NPORT-EX 2 64VB.HTM HTML

AB Variable Products Series Fund, Inc.

AB Intermediate Bond Portfolio

Portfolio of Investments

September 30, 2019 (unaudited)

 

     Principal
Amount
(000)		        U.S. $ Value  

CORPORATES - INVESTMENT GRADE - 28.9%

 

Industrial - 14.1%

 

Basic - 1.0%

 

Alpek SAB de CV

 

4.25%, 9/18/29 (a)

    U.S.$ 200        $ 201,700  

DuPont de Nemours, Inc.

   

4.205%, 11/15/23

      65          69,662  

4.493%, 11/15/25

      65          71,851  

Eastman Chemical Co.

   

3.80%, 3/15/25

                  50          52,395  

Glencore Funding LLC

   

4.125%, 5/30/23 (a)

      58          60,716  
       

 

 

  
          456,324  
       

 

 

  

Capital Goods - 0.7%

 

Embraer Netherlands Finance BV

 

5.40%, 2/01/27

      85          96,342  

General Electric Co.

   

0.875%, 5/17/25

    EUR 100          109,791  

United Technologies Corp.

   

3.95%, 8/16/25

    U.S.$ 90          98,547  
       

 

 

  
          304,680  
       

 

 

  

Communications - Media - 1.1%

 

Charter Communications Operating LLC/Charter Communications Operating Capital

   

4.908%, 7/23/25

      135          148,176  

5.05%, 3/30/29

      90          100,579  

Comcast Corp.

   

4.15%, 10/15/28

      95          106,479  

Cox Communications, Inc.

   

2.95%, 6/30/23 (a)

      51          51,788  

Time Warner Cable LLC

   

4.125%, 2/15/21

      111          112,966  
       

 

 

  
          519,988  
       

 

 

  

Communications - Telecommunications - 1.8%

 

AT&T, Inc.

   

3.40%, 5/15/25

      310          323,488  

4.125%, 2/17/26

      147          158,681  

4.55%, 3/09/49

      64          69,167  

Verizon Communications, Inc.

   

4.862%, 8/21/46

      75          91,510  

5.012%, 4/15/49

      28          35,104  

Vodafone Group PLC

   

3.75%, 1/16/24

      40          42,122  

4.125%, 5/30/25

      88          95,119  
       

 

 

  
          815,191  
       

 

 

  

Consumer Cyclical - Automotive - 0.4%

 

General Motors Financial Co., Inc.

   

4.00%, 1/15/25

      23          23,610  

4.30%, 7/13/25

      30          31,132  

5.10%, 1/17/24

      109          117,200  
       

 

 

  
          171,942  
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Consumer Cyclical - Restaurants - 0.1%

 

     

Starbucks Corp.

        

4.50%, 11/15/48

    U.S.$ 31        $ 36,072  
       

 

 

  

Consumer Non-Cyclical - 3.1%

 

     

AmerisourceBergen Corp.

        

4.30%, 12/15/47

                  50          50,922  

Anheuser-Busch InBev Worldwide, Inc.

        

5.55%, 1/23/49

      120          156,918  

BAT Capital Corp.

        

3.215%, 9/06/26

      92          91,059  

Becton Dickinson and Co.

        

3.734%, 12/15/24

      40          42,315  

Biogen, Inc.

        

4.05%, 9/15/25

      144          156,066  

Cigna Corp.

        

3.75%, 7/15/23

      37          38,721  

4.125%, 11/15/25

      45          48,392  

4.375%, 10/15/28

      58          63,551  

CVS Health Corp.

        

3.25%, 8/15/29

      24          24,114  

4.10%, 3/25/25

      60          64,088  

4.30%, 3/25/28

      60          64,844  

Kraft Heinz Foods Co.

        

3.75%, 4/01/30 (a)

      56          56,498  

3.95%, 7/15/25

      13          13,590  

Mylan NV

        

3.95%, 6/15/26

      85          87,830  

Reynolds American, Inc.

        

6.875%, 5/01/20

      50          51,290  

Takeda Pharmaceutical Co., Ltd.

        

4.40%, 11/26/23 (a)

      200          215,586  

Tyson Foods, Inc.

        

3.95%, 8/15/24

      48          51,349  

4.00%, 3/01/26

      12          12,992  

Zimmer Biomet Holdings, Inc.

        

2.70%, 4/01/20

      51          51,086  

Zoetis, Inc.

        

3.45%, 11/13/20

      45          45,551  
       

 

 

  
          1,386,762  
       

 

 

  

Energy - 4.0%

 

Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc.

        

3.337%, 12/15/27

      58          59,621  

Cenovus Energy, Inc.

        

3.00%, 8/15/22

      12          12,090  

5.70%, 10/15/19

      14          13,856  

Energy Transfer Operating LP

        

4.75%, 1/15/26

      175          189,761  

Enterprise Products Operating LLC

        

3.70%, 2/15/26

      161          171,195  

5.20%, 9/01/20

      55          56,510  

Hess Corp.

        

4.30%, 4/01/27

      109          113,746  

Kinder Morgan, Inc./DE

        

3.15%, 1/15/23

      150          153,523  

     Principal
Amount
(000)		        U.S. $ Value  

Marathon Oil Corp.

 

     

3.85%, 6/01/25

    U.S.$ 19        $ 19,757  

6.80%, 3/15/32

      100          124,825  

Newfield Exploration Co.

        

5.625%, 7/01/24

                  40          44,136  

Noble Energy, Inc.

 

     

3.85%, 1/15/28

      30          31,121  

3.90%, 11/15/24

      107          112,096  

Occidental Petroleum Corp.

 

     

2.90%, 8/15/24

      75          75,514  

3.20%, 8/15/26

      15          15,116  

ONEOK, Inc.

 

     

4.00%, 7/13/27

      9          9,453  

4.35%, 3/15/29

      57          61,038  

Plains All American Pipeline LP/PAA
Finance Corp.

        

3.60%, 11/01/24

      137          140,433  

Sabine Pass Liquefaction LLC

 

     

5.00%, 3/15/27

      80          88,222  

5.625%, 3/01/25

      36          40,406  

TransCanada PipeLines Ltd.

        

9.875%, 1/01/21

      108          117,857  

Western Midstream Operating LP

 

     

4.50%, 3/01/28

      30          29,016  

4.75%, 8/15/28

      20          19,664  

Williams Cos., Inc. (The)

        

4.125%, 11/15/20

      97          98,533  
       

 

 

  
          1,797,489  
       

 

 

  

Services - 0.6%

 

Expedia Group, Inc.

 

3.80%, 2/15/28

      94          98,391  

S&P Global, Inc.

        

4.40%, 2/15/26

      127          141,844  

Total System Services, Inc.

        

4.00%, 6/01/23

      43          45,107  
       

 

 

  
          285,342  
       

 

 

  

Technology - 1.3%

 

Broadcom Corp./Broadcom Cayman Finance Ltd.

 

     

3.625%, 1/15/24

      22          22,485  

3.875%, 1/15/27

      62          62,285  

Broadcom, Inc.

 

     

3.625%, 10/15/24 (a)

      35          35,623  

4.25%, 4/15/26 (a)

      42          43,386  

Dell International LLC/EMC Corp.

        

6.02%, 6/15/26 (a)

      78          87,766  

KLA Corp.

        

4.65%, 11/01/24

      134          147,506  

Lam Research Corp.

        

2.80%, 6/15/21

      39          39,459  

Seagate HDD Cayman

        

4.75%, 1/01/25

      37          38,241  

Western Digital Corp.

        

4.75%, 2/15/26

      98          100,905  
       

 

 

  
          577,656  
       

 

 

  
          6,351,446  
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Financial Institutions - 14.0%

 

Banking - 12.7%

 

American Express Co.

        

Series C

        

4.90%, 3/15/20 (b)

    U.S.$         15        $ 15,006  

Australia & New Zealand Banking Group Ltd.

        

4.40%, 5/19/26 (a)

      200          213,526  

Banco Santander SA

        

3.50%, 4/11/22

      200          205,292  

Bank of America Corp.

