NPORT-EX 2 NPORT_64V2_1892360808.htm HTML

AB Variable Products Series Fund, Inc.

AB Global Risk Allocation-Moderate Portfolio

Portfolio of Investments

March 31, 2021 (unaudited)

 

Company    Shares        U.S. $ Value  

INVESTMENT COMPANIES – 51.2%

 

Funds and Investment Trusts – 51.2%(a)

 

iShares Core MSCI EAFE ETF

         76,670        $ 5,524,073  

iShares Core S&P 500 ETF

         31,275          12,441,820  

iShares MSCI EAFE ETF

         75,980          5,764,603  

iShares MSCI Global Min Vol Factor ETF

         13,500          1,331,910  

SPDR S&P 500 ETF Trust

         18,981          7,522,740  

Vanguard S&P 500 ETF

         35,883          13,072,177  
          

 

 

  

Total Investment Companies
(cost $30,251,687)

                   45,657,323  
          

 

 

  
     Principal
Amount
(000)		           

INFLATION-LINKED SECURITIES – 8.0%

 

Japan – 8.0%

 

Japanese Government CPI Linked Bond
Series 22
0.10%, 03/10/2027
(cost $7,352,665)

      JPY        779,160          7,117,818  
          

 

 

  
     Notional
Amount		           

OPTIONS PURCHASED - PUTS – 0.1%

 

Options on Funds and Investment Trusts – 0.1%

 

S+P 500 Index
Expiration: Apr 2021; Contracts: 35; Exercise Price: USD 3,840.00;
Counterparty: Morgan Stanley & Co., Inc. (b)

      USD        13,440,000          57,925  

Options on Equity Indices – 0.0%

 

Euro STOXX 50 Index
Expiration: Apr 2021; Contracts: 55; Exercise Price: EUR 3,750.00;
Counterparty: Morgan Stanley & Co., Inc. (b)

      EUR        2,062,500          8,320  

FTSE 100 Index
Expiration: Apr 2021; Contracts: 10; Exercise Price: GBP 6,550.00;
Counterparty: Morgan Stanley & Co., Inc. (b)

      GBP        655,000          4,136  

Nikkei 225 Index
Expiration: Apr 2021; Contracts: 7; Exercise Price: JPY 28,625.00;
Counterparty: Morgan Stanley & Co., Inc. (b)

      JPY        200,375,000          9,957  
          

 

 

  
          22,413  
          

 

 

  

Total Options Purchased - Puts
(premiums paid $217,381)

           80,338  
          

 

 

  

 

1

Company            Shares        U.S. $ Value  

SHORT-TERM INVESTMENTS – 35.8%

           

Investment Companies – 32.9%

           

AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 0.01%(a) (c) (d)
(cost $29,392,357)

         29,392,357        $ 29,392,357  
          

 

 

  
            Principal
Amount
(000)		           

U.S. Treasury Bills – 2.9%

           

U.S. Treasury Bill
Zero Coupon, 04/20/2021(e)
(cost $2,633,889)

                    $ 2,634          2,633,979  
          

 

 

  

Total Short-Term Investments
(cost $32,026,246)

              32,026,336  
          

 

 

  

Total Investments – 95.1%
(cost $69,847,979)(f)

                      84,881,815  

Other assets less liabilities – 4.9%

              4,344,050  
          

 

 

  

Net Assets – 100.0%

            $     89,225,865  
          

 

 

  

FUTURES

 

Description    Number
of
Contracts		   

Expiration

Month

    Current
Notional		    Value and
Unrealized
Appreciation/
(Depreciation)
Purchased Contracts

 

10 Yr Canadian Bond Futures

        5        June 2021      $ 552,121      $ (17,793 )

10 Yr Mini Japan Government Bond Futures

        30        June 2021        4,089,862        5,283

Euro STOXX 50 Index Futures

        47        June 2021        2,130,819                45,854

Euro-BOBL Futures

        8        June 2021        1,267,267        3,744

Euro-BTP Futures

        12        June 2021        2,101,150        5,193

Euro-Bund Futures

        4        June 2021        803,440        (3,476 )

Euro-OAT Futures

        14        June 2021        2,658,863        (10,851 )

FTSE 100 Index Futures

        4        June 2021        368,334        (2,855 )

Hang Seng Index Futures

        1        April 2021        182,118        626

Long Gilt Futures

        27        June 2021        4,749,178        (58,469 )

MSCI Emerging Markets Futures

        34        June 2021            2,248,250        (32,993 )

MSCI Singapore IX ETS Futures

        12        April 2021        319,313        1,969

Nikkei 225 (CME) Futures

        6        June 2021        881,100        14,606

OMXS30 Index Futures

        28        April 2021        701,246        9,984

S&P 500 E-Mini Futures

        13        June 2021        2,578,810        35,923

S&P Mid 400 E Mini Futures

        5        June 2021        1,302,650        14,726

S&P/TSX 60 Index Futures

        10        June 2021        1,768,282        7,424

TOPIX Index Futures

        6        June 2021        1,058,839        33,612

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

        19        June 2021        2,344,570        (32,829 )

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

        69        June 2021        9,034,688        (224,589 )

U.S. Ultra Bond (CBT) Futures

        5        June 2021        906,094        (25,164 )
Sold Contracts

 

MSCI Emerging Markets Futures

        10        June 2021        661,250        14,532

SPI 200 Futures

        1        June 2021        128,478        36
                   

 

 

  
                    $ (215,507 )
                   

 

 

  

 

