ab (hk) unit trust series - alliancebernstein · 2020-01-02 · state street trust (hk) limited...

AB (HK) Unit Trust Series Annual Reportfor the year ended 31 August 2019

www.abfunds.com.hk

Annual reportfor the year ended 31 August 2019

ContentsPage

Directory of parties 2Report of the Manager 3Report of the Trustee 4Statement of Responsibilities of the Manager and the Trustee 5Independent Auditor’s Report 6Statement of Financial Position / Statement of Comprehensive Income / Statement of Changes in Net AssetsAttributable to Unitholders / Statement of Cash Flows

AB (HK) Global Value Portfolio 9–12AB (HK) Asia Ex-Japan Equity Portfolio 13–16AB (HK) Global High Yield Portfolio 17–20AB (HK) American Income Portfolio 21–24AB (HK) European Income Portfolio 25–28AB (HK) Emerging Markets Multi-Asset Portfolio 29–32

Notes to the Financial Statements 33AB (HK) Global Value Portfolio 122

Investment Portfolio (Unaudited) 122Investment portfolio of AB FCP I - Global Value Portfolio (Unaudited) 123Statement of movements in investment portfolio (Unaudited) 128Performance record (Unaudited) 129

AB (HK) Asia Ex-Japan Equity Portfolio 130Investment Portfolio (Unaudited) 130Investment portfolio of AB FCP I - Asia Ex-Japan Equity Portfolio (Unaudited) 131Statement of movements in investment portfolio (Unaudited) 133Performance record (Unaudited) 134

AB (HK) Global High Yield Portfolio 135Investment Portfolio (Unaudited) 135Investment portfolio of AB FCP I - Global High Yield Portfolio (Unaudited) 136Statement of movements in investment portfolio (Unaudited) 164Performance record (Unaudited) 165

AB (HK) American Income Portfolio 167Investment Portfolio (Unaudited) 167Investment portfolio of AB FCP I - American Income Portfolio (Unaudited) 168Statement of movements in investment portfolio (Unaudited) 199Performance record (Unaudited) 200

AB (HK) European Income Portfolio 202Investment Portfolio (Unaudited) 202Investment portfolio of AB FCP I - European Income Portfolio (Unaudited) 203Statement of movements in investment portfolio (Unaudited) 210Performance record (Unaudited) 211

AB (HK) Emerging Markets Multi-Asset Portfolio 212Investment Portfolio (Unaudited) 212Investment portfolio of AB SICAV I - Emerging Markets Multi-Asset Portfolio (Unaudited) 213Statement of movements in investment portfolio (Unaudited) 231Performance record (Unaudited) 232

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DIRECTORY OF PARTIES

ManagerAllianceBernstein Hong Kong Limited39th FloorOne Island EastTaikoo Place18 Westlands RoadQuarry BayHong Kong

Directors of the ManagerSteven Michael EisenbergAjai Mohan KaulBradley John GibsonStuart Campbell Rae

Investment AdviserAllianceBernstein L.P.1345 Avenue of the AmericasNew YorkNew York 10105U.S.

RegistrarAllianceBernstein Investor Services, a unit of AllianceBernstein (Luxembourg) S.à r.l.2-4, rue Eugène RuppertL-2453 Luxembourg

TrusteeState Street Trust (HK) Limited68th FloorTwo International Finance Centre8 Finance StreetCentralHong Kong

CustodianState Street Bank and Trust CompanyOne Lincoln StreetBostonMassachusetts 02111U.S.

AuditorsPricewaterhouseCoopers21/F, Edinburgh Tower15 Queen’s Road CentralHong Kong

AB (HK) Unit Trust SeriesAnnual report for the year ended 31 August 2019

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REPORT OF THE MANAGER

This report provides an update of AB (HK) Unit Trust Series (the “Fund”) for the annual reporting period ended 31 August 2019.

US stocks rose modestly during the 12-month period ended 31 August 2019; emerging-market and international stocksdeclined, as all markets experienced volatility amid trade tensions, slowing global growth and geopolitical unrest. At the end of2018, US and global stocks declined, driven lower by concerns over rising interest rates, intensifying trade tensions betweenthe US and China and slowing global growth. All markets rebounded dramatically in January as the US Federal Reserve (the“Fed”) kept rates unchanged, companies reported strong corporate earnings and optimism over the possibility of a trade trucebetween the US and China buoyed investor sentiment. Escalation of the trade war continued, however, and emergingpressures such as political unrest in Hong Kong and the probability of a no-deal Brexit under newly appointed Prime MinisterBoris Johnson initiated a period of increased market volatility.

Slowing global growth, a weak outlook for the Chinese economy, and the prospect of a recession in Germany prompted theworld’s central banks to implement monetary policy stimulus. The Fed announced a one-quarter percentage point rate cut inJuly.

Fixed-income markets rallied over the period. Globally, treasury securities were strong performers, with emerging-marketsovereign debt outpacing developed-country government bonds. Developed-market treasury yield curves generally flattenedacross the board over the reporting period, with longer maturities falling further than shorter-term securities (bond yields moveinversely to price). However, portions of the yield curves in the US, Germany and Japan inverted—typically thought to be aharbinger of recession. Investment-grade corporate returns were robust and outperformed the rally in high-yield bonds (due tolower risk and interest-rate sensitivity) and spreads remained near historical lows.

Despite the European Central Bank formally ending its bond-buying program in January, the bank also turned moreconciliatory, citing a continent-wide slowdown in economic growth, with market participants strongly anticipating further ratecuts and quantitative easing. The Bank of Canada grew dovish as well, while the Reserve Bank of Australia brought its cashrate to a record low. The Bank of Japan echoed the sentiment by adjusting forward guidance to indicate that interest rates wouldremain low until at least 2020.

We appreciate your investment in the Fund.

For and on behalf ofAllianceBernstein Hong Kong Limitedas the Manager

23 December 2019

AB (HK) Unit Trust SeriesAnnual report for the period ended 31 August 2019

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REPORT OF THE TRUSTEE

We hereby confirm that, in our opinion, the Manager of the AB (HK) Global Value Portfolio, AB (HK) Asia Ex-Japan EquityPortfolio, AB (HK) Global High Yield Portfolio, AB (HK) American Income Portfolio, AB (HK) European Income Portfolio and AB(HK) Emerging Markets Multi-Asset Portfolio (the “Sub-Funds”) has, in all material respects, managed the Sub-Funds inaccordance with the provisions of the Trust Deed dated 15 July 2015, for the year ended 31 August 2019.

For and on behalf ofState Street Trust (HK) Limitedas the Trustee

23 December 2019


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STATEMENT OF RESPONSIBILITIES OF THE MANAGER AND THE TRUSTEE

Manager’s Responsibilities

The Manager of the AB (HK) Global Value Portfolio, AB (HK) Asia Ex-Japan Equity Portfolio, AB (HK) Global High YieldPortfolio, AB (HK) American Income Portfolio, AB (HK) European Income Portfolio and AB (HK) Emerging Markets Multi-AssetPortfolio (the “Sub-Funds”) is required by the Code on Unit Trusts and Mutual Funds issued by the Securities & FuturesCommission of Hong Kong and the Trust Deed dated 15 July 2015 (the “Trust Deed”) to prepare financial statements for eachannual accounting period which give a true and fair view of the financial position of the Sub-Funds at the end of that period andof the transactions for the period then ended. In respect of these financial statements the Manager, with the assistance of theservice provider, is required to:

• select suitable accounting policies and then apply them consistently;

• make judgments and estimates that are prudent and reasonable; and

• prepare or arrange for the preparation of the financial statements on the basis that the Sub-Funds will continue inoperation unless it is inappropriate to presume this.

The Manager is also required to manage the Sub-Funds in accordance with the Trust Deed and take reasonable steps for theprevention and detection of fraud and other irregularities.