        

Series DD

        

6.30%, 3/10/26 (b)

      27          30,507  

Series L

        

3.95%, 4/21/25

      360          381,380  

Series V

        

5.526% (LIBOR 3 Month + 3.39%), 10/28/19 (b)(c)

      12          12,015  

Series Z

        

6.50%, 10/23/24 (b)

      41          45,606  

Banque Federative du Credit Mutuel SA

        

2.75%, 10/15/20 (a)

      200          201,464  

Barclays Bank PLC

        

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

      29          33,643  

BB&T Corp.

        

2.625%, 6/29/20

      45          45,161  

BBVA USA

        

5.50%, 4/01/20

      250          253,808  

BNP Paribas SA

        

4.375%, 5/12/26 (a)

      200          213,076  

Capital One Financial Corp.

        

3.30%, 10/30/24

      135          139,670  

Citigroup, Inc.

        

3.875%, 3/26/25

      165          173,458  

Commonwealth Bank of Australia

        

2.25%, 3/10/20 (a)

      52          52,043  

Cooperatieve Rabobank UA

        

4.375%, 8/04/25

      250          269,582  

Credit Suisse Group Funding Guernsey Ltd.

        

3.80%, 6/09/23

      265          276,716  

Goldman Sachs Group, Inc. (The)

        

2.35%, 11/15/21

      118          118,114  

3.75%, 5/22/25

      53          56,077  

3.85%, 7/08/24

      100          105,943  

Series D

        

6.00%, 6/15/20

      195          200,179  

HSBC Holdings PLC

        

4.25%, 8/18/25

      203          215,032  

     Principal
Amount
(000)		        U.S. $ Value  

ING Groep NV

        

3.55%, 4/09/24

    U.S.$ 200        $ 208,862  

JPMorgan Chase & Co.

 

     

3.22%, 3/01/25

      140          144,914  

3.54%, 5/01/28

      105          110,661  

Series FF

 

     

5.00%, 8/01/24 (b)

      68          69,848  

Series Z

 

     

5.30%, 5/01/20 (b)

      22          22,248  

Lloyds Banking Group PLC

        

4.45%, 5/08/25

      200          215,588  

Manufacturers & Traders Trust Co.

        

2.625%, 1/25/21

      250          251,600  

Morgan Stanley

 

     

3.737%, 4/24/24

                  75          78,329  

5.00%, 11/24/25

      60          67,315  

Series G

 

     

4.35%, 9/08/26

      186          201,440  

MUFG Bank Ltd.

        

2.30%, 3/05/20 (a)

      200          200,120  

PNC Bank NA

        

2.60%, 7/21/20

      250          250,985  

Santander Holdings USA, Inc.

        

4.40%, 7/13/27

      140          150,060  

UBS Group Funding Switzerland AG

        

4.125%, 9/24/25 (a)

      200          215,380  

US Bancorp

        

Series J

        

5.30%, 4/15/27 (b)

      63          67,305  

Wells Fargo & Co.

 

     

3.069%, 1/24/23

      113          115,042  

3.75%, 1/24/24

      110          116,273  
       

 

 

  
          5,743,268  
       

 

 

  

Finance - 0.3%

        

Synchrony Financial

        

4.50%, 7/23/25

      147          156,802  
       

 

 

  

Insurance - 0.6%

        

Hartford Financial Services Group, Inc. (The)

        

5.50%, 3/30/20

      31          31,511  

Nationwide Mutual Insurance Co.

        

9.375%, 8/15/39 (a)

      35          59,726  

New York Life Global Funding

        

1.95%, 2/11/20 (a)

      129          128,959  

Voya Financial, Inc.

        

5.65%, 5/15/53

      31          32,619  
       

 

 

  
          252,815  
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

REITS - 0.4%

 

Host Hotels & Resorts LP

        

Series D

        

3.75%, 10/15/23

    U.S.$ 6        $ 6,247  

Welltower, Inc.

        

4.00%, 6/01/25

      146          156,014  
       

 

 

  
          162,261  
       

 

 

  
          6,315,146  
       

 

 

  

Utility - 0.8%

 

Electric - 0.8%

 

Enel Chile SA

        

4.875%, 6/12/28

      68          75,841  

Exelon Generation Co. LLC

       

2.95%, 1/15/20

                  81          81,108  

Israel Electric Corp., Ltd.

       

Series 6

       

5.00%, 11/12/24 (a)

      200          219,812  
       

 

 

  
          376,761  
       

 

 

  

Total Corporates - Investment Grade
(cost $12,411,726)

 

        13,043,353  
       

 

 

  

MORTGAGE PASS-THROUGHS - 20.2%

 

Agency Fixed Rate 15-Year - 2.3%

 

Federal National Mortgage Association

       

Series 2016

       

2.50%, 7/01/31-1/01/32

      1,012          1,023,580  
       

 

 

  

Agency Fixed Rate 30-Year - 17.9%

 

Federal Home Loan Mortgage Corp. Gold

 

     

Series 2005

 

     

5.50%, 1/01/35

      64          71,416  

Series 2007

 

     

5.50%, 7/01/35

      19          21,220  

Series 2016

 

     

4.00%, 2/01/46

      200          213,844  

Series 2017

 

     

4.00%, 7/01/44

      157          167,996  

Series 2018

 

     

4.50%, 10/01/48-11/01/48

      392          419,174  

4.00%, 11/01/48-12/01/48

      205          216,040  

5.00%, 11/01/48

      104          112,823  

Federal National Mortgage Association

 

     

Series 2003

 

     

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

      59          65,343  

Series 2004

 

     

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

      53          58,953  

Series 2005

 

     

5.50%, 2/01/35

      62          68,825  

Series 2010

 

     

4.00%, 12/01/40

      93          99,103  

Series 2013

 

     

4.00%, 10/01/43

      365          388,987  

Series 2017

 

     

3.50%, 9/01/47

      313          323,228  

Series 2018

 

     

3.50%, 2/01/48-5/01/48

      2,867          2,983,313  

4.00%, 8/01/48-12/01/48

      445          469,280  

4.50%, 9/01/48

      354          379,160  

     Principal
Amount
(000)		        U.S. $ Value  

Series 2019

 

     

3.50%, 10/01/49, TBA

    U.S.$ 900        $ 923,203  

3.50%, 11/01/49, TBA

      450          461,637  

4.00%, 6/01/49

      228          241,737  

Government National Mortgage Association

 

     

Series 1994

 

     

9.00%, 9/15/24

      1          945  

Series 2016

 

     

3.00%, 4/20/46

      225          232,534  

Series 2019

 

     

3.00% G2SF, 10/01/49, TBA

      150          153,902  
       

 

 

  
          8,072,663  
       

 

 

  

Total Mortgage Pass-Throughs
(cost $8,840,236)

 

        9,096,243  
       

 

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES - 12.8%

 

Non-Agency Fixed Rate CMBS - 10.3%

 

CCUBS Commercial Mortgage Trust

       

Series 2017-C1, Class A4

       

3.544%, 11/15/50

      155          166,728  

CFCRE Commercial Mortgage Trust

       

Series 2016-C4, Class A4

       

3.283%, 5/10/58

      115          121,149  

CGRBS Commercial Mortgage Trust

       

Series 2013-VN05, Class A

       

3.369%, 3/13/35 (a)

      260          272,922  

Citigroup Commercial Mortgage Trust

 

     

Series 2015-GC27, Class A5

 

     

3.137%, 2/10/48

      144          149,961  

Series 2015-GC35, Class A4

 

     

3.818%, 11/10/48

      55          59,696  

Series 2016-C1, Class A4

 

     

3.209%, 5/10/49

      192          202,444  

Series 2016-GC36, Class A5

 

     

3.616%, 2/10/49

      65          69,918  

Commercial Mortgage Trust

 

     

Series 2013-SFS, Class A1

 

     

1.873%, 4/12/35 (a)

      52          51,595  

Series 2014-UBS3, Class A4

 

     

3.819%, 6/10/47

      130          138,135  

Series 2014-UBS5, Class A4

 

     

3.838%, 9/10/47

      130          138,659  

Series 2015-CR24, Class A5

 

     

3.696%, 8/10/48

      65          69,826  

Series 2015-DC1, Class A5

 

     

3.35%, 2/10/48

                  80          83,980  

CSAIL Commercial Mortgage Trust

 

