NPORT-EX 2 NPORT_6359820859587145.htm HTML[843675.GRA]

AB Variable Products Series Fund, Inc.

AB Global Risk Allocation-Moderate Portfolio

Portfolio of Investments

March 31, 2020 (unaudited)

 

Company    Shares        U.S. $ Value  

INVESTMENT COMPANIES – 44.0%

          

Funds and Investment Trusts – 44.0%(a)

          

iShares Core MSCI EAFE ETF

        76,670        $ 3,825,066  

iShares Core S&P 500 ETF

        43,375          11,208,100  

iShares MSCI EAFE ETF(b)

        75,980          4,061,891  

SPDR S&P 500 ETF Trust(b)

        18,981          4,892,353  

Vanguard S&P 500 ETF

        49,183          11,647,518  
         

 

 

  

Total Investment Companies
(cost $34,760,472)

             35,634,928  
         

 

 

  
     Principal
Amount
(000)		           

INFLATION-LINKED SECURITIES – 18.6%

          

Japan – 13.7%

          

Japanese Government CPI Linked Bond
Series 22 0.10%, 03/10/2027

     JPY       1,192,468          11,083,161  
         

 

 

  

United States – 4.9%

          

U.S. Treasury Inflation Index
0.375%, 07/15/2025 (TIPS)(c)

      $       3,931          4,003,831  
         

 

 

  

Total Inflation-Linked Securities
(cost $15,274,427)

                 15,086,992  
         

 

 

  
     Notional
Amount		           

OPTIONS PURCHASED - PUTS – 0.2%

          

Options on Indices – 0.2%

          

FTSE 100 Index
Expiration: Apr 2020; Contracts: 80; Exercise Price: GBP 5,050.00;
Counterparty: Citibank, NA(d)

      GBP       404,000          5,027  

S&P 500 Index
Expiration: Apr 2020; Contracts: 310; Exercise Price: EUR 2,475.00;
Counterparty: Citibank, NA(d)

      EUR       767,250          9,826  

Nikkei 225 Index
Expiration: Apr 2020; Contracts: 7,000; Exercise Price: JPY 17,000.00;
Counterparty: Goldman Sachs International(d)

      JPY       119,000,000          15,514  

S&P 500 Index
Expiration: Apr 2020; Contracts: 21,700; Exercise Price: USD 233.00;
Counterparty: UBS AG(d)

      USD       5,056,100          95,854  
         

 

 

  
            126,221  
         

 

 

  

Swaptions – 0.0%

          

IRS Swaption
Expiration: Apr 2020; Contracts: 7,161,000; Exercise Rate: 2.00%;
Counterparty: JPMorgan Chase Bank, NA(d)

      USD       7,161,000          0  
         

 

 

  

Total Options Purchased - Puts
(premiums paid $437,782)

             126,221  
         

 

 

  
Company    Shares        U.S. $ Value  

SHORT-TERM INVESTMENTS – 33.7%

           

Investment Companies – 22.4%

           

AB Fixed Income Shares, Inc. - Government Money Market Portfolio -
Class AB, 0.53%(a) (e) (f)
(cost $18,187,613)

         18,187,613        $ 18,187,613  
          

 

 

  
     Principal
Amount
(000)		           

Governments - Treasuries – 6.2%

           

Japan – 6.2%

           

Japan Treasury Discount Bill
Series 881
Zero Coupon, 04/13/2020
(cost $4,968,481)

      JPY        540,100          5,023,249  
          

 

 

  

U.S. Treasury Bills – 5.1%

           

U.S. Treasury Bill
Zero Coupon, 05/14/2020(c)

      $        1,500          1,499,830  

Zero Coupon, 04/23/2020

         2,634          2,633,943  
          

 

 

  

Total U.S. Treasury Bills
(cost $4,128,796)

              4,133,773  
          

 

 

  

Total Short-Term Investments
(cost $27,284,890)

                  27,344,635  
          

 

 

  

Total Investments Before Security Lending Collateral for Securities Loaned – 96.5%
(cost $77,757,571)

              78,192,776  
          

 

 

  

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 6.3%

           

Investment Companies – 6.3%

           

AB Fixed Income Shares, Inc. - Government Money Market Portfolio -
Class AB, 0.53%(a) (e) (f)
(cost $5,067,927)

         5,067,927          5,067,927  
          

 

 

  

Total Investments – 102.8%
(cost $82,825,498)(g)

              83,260,703  

Other assets less liabilities – (2.8)%

              (2,195,407 ) 
          

 

 

  

Net Assets – 100.0%

            $     81,065,296  
          

 

 

  

FUTURES

 

