U.S.$     144           143,978   

Ford Credit Auto Owner Trust

        

Series 2012-D, Class B

        

1.01%, 5/15/18

      100           99,855   

Series 2014-2, Class A

        

2.31%, 4/15/26 (a)

      257           261,265   

Ford Credit Floorplan Master Owner Trust

        

Series 2015-2, Class A1

        

1.98%, 1/15/22

      198           198,663   

GM Financial Automobile Leasing Trust

        

Series 2015-1, Class A2

        

1.10%, 12/20/17

      260           260,599   

Series 2015-2, Class A3

        

1.68%, 12/20/18

      232           232,842   

GMF Floorplan Owner Revolving Trust

        

Series 2015-1, Class A1

        

1.65%, 5/15/20 (a)

      128           128,260   

Harley-Davidson Motorcycle Trust

        

Series 2015-1, Class A3

        

1.41%, 6/15/20

      137           137,410   

Hertz Vehicle Financing LLC

        

Series 2013-1A, Class A1

        

1.12%, 8/25/17 (a)

      175           175,125   

Series 2013-1A, Class A2

        

1.83%, 8/25/19 (a)

      485           483,995   

Hyundai Auto Lease Securitization Trust

        

Series 2015-A, Class A2

        

1.00%, 10/16/17 (a)

      177           177,088   

     Principal
Amount
(000)		        U.S. $ Value  

Series 2015-B, Class A3

        

1.40%, 11/15/18 (a)

    U.S.$     126           126,404   

Mercedes Benz Auto Lease Trust

        

Series 2014-A, Class A2A

        

0.48%, 6/15/16

      5           4,794   

Nissan Auto Lease Trust

        

Series 2015-A, Class A3

        

1.40%, 6/15/18

      202           203,070   

Santander Drive Auto Receivables Trust

        

Series 2013-4, Class A3

        

1.11%, 12/15/17

      39           39,015   

Series 2014-2, Class A3

        

0.80%, 4/16/18

      205           204,842   

Series 2015-3, Class A2A

        

1.02%, 9/17/18

      124           124,049   

Series 2015-4,Class A2A

        

1.20%, 12/17/18

      116           115,953   

TCF Auto Receivables Owner Trust

        

Series 2015-1A, Class A2

        

1.02%, 8/15/18 (a)

      169           168,960   
       

 

 

  
          6,376,618   
       

 

 

  

Credit Cards - Fixed Rate - 2.4%

        

American Express Credit Account Master Trust

        

Series 2014-2, Class A

        

1.26%, 1/15/20

      161           161,749   

Barclays Dryrock Issuance Trust

        

Series 2014-3, Class A

        

2.41%, 7/15/22

      320           329,939   

Series 2015-2, Class A

        

1.56%, 3/15/21

      183           184,601   

Discover Card Execution Note Trust

        

Series 2015-A2, Class A

        

1.90%, 10/17/22

      242           241,686   

Synchrony Credit Card Master Note Trust

        

Series 2012-2, Class A

        

2.22%, 1/15/22

      232           235,760   

Series 2015-3, Class A

        

1.74%, 9/15/21

      173           173,312   

World Financial Network Credit Card Master Trust

  

     

Series 2012-B, Class A

        

1.76%, 5/17/21

      190           191,758   

Series 2015-B,Class A

        

2.55%, 6/17/24

      113           114,796   
       

 

 

  
            1,633,601   
       

 

 

  

Autos - Floating Rate - 1.5%

        

BMW Floorplan Master Owner Trust

        

Series 2015-1A, Class A

        

0.707%, 7/15/20 (a)(b)

      214           213,312   

GE Dealer Floorplan Master Note Trust

        

Series 2014-1, Class A

        

0.596%, 7/20/19 (b)

      120           119,151   

Series 2015-1, Class A

        

0.716%, 1/20/20(b)

      227           225,325   

     Principal
Amount
(000)		        U.S. $ Value  

Hertz Fleet Lease Funding LP

        

Series 2013-3, Class A

        

0.753%, 12/10/27 (a)(b)

    U.S.$     102           102,500   

Navistar Financial Dealer Note Master Trust

        

Series 2014-1, Class A

        

0.944%, 10/25/19 (a)(b)

      197           196,203   

NCF Dealer Floorplan Master Trust

        

Series 2014-1A, Class A

        

1.716%, 10/20/20 (a)(b)

      197           197,000   
       

 

 

  
            1,053,491   
       

 

 

  

Credit Cards - Floating Rate - 1.2%

        

Cabela's Credit Card Master Note Trust

        

Series 2014-1, Class A

        

0.557%, 3/16/20 (b)

      205           204,655   

Discover Card Execution Note Trust

        

Series 2015-A1, Class A1

        

0.557%, 8/17/20 (b)

      263           262,056   

World Financial Network Credit Card Master Trust

  

     

Series 2014-A, Class A

        

0.587%, 12/15/19 (b)

      185           185,058   

Series 2015-A, Class A

        

0.687%, 2/15/22 (b)

      150           149,678   
       

 

 

  
          801,447   
       

 

 

  

Other ABS - Fixed Rate - 1.0%

        

CIT Equipment Collateral

        

Series 2014-VT1, Class A2

        

0.86%, 5/22/17 (a)

      196           196,042   

CNH Equipment Trust

        

Series 2014-B, Class A4

        

1.61%, 5/17/21

      101           101,418   

Series 2015-A, Class A4

        

1.85%, 4/15/21

      134           134,248   

Dell Equipment Finance Trust

        

Series 2015-1, Class A3

        

1.30%, 3/23/20 (a)

      119           118,816   

SBA Tower Trust

        

Series 2014-1A, Class C

        

2.898%, 10/15/44 (a)

      147           147,469   
       

 

 

  
          697,993   
       

 

 

  

Home Equity Loans - Floating Rate - 0.2%

  

     

Asset Backed Funding Certificates Trust

        

Series 2003-WF1, Class A2

        

1.319%, 12/25/32 (b)

      41           39,497   

GSAA Trust

        

Series 2006-5, Class 2A3

        

0.464%, 3/25/36 (b)

      180           122,419   
       

 

 

  
          161,916   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Home Equity Loans - Fixed Rate - 0.1%

        

Credit-Based Asset Servicing and Securitization LLC

        

Series 2003-CB1, Class AF

        

3.95%, 1/25/33

    U.S.$     78           78,454   
       

 

 

  

Total Asset-Backed Securities
(cost $10,779,179)

             10,803,520   
       

 

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES - 10.7%

        

Non-Agency Fixed Rate CMBS - 9.6%

        

Banc of America Commercial Mortgage Trust

  

     

Series 2007-4, Class A1A

        

5.774%, 2/10/51

      337           357,789   

Series 2007-5, Class AM

        

5.772%, 2/10/51

      78           82,005   

Bear Stearns Commercial Mortgage Securities Trust

        

Series 2006-PW13, Class AJ

        

5.611%, 9/11/41

      108           109,118   

BHMS Mortgage Trust

        

Series 2014-ATLS, Class AFX

        

3.601%, 7/05/33 (a)

      200           204,664   

CGRBS Commercial Mortgage Trust

        

Series 2013-VN05, Class A

        

3.369%, 3/13/35 (a)

      260           269,737   

Citigroup Commercial Mortgage Trust

        

Series 2006-C4, Class A1A

        

5.973%, 3/15/49

      102           103,296   

Series 2015-GC27, Class A5

        

3.137%, 2/10/48

      144           143,196   

COBALT CMBS Commercial Mortgage Trust

        

Series 2007-C3, Class A4

        

5.959%, 5/15/46

      165           175,066   

Commercial Mortgage Trust

        

Series 2006-C8, Class A1A

        

5.292%, 12/10/46

      245           254,070   

Series 2006-C8, Class A4

        

5.306%, 12/10/46

      180           185,300   

Series 2007-GG9, Class A4

        

5.444%, 3/10/39

      428           444,628   

Series 2013-SFS, Class A1

        

1.873%, 4/12/35 (a)

      103           102,433   

Credit Suisse Commercial Mortgage Trust

        

Series 2007-C3, Class AM

        

5.889%, 6/15/39

      95           97,410   

CSAIL Commercial Mortgage Trust

        

Series 2015-C3, Class A4

        

3.718%, 8/15/48

      189           199,227   

DBUBS Mortgage Trust

        

Series 2011-LC1A, Class E

        

5.735%, 11/10/46 (a)

      100           107,971   

Extended Stay America Trust

        

Series 2013-ESH7, Class A17

        

2.295%, 12/05/31 (a)

      180           180,360   

     Principal
Amount
(000)		        U.S. $ Value  

GS Mortgage Securities Corp. II

        

Series 2013-KING, Class A

        

2.706%, 12/10/27 (a)

    U.S.$     259           264,396   

GS Mortgage Securities Trust

        

Series 2007-GG10, Class A4

        

5.989%, 8/10/45

      116           122,378   

Series 2013-G1, Class A2

        

3.557%, 4/10/31 (a)

      136           139,369   

JP Morgan Chase Commercial Mortgage Securities Trust

        

Series 2006-LDP9, Class AM

        

5.372%, 5/15/47

      76           77,492   

Series 2010-C2, Class A1

        

2.749%, 11/15/43 (a)

      60           60,188   

Series 2011-C5, Class D

        

5.50%, 8/15/46 (a)

      100           105,541   

JPMBB Commercial Mortgage Securities Trust

        

Series 2015-C31, Class A3

        

3.801%, 8/15/48

      206           217,682   

Merrill Lynch Mortgage Trust

        

Series 2006-C2, Class A1A

        

5.739%, 8/12/43

      147           150,773   

Merrill Lynch/Countrywide Commercial Mortgage Trust

  

     

Series 2006-4, Class A1A

        

5.166%, 12/12/49

      261           269,659   

Series 2007-9, Class A4

        

5.70%, 9/12/49

      1,105           1,169,104   

UBS-Barclays Commercial Mortgage Trust

        

Series 2012-C3, Class A4

        

3.091%, 8/10/49

      60           61,107   

Series 2012-C4, Class A5

        

2.85%, 12/10/45

      112           112,995   

Wachovia Bank Commercial Mortgage Trust

  

     

Series 2006-C23, Class A5

        

5.416%, 1/15/45

      380           381,776   

Series 2006-C26, Class A1A

        

6.009%, 6/15/45

      86           87,620   

WF-RBS Commercial Mortgage Trust

        

Series 2013-C14, Class A5

        

3.337%, 6/15/46

      233           240,780   

Series 2014-C20, Class A2

        

3.036%, 5/15/47

      125           129,962   
       

 

 

  
            6,607,092   
       

 

 

  

Non-Agency Floating Rate CMBS - 1.1%

        

Commercial Mortgage Trust

        

Series 2014-KYO, Class A

        

1.104%, 6/11/27 (a)(b)

      102           100,799   

Series 2014-SAVA, Class A

        

1.357%, 6/15/34 (a)(b)

      81           81,027   

JP Morgan Chase Commercial Mortgage Securities Trust

        

Series 2014-INN, Class A

        

1.127%, 6/15/29 (a)(b)

      201           199,555   

     Principal
Amount
(000)		        U.S. $ Value  

PFP III Ltd.

        

Series 2014-1, Class A

        

1.629%, 6/14/31 (a)(b)

    U.S.$ 84           83,604   

Resource Capital Corp., Ltd.

        

Series 2014-CRE2, Class A

        

1.257%, 4/15/32 (a)(b)

      100           99,397   

Starwood Retail Property Trust

        

Series 2014-STAR, Class A

        

1.427%, 11/15/27 (a)(b)

      196           194,339   
       

 

 

  
          758,721   
       

 

 

  

Total Commercial Mortgage-Backed Securities
(cost $7,408,015)

           7,365,813   
       

 

 

  

GOVERNMENTS - TREASURIES - 10.4%

        

Brazil - 0.4%

        

Brazil Notas do Tesouro Nacional

        

Series F

        

10.00%, 1/01/17

    BRL 1,030           243,661   
       

 

 

  

Canada - 1.0%

        

Canadian Government Bond

        

2.25%, 6/01/25

    CAD 870           698,542   
       

 

 

  

United Kingdom - 0.8%

        

United Kingdom Gilt

        

3.75%, 9/07/21 (a)

    GBP 320           551,382   
       

 

 

  

United States - 8.2%

        

U.S. Treasury Bonds

        

3.625%, 8/15/43-2/15/44

    U.S.$     564           648,389   

4.50%, 2/15/36

      654           858,065   

4.625%, 2/15/40

      2,560           3,401,933   

U.S. Treasury Notes

        

1.50%, 8/31/18

      115           116,950   

2.25%, 11/15/24

      171           174,095   

2.375%, 8/15/24

      199           205,372   

2.50%, 8/15/23

      215           224,725   
       

 

 

  
          5,629,529   
       

 

 

  

Total Governments - Treasuries
(cost $6,501,882)

           7,123,114   
       

 

 

  

COLLATERALIZED MORTGAGE OBLIGATIONS - 5.9%

  

     

GSE Risk Share Floating Rate - 3.1%

        

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

  

     

Series 2014-DN3, Class M2

        

2.594%, 8/25/24 (b)

      335           337,188   

Series 2014-DN4, Class M3

        

4.744%, 10/25/24 (b)

      250           250,299   

Series 2014-HQ3, Class M2

        

2.844%, 10/25/24 (b)

      250           252,200   

Series 2015-DNA1, Class M3

        

3.494%, 10/25/27 (b)

      250           235,859   

Series 2015-HQA1, Class M2

        

     Principal
Amount
(000)		        U.S. $ Value  

2.844%, 3/25/28 (b)

    U.S.$     250           250,000   

Federal National Mortgage Association Connecticut Avenue Securities

        

Series 2014-C03, Class 1M1

        

1.394%, 7/25/24 (b)

      55           54,909   

Series 2014-C04, Class 1M2

        

5.094%, 11/25/24 (b)

      169           169,457   

Series 2014-C04, Class 2M2

        

5.194%, 11/25/24 (b)

      65           65,493   

Series 2015-C01, Class 1M2

        

4.494%, 2/25/25 (b)

      95           92,326   

Series 2015-C01, Class 2M2

        

4.744%, 2/25/25 (b)

      71           70,820   

Series 2015-C02, Class 2M2

        

4.194%, 5/25/25 (b)

      130           124,236   

Series 2015-C03, Class 1M2

        

5.194%, 7/25/25 (b)

      60           59,820   

Series 2015-C03, Class 2M2

        

5.194%, 7/25/25 (b)

      105           104,873   

Wells Fargo Credit Risk Transfer Securities Trust

  

     

Series 2015-WF1, Class 1M2

        

5.447%, 11/25/25 (a)(b)

      48           48,300   

Series 2015-WF1, Class 2M2

        

5.697%, 11/25/25 (a)(b)

      21           20,700   
       

 

 

  
            2,136,480   
       

 

 

  

Non-Agency Fixed Rate - 1.8%

        

Alternative Loan Trust

        

Series 2005-20CB, Class 3A6

        

5.50%, 7/25/35

      31           29,438   

Series 2005-57CB, Class 4A3

        

5.50%, 12/25/35

      75           69,231   

Series 2006-23CB, Class 1A7

        

6.00%, 8/25/36

      41           39,830   

Series 2006-24CB, Class A16

        

5.75%, 6/25/36

      113           101,374   

Series 2006-28CB, Class A14

        

6.25%, 10/25/36

      78           66,460   

Series 2006-9T1, Class A1

        

5.75%, 5/25/36

      48           41,554   

Series 2006-J1, Class 1A13

        

5.50%, 2/25/36

      70           62,969   

Series 2007-2CB, Class 2A4

        

5.75%, 3/25/37

      62           55,134   

Chase Mortgage Finance Trust

        

Series 2007-S5, Class 1A17

        

6.00%, 7/25/37

      37           31,622   

Citigroup Mortgage Loan Trust, Inc.