     

Series 2015-C2, Class A4

 

     

3.504%, 6/15/57

      100          105,985  

Series 2015-C3, Class A4

 

     

3.718%, 8/15/48

      117          124,911  

Series 2015-C4, Class A4

 

     

3.808%, 11/15/48

      215          232,509  

GS Mortgage Securities Corp. II

       

Series 2013-KING, Class A

       

2.706%, 12/10/27 (a)

      215          214,545  

     Principal
Amount
(000)		        U.S. $ Value  

GS Mortgage Securities Trust

 

     

Series 2013-G1, Class A2

 

     

3.557%, 4/10/31 (a)

    U.S.$ 136        $ 139,636  

Series 2015-GC28, Class A5

        

3.396%, 2/10/48

      95          100,256  

Series 2018-GS9, Class A4

        

3.992%, 3/10/51

      75          83,441  

JP Morgan Chase Commercial Mortgage Securities Trust

 

     

Series 2012-C6, Class D

 

     

5.319%, 5/15/45

      110          112,016  

Series 2012-C6, Class E

        

5.319%, 5/15/45 (a)

      132          126,688  

JPMBB Commercial Mortgage Securities Trust

 

     

Series 2014-C21, Class A5

 

     

3.775%, 8/15/47

      100          106,799  

Series 2014-C22, Class XA

        

1.005%, 9/15/47 (d)

      2,710          93,010  

Series 2015-C30, Class A5

        

3.822%, 7/15/48

      65          70,398  

Series 2015-C31, Class A3

        

3.801%, 8/15/48

      195          211,341  

LB-UBS Commercial Mortgage Trust

       

Series 2006-C6, Class AJ

       

5.452%, 9/15/39

      25          14,601  

LSTAR Commercial Mortgage Trust

       

Series 2016-4, Class A2

       

2.579%, 3/10/49 (a)

      159          159,576  

Morgan Stanley Capital I Trust

       

Series 2016-UB12, Class A4

       

3.596%, 12/15/49

      100          107,659  

UBS Commercial Mortgage Trust

 

     

Series 2018-C10, Class A4

 

     

4.313%, 5/15/51

      125          142,415  

Series 2018-C8, Class A4

        

3.983%, 2/15/51

      100          110,963  

Series 2018-C9, Class A4

        

4.117%, 3/15/51

      125          140,286  

UBS-Barclays Commercial Mortgage Trust

       

Series 2012-C4, Class A5

       

2.85%, 12/10/45

      112          114,270  

Wells Fargo Commercial Mortgage Trust

 

     

Series 2015-SG1, Class A4

 

     

3.789%, 9/15/48

                  95          102,329  

Series 2016-C35, Class XA

        

2.119%, 7/15/48 (d)

      963          97,857  

Series 2016-LC25, Class C

        

4.566%, 12/15/59

      85          90,131  

Series 2016-NXS6, Class C

        

4.457%, 11/15/49

      100          107,872  

WF-RBS Commercial Mortgage Trust

 

     

Series 2013-C11, Class XA

 

     

1.338%, 3/15/45 (a)(d)

      1,275          42,948  

Series 2014-C19, Class A5

        

4.101%, 3/15/47

      130          139,949  
       

 

 

  
          4,617,404  
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Non-Agency Floating Rate CMBS - 2.5%

        

Ashford Hospitality Trust

   

Series 2018-KEYS, Class A

   

3.028% (LIBOR 1 Month + 1.00%), 5/15/35 (a)(c)

    U.S.$ 100        $ 99,874  

Atrium Hotel Portfolio Trust

   

Series 2018-ATRM, Class A

   

2.978% (LIBOR 1 Month + 0.95%), 6/15/35 (a)(c)

      100          99,999  

BAMLL Commercial Mortgage Securities Trust

   

Series 2017-SCH, Class AF

   

3.028% (LIBOR 1 Month + 1.00%), 11/15/33 (a)(c)

      185          185,055  

BHMS

   

Series 2018-ATLS, Class A

   

3.278% (LIBOR 1 Month + 1.25%), 7/15/35 (a)(c)

      81          81,049  

BX Trust

   

Series 2018-EXCL, Class A

   

3.115% (LIBOR 1 Month + 1.09%), 9/15/37 (a)(c)

      86          86,044  

DBWF Mortgage Trust

   

Series 2018-GLKS, Class A

   

3.087% (LIBOR 1 Month + 1.03%), 11/19/35 (a)(c)

                100          100,034  

Great Wolf Trust

   

Series 2017-WOLF, Class A

   

2.878% (LIBOR 1 Month + 0.85%), 9/15/34 (a)(c)

      93          92,971  

GS Mortgage Securities Corp. Trust

   

Series 2019-BOCA, Class A

   

3.228% (LIBOR 1 Month + 1.20%), 6/15/38 (a)(c)

      115          115,069  

Series 2019-SMP, Class A

   

3.29% (LIBOR 1 Month + 1.15%), 8/15/32 (a)(c)

      100          99,999  

Starwood Retail Property Trust

   

Series 2014-STAR, Class A

   

3.248% (LIBOR 1 Month + 1.22%), 11/15/27 (a)(c)

      174          173,774  
       

 

 

  
          1,133,868  
       

 

 

  

Total Commercial Mortgage-Backed Securities
(cost $5,633,971)

 

        5,751,272  
       

 

 

  

GOVERNMENTS - TREASURIES - 11.0%

        

Malaysia - 0.3%

        

Malaysia Government Bond

   

Series 0117

   

3.882%, 3/10/22

    MYR 474          115,240  
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

United States - 10.7%

        

U.S. Treasury Bonds

 

     

2.50%, 2/15/45-5/15/46

    U.S.$ 323        $ 347,736  

3.00%, 11/15/45

              1,638          1,932,112  

3.125%, 5/15/48

      137          166,498  

3.375%, 11/15/48

      156          198,651  

4.375%, 11/15/39

      790          1,107,852  

4.50%, 2/15/36

      189          260,584  

U.S. Treasury Notes

   

1.50%, 8/31/21

      114          113,679  

1.625%, 8/15/29

      657          654,126  

2.25%, 8/15/49

      59          60,687  

2.875%, 5/15/49

      5          5,830  
       

 

 

  
          4,847,755  
       

 

 

  

Total Governments - Treasuries
(cost $4,776,765)

           4,962,995  
       

 

 

  

COLLATERALIZED MORTGAGE OBLIGATIONS - 9.1%

        

Risk Share Floating Rate - 6.8%

        

Bellemeade Re Ltd.

   

Series 2017-1, Class M1

   

3.718% (LIBOR 1 Month + 1.70%), 10/25/27 (a)(c)

      59          59,360  

Series 2018-2A, Class M1B

   

3.368% (LIBOR 1 Month + 1.35%), 8/25/28 (a)(c)

      150          150,329  

Series 2018-3A, Class M1B

   

3.868% (LIBOR 1 Month + 1.85%), 10/25/27 (a)(c)

      150          150,444  

Connecticut Avenue Securities Trust

   

Series 2018-R07, Class 1M2

   

4.418% (LIBOR 1 Month + 2.40%), 4/25/31 (a)(c)

      53          53,964  

Series 2019-R02, Class 1M2

   

4.318% (LIBOR 1 Month + 2.30%), 8/25/31 (a)(c)

      70          70,453  

Series 2019-R03, Class 1M2

   

4.168% (LIBOR 1 Month + 2.15%), 9/25/31 (a)(c)

      110          110,525  

Series 2019-R05, Class 1M2

   

4.018% (LIBOR 1 Month + 2.00%), 7/25/39 (a)(c)

      120          120,302  

Eagle RE Ltd.

   

Series 2018-1, Class M1

   

3.718% (LIBOR 1 Month + 1.70%), 11/25/28 (a)(c)

      134          134,514  

Federal Home Loan Mortgage Corp.

   

Series 2019-FTR2, Class M2

   

4.345% (LIBOR 1 Month + 2.15%), 11/25/48 (a)(c)

      115          115,000  

Series 2019-HQA1, Class M2

   

4.368% (LIBOR 1 Month + 2.35%), 2/25/49 (a)(c)

      90          90,715  

     Principal
Amount
(000)		        U.S. $ Value  

Federal Home Loan Mortgage Corp.