AB (HK) Unit Trust Series (the “Fund”) is an umbrella unit trust governed by its Trust Deed. As at 31 August 2019, the Fund hasestablished the following Sub-Funds:

• AB (HK) Global Value Portfolio

• AB (HK) Asia Ex-Japan Equity Portfolio

• AB (HK) Global High Yield Portfolio

• AB (HK) American Income Portfolio

• AB (HK) European Income Portfolio

• AB (HK) Emerging Markets Multi-Asset Portfolio

Trustee’s Responsibilities

The Trustee of the Sub-Funds is required to:

• take reasonable care to ensure that the Sub-Funds are managed by the Manager in accordance with the Trust Deed andthat the investment and borrowing powers are complied with;

• satisfy itself that accounting and other related records have been maintained;

• safeguard the property of the Sub-Funds and rights attaching thereto; and

• report to the Unitholders for each annual accounting period on the conduct of the Manager in the management of theSub-Funds


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INDEPENDENT AUDITOR’S REPORTTo the Unitholders of AB (HK) Unit Trust Series (the “Fund”)

Report on the Audit of the Financial Statements

Opinion

What we have audited

The financial statements of AB (HK) Global Value Portfolio, AB (HK) Asia Ex-Japan Equity Portfolio, AB (HK) Global High YieldPortfolio, AB (HK) American Income Portfolio, AB (HK) European Income Portfolio and AB (HK) Emerging Markets Multi-AssetPortfolio (each a separate sub-fund of AB (HK) Unit Trust Series and referred to individually or collectively as the “Sub-Funds”)set out on pages 9 to 121, which comprise:

• the statements of financial position as at 31 August 2019;

• the statements of comprehensive income for the year then ended;

• the statements of changes in net assets attributable to unitholders for the year then ended;

• the statements of cash flows for the year then ended; and

• the notes to the financial statements, which include a summary of significant accounting policies.

Our opinion

In our opinion, the financial statements give a true and fair view of the financial position of each of the Sub-Funds as at31 August 2019, and of each of their financial transactions and cash flows for the year then ended in accordance with HongKong Financial Reporting Standards (“HKFRSs”) issued by the Hong Kong Institute of Certified Public Accountants(“HKICPA”).

Basis for Opinion

We conducted our audit in accordance with Hong Kong Standards on Auditing (“HKSAs”) issued by the HKICPA. Ourresponsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the FinancialStatements section of our report.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Independence

We are independent of the Sub-Funds in accordance with the HKICPA’s Code of Ethics for Professional Accountants (the“Code”), and we have fulfilled our other ethical responsibilities in accordance with the Code.

Other Information

The other information comprises all of the information included in the annual report other than the financial statements and ourauditor’s report thereon. The manager of the Sub-Funds (the “Manager”) is responsible for the other information, except theReport of the Trustee, which the trustee of the Sub-Funds (the “Trustee”) is responsible to issue.

Our opinion on the financial statements does not cover the other information and we do not express any form of assuranceconclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so,consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in theaudit or otherwise appears to be materially misstated.

If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we arerequired to report that fact. We have nothing to report in this regard.


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Responsibilities of the Manager for the Financial Statements

The Manager of the Sub-Funds is responsible for the preparation of the financial statements that give a true and fair view inaccordance with HKFRSs issued by the HKICPA, and for such internal control as the Manager determines is necessary toenable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the Manager of the Sub-Funds is responsible for assessing the Sub-Funds’ ability tocontinue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis ofaccounting unless the Manager either intends to liquidate the Sub-Funds or to cease operations, or has no realistic alternativebut to do so.

In addition, the Manager of the Sub-Funds is required to ensure that the financial statements have been properly prepared inaccordance with the relevant disclosure provisions of the Trust Deed dated 15 July 2015 (“Trust Deed”) and Appendix E of theCode on Unit Trusts and Mutual Funds issued by the Hong Kong Securities and Futures Commission (the “SFC Code”).

Auditor’s Responsibilities for the Audit of the Financial Statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from materialmisstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. We report our opinionsolely to you, as a body, and for no other purpose. We do not assume responsibility towards or accept liability to any otherperson for the contents of this report. Reasonable assurance is a high level of assurance, but is not a guarantee that an auditconducted in accordance with HKSAs will always detect a material misstatement when it exists. Misstatements can arise fromfraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influencethe economic decisions of users taken on the basis of these financial statements. In addition, we are required to assesswhether the financial statements of the Sub-Funds have been properly prepared, in all material respects, in accordance withthe relevant disclosure provisions of the Trust Deed and the SFC Code.

As part of an audit in accordance with HKSAs, we exercise professional judgment and maintain professional scepticismthroughout the audit. We also:

• Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, designand perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate toprovide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than forone resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the overrideof internal control.

• Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriatein the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Sub-Funds’ internalcontrol.

• Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and relateddisclosures made by the Manager.

• Conclude on the appropriateness of the Manager’s use of the going concern basis of accounting and, based on the auditevidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubton the Sub-Funds’ ability to continue as a going concern. If we conclude that a material uncertainty exists, we arerequired to draw attention in our auditor’s report to the related disclosures in the financial statements or, if suchdisclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to thedate of our auditor’s report. However, future events or conditions may cause the Sub-Funds to cease to continue as agoing concern.

• Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, andwhether the financial statements represent the underlying transactions and events in a manner that achieves fairpresentation.

We communicate with the Manager regarding, among other matters, the planned scope and timing of the audit and significantaudit findings, including any significant deficiencies in internal control that we identify during our audit.


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Report on Matters under the Relevant Disclosure Provisions of the Trust Deed and the SFC Code

In our opinion, the financial statements have been properly prepared, in all material respects, in accordance with the relevantdisclosure provisions of the Trust Deed and the SFC Code.

PricewaterhouseCoopersCertified Public Accountants

Hong Kong, 23 December 2019


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AB (HK) Global Value PortfolioStatement of Financial PositionAs at 31 August 2019

Year ended Year ended31 August

201931 August

2018

Note USD USD

Current Assets

Financial assets at fair value through profit or loss 3(a) 1,429,594 2,759,289

Cash and cash equivalents 5(j) 2,157 1,319

Dividend receivable 5(o) 7,781 12,889

Other receivables and prepayments 5(h) 3,784 3,680

Subscription receivable - 7,204

Total assets 1,443,316 2,784,381

Current Liabilities

Financial liabilities at fair value through profit or loss 3(a) 14,377 62

Distribution payable 8 6,458 14,369

Administration fee payable 5(c) 534 552

Management fee payable 5(a) 1,789 3,271

Trustee fee payable 5(b) 88 150

Other payables and accruals 34,906 39,899

Amounts due to Underlying Scheme 5(m) - 7,198

Total liabilities (excluding net assets attributable to unitholders) 58,152 65,501

Net assets attributable to unitholders (In accordance with HKFRS) 1,385,164 2,718,880

Fair value adjustment of units of the Sub-Fund 6 (3,392) 3,607Net assets attributable to unitholders (In accordance with the Sub-Fund’sTrust Deed) 1,381,772 2,722,487

Approved by the Trustee and the Manager on 23 December 2019.

For and on behalf of For and on behalf of

................................... .....................................

State Street Trust (HK) Limited, as the Trustee AllianceBernstein Hong Kong Limited, as the Manager

The notes on pages 33 to 121 form an integral part of these financial statements.


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AB (HK) Global Value PortfolioStatement of Comprehensive IncomeFor the year ended 31 August 2019


201931 August

2018

Note USD USD

Income

Dividend income 5(o) 113,851 114,677

Interest income 5(j) 10 11Net changes in fair value on financial assets and liabilities at fair valuethrough profit or loss 4 (352,631) (73,475)

Net foreign exchange (loss)/gain (685) 456

Other income 5(h) 39,380 50,356

Total investment (loss)/income (200,075) 92,025

Expenses

Administration fee 5(c) 13,182 13,193

Audit fee 14,500 14,500

Management fee 5(a) 27,303 29,047

Trustee fee 5(b) 637 678

Other operating expenses 11,342 22,730

Total operating expenses 66,964 80,148

Operating (loss)/profit (267,039) 11,877

Finance cost

Distributions to unitholders 8 (109,852) (137,956)

Loss after distributions (376,891) (126,079)

Change in cumulative difference arising from the fair value adjustment ofunits of the Sub-Fund 6 (6,999) (7,001)

Decrease in net assets attributable to unitholders from operations (383,890) (133,080)



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AB (HK) Global Value PortfolioStatement of Changes in Net Assets Attributable to UnitholdersFor the year ended 31 August 2019


201931 August

2018

Note USD USD

Net assets attributable to unitholders at the beginning of the year 2,722,487 1,113,770

Subscription of units 182,480 3,633,720

Redemption of units (1,139,305) (1,891,923)

1,765,662 2,855,567

Decrease in net assets attributable to unitholders from operations (383,890) (133,080)Net assets attributable to unitholders at the end of the year (Inaccordance with the Sub-Fund’s Trust Deed) 6 1,381,772 2,722,487



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AB (HK) Global Value PortfolioStatement of Cash FlowsFor the year ended 31 August 2019