        

Series 2005-2, Class 1A4

        

2.617%, 5/25/35

      92           89,178   

Countrywide Home Loan Mortgage Pass-Through Trust

  

     

Series 2006-10, Class 1A8

        

6.00%, 5/25/36

      61           56,690   

Series 2006-13, Class 1A18

        

     Principal
Amount
(000)		        U.S. $ Value  

6.25%, 9/25/36

    U.S.$     88           80,269   

Series 2006-13, Class 1A19

        

6.25%, 9/25/36

      32           28,944   

Series 2007-HYB2, Class 3A1

        

2.596%, 2/25/47

      140           123,591   

First Horizon Alternative Mortgage Securities Trust

        

Series 2006-FA3, Class A9

        

6.00%, 7/25/36

      110           91,184   

JP Morgan Alternative Loan Trust

        

Series 2006-A3, Class 2A1

        

2.693%, 7/25/36

      215           178,794   

JP Morgan Mortgage Trust

        

Series 2007-S3, Class 1A8

        

6.00%, 8/25/37

      51           47,013   

Wells Fargo Mortgage Backed Securities Trust

        

Series 2007-8, Class 2A5

        

5.75%, 7/25/37

      44           42,507   
       

 

 

  
            1,235,782   
       

 

 

  

Non-Agency Floating Rate - 0.9%

        

Deutsche Alt-A Securities Mortgage Loan Trust

        

Series 2006-AR4, Class A2

        

0.384%, 12/25/36 (b)

      195           121,993   

HomeBanc Mortgage Trust

        

Series 2005-1, Class A1

        

0.444%, 3/25/35 (b)

      91           80,948   

IndyMac Index Mortgage Loan Trust

        

Series 2006-AR15, Class A1

        

0.314%, 7/25/36 (b)

      143           116,541   

JP Morgan Chase Commercial Mortgage Securities Trust

        

Series 2015-SGP, Class A

        

1.894%, 7/15/36 (a)(b)

      138           137,830   

Washington Mutual Mortgage Pass-Through Certificates

        

Series 2007-OA1, Class A1A

        

0.899%, 2/25/47 (b)

      187           149,406   
       

 

 

  
          606,718   
       

 

 

  

Agency Fixed Rate - 0.1%

        

Fannie Mae Grantor Trust

        

Series 2004-T5, Class AB4

        

0.764%, 5/28/35

      50           45,911   

Federal National Mortgage Association REMICS

        

Series 2010-117, Class DI

        

4.50%, 5/25/25 (d)

      500           52,245   
       

 

 

  
          98,156   
       

 

 

  

Total Collateralized Mortgage Obligations
(cost $4,200,613)

           4,077,136   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

CORPORATES - NON-INVESTMENT GRADE - 5.6%

  

     

Industrial - 2.8%

        

Basic - 0.4%

        

Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding B

        

7.375%, 5/01/21 (a)

    U.S.$     150           158,062   

Novelis, Inc.

        

8.375%, 12/15/17

      18           17,460   

Teck Resources Ltd.

        

4.50%, 1/15/21

      165           111,210   
       

 

 

  
          286,732   
       

 

 

  

Communications - Media - 0.7%

        

Arqiva Broadcast Finance PLC

        

9.50%, 3/31/20 (a)

    GBP 100           163,453   

CSC Holdings LLC

        

8.625%, 2/15/19

    U.S.$ 29           29,870   

Quebecor Media, Inc.

        

5.75%, 1/15/23

      75           73,875   

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH

        

5.50%, 1/15/23 (a)

      200           199,750   
       

 

 

  
          466,948   
       

 

 

  

Communications - Telecommunications - 0.6%

  

     

Numericable-SFR SAS

        

5.375%, 5/15/22 (a)

    EUR 120           134,372   

Sprint Capital Corp.

        

6.90%, 5/01/19

    U.S.$ 210           184,800   

Sprint Corp.

        

7.875%, 9/15/23

      24           19,425   

Windstream Services LLC

        

6.375%, 8/01/23

      80           57,648   
       

 

 

  
            396,245   
       

 

 

  

Consumer Cyclical - Automotive - 0.1%

        

Goodyear Tire & Rubber Co. (The)

        

8.25%, 8/15/20

      36           37,485   
       

 

 

  

Consumer Cyclical - Other - 0.1%

        

KB Home

        

4.75%, 5/15/19

      63           60,559   
       

 

 

  

Consumer Cyclical - Retailers - 0.1%

        

CST Brands, Inc.

        

5.00%, 5/01/23

      75           74,438   
       

 

 

  

Consumer Non-Cyclical - 0.3%

        

First Quality Finance Co., Inc.

        

4.625%, 5/15/21 (a)

      85           79,050   

Voyage Care Bondco PLC

        

6.50%, 8/01/18 (a)

    GBP 100           154,331   
       

 

 

  
          233,381   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Energy - 0.3%

        

ONEOK, Inc.

        

4.25%, 2/01/22

    U.S.$     203           175,087   

SM Energy Co.

        

6.50%, 1/01/23

      9           8,370   

Transocean, Inc.

        

6.50%, 11/15/20

      75           57,375   
       

 

 

  
          240,832   
       

 

 

  

Technology - 0.2%

        

Advanced Micro Devices, Inc.

        

6.75%, 3/01/19

      59           40,784   

Audatex North America, Inc.

        

6.00%, 6/15/21 (a)

      73           73,145   
       

 

 

  
          113,929   
       

 

 

  
          1,910,549   
       

 

 

  

Financial Institutions - 2.5%

        

Banking - 2.1%

        

Bank of America Corp.

        

Series Z

        

6.50%, 10/23/24 (c)

      49           49,980   

Barclays Bank PLC

        

6.86%, 6/15/32 (a)(c)

      29           32,915   

7.625%, 11/21/22

      200           224,125   

7.75%, 4/10/23

      200           214,250   

Credit Suisse Group AG

        

7.50%, 12/11/23 (a)(c)

      200           208,500   

HBOS Capital Funding LP

        

4.939%, 5/23/16 (c)

    EUR 82           91,170   

Intesa Sanpaolo SpA

        

5.017%, 6/26/24 (a)

    U.S.$ 202           199,333   

Lloyds Banking Group PLC

        

7.50%, 6/27/24 (c)

      200           204,180   

Royal Bank of Scotland PLC (The)

        

9.50%, 3/16/22 (a)

      39           42,506   

UniCredit Luxembourg Finance SA

        

6.00%, 10/31/17 (a)

      190           199,584   
       

 

 

  
          1,466,543   
       

 

 

  

Finance - 0.4%

        

AerCap Aviation Solutions BV

        

6.375%, 5/30/17

      200           208,250   

International Lease Finance Corp.

        

5.875%, 4/01/19

      55           57,832   
       

 

 

  
          266,082   
       

 

 

  
          1,732,625   
       

 

 

  

Utility - 0.3%

        

Electric - 0.3%

        

AES Corp./VA

        

7.375%, 7/01/21

      70           72,625   

     Principal
Amount
(000)		        U.S. $ Value  

NRG Energy, Inc.

        

7.875%, 5/15/21

    U.S.$     70           70,963   

Series WI

        

6.25%, 5/01/24

      54           47,655   
       

 

 

  
          191,243   
       

 

 

  

Total Corporates - Non-Investment Grade
(cost $4,093,233)

           3,834,417   
       

 

 

  

INFLATION-LINKED SECURITIES - 3.6%

        

United States - 3.6%

        

U.S. Treasury Inflation Index
0.125%, 4/15/19 (TIPS)
(cost $2,509,849)

      2,465           2,456,363   
       

 

 

  

AGENCIES - 3.1%

        

United States - 3.1%

        

Residual Funding Corp. Principal Strip
Zero Coupon, 7/15/20
(cost $1,905,166)

      2,292           2,108,633   
       

 

 

  

QUASI-SOVEREIGNS - 1.6%

        

Quasi-Sovereign Bonds - 1.6%

        

Chile - 0.6%

        

Corp. Nacional del Cobre de Chile

        

4.50%, 9/16/25 (a)

      200           192,125   

Empresa de Transporte de Pasajeros Metro SA

        

4.75%, 2/04/24 (a)

      210           212,297   
       

 

 

  
          404,422   
       

 

 

  

Malaysia - 0.7%

        

Petronas Capital Ltd.

        

5.25%, 8/12/19 (a)

      420           457,964   
       

 

 

  

Mexico - 0.3%

        

Petroleos Mexicanos

        

3.50%, 7/18/18-1/30/23

      226           210,171   
       

 

 

  

Total Quasi-Sovereigns
(cost $1,042,764)

             1,072,557   
       

 

 

  

GOVERNMENTS - SOVEREIGN AGENCIES - 1.0%

  

     

Governments - Sovereign Agencies - 1.0%

  

     

Brazil - 0.1%

        

Petrobras Global Finance BV

        

5.75%, 1/20/20

      147           109,655   
       

 

 

  

Germany - 0.1%

        

Landwirtschaftliche Rentenbank

        

5.125%, 2/01/17

      70           74,114   
       

 

 

  

Colombia - 0.1%

        

Ecopetrol SA

        

5.875%, 5/28/45

      57           43,890   
       

 

 

  

Canada - 0.1%

        

NOVA Chemicals Corp.

        

5.25%, 8/01/23 (a)

      74           71,687   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Israel - 0.3%

        

Israel Electric Corp. Ltd.

        

Series 6

        

5.00%, 11/12/24 (a)

    U.S.$ 200           204,072   
       

 

 

  

United Kingdom - 0.3%

        

Royal Bank of Scotland Group PLC

        

7.50%, 8/10/20 (c)

      200           199,562   
       

 

 

  

Total Governments - Sovereign Agencies
(cost $754,023)

           702,980   
       

 

 

  
     Shares           

PREFERRED STOCKS - 0.5%

        

Financial Institutions - 0.5%

        

Insurance - 0.3%

        

Allstate Corp. (The)

        

5.10%

      7,925           201,136   
       

 

 

  

REITS - 0.2%

        

Sovereign Real Estate Investment Trust

        

12.00% (a)

      93           122,760   
       

 

 

  

Total Preferred Stocks
(cost $299,415)

           323,896   
       

 

 

  
     Principal
Amount
(000)		           

LOCAL GOVERNMENTS - MUNICIPAL BONDS - 0.4%

  

     

United States - 0.4%

        

State of California

        

Series 2010

        

7.625%, 3/01/40
(cost $203,190)

    U.S.$ 200           286,976   
       

 

 

  

EMERGING MARKETS - CORPORATE BONDS - 0.1%

  

     

Industrial - 0.1%

        

Consumer Non-Cyclical - 0.1%

        

Marfrig Overseas Ltd.

        

9.50%, 5/04/20 (a)
(cost $99,816)

      100           97,000   
       

 

 

  

GOVERNMENTS - SOVEREIGN BONDS - 0.1%

  

     

Mexico - 0.1%

        

Mexico Government International Bond

        

Series E

        

5.95%, 3/19/19
(cost $47,409)

      42           47,103   
       

 

 

  
     Shares           

WARRANTS - 0.0%

        

Talon Equity Co. NV, expiring 11/24/15 (e)(f)(g)
(cost $0)

      47           0   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

SHORT-TERM INVESTMENTS - 0.4%

        

Time Deposit - 0.4%

        

State Street Time Deposit

        

0.01%, 10/01/15
(cost $266,595)

    U.S.$     267           266,595   
       

 

 

  

Total Investments - 103.7%
(cost $70,254,537) (h)

           71,174,916   

Other assets less liabilities - (3.7)% (i)

           (2,511,485 ) 
       

 

 

  

Net Assets - 100.0%

         $     68,663,431   
       

 

 

  

FUTURES

 

Type

    Number
of
Contracts		      Expiration
Month		      Original
Value		      Value at
September 30,
2015		      Unrealized
Appreciation/
(Depreciation)		  

Purchased Contracts

  

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

      18         December 2015       $ 3,938,089       $ 3,942,563       $ 4,474   

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

      55         December 2015         6,600,466         6,628,359         27,893   

U.S. Ultra Bond (CBT) Futures

      1         December 2015         160,407         160,406         (1 ) 

Sold Contracts

               

Euro-BOBL Futures

      19         December 2015         2,720,250         2,739,171         (18,921 ) 

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

      15         December 2015         1,917,862         1,931,016         (13,154 ) 
              

 

 

  
               $ 291   
              

 

 

  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

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

Barclays Bank PLC

      JPY         260,000         USD         2,101         10/15/15       $ (66,638 ) 

BNP Paribas SA

      USD         348         GBP         229         11/10/15         (819 ) 

Deutsche Bank AG

      BRL         1,002         USD         277         10/02/15         23,870   

Deutsche Bank AG

      CAD         1,017         USD         766         10/02/15         4,452   

Deutsche Bank AG

      USD         252         BRL         1,002         10/02/15         534   

HSBC Bank USA

      GBP         811         USD         1,247         11/10/15         19,938   

JPMorgan Chase Bank

      JPY         125,000         USD         1,048         3/25/16         2,427   

Royal Bank of Scotland PLC

      JPY         35,000         USD         292         10/15/15         658   

Royal Bank of Scotland PLC

      USD         702         JPY         84,561         10/23/15         3,201   

Royal Bank of Scotland PLC

      CAD         898         USD         670         11/19/15         (2,697 ) 

Standard Chartered Bank

      BRL         1,002         USD         252         10/02/15         (534 ) 

Standard Chartered Bank

      USD         250         BRL         1,002         10/02/15         2,929   

Standard Chartered Bank

      BRL         1,002         USD         247         11/04/15         (2,943 ) 

State Street Bank & Trust Co.

      EUR         1,157         USD         1,308         10/27/15         15,455   

Counterparty

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

State Street Bank & Trust Co.

      SGD         1,479         USD         1,056         11/06/15       $ 17,929   
                 

 

 

  
   $ 17,762   
                 

 

 

  

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

 

Clearing Broker/(Exchange) & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Implied Credit
Spread at
September 30,
2015		     Notional
Amount
(000)		      Market
Value		      Unrealized
Appreciation/
(Depreciation)		  

Sale Contracts

  

Morgan Stanley & Co., LLC/(INTRCONX):

             

CDX-NAHY Series 23, 5 Year Index, 12/20/19*

      5.00 %      3.74 %    $ 202       $ 9,824       $ 1,494   

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

      5.00        5.00        1,200         1,533         (1,824 ) 
         

 

 

     

 

 

  
   $ 11,357       $ (330 ) 
         

 

 

     

 

 

  

 

* Termination date

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 Group)

    CAD     3,560         3/10/17         0.973%         3 Month CDOR       $ (8,726 ) 

Morgan Stanley & Co., LLC/(CME Group)

    AUD 4,720         3/11/17         2.140%         3 Month BBSW         (8,752 ) 

Morgan Stanley & Co., LLC/(CME Group)

    CAD 3,260         6/05/17         1.054%         3 Month CDOR         (12,506 ) 

Morgan Stanley & Co., LLC/(CME Group)

    NZD 6,420         6/09/17         3.366%         3 Month BKBM         (82,812 ) 

Morgan Stanley & Co., LLC/(CME Group)

    AUD 4,100         6/09/17         2.218%         3 Month BBSW         (12,626 ) 

Morgan Stanley & Co., LLC/(CME Group)

    GBP 661         6/05/20         1.651%         6 Month LIBOR         15,789   

Morgan Stanley & Co., LLC/(CME Group)

    $ 380         6/25/21         2.243%         3 Month LIBOR         (17,625 ) 

Morgan Stanley & Co., LLC/(CME Group)

      530         1/14/24         2.980%         3 Month LIBOR         (50,018 ) 

Morgan Stanley & Co., LLC/(CME Group)

      460         2/14/24         2.889%         3 Month LIBOR         (39,014 ) 

Morgan Stanley & Co., LLC/(CME Group)

      650         4/28/24         2.817%         3 Month LIBOR         (56,766 ) 

Morgan Stanley & Co., LLC/(CME Group)

      450         5/29/24         2.628%         3 Month LIBOR         31,093   

                   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 Group)

    AUD     720         3/11/25         6 Month BBSW         2.973%       $ 4,670   

Morgan Stanley & Co., LLC/(CME Group)

    NZD 750         6/09/25         3 Month BKBM         4.068%         29,035   

Morgan Stanley & Co., LLC/(CME Group)

    AUD 440         6/09/25         6 Month BBSW         3.384%         14,510   

Morgan Stanley & Co., LLC/(CME Group)

    GBP 110         6/05/45         6 Month LIBOR         2.396%         (13,705 ) 
              

 

 

  
         $     (207,453 ) 
              

 

 

  

CREDIT DEFAULT SWAPS

 

Swap Counterparty & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Implied Credit
Spread at
September 30, 2015		     Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Buy Contracts