Description     

Number
of

Contracts

      Expiration
Month		      Current
Notional		      Value and
Unrealized
Appreciation/
(Depreciation)
Purchased Contracts                            
10 Yr Mini Japan Government Bond Futures          57          June 2020          $     8,092,118        $ (100,476 )
Canadian 10 Yr Bond Futures          11          June 2020            1,150,103          (14,714 )
Euro-BOBL Futures          4          June 2020            596,492          (4,637 )
Euro-BTP Futures          12          June 2020            1,871,532          (67,025 )
Euro-Bund Futures          4          June 2020            761,045          (26,915 )
Euro-OAT Futures          14          June 2020            2,581,821          (60,619 )
FTSE 100 Index Futures          2          June 2020            139,997          6,096
Long Gilt Futures          20          June 2020            3,383,233          43,950
MSCI Singapore IX ETS Futures          5          April 2020            98,990          (1,227 )
S&P/TSX 60 Index Futures          6          June 2020            694,266          (13,776 )
TOPIX Index Futures          6          June 2020            782,888          17,704
U.S. T-Note 5 Yr (CBT) Futures          33          June 2020            4,136,859              125,747
U.S. T-Note 10 Yr (CBT) Futures          23          June 2020            3,189,814          (15,844 )
U.S. Ultra Bond (CBT) Futures          11          June 2020            2,440,625          41,765
Sold Contracts                            
10 Yr Mini Japan Government Bond Futures          24          June 2020            3,407,208          45,879
Euro STOXX 50 Index Futures          20          June 2020            605,933          (35,403 )
Nikkei 225 (CME) Futures          1          June 2020            94,325          1,272
S&P 500 E-Mini Futures          62          June 2020            7,966,070          (186,883 )
SPI 200 Futures          1          June 2020            78,564          (4,461 )
                           

 

 

  
                            $ (249,567 )
                           

 

 

  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty    Contracts to
Deliver
(000)		      In Exchange
For
(000)		      Settlement
Date		      Unrealized
Appreciation/
(Depreciation)
Bank of America, NA        EUR        854          USD        949          04/08/2020        $ 6,485
Citibank, NA        JPY        2,394,869          USD        22,024          04/09/2020          (253,439 )
Citibank, NA        GBP        1,205          USD        1,550          05/15/2020          52,284
Morgan Stanley Capital Services, Inc.        EUR        1,679          USD        1,826          04/08/2020          (25,992 )
Morgan Stanley Capital Services, Inc.        USD        4,636          JPY        507,518          04/09/2020          85,050
State Street Bank & Trust Co.        SEK        2,708          USD        287          05/14/2020          12,528
State Street Bank & Trust Co.        EUR        1,329          USD        1,488          04/08/2020          21,022
State Street Bank & Trust Co.        AUD        797          USD        470          06/11/2020          (20,565 )
State Street Bank & Trust Co.        CHF        457          USD        485          05/29/2020          8,399
State Street Bank & Trust Co.        NZD        151          USD        90          06/04/2020          (205 )
State Street Bank & Trust Co.        USD        140          GBP        115          05/15/2020          3,052
State Street Bank & Trust Co.        USD        2,644          EUR        2,352          04/08/2020              (49,224 ) 
State Street Bank & Trust Co.        USD        77          SEK        789          05/14/2020          2,521
State Street Bank & Trust Co.        USD        392          JPY             43,360          04/09/2020          10,997
UBS AG        JPY        236,290          USD        2,248          04/09/2020          50,290
UBS AG        EUR        981          USD        1,108          04/08/2020          25,506
                                   

 

 

  
                                    $ (71,291 )
                                   

 

 

  

CALL OPTIONS WRITTEN

 

Description    Counterparty    Contracts    Exercise
Price		      Expiration
Month		      Notional
(000)		      Premiums
Received		      U.S. $ Value  
Nikkei 225 Index(h)    Goldman Sachs International    145,250,000      JPY        20,750.00        April 2020        JPY        7      $     10,607      $ (4,965 ) 

PUT OPTIONS WRITTEN

 

Description    Counterparty    Contracts      Exercise
Price		      Expiration
Month		      Notional
(000)		     Premiums
Received		      U.S. $ Value  
Euro STOXX 50 Index(h)    Citibank, NA      697,500        EUR        2,250.00        April 2020        EUR        0 *    $ 24,088      $ (3,507 ) 
FTSE 100 Index(h)    Citibank, NA      368,000        GBP        4,600.00        April 2020        GBP        0 *      10,641        (1,575 ) 
Nikkei 225 Index(h)    Goldman Sachs International      94,500,000        JPY        13,500.00        April 2020        JPY        7       10,736        (1,612 ) 
S&P 500 Index(h)    UBS AG      4,535,300        USD        209.00        April 2020        USD        22       130,200        (39,592 ) 
                      

 

 

     

 

 

  
                       $       175,665      $       (46,286 ) 
                      

 

 

     

 

 

  

INTEREST RATE SWAPTIONS WRITTEN

 

Description    Index    Counter-
Party		    Strike
Rate		     Expiration
Date		      Notional
Amount
(000)		      Premiums
Received		      Market
Value		  
Put                    
OTC - 1 Year Interest Rate
Swap(h)		    3 Month LIBOR    JPMorgan Chase Bank, NA      2.25 %      04/06/2020      $     7,161      $     9,094      $     0  

VARIANCE SWAPS

 