201931 August

2018

USD USD

Cash flows from operating activities

Purchase of investments and derivatives (312,839) (3,833,887)

Proceeds from disposal of investments and derivatives 1,296,335 2,136,297

Interest income received 10 11

Dividend income received 118,959 107,181

Other income received 39,276 48,378

Management fee paid (28,785) (27,180)

Other operating expenses paid (44,734) (44,398)

Net cash inflow/(outflow) from operating activities 1,068,222 (1,613,598)

Cash flows from financing activities

Distributions paid (108,844) (124,511)

Cash received on issue of units 180,765 3,621,151

Cash paid on redemption of units (1,139,305) (1,891,923)

Net cash (outflow)/inflow from financing activities (1,067,384) 1,604,717

Increase/(decrease) in cash and cash equivalents 838 (8,881)

Cash and cash equivalents at the beginning of the year 1,319 10,200

Cash and cash equivalents at the end of the year 2,157 1,319

Analysis of balances of cash and cash equivalents:

Cash at banks 2,157 1,319

Non-cash financing activitiesDuring the year, the following distribution payments were satisfied by the issueof units under the distribution reinvestment plan 8,919 5,365



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AB (HK) Asia Ex-Japan Equity PortfolioStatement of Financial PositionAs at 31 August 2019


201931 August

2018

Note USD USD

Current Assets

Financial assets at fair value through profit or loss 3(a) 736,273 894,885

Cash and cash equivalents 5(j) 6,338 1,304



Amounts due from Underlying Scheme 5(m) - 417,924

Total assets 750,174 1,324,183

Current Liabilities







Redemption payable - 419,049


Net assets attributable to unitholders (In accordance with HKFRS) 703,210 854,986

Fair value adjustment of units of the Sub-Fund 6 (3,392) 3,607Net assets attributable to unitholders (In accordance with the Sub-Fund’sTrust Deed) 699,818 858,593



................................... .....................................




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AB (HK) Asia Ex-Japan Equity PortfolioStatement of Comprehensive IncomeFor the year ended 31 August 2019


201931 August

2018

Note USD USD

Income




Other income 5(h) 43,548 52,437

Total investment income/(loss) 19,320 (233,248)

Expenses


Audit fee 14,500 14,500


Trustee fee 5(b) 397 609



Operating loss (39,915) (313,497)

Finance cost







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AB (HK) Asia Ex-Japan Equity PortfolioStatement of Changes in Net Assets Attributable to UnitholdersFor the year ended 31 August 2019


201931 August

2018

Note USD USD

Net assets attributable to unitholders at the beginning of the year 858,593 535,606

Subscription of units 2,291,560 4,341,306


810,836 1,290,696

Decrease in net assets attributable to unitholders from operations (111,018) (432,103)Net assets attributable to unitholders at the end of the year (Inaccordance with the Sub-Fund’s Trust Deed) 6 699,818 858,593



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AB (HK) Asia Ex-Japan Equity PortfolioStatement of Cash FlowsFor the year ended 31 August 2019


201931 August

2018

USD USD


Purchase of investments and derivatives (2,259,944) (4,414,973)







Net cash inflow/(outflow) from operating activities 539,159 (1,075,467)



Cash received on issue of units 2,286,450 4,335,990


Net cash (outflow)/inflow from financing activities (534,121) 1,066,662

Increase/(decrease) in cash and cash equivalents 5,038 (8,805)


Effect of foreign exchange rates on cash and cash equivalents (4) 1

Cash and cash equivalents at the end of the year 6,338 1,304


Cash at banks 6,338 1,304




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AB (HK) Global High Yield PortfolioStatement of Financial PositionAs at 31 August 2019


201931 August

2018

Note USD USD

Current Assets


Cash and cash equivalents 5(j) 174 225



Subscription receivable 7,692 -

Total assets 16,359,504 16,163,711

Current Liabilities



Administration fee payable 5(c) 1,797 1,801




Amounts due to Underlying Scheme 5(m) 7,693 -






................................... .....................................




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AB (HK) Global High Yield PortfolioStatement of Comprehensive IncomeFor the year ended 31 August 2019


201931 August

2018

Note USD USD

Income

Dividend income 5(o) 1,236,513 1,350,117

Interest income 5(j) 30 18Net changes in fair value on financial assets and liabilities at fair valuethrough profit or loss 4 (1,015,491) (1,544,365)


Other income 5(h) 28,216 34,497

Total investment income/(loss) 249,264 (159,342)

Expenses


Audit fee 14,500 14,500


Trustee fee 5(b) 5,052 5,834



Operating loss (39,011) (495,229)

Finance cost

Distributions to unitholders 8 (1,261,073) (1,580,159)

Loss after distributions (1,300,084) (2,075,388)


Decrease in net assets attributable to unitholders from operations (1,307,083) (2,082,389)



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AB (HK) Global High Yield PortfolioStatement of Changes in Net Assets Attributable to UnitholdersFor the year ended 31 August 2019


201931 August

2018

Note USD USD




17,318,954 18,061,638

Decrease in net assets attributable to unitholders from operations (1,307,083) (2,082,389)Net assets attributable to unitholders at the end of the year (Inaccordance with the Sub-Fund’s Trust Deed) 6 16,011,871 15,979,249



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AB (HK) Global High Yield PortfolioStatement of Cash FlowsFor the year ended 31 August 2019


201931 August

2018

USD USD





Dividend income received 1,235,113 1,313,336




Net cash outflow from operating activities (60,746) (3,945,571)


Distributions paid (1,201,206) (1,497,088)



Net cash inflow from financing activities 60,695 3,945,599

(Decrease)/increase in cash and cash equivalents (51) 28

Cash and cash equivalents at the beginning of the year 225 197

Cash and cash equivalents at the end of the year 174 225


Cash at banks 174 225




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AB (HK) American Income PortfolioStatement of Financial PositionAs at 31 August 2019


201931 August

2018

Note USD USD

Current Assets


Cash and cash equivalents 5(j) 1,786 405

Dividend receivable 5(o) 1,544,057 342,246

Subscription receivable 3,618,403 312,476

Amounts due from Underlying Scheme 5(m) 1,081,946 45,957

Total assets 300,022,690 63,947,700

Current Liabilities

Financial liabilities at fair value through profit or loss 3(a) 2,949,631 4,931

Distribution payable 8 1,593,830 419,964

Administration fee payable 5(c) 6,191 2,578


Trustee fee payable 5(b) 16,319 3,675


Redemption payable 3,612,051 103,394

Amounts due to Underlying Scheme 5(m) 1,086,640 254,679

Total liabilities (excluding net assets attributable to unitholders) 9,584,427 891,358





................................... .....................................




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AB (HK) American Income PortfolioStatement of Comprehensive IncomeFor the year ended 31 August 2019


201931 August

2018

Note USD USD

Income

Dividend income 5(o) 9,073,070 4,764,957

Interest income 5(j) 137 77Net changes in fair value on financial assets and liabilities at fair valuethrough profit or loss 4 (2,394,461) (4,683,538)

Net foreign exchange gain 110 898

Other income 5(h) 4 55

Total investment income 6,678,860 82,449

Expenses


Audit fee 14,500 14,500

Management fee 5(a) 1,546,142 836,714

Trustee fee 5(b) 49,196 26,623


Total operating expenses 1,713,831 958,885

Operating profit/(loss) 4,965,029 (876,436)

Finance cost

Distributions to unitholders 8 (10,178,605) (6,123,671)

Loss after distributions (5,213,576) (7,000,107)


Decrease in net assets attributable to unitholders from operations (5,220,575) (7,007,108)



-22-

AB (HK) American Income PortfolioStatement of Changes in Net Assets Attributable to UnitholdersFor the year ended 31 August 2019


201931 August

2018

Note USD USD




295,655,369 70,066,980

Decrease in net assets attributable to unitholders from operations (5,220,575) (7,007,108)Net assets attributable to unitholders at the end of the year (Inaccordance with the Sub-Fund’s Trust Deed) 6 290,434,794 63,059,872



-23-

AB (HK) American Income PortfolioStatement of Cash FlowsFor the year ended 31 August 2019


201931 August

2018

USD USD





Dividend income received 7,871,259 4,753,666

Other income received 4 55

Management fee paid (1,336,028) (841,803)


Net cash (outflow)/inflow from operating activities (223,792,103) 8,303,256


Distributions paid (8,924,435) (6,132,055)



Net cash inflow/(outflow) from financing activities 223,793,488 (8,303,087)

Increase in cash and cash equivalents 1,385 169

Cash and cash equivalents at the beginning of the year 405 235

Effect of foreign exchange rates on cash and cash equivalents (4) 1

Cash and cash equivalents at the end of the year 1,786 405


Cash at banks 1,786 405




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AB (HK) European Income PortfolioStatement of Financial PositionAs at 31 August 2019


201931 August

2018

Note EUR EUR

Current Assets


Cash and cash equivalents 5(j) 281 133



Subscription receivable 129,802 1,854

Total assets 15,024,213 11,318,631

Current Liabilities







Amounts due to Underlying Scheme 5(m) 129,707 1,851






................................... .....................................