  

Citibank, NA:

              

Advanced Micro Devices, Inc.,

              

7.75%, 8/01/20, 3/20/19*

      (5.00 )%      13.46 %    $ 58       $ 12,623      $ 3,599      $ 9,024   

Sprint Communications, Inc.,

              

8.375%, 8/15/17, 6/20/19*

      (5.00 )      7.78        98         8,379        (4,481 )      12,860   

Sprint Communications, Inc.,

              

8.375%, 8/15/17, 6/20/19*

      (5.00 )      7.78        112         9,577        (5,310 )      14,887   

Sale Contracts

              

Credit Suisse International:

              

Anadarko Petroleum Corp.,

              

5.95%, 9/15/16, 9/20/17*

      1.00        0.77        270         1,121        (3,747 )      4,868   

Kohl’s Corp.,

              

6.25% 12/15/17, 6/20/19*

      1.00        0.99        25         (30 )      (249 )      219   

Kohl’s Corp.,

              

6.25% 12/15/17, 6/20/19*

      1.00        0.99        10         (12 )      (101 )      89   

Kohl’s Corp.,

              

6.25% 12/15/17, 6/20/19*

      1.00        0.99        10         (12 )      (104 )      92   

Swap Counterparty & Referenced Obligation

    Fixed
Rate
(Pay)
Receive		     Implied
Credit
Spread at
September 30, 2015		     Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Kohl’s Corp.,

              

6.25% 12/15/17, 6/20/19*

      1.00 %      0.99 %    $ 15       $ (19 )    $ (134 )    $ 115   
         

 

 

    

 

 

    

 

 

  
          $ 31,627      $ (10,527 )    $ 42,154   
         

 

 

    

 

 

    

 

 

  

 

* Termination date

INFLATION (CPI) SWAPS

 

                   Rate Type        

Swap Counterparty

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

Barclays Bank PLC

    $ 1,120         3/04/16         CPI #      1.170 %    $ 3,633   

 

# Variable Interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).

INTEREST RATE SWAPS

 

                   Rate Type         

Swap Counterparty

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

JPMorgan Chase Bank, NA

    $ 1,390         1/30/17         1.059 %      3 Month LIBOR       $ (10,472 ) 

JPMorgan Chase Bank, NA

      1,520         2/07/22         2.043 %      3 Month LIBOR         (43,941 ) 
             

 

 

  
      $ (54,413 ) 
             

 

 

  

 

(a) 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 September 30, 2015, the aggregate market value of these securities amounted to $14,731,672 or 21.5% of net assets.
(b) Floating Rate Security. Stated interest rate was in effect at September 30, 2015.
(c) Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.
(d) IO - Interest Only
(e) Illiquid security.
(f) Fair valued by the Adviser.
(g) Non-income producing security.
(h) As of September 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $2,204,359 and gross unrealized depreciation of investments was $(1,283,980), resulting in net unrealized appreciation of $920,379.
(i) An amount of U.S. $51,640 has been segregated to collateralize margin requirements for the open futures contracts at September 30, 2015.

Currency Abbreviations:

 

AUD    -    Australian Dollar
BRL    -    Brazilian Real

CAD    -    Canadian Dollar
EUR    -    Euro
GBP    -    Great British Pound
JPY    -    Japanese Yen
NZD    -    New Zealand Dollar
SGD    -    Singapore Dollar
USD    -    United States Dollar

Glossary:

 

ABS    -    Asset-Backed Securities
BA    -    Banker’s Acceptance
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
CMBS    -    Commercial Mortgage-Backed Securities
CME    -    Chicago Mercantile Exchange
GSE    -    Government-Sponsored Enterprise
INTRCONX    -    Inter-Continental Exchange
LIBOR    -    London Interbank Offered Rates
REIT    -    Real Estate Investment Trust
TBA    -    To Be Announced
TIPS    -    Treasury Inflation Protected Security

AB Variable Products Series Fund

AB Intermediate Bond Portfolio

September 30, 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 about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

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

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.

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

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 September 30, 2015:

 

Investments in Securities:

    Level 1     Level 2      Level 3     Total  

Assets:

  

Corporates - investment Grade

    $ – 0  –    $     18,357,949       $ – 0  –    $     18,357,949   

Mortgage Pass-Throughs

      – 0  –      12,250,864         – 0  –      12,250,864   

Asset-Backed Securities

      – 0  –      9,865,157         938,363        10,803,520   

Commercial Mortgage-Backed Securities

      – 0  –      6,663,898         701,915        7,365,813   

Governments - Treasuries

      – 0  –      7,123,114         – 0  –      7,123,114   

Collateralized Mortgage Obligations

      – 0  –      304,986             3,772,150        4,077,136   

Corporates - Non-Investment Grade

      – 0  –      3,834,417         – 0  –      3,834,417   

Inflation-Linked Securities

      – 0  –      2,456,363         – 0  –      2,456,363   

Agencies

      – 0  –      2,108,633         – 0  –      2,108,633   

Quasi-Sovereigns

      – 0  –      1,072,557         – 0  –      1,072,557   

Governments - Sovereign Agencies

      – 0  –      702,980         – 0  –      702,980   

Preferred Stocks

      201,136        122,760         – 0  –      323,896   

Local Governments - Municipal Bonds

      – 0  –      286,976         – 0  –      286,976   

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Emerging Markets - Corporate Bonds

    $ – 0  –    $ 97,000      $ – 0  –    $ 97,000   

Governments - Sovereign Bonds

      – 0  –      47,103        – 0  –      47,103   

Warrants

      – 0  –      – 0  –      – 0  –^      0   

Short-Term Investments

      – 0  –      266,595        – 0  –      266,595   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      201,136        65,561,352        5,412,428        71,174,916   

Other Financial Instruments*:

         

Assets:

         

Futures

      32,367        – 0  –      – 0  –      32,367   

Forward Currency Exchange Contracts

      – 0  –      91,393        – 0  –      91,393   

Centrally Cleared Credit Default Swaps

      – 0  –      1,494        – 0  –      1,494   

Centrally Cleared Interest Rate Swaps

      – 0  –      95,097        – 0  –      95,097   

Credit Default Swaps

      – 0  –      42,154        – 0  –      42,154   

Inflation (CPI) Swaps

      – 0  –      3,633        – 0  –      3,633   

Liabilities:

         

Futures

      (32,076 )      – 0  –      – 0  –      (32,076 ) 

Forward Currency Exchange Contracts

      – 0  –      (73,631 )      – 0  –      (73,631 ) 

Centrally Cleared Credit Default Swaps

      – 0  –      (1,824 )      – 0  –      (1,824 ) 

Centrally Cleared Interest Rate Swaps

      – 0  –      (302,550 )      – 0  –      (302,550 ) 

Interest Rate Swaps

      – 0  –      (54,413 )      – 0  –      (54,413 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total**

    $     201,427      $     65,362,705      $     5,412,428      $     70,976,560   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

^ The Portfolio held securities with zero market value at period end.
* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
** There were no transfers between Level 1 and Level 2 during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were 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.

 

     Asset-Backed
Securities		     Commercial
Mortgage-Backed
Securities		     Collateralized
Mortgage
Obligations 		 

Balance as of 12/31/14

    $     1,289,761      $ 292,194      $     3,033,170   

Accrued discounts/(premiums)

      2,007        (1,031 )      8,259   

Realized gain (loss)

      (4,365 )      (15 )      41,154   

Change in unrealized appreciation/depreciation

      2,830        (11,921 )      (7,409 ) 

Purchases/Payups

      252,587        422,889        1,403,465   

Sales/Paydowns

      (512,074 )      (201 )      (706,489 ) 

Transfers in to Level 3

      147,385        – 0  –      – 0  – 

Transfers out of Level 3

      (239,768 )      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

  

Balance as of 9/30/15

    $ 938,363      $ 701,915      $ 3,772,150   
  

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from investments held as of 9/30/15

    $ (1,640 )    $ (11,921 )    $ (4,389 ) 
  

 

 

    

 

 

    

 

 

  
     Warrants^     Total        
   $             – 0  –    $ 4,615,125     

Accrued discounts/(premiums)

      – 0  –      9,235     

Realized gain (loss)

      – 0  –      36,774     

Change in unrealized appreciation/depreciation

      – 0  –      (16,500 )   

Purchases/Payups

      – 0  –      2,078,941     

Sales/Paydowns

      – 0  –      (1,218,764 )   

Transfers in to Level 3

      – 0  –      147,385     

Transfers out of Level 3

      – 0  –      (239,768 )   
  

 

 

    

 

 

    

Balance as of 9/30/15

    $ – 0  –    $ 5,412,428 +   
  

 

 

    

 

 

    

Net change in unrealized appreciation/depreciation from investments held as of 9/30/15

    $ – 0  –    $ (17,950 )   
  

 

 

    

 

 

    

 

^ The Portfolio held securities with zero market value at period end.
+ There were de minimis transfers under 1% of net assets during the reporting period.

As of September 30, 2015, all Level 3 securities were priced by third party vendors or using prior transaction prices, which approximates fair value.

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 compare 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).

AB Variable Products Series Fund

AB International Growth Portfolio

Portfolio of Investments

September 30, 2015 (unaudited)

 

Company

    Shares        U.S. $ Value  

COMMON STOCKS - 98.7%

        

Financials - 30.1%

        

Banks - 7.4%

        

Credicorp Ltd.

      7,890         $ 839,180   

HDFC Bank Ltd.

      62,060           1,014,765   

ING Groep NV

      94,940           1,341,987   

Sumitomo Mitsui Financial Group, Inc.

      27,900           1,057,976   

UniCredit SpA

      184,149           1,148,020   
       

 

 

  
          5,401,928   
       

 

 

  

Capital Markets - 7.6%

        

Azimut Holding SpA

      48,305           1,036,597   

Flow Traders (a)

      20,704           806,705   

Partners Group Holding AG

      5,870           1,989,572   

UBS Group AG

      92,848           1,716,584   
       

 

 

  
          5,549,458   
       

 

 

  

Consumer Finance - 0.8%

        

SKS Microfinance Ltd. (b)

      89,140           552,849   
       

 

 

  

Diversified Financial Services - 3.4%

        

IG Group Holdings PLC

      103,900           1,210,897   

London Stock Exchange Group PLC

      33,550           1,229,749   
       

 

 

  
          2,440,646   
       

 

 

  

Insurance - 7.4%

        

AIA Group Ltd.

      399,800           2,079,258   

Prudential PLC

      97,755           2,062,291   

St James’s Place PLC

      94,520           1,216,485   
       

 

 

  
          5,358,034   
       

 

 

  

Real Estate Management & Development - 0.9%

        

Global Logistic Properties Ltd.

      462,100           664,364   
       

 

 

  

Thrifts & Mortgage Finance - 2.6%

        

Housing Development Finance Corp. Ltd.

      102,277           1,893,766   
       

 

 

  
          21,861,045   
       

 

 

  

Consumer Discretionary - 16.7%

        

Auto Components - 0.8%

        

Hankook Tire Co., Ltd.

      18,390           615,644   
       

 

 

  

Automobiles - 3.3%

        

Great Wall Motor Co., Ltd. - Class H

      358,500           403,280   

Nissan Motor Co., Ltd.

      143,500           1,319,425   

Tata Motors Ltd. - Class A (b)

      198,774           657,104   
       

 

 

  
          2,379,809   
       

 

 

  

Diversified Consumer Services - 0.4%

        

Kroton Educacional SA

      165,600           322,052   
       

 

 

  

Hotels, Restaurants & Leisure - 1.5%

        

Alsea SAB de CV

      189,801           560,143   

Melco Crown Entertainment Ltd. (ADR) (c)

      36,067           496,282   
       

 

 

  
          1,056,425   
       

 

 

  

Company

    Shares        U.S. $ Value  

Household Durables - 1.4%

        

Panasonic Corp.

      99,200           1,003,916   
       

 

 

  

Internet & Catalog Retail - 1.3%

        

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

      37,608           980,064   
       

 

 

  

Media - 1.8%

        

Naspers Ltd. - Class N

      10,260           1,285,856   
       

 

 

  

Multiline Retail - 1.0%

        

Matahari Department Store Tbk PT

      647,500           715,171   
       

 

 

  

Specialty Retail - 1.9%

        

Fast Retailing Co., Ltd.

      3,400           1,382,981   
       

 

 

  

Textiles, Apparel & Luxury Goods - 3.3%

        

Brunello Cucinelli SpA (c)

      24,983           453,273   

Cie Financiere Richemont SA

      18,772           1,460,666   

Titan Co., Ltd.

      105,140           509,742   
       

 

 

  
          2,423,681   
       

 

 

  
          12,165,599   
       

 

 

  

Consumer Staples - 15.8%

        

Beverages - 2.2%

        

Anheuser-Busch InBev SA/NV

      15,029           1,598,416   
       

 

 

  

Food & Staples Retailing - 1.4%

        

Tsuruha Holdings, Inc.

      12,100           1,042,755   
       

 

 

  

Food Products - 6.7%

        

Danone SA

      20,640           1,302,861   

Nestle SA (REG)

      27,528           2,070,261   

Universal Robina Corp.

      240,510           988,856   

WH Group Ltd. (a)(b)

      964,000           478,491   
       

 

 

  
          4,840,469   
       

 

 

  

Household Products - 3.2%

        

Reckitt Benckiser Group PLC

      17,040           1,545,286   

Unicharm Corp.

      45,200           800,576   
       

 

 

  
          2,345,862   
       

 

 

  

Tobacco - 2.3%

        

British American Tobacco PLC

      30,387           1,676,624   
       

 

 

  
          11,504,126   
       

 

 

  

Health Care - 14.3%

        

Health Care Equipment & Supplies - 1.5%

        

Essilor International SA

      8,912           1,088,763   
       

 

 

  

Health Care Providers & Services - 0.9%

        

Apollo Hospitals Enterprise Ltd.

      28,220           619,469   
       

 

 

  

Pharmaceuticals - 11.9%

        

Aspen Pharmacare Holdings Ltd. (b)

      29,961           637,496   

Bayer AG

      7,668           983,791   

Glenmark Pharmaceuticals Ltd.

      33,760           541,717   

H Lundbeck A/S (b)

      27,490           732,930   

Novo Nordisk A/S - Class B

      25,165           1,358,018   

Roche Holding AG

      9,810           2,604,276   

Sun Pharmaceutical Industries Ltd. (b)

      75,279           999,112   

Company

    Shares        U.S. $ Value  

UCB SA

      10,170           796,745   
       

 

 

  
          8,654,085   
       

 

 

  
          10,362,317   
       

 

 

  

Information Technology - 9.2%

        

Internet Software & Services - 3.2%

        

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

      15,560           917,573   

Tencent Holdings Ltd.

      81,600           1,377,626   
       

 

 

  
          2,295,199   
       

 

 

  

IT Services - 1.0%

        

Tata Consultancy Services Ltd.

      19,140           755,699   
       

 

 

  

Semiconductors & Semiconductor Equipment - 3.2%

        

ams AG (c)

      21,310           795,089   

Taiwan Semiconductor Manufacturing Co., Ltd.

      385,000           1,542,955   
       

 

 

  
          2,338,044   
       

 

 

  

Software - 1.8%

        

Mobileye NV (b)(c)

      28,656           1,303,275   
       

 

 

  
          6,692,217   
       

 

 

  

Industrials - 7.0%

        

Aerospace & Defense - 2.5%

        

Safran SA

      24,480           1,840,690   
       

 

 

  

Commercial Services & Supplies - 0.9%

        

Aggreko PLC

      43,556           627,911   
       

 

 

  

Electrical Equipment - 0.3%

        

Schneider Electric SE (Paris)

      3,550           198,797   
       

 

 

  

Industrial Conglomerates - 0.3%

        

Siemens AG (REG)

      2,500           223,342   
       

 

 

  

Machinery - 1.3%

        

Komatsu Ltd. (c)

      64,100           940,888   
       

 

 

  

Professional Services - 1.7%

        

Capita PLC

      69,850           1,268,615   
       

 

 

  
          5,100,243   
       

 

 

  

Energy - 2.7%

        

Oil, Gas & Consumable Fuels - 2.7%

        

Canadian Natural Resources Ltd.

