UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-01716

 

 

AB CAP FUND, INC.

(Exact name of registrant as specified in charter)

 

 

1345 Avenue of the Americas, New York, New York 10105

(Address of principal executive offices) (Zip code)

 

 

Joseph J. Mantineo

AllianceBernstein L.P.

1345 Avenue of the Americas

New York, New York 10105

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (800) 221-5672

Date of fiscal year end: March 31, 2023

Date of reporting period: March 31, 2023

 

 

 


ITEM 1.

REPORTS TO STOCKHOLDERS.

 


MAR    03.31.23

LOGO

ANNUAL REPORT

AB EMERGING MARKETS
MULTI-ASSET PORTFOLIO

 

LOGO

 


 

 

 
Investment Products Offered  

  Are Not FDIC Insured May Lose Value Are Not Bank Guaranteed

Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.

This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.

You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.

The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. AB publishes full portfolio holdings for the Fund monthly at www.abfunds.com.

AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.

The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.


 

FROM THE PRESIDENT    LOGO

Dear Shareholder,

We’re pleased to provide this report for the AB Emerging Markets Multi-Asset Portfolio (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.

At AB, we’re striving to help our clients achieve better outcomes by:

 

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Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets

 

+   

Applying differentiated investment insights through a connected global research network

 

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Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions

Whether you’re an individual investor or a multibillion-dollar institution, we’re putting our knowledge and experience to work for you every day.

For more information about AB’s comprehensive range of products and shareholder resources, please log on to www.abfunds.com.

Thank you for your investment in AB mutual funds—and for placing your trust in our firm.

Sincerely,

 

LOGO

Onur Erzan

President and Chief Executive Officer, AB Mutual Funds

 

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ANNUAL REPORT

 

May 8, 2023

This report provides management’s discussion of fund performance for the AB Emerging Markets Multi-Asset Portfolio for the annual reporting period ended March 31, 2023.

The Fund’s investment objective is to maximize total return. Total return is the sum of capital appreciation and income.

NAV RETURNS AS OF MARCH 31, 2023 (unaudited)

 

     6 Months      12 Months  
AB EMERGING MARKETS MULTI-ASSET PORTFOLIO      
Class A Shares      16.99%        -9.24%  
Class C Shares      16.46%        -9.99%  
Advisor Class Shares1      16.93%        -9.11%  
Class R Shares1      16.74%        -9.50%  
Class K Shares1      17.00%        -9.25%  
Class I Shares1      16.98%        -9.07%  
Class Z Shares1      17.07%        -9.04%  
MSCI EM Index (net)      14.04%        -10.70%  

 

1

Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund.

INVESTMENT RESULTS

The table above shows the Fund’s performance compared with its benchmark, the Morgan Stanley Capital International Emerging Markets (“MSCI EM”) Index (net), for the six- and 12-month periods ended March 31, 2023. The Fund’s benchmark is fully composed of equities, while the Fund invests in both equities and fixed income.

All share classes of the Fund outperformed the benchmark for the 12-month period, before sales charges. Emerging-market equity index returns underperformed emerging-market debt index returns, although both declined in absolute terms, so the structural overweight of the Fund’s multi-asset strategy to fixed-income assets contributed. The Fund’s fixed-income assets underperformed and equity assets outperformed their respective fixed-income and equity benchmarks. Overall security selection within fixed-income assets detracted, while selection within equities contributed to absolute returns.

During the six-month period, all share classes of the Fund outperformed the benchmark, before sales charges. Emerging-market equity index returns

 

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outperformed emerging-market debt index returns. Although both rose in absolute terms, the structural overweight of the Fund’s multi-asset strategy to fixed-income assets detracted. The Fund’s fixed-income and equity assets outperformed their respective benchmarks, and overall security selection within equities and fixed income contributed to absolute returns.

During both periods, the Fund used derivatives for hedging and investment purposes in the form of written swaptions, which added to absolute performance, while variance swaps and purchased swaptions detracted; futures, interest rate swaps and total return swaps added for the six-month period and detracted for the 12-month period, while currency forwards and credit default swaps detracted for the six-month period and added for the 12-month period.

MARKET REVIEW AND INVESTMENT STRATEGY

US, international and emerging-market stocks declined during the 12-month period ended March 31, 2023, as central banks—led by the US Federal Reserve (the “Fed”)—rapidly tightened monetary policy, creating headwinds for global equity markets. Equity markets rallied amid some early signs of easing inflationary pressures, but strong global economic data created uncertainty around the depth of the disinflationary process and raised concern that interest rates would stay higher for longer than expected. Toward the end of the period, the collapse of several banks triggered concerns about broader financial contagion, a potential credit crunch and the direction of central bank policy, which revived recessionary fears and drove stocks lower. Stocks recovered some losses as confidence grew that further banking system turmoil had been contained and US inflation data came in softer than expected. Within large-cap markets, both growth- and value-oriented stocks declined for the period. Value stocks outperformed growth stocks on a relative basis, but growth stocks—led by technology companies that had been pressured by rising interest rates throughout most of 2022—staged a rebound at the end of the period as speculation that the Fed might soon pivot drove rates lower and provided support for longer-duration investments. Both large- and small-cap stocks declined in absolute terms, but large-cap stocks outperformed small-cap stocks on a relative basis.

Fixed-income government bond market yields rose sharply, and bond prices fell in all major developed markets, except in Japan and Australia, as most central banks raised interest rates significantly to combat persistent inflation. Developed-market top-line inflation peaked in October, causing bond markets to rally until February, when investors realized that sticky core inflation would be more difficult to contain. Stress in the global banking sector led treasury markets to rally on growth concerns. Global investment-grade corporate bonds, which typically have longer maturities and are more sensitive to changes in yields than high-yield corporates, underperformed global treasuries—trailing US Treasury bonds in the US,

 

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while outperforming eurozone treasuries in the euro bloc. Developed-market high-yield corporate bonds also fell, but they significantly outperformed global treasuries, and outperformed respective treasury markets in the US and eurozone. Emerging-market hard-currency sovereign bonds trailed global developed-market treasuries as the US dollar rose against most developed- and emerging-market currencies. Emerging-market hard-currency corporate bonds outperformed developed-market treasuries by a wide margin, with high yield posting a small positive return. Emerging-market local-currency bonds also outperformed developed-market treasuries and led risk assets. Brent crude oil prices fell significantly on reduced demand and economic growth concerns.

The Fund’s Senior Investment Management Team (the “Team”) seeks to maximize total return by dynamically adjusting exposure to emerging markets by investing across asset classes. The Team’s emerging-market strategy searches for long-term growth with lower volatility. In seeking to reduce risk and provide downside mitigation, the Team pursues active stocks and flexible bond allocations. The Team utilizes a disciplined investment process, which draws on a rigorous quantitative research toolset with fundamental expertise across all regions and markets.

INVESTMENT POLICIES

The Fund invests at least 80% of its net assets under normal circumstances in securities of emerging-market issuers and/or the currencies of emerging-market countries. Examples of emerging-market countries include Argentina, Brazil, Chile, Croatia, Egypt, India, Indonesia, Israel, Kazakhstan, Malaysia, Mexico, the People’s Republic of China, Peru, the Philippines, Poland, South Africa, South Korea, Taiwan, Thailand, Turkey and Venezuela. The Fund may invest up to 20% of its net assets in the securities of developed-market issuers.

The Fund invests in equity securities, debt securities and currencies, and does not attempt to maintain a constant or relatively constant allocation among these asset classes. Rather, allocations among asset classes are adjusted based on the Adviser’s view of the relative attractiveness of the asset classes. These allocations are informed by the Adviser’s proprietary asset allocation tools, which are comprised of a series of volatility, correlation and expected return forecasts. The Adviser reviews potential Fund investments in each asset class holistically from a country, currency, sector and security standpoint to optimize overall portfolio construction. Under normal circumstances, the Fund will invest between 30% and 95% of its net assets in equity securities, and between 0% and 65% of its net assets in debt securities, with any remainder held in cash (including foreign currency). The Fund is not constrained based on the country, region, market capitalization,

 

(continued on next page)

 

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credit quality or duration of its investments and its assets may at times be concentrated in a particular country or region.

The process for selecting equity securities for the Fund is primarily bottom-up. The Adviser seeks to identify stocks that are attractive based on valuation, profitability, earnings quality, business trends, price momentum and other measures. The process for selecting debt securities for the Fund is more top-down. The Adviser believes that inefficiencies in the global debt markets arise from investor emotion, market complexity and conflicting investment agendas. The Adviser combines quantitative forecasts with fundamental credit and economic research in seeking to exploit these inefficiencies. The Adviser seeks to generate returns from the Fund’s fixed-income investments through a combination of country selection, currency allocation, sector analysis and security selection. Debt securities may include those of both corporate and governmental issuers, and may include below investment-grade debt securities (“junk bonds”). The Fund may invest in debt securities with a range of maturities from short- to long-term.

The Adviser considers both quantitative and fundamental factors in adjusting the Fund’s currency exposures. In addition to the Fund’s currency exposure that results from its investments in equity and debt securities denominated in foreign currencies (and any related hedging), the Fund may hold foreign currency (or related derivatives) independently of any such investments, and may hold a currency even if the Fund does not hold any securities denominated in that currency.

The Fund may utilize derivatives, such as futures contracts, forwards and swaps, and invest in exchange-traded funds (“ETFs”) to a significant extent. Derivatives and ETFs may provide more efficient and economical exposure to market segments than direct investments, and may also be a quicker and more efficient way to alter the Fund’s exposure than buying and selling direct investments. In determining when and to what extent to enter into derivatives transactions or to invest in ETFs, the Adviser will consider factors such as the relative risks and returns expected of potential investments and the cost of such transactions. Derivatives may also be used for hedging purposes, including to hedge against interest-rate, credit and currency fluctuations. The Adviser also expects to use derivatives frequently to effectively leverage the Fund by creating aggregate exposure somewhat in excess of the Fund’s net assets. The notional value of derivatives and ETFs linked to emerging-market securities or currencies are counted towards meeting the percentage minimums and ranges set forth above, including the requirement that the Fund invest at least 80% of its net assets in the securities of emerging-market issuers and/or the currencies of emerging-market countries.

 

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DISCLOSURES AND RISKS

 

Benchmark Disclosure

The MSCI EM Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI EM Index (net, free float-adjusted, market capitalization weighted) represents the equity market performance of emerging markets. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. An investor cannot invest directly in an index or average, and their results are not indicative of the performance for any specific investment, including the Fund.

A Word About Risk

Emerging-Market Risk: Investments in emerging-market countries may involve more risk than investments in other foreign countries because the markets are less developed and less liquid, and are subject to increased economic, political, regulatory or other uncertainties.

Market Risk: The value of the Fund’s assets will fluctuate as the stock, bond or currency markets fluctuate. The value of the Fund’s investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.

Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.

Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns. Emerging-market currencies may be more volatile and less liquid, and subject to significantly greater risk of currency controls and convertibility restrictions, than currencies of developed countries.

Country Concentration Risk: The Fund may not always be diversified among countries or geographic regions and the effect on the Fund’s net asset value (“NAV”) of the specific risks identified above, such as political, regulatory and currency risks, may be magnified due to concentration of the Fund’s investments in a particular country or region.

Allocation Risk: The allocation of Fund assets among different asset classes, such as equity securities, debt securities and currencies, may

 

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DISCLOSURES AND RISKS (continued)

 

have a significant effect on the Fund’s NAV when one of these asset classes is performing better or worse than others. The diversification benefits typically associated with investing in both equity and debt securities may be limited in the emerging-markets context, as movements in emerging-market equity and emerging-market debt markets may be more correlated than movements in the equity and debt markets of developed countries.

Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.

Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The Fund may be subject to a greater risk of rising interest rates than would normally be the case due to the end of a recent period of historically low rates and the effect of potential central bank monetary policy, and government fiscal policy, initiatives and resulting market reactions to those initiatives.

Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.

Sovereign Debt Risk: Investments in sovereign debt obligations expose the Fund to the direct or indirect consequences of political, social and economic changes in countries that issue the obligations. Such changes may affect a foreign government’s willingness or ability to make timely payments of its obligations. In addition, no established market may exist for many sovereign debt obligations. Reduced secondary market liquidity may have an adverse effect on the market price of an instrument and the Fund’s ability to dispose of particular instruments.

Below Investment-Grade Securities Risk: Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) tend to

 

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DISCLOSURES AND RISKS (continued)

 

have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to factors such as specific corporate developments, interest-rate sensitivity and negative perceptions of the junk bond market generally, and may be more difficult to trade than other types of securities.

Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Fund.

Leverage Risk: To the extent the Fund uses leveraging techniques, its NAV may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Fund’s investments.

Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally decline.

Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.

These risks are fully discussed in the Fund’s prospectus. As with all investments, you may lose money by investing in the Fund.

An Important Note About Historical Performance

The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com.

 

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DISCLOSURES AND RISKS (continued)

 

All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Fund’s quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.

 

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HISTORICAL PERFORMANCE

 

GROWTH OF A $10,000 INVESTMENT IN THE FUND (unaudited)

3/31/2013 TO 3/31/2023

 

LOGO

This chart illustrates the total value of an assumed $10,000 investment in AB Emerging Markets Multi-Asset Portfolio Class A shares (from 3/31/2013 to 3/31/2023) as compared with the performance of its benchmark. The chart reflects the deduction of the maximum 4.25% sales charge from the initial $10,000 investment in the Fund and assumes the reinvestment of dividends and capital gains distributions.

 

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HISTORICAL PERFORMANCE (continued)

 

AVERAGE ANNUAL RETURNS AS OF MARCH 31, 2023 (unaudited)

 

    NAV Returns    

SEC Returns

(reflects applicable
sales charges)

 
CLASS A SHARES    
1 Year     -9.24%       -13.14%  
5 Years     -1.50%       -2.34%  
10 Years     0.95%       0.51%  
CLASS C SHARES    
1 Year     -9.99%       -10.87%  
5 Years     -2.25%       -2.25%  
10 Years1     0.21%       0.21%  
ADVISOR CLASS SHARES2    
1 Year     -9.11%       -9.11%  
5 Years     -1.26%       -1.26%  
10 Years     1.21%       1.21%  
CLASS R SHARES2    
1 Year     -9.50%       -9.50%  
5 Years     -1.73%       -1.73%  
10 Years     0.71%       0.71%  
CLASS K SHARES2    
1 Year     -9.25%       -9.25%  
5 Years     -1.50%       -1.50%  
10 Years     0.96%       0.96%  
CLASS I SHARES2    
1 Year     -9.07%       -9.07%  
5 Years     -1.26%       -1.26%  
10 Years     1.20%       1.20%  
CLASS Z SHARES2    
1 Year     -9.04%       -9.04%  
5 Years     -1.25%       -1.25%  
Since Inception3     -0.29%       -0.29%  

The Fund’s prospectus fee table shows the Fund’s total annual operating expense ratios as 1.48%, 2.24%, 1.23%, 1.95%, 1.64%, 1.22% and 1.22% for Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limited the Fund’s total annual operating expense ratios, exclusive of expenses associated with acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense and extraordinary expenses, to 1.24%, 1.99%, 0.99%, 1.49%, 1.24%, 0.99% and 0.99% for Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively. These waivers/reimbursements may not be terminated before July 31, 2023. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.

(footnotes continued on next page)

 

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HISTORICAL PERFORMANCE (continued)

 

1

Assumes conversion of Class C shares into Class A shares after eight years.

 

2

These share classes are offered at NAV to eligible investors and their SEC returns are the same as their NAV returns. Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund.

 

3

Inception date: 7/31/2017.

 

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HISTORICAL PERFORMANCE (continued)

 

SEC AVERAGE ANNUAL RETURNS

AS OF THE MOST RECENT CALENDAR QUARTER-END

MARCH 31, 2023 (unaudited)

 

    

SEC Returns

(reflects applicable
sales charges)

 
CLASS A SHARES   
1 Year      -13.14%  
5 Years      -2.34%  
10 Years      0.51%  
CLASS C SHARES   
1 Year      -10.87%  
5 Years      -2.25%  
10 Years1      0.21%  
ADVISOR CLASS SHARES2   
1 Year      -9.11%  
5 Years      -1.26%  
10 Years      1.21%  
CLASS R SHARES2   
1 Year      -9.50%  
5 Years      -1.73%  
10 Years      0.71%  
CLASS K SHARES2   
1 Year      -9.25%  
5 Years      -1.50%  
10 Years      0.96%  
CLASS I SHARES2   
1 Year      -9.07%  
5 Years      -1.26%  
10 Years      1.20%  
CLASS Z SHARES2   
1 Year      -9.04%  
5 Years      -1.25%  
Since Inception3      -0.29%  

 

1

Assumes conversion of Class C shares into Class A shares after eight years.

 

2

Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund.

 

3

Inception date: 7/31/2017.

 

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EXPENSE EXAMPLE

(unaudited)

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The table below also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

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EXPENSE EXAMPLE (continued)

 

 

    Beginning
Account
Value
October 1,
2022
    Ending
Account
Value
March 31,
2023
    Expenses
Paid
During
Period*
    Annualized
Expense
Ratio*
 
Class A        

Actual

  $ 1,000     $ 1,169.90     $ 6.76       1.25

Hypothetical**

  $ 1,000     $ 1,018.70     $ 6.29       1.25
Class C        

Actual

  $ 1,000     $ 1,164.60     $     10.69       1.98

Hypothetical**

  $ 1,000     $ 1,015.06     $ 9.95       1.98
Advisor Class        

Actual

  $ 1,000     $ 1,169.30     $ 5.41       1.00

Hypothetical**

  $ 1,000     $ 1,019.95     $ 5.04       1.00
Class R        

Actual

  $ 1,000     $ 1,167.40     $ 8.05       1.49

Hypothetical**

  $ 1,000     $ 1,017.50     $ 7.49       1.49
Class K        

Actual

  $ 1,000     $ 1,170.00     $ 6.76       1.25

Hypothetical**

  $ 1,000     $ 1,018.70     $ 6.29       1.25
Class I        

Actual

  $ 1,000     $ 1,169.80     $ 5.46       1.01

Hypothetical**

  $ 1,000     $ 1,019.90     $ 5.09       1.01
Class Z        

Actual

  $ 1,000     $     1,170.70     $ 5.41       1.00

Hypothetical**

  $     1,000     $ 1,019.95     $ 5.04       1.00

 

*

Expenses are equal to the classes’ annualized expense ratios multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

 

**

Assumes 5% annual return before expenses.

 

abfunds.com  

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    15


 

PORTFOLIO SUMMARY

March 31, 2023 (unaudited)

 

PORTFOLIO STATISTICS

Net Assets ($mil): $127.1

 

 

 

LOGO

 

 

 

LOGO

 

1

The Fund’s security type and sector breakdowns are expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” sector weightings represent 1.8% or less in the following sectors: Emerging Markets–Sovereigns, Financial Institutions, Funds and Investment Trusts, Governments–Sovereign Bonds, Health Care, Industrial, Real Estate, Swaptions and Treasury Bonds.