-25-

AB (HK) European Income PortfolioStatement of Comprehensive IncomeFor the year ended 31 August 2019


201931 August

2018

Note EUR EUR

Income


Interest income 5(j) - 2Net changes in fair value on financial assets and liabilities at fair valuethrough profit or loss 4 870,746 (203,370)


Other income 5(h) 17,503 31,479

Total investment income 1,515,817 374,872

Expenses


Audit fee 13,561 12,131


Trustee fee 5(b) 4,436 3,703



Operating profit 1,320,689 195,784

Finance cost

Distributions to unitholders 8 (1,044,025) (996,147)

Profit/(loss) after distributions 276,664 (800,363)


Increase/(decrease) in net assets attributable to unitholders fromoperations 270,504 (806,171)



-26-

AB (HK) European Income PortfolioStatement of Changes in Net Assets Attributable to UnitholdersFor the year ended 31 August 2019


201931 August

2018

Note EUR EUR




14,416,417 11,993,314

Increase/(decrease) in net assets attributable to unitholders fromoperations 270,504 (806,171)Net assets attributable to unitholders at the end of the year (Inaccordance with the Sub-Fund’s Trust Deed) 6 14,686,921 11,187,143



-27-

AB (HK) European Income PortfolioStatement of Cash FlowsFor the year ended 31 August 2019


201931 August

2018

EUR EUR




Interest income received - 2





Net cash outflow from operating activities (2,064,286) (6,400,118)


Distributions paid (1,024,493) (928,635)



Net cash inflow from financing activities 2,064,434 6,399,046

Increase/(decrease) in cash and cash equivalents 148 (1,072)

Cash and cash equivalents at the beginning of the year 133 1,205

Cash and cash equivalents at the end of the year 281 133


Cash at banks 281 133




-28-

AB (HK) Emerging Markets Multi-Asset PortfolioStatement of Financial PositionAs at 31 August 2019


201931 August

2018

Note USD USD

Current Assets


Cash and cash equivalents 5(j) 713 1,122



Total assets 3,217,460 3,364,110

Current Liabilities












................................... .....................................




-29-

AB (HK) Emerging Markets Multi-Asset PortfolioStatement of Comprehensive IncomeFor the year ended 31 August 2019


201931 August

2018

Note USD USD

Income




Other income 5(h) 38,375 57,945

Total investment loss (154,402) (348,600)

Expenses


Audit fee 14,500 14,500


Trustee fee 5(b) 1,177 945



Operating loss (249,705) (450,832)

Finance cost







-30-

AB (HK) Emerging Markets Multi-Asset PortfolioStatement of Changes in Net Assets Attributable to UnitholdersFor the year ended 31 August 2019


201931 August

2018

Note USD USD




3,634,777 3,983,637

Decrease in net assets attributable to unitholders from operations (504,916) (685,676)Net assets attributable to unitholders at the end of the year (Inaccordance with the Sub-Fund’s Trust Deed) 6 3,129,861 3,297,961



-31-

AB (HK) Emerging Markets Multi-Asset PortfolioStatement of Cash FlowsFor the year ended 31 August 2019


201931 August

2018

USD USD









Net cash outflow from operating activities (76,690) (2,384,721)





Net cash inflow from financing activities 76,282 2,375,655

Decrease in cash and cash equivalents (408) (9,066)


Effect of foreign exchange rates on cash and cash equivalents (1) -

Cash and cash equivalents at the end of the year 713 1,122


Cash at banks 713 1,122




-32-

Notes to the Financial Statements

1 General Information

AB (HK) Unit Trust Series (the “Fund”) is an umbrella unit trust established under the laws of Hong Kong, by a trust deed dated15 July 2015 (the “Trust Deed”) between State Street Trust (HK) Limited (the “Trustee”) as trustee and AllianceBernstein HongKong Limited (the “Manager”) as manager, as amended from time to time.

As at 31 August 2019, the Fund has established six Sub-funds, namely AB (HK) Global Value Portfolio, AB (HK) Asia Ex-JapanEquity Portfolio, AB (HK) Global High Yield Portfolio, AB (HK) American Income Portfolio, AB (HK) European Income Portfolioand AB (HK) Emerging Markets Multi-Asset Portfolio (collectively the “Sub-Funds”). AB (HK) Global High Yield Portfolio and AB(HK) American Income Portfolio each have four classes of units issued. The other four Sub-Funds each have two classes ofunits issued.

The Fund is authorized by the Securities and Futures Commission of Hong Kong (the “SFC”) under Section 104(1) of the HongKong Securities and Futures Ordinance and is required to comply with the Code on Unit Trusts and Mutual Funds establishedby the SFC.

The Manager is responsible for, among other things, providing investment management services, investment advice andadministrative services to the Fund and arranging for the execution of the Fund’s securities transactions.

AB (HK) Global Value Portfolio

The Sub-Fund is a feeder fund investing all or substantially all of its assets in the Global Value Portfolio, a portfolio of AB FCPI, a mutual investment fund (fonds commun de placement) that is qualified as a UCITS under the laws of Luxembourg andauthorized by the SFC. The Sub-Fund commenced operations on 31 August 2015.

The investment objective of the AB FCP I - Global Value Portfolio is to achieve long-term capital growth by investing in globalportfolios of equity securities that are determined by the investment manager of the Underlying Scheme to be undervalued.

AB (HK) Asia Ex-Japan Equity Portfolio

The Sub-Fund is a feeder fund investing all or substantially all of its assets in the Asia Ex-Japan Equity Portfolio, a portfolio ofAB FCP I, a mutual investment fund (fonds commun de placement) that is qualified as a UCITS under the laws of Luxembourgand authorized by the SFC. The Sub-Fund commenced operations on 31 August 2015.

The investment objective of the AB FCP I - Asia Ex-Japan Equity Portfolio is to achieve long-term growth of capital and incomeby investing primarily in a portfolio of equity securities of companies in the Asia ex-Japan region that are determined by theinvestment manager of the Underlying Scheme to be undervalued.

AB (HK) Global High Yield Portfolio

The Sub-Fund is a feeder fund investing all or substantially all of its assets in the Global High Yield Portfolio, a portfolio of ABFCP I, a mutual investment fund (fonds commun de placement) that is qualified as a UCITS under the laws of Luxembourg andauthorized by the SFC. The Sub-Fund commenced operations on 31 August 2015.

The investment objective of the AB FCP I – Global High Yield Portfolio is to produce high current income as well as overall totalreturn by investing primarily in a portfolio of high-yielding debt securities of issuers located throughout the world, including USissuers and issuers in emerging-market countries.

AB (HK) American Income Portfolio

The Sub-Fund is a feeder fund investing all or substantially all of its assets in the American Income Portfolio, a portfolio of ABFCP I, a mutual investment fund (fonds commun de placement) that is qualified as a UCITS under the laws of Luxembourg andauthorized by the SFC. The Sub-Fund commenced operations on 27 August 2015.

The investment objective of the AB FCP I - American Income Portfolio is to seek to provide a high level of current incomeconsistent with preservation of capital by investing in a diversified portfolio of fixed-income securities.


-33-

Notes to the Financial Statements (Continued)

1 General Information (Continued)

AB (HK) European Income Portfolio

The Sub-Fund is a feeder fund investing all or substantially all of its assets in the European Income Portfolio, a portfolio of ABFCP I, a mutual investment fund (fonds commun de placement) that is qualified as a UCITS under the laws of Luxembourg andauthorized by the SFC. The Sub-Fund commenced operations on 31 August 2015.

The investment objective of the AB FCP I - European Income Portfolio is to achieve high total return by maximizing currentincome and, to the extent consistent with that objective, capital appreciation.

AB (HK) Emerging Markets Multi-Asset Portfolio

The Sub-Fund is a feeder fund investing all or substantially all of its assets in the Emerging Markets Multi-Asset Portfolio, aportfolio of AB SICAV I, an open-ended investment company with variable capital (société d’investissement à capital variable)that is qualified as a UCITS under the laws of Luxembourg and authorized by the SFC. The Sub-Fund commenced operationson 31 August 2015.