      31,513           613,730   

TOTAL SA

      29,880           1,344,088   
       

 

 

  
          1,957,818   
       

 

 

  

Materials - 2.4%

        

Chemicals - 1.6%

        

Linde AG

      7,070           1,148,341   
       

 

 

  

Metals & Mining - 0.8%

        

BHP Billiton PLC

      36,400           554,067   
       

 

 

  
          1,702,408   
       

 

 

  

Company

    Shares        U.S. $ Value  

Utilities - 0.5%

        

Water Utilities - 0.5%

        

Beijing Enterprises Water Group Ltd. (b)

      516,000           362,948   
       

 

 

  

Total Common Stocks
(cost $58,823,415)

           71,708,721   
       

 

 

  
     Principal
Amount
(000)		           

SHORT-TERM INVESTMENTS - 0.8%

        

Time Deposit - 0.8%

        

State Street Time Deposit
0.01%, 10/01/15
(cost $594,936)

    U.S.$ 595           594,936   
       

 

 

  

Total Investments Before Security Lending Collateral for Securities
Loaned - 99.5%
(cost $59,418,351)

           72,303,657   
       

 

 

  
     Shares           

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES
LOANED - 3.2%

        

Investment Companies - 3.2%

        

AB Exchange Reserves-Class I, 0.13% (d)(e)
(cost $2,327,348)

      2,327,348           2,327,348   
       

 

 

  

Total Investments - 102.7%
(cost $61,745,699) (f)

           74,631,005   

Other assets less liabilities - (2.7)%

           (1,968,571 ) 
       

 

 

  

Net Assets - 100.0%

         $ 72,662,434   
       

 

 

  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

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

Barclays Bank PLC

      CHF         512         USD         529         11/13/15       $ 2,655   

Barclays Bank PLC

      JPY         57,964         USD         484         11/13/15         597   

Barclays Bank PLC

      TWD         20,862         USD         658         11/13/15         27,983   

Citibank

      EUR         366         USD         399         11/13/15         (10,434 ) 

Deutsche Bank AG

      USD         468         JPY         58,141         11/13/15         16,889   

HSBC Bank USA

      HKD         16,349         USD         2,109         11/13/15         (662 ) 

JPMorgan Chase Bank

      CNY         5,564         USD         859         11/13/15         (12,336 ) 

Morgan Stanley & Co., Inc.

      USD         1,755         CAD         2,297         11/13/15         (33,649 ) 

Standard Chartered Bank

      USD         3,950         AUD         5,409         11/13/15         (162,185 ) 

Standard Chartered Bank

      USD         1,537         JPY         191,791         11/13/15         62,306   

State Street Bank & Trust Co.

      AUD         364         USD         266         11/13/15         10,645   

State Street Bank & Trust Co.

      AUD         397         USD         278         11/13/15         (203 ) 

State Street Bank & Trust Co.

      CHF         4,446         USD         4,555         11/13/15         (13,874 ) 

State Street Bank & Trust Co.

      EUR         217         USD         241         11/13/15         (1,604 ) 

State Street Bank & Trust Co.

      GBP         793         USD         1,241         11/13/15         41,872   

Counterparty

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

State Street Bank & Trust Co.

      USD         1,069         CAD         1,410         11/13/15       $ (13,115 ) 

State Street Bank & Trust Co.

      USD         323         EUR         292         11/13/15         3,125   

State Street Bank & Trust Co.

      USD         677         HKD         5,249         11/13/15         249   

State Street Bank & Trust Co.

      USD         397         NOK         3,284         11/13/15         (11,313 ) 

State Street Bank & Trust Co.

      USD         1,707         SEK         14,832         11/13/15         66,811   

UBS AG

      EUR         1,081         USD         1,195         11/13/15         (14,056 ) 

UBS AG

      USD         560         EUR         501         11/13/15         121   
                 

 

 

  
                  $ (40,178 ) 
                 

 

 

  

 

(a) 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 September 30, 2015, the aggregate market value of these securities amounted to $1,285,196 or 1.8% of net assets.
(b) Non-income producing security.
(c) Represents entire or partial securities out on loan.
(d) 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.
(e) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(f) As of September 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $19,491,643 and gross unrealized depreciation of investments was $(6,606,337), resulting in net unrealized appreciation of $12,885,306.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market.

Currency Abbreviations:

 

AUD    -    Australian Dollar
CAD    -    Canadian Dollar
CHF    -    Swiss Franc
CNY    -    Chinese Yuan Renminbi
EUR    -    Euro
GBP    -    Great British Pound
HKD    -    Hong Kong Dollar
JPY    -    Japanese Yen
NOK    -    Norwegian Krone
SEK    -    Swedish Krona
TWD    -    New Taiwan Dollar
USD    -    United States Dollar

Glossary:

 

ADR    -    American Depositary Receipt
REG    -    Registered Shares

COUNTRY BREAKDOWN *

September 30, 2015 (unaudited)

 

  15.0%        

United Kingdom

  13.6%        

Switzerland

  10.4%        

Japan

  10.4%        

India

  8.0%        

France

  5.6%        

China

  4.2%        

Hong Kong

  3.6%        

Italy

  3.3%        

Belgium

  3.3%        

Germany

  3.0%        

Netherlands

  2.9%        

Denmark

  2.7%        

South Africa

  13.2%        

Other

  0.8%        

Short-Term

 

 

       
  100.0%        

Total Investments

 

 

       

 

* All data are as of September 30, 2015. The Portfolio’s country breakdown is expressed as a percentage of total investments and may vary over time. “Other” country weightings represent 2.6% or less in the following countries: Australia, Austria, Brazil, Canada, Indonesia, Mexico, Peru, Philippines, Singapore, South Korea, Taiwan and United States.

AB Variable Products Series Fund

AB International Growth Portfolio

September 30, 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 about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

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

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.

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 September 30, 2015:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

         

Common Stocks:

         

Financials

    $ 2,987,872      $ 18,873,173      $ – 0  –    $ 21,861,045   

Consumer Discretionary

      2,358,541        9,807,058        – 0  –      12,165,599   

Consumer Staples

      – 0  –      11,504,126        – 0  –      11,504,126   

Health Care

      – 0  –      10,362,317        – 0  –      10,362,317   

Information Technology

      2,220,848        4,471,369        – 0  –      6,692,217   

Industrials

      – 0  –      5,100,243        – 0  –      5,100,243   

Energy

      613,730        1,344,088        – 0  –      1,957,818   

Materials

      – 0  –      1,702,408        – 0  –      1,702,408   

Utilities

      – 0  –      362,948        – 0  –      362,948   

Short-Term Investments

      – 0  –      594,936        – 0  –      594,936   

Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund

      2,327,348        – 0  –      – 0  –      2,327,348   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      10,508,339        64,122,666 +      – 0  –      74,631,005   

Other Financial Instruments*:

         

Assets:

         

Forward Currency Exchange Contracts

      – 0  –      233,253        – 0  –      233,253   

Liabilities:

         

Forward Currency Exchange Contracts

      – 0  –      (273,431 )      – 0  –      (273,431 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total (a)(b)

    $     10,508,339      $     64,082,488      $             – 0  –    $     74,590,827   
  

 

 

    

 

 

    

 

 

    

 

 

  

* 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.
(a) An amount of $2,578,146 was transferred from Level 1 to Level 2 due to the above mentioned foreign equity fair valuation using third party vendor modeling tools during the reporting period.
(b) An amount of $1,376,590 was transferred from Level 2 to Level 1 as the above mentioned foreign equity fair valuation by the third party vendor was not applied during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of 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 compare 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).

AB Variable Products Series Fund

AB International Value Portfolio

Portfolio of Investments

September 30, 2015 (unaudited)

 

Company

    Shares        U.S. $ Value  

COMMON STOCKS - 98.6%

        

Financials - 23.0%

        

Banks - 13.1%

        

Banco Macro SA (ADR) (a)

      47,473         $ 1,822,963   

Bank Hapoalim BM

      990,355           4,983,589   

Bank of Baroda

      1,055,830           2,974,162   

Bank of China Ltd. - Class H

      9,453,000           4,076,442   

Bank of Queensland Ltd.

      862,521           7,060,984   

Danske Bank A/S

      363,030           10,970,889   

ING Groep NV

      770,330           10,888,695   

Intesa Sanpaolo SpA

      1,245,850           4,401,212   

KB Financial Group, Inc.

      107,230           3,187,383   

Mitsubishi UFJ Financial Group, Inc.

      2,801,200           16,925,518   

Sumitomo Mitsui Financial Group, Inc.

      78,400           2,972,950   

UniCredit SpA

      1,083,700           6,755,993   
       

 

 

  
          77,020,780   
       

 

 

  

Diversified Financial Services - 1.5%

        

Challenger Ltd./Australia

      881,360           4,447,896   

ORIX Corp. (b)

      346,000           4,463,169   
       

 

 

  
          8,911,065   
       

 

 

  

Insurance - 6.2%

        

AIA Group Ltd.

      968,000           5,034,322   

Assicurazioni Generali SpA

      545,797           9,986,009   

Aviva PLC

      601,745           4,115,672   

Direct Line Insurance Group PLC

      548,720           3,113,523   

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (REG)

      25,570           4,775,567   

NN Group NV

      226,950           6,515,103   

Suncorp Group Ltd.

      347,170           2,986,575   
       

 

 

  
          36,526,771   
       

 

 

  

Real Estate Management & Development - 1.8%

        

Aeon Mall Co., Ltd.

      243,100           3,734,337   

Cheung Kong Property Holdings Ltd.

      251,028           1,839,111   

Lend Lease Group

      398,830           3,530,908   

Wharf Holdings Ltd. (The)

      311,000           1,758,821   
       

 

 

  
          10,863,177   
       

 

 

  

Thrifts & Mortgage Finance - 0.4%

        

LIC Housing Finance Ltd.

      294,260           2,108,444   
       

 

 

  
          135,430,237   
       

 

 

  

Consumer Discretionary - 17.9%

        

Auto Components - 7.7%

        

Aisin Seiki Co., Ltd. (b)

      200,300           6,720,456   

Bridgestone Corp.

      122,100           4,225,412   

Cie Generale des Etablissements Michelin-Class B

      31,542           2,885,915   

Hankook Tire Co., Ltd.

      142,494           4,770,284   

Magna International, Inc. (New York)-Class A

      135,800           6,519,758   

Nokian Renkaat Oyj (b)

      98,670           3,194,099   

Plastic Omnium SA

      132,470           3,043,158   

Sumitomo Electric Industries Ltd. (b)

      626,700           8,017,472   

Valeo SA

      47,380           6,433,113   
       

 

 

  
          45,809,667   
       

 

 

  

Company

    Shares        U.S. $ Value  

Automobiles - 4.6%

        

Honda Motor Co., Ltd. (b)

      382,100           11,404,421   

Isuzu Motors Ltd.

      382,000           3,836,054   

Peugeot SA (a)(b)

      628,990           9,530,807   

Tata Motors Ltd. (a)

      361,163           1,639,608   

Tata Motors Ltd.-Class A (a)

      266,758           881,844   
       

 

 

  
          27,292,734   
       

 

 

  

Leisure Products - 0.8%

        

Bandai Namco Holdings, Inc.

      197,400           4,581,398   
       

 

 

  

Media - 3.0%

        

Liberty Global PLC-Series C (a)

      216,867           8,895,885   

Vivendi SA

      366,586           8,685,040   
       

 

 

  
          17,580,925   
       

 

 

  

Specialty Retail - 1.4%

        

Foschini Group Ltd. (The)

      215,380           2,187,255   

Kingfisher PLC

      561,650           3,051,017   

Yamada Denki Co., Ltd. (b)

      751,100           3,028,071   
       

 

 

  
          8,266,343   
       

 

 

  

Textiles, Apparel & Luxury Goods - 0.4%

        

Kering

      14,000           2,291,719   
       

 

 

  
          105,822,786   
       

 

 

  

Industrials - 12.6%

        

Aerospace & Defense - 2.1%

        

Airbus Group SE

      96,460           5,712,360   

Safran SA

      86,690           6,518,359   
       

 

 

  
          12,230,719   
       

 

 

  

Airlines - 4.7%

        

International Consolidated Airlines Group SA (a)

      1,521,880           13,594,738   

Japan Airlines Co., Ltd.

      181,400           6,418,825   

Qantas Airways Ltd. (a)

      2,913,893           7,650,053   
       

 

 

  
          27,663,616   
       

 

 

  

Industrial Conglomerates - 0.5%

        

CK Hutchison Holdings Ltd.

      251,028           3,278,316   
       

 

 

  

Machinery - 1.1%

        

JTEKT Corp.

      445,000           6,230,439   
       

 

 

  

Marine - 1.7%

        

AP Moeller-Maersk A/S-Class B

      1,556           2,398,546   

Nippon Yusen KK

      3,369,000           7,807,434   
       

 

 

  
          10,205,980   
       

 

 

  

Professional Services - 0.7%

        

Adecco SA (REG) (a)

      55,400           4,057,251   
       

 

 

  

Company

    Shares        U.S. $ Value  

Road & Rail - 1.8%

  

Central Japan Railway Co.

      65,800           10,608,780   
       

 

 

  
          74,275,101   
       

 

 

  

Telecommunication Services - 8.9%

        

Diversified Telecommunication Services - 5.2%

        

Bezeq The Israeli Telecommunication Corp., Ltd.

      1,378,693           2,638,542   

BT Group PLC

      1,419,110           9,031,981   

Nippon Telegraph & Telephone Corp.

      373,900           13,170,107   

Telefonica Brasil SA (Preference Shares)

      354,907           3,282,744   

Telenor ASA

      154,700           2,890,811   
       

 

 

  
          31,014,185   
       

 

 

  

Wireless Telecommunication Services - 3.7%

        

China Mobile Ltd.

      344,500           4,110,105   

SK Telecom Co., Ltd.

      11,000           2,440,193   

Turkcell Iletisim Hizmetleri AS

      432,090           1,507,747   

Vodafone Group PLC

      4,325,254           13,642,208   
       

 

 

  
          21,700,253   
       

 

 

  
          52,714,438   
       

 

 

  

Information Technology - 8.8%

        

Electronic Equipment, Instruments & Components - 1.0%

        

Hitachi Ltd.

      777,000           3,920,763   

Largan Precision Co., Ltd.

      24,000           1,873,077   
       

 

 

  
          5,793,840   
       

 

 

  

IT Services - 0.5%

        

Cap Gemini SA

      33,940           3,030,936   
       

 

 

  

Semiconductors & Semiconductor Equipment - 5.5%

        

Advanced Semiconductor Engineering, Inc.

      1,955,000           2,130,140   

ASM International NV

      113,610           3,687,326   

Infineon Technologies AG

      506,670           5,692,655   

Novatek Microelectronics Corp.

      981,000           3,079,937   

SCREEN Holdings Co., Ltd. (b)

      1,096,000           5,360,002   

Sumco Corp. (b)

      566,700           5,082,687   

Tokyo Electron Ltd.

      159,000           7,507,218   
       

 

 

  
          32,539,965   
       

 

 

  

Software - 0.8%

        

Nintendo Co., Ltd.

      28,300           4,770,012   
       

 

 

  

Technology Hardware, Storage & Peripherals - 1.0%

        

Samsung Electronics Co., Ltd.

      6,190           5,939,015   
       

 

 

  
          52,073,768   
       

 

 

  

Energy - 7.1%

        

Energy Equipment & Services - 0.3%

        

Aker Solutions ASA (c)

      418,792           1,449,372   
       

 

 

  

Oil, Gas & Consumable Fuels - 6.8%

        

BG Group PLC

      788,746           11,378,356   

JX Holdings, Inc. (b)

      2,471,600           8,924,745   

LUKOIL PJSC (London) (Sponsored ADR) (b)

      54,180           1,845,371   

Petroleo Brasileiro SA (Sponsored ADR) (a)

      479,190           1,763,419   

Company

    Shares        U.S. $ Value  

Royal Dutch Shell PLC (Euronext Amsterdam)-Class A

      251,719           5,970,726   

TOTAL SA

      233,300           10,494,498   
       

 

 

  
          40,377,115   
       

 

 

  
          41,826,487   
       

 

 

  

Consumer Staples - 6.1%

        

Beverages - 0.4%

        

Asahi Group Holdings Ltd.