 

16    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO SUMMARY (continued)

March 31, 2023 (unaudited)

 

 

 

LOGO

TEN LARGEST HOLDINGS2

 

Company    U.S. $ Value      Percent of
Net Assets
 
Taiwan Semiconductor Manufacturing Co., Ltd.    $ 3,329,678        2.6
Alibaba Group Holding Ltd.      2,696,484        2.1  
Kia Corp.      2,323,766        1.8  
PetroChina Co., Ltd. – Class H      2,215,254        1.7  
GAIL India Ltd.      2,105,487        1.7  
Agricultural Bank of China Ltd. – Class H      2,100,119        1.7  
POSCO Holdings, Inc.      1,988,654        1.6  
Hana Financial Group, Inc.      1,922,797        1.5  
Samsung Electronics Co., Ltd.      1,868,257        1.5  
Tencent Holdings Ltd.      1,857,034        1.5  
   $   22,407,530        17.7

 

1

The Fund’s country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 1.3% or less in the following: Angola, Argentina, Australia, Azerbaijan, Bahrain, Costa Rica, Czech Republic, Ecuador, Egypt, El Salvador, Gabon, Ghana, Greece, Guatemala, Hong Kong, Hungary, Israel, Ivory Coast, Jamaica, Japan, Kazakhstan, Kuwait, Lebanon, Luxembourg, Macau, Malaysia, Morocco, Nigeria, Oman, Panama, Paraguay, Peru, Poland, Qatar, Romania, Russia, Senegal, Serbia, Sri Lanka, Thailand, Turkey, Ukraine, United Arab Emirates, United States, Uruguay, Venezuela, Vietnam and Zambia.

 

2

Long-term investments.

 

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AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    17


 

PORTFOLIO OF INVESTMENTS

March 31, 2023

 

Company             
    
Shares
     U.S. $ Value  

 

 

COMMON STOCKS – 57.9%

      

Financials – 15.7%

      

Banks – 11.5%

      

Absa Group Ltd.(a)

      4,638      $ 47,406  

Agricultural Bank of China Ltd. – Class H(a)

      5,671,000        2,100,119  

Banco de Chile

      693,004        67,305  

Banco do Brasil SA

      79,000        609,593  

Bancolombia SA

      6,653        49,987  

Bancolombia SA (Preference Shares)

      11,654        73,022  

Bank Mandiri Persero TBK PT

      2,236,700        1,540,295  

Bank of Jiangsu Co., Ltd. – Class A

      992,300        1,014,802  

Canara Bank

      20,174        69,884  

China CITIC Bank Corp., Ltd. – Class A(a)

      102,900        81,309  

China CITIC Bank Corp., Ltd. – Class H(a)

      162,000        81,496  

China Construction Bank Corp. – Class H(a)

      555,000        359,193  

China Everbright Bank Co., Ltd. – Class A(a)

      125,200        54,832  

China Everbright Bank Co., Ltd. – Class H(a)

      212,000        64,313  

China Merchants Bank Co., Ltd. – Class H(a)

      5,000        25,390  

Commercial International Bank Egypt SAE(a)

      12,299        20,356  

Haci Omer Sabanci Holding AS(a)

      31,655        65,469  

Hana Financial Group, Inc.

      61,394        1,922,797  

HDFC Bank Ltd.

      89,781        1,765,504  

Huaxia Bank Co., Ltd. – Class A

      98,400        77,105  

ICICI Bank Ltd.

      23,342        249,642  

Industrial Bank Co., Ltd. – Class A(a)

      475,060        1,169,161  

Industrial Bank of Korea

      6,321        49,159  

KB Financial Group, Inc.

      18,754        684,937  

Komercni Banka AS

      2,204        73,131  

Metropolitan Bank & Trust Co.

      452,560        488,107  

Nedbank Group Ltd.

      4,444        54,124  

NU Holdings Ltd. – Class A(a)

      303,970        1,446,897  

Sberbank of Russia PJSC(a)(b)(c)

      138,696        – 0  – 

SCB X PCL(a)

      2,400        7,194  

SinoPac Financial Holdings Co., Ltd.

      220        120  

Standard Bank Group Ltd.

      7,225        70,052  

State Bank of India

      17,598        112,260  

Yapi ve Kredi Bankasi AS

      123,380        61,798  
      

 

 

 
         14,556,759  
      

 

 

 

Capital Markets – 0.1%

      

China Galaxy Securities Co., Ltd. – Class H(a)

      11,500        5,790  

GF Securities Co., Ltd. – Class H(a)

      6,600        9,335  

Korea Investment Holdings Co., Ltd.

      1,612        68,424  

NH Investment & Securities Co., Ltd.

      4,528        30,695  

Samsung Securities Co., Ltd.

      3,190        77,974  
      

 

 

 
         192,218  
      

 

 

 

 

18    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO OF INVESTMENTS (continued)

 

Company             
    
Shares
     U.S. $ Value  

 

 

Consumer Finance – 0.1%

      

Shriram Finance Ltd.

      4,852      $ 74,641  
      

 

 

 

Financial Services – 0.8%

      

Chailease Holding Co., Ltd.(a)

      10,000        73,544  

Far East Horizon Ltd.(a)

      91,000        81,717  

Housing Development Finance Corp., Ltd.

      18,352        587,280  

Meritz Financial Group, Inc.

      2,229        66,403  

REC Ltd.

      49,670        70,275  

Remgro Ltd.(a)

      7,281        54,973  

Yuanta Financial Holding Co., Ltd.(a)

      102,420        75,318  
      

 

 

 
         1,009,510  
      

 

 

 

Insurance – 3.2%

      

AIA Group Ltd.

      117,000        1,227,021  

BB Seguridade Participacoes SA

      72,700        466,312  

Bupa Arabia for Cooperative Insurance Co.

      1,815        84,036  

China Pacific Insurance Group Co., Ltd. – Class A(a)

      17,600        66,400  

China Pacific Insurance Group Co., Ltd. – Class H(a)

      5,800        15,376  

China Taiping Insurance Holdings Co., Ltd.(a)

      6,200        6,592  

DB Insurance Co., Ltd.

      1,338        76,978  

Hyundai Marine & Fire Insurance Co., Ltd.

      5,821        151,131  

New China Life Insurance Co., Ltd. – Class H(a)

      32,700        77,663  

People’s Insurance Co. Group of China Ltd. (The) – Class A(a)

      102,100        77,303  

PICC Property & Casualty Co., Ltd. – Class H(a)

      1,180,000        1,203,728  

Ping An Insurance Group Co. of China Ltd. – Class H(a)

      84,000        543,414  

Powszechny Zaklad Ubezpieczen SA

      6,578        53,563  

Samsung Fire & Marine Insurance Co., Ltd.

      491        77,614  
      

 

 

 
         4,127,131  
      

 

 

 
         19,960,259  
      

 

 

 

Information Technology – 11.5%

      

Communications Equipment – 0.1%

      

Accton Technology Corp.(a)

      7,000        73,571  
      

 

 

 

Electronic Equipment, Instruments & Components – 2.2%

      

Kingboard Holdings Ltd.

      4,000        12,299  

Lotes Co., Ltd.(a)

      2,000        60,449  

Samsung SDI Co., Ltd.

      1,814        1,030,423  

Sinbon Electronics Co., Ltd.(a)

      132,000        1,485,619  

Synnex Technology International Corp.(a)

      38,000        76,669  

WPG Holdings Ltd.(a)

      48,000        79,309  

Zhen Ding Technology Holding Ltd.(a)

      21,000        79,015  
      

 

 

 
         2,823,783  
      

 

 

 

 

abfunds.com  

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    19


 

PORTFOLIO OF INVESTMENTS (continued)

 

Company             
    
Shares
     U.S. $ Value  

 

 

IT Services – 1.1%

      

Elm Co.(a)

      5,450      $ 644,068  

Infosys Ltd.

      10,804        188,564  

Infosys Ltd. (Sponsored ADR)

      20,233        352,863  

Tata Consultancy Services Ltd.

      5,833        228,506  
      

 

 

 
         1,414,001  
      

 

 

 

Semiconductors & Semiconductor Equipment – 6.4%

      

ASE Technology Holding Co., Ltd.(a)

      22,000        81,643  

Himax Technologies, Inc. (ADR)(d)

      52,038        423,069  

King Yuan Electronics Co., Ltd.(a)

      30,000        47,968  

MediaTek, Inc.(a)

      48,000        1,244,454  

Novatek Microelectronics Corp.(a)

      111,000        1,577,369  

Realtek Semiconductor Corp.

      6,000        76,586  

Taiwan Semiconductor Manufacturing Co., Ltd.(a)

      190,000        3,329,678  

United Microelectronics Corp.(a)

      735,000        1,286,201  
      

 

 

 
         8,066,968  
      

 

 

 

Software – 0.1%

      

Glodon Co., Ltd. Class A(a)

      8,600        92,973  

Tata Elxsi Ltd.

      464        33,802  
      

 

 

 
         126,775  
      

 

 

 

Technology Hardware, Storage & Peripherals – 1.6%

      

Asustek Computer, Inc.(a)

      1,000        8,972  

Micro-Star International Co., Ltd.(a)

      17,000        80,804  

Quanta Computer, Inc.(a)

      28,000        82,027  

Samsung Electronics Co., Ltd.

      37,780        1,868,257  
      

 

 

 
         2,040,060  
      

 

 

 
         14,545,158  
      

 

 

 

Consumer Discretionary – 11.4%

      

Automobile Components – 0.1%

      

Fuyao Glass Industry Group Co., Ltd. – Class H(a)(e)

      8,000        34,882  

Tube Investments of India Ltd.

      1,941        60,461  
      

 

 

 
         95,343  
      

 

 

 

Automobiles – 2.2%

      

Dongfeng Motor Group Co., Ltd. – Class H(a)

      404,000        189,784  

Great Wall Motor Co., Ltd. – Class H(a)

      82,000        101,463  

Kia Corp.

      37,235        2,323,766  

Mahindra & Mahindra Ltd.

      5,016        70,840  

TVS Motor Co., Ltd.

      5,918        77,627  

Yadea Group Holdings Ltd.(a)(e)

      8,000        20,607  
      

 

 

 
         2,784,087  
      

 

 

 

Broadline Retail – 5.3%

      

Alibaba Group Holding Ltd.(a)

      212,900        2,696,484  

Central Retail Corp. PCL(a)

      60,300        78,913  

 

20    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO OF INVESTMENTS (continued)

 

Company             
    
Shares
     U.S. $ Value  

 

 

JD.com, Inc. – Class A

      46,839      $ 1,022,786  

Lotte Shopping Co., Ltd.

      792        49,980  

MercadoLibre, Inc.

      1,338        1,763,564  

momo.com, Inc.(a)

      2,000        59,582  

Naspers Ltd. – Class N

      439        81,344  

PDD Holdings, Inc. (ADR)(a)

      11,613        881,427  

Woolworths Holdings Ltd.

      17,921        64,346  
      

 

 

 
         6,698,426  
      

 

 

 

Diversified Consumer Services – 0.0%

      

New Oriental Education & Technology Group, Inc.(a)

      14,000        53,726  
      

 

 

 

Hotels, Restaurants & Leisure – 2.3%

      

Haidilao International Holding Ltd.(a)(e)

      7,000        18,971  

Jiumaojiu International Holdings Ltd.(a)(e)

      24,000        57,055  

Meituan Class B(a)(e)

      46,680        846,879  

OPAP SA(a)

      75,965        1,218,400  

Trip.com Group Ltd.(a)

      16,900        636,681  

Trip.com Group Ltd. (ADR)(a)

      481        18,119  

Yum China Holdings, Inc.

      1,299        82,344  
      

 

 

 
         2,878,449  
      

 

 

 

Household Durables – 0.0%

      

Haier Smart Home Co., Ltd. – Class H(a)

      8,400        26,303  
      

 

 

 

Leisure Products – 0.1%

      

Huazhu Group Ltd. (ADR)(a)

      1,568        76,800  
      

 

 

 

Specialty Retail – 0.9%

      

Jarir Marketing Co.

      1,662        72,389  

JUMBO SA

      3,343        70,939  

Lojas Renner SA

      197,200        644,695  

Pop Mart International Group Ltd.(a)(e)

      24,600        66,988  

Topsports International Holdings Ltd.

      323,000        294,431  
      

 

 

 
         1,149,442  
      

 

 

 

Textiles, Apparel & Luxury Goods – 0.5%

      

ANTA Sports Products Ltd.

      13,800        200,364  

Li Ning Co., Ltd.(a)

      52,000        408,923  

Pou Chen Corp.

      72,000        74,002  
      

 

 

 
         683,289  
      

 

 

 
         14,445,865  
      

 

 

 

Materials – 5.4%

      

Chemicals – 1.7%

      

Fertiglobe PLC(a)

      13,030        14,205  

Kumho Petrochemical Co., Ltd.

      213        23,561  

National Industrialization Co.(a)

      23,694        77,541  

PhosAgro PJSC (GDR)(a)(b)(c)(f)

      4,421        – 0  – 

 

abfunds.com  

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    21


 

PORTFOLIO OF INVESTMENTS (continued)

 

Company             
    
Shares
     U.S. $ Value  

 

 

SABIC Agri-Nutrients Co.

      2,229      $ 75,989  

Sahara International Petrochemical Co.

      4,813        48,837  

Sociedad Quimica y Minera de Chile SA (Sponsored ADR)(d)

      16,475        1,335,464  

Sociedad Quimica y Minera de Chile SA – Class B

      94        7,553  

Tosoh Corp.

      45,200        614,245  
      

 

 

 
         2,197,395  
      

 

 

 

Metals & Mining – 3.7%

      

Aluminum Corp. of China Ltd. – Class H(a)

      662,000        335,309  

ArcelorMittal SA(a)

      4,856        147,119  

Baoshan Iron & Steel Co., Ltd. – Class A

      601,100        545,712  

BHP Group Ltd.

      9,092        287,434  

China Hongqiao Group Ltd.

      70,395        67,648  

Gerdau SA (Preference Shares)

      13,965        69,681  

Henan Shenhuo Coal & Power Co., Ltd. – Class A(a)

      29,600        76,152  

Hindustan Zinc Ltd.

      8,421        30,093  

Jiangxi Copper Co., Ltd. – Class A(a)

      12,800        36,837  

Jiangxi Copper Co., Ltd. – Class H(a)

      20,000        33,860  

Jindal Steel & Power Ltd.

      10,833        72,172  

KGHM Polska Miedz SA

      5,970        169,566  

Kumba Iron Ore Ltd.

      2,595        65,612  

MMC Norilsk Nickel PJSC (ADR)(a)(b)(c)

      3,568        – 0  – 

Polyus PJSC (GDR)(a)(b)(c)(f)

      284        – 0  – 

POSCO Holdings, Inc.

      7,029        1,988,654  

Southern Copper Corp.

      859        65,499  

Tata Steel Ltd.

      37,235        47,590  

Tongling Nonferrous Metals Group Co., Ltd. – Class A

      22,400        10,484  

Vale SA

      4,500        71,285  

Vedanta Ltd.

      20,986        70,519  

Zijin Mining Group Co., Ltd. – Class H(a)

      312,000        520,528  
      

 

 

 
         4,711,754  
      

 

 

 
         6,909,149  
      

 

 

 

Communication Services – 2.9%

      

Diversified Telecommunication Services – 1.2%

      

KT Corp.

      64,813        1,465,400  

MultiChoice Group

      5,340        36,998  

Ooredoo QPSC

      4,483        11,578  
      

 

 

 
         1,513,976  
      

 

 

 

Entertainment – 0.0%

      

G-bits Network Technology Xiamen Co., Ltd. – Class A

      200        13,858  

iQIYI, Inc. (ADR)(a)

      2,221        16,169  
      

 

 

 
         30,027  
      

 

 

 

 

22    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO OF INVESTMENTS (continued)

 

Company             
    
Shares
     U.S. $ Value  

 

 

Interactive Media & Services – 1.5%

      

Baidu, Inc. – Class A(a)

      4,200      $ 79,133  

JOYY, Inc. (ADR)

      287        8,949  

Tencent Holdings Ltd.(a)

      38,000        1,857,034  

Yandex NV – Class A(a)(b)(c)

      11,500        – 0  – 
      

 

 

 
         1,945,116  
      

 

 

 

Media – 0.1%

      

Cheil Worldwide, Inc.

      4,778        68,455  
      

 

 

 

Wireless Telecommunication Services – 0.1%

      

CELCOMDIGI BHD

      70,400        69,336  

Globe Telecom, Inc.

      488        16,798  

Mobile Telecommunications Co. KSC

      7,390        13,036  

PLDT, Inc.

      1,980        51,852  

Taiwan Mobile Co., Ltd.

      5,000        16,591  
      

 

 

 
         167,613  
      

 

 

 
         3,725,187  
      

 

 

 

Energy – 2.8%

      

Oil, Gas & Consumable Fuels – 2.8%

      

Adaro Energy Indonesia Tbk PT

      367,800        71,298  

China Petroleum & Chemical Corp. – Class A

      22,900        18,714  

China Petroleum & Chemical Corp. – Class H

      730,000        430,787  

Coal India Ltd.

      27,851        72,466  

Exxaro Resources Ltd.

      26,069        272,474  

Gazprom PJSC(b)(c)

      153,780        – 0  – 

LUKOIL PJSC(b)(c)

      18,789        – 0  – 

MOL Hungarian Oil & Gas PLC

      1,032        7,558  

PetroChina Co., Ltd. – Class H

      3,750,000        2,215,254  

Petroleo Brasileiro SA

      13,500        70,557  

Petroleo Brasileiro SA (Preference Shares)

      15,300        70,788  

PTT Exploration & Production PCL

      5,900        25,998  

PTT PCL

      34,300        31,804  

Reliance Industries Ltd.

      2,050        58,287  

Saudi Arabian Oil Co.(e)

      8,907        76,771  

Shanxi Lu’an Environmental Energy Development Co., Ltd. – Class A

      23,100        73,636  

Tupras Turkiye Petrol Rafinerileri AS

      760        21,040  

Yankuang Energy Group Co., Ltd. – Class H(a)

      24,000        85,931  
      

 

 

 
         3,603,363  
      

 

 

 

Industrials – 2.3%

      

Aerospace & Defense – 0.1%

      

Bharat Electronics Ltd.

      44,288        52,630  

Hindustan Aeronautics Ltd.(e)

      2,188        73,139  
      

 

 

 
         125,769  
      

 

 

 

Air Freight & Logistics – 0.1%

      

Hyundai Glovis Co., Ltd.

      581        70,955  
      

 

 

 

 

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AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    23


 

PORTFOLIO OF INVESTMENTS (continued)

 

Company             
    
Shares
     U.S. $ Value  

 

 

Electrical Equipment – 0.1%

      

CG Power & Industrial Solutions Ltd.

      5,862      $ 21,407  

TBEA Co., Ltd. – Class A

      23,400        73,905  

Voltronic Power Technology Corp.(a)

      1,000        56,944  
      

 

 

 
         152,256  
      

 

 

 

Industrial Conglomerates – 0.8%

      

Aboitiz Equity Ventures, Inc.

      10,910        9,746  

Alfa SAB de CV – Class A

      114,800        72,945  

Bidvest Group Ltd. (The)

      31,591        449,637  

CITIC Ltd.

      68,000        79,479  

CJ Corp.

      1,072        85,931  

GS Holdings Corp.

      2,511        77,891  

KOC Holding AS

      16,531        66,032  

Multiply Group PJSC(a)

      36,989        32,690  

Siemens Ltd.

      1,898        77,055  

Sime Darby Bhd

      74,900        36,516  

SM Investments Corp.

      660        10,833  
      

 

 

 
         998,755  
      

 

 

 

Machinery – 0.1%

      

Doosan Bobcat, Inc.