   

Structured Agency Credit Risk Debt Notes

   

Series 2015-HQA1, Class M2

   

4.668% (LIBOR 1 Month + 2.65%), 3/25/28 (c)

    U.S.$ 35        $ 34,980  

Federal National Mortgage Association Connecticut Avenue Securities

   

Series 2014-C03, Class 1M2

   

5.018% (LIBOR 1 Month + 3.00%), 7/25/24 (c)

      40          41,634  

Series 2014-C04, Class 2M2

   

7.018% (LIBOR 1 Month + 5.00%), 11/25/24 (c)

      35          37,722  

Series 2015-C01, Class 1M2

   

6.318% (LIBOR 1 Month + 4.30%), 2/25/25 (c)

      52          55,372  

Series 2015-C01, Class 2M2

   

6.568% (LIBOR 1 Month + 4.55%), 2/25/25 (c)

      38          38,951  

Series 2015-C02, Class 1M2

   

6.018% (LIBOR 1 Month + 4.00%), 5/25/25 (c)

      66          69,554  

Series 2015-C02, Class 2M2

   

6.018% (LIBOR 1 Month + 4.00%), 5/25/25 (c)

      65          67,204  

Series 2015-C03, Class 1M2

   

7.018% (LIBOR 1 Month + 5.00%), 7/25/25 (c)

      82          88,253  

Series 2015-C03, Class 2M2

   

7.018% (LIBOR 1 Month + 5.00%), 7/25/25 (c)

      60          63,474  

Series 2015-C04, Class 1M2

   

7.718% (LIBOR 1 Month + 5.70%), 4/25/28 (c)

      102          111,718  

Series 2015-C04, Class 2M2

   

7.568% (LIBOR 1 Month + 5.55%), 4/25/28 (c)

      85          91,278  

Series 2016-C01, Class 1M2

   

8.768% (LIBOR 1 Month + 6.75%), 8/25/28 (c)

      141          155,055  

Series 2016-C01, Class 2M2

   

8.968% (LIBOR 1 Month + 6.95%), 8/25/28 (c)

      71          77,080  

Series 2016-C02, Class 1M2

   

8.018% (LIBOR 1 Month + 6.00%), 9/25/28 (c)

                116          126,172  

Series 2016-C03, Class 2M2

   

7.918% (LIBOR 1 Month + 5.90%), 10/25/28 (c)

      144          155,822  

Series 2016-C05, Class 2M2

   

6.468% (LIBOR 1 Month + 4.45%), 1/25/29 (c)

      97          101,861  

Series 2017-C04, Class 2M2

   

     Principal
Amount
(000)		        U.S. $ Value  

4.868% (LIBOR 1 Month + 2.85%), 11/25/29 (c)

    U.S.$ 45        $ 46,368  

Series 2019-R04, Class 2M2

   

4.504% (LIBOR 1 Month + 2.10%), 6/25/39 (a)(c)

      115          115,423  

Home Re Ltd.

   

Series 2018-1, Class M1

   

4.03% (LIBOR 1 Month + 1.60%), 10/25/28 (a)(c)

      130          130,978  

PMT Credit Risk Transfer Trust

   

Series 2019-1R, Class A

   

4.14% (LIBOR 1 Month + 2.00%), 3/27/24 (c)(e)

      96          96,169  

Series 2019-2R, Class A

   

4.89% (LIBOR 1 Month + 2.75%), 5/27/23 (c)(e)

      114          114,439  

STACR Trust

   

Series 2019-DNA3, Class M2

   

4.35% (LIBOR 1 Month + 2.05%), 7/25/49 (a)(c)

      115          115,387  

Wells Fargo Credit Risk Transfer Securities Trust

   

Series 2015-WF1, Class 1M2

   

7.268% (LIBOR 1 Month + 5.25%), 11/25/25 (c)(e)

      39          43,856  

Series 2015-WF1, Class 2M2

   

7.518% (LIBOR 1 Month + 5.50%), 11/25/25 (c)(e)

      19          21,391  
       

 

 

  
          3,055,747  
       

 

 

  

Agency Floating Rate - 1.3%

        

Federal National Mortgage Association REMICs

   

Series 2011-131, Class ST

   

4.522% (6.54% - LIBOR 1 Month), 12/25/41 (c)(f)

      145          30,750  

Series 2012-70, Class SA

   

4.532% (6.55% - LIBOR 1 Month), 7/25/42 (c)(f)

                264          60,061  

Series 2015-90, Class SL

   

4.132% (6.15% - LIBOR 1 Month), 12/25/45 (c)(f)

      283          57,825  

Series 2016-77, Class DS

   

3.51% (6.00% - LIBOR 1 Month), 10/25/46 (c)(f)

      284          51,116  

Series 2017-16, Class SG

   

4.032% (6.05% - LIBOR 1 Month), 3/25/47 (c)(f)

      291          53,839  

Series 2017-26, Class TS

   

3.46% (5.95% - LIBOR 1 Month), 4/25/47 (c)(f)

      273          56,091  

Series 2017-62, Class AS

   

4.132% (6.15% - LIBOR 1 Month), 8/25/47 (c)(f)

      291          49,512  

Series 2017-81, Class SA

   

     Principal
Amount
(000)		        U.S. $ Value  

4.182% (6.20% - LIBOR 1 Month), 10/25/47 (c)(f)

    U.S.$ 284        $ 57,405  

Series 2017-97, Class LS

        

4.182% (6.20% - LIBOR 1 Month), 12/25/47 (c)(f)

      288          65,030  

Government National Mortgage Association

        

Series 2017-134, Class SE

        

4.156% (6.20% - LIBOR 1 Month), 9/20/47 (c)(f)

                245          37,587  

Series 2017-65, Class ST

        

4.106% (6.15% - LIBOR 1 Month), 4/20/47 (c)(f)

      275          57,023  
       

 

 

  
          576,239  
       

 

 

  

Non-Agency Fixed Rate - 0.7%

        

Alternative Loan Trust

        

Series 2005-20CB, Class 3A6

        

5.50%, 7/25/35

      15          14,504  

Series 2006-24CB, Class A16

        

5.75%, 8/25/36

      62          51,269  

Series 2006-28CB, Class A14

        

6.25%, 10/25/36

      46          37,770  

Series 2006-J1, Class 1A13

        

5.50%, 2/25/36

      34          30,239  

Chase Mortgage Finance Trust

       

Series 2007-S5, Class 1A17

       

6.00%, 7/25/37

      21          15,529  

Citigroup Mortgage Loan Trust, Inc.

       

Series 2005-2, Class 1A4

       

4.376%, 5/25/35

      1          711  

Countrywide Home Loan Mortgage Pass-Through Trust

        

Series 2006-10, Class 1A8

        

6.00%, 5/25/36

      33          26,232  

Series 2006-13, Class 1A19

        

6.25%, 9/25/36

      17          13,226  

First Horizon Alternative Mortgage Securities Trust

       

Series 2006-FA3, Class A9

       

6.00%, 7/25/36

      49          37,864  

JP Morgan Alternative Loan Trust

       

Series 2006-A3, Class 2A1

       

4.261%, 7/25/36

      107          95,324  
       

 

 

  
          322,668  
       

 

 

  

Non-Agency Floating Rate - 0.2%

        

Deutsche Alt-A Securities Mortgage Loan Trust

       

Series 2006-AR4, Class A2

       

2.208% (LIBOR 1 Month + 0.19%), 12/25/36 (c)

      122          65,752  

     Principal
Amount
(000)		        U.S. $ Value  

HomeBanc Mortgage Trust

       

Series 2005-1, Class A1

       

2.268% (LIBOR 1 Month + 0.25%), 3/25/35 (c)

    U.S.$ 36        $ 31,055  
       

 

 

  
       96,807  
       

 

 

  

Agency Fixed Rate - 0.1%

        

Federal National Mortgage Association Grantor Trust

       

Series 2004-T5, Class AB4

       

2.806%, 5/28/35 (g)

      50          48,234  
       

 

 

  

Total Collateralized Mortgage Obligations
(cost $4,032,668)

           4,099,695  
       

 

 

  