      76,000           2,465,687   
       

 

 

  

Food & Staples Retailing - 1.6%

        

Delhaize Group

      109,660           9,720,328   
       

 

 

  

Household Products - 0.8%

        

Reckitt Benckiser Group PLC

      51,690           4,687,548   
       

 

 

  

Tobacco - 3.3%

        

British American Tobacco PLC

      266,000           14,676,737   

Imperial Tobacco Group PLC

      88,850           4,593,434   
       

 

 

  
          19,270,171   
       

 

 

  
          36,143,734   
       

 

 

  

Health Care - 5.6%

        

Pharmaceuticals - 5.6%

        

GlaxoSmithKline PLC

      720,010           13,819,789   

Roche Holding AG

      71,560           18,997,145   
       

 

 

  
          32,816,934   
       

 

 

  

Materials - 4.9%

        

Chemicals - 3.5%

        

Arkema SA

      88,971           5,766,918   

Incitec Pivot Ltd.

      987,661           2,722,232   

JSR Corp.

      480,100           6,920,595   

Koninklijke DSM NV

      109,835           5,069,061   
       

 

 

  
          20,478,806   
       

 

 

  

Metals & Mining - 0.4%

        

Novolipetsk Steel OJSC (GDR) (c)

      181,990           2,086,221   
       

 

 

  

Paper & Forest Products - 1.0%

        

Mondi PLC

      287,840           6,032,888   
       

 

 

  
          28,597,915   
       

 

 

  

Utilities - 3.7%

        

Electric Utilities - 3.3%

        

EDP-Energias de Portugal SA

      2,877,270           10,540,955   

Electricite de France SA

      257,080           4,539,390   

Enel SpA

      952,320           4,249,243   
       

 

 

  
          19,329,588   
       

 

 

  

Independent Power and Renewable Electricity Producers - 0.4%

        

Huadian Power International Corp., Ltd.-Class H

      3,390,000           2,659,930   
       

 

 

  
          21,989,518   
       

 

 

  

Total Common Stocks
(cost $621,868,825)

           581,690,918   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

SHORT-TERM INVESTMENTS - 0.3%

        

Time Deposit - 0.3%

        

State Street Time Deposit
0.01%, 10/01/15
(cost $1,621,430)

    $ 1,621           1,621,430   
       

 

 

  

Total Investments Before Security Lending Collateral for Securities Loaned - 98.9%
(cost $623,490,255)

           583,312,348   
       

 

 

  
     Shares           

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED - 1.7%

        

Investment Companies - 1.7%

        

AB Exchange Reserves-Class I, 0.13% (d)(e)
(cost $10,281,069)

      10,281,069           10,281,069   
       

 

 

  

Total Investments - 100.6%
(cost $633,771,324) (f)

           593,593,417   

Other assets less liabilities - (0.6)% (g)

           (3,560,820 ) 
       

 

 

  

Net Assets - 100.0%

         $     590,032,597   
       

 

 

  

FUTURES

 

Type

    Number
of
Contracts		      Expiration
Month		      Original
Value		      Value at
September 30,
2015		      Unrealized
Appreciation/
(Depreciation)		  

Purchased Contracts

  

EURO STOXX 50 Index Futures

      63         December 2015       $ 2,229,891       $ 2,175,946       $ (53,945 ) 

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

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

Bank of America, NA

    USD      12,629       CHF      11,826       10/14/15    $ (489,617 ) 

Bank of America, NA

    USD      2,664       TWD      86,348       10/14/15      (49,515 ) 

Barclays Bank PLC

    USD      1,554       CNY      10,091       10/14/15      31,247   

Barclays Bank PLC

    USD      10,431       JPY      1,292,155       10/14/15      341,955   

BNP Paribas SA

    USD      6,970       JPY      842,959       10/14/15      57,924   

Citibank

    CAD      7,954       USD      6,240       10/14/15      279,858   

Citibank

    GBP      2,376       USD      3,697       10/14/15      102,747   

Citibank

    ILS      14,074       USD      3,747       10/14/15      159,045   

Citibank

    USD      48,400       GBP      31,262       10/14/15      (1,110,860 ) 

Citibank

    USD      3,716       HKD      28,806       10/14/15      489   

Citibank

    USD      719       SEK      5,953       10/14/15      (7,923 ) 

Credit Suisse International

    CNY      80,135       USD      12,409       10/14/15      (177,449 ) 

Credit Suisse International

    USD      11,230       SEK      92,959       10/14/15      (121,376 ) 

Credit Suisse International

    USD      10,170       SEK      85,095       1/15/16      23,347   

Goldman Sachs Bank USA

    AUD      6,643       USD      4,888       10/14/15      228,503   

Goldman Sachs Bank USA

    JPY      305,968       USD      2,532       10/14/15      (19,149 ) 

Goldman Sachs Bank USA

    RUB      221,115       USD      3,231       10/16/15      (131,089 ) 

Goldman Sachs Bank USA

    JPY      511,986       USD      4,300       1/15/16      22,897   

HSBC Bank USA

    BRL      20,585       USD      5,181       10/02/15      (10,978 ) 

Counterparty

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

HSBC Bank USA

    USD      5,153       BRL      20,585       10/02/15    $ 38,996   

HSBC Bank USA

    GBP      4,508       USD      6,934       10/14/15      115,125   

HSBC Bank USA

    HKD      101,893       USD      13,144       10/14/15      (2,876 ) 

HSBC Bank USA

    USD      9,423       HKD      73,087       10/14/15      7,320   

HSBC Bank USA

    USD      14,235       SEK      119,535       10/14/15      50,179   

HSBC Bank USA

    BRL      13,660       USD      3,382       11/04/15      (26,042 ) 

JPMorgan Chase Bank

    EUR      4,142       USD      4,674       10/14/15      45,206   

Morgan Stanley & Co., Inc.

    CHF      2,426       USD      2,504       10/14/15      13,772   

Morgan Stanley & Co., Inc.

    EUR      7,201       USD      8,031       10/14/15      (16,422 ) 

Morgan Stanley & Co., Inc.

    JPY      738,205       USD      5,947       10/14/15      (207,690 ) 

Morgan Stanley & Co., Inc.

    SEK      59,829       USD      7,055       10/14/15      (94,697 ) 

Morgan Stanley & Co., Inc.

    USD      11,571       AUD      15,666       10/14/15      (582,720 ) 

Morgan Stanley & Co., Inc.

    USD      18,023       EUR      16,415       10/14/15      322,489   

Morgan Stanley & Co., Inc.

    USD      15,105       JPY      1,840,640       10/14/15      240,715   

Morgan Stanley & Co., Inc.

    KRW      4,947,105       USD      4,149       1/15/16      (11,377 ) 

Royal Bank of Scotland PLC

    CHF      4,366       USD      4,486       10/14/15      4,067   

Royal Bank of Scotland PLC

    GBP      17,005       USD      26,393       10/14/15      670,579   

Royal Bank of Scotland PLC

    KRW      9,889,411       USD      8,744       10/14/15      404,982   

Royal Bank of Scotland PLC

    USD      1,723       CNY      10,961       10/14/15      (1,069 ) 

Royal Bank of Scotland PLC

    USD      2,358       TWD      74,034       10/14/15      (115,930 ) 

Standard Chartered Bank

    BRL      20,585       USD      5,721       10/02/15      528,187   

Standard Chartered Bank

    USD      5,181       BRL      20,585       10/02/15      10,978   

Standard Chartered Bank

    AUD      12,265       USD      9,005       10/14/15      401,820   

Standard Chartered Bank

    KRW      2,189,612       USD      1,946       10/14/15      99,181   

Standard Chartered Bank

    TWD      435,500       USD      14,062       10/14/15      874,063   

Standard Chartered Bank

    USD      7,452       JPY      892,730       10/14/15      (8,948 ) 

Standard Chartered Bank

    USD      1,519       TWD      49,358       10/14/15      (24,788 ) 

State Street Bank & Trust Co.

    EUR      3,709       USD      4,087       10/14/15      (57,842 ) 

State Street Bank & Trust Co.

    JPY      5,157,609       USD      41,931       10/14/15      (1,067,946 ) 

State Street Bank & Trust Co.

    NOK      12,335       USD      1,537       10/14/15      88,205   

State Street Bank & Trust Co.

    USD      9,087       EUR      8,194       10/14/15      70,181   

State Street Bank & Trust Co.

    USD      2,417       EUR      2,162       10/14/15      (917 ) 

State Street Bank & Trust Co.

    USD      6,410       EUR      5,755       1/15/16      32,833   

UBS AG

    EUR      7,524       USD      8,619       10/14/15      209,893   

UBS AG

    EUR      5,100       USD      5,699       10/14/15      (1,219 ) 

UBS AG

    USD      11,361       EUR      10,188       10/14/15      24,888   
                 

 

 

  
   $ 1,163,232   
                 

 

 

  

 

(a) Non-income producing security.
(b) Represents entire or partial securities out on loan.
(c) 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 September 30, 2015, the aggregate market value of these securities amounted to $3,535,593 or 0.6% of net assets.
(d) 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.
(e) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(f) As of September 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $39,166,686 and gross unrealized depreciation of investments was $(79,344,593), resulting in net unrealized depreciation of $(40,177,907).

(g) An amount of U.S.$271,818 has been segregated to collateralize margin requirements for the open futures contracts at September 30, 2015.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market.

Currency Abbreviations:

 

AUD    -    Australian Dollar
BRL    -    Brazilian Real
CAD    -    Canadian Dollar
CHF    -    Swiss Franc
CNY    -    Chinese Yuan Renminbi
EUR    -    Euro
GBP    -    Great British Pound
HKD    -    Hong Kong Dollar
ILS    -    Israeli Shekel
JPY    -    Japanese Yen
KRW    -    South Korean Won
NOK    -    Norwegian Krone
RUB    -    Russian Ruble
SEK    -    Swedish Krona
TWD    -    New Taiwan Dollar
USD    -    United States Dollar

Glossary:

 

ADR    -    American Depositary Receipt
GDR    -    Global Depositary Receipt
OJSC    -    Open Joint Stock Company
PJSC    -    Public Joint Stock Company
REG    -    Registered Shares

COUNTRY BREAKDOWN*

September 30, 2015 (unaudited)

 

  27.3%        

Japan

  17.9%        

United Kingdom

  11.8%        

France

  5.5%        

Netherlands

  4.9%        

Australia

  4.4%        

Italy

  3.9%        

Switzerland

  2.8%        

South Korea

  2.3%        

Denmark

  2.0%        

Hong Kong

  1.9%        

China

  1.8%        

Portugal

  1.8%        

Germany

  11.4%        

Other

  0.3%        

Short-Term

 

 

       
  100.0%        

Total Investments

 

 

       

 

* All data are as of September 30, 2015. The Portfolio’s country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. “Other” country weightings represent 1.7% or less in the following countries: Argentina, Belgium, Brazil, Canada, Finland, India, Israel, Norway, Russia, South Africa, Taiwan, and Turkey.

AB Variable Products Series Fund

AB International Value Portfolio

September 30, 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 about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

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

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.

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 September 30, 2015:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

  

Common Stocks:

       

Financials

    $ 12,711,658      $ 122,718,579      $ – 0  –    $ 135,430,237   

Consumer Discretionary

      15,415,643        90,407,143        – 0  –      105,822,786   

Industrials

      – 0  –      74,275,101        – 0  –      74,275,101   

Telecommunication Services

      3,282,744        49,431,694        – 0  –      52,714,438   

Information Technology

      – 0  –      52,073,768        – 0  –      52,073,768   

Energy

      3,608,790        38,217,697        – 0  –      41,826,487   

Consumer Staples

      – 0  –      36,143,734        – 0  –      36,143,734   

Health Care

      – 0  –      32,816,934        – 0  –      32,816,934   

Materials

      – 0  –      28,597,915        – 0  –      28,597,915   

Utilities

      – 0  –      21,989,518        – 0  –      21,989,518   

Short-Term Investments

      – 0  –      1,621,430        – 0  –      1,621,430   

Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund

      10,281,069        – 0  –      – 0  –      10,281,069   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      45,299,904        548,293,513 +      – 0  –      593,593,417   

Other Financial Instruments*:

         

Assets:

       

Forward Currency Exchange Contracts

      – 0  –      5,501,671        – 0  –      5,501,671   

Liabilities:

       

Futures

      – 0  –      (53,945 )      – 0  –      (53,945 ) 

Forward Currency Exchange Contracts

      – 0  –      (4,338,439 )      – 0  –      (4,338,439 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total(#)

    $     45,299,904      $     549,402,800      $                 – 0  –    $     594,702,704   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* 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 $7,478,286 was transferred from Level 2 to Level 1 as the above mentioned foreign equity fair valuation by the third party vendor was not applied during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of 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 compare 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).

AB Variable Products Series Fund

AB Large Cap Growth Portfolio

Portfolio of Investments

September 30, 2015 (unaudited)

 

Company

    Shares        U.S. $ Value  

COMMON STOCKS - 95.0%

        

Technology - 26.3%

        

Computer Services, Software & Systems - 16.6%

        

Adobe Systems, Inc. (a)

      31,770         $ 2,612,129   

ANSYS, Inc. (a)

      58,422           5,149,315   

Aspen Technology, Inc. (a)

      86,371           3,274,325   

Cognizant Technology Solutions Corp.-Class A (a)

      96,740           6,056,891   

F5 Networks, Inc. (a)

      32,310           3,741,498   

Facebook, Inc.-Class A (a)

      201,179           18,085,992   

Google, Inc.-Class A (a)

      6,380           4,072,801   

Google, Inc.-Class C (a)

      29,309           17,832,182   

ServiceNow, Inc. (a)

      40,491           2,812,100   

Twitter, Inc. (a)

      234,340           6,313,119   
       

 

 

  
          69,950,352   
       

 

 

  

Computer Technology - 5.7%

        

Apple, Inc.

      219,232           24,181,290   
       

 

 

  

Electronic Components - 1.6%

        

Amphenol Corp.-Class A

      133,194           6,787,566   
       

 

 

  

Semiconductors & Component - 2.0%

        

NVIDIA Corp.

      335,402           8,267,659   
       

 

 

  

Telecommunications Equipment - 0.4%

        

Arista Networks, Inc. (a)(b)

      26,190           1,602,566   
       

 

 

  
          110,789,433   
       

 

 

  

Consumer Discretionary - 25.5%

        

Auto Parts - 0.6%

        

Mobileye NV (a)(b)

      59,826           2,720,887   
       

 

 

  

Cable Television Services - 3.3%

        

Comcast Corp.-Class A

      241,990           13,764,391   
       

 

 

  

Cosmetics - 1.6%

        

Estee Lauder Cos., Inc. (The)-Class A

      81,680           6,589,943   
       

 

 

  

Diversified Retail - 2.6%

        

Costco Wholesale Corp.

      52,570           7,600,045   

Dollar Tree, Inc. (a)

      49,650           3,309,669   
       

 

 

  
          10,909,714   
       

 

 

  

Entertainment - 3.5%

        

Walt Disney Co. (The)

      146,190           14,940,618   
       

 

 

  

Leisure Time - 2.5%

        

Priceline Group, Inc. (The) (a)

      7,680           9,499,085   

TripAdvisor, Inc. (a)

      19,368           1,220,571   
       

 

 

  
          10,719,656   
       

 

 

  

Restaurants - 2.4%

        

Starbucks Corp.

      174,730           9,931,653   
       

 

 

  

Specialty Retail - 5.7%

        

Home Depot, Inc. (The)

      144,311           16,666,477   

O’Reilly Automotive, Inc. (a)

      15,780           3,945,000   

Company

    Shares        U.S. $ Value  

Ulta Salon Cosmetics & Fragrance, Inc. (a)

      21,160           3,456,486   
       

 

 

  
          24,067,963   
       

 

 

  

Textiles, Apparel & Shoes - 3.3%

        

NIKE, Inc.-Class B

      114,900           14,129,253   
       

 

 

  
          107,774,078   
       

 

 

  

Health Care - 18.8%

        

Biotechnology - 3.8%

        

Biogen, Inc. (a)

      55,155           16,094,780   
       

 

 

  

Health Care Management Services - 4.3%

        

UnitedHealth Group, Inc.