The investment objective of the AB SICAV I - Emerging Markets Multi-Asset Portfolio is to seek to maximize total return.

2 Summary of significant accounting policies

The principal accounting policies applied in the preparation of these financial statements are set out below. These policies havebeen consistently applied to all the periods presented, unless otherwise stated.

(a) Basis of preparation

The financial statements of the Sub-Funds have been prepared in accordance with Hong Kong Financial Reporting Standards(“HKFRSs”). The financial statements have been prepared under the historical cost convention, as modified by the revaluationof financial assets and liabilities (including derivatives financial instruments) held at fair value through profit or loss.

The preparation of financial statements in conformity with HKFRSs requires the use of accounting estimates. It also requiresthe Manager to exercise its judgment in the process of applying the Sub-Funds’ accounting policies.

All references to Net Asset Value (“NAV”) throughout these financial statements refer to net assets attributable to unitholdersunless otherwise stated.

(i) New and amended standards that are effective in the current year and have been adopted by the Sub-Funds

HKFRS 9 ‘Financial Instruments’ became effective for annual periods beginning on or after 1 January 2018. It addresses theclassification, measurement and derecognition of financial assets and liabilities and replaces the multiple classification andmeasurement models in HKAS 39.

Classification and measurement of debt assets is driven by the entity’s business model for managing the financial assets andthe contractual cash flow characteristics of the financial assets. A debt instrument is measured at amortized cost if the objectiveof the business model is to hold the financial asset for the collection of the contractual cash flows and the contractual cash flowsunder the instrument solely represent payments of principal and interest (SPPI). A debt instrument is measured at fair valuethrough other comprehensive income if the objective of the business model is to hold the financial asset both to collectcontractual cash flows from SPPI and to sell. All other debt instruments must be recognized at fair value through profit or loss.An entity may however, at initial recognition, irrevocably designate a financial asset as measured at fair value through profit orloss if doing so eliminates or significantly reduces a measurement or recognition inconsistency. Derivative and equityinstruments are measured at fair value through profit or loss unless, for equity instruments not held for trading, an irrevocableoption is taken to measure at fair value through other comprehensive income. HKFRS 9 also introduces a new expected creditloss (ECL) impairment model.


-34-


2 Summary of significant accounting policies (Continued)

(a) Basis of preparation (Continued)

HKFRS 9 has been applied retrospectively by the Sub-Funds and did not result in a change to the classification ormeasurement of financial instruments as outlined in note 2 (b). The Sub-Funds’ investment portfolio continues to be classifiedas fair value through profit or loss and other financial assets which are held for collection continue to be measured at amortizedcost. There was no material impact on adoption from the application of the new impairment model.

There are no other standards, amendments to standards or interpretations that are effective for annual periods beginning on1 September 2018 that have a material effect on the financial statements of the Sub-Funds.

(ii) New standards, amendments and interpretations effective after 1 September 2018 and have not been early adopted

A number of new standards, amendments to standards and interpretations are effective for annual periods beginning after1 September 2018, and have not been early adopted in preparing these financial statements. None of these are expected tohave a material effect on the financial statements of the Sub-Funds.

(b) Financial assets and liabilities at fair value through profit or loss

(i) Classification

The Sub-Funds currently classify all of their investments in Underlying Schemes, and derivatives, as financial assets orliabilities at fair value through profit or loss.

All derivatives are carried in assets when fair value is positive and in liabilities when fair value is negative.

The Sub-Funds do not classify any derivatives as hedges in a hedging relationship.

(ii) Recognition/derecognition

Regular purchases and sales of investments are recognized on the trade date - the date on which the Sub-Funds commit topurchase or sell the investment. Investments are derecognized when the rights to receive cash flows from the investments haveexpired or the Sub-Funds have transferred substantially all risks and rewards of ownership.

(iii) Measurement

Financial assets and liabilities at fair value through profit or loss are initially recognized at fair value. Subsequent to initialrecognition, all financial assets and liabilities at fair value through profit or loss are measured at fair value. Gains and lossesarising from changes in the fair value of financial assets or liabilities at fair value through profit or loss are presented in theStatement of Comprehensive Income.

(iv) Fair value estimation

Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction betweenmarket participants at the measurement date. The fair value of financial assets and liabilities traded in active markets (such aspublicly traded derivatives and trading securities) are based on quoted market prices at the close of trading on the reportingdate. The Sub-Funds utilize the last traded market price for both listed financial assets and liabilities where the last traded pricefalls within the bid-ask spread. In circumstances where the last traded price is not within the bid-ask spread, the Manager willdetermine the point within the bid-ask spread that is most representative of fair value.

Investments in Underlying Scheme are stated at fair value based on the net asset value per unit of the respective funds asdetermined by the administrators of the relevant funds.

(c) Income and expenses

Dividend income from financial assets at fair value through profit or loss is recognized in the Statement of ComprehensiveIncome when the Sub-Funds’ right to receive payment is established and is stated gross of withholding tax.

Expenses are accounted for on an accruals basis in the Statement of Comprehensive Income.


-35-



(d) Taxation

The Sub-Funds may incur withholding taxes imposed by certain countries on investment income. Such income is recordedgross of withholding taxes in the Statement of Comprehensive Income. Withholding taxes are included as taxation in theStatement of Comprehensive Income.

(e) Translation of foreign currencies

(i) Functional and presentation currency

Items included in the financial statements of the Sub-Funds are measured using the currency of the primary economicenvironment in which it operates (the “functional currency”).

AB (HK) Global Value Portfolio, AB (HK) Asia Ex-Japan Equity Portfolio, AB (HK) Global High Yield Portfolio, AB (HK) AmericanIncome Portfolio and AB (HK) Emerging Markets Multi-Asset Portfolio

The Manager of the Sub-Funds considers the United States dollar as the currency that most faithfully represents the economiceffects of the underlying transactions, events and conditions. The financial statements are presented in United States dollars,the Sub-Funds’ functional and presentation currency.


The Manager of the Sub-Fund considers the Euro as the currency that most faithfully represents the economic effects of theunderlying transactions, events and conditions. The financial statements are presented in Euro, the Sub-Fund’s functional andpresentation currency.

(ii) Transactions and balances

Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the dates of thetransactions. Foreign currency assets and liabilities are translated into the functional currency using the exchange rateprevailing at the statement of financial position date.

Foreign exchange gains and losses arising from translation are included in the Statement of Comprehensive Income.

Foreign exchange gains and losses relating to cash and cash equivalents are presented in the Statement of ComprehensiveIncome within “net foreign exchange gain/(loss)”.

Foreign exchange gains and losses relating to the financial assets and liabilities carried at fair value through profit or loss arepresented in the Statement of Comprehensive Income within “net changes in fair value on financial assets and liabilities at fairvalue through profit or loss”.

(f) Cash and cash equivalents

Cash and cash equivalents include cash in hand, demand deposits, other short-term highly liquid investments with originalmaturities of three months or less from the date of placement net of bank overdrafts, if any.

(g) Proceeds and payments on issue and redemption of units

All proceeds and payments for units issued and redeemed are shown as movements in the Statement of Changes in NetAssets Attributable to Unitholders. The net asset value (NAV) of the Sub-Funds is computed daily. Prices for issues andredemptions are based on the latest available preceding valuation.

AB (HK) Global High Yield Portfolio and AB (HK) American Income Portfolio issue four classes of units and other Sub-Fundsissue two classes of units, which are redeemable at the unitholder’s option and do not have identical features. Such units areclassified as financial liabilities. Units can be put back to the Sub-Funds at any time for cash equal to a proportionate share ofthe Sub-Funds’ NAV.


-36-



(g) Proceeds and payments on issue and redemption of units (Continued)

Units are issued and redeemed at the unitholder’s option at prices based on the Sub-Funds’ NAV per unit at the time of issueor redemption. The Sub-Funds’ NAV per unit is calculated by dividing the net assets attributable to unitholders with the totalnumber of outstanding units. In accordance with the provisions of the Sub-Funds’ explanatory memorandum, listed investmentpositions and collective investment schemes are valued based on the last traded market price and the net asset value per unitrespectively for the purpose of determining the NAV per unit for subscriptions and redemptions.

(h) Distributions to unitholders

Distributions may be paid out of capital for the Sub-Funds. Distributions to unitholders are recognized in the Statement ofComprehensive Income when they are approved by the Manager.