      2,344        78,837  
      

 

 

 

Marine Transportation – 0.2%

      

COSCO SHIPPING Holdings Co., Ltd. – Class H

      69,100        77,902  

Evergreen Marine Corp. Taiwan Ltd.(a)

      6,000        31,424  

Orient Overseas International Ltd.

      4,500        86,379  

Yang Ming Marine Transport Corp.(a)

      9,000        19,106  
      

 

 

 
         214,811  
      

 

 

 

Passenger Airlines – 0.2%

      

China Airlines Ltd.(a)

      116,000        74,696  

Eva Airways Corp.(a)

      81,000        71,882  

InterGlobe Aviation Ltd.(a)(e)

      3,353        78,109  

Korean Air Lines Co., Ltd.

      4,140        73,916  
      

 

 

 
         298,603  
      

 

 

 

Professional Services – 0.0%

      

HeadHunter Group PLC (ADR)(a)(b)(c)

      18,930        – 0  – 
      

 

 

 

Trading Companies & Distributors – 0.1%

      

Barloworld Ltd.

      25,240        126,604  

Xiamen C & D, Inc. – Class A

      32,000        56,104  
      

 

 

 
         182,708  
      

 

 

 

Transportation Infrastructure – 0.6%

      

Grupo Aeroportuario del Centro Norte SAB de CV

      65,329        729,568  

International Container Terminal Services, Inc.

      4,790        18,807  

Malaysia Airports Holdings Bhd(a)

      6,800        10,478  

TangShan Port Group Co., Ltd. – Class A

      170,200        76,840  
      

 

 

 
         835,693  
      

 

 

 
         2,958,387  
      

 

 

 

 

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PORTFOLIO OF INVESTMENTS (continued)

 

Company             
    
Shares
     U.S. $ Value  

 

 

Consumer Staples – 2.1%

      

Beverages – 0.2%

      

Chongqing Brewery Co., Ltd. – Class A

      4,000      $ 72,815  

Coca-Cola Femsa SAB de CV

      7,000        56,260  

Kweichow Moutai Co., Ltd. – Class A

      200        52,822  

Wuliangye Yibin Co., Ltd. – Class A

      2,000        57,131  
      

 

 

 
         239,028  
      

 

 

 

Consumer Staples Distribution & Retail – 0.2%

      

CP ALL PCL(a)

      10,500        19,120  

Magnit PJSC(a)(b)(c)

      1,178        – 0  – 

Magnit PJSC (Sponsored GDR)(a)(b)(c)(e)

      3        – 0  – 

Nahdi Medical Co.

      449        22,168  

President Chain Store Corp.(a)

      9,000        79,762  

Sumber Alfaria Trijaya TBK PT

      346,000        66,571  

Yifeng Pharmacy Chain Co., Ltd. – Class A

      2,700        22,760  
      

 

 

 
         210,381  
      

 

 

 

Food Products – 0.6%

      

AVI Ltd.

      16,163        64,020  

Britannia Industries Ltd.

      1,458        76,840  

China Feihe Ltd.(e)

      84,384        63,242  

JBS S/A

      9,500        33,457  

Minerva SA/Brazil

      209,700        436,078  

Nestle India Ltd.

      257        61,693  

Orion Corp./Republic of Korea

      671        70,425  
      

 

 

 
         805,755  
      

 

 

 

Household Products – 0.1%

      

Kimberly-Clark de Mexico SAB de CV – Class A(a)

      22,800        48,067  

Unilever Indonesia TBK PT

      227,600        66,033  
      

 

 

 
         114,100  
      

 

 

 

Tobacco – 1.0%

      

Eastern Co. SAE

      22,701        12,926  

Hanjaya Mandala Sampoerna Tbk PT

      78,200        5,874  

ITC Ltd.

      255,621        1,195,865  

KT&G Corp.

      668        42,931  
      

 

 

 
         1,257,596  
      

 

 

 
         2,626,860  
      

 

 

 

Utilities – 2.1%

      

Electric Utilities – 0.3%

      

CEZ AS(a)

      1,743        84,654  

Manila Electric Co.

      12,840        73,584  

Transmissora Alianca de Energia Eletrica S/A

      37,000        254,261  
      

 

 

 
         412,499  
      

 

 

 

Gas Utilities – 1.7%

      

GAIL India Ltd.

      1,636,721        2,105,487  
      

 

 

 

 

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AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    25


 

PORTFOLIO OF INVESTMENTS (continued)

 

Company             
    
Shares
     U.S. $ Value  

 

 

Independent Power and Renewable Electricity Producers – 0.1%

      

ACWA Power Co.(a)

      166      $ 6,241  

NTPC Ltd.

      34,890        74,701  
      

 

 

 
         80,942  
      

 

 

 

Multi-Utilities – 0.0%

      

Qatar Electricity & Water Co. QSC

      2,311        10,711  
      

 

 

 
         2,609,639  
      

 

 

 

Health Care – 1.4%

      

Health Care Equipment & Supplies – 0.0%

      

Microport Scientific Corp.(a)

      5,700        13,425  
      

 

 

 

Health Care Providers & Services – 0.3%

      

Guangzhou Kingmed Diagnostics Group Co., Ltd. Class A

      6,400        82,077  

Hygeia Healthcare Holdings Co., Ltd.(a)(e)

      2,800        19,966  

Shanghai Pharmaceuticals Holding Co., Ltd. – Class H(a)

      102,500        191,414  

Sinopharm Group Co., Ltd. – Class H(a)

      27,200        82,192  
      

 

 

 
         375,649  
      

 

 

 

Pharmaceuticals – 1.1%

 

China Medical System Holdings Ltd.(a)

      39,000        61,533  

Dr Reddy’s Laboratories Ltd.

      361        20,432  

Hubei Jumpcan Pharmaceutical Co., Ltd. – Class A

      18,200        75,552  

Kalbe Farma Tbk PT

      387,100        54,253  

Sichuan Kelun Pharmaceutical Co., Ltd. – Class A

      284,700        1,178,952  

Sino Biopharmaceutical Ltd.

      23,000        12,891  
      

 

 

 
         1,403,613  
      

 

 

 
         1,792,687  
      

 

 

 

Real Estate – 0.3%

      

Diversified REITs – 0.1%

      

Fibra Uno Administracion SA de CV

      53,500        74,906  
      

 

 

 

Real Estate Management & Development – 0.2%

      

China Aoyuan Group Ltd.(a)(b)(c)

      411,000        57,297  

China Resources Land Ltd.

      60,000        273,230  

Hopson Development Holdings Ltd.(a)

      862        788  
      

 

 

 
         331,315  
      

 

 

 
         406,221  
      

 

 

 

Total Common Stocks
(cost $67,241,892)

         73,582,775  
      

 

 

 

 

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PORTFOLIO OF INVESTMENTS (continued)

 

Company         Principal
Amount
(000)
     U.S. $ Value  

 

 

FIXED INCOME – 35.1%

      

Sovereign Bonds – 21.5%

      

Abu Dhabi Government International Bond
3.125%, 09/30/2049(e)

    U.S.$       390      $ 292,012  

Angolan Government International Bond
8.25%, 05/09/2028(e)

      207        183,971  

9.125%, 11/26/2049(e)

      1,050        813,750  

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

      804        231,257  

1.00%, 07/09/2029

      236        65,095  

1.50%, 07/09/2035

      606        156,128  

3.50%, 07/09/2041

      210        58,480  

3.875%, 01/09/2038

      1,019        314,777  

Bahrain Government International Bond
6.00%, 09/19/2044(e)

      210        162,199  

Chile Government International Bond
2.75%, 01/31/2027

      585        550,375  

3.10%, 01/22/2061

      427        278,030  

Colombia Government International Bond
3.875%, 02/15/2061

      200        115,475  

4.125%, 02/22/2042

      403        260,539  

5.00%, 06/15/2045

      502        351,494  

7.50%, 02/02/2034

      350        343,525  

Costa Rica Government International Bond
6.55%, 04/03/2034(e)

      361        362,128  

Dominican Republic International Bond
4.875%, 09/23/2032(e)

      865        733,520  

5.875%, 01/30/2060(e)

      346        262,592  

6.40%, 06/05/2049(e)

      364        302,871  

8.625%, 04/20/2027(e)

      243        253,145  

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

      446        133,410  

2.50%, 07/31/2035(e)

      1,643        543,466  

5.50%, 07/31/2030(e)

      461        213,514  

Egypt Government International Bond
5.25%, 10/06/2025(e)

      288        226,944  

7.60%, 03/01/2029(e)

      302        209,852  

7.903%, 02/21/2048(e)

      511        281,465  

8.15%, 11/20/2059(e)

      305        168,093  

8.50%, 01/31/2047(e)

      305        176,671  

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

      122        66,795  

7.625%, 02/01/2041(e)

      452        207,920  

7.65%, 06/15/2035(e)

      57        26,505  

8.625%, 02/28/2029(e)

      219        115,523  

 

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AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    27


 

PORTFOLIO OF INVESTMENTS (continued)

 

Company       Principal
Amount
(000)
     U.S. $ Value  

 

 

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

  U.S.$     200      $ 152,163  

Ghana Government International Bond
7.875%, 02/11/2035(a)(e)(g)

      200        68,475  

8.627%, 06/16/2049(a)(f)(g)

      279        90,553  

8.95%, 03/26/2051(a)(e)(g)

      266        87,996  

Guatemala Government Bond
4.375%, 06/05/2027(e)

      401        384,910  

4.90%, 06/01/2030(e)

      435        413,603  

6.125%, 06/01/2050(e)

      200        188,663  

Hungary Government International Bond
2.125%, 09/22/2031(e)

      677        519,301  

5.25%, 06/16/2029(e)

      295        288,731  

5.50%, 06/16/2034(e)

      223        215,195  

6.75%, 09/25/2052(e)

      200        206,500  

Indonesia Government International Bond
3.85%, 10/15/2030

      315        299,801  

Israel Government International Bond
4.50%, 01/17/2033

      334        331,562  

Ivory Coast Government International Bond
6.625%, 03/22/2048(e)

  EUR     100        75,102  

Jamaica Government International Bond
8.00%, 03/15/2039

  U.S.$     208        250,328  

Kazakhstan Government International Bond
6.50%, 07/21/2045(e)

      330        342,024  

Lebanon Government International Bond
6.00%, 01/27/2023(a)(e)(h)

      36        2,212  

6.10%, 10/04/2022(a)(e)(h)

      216        13,770  

6.65%, 04/22/2024(a)(e)(g)

      57        3,502  

6.85%, 03/23/2027(a)(e)(g)

      481        30,664  

Series G
1.00%, 11/27/2026(a)(e)(g)

      170        10,838  

6.20%, 02/26/2025(a)(e)(g)

      206        13,133  

Mexico Government International Bond
3.771%, 05/24/2061

      840        565,845  

Morocco Government International Bond
2.375%, 12/15/2027(e)

      251        220,880  

6.50%, 09/08/2033(e)

      258        265,740  

Nigeria Government International Bond
6.125%, 09/28/2028(e)

      209        162,498  

6.50%, 11/28/2027(e)

      222        180,375  

7.143%, 02/23/2030(e)

      200        152,000  

7.375%, 09/28/2033(e)

      363        255,915  

7.696%, 02/23/2038(e)

      240        159,720  

8.25%, 09/28/2051(e)

      439        289,740  

8.375%, 03/24/2029(e)

      207        170,258  

 

28    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO OF INVESTMENTS (continued)

 

Company       Principal
Amount
(000)
     U.S. $ Value  

 

 

Oman Government International Bond
6.75%, 01/17/2048(e)

  U.S.$     386      $ 365,252  

Panama Bonos del Tesoro
Series DOM
3.362%, 06/30/2031

      439        367,388  

Panama Government International Bond
3.87%, 07/23/2060

      570        372,210  

6.40%, 02/14/2035

      428        445,334  

6.853%, 03/28/2054

      200        205,125  

Panama Notas del Tesoro
3.75%, 04/17/2026

      68        64,889  

Paraguay Government International Bond
3.849%, 06/28/2033(e)

      223        194,818  

4.95%, 04/28/2031(e)

      255        245,724  

5.00%, 04/15/2026(e)

      149        147,585  

Perusahaan Penerbit SBSN Indonesia III
4.15%, 03/29/2027(e)

      200        197,272  

Peruvian Government International Bond
2.78%, 12/01/2060

      363        215,713  

3.23%, 07/28/2121

      210        124,989  

5.625%, 11/18/2050

      305        307,154  

Philippine Government International Bond
3.20%, 07/06/2046

      296        219,443  

3.229%, 03/29/2027

      225        214,619  

4.20%, 03/29/2047

      858        739,113  

Qatar Government International Bond
4.40%, 04/16/2050(e)

      864        797,040  

5.103%, 04/23/2048(e)

      239        242,585  

Republic of Azerbaijan International Bond
3.50%, 09/01/2032(e)

      315        265,840  

Republic of Poland Government International Bond
4.875%, 10/04/2033

      238        236,984  

5.50%, 11/16/2027

      223        232,134  

5.50%, 04/04/2053

      88        88,770  

Republic of South Africa Government International Bond
4.85%, 09/30/2029

      504        451,080  

5.75%, 09/30/2049

      491        359,657  

5.875%, 04/20/2032

      370        335,312  

Romanian Government International Bond
3.00%, 02/14/2031(e)

      174        142,898  

3.625%, 03/27/2032(e)

      410        344,913  

4.00%, 02/14/2051(e)

      210        145,793  

5.25%, 11/25/2027(e)

      362        356,117  

Saudi Government International Bond
3.45%, 02/02/2061(e)

      235        166,013  

5.00%, 01/18/2053(e)

      313        290,660  

5.25%, 01/16/2050(e)

      401        388,293  

 

abfunds.com  

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    29


 

PORTFOLIO OF INVESTMENTS (continued)

 

Company         Principal
Amount
(000)
     U.S. $ Value  

 

 

Senegal Government International Bond
4.75%, 03/13/2028(e)

    EUR       230      $ 207,031  

6.25%, 05/23/2033

    U.S.$       400        318,000  

6.75%, 03/13/2048(e)

      264        180,840  

Serbia International Bond
6.50%, 09/26/2033(e)

      201        199,493  

Sri Lanka Government International Bond
6.85%, 11/03/2025(a)(e)(g)

      215        77,843  

7.85%, 03/14/2029(a)(e)(g)

      578        201,641  

Turkey Government International Bond
4.875%, 04/16/2043

      659        435,764  

5.875%, 06/26/2031

      330        273,900  

6.125%, 10/24/2028

      270        242,662  

Ukraine Government International Bond
6.75%, 06/20/2028(e)

    EUR       173        30,640  

6.876%, 05/21/2031(e)

    U.S.$       484        83,006  

7.375%, 09/25/2034(e)

      281        48,051  

7.75%, 09/01/2025(e)

      343        68,236  

7.75%, 09/01/2026(e)

      371        66,966  

7.75%, 09/01/2029(e)

      295        53,524  

Uruguay Government International Bond
4.375%, 01/23/2031

      149        147,666  

4.975%, 04/20/2055

      62        61,300  

5.10%, 06/18/2050

      194        194,557  

7.875%, 01/15/2033

      95        117,658  

Venezuela Government International Bond
11.95%, 08/05/2031(a)(e)(g)

      265        28,566  

12.75%, 08/23/2022(a)(e)(h)

      564        60,923  

Zambia Government International Bond
8.97%, 07/30/2027(a)(e)(g)

      287        126,998  
      

 

 

 

Total Sovereign Bonds
(cost $32,275,779)

         27,369,500  
      

 

 

 

Quasi-Sovereign Bonds – 6.5%

 

Comision Federal de Electricidad
4.677%, 02/09/2051(e)

      200        132,788  

5.00%, 09/29/2036(e)

      224        187,655  

Corp. Nacional del Cobre de Chile
3.00%, 09/30/2029(e)

      540        480,026  

5.125%, 02/02/2033(e)

      200        200,913  

DP World Ltd./United Arab Emirates
4.70%, 09/30/2049(e)

      410        355,675  

DP World Salaam
6.00%, 10/01/2025(e)(i)

      313        311,239  

Eskom Holdings SOC Ltd.
6.75%, 08/06/2023(e)

      363        358,757  

 

30    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO OF INVESTMENTS (continued)

 

Company         Principal
Amount
(000)
     U.S. $ Value  

 

 

Export-Import Bank of China (The)
4.00%, 11/28/2047(e)

    U.S.$       593      $ 537,888  

Gaci First Investment Co.
5.00%, 10/13/2027(e)

      536        544,360  

KazMunayGas National Co. JSC
5.75%, 04/19/2047(e)

      200        155,500  

6.375%, 10/24/2048(e)

      200        165,750  

Lamar Funding Ltd.
3.958%, 05/07/2025(e)

      364        345,413  

NAK Naftogaz Ukraine via Kondor Finance PLC
7.375%, 09/15/2022(a)(f)(h)

      200        54,350  

7.625%, 11/08/2026(a)(f)(g)

      200        39,913  

Oil and Gas Holding Co. BSCC (The)
7.50%, 10/25/2027(e)

      259        264,180  

7.625%, 11/07/2024(e)

      200        203,000  

Pertamina Persero PT
2.30%, 02/09/2031(e)

      1,055        869,172  

Petroleos de Venezuela SA
5.375%, 04/12/2027(a)(e)(g)

      226        10,157  

6.00%, 11/15/2026(a)(e)(g)

      220        9,856  

9.00%, 11/17/2021(a)(h)

      128        6,101  

Petroleos Mexicanos
6.50%, 03/13/2027

      383        346,079  

6.70%, 02/16/2032

      704        558,131  

6.75%, 09/21/2047

      326        210,677  

6.95%, 01/28/2060

      525        336,722  

QatarEnergy
3.30%, 07/12/2051(e)

      706        523,234  

Sinochem Offshore Capital Co., Ltd.
2.375%, 09/23/2031(e)

      200        157,600  

Sinopec Group Overseas Development 2018 Ltd.
2.70%, 05/13/2030(e)

      347        311,172  

State Agency of Roads of Ukraine
6.25%, 06/24/2030(f)

      360        61,493  

State Oil Co. of the Azerbaijan Republic
6.95%, 03/18/2030(e)

      321        327,821  

State Savings Bank of Ukraine Via SSB #1 PLC
9.625%, 03/20/2025(e)

      48        33,600  

Transnet SOC Ltd.
8.25%, 02/06/2028(e)

      204        202,470  
      

 

 

 

Total Quasi-Sovereign Bonds
(cost $9,932,100)

         8,301,692  
      

 

 

 

 

abfunds.com  

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    31


 

PORTFOLIO OF INVESTMENTS (continued)

 

Company       Principal
Amount
(000)
     U.S. $ Value  

 

 

Corporate Bonds – 4.6%

 

Adani Green Energy Ltd.
4.375%, 09/08/2024(e)

  U.S.$     200      $ 171,537  

Alfa Desarrollo SpA
4.55%, 09/27/2051(e)

      363        263,320  

Braskem Idesa SAPI
6.99%, 02/20/2032(e)

      219        163,155  

Braskem Netherlands Finance BV
4.50%, 01/31/2030(e)

      200        168,700  

BRF SA
4.875%, 01/24/2030(e)

      200        164,600  

Cometa Energia SA de CV
6.375%, 04/24/2035(e)

      343        323,903  

CSN Resources SA
4.625%, 06/10/2031(e)