INFLATION-LINKED SECURITIES - 8.0%

        

Japan - 1.3%

        

Japanese Government CPI Linked Bond

       

Series 22

       

0.10%, 3/10/27

    JPY 60,533          583,070  
       

 

 

  

United States - 6.7%

        

U.S. Treasury Inflation Index

        

0.125%, 4/15/21-7/15/26 (TIPS)

    U.S.$ 2,257          2,243,183  

0.375%, 7/15/25 (TIPS)

      661          669,157  

0.75%, 7/15/28 (TIPS)

                  92          96,528  
       

 

 

  
       3,008,868  
       

 

 

  

Total Inflation-Linked Securities
(cost $3,550,414)

           3,591,938  
       

 

 

  

ASSET-BACKED SECURITIES - 6.5%

        

Autos - Fixed Rate - 3.9%

        

Avis Budget Rental Car Funding AESOP LLC

        

Series 2016-1A, Class A

        

2.99%, 6/20/22 (a)

      100          101,070  

Series 2018-2A, Class A

        

4.00%, 3/20/25 (a)

      105          111,809  

Exeter Automobile Receivables Trust

        

Series 2016-3A, Class D

        

6.40%, 7/17/23 (a)

      100          104,616  

Series 2017-1A, Class D

        

6.20%, 11/15/23 (a)

      100          105,306  

Series 2017-3A, Class A

        

2.05%, 12/15/21 (a)

      7          6,685  

Series 2017-3A, Class C

        

3.68%, 7/17/23 (a)

      60          61,125  

Flagship Credit Auto Trust

        

Series 2016-4, Class D

        

3.89%, 11/15/22 (a)

      125          128,070  

Series 2017-3, Class A

        

1.88%, 10/15/21 (a)

      12          11,558  

Series 2018-3, Class B

        

3.59%, 12/16/24 (a)

      75          76,458  

     Principal
Amount
(000)		        U.S. $ Value  

Ford Credit Auto Owner Trust

       

Series 2014-2, Class A

       

2.31%, 4/15/26 (a)

    U.S.$         257        $ 257,010  

Ford Credit Floorplan Master Owner Trust

        

Series 2015-2, Class A1

        

1.98%, 1/15/22

      198          197,842  

Series 2017-1, Class A1

        

2.07%, 5/15/22

      115          114,921  

Hertz Vehicle Financing II LP

        

Series 2015-1A, Class B

        

3.52%, 3/25/21 (a)

      115          115,429  

Series 2017-1A, Class A

        

2.96%, 10/25/21 (a)

      125          125,871  

Series 2019-1A, Class A

        

3.71%, 3/25/23 (a)

      100          103,035  

Hertz Vehicle Financing LLC

       

Series 2018-2A, Class A

       

3.65%, 6/27/22 (a)

      125          127,596  
       

 

 

  
       1,748,401  
       

 

 

  

Other ABS - Fixed Rate - 1.8%

        

CLUB Credit Trust

        

Series 2017-P2, Class A

       

2.61%, 1/15/24 (a)(g)

      10          9,942  

Consumer Loan Underlying Bond Credit Trust

        

Series 2017-P1, Class B

        

3.56%, 9/15/23 (a)(g)

      35          34,617  

Series 2018-P1, Class A

        

3.39%, 7/15/25 (a)(g)

      34          34,189  

Marlette Funding Trust

        

Series 2017-3A, Class B

        

3.01%, 12/15/24 (a)(g)

      80          79,786  

Series 2018-3A, Class A

        

3.20%, 9/15/28 (a)(g)

      42          42,446  

Series 2018-4A, Class A

        

3.71%, 12/15/28 (a)(g)

      35          34,951  

Series 2019-3A, Class A

        

2.69%, 9/17/29 (a)(g)

      89          89,044  

SBA Tower Trust

       

Series 2015-1A,Class C

       

3.156%, 10/08/20 (a)(g)

      147          147,158  

SoFi Consumer Loan Program LLC

        

Series 2016-2, Class A

        

3.09%, 10/27/25 (a)(g)

      15          15,247  

Series 2016-3, Class A

        

3.05%, 12/26/25 (a)(g)

      20          19,644  

Series 2017-1, Class A

        

3.28%, 1/26/26 (a)(g)

      21          21,076  

Series 2017-2, Class A

        

3.28%, 2/25/26 (a)(g)

      26          26,218  

Series 2017-3, Class A

        

2.77%, 5/25/26 (a)(g)

      32          31,979  

Series 2017-4, Class B

        

     Principal
Amount
(000)		        U.S. $ Value  

3.59%, 5/26/26 (a)(g)

    U.S.$ 130        $ 131,883  

Series 2017-5, Class A2

        

2.78%, 9/25/26 (a)(g)

      99          98,877  

SoFi Consumer Loan Program Trust

        

Series 2018-1, Class A1

        

2.55%, 2/25/27 (a)(g)

      9          9,117  
       

 

 

  
       826,174  
       

 

 

  

Credit Cards - Fixed Rate - 0.6%

        

World Financial Network Credit Card Master Trust

        

Series 2018-A, Class A

        

3.07%, 12/16/24

                130          131,595  

Series 2018-B, Class M

        

3.81%, 7/15/25

      70          71,918  

Series 2019-B, Class M

        

3.04%, 4/15/26

      80          80,582  
       

 

 

  
       284,095  
       

 

 

  

Home Equity Loans - Fixed Rate - 0.1%

        

Credit-Based Asset Servicing & Securitization LLC

        

Series 2003-CB1, Class AF

        

3.95%, 1/25/33 (g)

      45          46,349  
       

 

 

  

Home Equity Loans - Floating Rate – 0.1%

        

ABFC Trust

        

Series 2003-WF1, Class A2

        

3.143% (LIBOR 1 Month + 1.13%), 12/25/32 (c)(g)

      22          22,420  
       

 

 

  

Total Asset-Backed Securities
(cost $2,889,180)

           2,927,439  
       

 

 

  

CORPORATES - NON-INVESTMENT GRADE - 2.4%

        

Financial Institutions - 1.2%

        

Banking - 1.0%

        

CIT Group, Inc.

        

5.25%, 3/07/25

      56          61,133  

Citigroup, Inc.

        

5.95%, 1/30/23 (b)

      55          57,357  

Series O

        

5.875%, 3/27/20 (b)

      46          46,443  

Series Q

        

5.95%, 8/15/20 (b)

      90          91,617  

Goldman Sachs Group, Inc. (The)

        

Series L

        

6.065% (LIBOR 3 Month + 3.88%), 10/31/19 (b)(c)

      17          17,028  

Series M

        

5.375%, 5/10/20 (b)

      45          45,422  

Series P

        

5.00%, 11/10/22 (b)

      31          30,399  

Morgan Stanley

        

Series J

        

5.55%, 7/15/20 (b)

      20          20,276  

     Principal
Amount
(000)		        U.S. $ Value  

Standard Chartered PLC

        

3.776% (LIBOR 3 Month + 1.51%), 1/30/27 (a)(b)(c)

    U.S.$ 100        $ 80,891  
       

 

 

  
          450,566  
       

 

 

  

Finance - 0.2%

        

Navient Corp.

        

6.625%, 7/26/21

                  95          100,261  
       

 

 

  
          550,827  
       

 

 

  

Industrial - 1.1%

        

Capital Goods - 0.1%

        

TransDigm, Inc.

        

6.25%, 3/15/26 (a)

      50          53,692  
       

 

 

  

Communications - Media - 0.1%

        

CSC Holdings LLC

        

6.75%, 11/15/21

      30          32,413  

Diamond Sports Group LLC/Diamond Sports Finance Co.

        

5.375%, 8/15/26 (a)

      30          31,130  
       

 

 

  
          63,543  
       

 

 

  

Consumer Cyclical - Automotive - 0.1%

        

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

        

6.25%, 5/15/26 (a)

      20          21,048  
       

 

 

  

Consumer Non-Cyclical - 0.4%

        

First Quality Finance Co., Inc.

        

4.625%, 5/15/21 (a)

      85          85,071  

Spectrum Brands, Inc.

        

5.75%, 7/15/25

      69          71,946  
       

 

 

  
          157,017  
       

 

 

  

Energy - 0.3%

        

Antero Resources Corp.