      156,501           18,155,681   
       

 

 

  

Health Care Services - 0.9%

        

Premier, Inc.-Class A (a)

      109,225           3,754,063   
       

 

 

  

Health Care: Misc. - 0.9%

        

Quintiles Transnational Holdings, Inc. (a)

      50,838           3,536,800   
       

 

 

  

Medical & Dental Instruments & Supplies - 1.8%

        

Align Technology, Inc. (a)

      66,924           3,798,606   

Edwards Lifesciences Corp. (a)

      27,230           3,871,289   
       

 

 

  
          7,669,895   
       

 

 

  

Medical Equipment - 4.7%

        

Illumina, Inc. (a)

      33,466           5,883,992   

Intuitive Surgical, Inc. (a)

      30,215           13,886,210   
       

 

 

  
          19,770,202   
       

 

 

  

Pharmaceuticals - 2.4%

        

Gilead Sciences, Inc.

      104,030           10,214,706   
       

 

 

  
          79,196,127   
       

 

 

  

Producer Durables - 9.0%

        

Aerospace - 0.8%

        

Rockwell Collins, Inc.

      41,170           3,369,353   
       

 

 

  

Air Transport - 0.8%

        

Alaska Air Group, Inc.

      44,036           3,498,660   
       

 

 

  

Back Office Support, HR & Consulting - 0.9%

        

Robert Half International, Inc.

      74,910           3,832,396   
       

 

 

  

Diversified Manufacturing Operations - 2.4%

        

Danaher Corp.

      119,932           10,219,406   
       

 

 

  

Railroad Equipment - 1.6%

        

Wabtec Corp./DE

      75,220           6,623,121   
       

 

 

  

Scientific Instruments: Electrical - 1.6%

        

AMETEK, Inc.

      131,395           6,874,586   
       

 

 

  

Scientific Instruments: Gauges & Meters - 0.9%

        

Mettler-Toledo International, Inc. (a)

      12,485           3,554,979   
       

 

 

  
          37,972,501   
       

 

 

  

 

Company

    Shares        U.S. $ Value  

Consumer Staples - 8.6%

        

Beverage: Soft Drinks - 2.1%

        

Monster Beverage Corp. (a)

      66,146           8,938,970   
       

 

 

  

Drug & Grocery Store Chains - 3.5%

        

CVS Health Corp.

      154,684           14,923,912   
       

 

 

  

Foods - 0.4%

        

WhiteWave Foods Co. (The)-Class A (a)

      36,450           1,463,468   
       

 

 

  

Tobacco - 2.6%

        

Philip Morris International, Inc.

      139,161           11,039,642   
       

 

 

  
          36,365,992   
       

 

 

  

Financial Services - 5.9%

        

Asset Management & Custodian - 1.7%

        

Affiliated Managers Group, Inc. (a)

      20,557           3,515,042   

BlackRock, Inc.-Class A

      12,000           3,569,640   
       

 

 

  
          7,084,682   
       

 

 

  

Financial Data & Systems - 4.2%

        

Visa, Inc.-Class A

      256,690           17,881,025   
       

 

 

  
          24,965,707   
       

 

 

  

Materials & Processing - 0.9%

        

Building Materials - 0.9%

        

Acuity Brands, Inc.

      21,720           3,813,598   
       

 

 

  

Total Common Stocks
(cost $326,892,509)

           400,877,436   
       

 

 

  
     Principal
Amount
(000)		           

SHORT-TERM INVESTMENTS - 6.1%

        

Time Deposit - 6.1%

        

State Street Time Deposit, 0.01%
(cost $25,952,191)

    $ 25,952           25,952,191   
       

 

 

  

Total Investments Before Security Lending Collateral for Securities Loaned - 101.1%
(cost $352,844,700)

           426,829,627   
       

 

 

  
     Shares           

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED - 0.7%

        

Investment Companies - 0.7%

        

AB Exchange Reserves-Class I, 0.13% (c)(d)
(cost $3,043,679)

      3,043,679           3,043,679   
       

 

 

  

 

            U.S. $ Value  

Total Investments - 101.8%
(cost $355,888,379) (e)

           429,873,306   

Other assets less liabilities - (1.8)%

           (7,681,263 ) 
       

 

 

  

Net Assets - 100.0%

         $ 422,192,043   
       

 

 

  

 

(a) Non-income producing security.
(b) Represents entire or partial securities out on loan.
(c) 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.
(d) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(e) As of September 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $80,288,759 and gross unrealized depreciation of investments was $(6,303,832), resulting in net unrealized appreciation of $73,984,927.

Please note: The sector classifications presented herein are based on the Russell sector classification scheme which was developed by Russell Investments. Russell classifies index members into industries that most closely describe the nature of its business and its primary economic orientation.

AB Variable Products Series Fund

AB Large Cap Growth Portfolio

September 30, 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 about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

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

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.

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 September 30, 2015:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

  

Common Stocks*

    $ 400,877,436      $ – 0  –    $             – 0  –    $ 400,877,436   

Short-Term Investments

      – 0  –      25,952,191        – 0  –      25,952,191   

Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund

      3,043,679        – 0  –      – 0  –      3,043,679   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      403,921,115        25,952,191        – 0  –      429,873,306   

Other Financial Instruments**

      – 0  –      – 0  –      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total+

    $     403,921,115      $     25,952,191      $ –0  –    $     429,873,306   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* See Portfolio of Investments for sector classifications.
** Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of 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 compare 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).

AB Variable Products Series Fund

AB Real Estate Investment Portfolio

Portfolio of Investments

September 30, 2015 (unaudited)

 

Company

    Shares        U.S. $ Value  

COMMON STOCKS - 99.5%

        

Equity: Other - 36.0%

        

Diversified/Specialty - 21.0%

        

American Tower Corp.

      18,390         $ 1,617,952   

BioMed Realty Trust, Inc.

      16,460           328,871   

CBRE Group, Inc.-Class A (a)

      10,030           320,960   

Chambers Street Properties

      31,810           206,447   

ClubCorp Holdings, Inc.

      15,894           341,085   

Crown Castle International Corp.

      31,600           2,492,292   

Digital Realty Trust, Inc. (b)

      4,650           303,738   

Duke Realty Corp.

      55,440           1,056,132   

Equinix, Inc.

      1,220           333,548   

Gramercy Property Trust, Inc.

      44,358           921,316   

Kennedy-Wilson Holdings, Inc.

      10,590           234,780   

Rayonier, Inc.

      10,120           223,348   

Spirit Realty Capital, Inc.

      95,549           873,318   

Vornado Realty Trust

      6,320           571,455   
       

 

 

  
          9,825,242   
       

 

 

  

Health Care - 9.1%

        

Care Capital Properties, Inc.

      3,260           107,352   

HCP, Inc.

      18,050           672,362   

LTC Properties, Inc.

      24,440           1,042,855   

Ventas, Inc.

      26,210           1,469,332   

Welltower, Inc. (b)

      14,211           956,827   
       

 

 

  
          4,248,728   
       

 

 

  

Triple Net - 5.9%

        

EPR Properties

      3,970           204,733   

National Retail Properties, Inc.

      43,830           1,589,714   

Realty Income Corp. (b)

      20,850           988,082   
       

 

 

  
          2,782,529   
       

 

 

  
          16,856,499   
       

 

 

  

Residential - 21.1%

        

Multi-Family - 12.7%

        

Apartment Investment & Management Co.-Class A

      8,030           297,271   

AvalonBay Communities, Inc.

      7,530           1,316,394   

Equity Residential

      11,850           890,172   

Essex Property Trust, Inc.

      5,610           1,253,386   

Independence Realty Trust, Inc.

      45,300           326,613   

Mid-America Apartment Communities, Inc.

      13,220           1,082,321   

Sun Communities, Inc.

      11,335           768,060   
       

 

 

  
          5,934,217   
       

 

 

  

Self Storage - 8.4%

        

CubeSmart

      37,640           1,024,184   

Extra Space Storage, Inc.

      13,880           1,070,981   

National Storage Affiliates Trust

      34,141           462,611   

Public Storage

      5,640           1,193,593   

Sovran Self Storage, Inc.

      2,080           196,144   
       

 

 

  
          3,947,513   
       

 

 

  
          9,881,730   
       

 

 

  

 

Company

    Shares        U.S. $ Value  

Retail - 18.7%

        

Regional Mall - 11.4%

        

Pennsylvania Real Estate Investment Trust

      43,780           868,157   

Simon Property Group, Inc.

      24,450           4,491,954   
       

 

 

  
          5,360,111   
       

 

 

  

Shopping Center/Other Retail - 7.3%

        

Brixmor Property Group, Inc.

      19,810           465,139   

DDR Corp.

      30,953           476,057   

Kite Realty Group Trust

      33,916           807,540   

Ramco-Gershenson Properties Trust

      49,571           744,061   

Retail Opportunity Investments Corp.

      41,990           694,514   

Retail Properties of America, Inc.-Class A

      15,330           216,000   
       

 

 

  
          3,403,311   
       

 

 

  
          8,763,422   
       

 

 

  

Office - 7.6%

        

Office - 7.6%

        

Boston Properties, Inc.

      8,279           980,233   

Corporate Office Properties Trust

      6,860           144,266   

Cousins Properties, Inc.

      61,260           564,817   

Government Properties Income Trust (b)

      6,530           104,480   

Highwoods Properties, Inc.

      24,040           931,550   

Hudson Pacific Properties, Inc.

      20,900           601,711   

Kilroy Realty Corp.

      3,710           241,744   
       

 

 

  
          3,568,801   
       

 

 

  

Lodging - 7.2%

        

Lodging - 7.2%

        

Ashford Hospitality Trust, Inc.

      50,509           308,105   

Pebblebrook Hotel Trust

      24,830           880,224   

RLJ Lodging Trust

      32,930           832,141   

Summit Hotel Properties, Inc.

      77,590           905,475   

Wyndham Worldwide Corp.

      6,400           460,160   
       

 

 

  
          3,386,105   
       

 

 

  

Industrials - 6.8%

        

Industrial Warehouse Distribution - 6.8%

        

DCT Industrial Trust, Inc.

      27,840           937,094   

Granite Real Estate Investment Trust

      24,010           677,802   

Prologis, Inc.

      26,732           1,039,875   

STAG Industrial, Inc.

      28,270           514,797   
       

 

 

  
          3,169,568   
       

 

 

  

Mortgage - 1.7%

        

Mortgage - 1.7%

        

Blackstone Mortgage Trust, Inc.-Class A

      17,080           468,675   

First American Financial Corp.

      9,050           353,584   
       

 

 

  
          822,259   
       

 

 

  

Financial:Other - 0.4%

        

Financial:Other - 0.4%

        

HFF, Inc.-Class A
(cost $173,944)

      5,780           195,133   
       

 

 

  

 

Company

    Principal
Amount
(000)		        U.S. $ Value  

Total Common Stocks
(cost $43,608,287)

           46,643,517   
       

 

 

  

SHORT-TERM INVESTMENTS - 1.8%

        

Time Deposit - 1.8%

        

State Street Time Deposit, 0.01%
(cost $842,900)

    $ 843           842,900   
       

 

 

  

Total Investments Before Security Lending Collateral for Securities Loaned 101.3%
(cost $44,451,187)

           47,486,417   
       

 

 

  
     Shares           

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED - 3.0%

  

     

Investment Companies - 3.0%

        

AB Exchange Reserves-Class I, 0.13% (c)(d)
(cost $1,416,007)

      1,416,007           1,416,007   
       

 

 

  

Total Investments - 104.3%
(cost $45,867,194) (e)

           48,902,424   

Other assets less liabilities - (4.3)%

           (2,025,858 ) 
       

 

 

  

Net Assets - 100.0%

         $     46,876,566   
       

 

 

  

 

(a) Non-income producing security.
(b) Represents entire or partial securities out on loan.
(c) 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.
(d) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(e) As of September 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $5,147,724 and gross unrealized depreciation of investments was $(2,112,494), resulting in net unrealized appreciation of $3,035,230.

Please note: The sector classifications presented herein are based on the sector categorization methodology of the Adviser.

AB Variable Products Series Fund

AB Real Estate Investment Portfolio

September 30, 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 about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

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

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.

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 September 30, 2015:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

  

Common Stocks*

    $ 46,643,517      $ – 0  –    $             – 0  –    $ 46,643,517   

Short-Term Investments

      – 0  –      842,900        – 0  –      842,900   

Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund

      1,416,007        – 0  –      – 0  –      1,416,007   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      48,059,524        842,900        – 0  –      48,902,424   

Other Financial Instruments**

      – 0  –      – 0  –      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total+

    $     48,059,524      $     842,900      $ – 0  –    $     48,902,424   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* See Portfolio of Investments for sector classifications.
** Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of 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 compare 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).

AB Variable Products Series Fund

AB Small Cap Growth Portfolio

Portfolio of Investments

September 30, 2015 (unaudited)

 

Company

    Shares        U.S. $ Value  

COMMON STOCKS - 99.2%

        

Information Technology - 29.8%

        

Communications Equipment - 0.9%

        

Ciena Corp. (a)

      22,260         $ 461,227   
       

 

 

  

Electronic Equipment, Instruments & Components - 0.8%

        

Zebra Technologies Corp.-Class A (a)

      4,846           370,961   
       

 

 

  

Internet Software & Services - 6.1%

        

Cimpress NV (a)(b)

      7,556           575,087   

CoStar Group, Inc. (a)

      4,210           728,583   

Demandware, Inc. (a)

      11,060           571,581   

GrubHub, Inc. (a)(b)

      14,110           343,437   

HomeAway, Inc. (a)

      14,155           375,674   

Pandora Media, Inc. (a)

      14,546           310,412   
       

 

 

  
          2,904,774   
       

 

 

  

IT Services - 1.5%

        

Heartland Payment Systems, Inc.

      5,820           366,718   

VeriFone Systems, Inc. (a)

      12,198           338,251   
       

 

 

  
          704,969   
       

 

 

  

Semiconductors & Semiconductor Equipment - 4.5%

        

Cavium, Inc. (a)

      9,054           555,644   

Mellanox Technologies Ltd. (a)

      7,983           301,678   

Monolithic Power Systems, Inc.

      7,661           392,243   

Silicon Laboratories, Inc. (a)

      12,624           524,401   

Synaptics, Inc. (a)

      4,538           374,203   
       

 

 

  
          2,148,169   
       

 

 

  

Software - 16.0%

        

Aspen Technology, Inc. (a)

      7,523           285,197   

Blackbaud, Inc.

      12,068           677,256   

Fortinet, Inc. (a)

      14,221           604,108   

Guidewire Software, Inc. (a)

      14,091           740,905   

HubSpot, Inc. (a)

      15,180           703,897   

Infoblox, Inc. (a)

      24,076           384,734   

Proofpoint, Inc. (a)

      11,546           696,455   

Qlik Technologies, Inc. (a)

      9,280           338,256   

RingCentral, Inc.-Class A (a)

      29,452           534,554   

SolarWinds, Inc. (a)

      7,175           281,547   

SS&C Technologies Holdings, Inc.