(i) Offsetting financial instruments

Financial assets and liabilities are offset and the net amount is reported in the Statement of Financial Position when there isa legally enforceable right to set off the recognized amounts and there is an intention to settle on a net basis, or realize the assetand settle the liability simultaneously.

(j) Accrued expenses and other liabilities

Accrued expenses and other liabilities are recognized initially at fair value and subsequently stated at amortized cost using theeffective interest method.

(k) Establishment costs

Establishment costs are recognized as an expense in the period in which they are incurred.

(l) Transaction costs

Transaction costs are costs incurred to acquire financial assets or liabilities at fair value through profit or loss. They include thebid-ask spread, fees and commissions paid to agents, advisers, brokers and dealers. Transaction costs are expensed asincurred in the Statement of Comprehensive Income.

3 Financial risk management

The Sub-Funds’ activities expose them to a variety of financial risks: market risk (including market price risk, currency risk andinterest rate risk), credit/custody risk and liquidity risk.

The Sub-Funds’ overall risk management program focuses on the unpredictability of financial markets and seek to minimizepotential adverse effects on the Sub-Funds’ financial performance. The risk management polices employed by the Manager tomanage these risks are discussed below:


-37-


3 Financial risk management (Continued)

(a) Market price risk

At the year end date, the Sub-Funds’ overall market positions by securities types were as follows:

AB (HK) Global Value Portfolio31 August

2019USD

31 August2018USD

Financial assets at fair value through profit or loss

- Collective Investment Schemes 1,429,581 2,738,284

- Forward Foreign Exchange Contracts 13 21,005

1,429,594 2,759,289

Financial liabilities at fair value through profit or loss

- Forward Foreign Exchange Contracts 14,377 62

14,377 62

AB (HK) Asia Ex-Japan Equity Portfolio31 August

2019USD

31 August2018USD


- Collective Investment Schemes 736,267 884,807


736,273 894,885



7,377 808

AB (HK) Global High Yield Portfolio31 August

2019USD

31 August2018USD




16,232,562 16,047,248



162,647 316


-38-



(a) Market price risk (Continued)

AB (HK) American Income Portfolio31 August

2019USD

31 August2018USD



- Forward Foreign Exchange Contracts 12,128 481,861

293,776,498 63,246,616


- Forward Foreign Exchange Contracts 2,949,631 4,931

2,949,631 4,931

AB (HK) European Income Portfolio31 August

2019EUR

31 August2018EUR



- Forward Foreign Exchange Contracts 4,656 6,821

14,836,037 11,264,423



64,317 489

AB (HK) Emerging Markets Multi-Asset Portfolio31 August

2019USD

31 August2018USD




3,194,244 3,337,072



33,070 907

Market price risk is the risk of loss to the value of a financial instrument resulting from movements in market prices, whetherthose changes are caused by factors specific to the individual instrument or factors affecting all instruments in the market.


-39-




All securities investments present a risk of loss of capital. The Manager moderates this risk through a careful selection ofsecurities and other financial instruments within specified limits. The Sub-Funds’ investments in Underlying Schemes aresusceptible to market price risk arising from uncertainties about future prices of the instruments. The Sub-Funds’ overall marketpositions are monitored on a daily basis and reviewed formally on a regular basis by the Manager.

The Sub-Funds’ investments in the Underlying Schemes are subject to the terms and conditions of the respective offeringdocuments and are susceptible to market price risk arising from uncertainties about future values of those UnderlyingSchemes. All of the Underlying Schemes in the investment portfolio are managed by portfolio managers who are compensatedby the respective Underlying Schemes for their services and which is reflected in the valuation of the Underlying Schemes.

The right of the Sub-Funds to request redemption of its investments in the Underlying Schemes is on daily basis.

The Sub-Funds’ holdings in an Underlying Scheme, as a percentage of the Underlying Scheme’s total net asset value, will varyfrom time to time dependent on the volume of subscriptions and redemptions at the Underlying Scheme level. It is possible thatthe Sub-Funds may, at any point in time, hold a majority of an Underlying Scheme’s total units in issue.

The exposure to investments in the Underlying Schemes at fair value by strategy employed is disclosed in the following tables.These investments are included in �financial assets at fair value through profit or loss� in the Statement of Financial Position.

AB (HK) Global Value PortfolioNet Asset

ValueFair value of

the units heldby the

Sub-Fund

Percentage ofnet assets

held by theSub-Fund

Investments USD USD (%)

31 August 2019

AB FCP I - Global Value Portfolio 322,476,894 1,429,581 0.44

31 August 2018

AB FCP I - Global Value Portfolio 553,317,116 2,738,284 0.49

AB (HK) Global Value Portfolio’s maximum exposure to loss from its interests in the Underlying Scheme is equal to the total fairvalue of its investments in the Underlying Scheme. Once the Sub-Fund has disposed of its shares in the Underlying Scheme,the Sub-Fund ceases to be exposed to any risk from that Underlying Scheme.

During the year ended 31 August 2019 and 31 August 2018, total net gains/losses incurred on investments in the UnderlyingScheme are disclosed on the Statement of Comprehensive Income.


-40-




AB (HK) Asia Ex-Japan Equity PortfolioNet Asset

ValueFair value of


Sub-Fund


held by theSub-Fund


31 August 2019

AB FCP I - Asia Ex-Japan Equity Portfolio 300,017,545 736,267 0.25

31 August 2018

AB FCP I - Asia Ex-Japan Equity Portfolio 470,776,868 884,807 0.19

AB (HK) Asia Ex-Japan Equity Portfolio’s maximum exposure to loss from its interests in the Underlying Scheme is equal to thetotal fair value of its investments in the Underlying Scheme. Once the Sub-Fund has disposed of its shares in the UnderlyingScheme, the Sub-Fund ceases to be exposed to any risk from that Underlying Scheme.


AB (HK) Global High Yield PortfolioNet Asset

ValueFair value of


Sub-Fund


held by theSub-Fund


31 August 2019

AB FCP I - Global High Yield Portfolio 20,563,305,061 16,232,070 0.08

31 August 2018

AB FCP I - Global High Yield Portfolio 20,825,255,175 15,922,414 0.08

AB (HK) Global High Yield Portfolio’s maximum exposure to loss from its interests in the Underlying Scheme is equal to the totalfair value of its investments in the Underlying Scheme. Once the Sub-Fund has disposed of its shares in the UnderlyingScheme, the Sub-Fund ceases to be exposed to any risk from that Underlying Scheme.



-41-




AB (HK) American Income PortfolioNet Asset

ValueFair value of


Sub-Fund


held by theSub-Fund


31 August 2019

AB FCP I - American Income Portfolio 23,009,132,001 293,764,370 1.28

31 August 2018

AB FCP I - American Income Portfolio 10,343,905,339 62,764,755 0.61

AB (HK) American Income Portfolio’s maximum exposure to loss from its interests in the Underlying Scheme is equal to the totalfair value of its investments in the Underlying Scheme. Once the Sub-Fund has disposed of its shares in the UnderlyingScheme, the Sub-Fund ceases to be exposed to any risk from that Underlying Scheme.


AB (HK) European Income PortfolioNet Asset

ValueFair value of


Sub-Fund


held by theSub-Fund

Investments EUR EUR (%)

31 August 2019

AB FCP I - European Income Portfolio 4,015,417,264 14,831,381 0.37

31 August 2018

AB FCP I - European Income Portfolio 2,232,949,568 11,257,602 0.50

AB (HK) European Income Portfolio’s maximum exposure to loss from its interests in the Underlying Scheme is equal to thetotal fair value of its investments in the Underlying Scheme. Once the Sub-Fund has disposed of its shares in the UnderlyingScheme, the Sub-Fund ceases to be exposed to any risk from that Underlying Scheme.



-42-




AB (HK) Emerging Markets Multi-Asset PortfolioNet Asset

ValueFair value of


Sub-Fund


held by theSub-Fund


31 August 2019

AB SICAV I - Emerging Market Multi-Asset Portfolio 1,721,862,000 3,193,433 0.19

31 August 2018

AB SICAV I - Emerging Market Multi-Asset Portfolio 2,157,222,733 3,311,958 0.15

AB (HK) Emerging Markets Multi-Asset Portfolio’s maximum exposure to loss from its interests in the Underlying Scheme isequal to the total fair value of its investments in the Underlying Scheme. Once the Sub-Fund has disposed of its shares in theUnderlying Scheme, the Sub-Fund ceases to be exposed to any risk from that Underlying Scheme.