        

5.125%, 12/01/22

      16          14,044  

Sunoco LP/Sunoco Finance Corp.

        

4.875%, 1/15/23

      69          70,885  

Transocean Poseidon Ltd.

        

6.875%, 2/01/27 (a)

      33          34,628  
       

 

 

  
          119,557  
       

 

 

  

Technology - 0.1%

        

CommScope, Inc.

        

5.50%, 3/01/24 (a)

      26          26,713  

6.00%, 3/01/26 (a)

      30          31,055  
       

 

 

  
          57,768  
       

 

 

  
          472,625  
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Utility - 0.1%

 

Electric - 0.1%

 

AES Corp./VA

        

4.00%, 3/15/21

    U.S.$ 49        $ 49,916  
       

 

 

  

Total Corporates - Non-Investment Grade
(cost $1,067,256)

               1,073,368  
       

 

 

  

LOCAL GOVERNMENTS - US MUNICIPAL BONDS - 0.7%

 

California - 0.7%

 

State of California

        

Series 2010

        

7.625%, 3/01/40

        

(cost $202,973)

              200          328,160  
       

 

 

  
     Shares           

PREFERRED STOCKS - 0.2%

 

Financial Institutions - 0.2%

 

REITS - 0.2%

 

Sovereign Real Estate Investment Trust
12.00% (a)
(cost $87,659)

      93          101,370  
       

 

 

  
     Principal
Amount
(000)		           

QUASI-SOVEREIGNS - 0.1%

 

Quasi-Sovereign Bonds - 0.1%

 

Mexico - 0.1%

 

Petroleos Mexicanos

        

6.75%, 9/21/47

    U.S.$ 50          47,950  

6.84%, 1/23/30 (a)

      17          17,576  
       

 

 

  

Total Quasi-Sovereigns
(cost $60,840)

           65,526  
       

 

 

  

EMERGING MARKETS - TREASURIES - 0.1%

 

South Africa - 0.1%

 

Republic of South Africa Government Bond

        

Series 2030

        

8.00%, 1/31/30

        

(cost $34,016)

    ZAR 567          34,961  
       

 

 

  

EMERGING MARKETS - CORPORATE BONDS - 0.0%

 

Utility - 0.0%

 

Electric - 0.0%

 

Terraform Global Operating LLC 6.125%, 3/01/26 (e)
(cost $21,000)

    U.S.$ 21          21,556  
       

 

 

  

Company

    Principal
Amount
(000)		        U.S. $ Value  

SHORT-TERM INVESTMENTS - 3.7%

        

Governments - Treasuries - 3.1%

        

Japan - 3.1%

        

Japan Treasury Discount Bill

        

Series 850

        

Zero Coupon, 11/11/19

    JPY 22,500        $ 208,134  

Series 854

        

Zero Coupon, 12/02/19

      127,500          1,179,599  
       

 

 

  

Total Governments - Treasuries
(cost $1,395,010)

           1,387,733  
       

 

 

  
     Shares           

Investment Companies - 0.6%

 

AB Fixed Income Shares, Inc.-Government Money Market Portfolio-
Class AB, 1.89% (h)(i)(j)
(cost $263,557)

      263,557          263,557  
       

 

 

  

Total Short-Term Investments
(cost $1,658,567)

           1,651,290  
       

 

 

  

Total Investments - 103.7%
(cost $45,267,271) (k)

           46,749,166  

Other assets less liabilities - (3.7)%

           (1,667,655 ) 
       

 

 

  

Net Assets - 100.0%

         $     45,081,511  
       

 

 

  

FUTURES

 

Description

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

Purchased Contracts

            

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

      4        December 2019      $ 862,000      $           128  

U.S. Ultra Bond (CBT) Futures

      5        December 2019        959,532        (19,570 ) 

Sold Contracts

            

10 Yr Mini Japan Government Bond Futures

      5        December 2019        77,470,000        (584 ) 

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

      13        December 2019        1,548,930        (3,704 ) 
           

 

 

  
         $ (23,730 ) 
           

 

 

  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

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

Barclays Bank PLC

   JPY      145,000     USD      1,347        10/24/19      $         3,878  

Barclays Bank PLC

   INR      7,892     USD      110        10/24/19        (1,707 ) 

Barclays Bank PLC

   BRL      269     USD      65        10/02/19        (147 ) 

Barclays Bank PLC

   USD      64     BRL      269        10/02/19        403  

Counterparty

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

Citibank, NA

     BRL        269       USD        64        10/02/19      $ (511 ) 

Citibank, NA

     USD        64       BRL        269        11/04/19        488  

Citibank, NA

     USD        65       BRL        269        10/02/19        147  

Citibank, NA

     USD        115       INR        8,002        10/24/19        (2,371 ) 

Citibank, NA

     USD        95       COP        318,798        11/14/19        (3,299 ) 

Deutsche Bank AG

     JPY        65,123       USD        606        11/21/19        1,891  

State Street Bank & Trust Co.

     HUF        26,221       USD        90        10/11/19        4,220  

State Street Bank & Trust Co.

     JPY        5,045       USD        47        11/21/19        144  

State Street Bank & Trust Co.

     EUR        539       USD        608        10/10/19        21,118  

State Street Bank & Trust Co.

     MYR        491       USD        117        2/13/20        155  

State Street Bank & Trust Co.

     ZAR        417       USD        28        11/21/19        811  

State Street Bank & Trust Co.

     CAD        386       USD        291        11/22/19        67  

State Street Bank & Trust Co.

     PLN        346       USD        88        10/11/19        1,926  

State Street Bank & Trust Co.

     NZD        323       USD        204        11/07/19        1,685  

State Street Bank & Trust Co.

     GBP        54       USD        66        10/18/19        (210 ) 

State Street Bank & Trust Co.

     USD        396       EUR        351        10/10/19        (13,801 ) 

State Street Bank & Trust Co.

     USD        115       GBP        93        10/18/19        (664 ) 

State Street Bank & Trust Co.

     USD        209       PLN        792        10/11/19        (11,105 ) 

State Street Bank & Trust Co.

     USD        122       JPY        13,103        11/21/19        (276 ) 

State Street Bank & Trust Co.

     USD        90       HUF        26,100        10/11/19        (5,399 ) 
               

 

 

  
                $ (2,557 ) 
               

 

 

  

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

 


Description

    Fixed Rate
(Pay)
Receive		     Payment
Frequency		      Implied Credit
Spread at
September 30, 2019		            Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Buy Contracts

 

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

      (1.00 )%      Quarterly        0.53 %      USD        760      $ (16,217 )    $ (13,118 )    $ (3,099 ) 

 

*

Termination date

CENTRALLY CLEARED INTEREST RATE SWAPS

 

    

Rate Type

       

Notional

Amount

(000)

     

Termination
Date

   

Payments
made by the
Fund

   

Payments
received
by the
Fund

   

Payment

Frequency

Paid/Received

    Market
Value		     Upfront
Premiums
Paid
(Received)		      Unrealized
Appreciation/
(Depreciation)		  

CAD

      3,550      8/27/21    3 Month CDOR    1.623%    Semi-Annual/Semi-Annual    $ (13,127 )    $ 23      $ (13,150 ) 

    

Rate Type

       

Notional

Amount

(000)

     

Termination
Date

   

Payments
made by the
Fund

   

Payments
received
by the
Fund

   

Payment

Frequency

Paid/Received

    Market
Value		     Upfront
Premiums
Paid
(Received)		      Unrealized
Appreciation/
(Depreciation)		  

SEK

      15,600      8/30/24    3 Month STIBOR    (0.165)%    Quarterly/Annual    $ (9,952 )    $ —      $ (9,952 ) 

USD

      130      9/27/29    1.593%    3 Month LIBOR    Semi-Annual/Quarterly      (177 )      —        (177 ) 
                 

 

 

    

 

 

     

 

 

  
                  $ (23,256 )    $ 23      $ (23,279 ) 
                 

 

 

    

 

 

     

 

 

  

CREDIT DEFAULT SWAPS

 

Swap Counterparty & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Payment
Frequency		      Implied Credit
Spread at
September 30, 2019		     Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		      Unrealized
Appreciation/
(Depreciation)		  

Buy Contracts

 

Citigroup Global Markets, Inc.