      200        153,190  

Ecopetrol SA
5.875%, 11/02/2051

      216        143,910  

6.875%, 04/29/2030

      344        314,774  

8.875%, 01/13/2033

      91        91,796  

Embraer Netherlands Finance BV
5.40%, 02/01/2027

      79        76,097  

Empresas Publicas de Medellin ESP
4.25%, 07/18/2029(e)

      200        151,287  

8.375%, 11/08/2027

  COP     418,000        69,702  

GNL Quintero SA
4.634%, 07/31/2029(e)

  U.S.$     153        146,679  

Gran Tierra Energy International Holdings Ltd.
6.25%, 02/15/2025(e)

      200        170,037  

Greenko Dutch BV
3.85%, 03/29/2026(e)

      188        169,341  

Huarong Finance II Co., Ltd.
4.625%, 06/03/2026(e)

      220        185,350  

Hunt Oil Co. of Peru LLC Sucursal Del Peru
6.375%, 06/01/2028(e)

      175        164,236  

India Clean Energy Holdings
4.50%, 04/18/2027(e)

      200        160,850  

Iochpe-Maxion Austria GmbH/Maxion Wheels de Mexico S de RL de CV
5.00%, 05/07/2028(e)

      200        171,350  

Leviathan Bond Ltd.
6.75%, 06/30/2030(e)

      87        81,379  

Lima Metro Line 2 Finance Ltd.
4.35%, 04/05/2036(e)

      316        276,685  

MARB BondCo PLC
3.95%, 01/29/2031(e)

      200        151,470  

Medco Oak Tree Pte Ltd.
7.375%, 05/14/2026(e)

      200        191,000  

 

32    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO OF INVESTMENTS (continued)

 

Company       Principal
Amount
(000)
     U.S. $ Value  

 

 

Melco Resorts Finance Ltd.
5.75%, 07/21/2028(e)

  U.S.$     200      $ 169,200  

Minejesa Capital BV
5.625%, 08/10/2037(e)

      215        167,404  

Natura Cosmeticos SA
4.125%, 05/03/2028(e)

      200        162,125  

Odebrecht Holdco Finance Ltd.
Zero Coupon, 09/10/2058(e)

      132        331  

OEC Finance Ltd.
7.125%, 12/26/2046(e)(j)

      132        4,237  

Saudi Arabian Oil Co.
2.25%, 11/24/2030(e)

      395        332,742  

SierraCol Energy Andina LLC
6.00%, 06/15/2028(e)

      200        154,287  

Studio City Finance Ltd.
6.50%, 01/15/2028(e)

      200        167,250  

Times China Holdings Ltd.
6.20%, 03/22/2026(a)(e)(g)

      200        29,413  

Tonon Luxembourg SA
6.50%, 10/31/2024(a)(f)(g)

      105        11  

TransJamaican Highway Ltd.
5.75%, 10/10/2036(e)

      151        125,036  

Tullow Oil PLC
10.25%, 05/15/2026(e)

      224        171,920  

Vale Overseas Ltd.
3.75%, 07/08/2030

      150        133,913  

Virgolino de Oliveira Finance SA
11.75%, 02/09/2022(a)(b)(c)(f)(h)

      202        20  

Volcan Cia Minera SAA
4.375%, 02/11/2026(e)

      85        70,221  
      

 

 

 

Total Corporate Bonds
(cost $6,861,688)

         5,812,458  
      

 

 

 
      

Emerging Markets - Treasuries – 2.3%

 

Brazil Notas do Tesouro Nacional
Series F
10.00%, 01/01/2031

  BRL     3,210        554,198  

Series NTNF
10.00%, 01/01/2029

      6,740        1,198,287  

Dominican Republic International Bond
13.625%, 02/03/2033(e)

  DOP     14,250        293,459  

Republic of South Africa Government Bond
Series 2030
8.00%, 01/31/2030

  ZAR     4,729        241,838  

Series 2032
8.25%, 03/31/2032

      8,487        415,552  

 

abfunds.com  

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    33


 

PORTFOLIO OF INVESTMENTS (continued)

 

Company         Principal
Amount
(000)
     U.S. $ Value  

 

 

Series 2035
8.875%, 02/28/2035

    ZAR       3,886      $ 186,914  
      

 

 

 

Total Emerging Markets – Treasuries
(cost $2,845,206)

         2,890,248  
      

 

 

 
      

Treasury Bonds – 0.2%

 

Mexican Bonos
Series M
8.00%, 11/07/2047
(cost $259,959)

    MXN       5,450        270,009  
      

 

 

 

Total Fixed Income
(cost $52,174,732)

         44,643,907  
      

 

 

 
          Shares         

EQUITY LINKED NOTES – 0.8%

      

Information Technology – 0.8%

      

IT Services – 0.8%

      

FPT Corp., Macquarie Bank Ltd., expiring 07/15/2024(a)
(cost $384,227)

      300,648        1,014,126  
      

 

 

 
      

INVESTMENT COMPANIES – 0.1%

 

Funds and Investment Trusts – 0.1%

 

DCVFMVN30 ETF Fund(a)(k)
(cost $97,798)

      239,030        188,019  
      

 

 

 
          Notional
Amount
        

PURCHASED OPTIONS - PUTS – 0.0%

      

Swaptions – 0.0%

      

OTC - 1 Year Interest Rate Swap
Expiration: Aug 2023; Contracts: 4,920,000; Exercise Rate: 3.67%;
Counterparty: Morgan Stanley Capital Services LLC(a)

    USD       4,920,000        38,141  

OTC - 1 Year Interest Rate Swap
Expiration: Jun 2023; Contracts: 2,690,000; Exercise Rate: 4.25%;
Counterparty: Morgan Stanley Capital Services LLC(a)

      2,690,000        1,144  
      

 

 

 

Total Purchased Options
(premiums paid $97,011)

         39,285  
      

 

 

 

 

34    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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PORTFOLIO OF INVESTMENTS (continued)

 

Company             
Notional
Amount
     U.S. $ Value  

 

 

SHORT-TERM INVESTMENTS – 3.5%

      

Investment Companies – 2.8%

      

AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 4.75%(k)(l)(m)
(cost $3,493,738)

    USD       3,493,738      $ 3,493,738  
      

 

 

 
          Principal
Amount
(000)
        

Time Deposits – 0.4%

 

ANZ Bank, Hong Kong
2.20%, 04/03/2023

    AUD       14        9,500  

BBH, Grand Cayman
0.00%, 04/03/2023

    CHF       1        1,360  

1.58%, 04/03/2023

    NOK       2        166  

1.74%, 04/03/2023

    SEK       9        896  

3.32%, 04/03/2023

    CAD       4        3,011  

5.79%, 04/03/2023

    ZAR       538        30,196  

Citibank, London
1.91%, 04/03/2023

    EUR       19        20,855  

Citibank, New York
4.18%, 04/03/2023

    U.S.$       388        388,097  

Hong Kong & Shanghai Bank, Hong Kong
0.92%, 04/03/2023

    HKD       68        8,679  

Hong Kong & Shanghai Bank, Singapore
2.21%, 04/03/2023

    SGD       1        685  

SEB, Stockholm
3.15%, 04/03/2023

    GBP       7        8,132  

Sumitomo, Tokyo
(0.53)%, 04/03/2023

    JPY       4,618        34,780  
      

 

 

 

Total Time Deposits
(cost $506,357)

         506,357  
      

 

 

 
      

Treasury Bills – 0.3%

 

Egypt Treasury Bills
Series 364D
Zero Coupon, 04/11/2023

    EGP       1,975        63,623  

Zero Coupon, 07/18/2023

      3,450        105,605  

Zero Coupon, 08/08/2023

      6,150        185,878  
      

 

 

 

Total Treasury Bills
(cost $369,848)

         355,106  
      

 

 

 

Total Short-Term Investments
(cost $4,369,943)

         4,355,201  
      

 

 

 

Total Investments Before Security Lending Collateral for Securities Loaned – 97.4%
(cost $124,365,603)

         123,823,313  
  

 

 

 

 

abfunds.com  

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    35


 

PORTFOLIO OF INVESTMENTS (continued)

 

Company             
    
Shares
     U.S. $ Value  

 

 

INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 1.3%

      

Investment Companies – 1.3%

      

AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 4.75%(k)(l)(m)
(cost $1,653,942)

      1,653,942      $ 1,653,942  
      

 

 

 

Total Investments – 98.7%
(cost $126,019,545)

         125,477,255  

Other assets less liabilities – 1.3%

         1,639,311  
      

 

 

 

Net Assets – 100.0%

       $ 127,116,566  
      

 

 

 

FUTURES (see Note D)

 

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

Purchased Contracts

 

FTSE China A50 Index Futures

     130        April 2023      $     1,729,337      $ 20,487  

Hang Seng Index Futures

     57        April 2023        2,537,082        122,720  

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

     20        June 2023        2,298,438        64,164  

Sold Contracts

           

MSCI Emerging Markets Index Futures

     90        June 2023        4,479,750            (238,829
           

 

 

 
            $ (31,458
           

 

 

 

FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)

 

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

Bank of America, NA

  TRY     14,907     USD     766       04/13/2023     $ (3,855

Bank of America, NA

  USD     1,809     ZAR     32,634       04/20/2023       20,839  

Bank of America, NA

  KRW     1,746,304     USD     1,341       04/26/2023       2,245  

Bank of America, NA

  USD     686     HUF     255,367       04/27/2023       37,726  

Bank of America, NA

  CLP       1,682,628     USD     2,065       05/17/2023       (41,077

Bank of America, NA

  PEN     5,473     USD     1,435       05/17/2023       (15,174

Bank of America, NA

  TWD     23,987     USD     793       06/15/2023       913  

Barclays Bank PLC

  BRL     12,925     USD     2,544       04/04/2023       (5,998

Barclays Bank PLC

  USD     2,486     BRL     12,925       04/04/2023       64,101  

Barclays Bank PLC

  USD     1,210     IDR       18,512,143       04/13/2023       28,498  

Barclays Bank PLC

  KRW     2,877,533     USD     2,333       04/26/2023           127,828  

Barclays Bank PLC

  PHP     172,734     USD     3,185       04/27/2023       2,924  

Barclays Bank PLC

  USD     3,142     PHP     171,933       04/27/2023       25,767  

Barclays Bank PLC

  BRL     12,303     USD     2,357       05/03/2023       (58,372

Barclays Bank PLC

  INR     167,479     USD     2,014       06/22/2023       (16,353

 

36    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

  abfunds.com


 

PORTFOLIO OF INVESTMENTS (continued)

 

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

Brown Brothers Harriman & Co.

  USD     128     ZAR     2,391       04/20/2023     $ 5,621  

Brown Brothers Harriman & Co.

  ZAR     10,047     USD     548       04/20/2023       (15,607

Brown Brothers Harriman & Co.

  HUF     67,196     USD     182       04/27/2023       (8,268

Brown Brothers Harriman & Co.

  THB     19,194     USD     562       04/27/2023       (302

Brown Brothers Harriman & Co.

  USD     1,741     THB     59,500       04/27/2023       3,104  

Brown Brothers Harriman & Co.

  MXN     6,431     USD     340       05/25/2023       (13,274

Deutsche Bank AG

  PLN     5,353     USD     1,227       04/27/2023       (11,769

Deutsche Bank AG

  USD     2,133     COP       10,323,999       05/17/2023       64,436  

Deutsche Bank AG

  USD     1,423     MXN     26,886       05/25/2023       54,449  

Deutsche Bank AG

  USD     1,710     TWD     51,513       06/15/2023       (9,587

Goldman Sachs Bank USA

  CNH     46,807     USD     6,886       04/20/2023       67,291  

Goldman Sachs Bank USA

  HUF     410,202     USD     1,117       04/27/2023       (44,955

Goldman Sachs Bank USA

  USD     2,748     HUF     1,004,281       04/27/2023       96,855  

Goldman Sachs Bank USA

  USD     7,218     INR     596,138       06/22/2023       8,903  

HSBC Bank USA

  BRL     12,925     USD     2,500       04/04/2023       (50,162

HSBC Bank USA

  USD     2,544     BRL     12,925       04/04/2023       5,998  

JPMorgan Chase Bank, NA

  IDR       31,441,334     USD     2,090       04/13/2023       (13,343

JPMorgan Chase Bank, NA

  USD     2,708     IDR     41,243,833       04/13/2023       51,527  

JPMorgan Chase Bank, NA

  USD     513     TRY     9,889       04/13/2023       (2,220

Morgan Stanley Capital Services LLC

  IDR     28,314,642     USD     1,877       04/13/2023           (17,771

Morgan Stanley Capital Services LLC

  USD     1,454     CNH     9,977       04/20/2023       (756

Morgan Stanley Capital Services LLC

  USD     1,228     KRW     1,511,197       04/26/2023       (70,135

Morgan Stanley Capital Services LLC

  CZK     22,680     USD     1,033       04/27/2023       (14,264

Morgan Stanley Capital Services LLC

  COP       2,124,191     USD     437       05/17/2023       (14,621

Morgan Stanley Capital Services LLC

  USD     1,197     MYR     5,318       06/22/2023       15,882  

Morgan Stanley Capital Services LLC

  USD     1,673     IDR       25,202,621       07/12/2023       8,905  

UBS AG

  KRW     874,807     USD     672       04/26/2023       1,288  
           

 

 

 
            $     267,237  
           

 

 

 

 

abfunds.com  

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    37


 

PORTFOLIO OF INVESTMENTS (continued)

 

INTEREST RATE WRITTEN SWAPTIONS (see Note D)

 

Description   Index   CounterParty     Strike
Rate
    Expiration
Date
    Notional
Amount
(000)
    Premiums
Received
    Market
Value
 

Put

             

OTC – 1 Year Interest Rate Swap

  1 Day SOFR    


Morgan
Stanley
Capital
Services LLC
 
 
 
 
    3.92     08/15/2023     USD   4,920     $     52,166     $     (20,534

CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)

 

Description   Fixed
Rate
(Pay)
Receive
    Payment
Frequency
    Implied
Credit
Spread at
March 31,
2023
    Notional
Amount
(000)
    Market
Value
    Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Buy Contracts

 

CDX-EM Series 39, 5 Year Index, 06/20/2028*

    (1.00 )%      Quarterly       1.00     USD         9,098     $   520,406     $   673,711     $   (153,305

People’s Republic of China, 7.500%, 10/28/2027, 12/20/2027*

    (1.00     Quarterly       1.00       USD       240       (3,290     (3,516     226  

Sale Contracts

 

Brazilian Government International Bond, 4.250%, 01/07/2025, 06/20/2028*

    1.00       Quarterly       1.00       USD       160       (9,172     (9,366     194  

Colombia Government International Bond, 10.375%, 01/28/2033, 06/20/2028*

    1.00       Quarterly       1.00       USD       180       (14,595     (15,210     615  

Indonesia Government International Bond, 4.125%, 01/15/2025, 06/20/2028*

    1.00       Quarterly       1.00       USD       310       900       1,575       (675

People’s Republic of China, 7.500%, 10/28/2027, 12/20/2027*

    1.00       Quarterly       1.00       USD       240       3,290       1,804       1,486  

 

38    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

  abfunds.com


 

PORTFOLIO OF INVESTMENTS (continued)

 

Description   Fixed
Rate
(Pay)
Receive
    Payment
Frequency
    Implied
Credit
Spread at
March 31,
2023
    Notional
Amount
(000)
    Market
Value
    Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

People’s Republic of China, 7.500%, 10/28/2027, 06/20/2028*

    1.00 %       Quarterly       1.00 %       USD         230     $ 2,838     $ 3,431     $ (593

South Africa Government International Bond, 5.875%, 09/16/2025, 06/20/2028*

    1.00       Quarterly       1.00       USD       230       (17,806     (17,891     85  

Turkey Government International Bond, 11.875%, 01/15/2030, 06/20/2028*

    1.00       Quarterly       1.00       USD       856       (145,521     (148,812     3,291  

United Mexican States, 4.150%, 03/28/2027, 06/20/2028*

    1.00       Quarterly       1.00       USD       150       (1,339     (1,655     316  
           

 

 

   

 

 

   

 

 

 
            $   335,711     $   484,071     $   (148,360
           

 

 

   

 

 

   

 

 

 

 

*

Termination date

CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)

 

                Rate Type                      
Notional
Amount
(000)
    Termination
Date
    Payments
made
by the
Fund
  Payments
received
by the
Fund
  Payment
Frequency Paid/
Received
  Market
Value
    Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 
USD       4,290       05/13/2032     1 Day SOFR   1.670%   Annual   $   (571,287   $   – 0  –    $   (571,287

TOTAL RETURN SWAPS (see Note D)

 

Counterparty &
Referenced Obligation
  Rate
Paid/
Received
  Payment
Frequency
  Current
Notional
(000)
    Maturity
Date
    Unrealized
Appreciation
(Depreciation)
 

Receive Total Return on Reference Obligation

 

Goldman Sachs International

 

MSCI Emerging Markets Growth

  FedFundEffective
plus 0.69%
  Maturity     USD       11,352       06/15/2023     $   541,679  

 

(a)

Non-income producing security.

 

(b)

Fair valued by the Adviser.

 

abfunds.com  

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    39


 

PORTFOLIO OF INVESTMENTS (continued)

 

(c)

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

 

(d)

Represents entire or partial securities out on loan. See Note E for securities lending information.

 

(e)

Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At March 31, 2023, the aggregate market value of these securities amounted to $29,885,966 or 23.5% of net assets.

 

(f)

Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.19% of net assets as of March 31, 2023, are considered illiquid and restricted. Additional information regarding such securities follows:

 

144A/Restricted & Illiquid
Securities
  Acquisition
Date
    Cost     Market
Value
    Percentage of
Net Assets
 

Ghana Government International Bond
8.627%, 06/16/2049

    01/17/2023     $ 100,635     $ 90,553       0.07

NAK Naftogaz Ukraine via Kondor Finance PLC
7.375%, 09/15/2022

    12/08/2021           200,000           54,350       0.04

NAK Naftogaz Ukraine via Kondor Finance PLC
7.625%, 11/08/2026

    11/04/2019       200,000       39,913       0.03

PhosAgro PJSC (GDR)

    09/06/2019       89,757       – 0  –      0.00

Polyus PJSC (GDR)

    09/06/2019       4,388       – 0  –      0.00

State Agency of Roads of Ukraine
6.25%, 06/24/2030

    06/17/2021       360,000       61,493       0.05

Tonon Luxembourg SA
6.50%, 10/31/2024

    05/03/2019       199,358       11       0.00

Virgolino de Oliveira Finance SA
11.75%, 02/09/2022

    07/12/2013       172,629       20       0.00

 

(g)

Defaulted.

 

(h)

Defaulted matured security.

 

(i)

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

 

(j)

Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at March 31, 2023.

 

(k)

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.

 

(l)

Affiliated investments.