Swap Counterparty &
Referenced Obligation		    Volatility
Strike
Price		      Payment
Frequency		      Notional
Amount
(000)		      Market
Value		      Upfront
Premiums
(Paid)
Received		      Unrealized
Appreciation/
(Depreciation)		  
Buy Contracts                     
Barclays Bank PLC                     

JPY/USD 05/27/2020*

      5.88        Maturity        USD        278      $ 302,980      $ —      $ 302,980  
Sale Contracts                     
JPMorgan Chase Bank, NA                     

JPY/USD 05/07/2020*

      16.90        Maturity        USD        200        10,015        —        10,015  
              

 

 

     

 

 

     

 

 

  
               $     312,995      $             0      $     312,995  
              

 

 

     

 

 

     

 

 

  

 

*

Termination date

**

Principal amount less than 500.

(a)

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

(b)

Represents entire or partial securities out on loan.

(c)

Position, or a portion thereof, has been segregated to collateralize margin requirements for open exchange-traded derivatives.

(d)

Non-income producing security.

(e)

Affiliated investments.

(f)

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

(g)

As of March 31, 2020, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $3,734,689 and gross unrealized depreciation of investments was $(3,163,232), resulting in net unrealized appreciation of $571,457.

(h)

One contract relates to 1 share.

Currency Abbreviations:

AUD – Australian Dollar

CAD – Canadian Dollar

CHF – Swiss Franc

EUR – Euro

GBP – Great British Pound

JPY – Japanese Yen

NZD – New Zealand Dollar

SEK – Swedish Krona

USD – United States Dollar

Glossary:

BOBL – Bundesobligationen

BTP – Buoni del Tesoro Poliennali

CBT – Chicago Board of Trade

CME – Chicago Mercantile Exchange

CPI – Consumer Price Index

EAFE – Europe, Australia, and Far East

ETF – Exchange Traded Fund

ETS – Emission Trading Scheme

FTSE – Financial Times Stock Exchange

IRS – Interest Rate Swaption

LIBOR – London Interbank Offered Rates

MSCI – Morgan Stanley Capital International

OAT – Obligations Assimilables du Trésor

SPDR – Standard & Poor’s Depository Receipt

SPI – Share Price Index

TIPS – Treasury Inflation Protected Security

TOPIX – Tokyo Price Index

TSX – Toronto Stock Exchange

COUNTRY BREAKDOWN1

March 31, 2020 (unaudited)

 

  50.8 %    United States
  14.2 %    Japan
  35.0 %    Short-Term

 

 

    
  100.0 %    Total Investments

 

 

    

 

1

All data are as of March 31, 2020. The Portfolio’s country breakdown is expressed as a percentage of total investments and may vary over time.

AB Variable Products Series Fund, Inc.

AB Global Risk Allocation-Moderate Portfolio

March 31, 2020 (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.

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 March 31, 2020:

 

Investments in Securities:

    Level 1     Level 2     Level 3      Total  
Assets:          
Investment Companies    $ 35,634,928     $ —     $ —      $ 35,634,928  
Inflation-Linked Securities      —       15,086,992       —        15,086,992  
Options Purchased - Puts      —       126,221       —        126,221  
Short-Term Investments:          

Investment Companies

      18,187,613       —       —        18,187,613  

Governments - Treasuries

      —       5,023,249       —        5,023,249  

U.S. Treasury Bills

      —       4,133,773       —        4,133,773  
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund      5,067,927       —       —        5,067,927  
  

 

 

    

 

 

    

 

 

     

 

 

  
Total Investments in Securities      58,890,468       24,370,235       —        83,260,703  
Other Financial Instruments(a):          
Assets:          
Futures      257,341       25,072       —        282,413  
Forward Currency Exchange Contracts      —       278,134       —        278,134  
Variance Swaps      —       312,995       —        312,995  
Liabilities:          
Futures      (490,889 )      (41,091 )      —        (531,980 ) 
Forward Currency Exchange Contracts      —       (349,425 )      —        (349,425 ) 
Call Options Written      —       (4,965 )      —        (4,965 ) 
Put Options Written      —       (46,286 )      —        (46,286 ) 
Interest Rate Swaptions Written      —       —       —        —  
  

 

 

    

 

 

    

 

 

     

 

 

  
Total    $     58,656,920     $     24,544,669     $                 —      $     83,201,589  
  

 

 

    

 

 

    

 

 

     

 

 

  

 

(a) 

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

A summary of the Portfolio’s transactions in AB mutual funds for the three months ended March 31, 2020 is as follows:

 

Fund   

Market Value

12/31/2019
(000)

     

Purchases

at Cost
(000)

     

Sales

Proceeds

(000)

     

Market Value

03/31/2020

(000)

      Dividend
Income
(000)		  
Government Money Market Portfolio    $     15,287      $     14,854      $     11,953      $     18,188      $     51  
Government Money Market Portfolio*      1,040        50,789        46,761        5,068        4  
Total    $ 16,327      $ 65,643      $ 58,714      $ 23,256      $ 55  

 

*

Investments of cash collateral for securities lending transactions.