The Sub-Funds hold the following derivative instruments:

Forward foreign exchange contracts

Forward foreign exchange contracts represent commitments to purchase foreign and domestic currencies, includingundelivered spot transactions.

Open forward foreign exchange contracts as at 31 August 2019 and 31 August 2018 are detailed below:


31 August 2019 31 August 2018Amountbought

Amountsold

Unrealizedgains/(losses)

Amountbought

Amountsold


USD USD

Financial assets at fair valuethrough profit or loss

Buy RMB / Sell USD RMB - USD - - RMB 18,605,114 USD 2,700,856 20,997

Buy USD / Sell RMB USD 7,179 RMB 51,283 13 USD 7,198 RMB 49,125 8Total unrealizedgains/(losses) on forwardforeign exchange contracts 13 21,005

Financial liabilities at fairvalue through profit or loss

Buy RMB / Sell USD RMB 9,892,733 USD 1,395,449 (14,358) RMB 98,250 USD 14,401 (24)

Buy USD / Sell RMB USD 29,438 RMB 211,000 (19) USD 15,234 RMB 104,344 (38)Total unrealizedgains/(losses) on forwardforeign exchange contracts (14,377) (62)


-43-




AB (HK) Asia Ex-JapanEquity Portfolio


Amountsold


Amountbought

Amountsold


USD USD

Financial assets at fairvalue through profit or loss


Buy USD / Sell RMB USD 3,504 RMB 25,030 6 USD - RMB - -Total unrealized gains/(losses)on forward foreign exchangecontracts 6 10,078


Buy RMB / Sell USD RMB 5,064,852 USD 714,445 (7,357) RMB 344,750 USD 50,639 (203)

Buy USD / Sell RMB USD 15,756 RMB 113,000 (20) USD 83,331 RMB 573,718 (605)Total unrealized gains/(losses)on forward foreign exchangecontracts (7,377) (808)

AB (HK) Global High YieldPortfolio

31 August 2019 31 August 2018

Amountbought

Amountsold


Amountbought

Amountsold


USD USDFinancial assets at fairvalue through profit or loss

Buy RMB / Sell USD RMB 2,286,746 USD 318,976 275 RMB 110,612,603 USD 16,057,342 124,834

Buy USD / Sell RMB USD 117,084 RMB 836,416 217 USD - RMB - -Total unrealized gains/(losses)on forward foreign exchangecontracts 492 124,834


Buy RMB / Sell USD RMB 112,467,883 USD 15,863,902 (162,634) RMB - USD - -

Buy USD / Sell RMB USD 7,694 RMB 55,160 (13) USD 125,514 RMB 859,680 (316)Total unrealized gains/(losses)on forward foreign exchangecontracts (162,647) (316)


-44-




AB (HK) American IncomePortfolio


Amountsold


Amountbought

Amountsold


USD USD

Financial assets at fairvalue through profit orloss

Buy RMB / Sell USD RMB 37,119,148 USD 5,176,870 7,577 RMB 427,694,853 USD 62,088,668 481,416

Buy USD / Sell RMB USD 2,726,901 RMB 19,483,854 4,551 USD 184,135 RMB 1,255,260 445Total unrealizedgains/(losses) on forwardforeign exchange contracts 12,128 481,861

Financial liabilities at fairvalue through profit orloss

Buy RMB / Sell USD RMB 2,046,916,679 USD 288,706,384 (2,942,205) RMB 6,594,034 USD 968,258 (3,526)

Buy USD / Sell RMB USD 3,908,738 RMB 28,034,466 (7,426) USD 542,542 RMB 3,716,297 (1,405)Total unrealizedgains/(losses) on forwardforeign exchange contracts (2,949,631) (4,931)

AB (HK) European IncomePortfolio


Amountbought

Amountsold


Amountbought

Amountsold


EUR EURFinancial assets at fairvalue through profit orloss

Buy RMB / Sell EUR RMB 4,431,806 EUR 556,460 4,656 RMB 88,739,010 EUR 11,133,147 6,820

Buy EUR / Sell RMB EUR - RMB - - EUR 295 RMB 2,339 1Total unrealizedgains/(losses) on forwardforeign exchange contracts 4,656 6,821

Financial liabilities at fairvalue through profit orloss

Buy RMB / Sell EUR RMB 115,340,314 EUR 14,652,060 (57,985) RMB 210,745 EUR 26,557 (101)

Buy EUR / Sell RMB EUR 645,038 RMB 5,143,122 (6,332) EUR 86,853 RMB 693,491 (388)Total unrealizedgains/(losses) on forwardforeign exchange contracts (64,317) (489)


-45-




AB (HK) Emerging MarketsMulti-Asset Portfolio


Amountsold


Amountbought

Amountsold


USD USD

Financial assets at fair valuethrough profit or loss


Buy USD / Sell RMB USD 84,975 RMB 602,755 811 USD 97,197 RMB 661,000 496Total unrealized gains/(losses)on forward foreign exchangecontracts 811 25,114


Buy RMB / Sell USD RMB 22,815,587 USD 3,218,279 (33,070) RMB 1,456,000 USD 213,852 (845)

Buy USD / Sell RMB USD - RMB - - USD 24,758 RMB 169,575 (62)Total unrealized gains/(losses)on forward foreign exchangecontracts (33,070) (907)


-46-




The Sub-Funds invested all, or substantially all, of their assets in equity securities and debt securities through the UnderlyingSchemes. The Sub-Funds are therefore exposed to substantially the same market price risk as the Underlying Schemes.

As at 31 August 2019 and 31 August 2018, the fair value of investments and derivatives of the Underlying Schemes byindustrial sector and their estimated market sensitivity, based on the Underlying Schemes’ unaudited financial records were asfollows:


31 August 2019 31 August 2018Fair Value Percentage of

total netassets

Fair Value Percentage oftotal net

assetsUSD (%) USD (%)

Equity securities

Basic materials 9,260,974 2.87 33,667,691 6.09

Communications 25,396,477 7.88 58,550,124 10.58

Consumer, cyclical 47,365,528 14.69 89,896,038 16.25

Consumer, non-cyclical 48,874,724 15.16 69,952,050 12.64

Diversified - - 852,114 0.16

Energy 23,156,875 7.18 46,145,250 8.34

Financial 74,485,855 23.10 114,173,620 20.63

Healthcare/medical product 10,944,853 3.39 22,836,010 4.13

Industrial 23,686,297 7.35 43,212,868 7.81

Technology 46,802,259 14.51 59,593,671 10.77

Utilities 10,040,136 3.11 9,044,501 1.63

320,013,978 99.24 547,923,937 99.03

Derivatives

Forwards 1,217,665 0.38 1,513,332 0.27

Futures - - 1,171,531 0.21

1,217,665 0.38 2,684,863 0.48

Total investments 321,231,643 99.62 550,608,800 99.51


-47-






total netassets



Equity securities

Basic materials 9,104,448 3.04 29,394,482 6.24

Communications 11,894,016 3.96 36,351,692 7.72



Diversified - - 4,960,573 1.06

Energy 12,461,803 4.15 25,692,983 5.46

Financial 105,273,660 35.09 166,783,652 35.43

Industrial 27,994,547 9.33 34,664,268 7.36

Technology 59,835,291 19.94 107,835,946 22.91

Utilities 17,576,823 5.86 - -

293,747,794 97.91 461,675,231 98.07

Derivatives

Warrants - - 6,288,182 1.34

Total investments 293,747,794 97.91 467,963,413 99.41


-48-






total netassets



Equity securities

Communications 3,767,339 0.02 1 -



Energy 44,009,401 0.21 104,403,252 0.50

Funds and investment trusts 348,646,418 1.70 324,119,351 1.56

Industrial 52,316,728 0.26 72,732,876 0.35

Technology 21,303,804 0.10 36,913,682 0.18

Others 754,269,160 3.66 625,984,807 3.00

1,241,161,515 6.04 1,183,187,438 5.68

Debt securities

Asset backed securities 147,093,139 0.72 245,267,241 1.18

Basic materials 569,680,800 2.77 806,561,448 3.87

Communications 1,409,515,698 6.85 1,566,143,643 7.52

Consumer, cyclical 1,207,512,208 5.87 1,196,805,836 5.75

Consumer, non-cyclical 1,200,083,494 5.84 1,475,602,813 7.09

Diversified 20,389,505 0.10 2,063,232 0.01

Energy 1,067,757,967 5.19 2,026,911,838 9.73

Financial 2,598,532,149 12.64 2,678,221,463 12.86

Government 7,635,414,463 37.13 5,483,083,654 26.33

Industrial 531,499,271 2.59 638,035,985 3.06

Mortgage securities 1,472,420,684 7.16 1,856,181,762 8.91

Technology 322,045,188 1.57 299,121,068 1.44

Utilities 196,289,997 0.95 371,119,312 1.78

Others 685,190,164 3.33 451,505,705 2.17

19,063,424,727 92.71 19,096,625,000 91.70

Derivatives

Forwards 109,379,750 0.53 144,826,048 0.70

Futures 1,642,664,531 7.99 2,430,478,096 11.67

Swaps 83,967,623 0.41 (43,636,890) (0.21)