 

(m)

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

 

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PORTFOLIO OF INVESTMENTS (continued)

 

Currency Abbreviation:

 

AUD – Australian Dollar

BRL – Brazilian Real

CAD – Canadian Dollar

CHF – Swiss Franc

CLP – Chilean Peso

CNH – Chinese Yuan Renminbi (Offshore)

COP – Colombian Peso

CZK – Czech Koruna

DOP – Dominican Peso

EGP – Egyptian Pound

EUR – Euro

GBP – Great British Pound

HKD – Hong Kong Dollar

HUF – Hungarian Forint

IDR – Indonesian Rupiah

 

INR – Indian Rupee

JPY – Japanese Yen

KRW – South Korean Won

MXN – Mexican Peso

MYR – Malaysian Ringgit

NOK – Norwegian Krone

PEN – Peruvian Sol

PHP – Philippine Peso

PLN – Polish Zloty

SEK – Swedish Krona

SGD – Singapore Dollar

THB – Thailand Baht

TRY – Turkish Lira

TWD – New Taiwan Dollar

USD – United States Dollar

ZAR – South African Rand

Glossary:

ADR – American Depositary Receipt

CBT – Chicago Board of Trade

CDX-EM – Emerging Market Credit Default Swap Index

ETF – Exchange Traded Fund

FedFundEffective – Federal Funds Effective Rate

FTSE – Financial Times Stock Exchange

GDR – Global Depositary Receipt

JSC – Joint Stock Company

KSC – Kuwait Shareholding Company

MSCI – Morgan Stanley Capital International

OTC – Over-the-Counter

PJSC – Public Joint Stock Company

QPSC – Qualified Personal Service Corporation

SOFR – Secured Overnight Financing Rate

See notes to financial statements.

 

abfunds.com  

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    41


 

STATEMENT OF ASSETS & LIABILITIES

March 31, 2023

 

Assets   

Investments in securities, at value

  

Unaffiliated issuers (cost $120,871,865)

   $ 120,329,575 (a) 

Affiliated issuers (cost $5,147,680—including investment of cash collateral for securities loaned of $1,653,942)

     5,147,680  

Cash

     1,832  

Cash collateral due from broker

     1,154,645  

Foreign currencies, at value (cost $1,079,623)

     1,084,617  

Unaffiliated dividends and interest receivable

     1,192,854  

Receivable for investment securities sold and foreign currency transactions

     1,007,508  

Unrealized appreciation on forward currency exchange contracts

     695,100  

Unrealized appreciation on total return swaps

     541,679  

Receivable for variation margin on futures

     201,009  

Receivable for newly entered credit default swaps

     191,760  

Receivable for terminated credit default swaps

     46,137  

Receivable for capital stock sold

     39,966  

Affiliated dividends receivable

     7,350  

Receivable from Adviser

     3,779  
  

 

 

 

Total assets

     131,645,491  
  

 

 

 
Liabilities   

Written swaptions, at value (premiums received $52,166)

     20,534  

Payable for collateral received on securities loaned

     1,653,942  

Payable for investment securities purchased and foreign currency transactions

     881,451  

Cash collateral due to broker

     710,000  

Unrealized depreciation on forward currency exchange contracts

     427,863  

Payable for capital gains taxes

     274,704  

Payable for capital stock redeemed

     149,438  

Payable for terminated credit default swaps

     98,837  

Administrative fee payable

     25,513  

Payable for newly entered credit default swaps

     11,226  

Payable for variation margin on centrally cleared swaps

     4,841  

Transfer Agent fee payable

     3,524  

Distribution fee payable

     1,056  

Accrued expenses

     265,996  
  

 

 

 

Total liabilities

     4,528,925  
  

 

 

 

Net Assets

   $     127,116,566  
  

 

 

 
Composition of Net Assets   

Capital stock, at par

   $ 1,659  

Additional paid-in capital

     159,732,732  

Accumulated loss

     (32,617,825
  

 

 

 
   $ 127,116,566  
  

 

 

 

See notes to financial statements.

 

42    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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STATEMENT OF ASSETS & LIABILITIES (continued)

 

Net Asset Value Per Share—33 billion shares of capital stock authorized, $.0001 par value

 

Class   Net Assets        Shares
Outstanding
       Net Asset
Value
 

 

 
A   $ 2,577,416          337,095        $ 7.65

 

 
C   $ 452,192          59,438        $ 7.61  

 

 
Advisor   $   120,674,689          15,748,379        $   7.66  

 

 
R   $ 258,960          33,603        $ 7.71  

 

 
K   $ 146,259          19,052        $ 7.68  

 

 
I   $ 213,041          28,095        $ 7.58  

 

 
Z   $ 2,794,009          367,379        $ 7.61  

 

 

 

(a)

Includes securities on loan with a value of $1,610,415 (see Note E).

 

*

The maximum offering price per share for Class A shares was $7.99, which reflects a sales charge of 4.25%.

See notes to financial statements.

 

abfunds.com  

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    43


 

STATEMENT OF OPERATIONS

Year Ended March 31, 2023

 

Investment Income     

Interest

   $     3,705,647    

Dividends

    

Unaffiliated issuers (net of foreign taxes withheld of $526,905)

     3,577,738    

Affiliated issuers

     51,850    

Securities lending income

     20,213     $     7,355,448  
  

 

 

   
Expenses     

Advisory fee (see Note B)

     1,118,675    

Transfer agency—Class A

     944    

Transfer agency—Class C

     271    

Transfer agency—Advisor Class

     49,860    

Transfer agency—Class R

     648    

Transfer agency—Class K

     303    

Transfer agency—Class I

     23    

Transfer agency—Class Z

     661    

Distribution fee—Class A

     6,105    

Distribution fee—Class C

     5,779    

Distribution fee—Class R

     1,245    

Distribution fee—Class K

     379    

Custody and accounting

     284,512    

Registration fees

     106,478    

Audit and tax

     98,704    

Administrative

     92,085    

Legal

     42,276    

Printing

     34,071    

Directors’ fees

     18,757    

Miscellaneous

     33,041    
  

 

 

   

Total expenses before interest expense

     1,894,817    

Interest expense

     13,409    
  

 

 

   

Total expenses

     1,908,226    

Less: expenses waived and reimbursed by the Adviser (see Note B and Note E)

     (579,273  
  

 

 

   

Net expenses

       1,328,953  
    

 

 

 

Net investment income

       6,026,495  
    

 

 

 

See notes to financial statements.

 

44    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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STATEMENT OF OPERATIONS (continued)

 

Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions      

Net realized gain (loss) on:

     

Investment transactions(a)

      $ (16,049,605

Forward currency exchange contracts

        1,689,389  

Futures

        (2,220,487

Swaps

        (3,114,334

Written swaptions

        54,085  

Foreign currency transactions

        (250,775

Net change in unrealized appreciation (depreciation) on:

     

Investments(b)

        (2,019,483

Forward currency exchange contracts

        (534,410

Futures

        341,302  

Swaps

        1,309,441  

Written swaptions

        (5,562

Foreign currency denominated assets and liabilities

        (4,710
     

 

 

 

Net loss on investment and foreign currency transactions

        (20,805,149
     

 

 

 

Contributions from Affiliates (see Note B)

        747  
     

 

 

 

Net Decrease in Net Assets from Operations

      $     (14,777,907
     

 

 

 

 

(a)

Net of foreign realized capital gains taxes of $22,968.

 

(b)

Net of decrease in accrued foreign capital gains taxes on unrealized gains of $26,569.

See notes to financial statements.

 

abfunds.com  

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    45


 

STATEMENT OF CHANGES IN NET ASSETS

 

    Year Ended
March 31,
2023
    Year Ended
March 31,
2022
 
Increase (Decrease) in Net Assets from Operations    

Net investment income

  $ 6,026,495     $ 6,231,886  

Net realized loss on investment and foreign currency transactions

    (19,891,727     (5,939,395

Net change in unrealized appreciation (depreciation) on investments and foreign currency denominated assets and liabilities

    (913,422     (24,371,723

Contributions from Affiliates (see Note B)

    747       – 0  – 
 

 

 

   

 

 

 

Net decrease in net assets from operations

    (14,777,907     (24,079,232
Distributions to Shareholders    

Class A

    (76,921     (113,878

Class C

    (14,846     (23,364

Advisor Class

    (4,344,437     (6,098,926

Class R

    (6,580     (8,398

Class K

    (4,692     (8,172

Class I

    (3,187     (9,913

Class Z

    (89,226     (111,256
Capital Stock Transactions    

Net decrease

    (9,041,411     (6,013,613
 

 

 

   

 

 

 

Total decrease

    (28,359,207     (36,466,752
Net Assets    

Beginning of period

    155,475,773       191,942,525  
 

 

 

   

 

 

 

End of period

  $     127,116,566     $     155,475,773  
 

 

 

   

 

 

 

See notes to financial statements.

 

46    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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NOTES TO FINANCIAL STATEMENTS

March 31, 2023

 

NOTE A

Significant Accounting Policies

AB Cap Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of 11 portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Emerging Markets Multi-Asset Portfolio (the “Fund”), a diversified portfolio. The Fund has authorized the issuance of Class A, Class B, Class C, Advisor Class, Class R, Class K, Class I, Class Z, Class T, Class 1, and Class 2 shares. Class B, Class T, Class 1, and Class 2 shares are not currently being offered. Class A shares are sold with a front-end sales charge of up to 4.25% for purchases not exceeding $1,000,000. With respect to purchases of $1,000,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Effective May 31, 2021, Class C shares automatically convert to Class A shares eight years after the end of the calendar month of purchase. Prior to May 31, 2021, Class C shares automatically converted to Class A shares 10 years after the end of the calendar month of purchase. Class R and Class K shares are sold without an initial or contingent deferred sales charge. Advisor Class and Class I shares are sold without an initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All eleven classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.

1. Security Valuation

Portfolio securities are valued at market value determined on the basis of market quotations or, if market quotations are not readily available or are unreliable, at “fair value” as determined in accordance with procedures approved by and under the oversight of the Company’s Board of Directors (the “Board”). Pursuant to these procedures, AllianceBernstein L.P. (the

 

abfunds.com  

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    47


 

NOTES TO FINANCIAL STATEMENTS (continued)

 

“Adviser”) serves as the Company’s valuation designee pursuant to Rule 2a-5 of the 1940 Act. In this capacity, the Adviser is responsible, among other things, for making all fair value determinations relating to the Company’s portfolio investments, subject to the Board’s oversight.

In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, the Adviser will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.

 

48    |    AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

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NOTES TO FINANCIAL STATEMENTS (continued)

 

Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.

2. Fair Value Measurements

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor

 

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AB EMERGING MARKETS MULTI-ASSET PORTFOLIO    |    49


 

NOTES TO FINANCIAL STATEMENTS (continued)

 

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 are 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.

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, 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 an exchange but trade in liquid markets, inputs can generally be verified and model selection does not involve significant management judgment. Options are classified within Level 2 on the fair value hierarchy when all of the significant inputs can be corroborated to market evidence. Otherwise such instruments are classified as Level 3.

Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of March 31, 2023:

 

Investments in
Securities

  Level 1     Level 2     Level 3     Total  

Assets:

       

Common Stocks:

       

Financials

  $ 2,913,443     $ 17,046,816     $ 0 #    $ 19,960,259  

Information Technology

    775,932       13,769,226       – 0  –      14,545,158  

Consumer Discretionary

    3,610,208       10,835,657       – 0  –      14,445,865  

Materials

    1,541,929       5,367,220       0 #      6,909,149  

Communication Services

    62,116       3,663,071       0 #      3,725,187  

Energy

    141,345       3,462,018       0 #      3,603,363  

Industrials

    1,378,754       1,579,633       0 #      2,958,387  

Consumer Staples

    573,862       2,052,998       0 #      2,626,860  

Utilities

    349,626       2,260,013       – 0  –      2,609,639  

Health Care

    – 0  –      1,792,687       – 0  –      1,792,687  

Real Estate

    74,906       274,018       57,297       406,221  

Fixed Income Securities:

       

Sovereign Bonds

    – 0  –      27,369,500       – 0  –      27,369,500  

Quasi-Sovereign Bonds

    – 0  –      8,301,692       – 0  –      8,301,692  

Corporate Bonds

    – 0  –      5,812,438       20       5,812,458  

Emerging Markets – Treasuries

    – 0  –      2,890,248       – 0  –      2,890,248  

Treasury Bonds

    – 0  –      270,009       – 0  –      270,009  

Equity Linked Notes

    – 0  –      1,014,126       – 0  –      1,014,126  

Investment Companies

    – 0  –      188,019       – 0  –      188,019  

Purchased Options – Puts

    – 0  –      39,285       – 0  –      39,285  

Short-Term Investments:

       

Investment Companies

    3,493,738       – 0  –      – 0  –      3,493,738  

Time Deposits

    – 0  –      506,357       – 0  –      506,357  

Treasury Bills

    – 0  –      355,106       – 0  –      355,106  

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

    1,653,942       – 0  –      – 0  –      1,653,942  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

    16,569,801       108,850,137 +      57,317       125,477,255  

Other Financial Instruments*:

       

Assets

       

Futures

    64,164       143,207       – 0  –       207,371  

Forward Currency Exchange Contracts

    – 0  –      695,100       – 0  –      695,100  

Centrally Cleared Credit Default Swaps

    – 0  –      527,434       – 0  –       527,434  

Total Return Swaps

    – 0  –      541,679       – 0  –      541,679  

Liabilities

       

Futures

    (238,829     – 0  –      – 0  –       (238,829 ) 

Forward Currency Exchange Contracts

    – 0  –      (427,863     – 0  –      (427,863

Interest Rate Written Swaptions

    – 0  –      (20,534     – 0  –      (20,534

Centrally Cleared Credit Default Swaps

    – 0  –      (191,723     – 0  –       (191,723 ) 

Centrally Cleared Interest Rate Swaps

    – 0  –      (571,287     – 0  –       (571,287 ) 
 

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $   16,395,136     $   109,546,150     $   57,317     $   125,998,603  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

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#

The Fund held securities with zero market value at period end.

 

*

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

 

+

A significant portion of the Fund’s foreign equity investments are categorized as Level 2 investments since they are valued using fair value prices based on third party vendor modeling tools to the extent available, see Note A.1.

 

Only variation margin receivable (payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation (depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value.

3. Currency Translation

Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at the rates of exchange prevailing when accrued.

Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.

4. Taxes

It is the Fund’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.

In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Fund’s tax positions taken or expected to be taken on federal and state income tax

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Fund’s financial statements.

5. Investment Income and Investment Transactions

Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. Non-cash dividends, if any, are recorded on the ex-dividend date at the fair value of the securities received. The Fund amortizes premiums and accretes discounts as adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.

6. Class Allocations

All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.

7. Dividends and Distributions

Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.

NOTE B

Advisory Fee and Other Transactions with Affiliates

Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .85% of the first $1 billion, .80% of the next $1 billion, .75% of the next $1 billion and .70% in excess of $3 billion of the Fund’s average daily net assets. The fee is accrued daily and paid monthly. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (excluding expenses associated with acquired fund fees and expenses

 

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other than the advisory fees of any AB Mutual Funds in which the Fund may invest, interest expense and extraordinary expenses), on an annual basis (“the Expense Caps”) to 1.24%, 1.99%, .99%, 1.49%, 1.24%, .99% and .99% of the daily average net assets for the Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively. For the year ended March 31, 2023, such waivers/reimbursements amounted to $577,188. The Expense Caps may not be terminated before July 31, 2023.

Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the year ended March 31, 2023, the reimbursement for such services amounted to $92,085.

The Fund compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $24,079 for the year ended March 31, 2023.

AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Fund’s shares. The Distributor has advised the Fund that it has retained front-end sales charges of $643 from the sale of Class A shares and received $106 and $42 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the year ended March 31, 2023.

The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2023. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the year ended March 31, 2023, such waiver amounted to $1,868.

 

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A summary of the Fund’s transactions in AB mutual funds for the year ended March 31, 2023 is as follows:

 

Fund

  Market Value
3/31/22
(000)
    Purchases
at Cost
(000)
    Sales
Proceeds
(000)
    Market Value
3/31/23
(000)
    Dividend
Income
(000)
 

Government Money Market Portfolio

  $     – 0  –    $     65,187     $     61,693     $     3,494     $     52  

Government Money Market Portfolio*

    477       15,324       14,147       1,654       10  
       

 

 

   

 

 

 

Total

        $ 5,148     $ 62  
       

 

 

   

 

 

 

 

*

Investment of cash collateral for securities lending transactions (see Note E).

During the year ended March 31, 2023, the Adviser reimbursed the Fund $747 for trading losses incurred due to trade entry errors.

NOTE C

Distribution Services Agreement

The Fund has adopted a Distribution Services Agreement (the “Agreement”) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .30% of the Fund’s average daily net assets attributable to Class A shares, 1% of the Fund’s average daily net assets attributable to Class C shares, .50% of the Fund’s average daily net assets attributable to Class R shares and .25% of the Fund’s average daily net assets attributable to Class K shares. Payments under the Agreement in respect of Class A shares are currently limited to an annual rate of .25% of Class A share’s average daily net assets. There are no distribution and servicing fees on Advisor Class and Class I shares. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Fund’s operation, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amounts of $9,780, $1,074 and $3,241 for Class C, Class K and Class R shares, respectively. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs, incurred by the Distributor, beyond the current fiscal period for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Fund’s shares.

 

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NOTE D

Investment Transactions

Purchases and sales of investment securities (excluding short-term investments) for the year ended March 31, 2023, were as follows:

 

     Purchases      Sales  

Investment securities (excluding U.S. government securities)

   $     107,336,535      $     119,239,711  

U.S. government securities

     4,846,468        6,001,164  

The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:

 

Cost

   $     128,925,413  
  

 

 

 

Gross unrealized appreciation

   $ 15,379,070  

Gross unrealized depreciation

     (19,186,392
  

 

 

 

Net unrealized depreciation

   $ (3,807,322
  

 

 

 

1. Derivative Financial Instruments

The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.

The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:

 

   

Forward Currency Exchange Contracts

The Fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.

A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Fund. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

 

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During the year ended March 31, 2023, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.

 

   

Futures

The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Fund may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.

At the time the Fund enters into futures, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/ counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.

Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.

During the year ended March 31, 2023, the Fund held futures for hedging and non-hedging purposes.

 

   

Option Transactions

For hedging and investment purposes, the Fund may purchase and write (sell) put and call options on U.S. and foreign securities,

 

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including government securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Fund may use options transactions for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions” and may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, for hedging and investment purposes.

The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. If a put or call purchased option by the Fund were permitted to expire without being sold or exercised, its premium would represent a loss to the Fund. Put and call purchased options are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.

When the Fund writes an option, the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current market value of the written option. The Fund’s maximum payment for written put options equates to the number of shares multiplied by the strike price. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract. Premiums received from written options which expire unexercised are recorded by the Fund on the expiration date as realized gains from written options. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Fund. In writing an option, the Fund bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of a written option by the Fund could result in the Fund selling or buying a security or currency at a price different from the current market value.

 

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The Fund may also invest in options on swap agreements, also called “swaptions”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based “premium”. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. The Fund’s maximum payment for written put swaptions equates to the notional amount of the underlying swap. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract.

During the year ended March 31, 2023, the Fund held purchased swaptions for hedging and non-hedging purposes.

During the year ended March 31, 2023, the Fund held written swaptions for hedging and non-hedging purposes.

 

   

Swaps

The Fund may enter into swaps to hedge its exposure to interest rates, credit risk or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures including by making direct investments in foreign currencies, as described below under “Currency Transactions” or in order to take a “long” or “short” position with respect to an underlying referenced asset described below under “Total Return Swaps”. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.

Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the

 

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counterparty to the Fund to cover the Fund’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/ depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.

Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.

At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.

 

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Interest Rate Swaps:

The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.

In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by the Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or “notional”) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).

During the year ended March 31, 2023, the Fund held interest rate swaps for hedging and non-hedging purposes.