      11,039           773,171   

Tableau Software, Inc.-Class A (a)

      6,100           486,658   

Take-Two Interactive Software, Inc. (a)

      18,412           528,977   

Ultimate Software Group, Inc. (The) (a)

      3,422           612,572   
       

 

 

  
          7,648,287   
       

 

 

  
          14,238,387   
       

 

 

  

 

Company

    Shares        U.S. $
Value		  

Health Care - 25.9%

        

Biotechnology - 8.8%

        

ACADIA Pharmaceuticals, Inc. (a)

      8,510           281,426   

Agios Pharmaceuticals, Inc. (a)(b)

      1,365           96,355   

Aimmune Therapeutics, Inc. (a)

      8,813           223,145   

Alder Biopharmaceuticals, Inc. (a)

      8,353           273,644   

Amicus Therapeutics, Inc. (a)

      24,100           337,159   

Anacor Pharmaceuticals, Inc. (a)

      4,390           516,747   

Chiasma, Inc. (a)

      8,716           173,274   

DBV Technologies SA (Sponsored ADR) (a)

      5,265           187,381   

Dyax Corp. (a)

      20,350           388,482   

Heron Therapeutics, Inc. (a)(b)

      7,510           183,244   

Isis Pharmaceuticals, Inc. (a)

      3,592           145,189   

Otonomy, Inc. (a)

      8,826           157,191   

PTC Therapeutics, Inc. (a)

      6,227           166,261   

Sage Therapeutics, Inc. (a)

      5,086           215,240   

TESARO, Inc. (a)

      6,150           246,615   

Ultragenyx Pharmaceutical, Inc. (a)

      4,453           428,868   

Xencor, Inc. (a)(b)

      13,012           159,137   
       

 

 

  
          4,179,358   
       

 

 

  

Health Care Equipment & Supplies - 8.9%

        

Align Technology, Inc. (a)

      11,011           624,984   

Cardiovascular Systems, Inc. (a)(b)

      12,071           191,205   

DexCom, Inc. (a)

      8,871           761,664   

Glaukos Corp. (a)(b)

      8,930           216,017   

HeartWare International, Inc. (a)(b)

      5,220           273,058   

K2M Group Holdings, Inc. (a)

      19,913           370,382   

LDR Holding Corp. (a)

      16,200           559,386   

Neovasc, Inc. (a)

      30,511           150,724   

Nevro Corp. (a)

      12,399           575,190   

Penumbra, Inc. (a)

      1,088           43,629   

Sirona Dental Systems, Inc. (a)

      5,225           487,701   
       

 

 

  
          4,253,940   
       

 

 

  

Health Care Providers & Services - 5.5%

        

Acadia Healthcare Co., Inc. (a)

      10,784           714,656   

Diplomat Pharmacy, Inc. (a)(b)

      16,807           482,865   

Premier, Inc.-Class A (a)

      15,776           542,221   

Team Health Holdings, Inc. (a)

      16,589           896,303   
       

 

 

  
          2,636,045   
       

 

 

  

Life Sciences Tools & Services - 1.3%

        

ICON PLC (a)

      9,072           643,840   
       

 

 

  

Pharmaceuticals - 1.4%

        

Akorn, Inc. (a)

      4,827           137,594   

Aratana Therapeutics, Inc. (a)

      17,319           146,519   

Flamel Technologies SA (Sponsored ADR) (a)

      11,460           186,912   

Company

    Shares        U.S. $ Value  

GW Pharmaceuticals PLC (ADR) (a)(b)

      1,958           178,902   
       

 

 

  
          649,927   
       

 

 

  
          12,363,110   
       

 

 

  

Consumer Discretionary - 16.0%

        

Distributors - 2.0%

        

Pool Corp.

      12,957           936,791   
       

 

 

  

Diversified Consumer Services - 3.3%

        

2U, Inc. (a)

      10,489           376,555   

Bright Horizons Family Solutions, Inc. (a)

      13,235           850,216   

Capella Education Co.

      7,521           372,440   
       

 

 

  
          1,599,211   
       

 

 

  

Hotels, Restaurants & Leisure - 4.7%

        

Buffalo Wild Wings, Inc. (a)

      2,932           567,137   

Diamond Resorts International, Inc. (a)

      30,266           707,922   

Planet Fitness, Inc. (a)

      22,518           385,959   

Zoe’s Kitchen, Inc. (a)(b)

      14,305           564,904   
       

 

 

  
          2,225,922   
       

 

 

  

Household Durables - 1.4%

        

Tempur Sealy International, Inc. (a)

      9,427           673,371   
       

 

 

  

Media - 1.1%

        

National CineMedia, Inc.

      40,624           545,174   
       

 

 

  

Multiline Retail - 0.7%

        

Ollie’s Bargain Outlet Holdings, Inc. (a)(b)

      20,232           327,151   
       

 

 

  

Specialty Retail - 2.8%

        

Five Below, Inc. (a)

      18,175           610,317   

Lithia Motors, Inc.-Class A

      6,650           718,931   
       

 

 

  
          1,329,248   
       

 

 

  
          7,636,868   
       

 

 

  

Industrials - 14.3%

        

Aerospace & Defense - 1.7%

        

Hexcel Corp.

      17,614           790,164   
       

 

 

  

Construction & Engineering - 1.8%

        

Dycom Industries, Inc. (a)

      11,903           861,301   
       

 

 

  

Industrial Conglomerates - 1.6%

        

Carlisle Cos., Inc.

      8,705           760,643   
       

 

 

  

Machinery - 5.4%

        

IDEX Corp.

      9,803           698,954   

Lincoln Electric Holdings, Inc.

      10,319           541,025   

Middleby Corp. (The) (a)

      5,606           589,695   

RBC Bearings, Inc. (a)

      6,701           400,251   

Valmont Industries, Inc.

      3,801           360,677   
       

 

 

  
          2,590,602   
       

 

 

  

Company

    Shares        U.S. $
Value		  

Marine - 1.2%

        

Kirby Corp. (a)

      9,341           578,675   
       

 

 

  

Road & Rail - 1.0%

        

Genesee & Wyoming, Inc.-Class A (a)

      8,044           475,239   
       

 

 

  

Trading Companies & Distributors - 1.6%

        

H&E Equipment Services, Inc.

      27,209           454,934   

United Rentals, Inc. (a)

      4,991           299,710   
       

 

 

  
          754,644   
       

 

 

  
          6,811,268   
       

 

 

  

Financials - 7.0%

        

Banks - 5.4%

        

IBERIABANK Corp.

      7,982           464,632   

PrivateBancorp, Inc.

      11,763           450,876   

Signature Bank/New York NY (a)

      4,448           611,867   

SVB Financial Group (a)

      5,061           584,748   

Western Alliance Bancorp (a)

      15,632           480,058   
       

 

 

  
          2,592,181   
       

 

 

  

Capital Markets - 1.6%

        

Houlihan Lokey, Inc. (a)

      15,060           328,308   

Stifel Financial Corp. (a)

      10,457           440,240   
       

 

 

  
          768,548   
       

 

 

  
          3,360,729   
       

 

 

  

Materials - 2.6%

        

Chemicals - 1.6%

        

PolyOne Corp.

      26,732           784,317   
       

 

 

  

Construction Materials - 1.0%

        

Summit Materials, Inc.-Class A (a)

      24,749           464,539   
       

 

 

  
          1,248,856   
       

 

 

  

Energy - 2.3%

        

Energy Equipment & Services - 1.4%

        

Dril-Quip, Inc. (a)

      6,197           360,790   

Oil States International, Inc. (a)

      12,301           321,425   
       

 

 

  
          682,215   
       

 

 

  

Oil, Gas & Consumable Fuels - 0.9%

        

Matador Resources Co. (a)

      19,442           403,227   
       

 

 

  
          1,085,442   
       

 

 

  

Consumer Staples - 1.3%

        

Food & Staples Retailing - 0.6%

        

Chefs’ Warehouse, Inc. (The) (a)

      19,902           281,812   
       

 

 

  

Food Products - 0.7%

        

Freshpet, Inc. (a)(b)

      33,665           353,483   
       

 

 

  

      Principal
Amount
(000)		        U.S. $ Value  
       635,295   
       

 

 

  

Total Common Stocks
(cost $47,348,119)

   

        47,379,955   
       

 

 

  

SHORT-TERM INVESTMENTS - 0.1%

        

Time Deposit - 0.1%

        

State Street Time Deposit
0.01%, 10/01/15
(cost $26,965)

    $ 27           26,965   
       

 

 

  

Total Investments Before Security Lending Collateral for Securities Loaned - 99.3%
(cost $47,375,084)

   

        47,406,920   
       

 

 

  
     Shares           

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED - 7.1%

        

Investment Companies - 7.1%

        

AB Exchange Reserves-Class I, 0.13% (c)(d)
(cost $3,399,586)

      3,399,586           3,399,586   
       

 

 

  

Total Investments - 106.4%
(cost $50,774,670) (e)

   

        50,806,506   

Other assets less liabilities - (6.4)%

  

        (3,060,781 ) 
       

 

 

  

Net Assets - 100.0%

  

      $ 47,745,725   
       

 

 

  

 

(a) Non-income producing security.
(b) Represents entire or partial securities out on loan.
(c) 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.
(d) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(e) As of September 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $5,073,356 and gross unrealized depreciation of investments was $(5,041,520), resulting in net unrealized appreciation of $31,836.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market.

Glossary:

 

ADR    -    American Depositary Receipt

AB Variable Products Series Fund

AB Small Cap Growth Portfolio

September 30, 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 about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

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

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.

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 September 30, 2015:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

  

Common Stocks*

    $ 47,379,955      $ – 0  –    $ – 0  –    $ 47,379,955   

Short-Term Investments

      – 0  –      26,965        – 0  –      26,965   

Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund

      3,399,586        – 0  –      – 0  –      3,399,586   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      50,779,541        26,965        – 0  –      50,806,506   

Other Financial Instruments**

      – 0  –      – 0  –      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total+

    $     50,779,541      $     26,965      $             – 0  –    $     50,806,506   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* See Portfolio of Investments for sector classifications.
** Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of 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 compare 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).

AB Variable Products Series Fund

AB Small/Mid Cap Value Portfolio

Portfolio of Investments

September 30, 2015 (unaudited)

 

Company

    Shares        U.S. $ Value  

COMMON STOCKS - 98.3%

        

Financials - 29.5%

        

Banks - 9.7%

        

Associated Banc-Corp

      256,090         $ 4,601,937   

Comerica, Inc.

      200,110           8,224,521   

First Niagara Financial Group, Inc.

      526,580           5,376,382   

Fulton Financial Corp.

      450,590           5,452,139   

Huntington Bancshares, Inc./OH

      729,630           7,734,078   

Synovus Financial Corp.

      182,440           5,400,224   

Texas Capital Bancshares, Inc. (a)

      99,470           5,214,217   

Webster Financial Corp.

      149,980           5,343,787   

Zions Bancorporation

      311,290           8,572,927   
       

 

 

  
          55,920,212   
       

 

 

  

Capital Markets - 1.0%

        

E*TRADE Financial Corp. (a)

      223,120           5,874,750   
       

 

 

  

Consumer Finance - 0.8%

        

SLM Corp. (a)

      635,260           4,700,924   
       

 

 

  

Insurance - 10.8%

        

American Financial Group, Inc./OH

      130,510           8,993,444   

Aspen Insurance Holdings Ltd.

      188,970           8,781,436   

CNO Financial Group, Inc.

      472,340           8,884,715   

First American Financial Corp.

      227,450           8,886,472   

Hanover Insurance Group, Inc. (The)

      109,220           8,486,394   

StanCorp Financial Group, Inc.

      84,060           9,599,652   

Validus Holdings Ltd.

      197,242           8,889,697   
       

 

 

  
          62,521,810   
       

 

 

  

Real Estate Investment Trusts (REITs) - 6.0%

        

DDR Corp.

      337,710           5,193,980   

Gramercy Property Trust, Inc.

      326,450           6,780,366   

LTC Properties, Inc.

      176,850           7,546,189   

Mid-America Apartment Communities, Inc.

      72,240           5,914,289   

RLJ Lodging Trust

      217,840           5,504,817   

STAG Industrial, Inc.

      193,370           3,521,268   
       

 

 

  
          34,460,909   
       

 

 

  

Thrifts & Mortgage Finance - 1.2%

        

Essent Group Ltd. (a)

      292,648           7,272,303   
       

 

 

  
          170,750,908   
       

 

 

  

Information Technology - 18.1%

        

Communications Equipment - 2.5%

        

Brocade Communications Systems, Inc.

      396,310           4,113,698   

Finisar Corp. (a)

      489,830           5,451,808   

Polycom, Inc. (a)

      454,220           4,760,225   
       

 

 

  
          14,325,731   
       

 

 

  

Electronic Equipment, Instruments & Components - 7.4%

        

Avnet, Inc.

      215,860           9,212,905   

CDW Corp./DE

      226,340           9,248,253   

Celestica, Inc. (a)

      326,910           4,213,870   

Insight Enterprises, Inc. (a)

      124,004           3,205,503   

Keysight Technologies, Inc. (a)

      227,950           7,029,978   

Company

    Shares        U.S. $ Value  

TTM Technologies, Inc. (a)

      484,892           3,020,877   

Vishay Intertechnology, Inc.

      734,970           7,121,859   
       

 

 

  
          43,053,245   
       

 

 

  

IT Services - 3.7%

        

Amdocs Ltd.

      106,960           6,083,885   

Booz Allen Hamilton Holding Corp.

      338,760           8,878,899   

Genpact Ltd. (a)

      260,910           6,160,085   
       

 

 

  
          21,122,869   
       

 

 

  

Semiconductors & Semiconductor Equipment - 2.4%

        

Advanced Micro Devices, Inc. (a)(b)

      751,960           1,293,371   

Fairchild Semiconductor International, Inc. (a)

      619,180           8,693,288   

Lam Research Corp.

      61,440           4,013,875   
       

 

 

  
          14,000,534   
       

 

 

  

Software - 0.8%

        

Electronic Arts, Inc. (a)

      64,250           4,352,938   
       

 

 

  

Technology Hardware, Storage & Peripherals - 1.3%

        

NCR Corp. (a)

      343,470           7,813,942   
       

 

 

  
          104,669,259   
       

 

 

  

Consumer Discretionary - 18.0%

        

Auto Components - 3.2%

        

Dana Holding Corp.

      400,090           6,353,429   

Lear Corp.

      62,890           6,841,174   

Tenneco, Inc. (a)

      115,580           5,174,517   
       

 

 

  
          18,369,120   
       

 

 

  

Hotels, Restaurants & Leisure - 1.3%

        

Bloomin’ Brands, Inc.

      409,469           7,444,146   
       

 

 

  

Household Durables - 2.9%

        

Helen of Troy Ltd. (a)

      61,000           5,447,300   

Meritage Homes Corp. (a)

      174,900           6,387,348   

PulteGroup, Inc.

      276,960           5,226,235   
       

 

 

  
          17,060,883   
       

 

 

  

Media - 1.3%

        

Cable One, Inc. (a)

      10,477           4,394,263   

Scholastic Corp.

      88,880           3,462,765   
       

 

 

  
          7,857,028   
       

 

 

  

Multiline Retail - 2.4%

        

Big Lots, Inc.

      187,220           8,971,583   

Dillard’s, Inc.-Class A

      54,070           4,725,177   
       

 

 

  
          13,696,760   
       

 

 

  

Specialty Retail - 5.6%

        

Caleres, Inc.

      161,010           4,915,635   

Children’s Place, Inc. (The)

      132,689           7,652,175   

GameStop Corp.-Class A (b)

      154,400           6,362,824   

Murphy USA, Inc. (a)

      90,500           4,972,975   

Company

    Shares        U.S. $ Value  

Office Depot, Inc. (a)

      803,130           5,156,095   

Pier 1 Imports, Inc. (b)

      470,540           3,246,726   
       

 

 

  
          32,306,430   
       

 

 

  

Textiles, Apparel & Luxury Goods - 1.3%

        

Crocs, Inc. (a)

      577,740           7,467,290   
       

 

 

  
          104,201,657   
       

 

 

  

Industrials - 14.0%

        

Aerospace & Defense - 1.0%

        

Spirit AeroSystems Holdings, Inc.-Class A (a)

      121,080           5,853,007   
       

 

 

  

Construction & Engineering - 5.2%

        

AECOM (a)

      298,175           8,202,794   

EMCOR Group, Inc.

      182,700           8,084,475   

Granite Construction, Inc.

      214,300           6,358,281   

Quanta Services, Inc. (a)

      247,670           5,996,091   

Tutor Perini Corp. (a)

      92,190           1,517,447   
       

 

 

  
          30,159,088   
       

 

 

  

Electrical Equipment - 1.6%

        

General Cable Corp.

      230,130           2,738,547   

Regal Beloit Corp.

      117,810           6,650,375   
       

 

 

  
          9,388,922   
       

 

 

  

Machinery - 2.1%

        

ITT Corp.

      155,640           5,203,045   

Oshkosh Corp.

      182,520           6,630,952   
       

 

 

  
          11,833,997   
       

 

 

  

Road & Rail - 2.2%

        

Con-way, Inc.

      126,200           5,988,190   

Ryder System, Inc.

      88,080           6,521,443   
       

 

 

  
          12,509,633   
       

 

 

  

Trading Companies & Distributors - 1.9%

        

MRC Global, Inc. (a)

      501,910           5,596,297   

WESCO International, Inc. (a)(b)

      113,100           5,255,757   
       

 

 

  
          10,852,054   
       

 

 

  
          80,596,701   
       

 

 

  

Utilities - 5.6%

        

Electric Utilities - 2.7%

        

PNM Resources, Inc.