                     

CDX-CMBX.NA.AAA Series 9, 9/17/58*

      (0.50 )%      Monthly        0.28 %      USD        3      $ (38 )    $ 37      $ (75 ) 

CDX-CMBX.NA.BBB- Series 9, 9/17/58*

      (3.00 )      Monthly        3.53       USD        55        1,490       4,421        (2,931 ) 

CDX-CMBX.NA.BBB- Series 9, 9/17/58*

      (3.00 )      Monthly        3.53       USD        107        2,898       8,097        (5,199 ) 

CDX-CMBX.NA.BBB- Series 9, 9/17/58*

      (3.00 )      Monthly        3.53       USD        107        2,898       7,822        (4,924 ) 

CDX-CMBX.NA.BBB- Series 9, 9/17/58*

      (3.00 )      Monthly        3.53       USD        131        3,548       9,253        (5,705 ) 

Credit Suisse International

                     

CDX-CMBX.NA.AAA Series 9, 9/17/58*

      (0.50 )      Monthly        0.28       USD        330        (4,247 )      4,013        (8,260 ) 

CDX-CMBX.NA.AAA Series 9, 9/17/58*

      (0.50 )      Monthly        0.28       USD        4        (52 )      35        (87 ) 

Deutsche Bank AG

                     

CDX-CMBX.NA.AAA Series 9, 9/17/58*

      (0.50 )      Monthly        0.28       USD        42        (540 )      551        (1,091 ) 

CDX-CMBX.NA.AAA Series 9, 9/17/58*

      (0.50 )      Monthly        0.28       USD        408        (5,251 )      4,197        (9,448 ) 

CDX-CMBX.NA.AAA Series 9, 9/17/58*

      (0.50 )      Monthly        0.28       USD        122        (1,570 )      1,244        (2,814 ) 

Swap Counterparty & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Payment
Frequency		      Implied Credit
Spread at
September 30, 2019		     Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Goldman Sachs International

                    

CDX-CMBX.NA.AAA Series 9, 9/17/58*

      (0.50 )%      Monthly        0.28 %      USD        46      $ (592 )    $ 598     $ (1,190 ) 

CDX-CMBX.NA.AAA Series 9, 9/17/58*

      (0.50 )      Monthly        0.28       USD        27        (347 )      249       (596 ) 

CDX-CMBX.NA.BBB- Series 9, 9/17/58*

      (3.00 )      Monthly        3.53       USD        270        7,290       16,956       (9,666 ) 

Morgan Stanley Capital Services LLC

                    

CDX-CMBX.NA.AAA Series 9, 9/17/58*

      (0.50 )      Monthly        0.28       USD        50        (643 )      633       (1,276 ) 

CDX-CMBX.NA.AAA Series 9, 9/17/58*

      (0.50 )      Monthly        0.28       USD        99        (1,274 )      1,253       (2,527 ) 

Sale Contracts

                    

Citigroup Global Markets, Inc.

                    

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

      3.00       Monthly        6.28       USD        32        (2,693 )      (4,266 )      1,573  

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

      3.00       Monthly        6.28       USD        60        (5,051 )      (8,189 )      3,138  

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

      3.00       Monthly        6.28       USD        37        (3,115 )      (4,258 )      1,143  

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

      3.00       Monthly        6.28       USD        54        (4,546 )      (6,215 )      1,669  

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

      3.00       Monthly        6.28       USD        73        (6,146 )      (8,216 )      2,070  

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

      3.00       Monthly        6.28       USD        107        (9,007 )      (12,042 )      3,035  

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

      3.00       Monthly        6.28       USD        73        (6,146 )      (8,055 )      1,909  

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

      3.00       Monthly        6.28       USD        91        (7,661 )      (9,806 )      2,145  

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

      3.00       Monthly        6.28       USD        78        (6,566 )      (8,448 )      1,882  

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

      3.00       Monthly        6.28       USD        29        (2,441 )      (3,137 )      696  

Swap Counterparty & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Payment
Frequency		      Implied Credit
Spread at
September 30, 2019		     Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

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

      3.00 %      Monthly        6.28 %      USD        44      $ (3,704 )    $ (5,612 )    $ 1,908  

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

      3.00       Monthly        6.28       USD        22        (1,852 )      (2,806 )      954  

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

      3.00       Monthly        6.28       USD        62        (5,220 )      (7,908 )      2,688  

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

      3.00       Monthly        6.28       USD        44        (3,704 )      (5,797 )      2,093  

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

      3.00       Monthly        6.28       USD        5        (421 )      (647 )      226  

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

      3.00       Monthly        6.28       USD        47        (3,961 )      (5,698 )      1,737  

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

      3.00       Monthly        6.28       USD        14        (1,180 )      (1,697 )      517  

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

      3.00       Monthly        6.28       USD        31        (2,607 )      (4,784 )      2,177  

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

      3.00       Monthly        6.28       USD        5        (421 )      (810 )      389  

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

      3.00       Monthly        6.28       USD        52        (4,374 )      (7,791 )      3,417  

Credit Suisse International

                    

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

      3.00       Monthly        6.28       USD        318        (26,786 )      (13,078 )      (13,708 ) 

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

      3.00       Monthly        6.28       USD        350        (29,464 )      (20,362 )      (9,102 ) 

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

      3.00       Monthly        6.28       USD        94        (7,913 )      (6,113 )      (1,800 ) 

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

      3.00       Monthly        6.28       USD        28        (2,357 )      (1,946 )      (411 ) 

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

      3.00       Monthly        6.28       USD        56        (4,710 )      (8,352 )      3,642  

Swap Counterparty & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Payment
Frequency		      Implied Credit
Spread at
September 30, 2019		     Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Deutsche Bank AG

                    

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

      2.00 %      Monthly        1.94 %      USD        135      $ 334     $ (2,655 )    $ 2,989  

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

      3.00       Monthly        6.28       USD        8        (674 )      (462 )      (212 ) 

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

      3.00       Monthly        6.28       USD        132        (11,112 )      (9,300 )      (1,812 ) 

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

      3.00       Monthly        6.28       USD        85        (7,155 )      (7,028 )      (127 ) 

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

      3.00       Monthly        6.28       USD        8        (674 )      (943 )      269  

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

      3.00       Monthly        6.28       USD        51        (4,294 )      (6,461 )      2,167  

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

      3.00       Monthly        6.28       USD        28        (2,357 )      (3,220 )      863  

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

      3.00       Monthly        6.28       USD        27        (2,272 )      (3,103 )      831  

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

      3.00       Monthly        6.28       USD        84        (7,071 )      (9,097 )      2,026  

Goldman Sachs International

                    

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

      3.00       Monthly        6.28       USD        246        (20,709 )      (12,094 )      (8,615 ) 

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

      3.00       Monthly        6.28       USD        92        (7,745 )      (12,262 )      4,517  

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

      3.00       Monthly        6.28       USD        49        (4,125 )      (4,257 )      132  

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

      3.00       Monthly        6.28       USD        4        (336 )      (360 )      24  

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

      3.00       Monthly        6.28       USD        8        (673 )      (734 )      61  

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

      3.00       Monthly        6.28       USD        8        (673 )      (794 )      121  

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

      3.00       Monthly        6.28       USD        16        (1,346 )      (1,736 )      390  

Swap Counterparty & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Payment
Frequency		      Implied Credit
Spread at
September 30, 2019		     Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

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

      3.00 %      Monthly        6.28 %      USD        41      $ (3,451 )    $ (5,609 )    $ 2,158  

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

      3.00       Monthly        6.28       USD        57        (4,799 )      (6,105 )      1,306  

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

      3.00       Monthly        6.28       USD        14        (1,179 )      (1,805 )      626  

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

      3.00       Monthly        6.28       USD        34        (2,859 )      (5,254 )      2,395  

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

      3.00       Monthly        6.28       USD        28        (2,355 )      (4,601 )      2,246  

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

      3.00       Monthly        6.28       USD        39        (3,280 )      (6,500 )      3,220  

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

      3.00       Monthly        6.28       USD        4        (337 )      (611 )      274  

JPMorgan Securities, LLC

                    

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

      3.00       Monthly        6.28       USD        9        (757 )      (1,155 )      398  

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

      3.00       Monthly        6.28       USD        51        (4,302 )      (6,288 )      1,986  

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

      3.00       Monthly        6.28       USD        18        (1,514 )      (2,239 )      725  

Morgan Stanley Capital Services LLC

                    

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

      3.00       Monthly        6.28       USD        35        (2,946 )      (2,481 )      (465 ) 
               

 

 

    

 

 

    

 

 

  
                $ (247,137 )    $ (223,828 )    $ (23,309 ) 
               

 

 

    

 

 

    

 

 

  

 

*

Termination date

 

(a)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2019, the aggregate market value of these securities amounted to $8,594,970 or 19.1% of net assets.