Credit Default Swaps:

The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Fund may purchase credit protection (“Buy Contract”) or provide credit protection (“Sale Contract”) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront

 

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premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligation with the same counterparty.

Credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Fund is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Fund coupled with the periodic payments previously received may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.

Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/ performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.

During the year ended March 31, 2023, the Fund held credit default swaps for hedging and non-hedging purposes.

Total Return Swaps:

The Fund may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.

During the year ended March 31, 2023, the Fund held total return swaps for hedging and non-hedging purposes.

 

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Variance Swaps:

The Fund may enter into variance swaps to hedge equity market risk or adjust exposure to the equity markets. Variance swaps are contracts in which two parties agree to exchange cash payments based on the difference between the stated level of variance and the actual variance realized on underlying asset(s) or index(es). Actual “variance” as used here is defined as the sum of the square of the returns on the reference asset(s) or index(es) (which in effect is a measure of its “volatility”) over the length of the contract term. So the parties to a variance swap can be said to exchange actual volatility for a contractually stated rate of volatility.

During the year ended March 31, 2023, the Fund held variance swaps for hedging and non-hedging purposes.

The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Fund’s net liability, held by the defaulting party, may be delayed or denied.

The Fund’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty tables below for additional details.

 

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During the year ended March 31, 2023, the Fund had entered into the following derivatives:

 

   

Asset Derivatives

   

Liability Derivatives

 

Derivative Type

 

Statement of
Assets and
Liabilities
Location

  Fair Value    

Statement of
Assets and
Liabilities
Location

  Fair Value  

Interest rate contracts

 

Receivable for variation margin on futures

 

$

64,164

   

Interest rate contracts

     

Payable for variation margin on centrally cleared swaps

 

$

  571,287

Foreign currency contracts

 

Unrealized appreciation on forward currency exchange contracts

 

 

695,100

 

 

Unrealized depreciation on forward currency exchange contracts

 

 

427,863

 

Interest rate contracts

 

Investments in securities, at value

 

 

39,285

 

   

Interest rate contracts

     

Written swaptions, at value

 

 

20,534

 

Credit contracts

  Receivable for variation margin on centrally cleared swaps     6,213   Payable for variation margin on centrally cleared swaps     154,573

Equity contracts

  Receivable for variation margin on futures     143,207   Payable for variation margin on futures     238,829

Equity contracts

  Unrealized appreciation on total return swaps     541,679      
   

 

 

     

 

 

 

Total

    $   1,489,648       $   1,413,086  
   

 

 

     

 

 

 

 

*

Only variation margin receivable (payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation (depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments.

 

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Derivative Type

 

Location of Gain or
(Loss) on Derivatives
Within Statement of
Operations

  Realized Gain
Or (Loss) on
Derivatives
    Change in
Unrealized
Appreciation or
(Depreciation)
 

Interest rate contracts

  Net realized gain/(loss) on swaps; Net change in unrealized appreciation (depreciation) on swaps   $ 28,894     $ (353,010

Interest rate contracts

  Net realized gain/(loss) on futures; Net change in unrealized appreciation (depreciation) on futures     (890,205       248,211  

Interest rate contracts

  Net realized gain/(loss) on written swaptions; Net change in unrealized appreciation (depreciation) on written swaptions     9,646       31,632  

Interest rate contracts

  Net realized gain/(loss) on investment transactions; Net change in unrealized appreciation (depreciation) on investments     – 0  –      (57,726

Foreign currency contracts

  Net realized gain/(loss) on forward currency exchange contracts; Net change in unrealized appreciation (depreciation) on forward currency exchange contracts     1,689,389       (534,410

Credit contracts

  Net realized gain/(loss) on investment transactions; Net change in unrealized appreciation (depreciation) on investments     (66,739     56,140  

Credit contracts

  Net realized gain/(loss) on swaps; Net change in unrealized appreciation (depreciation) on swaps     925,337       (136,579

Credit contracts

  Net realized gain/(loss) on written swaptions; Net change in unrealized appreciation (depreciation) on written swaptions     44,439       (37,194

 

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Derivative Type

 

Location of Gain or
(Loss) on Derivatives
Within Statement of
Operations

  Realized Gain
Or (Loss) on
Derivatives
    Change in
Unrealized
Appreciation or
(Depreciation)
 

Equity contracts

  Net realized gain/(loss) on swaps; Net change in unrealized appreciation (depreciation) on swaps   $ (4,068,565   $ 1,799,030  

Equity contracts

  Net realized gain/(loss) on futures; Net change in unrealized appreciation (depreciation) on futures     (1,330,282     93,091  
   

 

 

   

 

 

 

Total

    $   (3,658,086   $   1,109,185  
   

 

 

   

 

 

 

The following table represents the average monthly volume of the Fund’s derivative transactions during the year ended March 31, 2023:

 

Centrally Cleared Credit Default Swaps:

  

Average notional amount of buy contracts

   $ 14,496,077  

Average notional amount of sale contracts

   $ 2,083,100 (a) 

Centrally Cleared Interest Rate Swaps

  

Average notional amount

   $ 4,506,154  

Forward Currency Exchange Contracts:

  

Average principal amount of buy contracts

   $   54,016,211  

Average principal amount of sale contracts

   $ 56,860,787  

Futures:

  

Average notional amount of buy contracts

   $ 12,199,952  

Average notional amount of sale contracts

   $ 5,248,568 (b) 

Total Return Swaps:

  

Average notional amount

   $ 13,002,715  

Variance Swaps:

  

Average notional amount

   $ 498,166 (c) 

Purchased Swaptions:

  

Average notional amount

   $ 6,308,500 (d) 

Written Swaptions:

  

Average notional amount

   $ 5,636,000 (d) 

 

(a)

Positions were open for nine months during the reporting period.

 

(b)

Positions were open for seven months during the reporting period.

 

(c)

Positions were open for eleven months during the reporting period.

 

(d)

Positions were open for three months during the reporting period.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.

All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Fund’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under

 

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ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Fund as of March 31, 2023. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the tables.

 

Counterparty

  Derivative
Assets
Subject to a
MA
    Derivatives
Available
for Offset
    Cash
Collateral
Received*
    Security
Collateral
Received*
    Net Amount
of Derivative
Assets
 

Bank of America, NA

  $ 61,723     $ (60,106   $ – 0  –    $ – 0  –    $ 1,617  

Barclays Bank PLC

    249,118       (80,723     (168,395     – 0  –      – 0  – 

Brown Brothers Harriman & Co.

    8,725       (8,725     – 0  –      – 0  –      – 0  – 

Deutsche Bank AG

    118,885       (21,356     – 0  –      – 0  –      97,529  

Goldman Sachs Bank USA/Goldman Sachs International

    714,728       (44,955     (430,000     – 0  –      239,773  

HSBC Bank USA.

    5,998       (5,998     – 0  –      – 0  –      – 0  – 

JPMorgan Chase Bank, NA.

    51,527       (15,563     – 0  –      – 0  –      35,964  

Morgan Stanley Capital Services LLC

    64,072       (64,072     – 0  –      – 0  –      – 0  – 

UBS AG

    1,288       – 0  –      – 0  –      – 0  –      1,288  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $   1,276,064     $   (301,498   $   (598,395   $   – 0  –    $   376,171
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

Counterparty

  Derivative
Liabilities
Subject to a
MA
    Derivatives
Available
for Offset
    Cash
Collateral
Pledged*
    Security
Collateral
Pledged*
    Net Amount
of Derivative
Liabilities
 

Bank of America, NA.

  $ 60,106     $ (60,106   $ – 0  –    $ – 0  –    $ – 0  – 

Barclays Bank PLC

    80,723       (80,723     – 0  –      – 0  –      – 0  – 

Brown Brothers Harriman & Co.

    37,451       (8,725     – 0  –      – 0  –      28,726  

Deutsche Bank AG

    21,356       (21,356     – 0  –      – 0  –      – 0  – 

Goldman Sachs Bank USA/Goldman Sachs International

    44,955       (44,955     – 0  –      – 0  –      – 0  – 

HSBC Bank USA.

    50,162       (5,998     – 0  –      – 0  –      44,164  

JPMorgan Chase Bank, NA.

    15,563       (15,563     – 0  –      – 0  –      – 0  – 

Morgan Stanley Capital Services LLC

    138,081       (64,072     (30,000     – 0  –      44,009  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $   448,397     $   (301,498   $   (30,000   $   – 0  –    $   116,899
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

*

The actual collateral received/pledged may be more than the amount reported due to overcollateralization.

 

^

Net amount represents the net receivable (payable) that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

2. Currency Transactions

The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of

 

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currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).

NOTE E

Securities Lending

The Fund may enter into securities lending transactions. Under the Fund’s securities lending program, all loans of securities will be collateralized continually by cash collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Fund cannot sell or repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized by cash, the Fund will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Fund in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. If the Fund receives non-cash collateral, the Fund will receive a fee from the borrower generally equal to a negotiated percentage of the market value of the loaned securities. The Fund will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Fund amounts equal to any dividend income or other distributions from the securities; however, these distributions will not be afforded the same preferential tax treatment as qualified dividends. The Fund will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Fund, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the statement of assets and liabilities. The collateral will be adjusted the next business

 

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day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and Government Money Market Portfolio are reflected in the statement of operations. When the Fund earns net securities lending income from Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. In connection with the cash collateral investment by the Fund in the Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Fund’s share of the advisory fees of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. When the Fund lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. The lending agent has agreed to indemnify the Fund in the case of default of any securities borrower.

A summary of the Fund’s transactions surrounding securities lending for the year ended March 31, 2023 is as follows:

 

                      Government Money
Market Portfolio
 

Market
Value of
Securities
on Loan*

  Cash
Collateral*
    Market
Value of
Non-Cash
Collateral*
    Income from
Borrowers
    Income
Earned
     Advisory Fee
Waived
 
$    1,610,415   $   1,653,942     $   – 0  –    $   9,900     $   10,313      $   217  

 

*

As of March 31, 2023.

NOTE F

Capital Stock

Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:

 

            
     Shares           Amount        
     Year Ended
March 31,
2023
    Year Ended
March 31,
2022
          Year Ended
March 31,
2023
    Year Ended
March 31,
2022
       
  

 

 

   
Class A             

Shares sold

     164,220       48,276       $ 1,231,831     $ 486,129    

 

   

Shares issued in reinvestment of dividends

     7,481       8,371         56,276       83,366    

 

   

Shares converted from Class C

     566       6,068         4,442       65,320    

 

   

Shares redeemed

     (178,070     (72,244       (1,325,301     (722,311  

 

   

Net decrease

     (5,803     (9,529     $ (32,752   $ (87,496  

 

   

 

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     Shares           Amount        
     Year Ended
March 31,
2023
    Year Ended
March 31,
2022
          Year Ended
March 31,
2023
    Year Ended
March 31,
2022
       
  

 

 

   
Class C             

Shares sold

     2,636       6,909       $ 20,015     $ 69,646    

 

   

Shares issued in reinvestment of dividends

     1,406       1,768         10,557       17,588    

 

   

Shares converted to Class A

     (569     (6,108       (4,442     (65,320  

 

   

Shares redeemed

     (32,857     (22,301       (240,698     (219,961  

 

   

Net decrease

     (29,384     (19,732     $ (214,568   $ (198,047  

 

   
            
Advisor Class             

Shares sold

     3,504,028       3,424,832       $ 26,233,856     $ 34,157,918    

 

   

Shares issued in reinvestment of dividends

     454,889       489,019         3,426,299       4,874,184    

 

   

Shares redeemed

     (5,222,358     (4,804,566       (38,886,416     (47,144,179  

 

   

Net decrease

     (1,263,441     (890,715     $ (9,226,261   $ (8,112,077  

 

   
            
Class R             

Shares sold

     7,500       5,933       $ 57,670     $ 58,933    

 

   

Shares issued in reinvestment of dividends

     869       826         6,580       8,258    

 

   

Shares redeemed

     (6,896     (7,850       (52,108     (80,948  

 

   

Net increase (decrease)

     1,473       (1,091     $ 12,142     $ (13,757  

 

   
            
Class K             

Shares sold

     1,373       1,574       $ 10,495     $ 15,809    

 

   

Shares issued in reinvestment of dividends

     622       802         4,692       8,013    

 

   

Shares redeemed

     (3,330     (10,202       (22,537     (92,781  

 

   

Net decrease

     (1,335     (7,826     $ (7,350   $ (68,959  

 

   
            
Class I             

Shares sold

     23,017       6,730       $ 154,572     $ 61,344    

 

   

Shares issued in reinvestment of dividends

     432       972         3,187       9,726    

 

   

Shares redeemed

     (3,126     (30,740       (24,386     (288,563  

 

   

Net increase (decrease)

     20,323       (23,038     $ 133,373     $ (217,493  

 

   

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

             
     Shares           Amount        
     Year Ended
March 31,
2023
     Year Ended
March 31,
2022
          Year Ended
March 31,
2023
    Year Ended
March 31,
2022
       
  

 

 

   
Class Z              

Shares sold

     64,240        299,069       $ 460,745     $ 3,096,311    

 

   

Shares issued in reinvestment of dividends

     11,940        11,213         89,226       111,071    

 

   

Shares redeemed

     (34,805      (51,796       (255,966     (523,166  

 

   

Net increase

     41,375        258,486       $ 294,005     $ 2,684,216    

 

   

NOTE G

Risks Involved in Investing in the Fund

Market Risk—The value of the Fund’s assets will fluctuate as the stock, bond or currency markets fluctuate. The value of the Fund’s investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.

Emerging-Market Risk—Investments in emerging market countries may involve more risk than investments in other foreign countries because the markets are less developed and less liquid and are subject to increased economic, political, regulatory, or other uncertainties.

Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.

Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns. Emerging market currencies may be more volatile and less liquid, and subject to significantly greater risk of currency controls and convertibility restrictions, than currencies of developed countries.

Country Concentration Risk—The Fund may not always be diversified among countries or geographic regions and the effect on the Fund’s net asset value, or NAV, of the specific risks identified above, such as political, regulatory and currency risks, may be magnified due to concentration of the Fund’s investments in a particular country or region.

Allocation Risk—The allocation of Fund assets among different asset classes, such as equity securities, debt securities and currencies, may have a significant effect on the Fund’s NAV when one of these asset classes is

 

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performing better or worse than others. The diversification benefits typically associated with investing in both equity and debt securities may be limited in the emerging markets context, as movements in emerging market equity and emerging market debt markets may be more correlated than movements in the equity and debt markets of developed countries.

Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.

Interest-Rate Risk—Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The Fund may be subject to a greater risk of rising interest rates than would normally be the case due to the end of a recent period of historically low rates and the effect of potential central bank monetary policy, and government fiscal policy, initiatives and resulting market reactions to those initiatives.

Credit Risk—An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.

Sovereign Debt Risk—Investments in sovereign debt obligations expose the Fund to the direct or indirect consequences of political, social and economic changes in countries that issue the obligations. Such changes may affect a foreign government’s willingness or ability to make timely payments of its obligations. In addition, no established market may exist for many sovereign debt obligations. Reduced secondary market liquidity may have an adverse effect on the market price of an instrument and the Fund’s ability to dispose of particular instruments.

Below Investment-Grade Securities Risk—Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to factors such as specific corporate developments, interest

 

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rate sensitivity and negative perceptions of the junk bond market generally, and may be more difficult to trade than other types of securities.

Derivatives Risk—Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. A short position in a derivative instrument involves the risk of a theoretically unlimited increase in the value of the underlying instrument, which could cause the Fund to suffer a (potentially unlimited) loss. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Fund.

Leverage Risk—When the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund’s investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures contracts or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.

Illiquid Investments Risk—Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally decline.

LIBOR Transition and Associated Risk—The Fund may be exposed to debt securities, derivatives or other financial instruments that utilize the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. As announced by the FCA and LIBOR’s administrator, ICE Benchmark Administration, most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) have not been published since the end of 2021, but the most widely used U.S. Dollar LIBOR settings are expected to continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. Since 2018 the Federal Reserve Bank of New York has published the Secured Overnight Financing Rate (referred to as SOFR), which is intended to replace U.S. Dollar LIBOR. SOFR is a broad measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities in the repurchase agreement (repo) market and has been used increasingly on a voluntary basis in new instruments and transactions. In addition, on March 15, 2022, the Adjustable Interest Rate Act was signed into law. This law provides a statutory fallback mechanism to replace LIBOR with a benchmark rate that is selected by the Federal Reserve Board and based on SOFR for certain contracts that reference LIBOR without adequate fallback provisions. On December 16, 2022, the Federal Reserve Board adopted regulations implementing the law by identifying benchmark rates based on SOFR that will replace LIBOR in different categories of financial contracts after June 30, 2023. The regulations include provisions that (i) provide a safe harbor for selection or use of a replacement benchmark rate selected by the Federal Reserve Board; (ii) clarify who may choose the replacement benchmark rate selected by the Federal Reserve Board; and (iii) ensure that contracts adopting a replacement benchmark rate selected by the Federal Reserve Board will not be interrupted or terminated following the replacement of LIBOR.

The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect the Fund’s performance and/or NAV. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting the Fund’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. Neither the effect of the LIBOR transition process nor its ultimate success can yet be known.

Indemnification Risk—In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.

Management Risk—The Fund is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.

NOTE H

Joint Credit Facility

A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the year ended March 31, 2023.

NOTE I

Distributions to Shareholders

The tax character of distributions paid during the fiscal years ended March 31, 2023 and March 31, 2022 were as follows:

 

     2023      2022  

Distributions paid from:

     

Ordinary income

   $ 4,539,889      $ 6,373,907  
  

 

 

    

 

 

 

Total taxable distributions paid

   $     4,539,889      $     6,373,907  
  

 

 

    

 

 

 

As of March 31, 2023, the components of accumulated earnings (deficit) on a tax basis were as follows:

 

Undistributed ordinary income

   $     1,997,712  

Accumulated capital and other losses

     (29,314,440 )(a) 

Unrealized appreciation (depreciation)

     (3,968,213 )(b) 
  

 

 

 

Total accumulated earnings (deficit)

   $     (31,284,941 )(c) 
  

 

 

 

 

(a)

As of March 31, 2023, the Fund had a net capital loss carryforward of $29,314,440.

 

(b)

The differences between book-basis and tax-basis unrealized appreciation (depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of passive foreign investment companies (PFICs), the tax treatment of hyper-inflationary currency contracts, the tax treatment of swaps, the tax deferral of losses on wash sales, and the tax treatment of callable bonds.

 

(c)

The differences between book-basis and tax-basis components of accumulated earnings (deficit) are attributable primarily to the accrual of foreign capital gains tax and the tax treatment of defaulted securities.

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of March 31, 2023, the Fund had a net short-term capital loss carryforward of $17,467,773 and a net long-term capital loss carryforward of $11,846,667, which may be carried forward for an indefinite period.

During the current fiscal year, permanent differences primarily due to non-deductible excise tax paid and contributions from the Adviser resulted in a net decrease in accumulated loss and a net decrease in additional paid-in capital. These reclassifications had no effect on net assets.

NOTE J

Recent Accounting Pronouncements

In December 2022, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2022-06, “Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848”. ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.

NOTE K

Subsequent Events

Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Fund’s financial statements through this date.