2

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty    Contracts to
Deliver
(000)		      In Exchange
For
(000)		      Settlement
Date		      Unrealized
Appreciation/
(Depreciation)		  
Morgan Stanley Capital Services, Inc.      GBP        320        USD        447        04/09/2021      $ 6,083  
Morgan Stanley Capital Services, Inc.      NOK        613        USD        72        04/15/2021        277  
Morgan Stanley Capital Services, Inc.      SEK        3,990        USD        477        04/15/2021        19,888  
Morgan Stanley Capital Services, Inc.      JPY        1,226,665        USD        11,600        05/20/2021        516,313  
State Street Bank & Trust Co.      GBP        1,242        USD        1,697        04/09/2021        (14,817 ) 
State Street Bank & Trust Co.      USD        92        SEK        765        04/15/2021        (4,198 ) 
State Street Bank & Trust Co.      USD        1,308        CAD        1,660        04/22/2021        12,722  
State Street Bank & Trust Co.      CHF        913        USD        1,029        05/06/2021        62,668  
State Street Bank & Trust Co.      EUR        2,604        USD        3,108        05/27/2021             50,930  
State Street Bank & Trust Co.      AUD        651        USD        497        06/04/2021        2,146  
UBS AG      USD        907        GBP        655        04/09/2021        (3,765 ) 
UBS AG      CAD        1,660        USD           1,315        04/22/2021        (5,531 ) 
                 

 

 

  
                  $ 642,716  
                 

 

 

  

CALL OPTIONS WRITTEN

 

Description    Counterparty    Contracts    Exercise
Price		      Expiration
Month		    Notional
(000)		      Premiums
Received		      U.S. $ Value  
Nikkei 225 Index (g)    Morgan Stanley & Co., Inc.    7      JPY        31,125.00      April 2021      JPY        217,875      $ 6,376      $ (411 ) 

PUT OPTIONS WRITTEN

 

Description    Counterparty    Contracts      Exercise
Price		      Expiration
Month		    Notional
(000)		      Premiums
Received		      U.S. $ Value  
Euro STOXX 50 Index (h)    Morgan Stanley & Co., Inc.      55        EUR        3,600.00      April 2021      EUR        1,980      $ 13,631      $ (3,515 ) 
FTSE 100 Index (h)    Morgan Stanley & Co., Inc.      10        GBP        6,250.00      April 2021      GBP        625        4,288        (1,137 ) 
Nikkei 225 Index (g)    Morgan Stanley & Co., Inc.      7        JPY        26,625.00      April 2021      JPY        186,375        5,870        (1,138 ) 
S+P 500 Index (i)    Morgan Stanley & Co., Inc.      35        USD        3,670.00      April 2021      USD        12,845        66,429        (19,425 ) 
                       

 

 

     

 

 

  
                        $      90,218      $      (25,215)  
                       

 

 

     

 

 

  

 

(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.

 

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(b)

Non-income producing security.

(c)

Affiliated investments.

(d)

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

(e)

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

(f)

As of March 31, 2021, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $16,346,498 and gross unrealized depreciation of investments was $(814,485), resulting in net unrealized appreciation of $15,532,013.

(g)

One contract relates to 1000 shares.

(h)

One contract relates to 10 shares.

(i)

One contract relates to 100 shares.

Currency Abbreviations:

AUD – Australian Dollar

CAD – Canadian Dollar

CHF – Swiss Franc

EUR – Euro

GBP – Great British Pound

JPY – Japanese Yen

NOK – Norwegian Krone

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

MSCI – Morgan Stanley Capital International

OAT – Obligations Assimilables du Trésor

SPDR – Standard & Poor’s Depository Receipt

SPI – Share Price Index

TOPIX – Tokyo Price Index

TSX – Toronto Stock Exchange

 

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COUNTRY BREAKDOWN1

March 31, 2021 (unaudited)

    52.3 %       United States
    8.4 %       Japan
    1.6 %       Luxembourg
    37.7 %       Short-Term
 

 

 

       
    100.0 %       Total Investments
 

 

 

       

 

1

All data are as of March 31, 2021. The Portfolio’s country breakdown is expressed as a percentage of total investments and may vary over time.

 

5

AB Variable Products Series Fund, Inc.

AB Global Risk Allocation-Moderate Portfolio

March 31, 2021 (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.

 

6

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, 2021:

 

Investments in Securities:

    Level 1     Level 2     Level 3      Total  
Assets:

 

Investment Companies    $     45,657,323     $ —     $                 —      $ 45,657,323  
Inflation-Linked Securities      —       7,117,818       —        7,117,818  
Options Purchased - Puts      —       80,338       —        80,338  
Short-Term Investments:          

Investment Companies

      29,392,357       —       —        29,392,357  

U.S. Treasury Bills

      —       2,633,979       —        2,633,979  
  

 

 

    

 

 

    

 

 

     

 

 

  
Total Investments in Securities      75,049,680       9,832,135       —        84,881,815  
Other Financial Instruments(a):          
Assets:

 

Futures      193,512       —       —        193,512  
Forward Currency Exchange Contracts      —       671,027       —        671,027  
Liabilities:

 

Futures      (409,019 )      —       —        (409,019 ) 
Forward Currency Exchange Contracts      —       (28,311 )      —        (28,311 ) 
Call Options Written      —       (411 )      —        (411 ) 
Put Options Written      —       (25,215 )      —        (25,215 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  
Total    $ 74,834,173     $     10,449,225     $ —      $     85,283,398  
  

 

 

    

 

 

    

 

 

     

 

 

  

 

(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.

 

7

A summary of the Portfolio’s transactions in AB mutual funds for the three months ended March 31, 2021 is as follows:

 

Fund    Market
Value
12/31/2020
(000)		      Purchases
at Cost
(000)		      Sales
Proceeds
(000)		      Market
Value
03/31/2021
(000)		      Dividend
Income
(000)		  
Government Money Market Portfolio    $   12,180      $   21,805      $   4,593      $   29,392      $   1  

 

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