      303,200           8,504,760   

Westar Energy, Inc.

      184,525           7,093,141   
       

 

 

  
          15,597,901   
       

 

 

  

Gas Utilities - 2.9%

        

Southwest Gas Corp.

      140,480           8,192,794   

UGI Corp.

      251,200           8,746,784   
       

 

 

  
          16,939,578   
       

 

 

  
          32,537,479   
       

 

 

  

Company

    Shares        U.S. $ Value  

Materials – 4.2%

  

Chemicals – 1.6%

  

A. Schulman, Inc.

      201,180           6,532,315   

Huntsman Corp.

      267,750           2,594,497   
       

 

 

  
       9,126,812   
       

 

 

  

Containers & Packaging - 1.8%

  

Avery Dennison Corp.

      100,930           5,709,610   

Graphic Packaging Holding Co.

      369,220           4,722,324   
       

 

 

  
       10,431,934   
       

 

 

  

Metals & Mining - 0.8%

  

Steel Dynamics, Inc.

      267,450           4,594,791   
       

 

 

  
       24,153,537   
       

 

 

  

Energy - 3.3%

  

Oil, Gas & Consumable Fuels - 3.3%

  

Murphy Oil Corp.

      219,750           5,317,950   

QEP Resources, Inc.

      552,720           6,925,581   

SM Energy Co.

      219,520           7,033,421   
       

 

 

  
       19,276,952   
       

 

 

  

Health Care - 3.3%

  

Health Care Providers & Services - 3.3%

  

LifePoint Health, Inc. (a)

      102,245           7,249,170   

Molina Healthcare, Inc. (a)

      70,350           4,843,598   

WellCare Health Plans, Inc. (a)

      82,930           7,146,907   
       

 

 

  
       19,239,675   
       

 

 

  

Consumer Staples - 2.3%

  

Food Products - 2.3%

  

Dean Foods Co.

      242,860           4,012,047   

Ingredion, Inc.

      108,610           9,482,739   
       

 

 

  
       13,494,786   
       

 

 

  

Total Common Stocks
(cost $531,463,339)

   

        568,920,954   
       

 

 

  
     Principal
Amount
(000)		           

SHORT-TERM INVESTMENTS - 1.8%

  

Time Deposit - 1.8%

  

State Street Time Deposit
0.01%, 10/01/15
(cost $10,362,714)

    $ 10,363           10,362,714   
       

 

 

  

Company

    Shares        U.S. $ Value  

Total Investments Before Security Lending Collateral for Securities Loaned - 100.1%
(cost $541,826,053)

   

        579,283,668   
       

 

 

  

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED - 2.0%

        

Investment Companies - 2.0%

        

AB Exchange Reserves-Class I, 0.13% (c)(d)
(cost $11,382,078)

      11,382,078           11,382,078   
       

 

 

  

Total Investments - 102.1%
(cost $553,208,131) (e)

   

        590,665,746   

Other assets less liabilities - (2.1)%

           (12,315,195 ) 
       

 

 

  

Net Assets - 100.0%

         $ 578,350,551   
       

 

 

  

 

(a) Non-income producing security.
(b) Represents entire or partial securities out on loan.
(c) 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.
(d) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(e) As of September 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $93,327,679 and gross unrealized depreciation of investments was $(55,870,064), resulting in net unrealized appreciation of $37,457,615.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market.

AB Variable Products Series Fund

AB Small/Mid Cap Value Portfolio

September 30, 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 about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

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

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.

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 September 30, 2015:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

  

Common Stocks*

    $ 568,920,954      $ – 0  –    $ – 0  –    $ 568,920,954   

Short-Term Investments

      – 0  –      10,362,714        – 0  –      10,362,714   

Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund

      11,382,078        – 0  –      – 0  –      11,382,078   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      580,303,032        10,362,714        – 0  –      590,665,746   

Other Financial Instruments**

      – 0  –      – 0  –      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total^

    $     580,303,032      $     10,362,714      $             – 0  –    $     590,665,746   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* See Portfolio of Investments for sector classifications.
** Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
^ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of 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 compare 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).

AB Variable Products Series Fund

AB Value Portfolio

Portfolio of Investments

September 30, 2015 (unaudited)

 

Company

    Shares        U.S. $ Value  

COMMON STOCKS - 99.0%

  

Financials - 29.7%

  

Banks - 13.6%

  

Bank of America Corp.

      185,130         $ 2,884,325   

Citigroup, Inc.

      20,478           1,015,914   

Citizens Financial Group, Inc.

      57,953           1,382,759   

Comerica, Inc.

      12,833           527,436   

JPMorgan Chase & Co.

      38,215           2,329,968   

KeyCorp

      9,566           124,454   

PNC Financial Services Group, Inc. (The)

      4,845           432,174   

Wells Fargo & Co.

      61,278           3,146,625   
       

 

 

  
          11,843,655   
       

 

 

  

Capital Markets - 2.3%

  

Bank of New York Mellon Corp. (The)

      8,209           321,382   

Goldman Sachs Group, Inc. (The)

      4,786           831,615   

Morgan Stanley

      15,717           495,086   

State Street Corp.

      5,989           402,521   
       

 

 

  
          2,050,604   
       

 

 

  

Consumer Finance - 3.5%

  

Capital One Financial Corp.

      22,800           1,653,456   

Discover Financial Services

      14,210           738,778   

Springleaf Holdings, Inc. (a)

      14,603           638,443   
       

 

 

  
          3,030,677   
       

 

 

  

Diversified Financial Services - 2.0%

  

Berkshire Hathaway, Inc.-Class B (a)

      6,000           782,400   

Voya Financial, Inc.

      24,158           936,606   
       

 

 

  
          1,719,006   
       

 

 

  

Insurance - 7.8%

  

ACE Ltd.

      2,502           258,707   

Allstate Corp. (The)

      27,400           1,595,776   

American Financial Group, Inc./OH

      18,165           1,251,750   

American International Group, Inc.

      13,918           790,821   

Aon PLC

      7,259           643,220   

First American Financial Corp.

      11,070           432,505   

FNF Group

      5,417           192,141   

Hanover Insurance Group, Inc. (The)

      10,400           808,080   

Travelers Cos., Inc. (The)

      7,600           756,428   

Unum Group

      3,900           125,112   
       

 

 

  
          6,854,540   
       

 

 

  

Real Estate Investment Trusts (REITs) - 0.5%

  

RLJ Lodging Trust

      16,587           419,153   
       

 

 

  
          25,917,635   
       

 

 

  

Information Technology - 12.4%

  

Communications Equipment - 1.6%

  

Cisco Systems, Inc.

      52,200           1,370,250   
       

 

 

  

Electronic Equipment, Instruments & Components - 1.0%

  

Keysight Technologies, Inc. (a)

      27,631           852,140   
       

 

 

  

IT Services - 1.1%

  

Booz Allen Hamilton Holding Corp.

      9,475           248,340   

Xerox Corp.

      75,594           735,529   
       

 

 

  
          983,869   
       

 

 

  

Company

    Shares        U.S. $ Value  

Semiconductors & Semiconductor Equipment - 2.5%

        

Applied Materials, Inc.

      62,143           912,881   

Intel Corp.

      42,645           1,285,320   
       

 

 

  
          2,198,201   
       

 

 

  

Software - 4.3%

        

Electronic Arts, Inc. (a)

      6,955           471,201   

Microsoft Corp.

      49,146           2,175,202   

Oracle Corp.

      30,276           1,093,569   
       

 

 

  
          3,739,972   
       

 

 

  

Technology Hardware, Storage & Peripherals - 1.9%

        

Hewlett-Packard Co.

      65,947           1,688,903   
       

 

 

  
          10,833,335   
       

 

 

  

Health Care - 12.1%

        

Biotechnology - 1.0%

        

Gilead Sciences, Inc.

      9,006           884,299   
       

 

 

  

Health Care Providers & Services - 4.4%

        

Aetna, Inc.

      14,522           1,588,852   

Anthem, Inc.

      5,334           746,760   

Quest Diagnostics, Inc.

      8,926           548,681   

UnitedHealth Group, Inc.

      8,507           986,897   
       

 

 

  
          3,871,190   
       

 

 

  

Pharmaceuticals - 6.7%

        

Johnson & Johnson

      26,993           2,519,797   

Merck & Co., Inc.

      10,957           541,166   

Pfizer, Inc.

      88,553           2,781,450   
       

 

 

  
          5,842,413   
       

 

 

  
          10,597,902   
       

 

 

  

Consumer Discretionary - 11.3%

        

Auto Components - 2.2%

        

Lear Corp.

      9,200           1,000,776   

Magna International, Inc. (New York)-Class A

      19,400           931,394   
       

 

 

  
          1,932,170   
       

 

 

  

Automobiles - 0.5%

        

General Motors Co.

      15,872           476,477   
       

 

 

  

Hotels, Restaurants & Leisure - 0.3%

        

Carnival Corp.

      4,399           218,630   
       

 

 

  

Media - 2.4%

        

Comcast Corp.-Class A

      14,206           808,037   

Thomson Reuters Corp.

      3,772           151,861   

Time Warner, Inc.

      16,066           1,104,538   
       

 

 

  
          2,064,436   
       

 

 

  

Multiline Retail - 3.4%

        

Dollar General Corp.

      12,451           901,950   

Kohl’s Corp.

      15,774           730,494   

Macy’s, Inc.

      8,514           436,939   

Target Corp.

      11,986           942,819   
       

 

 

  
          3,012,202   
       

 

 

  

Company

    Shares        U.S. $ Value  

Specialty Retail - 2.5%

        

Foot Locker, Inc.

      9,688           697,246   

GameStop Corp.-Class A (b)

      22,500           927,225   

Office Depot, Inc. (a)

      87,215           559,920   
       

 

 

  
          2,184,391   
       

 

 

  
          9,888,306   
       

 

 

  

Energy - 11.3%

        

Oil, Gas & Consumable Fuels - 11.3%

        

Chevron Corp.

      1,421           112,088   

EOG Resources, Inc.

      16,559           1,205,495   

Exxon Mobil Corp.

      42,903           3,189,838   

Hess Corp.

      19,213           961,803   

Marathon Petroleum Corp.

      14,253           660,342   

Murphy Oil Corp.

      24,698           597,692   

Occidental Petroleum Corp.

      8,141           538,527   

QEP Resources, Inc.

      35,247           441,645   

SM Energy Co.

      19,841           635,706   

Tesoro Corp.

      1,110           107,936   

Valero Energy Corp.

      23,201           1,394,380   
       

 

 

  
          9,845,452   
       

 

 

  

Industrials - 7.7%

        

Aerospace & Defense - 2.4%

        

General Dynamics Corp.

      3,500           482,825   

L-3 Communications Holdings, Inc.

      9,049           945,802   

United Technologies Corp.

      7,593           675,701   
       

 

 

  
          2,104,328   
       

 

 

  

Airlines - 1.8%

        

Delta Air Lines, Inc.

      20,349           913,060   

JetBlue Airways Corp. (a)

      26,717           688,497   
       

 

 

  
          1,601,557   
       

 

 

  

Construction & Engineering - 0.3%

        

Quanta Services, Inc. (a)

      10,515           254,568   
       

 

 

  

Electrical Equipment - 1.2%

        

Eaton Corp. PLC

      20,911           1,072,734   
       

 

 

  

Industrial Conglomerates - 1.2%

        

General Electric Co.

      40,111           1,011,599   
       

 

 

  

Machinery - 0.8%

        

ITT Corp.

      20,781           694,709   
       

 

 

  
          6,739,495   
       

 

 

  

Utilities - 7.3%

        

Electric Utilities - 4.7%

        

American Electric Power Co., Inc.

      16,600           943,876   

Edison International

      19,700           1,242,479   

Exelon Corp.

      8,090           240,273   

FirstEnergy Corp.

      4,547           142,366   

PPL Corp.

      26,931           885,761   

Westar Energy, Inc.

      17,000           653,480   
       

 

 

  
          4,108,235   
       

 

 

  

Company

    Shares        U.S. $ Value  

Gas Utilities - 0.9%

        

UGI Corp.

      21,793           758,832   
       

 

 

  

Independent Power and Renewable Electricity Producers - 0.5%

        

AES Corp./VA

      37,439           366,528   

Calpine Corp. (a)

      4,035           58,911   
       

 

 

  
          425,439   
       

 

 

  

Multi-Utilities - 1.2%

        

PG&E Corp.

      15,393           812,751   

Public Service Enterprise Group, Inc.

      5,800           244,528   
       

 

 

  
          1,057,279   
       

 

 

  
          6,349,785   
       

 

 

  

Consumer Staples - 3.4%

        

Food Products - 1.6%

        

Archer-Daniels-Midland Co.

      7,000           290,150   

Bunge Ltd.

      1,524           111,709   

Ingredion, Inc.

      4,149           362,249   

Mondelez International, Inc.-Class A

      15,279           639,732   
       

 

 

  
          1,403,840   
       

 

 

  

Household Products - 0.7%

        

Procter & Gamble Co. (The)

      8,500           611,490   
       

 

 

  

Tobacco - 1.1%

        

Altria Group, Inc.

      18,212           990,733   
       

 

 

  
          3,006,063   
       

 

 

  

Materials - 2.6%

        

Chemicals - 2.5%

        

CF Industries Holdings, Inc.

      27,656           1,241,754   

LyondellBasell Industries NV-Class A

      11,000           916,960   
       

 

 

  
          2,158,714   
       

 

 

  

Metals & Mining - 0.1%

        

Alcoa, Inc.

      14,100           136,206   
       

 

 

  
          2,294,920   
       

 

 

  

Telecommunication Services - 1.2%

        

Diversified Telecommunication Services - 0.2%

        

AT&T, Inc.

      6,273           204,374   
       

 

 

  

Wireless Telecommunication Services - 1.0%

        

Vodafone Group PLC (Sponsored ADR)

      27,000           856,980   
       

 

 

  
          1,061,354   
       

 

 

  

Total Common Stocks
(cost $78,998,962)

           86,534,247   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

SHORT-TERM INVESTMENTS - 0.8%

        

Time Deposit - 0.8%

        

State Street Time Deposit
0.01%, 10/01/15
(cost $690,865)

    $ 691           690,865   
       

 

 

  

Total Investments Before Security Lending Collateral for Securities Loaned - 99.8%
(cost $79,689,827)

   

        87,225,112   
       

 

 

  
     Shares           

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED - 1.1%

        

Investment Companies - 1.1%

        

AB Exchange Reserves-Class I, 0.13% (c)(d)
(cost $928,125)

      928,125           928,125   
       

 

 

  

Total Investments - 100.9%
(cost $80,617,952) (e)

   

        88,153,237   

Other assets less liabilities - (0.9)%

  

        (797,961 ) 
       

 

 

  

Net Assets - 100.0%

  

      $     87,355,276   
       

 

 

  

 

(a) Non-income producing security.
(b) Represents entire or partial securities out on loan.
(c) 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.
(d) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(e) As of September 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $13,660,377 and gross unrealized depreciation of investments was $(6,125,092), resulting in net unrealized appreciation of $7,535,285.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market.

Glossary:

 

ADR    -    American Depositary Receipt

AB Variable Products Series Fund

AB Value Portfolio

September 30, 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 about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

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

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.

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 September 30, 2015:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

  

Common Stocks*

    $ 86,534,247      $ – 0  –    $ – 0  –    $ 86,534,247   

Short-Term Investments

      – 0  –      690,865        – 0  –      690,865   

Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund

      928,125        – 0  –      – 0  –      928,125   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      87,462,372        690,865        – 0  –      88,153,237   

Other Financial Instruments**

      – 0  –      – 0  –      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total+

    $     87,462,372      $     690,865      $             – 0  –    $     88,153,237   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* See Portfolio of Investments for sector classifications.
** Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of 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 compare 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 significant changes in the registrant’s internal control over financial reporting that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

 

ITEM 3. EXHIBITS.

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

 

EXHIBIT NO.

  

DESCRIPTION OF EXHIBIT

11 (a) (1)   Certification of Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
11 (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 Variable Products Series Fund, Inc.

 

By:   /s/    Robert M. Keith
  Robert M. Keith
  President
Date:   November 20, 2015

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:   November 20, 2015
By:   /s/    Joseph J. Mantineo
  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   November 20, 2015