(b)

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

(c)

Floating Rate Security. Stated interest/floor/ceiling rate was in effect at September 30, 2019.

(d)

IO - Interest Only.

(e)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.66% of net assets as of September 30, 2019, are considered illiquid and restricted. Additional information regarding such securities follows:

 

144A/Restricted & Illiquid Securities

    Acquisition
Date		      Cost      Market
Value		      Percentage of
Net Assets		  

PMT Credit Risk Transfer Trust Series 2019-1R, Class A

           

4.14%, 3/27/24

      6/07/19      $ 96,205      $ 96,169        0.21 % 

PMT Credit Risk Transfer Trust Series 2019-2R, Class A

           

4.89%, 5/27/23

      6/07/19        114,048        114,439        0.26 % 

Terraform Global Operating LLC

           

6.125%, 3/01/26

      2/08/19        21,000        21,556        0.05 % 

Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 1M2

           

7.268%, 11/25/25

      9/28/15        38,953        43,856        0.10 % 

Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 2M2

           

7.518%, 11/25/25

      9/28/15        18,490        21,391        0.04 % 

 

(f)

Inverse interest only security.

(g)

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

(h)

Affiliated investments.

(i)

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

(j)

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

(k)

As of September 30, 2019, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $1,732,136 and gross unrealized depreciation of investments was $(326,215), resulting in net unrealized appreciation of $1,405,921.

Currency Abbreviations:

 

AUD    -    Australian Dollar
BRL    -    Brazilian Real
CAD    -    Canadian Dollar
CNY    -    Chinese Yuan Renminbi
COP    -    Colombian Peso
EUR    -    Euro
GBP    -    Great British Pound
HUF    -    Hungarian Forint
INR    -    Indian Rupee
JPY    -    Japanese Yen
MYR    -    Malaysian Ringgit
NOK    -    Norwegian Krone
NZD    -    New Zealand Dollar
PLN    -    Polish Zloty
SEK    -    Swedish Krona
USD    -    United States Dollar
ZAR    -    South African Rand
Glossary:      
ABS    -    Asset-Backed Securities
CBT    -    Chicago Board of Trade
CDOR    -    Canadian Dealer Offered Rate
CDX-CMBX.NA    -    North American Commercial Mortgage-Backed Index
CDX-NAIG    -    North American Investment Grade Credit Default Swap Index
CMBS    -    Commercial Mortgage-Backed Securities
CPI    -    Consumer Price Index
LIBOR    -    London Interbank Offered Rates
REIT    -    Real Estate Investment Trust
REMICs    -    Real Estate Mortgage Investment Conduits
STIBOR    -    Stockholm Interbank Offered Rate
TBA    -    To Be Announced
TIPS    -    Treasury Inflation Protected Security

AB Variable Products Series Fund, Inc.

AB Intermediate Bond Portfolio

September 30, 2019 (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, 2019:

 

Investments in Securities:

    Level 1     Level 2      Level 3     Total  

Assets:

 

Corporates - Investment Grade

    $             – 0  –    $     13,043,353      $ – 0  –    $     13,043,353  

Mortgage Pass-Throughs

      – 0  –      9,096,243        – 0  –      9,096,243  

Commercial Mortgage-Backed Securities

      – 0  –      5,751,272        – 0  –      5,751,272  

Governments - Treasuries

      – 0  –      4,962,995        – 0  –      4,962,995  

Collateralized Mortgage Obligations

      – 0  –      4,051,461        48,234       4,099,695  

Inflation-Linked Securities

      – 0  –      3,591,938        – 0  –      3,591,938  

Asset-Backed Securities

      – 0  –      2,032,496            894,943       2,927,439  

Corporates - Non-Investment Grade

      – 0  –      1,073,368        – 0  –      1,073,368  

Investments in Securities:

    Level 1     Level 2     Level 3     Total  
        

Local Governments - US Municipal Bonds

      – 0  –      328,160       – 0  –      328,160  

Preferred Stocks

      – 0  –      101,370       – 0  –      101,370  

Quasi-Sovereigns

      – 0  –      65,526       – 0  –      65,526  

Emerging Markets - Treasuries

      – 0  –      34,961       – 0  –      34,961  

Emerging Markets - Corporate Bonds

      – 0  –      21,556       – 0  –      21,556  

Short-Term Investments:

         

Governments - Treasuries

      – 0  –      1,387,733       – 0  –      1,387,733  

Investment Companies

      263,557       – 0  –      – 0  –      263,557  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      263,557       45,542,432       943,177       46,749,166  

Other Financial Instruments (a):

         

Assets:

         

Futures

      128       – 0  –      – 0  –      128  

Forward Currency Exchange Contracts

      – 0  –      36,933       – 0  –      36,933  

Credit Default Swaps

      – 0  –      18,458       – 0  –      18,458  

Liabilities:

         

Futures

      (23,858 )      – 0  –      – 0  –      (23,858 ) 

Forward Currency Exchange Contracts

      – 0  –      (39,490 )      – 0  –      (39,490 ) 

Centrally Cleared Credit Default Swaps

      – 0  –      (16,217 )      – 0  –      (16,217 ) 

Centrally Cleared Interest Rate Swaps

      – 0  –      (23,256 )      – 0  –      (23,256 ) 

Credit Default Swaps

      – 0  –      (265,595 )      – 0  –      (265,595 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total

    $     239,827     $     45,253,265     $     943,177     $     46,436,269  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

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

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

 

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

Balance as of 12/31/18

    $ 834,652     $  46,889     $  1,241,405  

Accrued discounts/(premiums)

      (2 )      – 0  –      43  

Realized gain (loss)

      (507 )      – 0  –      91  

Change in unrealized appreciation/depreciation

      624       1,345       10,699  

Purchases/Payups

      – 0  –      – 0  –      99,992  

Sales/Paydowns

      (121,886 )      – 0  –      (457,287 ) 

Transfers in to Level 3

      – 0  –      – 0  –      – 0  – 

Transfers out of Level 3

      (712,881 )      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

  

Balance as of 9/30/19

    $ – 0  –    $ 48,234     $ 894,943  
  

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from investments held as of 9/30/19

    $ – 0  –    $ 1,345     $ 10,580  
  

 

 

    

 

 

    

 

 

  
     Total              

Balance as of 12/31/18

    $  2,122,946      

Accrued discounts/(premiums)

      41      

Realized gain (loss)

      (416 )     

Change in unrealized appreciation/depreciation

      12,668      

Purchases/Payups

      99,992      

Sales/Paydowns

      (579,173 )     

Transfers in to Level 3

      – 0  –     

Transfers out of Level 3

      (712,881 )(a)     
  

 

 

      

Balance as of 9/30/19

    $     943,177      
  

 

 

      

Net change in unrealized appreciation/depreciation from investments held as of 9/30/19

    $ 11,925      
  

 

 

      

 

(a)

An amount of $712,881 was transferred out of Level 3 into Level 2 as these securities were rated by third party vendor during the reporting period.

As of September 30, 2019, all Level 3 securities were priced by third party vendors.

A summary of the Portfolio’s transactions in AB mutual funds for the nine months ended September 30, 2019 is as follows:

 

Fund

    Market Value
12/31/18
(000)		      Purchases
at Cost
(000)		      Sales
Proceeds
(000)		      Market Value
9/30/19 (000)		      Dividend
Income
(000)		  

Government Money Market Portfolio

    $ 938      $ 13,513      $ 14,187      $ 264      $ 9