 

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FINANCIAL HIGHLIGHTS

Selected Data For A Share of Capital Stock Outstanding Throughout Each Period

 

    Class A  
    Year Ended March 31,  
  2023     2022     2021     2020     2019  
 

 

 

 

Net asset value, beginning of period

    $  8.70       $  10.34       $  7.04       $  8.89       $  10.00  
 

 

 

 

Income From Investment Operations

         

Net investment income(a)(b)

    .33       .31       .19       .29       .30  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

    (1.14     (1.63     3.32       (1.68     (.95

Contributions from Affiliates

    .00 (c)      – 0  –      – 0  –      – 0  –      – 0  – 
 

 

 

 

Net increase (decrease) in net asset value from operations

    (.81     (1.32     3.51       (1.39     (.65
 

 

 

 

Less: Dividends and Distributions

         

Total dividends and distributions

    (.24     (.32     (.21     (.46     (.46
 

 

 

 

Net asset value, end of period

    $  7.65       $  8.70       $  10.34       $  7.04       $  8.89  
 

 

 

 

Total Return

         

Total investment return based on net asset value(d)

    (9.24 )%      (13.12 )%      50.17     (16.50 )%      (6.20 )% 

Ratios/Supplemental Data

         

Net assets, end of period
(000’s omitted)

    $2,578       $2,984       $3,644       $3,040       $5,510  

Ratio to average net assets of:

         

Expenses, net of waivers/reimbursements(e)(f)

    1.25     1.24     1.23     1.23     1.24

Expenses, before waivers/reimbursements(e)(f)

    1.69     1.48     1.64     1.76     1.80

Net investment income(b)

    4.34     3.12     2.14     3.26     3.36

Portfolio turnover rate

    89     81     88     117     110
         
 

  Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying

   

portfolios

    .00     .01     .01     .01     .01

See footnote summary on page 84.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share of Capital Stock Outstanding Throughout Each Period

 

    Class C  
    Year Ended March 31,  
  2023     2022     2021     2020     2019  
 

 

 

 

Net asset value, beginning of period

    $  8.66       $  10.29       $  7.01       $  8.85       $  9.95  
 

 

 

 

Income From Investment Operations

         

Net investment income(a)(b)

    .28       .24       .13       .22       .23  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

    (1.15     (1.63     3.29       (1.66     (.93

Contributions from Affiliates

    .00 (c)      – 0  –      – 0  –      – 0  –      – 0  – 
 

 

 

 

Net increase (decrease) in net asset value from operations

    (.87     (1.39     3.42       (1.44     (.70
 

 

 

 

Less: Dividends and Distributions

         

Total dividends and distributions

    (.18     (.24     (.14     (.40     (.40
 

 

 

 

Net asset value, end of period

    $  7.61       $  8.66       $  10.29       $  7.01       $  8.85  
 

 

 

 

Total Return

         

Total investment return based on net asset value(d)

    (9.99 )%      (13.78 )%      49.01     (17.11 )%      (6.79 )%^ 

Ratios/Supplemental Data

         

Net assets, end of period
(000’s omitted)

    $452       $769       $1,117       $1,010       $2,234  

Ratio to average net assets of:

         

Expenses, net of waivers/reimbursements(e)(f)

    2.00     1.99     1.98     1.98     1.99

Expenses, before waivers/reimbursements(e)(f)

    2.43     2.24     2.40     2.51     2.58

Net investment income(b)

    3.67     2.36     1.40     2.54     2.54

Portfolio turnover rate

    89     81     88     117     110
         
 

  Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying

   

portfolios

    .00     .01     .01     .01     .01

See footnote summary on page 84.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share of Capital Stock Outstanding Throughout Each Period

 

    Advisor Class  
    Year Ended March 31,  
    2023     2022     2021     2020     2019  
 

 

 

 

Net asset value, beginning of period

    $  8.72       $  10.36       $  7.06       $  8.91       $  10.02  
 

 

 

 

Income From Investment Operations

         

Net investment income(a)(b)

    .35       .34       .22       .30       .32  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

    (1.15     (1.63     3.31       (1.66     (.95

Contributions from Affiliates

    .00 (c)      – 0  –      – 0  –      – 0  –      – 0  – 
 

 

 

 

Net increase (decrease) in net asset value from operations

    (.80     (1.29     3.53       (1.36     (.63
 

 

 

 

Less: Dividends and Distributions

         

Total dividends and distributions

    (.26     (.35     (.23     (.49     (.48
 

 

 

 

Net asset value, end of period

    $  7.66       $  8.72       $  10.36       $  7.06       $  8.91  
 

 

 

 

Total Return

         

Total investment return based on net asset value(d)

    (9.11 )%      (12.87 )%      50.40     (16.24 )%      (5.93 )% 

Ratios/Supplemental Data

         

Net assets, end of period
(000’s omitted)

    $120,675       $148,374       $185,534       $122,322       $118,492  

Ratio to average net assets of:

         

Expenses, net of waivers/reimbursements(e)(f)

    1.00     .99     .98     .98     .99

Expenses, before waivers/reimbursements(e)(f)

    1.44     1.23     1.39     1.51     1.58

Net investment income(b)

    4.59     3.36     2.36     3.42     3.53

Portfolio turnover rate

    89     81     88     117     110
         
 

  Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying

   

portfolios

    .00     .01     .01     .01     .01

See footnote summary on page 84.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share of Capital Stock Outstanding Throughout Each Period

 

    Class R  
    Year Ended March 31,  
  2023     2022     2021     2020     2019  
 

 

 

 

Net asset value, beginning of period

    $  8.75       $  10.37       $  7.05       $  8.88       $  9.97  
 

 

 

 

Income From Investment Operations

         

Net investment income(a)(b)

    .31       .29       .17       .25       .27  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

    (1.15     (1.64     3.31       (1.65     (.94

Contributions from Affiliates

    .00 (c)      – 0  –      – 0  –      – 0  –      – 0  – 
 

 

 

 

Net increase (decrease) in net asset value from operations

    (.84     (1.35     3.48       (1.40     (.67
 

 

 

 

Less: Dividends and Distributions

         

Total dividends and distributions

    (.20     (.27     (.16     (.43     (.42
 

 

 

 

Net asset value, end of period

    $  7.71       $  8.75       $  10.37       $  7.05       $  8.88  
 

 

 

 

Total Return

         

Total investment return based on net asset value(d)

    (9.50 )%      (13.31 )%      49.68     (16.64 )%      (6.39 )% 

Ratios/Supplemental Data

         

Net assets, end of period
(000’s omitted)

    $259       $281       $345       $271       $305  

Ratio to average net assets of:

         

Expenses, net of waivers/reimbursements(e)(f)

    1.50     1.49     1.48     1.48     1.49

Expenses, before waivers/reimbursements(e)(f)

    2.16     1.95     2.10     2.23     2.23

Net investment income(b)

    4.09     2.85     1.84     2.92     3.06

Portfolio turnover rate

    89     81     88     117     110
         
 

  Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying

   

portfolios

    .00     .01     .01     .01     .01

See footnote summary on page 84.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share of Capital Stock Outstanding Throughout Each Period

 

    Class K  
    Year Ended March 31,  
  2023     2022     2021     2020     2019  
 

 

 

 

Net asset value, beginning of period

    $  8.72       $  10.35       $  7.04       $  8.87       $  9.97  
 

 

 

 

Income From Investment Operations

         

Net investment income(a)(b)

    .33       .31       .19       .29       .29  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

    (1.14     (1.64     3.31       (1.67     (.94

Contributions from Affiliates

    .00 (c)      – 0  –      – 0  –      – 0  –      – 0  – 
 

 

 

 

Net increase (decrease) in net asset value from operations

    (.81     (1.33     3.50       (1.38     (.65
 

 

 

 

Less: Dividends and Distributions

         

Total dividends and distributions

    (.23     (.30     (.19     (.45     (.45
 

 

 

 

Net asset value, end of period

    $  7.68       $  8.72       $  10.35       $  7.04       $  8.87  
 

 

 

 

Total Return

         

Total investment return based on net asset value(d)

    (9.25 )%      (13.16 )%      50.10 %^      (16.55 )%      (6.19 )% 

Ratios/Supplemental Data

         

Net assets, end of period
(000’s omitted)

    $146       $178       $292       $212       $313  

Ratio to average net assets of:

         

Expenses, net of waivers/reimbursements(e)(f)

    1.25     1.24     1.23     1.23     1.24

Expenses, before waivers/reimbursements(e)(f)

    1.85     1.64     1.80     1.92     1.96

Net investment income(b)

    4.39     3.11     2.13     3.34     3.26

Portfolio turnover rate

    89     81     88     117     110
         
 

  Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying

   

portfolios

    .00     .01     .01     .01     .01

See footnote summary on page 84.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share of Capital Stock Outstanding Throughout Each Period

 

    Class I  
    Year Ended March 31,  
  2023     2022     2021     2020     2019  
 

 

 

 

Net asset value, beginning of period

    $  8.63       $  10.27       $  6.99       $  8.83       $  9.94  
 

 

 

 

Income From Investment Operations

         

Net investment income(a)(b)

    .30       .35       .20       .36       .28  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

    (1.09     (1.64     3.31       (1.72     (.90

Contributions from Affiliates

    .00 (c)      – 0  –      – 0  –      – 0  –      – 0  – 
 

 

 

 

Net increase (decrease) in net asset value from operations

    (.79     (1.29     3.51       (1.36     (.62
 

 

 

 

Less: Dividends and Distributions

         

Total dividends and distributions

    (.26     (.35     (.23     (.48     (.49
 

 

 

 

Net asset value, end of period

    $  7.58       $  8.63       $  10.27       $  6.99       $  8.83  
 

 

 

 

Total Return

         

Total investment return based on net asset value(d)

    (9.07 )%      (12.97 )%      50.61     (16.30 )%      (5.93 )% 

Ratios/Supplemental Data

         

Net assets, end of period
(000’s omitted)

    $213       $67       $316       $10       $151  

Ratio to average net assets of:

         

Expenses, net of waivers/reimbursements(e)(f)

    1.01     .99     .99     .98     .99

Expenses, before waivers/reimbursements(e)(f)

    1.50     1.22     1.25     1.46     1.46

Net investment income(b)

    4.03     3.46     1.99     4.19     3.03

Portfolio turnover rate

    89     81     88     117     110
         
 

  Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying

   

portfolios

    .00     .01     .01     .01     .01

See footnote summary on page 84.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share of Capital Stock Outstanding Throughout Each Period

 

    Class Z  
    Year Ended March 31,  
  2023     2022     2021     2020     2019  
 

 

 

 

Net asset value, beginning of period

    $  8.66       $  10.29       $  7.01       $  8.85       $  9.95  
 

 

 

 

Income From Investment Operations

         

Net investment income(a)(b)

    .34       .34       .22       .24       .31  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

    (1.13     (1.62     3.29       (1.59     (.93

Contributions from Affiliates

    .00 (c)      – 0  –      – 0  –      – 0  –      – 0  – 
 

 

 

 

Net increase (decrease) in net asset value from operations

    (.79     (1.28     3.51       (1.35     (.62
 

 

 

 

Less: Dividends and Distributions

         

Total dividends and distributions

    (.26     (.35     (.23     (.49     (.48
 

 

 

 

Net asset value, end of period

    $  7.61       $  8.66       $  10.29       $  7.01       $  8.85  
 

 

 

 

Total Return

         

Total investment return based on net asset value(d)

    (9.04 )%      (12.85 )%      50.47     (16.25 )%      (5.90 )%^ 

Ratios/Supplemental Data

         

Net assets, end of period
(000’s omitted)

    $2,794       $2,823       $695       $144       $9  

Ratio to average net assets of:

         

Expenses, net of waivers/reimbursements(e)(f)

    1.00     .99     .99     .99     .99

Expenses, before waivers/reimbursements(e)(f)

    1.43     1.22     1.32     1.54     1.60

Net investment income(b)

    4.49     3.41     2.29     2.78     3.49

Portfolio turnover rate

    89     81     88     117     110
         
 

  Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying

   

portfolios

    .00     .01     .01     .01     .01

See footnote summary on page 84.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share of Capital Stock Outstanding Throughout Each Period

 

(a)

Based on average shares outstanding.

 

(b)

Net of expenses waived/reimbursed by the Adviser.

 

(c)

Amount is less than $0.005.

 

(d)

Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Initial sales charge or contingent deferred sales charge is not reflected in the calculation of total investment return. Total investment return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return for a period of less than one year is not annualized.

 

(e)

In connection with the Fund’s investments in affiliated underlying portfolios, the Fund incurs no direct expenses but bears proportionate shares of the acquired fund fees and expenses (i.e. operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Fund’s pro rata share of certain acquired fund fees and expenses, and for years ended March 31, 2021, March 31, 2020 and March 31, 2019, such waiver amounted to 0.01%, 0.01% and 0.01%, respectively.

 

(f)

The expense ratios presented below exclude interest expense:

 

    2023     2022     2021     2020     2019  
 

 

 

 

Class A

         

Net of waivers/reimbursements

    1.24     1.24     1.23     1.23     1.24

Before waivers/reimbursements

    1.68     1.48     1.64     1.76     1.80

Class C

         

Net of waivers/reimbursements

    1.99     1.99     1.98     1.98     1.98

Before waivers/reimbursements

    2.42     2.24     2.40     2.51     2.57

Advisor Class

         

Net of waivers/reimbursements

    0.99     .99     .98     .98     .98

Before waivers/reimbursements

    1.43     1.23     1.39     1.51     1.57

Class R

         

Net of waivers/reimbursements

    1.49     1.49     1.48     1.48     1.48

Before waivers/reimbursements

    2.15     1.95     2.10     2.23     2.22

Class K

         

Net of waivers/reimbursements

    1.24     1.24     1.23     1.23     1.24

Before waivers/reimbursements

    1.84     1.64     1.80     1.92     1.96

Class I

         

Net of waivers/reimbursements

    0.99     .99     .99     .98     .98

Before waivers/reimbursements

    1.48     1.22     1.25     1.46     1.45

Class Z

         

Net of waivers/reimbursements

    0.99     .99     .99     .99     .99

Before waivers/reimbursements

    1.42     1.22     1.32     1.54     1.60

 

^

The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements.

See notes to financial statements.

 

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REPORT OF INDEPENDENT REGISTERED

PUBLIC ACCOUNTING FIRM

 

To the Board of Directors and Shareholders of AB Emerging Markets Multi-Asset Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of AB Emerging Markets Multi-Asset Portfolio (the “Fund”) (one of the portfolios constituting AB Cap Fund, Inc. (the “Company”)), including the portfolio of investments, as of March 31, 2023, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the portfolios constituting AB Cap Fund, Inc.) at March 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Company is not required to have, nor were we engaged to perform, an audit of the Company’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and

 

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REPORT OF INDEPENDENT REGISTERED

PUBLIC ACCOUNTING FIRM (continued)

 

disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 2023, by correspondence with the custodian, brokers and others; when replies were not received from brokers or others, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

LOGO

We have served as the auditor of one or more of the AB investment companies since 1968.

New York, New York

May 26, 2023

 

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2023 FEDERAL TAX INFORMATION

(unaudited)

 

For Federal income tax purposes, the following information is furnished with respect to the earnings of the Fund for the taxable year ended March 31, 2023.

For individual shareholders, the Fund designates 34.20% of dividends paid as qualified dividend income.

The Fund intends to make an election to pass through foreign taxes to its shareholders. For the taxable year ended March 31, 2023, $544,981 of foreign taxes may be passed through and the associated foreign source income for information reporting purposes is $4,102,907.

Shareholders should not use the above information to prepare their income tax returns. The information necessary to complete your income tax returns will be included with your Form 1099-DIV which will be sent to you separately in January 2024.

 

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BOARD OF DIRECTORS

 

Garry L. Moody(1),

Chairman

Jorge A. Bermudez(1)

Michael J. Downey(1)

Onur Erzan, President and Chief Executive Officer

  

Nancy P. Jacklin(1)

Jeanette W. Loeb(1)

Carol C. McMullen(1)

Marshall C. Turner, Jr.(1)

OFFICERS   

Christian DiClementi(2),
Vice President

Richard Cao(2), Vice President

Sammy Suzuki(2), Vice President

Nancy E. Hay, Secretary

Michael B. Reyes, Senior Vice President

  

Joseph J. Mantineo, Treasurer and Chief Financial Officer

Phyllis J. Clarke, Controller

Jennifer Friedland, Chief Compliance Officer

 

Custodian and Accounting Agent

Brown Brothers Harriman & Co.
50 Post Office Square
Boston, MA 02110

 

Principal Underwriter

AllianceBernstein Investments, Inc.
501 Commerce Street
Nashville, TN 37203

 

Legal Counsel

Seward & Kissel LLP
One Battery Park Plaza
New York, NY 10004

  

Independent Registered Public Accounting Firm

Ernst & Young LLP
One Manhattan West
New York, NY 10001

 

Transfer Agent

AllianceBernstein Investor
Services, Inc.
P.O. Box 786003
San Antonio, TX 78278
Toll-Free (800) 221-5672

 

1

Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee.

 

2

The day-to-day management of, and investment decisions for, the Fund’s portfolio are made by the Adviser’s Emerging Markets Multi-Asset Team. Messrs. DiClementi, Cao and Suzuki are the investment professionals with the most significant responsibility for the day-to-day management of the Fund’s portfolio.

 

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MANAGEMENT OF THE FUND

 

Board of Directors Information

The business and affairs of the Fund are managed under the direction of the Board of Directors. Certain information concerning the Fund’s Directors is set forth below.

 

NAME,
ADDRESS*, AGE,
(YEAR FIRST ELECTED**)
  PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER RELEVANT
QUALIFICATIONS***
 

PORTFOLIOS

IN AB FUND

COMPLEX

OVERSEEN BY

DIRECTOR

   

OTHER

PUBLIC COMPANY

DIRECTORSHIPS

CURRENTLY
HELD BY
DIRECTOR

INTERESTED DIRECTOR    

Onur Erzan,#

47

(2021)

 

Senior Vice President of AllianceBernstein L.P. (the “Adviser”), Head of Global Client Group and Head of Private Wealth. He oversees AB’s entire private wealth management business and third-party institutional and retail franchise, where he is responsible for all client services, sales and marketing, as well as product strategy, management and development worldwide. Director, President and Chief Executive Officer of the AB Mutual Funds as of April 1, 2021. He is also a member of the Equitable Holdings Management Committee. Prior to joining the firm in January 2021, he spent over 19 years with McKinsey (management consulting firm), most recently as a senior partner and co-leader of its Wealth & Asset Management practice. In addition, he co-led McKinsey’s Banking & Securities Solutions (a portfolio of data, analytics and digital assets and capabilities) globally.

    76     None

 

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MANAGEMENT OF THE FUND (continued)

 

NAME,
ADDRESS*, AGE,
(YEAR FIRST ELECTED**)
  PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER RELEVANT
QUALIFICATIONS***
 

PORTFOLIOS

IN AB FUND

COMPLEX

OVERSEEN BY

DIRECTOR

   

OTHER

PUBLIC COMPANY

DIRECTORSHIPS

CURRENTLY
HELD BY
DIRECTOR

DISINTERESTED DIRECTORS    

Garry L. Moody,##

Chairman of the Board

71

(2011)

 

Private Investor since prior to 2018. Formerly, Partner, Deloitte & Touche LLP (1995-2008) where he held a number of senior positions, including Vice Chairman, and U.S. and Global Investment Management Practice Managing Partner; President, Fidelity Accounting and Custody Services Company (1993-1995), where he was responsible for accounting, pricing, custody and reporting for the Fidelity mutual funds; and Partner, Ernst & Young LLP (1975-1993), where he served as the National Director of Mutual Fund Tax Services and Managing Partner of its Chicago Office Tax department. He is a member of the Investment Company Institute’s Board of Governors and the Independent Directors Council’s Governing Council, where he serves as Chairman of the Governance Committee. He is Chairman of the AB Funds and Chairman of the Independent Directors Committees since January 2023; he has served as a director or trustee since 2008, and served as Chairman of the Audit Committee of such funds from 2008 to February 2023.

    76     None
     

 

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MANAGEMENT OF THE FUND (continued)

 

NAME,
ADDRESS*, AGE,
(YEAR FIRST ELECTED**)
  PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER RELEVANT
QUALIFICATIONS***
 

PORTFOLIOS

IN AB FUND

COMPLEX

OVERSEEN BY

DIRECTOR

   

OTHER

PUBLIC COMPANY

DIRECTORSHIPS

CURRENTLY
HELD BY
DIRECTOR

DISINTERESTED DIRECTORS
(continued)
   

Jorge A. Bermudez,##

72

(2020)

  Private Investor since prior to 2018. Formerly, Chief Risk Officer of Citigroup, Inc., a global financial services company, from November 2007 to March 2008, Chief Executive Officer of Citigroup’s Commercial Business Group in North America and Citibank Texas from 2005 to 2007, and a variety of other executive and leadership roles at various businesses within Citigroup prior to then; Chairman (2018) of the Texas A&M Foundation Board of Trustees (Trustee since 2013) and Chairman of the Smart Grid Center Board at Texas A&M University since 2012; director of, among others, Citibank N.A. from 2005 to 2008, the Federal Reserve Bank of Dallas, Houston Branch from 2009 to 2011, the Federal Reserve Bank of Dallas from 2011 to 2017, and the Electric Reliability Council of Texas from 2010 to 2016; and Chair of the Audit Committee of the Board of Directors of Moody’s Corporation since December 2022. He has served as director or trustee of the AB Funds since January 2020.     76     Moody’s Corporation since April 2011
     

 

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MANAGEMENT OF THE FUND (continued)

 

NAME,
ADDRESS*, AGE,
(YEAR FIRST ELECTED**)
  PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER RELEVANT
QUALIFICATIONS***
 

PORTFOLIOS

IN AB FUND

COMPLEX

OVERSEEN BY

DIRECTOR

   

OTHER

PUBLIC COMPANY

DIRECTORSHIPS

CURRENTLY
HELD BY
DIRECTOR

DISINTERESTED DIRECTORS
(continued)
   

Michael J. Downey,##

79

(2011)

  Private Investor since prior to 2018. Formerly, Chairman of The Asia Pacific Fund, Inc. (registered investment company) since prior to 2018 until January 2019. From 1987 until 1993, Chairman and CEO of Prudential Mutual Fund Management, director of the Prudential mutual funds, and member of the Executive Committee of Prudential Securities Inc. He has served as a director or trustee of the AB Funds since 2005.     76     None
     

Nancy P. Jacklin,##

75

(2011)

  Private Investor since prior to 2018. Professorial Lecturer at the Johns Hopkins School of Advanced International Studies (2008-2015). U.S. Executive Director of the International Monetary Fund (which is responsible for ensuring the stability of the international monetary system), (December 2002-May 2006); Partner, Clifford Chance (1992-2002); Sector Counsel, International Banking and Finance, and Associate General Counsel, Citicorp (1985-1992); Assistant General Counsel (International), Federal Reserve Board of Governors (1982-1985); and Attorney Advisor, U.S. Department of the Treasury (1973-1982). Member of the Bar of the District of Columbia and of New York; and member of the Council on Foreign Relations. She has served as a director or trustee of the AB Funds since 2006 and has been Chair of the Governance and Nominating Committees of the AB Funds since August 2014.     76     None
     

 

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MANAGEMENT OF THE FUND (continued)

 

NAME,
ADDRESS*, AGE,
(YEAR FIRST ELECTED**)
  PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER RELEVANT
QUALIFICATIONS***
 

PORTFOLIOS

IN AB FUND

COMPLEX

OVERSEEN BY

DIRECTOR

   

OTHER

PUBLIC COMPANY

DIRECTORSHIPS

CURRENTLY
HELD BY
DIRECTOR

DISINTERESTED DIRECTORS
(continued)
   

Jeanette W. Loeb,##

70

(2020)

  Chief Executive Officer of PetCareRx (e-commerce pet pharmacy) from 2002 to 2011 and 2015 to present. Director of New York City Center since 2005. She was a director of AB Multi-Manager Alternative Fund (fund of hedge funds) from 2012 to 2018. Formerly, affiliated with Goldman Sachs Group, Inc. (financial services) from 1977 to 1994, including as a partner thereof from 1986 to 1994. She has served as a Director of the AB Funds since April 2020.     76    

Apollo Investment Corp. (business development company) since August 2011

     

Carol C. McMullen,##

67

(2016)

  Managing Director of Slalom Consulting (consulting) since 2014, private investor and a member of the Advisory Board of Butcher Box (since 2018). Formerly, member, Partners Healthcare Investment Committee (2010-2019); Director of Norfolk & Dedham Group (mutual property and casualty insurance) from 2011 until November 2016; Director of Partners Community Physicians Organization (healthcare) from 2014 until December 2016; and Managing Director of The Crossland Group (consulting) from 2012 until 2013. She has held a number of senior positions in the asset and wealth management industries, including at Eastern Bank (where her roles included President of Eastern Wealth Management), Thomson Financial (Global Head of Sales for Investment Management), and Putnam Investments (where her roles included Chief Investment Officer, Core and Growth and Head of Global Investment Research). She has served on a number of private company and non-profit boards, and as a director or trustee of the AB Funds since June 2016 and serves as Chair of the Audit Committees of such Funds since February 2023.     76     None

 

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MANAGEMENT OF THE FUND (continued)

 

NAME,
ADDRESS*, AGE,
(YEAR FIRST ELECTED**)
  PRINCIPAL
OCCUPATION(S)
DURING PAST FIVE YEARS
AND OTHER RELEVANT
QUALIFICATIONS***
 

PORTFOLIOS

IN AB FUND

COMPLEX

OVERSEEN BY

DIRECTOR

   

OTHER

PUBLIC COMPANY

DIRECTORSHIPS

CURRENTLY
HELD BY
DIRECTOR

DISINTERESTED DIRECTORS
(continued)
   

Marshall C. Turner, Jr.,##

81

(2011)

 

Private Investor since prior to 2018. Former Chairman and CEO of Dupont Photomasks, Inc. (semi-conductor manufacturing equipment). He was a Director of Xilinx, Inc. (programmable logic semi-conductors and adaptable, intelligent computing) from 2007 through August 2020, and is a former director of 33 other companies and organizations. He has extensive operating leadership and venture capital investing experience, including five interim or full-time CEO roles, and prior service as general partner of institutional venture capital partnerships. He also has extensive non-profit board leadership experience, and currently serves on the board of the George Lucas Educational Foundation. He has served as a director of one AB Fund since 1992, and director or trustee of all AB Funds since 2005. He has served as both Chairman of the AB Funds and Chairman of the Independent Directors Committees from 2014 through December 2022.

    76     None
     

 

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MANAGEMENT OF THE FUND (continued)

 

*

The address for each of the Fund’s disinterested Directors is c/o AllianceBernstein L.P. Attention: Legal and Compliance Department, Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105.

 

**

There is no stated term of office for the Fund’s Directors.

 

***

The information above includes each Director’s principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Director’s qualifications to serve as a Director, which led to the conclusion that each Director should serve as a Director for the Fund.

 

#

Mr. Erzan is an “interested person” of the Fund, as defined in the 1940 Act, due to his position as a Senior Vice President of the Adviser.

 

##

Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee.

 

  

The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or at (800) 227-4618, or visit www.abfunds.com, for a free prospectus or SAI.

 

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MANAGEMENT OF THE FUND (continued)

 

Officer Information

Certain information concerning the Fund’s Officers is listed below:

 

NAME, ADDRESS*
AND AGE
   POSITION(S)
HELD WITH FUND
   PRINCIPLE OCCUPATION
DURING LAST FIVE YEARS
Onur Erzan
47
   President and Chief Executive Officer    See biography above.
     
Sammy Suzuki
52
   Vice President    Senior Vice President of the Adviser**, with which he has been associated since prior to 2018. He is also Head – Emerging Market Equities and Co-Chief Investment Officer – Strategic Core Equities.
     
Richard Cao
30
   Vice President    Senior Vice President of the Adviser**, with which he has been associated in a substantially similar capacity to his current position, including as a portfolio analyst, since prior to 2018.
     
Christian DiClementi
41
   Vice President    Senior Vice President of the Adviser**, with which he has been associated since prior to 2018.
     
Nancy E. Hay
50
   Secretary    Vice President and Counsel of the Adviser**, with which she has been associated since prior to 2018 and Assistant Secretary of ABI**.
     
Michael B. Reyes
46
   Senior Vice President    Vice President of the Adviser**, with which he has been associated since prior to 2018.
     
Joseph J. Mantineo
64
   Treasurer and Chief Financial Officer    Senior Vice President of AllianceBernstein Investor Services (“ABIS”)**, with which he has been associated since prior to 2018.
     
Phyllis J. Clarke
62
   Controller    Vice President of ABIS**, with which she has been associated since prior to 2018.
     

Jennifer Friedland

48

   Chief Compliance Officer   

Vice President of the Adviser since 2020 and Mutual Fund Chief Compliance Officer (of all Funds since January 2023 and of the ETF Funds since 2022). Before joining the Adviser in 2020, she was Chief Compliance Officer at WestEnd Advisors, LLC from prior to 2018 until 2019.

 

*

The address for each of the Fund’s Officers is 1345 Avenue of the Americas, New York, NY 10105.

 

**

The Adviser, ABI and ABIS are affiliates of the Fund.

 

  

The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or AB at (800) 227-4618, or visit www.abfunds.com, for a free prospectus or SAI.

 

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Operation and Effectiveness of the Funds’ Liquidity Risk Management Program:

In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.

One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Fund’s Liquidity Risk Management Program. The Administrator of the Fund’s LRMP is AllianceBernstein L.P., the Fund’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).

Another requirement of the Liquidity Rule is for the Fund’s Board of Directors/Trustees (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the fund’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2023, which covered the period January 1, 2022 through December 31, 2022 (the “Program Reporting Period”).

The LRMP’s principal objectives include supporting the Fund’s compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.

Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.

During the Program Reporting Period, the Committee reviewed whether the Fund’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.

The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Fund’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Fund’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.

The Adviser informed the Fund Board that the Committee believes the Funds’ LRMP is adequately designed, has been implemented as intended,

 

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and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, liquidity in all markets was challenged due to rising rates and economic uncertainty. However, markets also remained orderly during the Program Reporting Period. There were no liquidity events that impacted the Fund or its ability to timely meet redemptions during the Program Reporting Period.

 

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Information Regarding the Review and Approval of the Fund’s Advisory Agreement

The disinterested directors (the “directors”) of AB Cap Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Emerging Markets Multi-Asset Portfolio (the “Fund”) at a meeting held in-person on May 3-5, 2022 (the “Meeting”).

Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Vice President for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.

The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.

The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:

 

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Nature, Extent and Quality of Services Provided

The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant retained at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.

Costs of Services Provided and Profitability

The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2020 and 2021 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors noted that the Fund was not profitable to the Adviser in the periods reviewed.

 

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Fall-Out Benefits

The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Fund’s unprofitability to the Adviser would be exacerbated without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.

Investment Results

In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.

At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended February 28, 2022 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.

Advisory Fees and Other Expenses

The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median. Taking into account the administrative expense reimbursement paid to the Adviser in the latest fiscal year, the directors noted that the Adviser’s total rate of compensation was equal to the median.

The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose,

 

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they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Vice President and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements.

The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.

In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the directors considered the Adviser’s expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Fund’s expense ratio was acceptable.

 

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Economies of Scale

The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.

 

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This page is not part of the Shareholder Report or the Financial Statements.

 

 

AB FAMILY OF FUNDS

 

US EQUITY

CORE

Core Opportunities Fund

Select US Equity Portfolio

Sustainable US Thematic Portfolio

GROWTH

Concentrated Growth Fund

Discovery Growth Fund

Growth Fund

Large Cap Growth Fund

Small Cap Growth Portfolio

VALUE

Discovery Value Fund

Equity Income Fund

Relative Value Fund

Small Cap Value Portfolio

Value Fund

INTERNATIONAL/ GLOBAL EQUITY

CORE

Global Core Equity Portfolio

International Strategic Core Portfolio

Sustainable Global Thematic Fund

Sustainable International Thematic Fund

Tax-Managed Wealth Appreciation Strategy

Wealth Appreciation Strategy

GROWTH

Concentrated International Growth Portfolio

VALUE

All China Equity Portfolio

International Value Fund

FIXED INCOME

MUNICIPAL

High Income Municipal Portfolio

Intermediate California Municipal Portfolio

Intermediate Diversified Municipal Portfolio

Intermediate New York Municipal Portfolio

Municipal Bond Inflation Strategy

Tax-Aware Fixed Income Opportunities Portfolio

National Portfolio

Arizona Portfolio

California Portfolio

Massachusetts Portfolio

Minnesota Portfolio

New Jersey Portfolio

New York Portfolio

Ohio Portfolio

Pennsylvania Portfolio

Virginia Portfolio

TAXABLE

Bond Inflation Strategy

Global Bond Fund

High Income Fund

Income Fund

Intermediate Duration Portfolio

Limited Duration High Income Portfolio

Short Duration Income Portfolio

Short Duration Portfolio

Sustainable Thematic Credit Portfolio

Total Return Bond Portfolio

ALTERNATIVES

All Market Real Return Portfolio

Global Real Estate Investment Fund

Select US Long/Short Portfolio

MULTI-ASSET

All Market Total Return Portfolio

Emerging Markets Multi-Asset Portfolio

Global Risk Allocation Fund

Sustainable Thematic Balanced Portfolio

CLOSED-END FUNDS

AllianceBernstein Global High Income Fund

AllianceBernstein National Municipal Income Fund

EXCHANGE-TRADED FUNDS

Disruptors ETF

High Yield ETF

Tax-Aware Short Duration Municipal ETF

Ultra Short Income ETF

US High Dividend ETF

US Low Volatility Equity ETF

 

We also offer Government Money Market Portfolio, which serves as the money market fund exchange vehicle for the AB mutual funds. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.

Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.

 

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LOGO

AB EMERGING MARKETS MULTI-ASSET PORTFOLIO

1345 Avenue of the Americas

New York, NY 10105

800 221 5672

 

EMMA-0151-0323                 LOGO


ITEM 2.

CODE OF ETHICS.

(a) The registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer and principal accounting officer. A copy of the registrant’s code of ethics is filed herewith as Exhibit 12(a)(1).

(b) During the period covered by this report, no material amendments were made to the provisions of the code of ethics adopted in 2(a) above.

(c) During the period covered by this report, no implicit or explicit waivers to the provisions of the code of ethics adopted in 2(a) above were granted.

 

ITEM 3.

AUDIT COMMITTEE FINANCIAL EXPERT.

The registrant’s Board of Directors has determined that independent directors Garry L. Moody, Marshall C. Turner, Jr. and Jorge A. Bermudez qualify as audit committee financial experts.

 

ITEM 4.

PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a)—(c) The following table sets forth the aggregate fees billed by the independent registered public accounting firm Ernst & Young LLP, for the Fund’s last two fiscal years for professional services rendered for: (i) the audit of the Fund’s annual financial statements included in the Fund’s annual report to stockholders; (ii) assurance and related services that are reasonably related to the performance of the audit of the Fund’s financial statements and are not reported under (i), which include advice and education related to accounting and auditing issues and quarterly press release review (for those Funds which issue press releases), and preferred stock maintenance testing (for those Funds that issue preferred stock); and (iii) tax compliance, tax advice and tax return preparation.

 

            Audit Fees      Audit-Related
Fees
     Tax Fees  

AB Emerging Markets Multi-Asset

     2022      $ 57,769      $ —        $ 34,517  
     2023      $ 60,657         $ 25,331  

(d) Not applicable.

(e) (1) Beginning with audit and non-audit service contracts entered into on or after May 6, 2003, the Fund’s Audit Committee policies and procedures require the pre-approval of all audit and non-audit services provided to the Fund by the Fund’s independent registered public accounting firm. The Fund’s Audit Committee policies and procedures also require pre-approval of all audit and non-audit services provided to the Adviser and Service Affiliates to the extent that these services are directly related to the operations or financial reporting of the Fund.

(e) (2) 100% of the amounts for Audit-Related Fees and Tax Fees in the table under Item 4 (b) and (c) are for services pre-approved by the Fund’s Audit Committee. No amounts are reported for Item 4 (d).


(f) Not applicable.

(g) The following table sets forth the aggregate non-audit services provided to the Fund, the Fund’s Adviser and entities that control, are controlled by or under common control with the Adviser that provide ongoing services to the Fund:

 

            All Fees for
Non-Audit Services
Provided to the
Portfolio, the Adviser
and Service Affiliates
     Total Amount of
Foregoing Column Pre-
approved by the Audit
Committee
(Portion Comprised of
Audit Related Fees)
(Portion Comprised of
Tax Fees)
 

AB Emerging Market Multi-Asset

     2022      $ 1,163,742      $ 34,517  
         $ —    
         $ (34,517
     2023      $ 2,010,014      $ 25,331  
         $ —    
         $ (25,331

(h) The Audit Committee of the Fund has considered whether the provision of any non-audit services not pre-approved by the Audit Committee provided by the Fund’s independent registered public accounting firm to the Adviser and Service Affiliates is compatible with maintaining the auditor’s independence.

 

ITEM 5.

AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable to the registrant.

 

ITEM 6.

INVESTMENTS.

Please see Schedule of Investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.

 

ITEM 7.

DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable to the registrant.


ITEM 8.

PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable to the registrant.

 

ITEM 9.

PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable to the registrant.

 

ITEM 10.

SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Directors since the Fund last provided disclosure in response to this item.

 

ITEM

11. CONTROLS AND PROCEDURES.

(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended) are effective at the reasonable assurance level based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

(b) There were no changes in the registrant’s internal controls over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

ITEM 12.

DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable to the registrant.


ITEM 13.

EXHIBITS.

The following exhibits are attached to this Form N-CSR:

 

EXHIBIT NO.  

DESCRIPTION OF EXHIBIT

12(a)(1)   Code of Ethics that is subject to the disclosure of Item 2 hereof
12(b)(1)   Certification of Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
12(b)(2)   Certification of Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
12(c)
  Certification of Principal Executive Officer and Principal Financial Officer Pursuant to Section 906 of the Sarbanes —Oxley Act of 2002

 


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant): AB Cap Fund, Inc.
By:   /s/ Onur Erzan
  Onur Erzan
  President
Date:   May 30, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:   /s/ Onur Erzan
  Onur Erzan
  President
Date:   May 30, 2023
By:   /s/ Joseph J. Mantineo
  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   May 30, 2023

 


ATTACHMENTS / EXHIBITS

ATTACHMENTS / EXHIBITS

CODE OF ETHICS

CERTIFICATIONS PURSUANT TO SECTION 302

CERTIFICATIONS PURSUANT TO SECTION 906