Warrants 9,095,493 0.04 5,907,015 0.03

1,845,107,397 8.97 2,537,574,269 12.19

Total investments 22,149,693,639 107.72 22,817,386,707 109.57


-49-






total netassets



Equity securities

Others 80,573,200 0.35 73,788,635 0.71

Debt securities

Asset backed securities 630,986,243 2.74 368,840,833 3.57

Basic materials 492,950,529 2.14 215,637,727 2.09

Communications 857,789,013 3.73 432,970,269 4.19


Consumer, non-cyclical 1,008,396,093 4.38 481,786,443 4.66

Diversified 10,358,610 0.05 - -

Energy 1,030,530,375 4.48 529,941,871 5.12

Financial 3,510,625,546 15.26 1,046,741,298 10.12

Government 8,348,179,393 36.28 3,934,272,463 38.03

Industrial 364,637,565 1.59 212,175,531 2.05

Mortgage securities 4,750,154,785 20.64 1,848,960,775 17.87

Technology 337,987,035 1.47 27,869,786 0.27

Utilities 329,963,583 1.43 133,379,031 1.29

Others 789,215,468 3.43 348,855,615 3.37

23,241,102,190 101.01 9,940,642,539 96.10

Derivatives

Futures 3,546,622,737 15.41 3,011,829,354 29.12

Swaps (65,490,449) (0.28) (138,213,520) (1.34)

3,481,132,288 15.13 2,873,615,834 27.78



-50-






total netassets


assetsEUR (%) EUR (%)

Equity securities

Others 18 - 17 -

Debt securities

Basic materials 166,060,540 4.14 99,150,962 4.44

Communications 293,279,529 7.30 172,588,544 7.73



Diversified 13,504,729 0.34 3,753,997 0.17

Energy 7,752,498 0.19 9,368,972 0.42

Financial 695,753,719 17.33 551,372,449 24.69

Government 1,719,125,072 42.81 776,341,254 34.77

Industrial 241,496,434 6.01 140,463,328 6.29

Technology 73,857,770 1.84 14,171,770 0.63

Utilities 90,365,433 2.25 40,602,609 1.82

Others 35,982,894 0.90 32,104,074 1.44

3,908,512,628 97.34 2,160,865,626 96.77

Derivatives

Forwards (552,967) (0.01) 1,394,537 0.06

Futures (214,435,711) (5.34) (247,404,168) (11.08)

(214,988,678) (5.35) (246,009,631) (11.02)



-51-




AB (HK) Emerging Markets Multi-AssetPortfolio


total netassets



Equity securities

Basic materials 63,799,741 3.71 118,211,821 5.48

Communications 135,291,431 7.86 194,950,042 9.04



Diversified 7,127,474 0.41 10,970,485 0.51

Energy 72,012,012 4.18 182,616,659 8.46

Financial 337,074,799 19.58 381,521,233 17.69

Industrial 92,374,709 5.37 80,416,858 3.73

Technology 147,601,888 8.57 254,136,409 11.78

Utilities 48,121,004 2.79 18,916,344 0.88

Others 24,366,642 1.42 16,053,457 0.74

1,104,693,209 64.16 1,481,434,077 68.67

Debt securities

Basic materials 19,312,440 1.12 7,989,825 0.37

Communications 3,471,341 0.20 8,439,180 0.39



Diversified 1,703,710 0.10 - -

Energy 48,902,115 2.84 53,121,265 2.46

Financial 14,387,921 0.84 8,141,642 0.38

Government 428,898,586 24.91 480,461,545 22.27

Industrial 12,834,893 0.75 7,384,905 0.34

Utilities 24,359,206 1.41 32,489,258 1.51

Others 3,973,816 0.23 31,999 -

568,434,036 33.01 604,599,360 28.03

Derivatives

Forwards 7,223,103 0.42 40,338,600 1.87

Futures 97,982,419 5.69 227,883,439 10.56

Swaps (436,811) (0.03) (9,256,309) (0.43)

Warrants 12,214,541 0.71 5,495,497 0.25

116,983,252 6.79 264,461,227 12.25



-52-




The following tables present the sensitivity analysis in the event of a possible change in the underlying investments of theUnderlying Schemes, with all other variables held constant as at 31 August 2019 and 31 August 2018:

NAV +/-%Change of

UnderlyingAsset

Weight ofEquity (%)

Change inFair Value

% Change inFair Value

31 August 2019

AB FCP I - Global Value Portfolio 322,476,894 (4.40) 99.44 (14,096,744) (4.37)AB FCP I - Asia Ex-Japan EquityPortfolio 300,017,545 (3.30) 97.67 (9,660,126) (3.22)AB SICAV I - Emerging MarketMulti-Asset Portfolio 1,721,862,000 (1.51) 64.91 (16,862,482) (0.98)

NAV +/-%Change of

UnderlyingAsset

Weight ofEquity (%)

Change inFair Value

% Change inFair Value

31 August 2018

AB FCP I - Global Value Portfolio 553,317,116 1.56 99.21 8,575,390 1.55AB FCP I - Asia Ex-Japan EquityPortfolio 470,776,868 (0.61) 98.05 (2,795,858) (0.59)AB SICAV I - Emerging MarketMulti-Asset Portfolio 2,157,222,733 2.53 65.80 35,895,798 1.66

AB FCP I - Global High Yield Portfolio, AB FCP I - American Income Portfolio and AB FCP I - European Income Portfolio mainlyinvest in debt securities. The sensitivity analysis of market price risk is disclosed in the interest rate sensitivity analysis innote 3(c).

(b) Currency risk

The Sub-Funds

AB (HK) Global Value Portfolio, AB (HK) Asia Ex-Japan Equity Portfolio, AB (HK) Global High Yield Portfolio, AB (HK) AmericanIncome Portfolio, AB (HK) European Income Portfolio and AB (HK) Emerging Markets Multi-Asset Portfolio.

The Sub-Funds invest substantially all of their assets in the Underlying Schemes in United States dollar and Eurodenomination, HKFRS 7 considers the foreign exchange exposure relating to non-monetary assets and liabilities to be acomponent of market price risk not currency risk. The Manager monitors the exposure on all foreign currency denominatedassets and liabilities including both monetary and non-monetary assets and liabilities.

The Sub-Funds’ other assets and liabilities are mainly denominated in United States dollar and Euro and are therefore notexposed to significant currency risk.


-53-



(b) Currency risk (Continued)

The Underlying Schemes

AB FCP I - Global Value Portfolio, AB FCP I - Asia Ex-Japan Equity Portfolio, AB FCP I - Global High Yield Portfolio, AB FCPI - American Income Portfolio, AB FCP I - European Income Portfolio and AB SICAV I - Emerging Market Multi-Asset Portfolio.

The Underlying Schemes hold assets and liabilities denominated in a number of currencies, HKFRS 7 considers the foreignexchange exposure relating to non-monetary assets and liabilities to be a component of market price risk not currency risk.However, the investment manager of the Underlying Schemes monitor the exposure to currency risk on all foreign currencydenominated assets and liabilities including both monetary and non-monetary assets and liabilities.

The table below summarizes the Underlying Schemes’ exposure to currency risk as at 31 August 2019 and 31 August 2018based on unaudited financial information as at that date, together with the percentage of reasonable possible change in foreigncurrencies and the estimated impact on net asset value of the Underlying Schemes. The table below summarizes the exposurefor currencies with more than 3% of the Underlying Schemes’ net asset value.


31 August 2019Net currency exposure (Note *)

USDEquivalent

% ofreasonable

possiblechangeagainst

USD(Note **)

Estimatedimpacted on

net assetvalue(USD)

British Pounds 15,360,151 +/-10.90 1,673,902

Euro 45,744,488 +/-7.20 3,291,707

Japanese Yen 19,210,156 +/-8.77 1,683,853

80,314,795 6,649,462


USDEquivalent

% ofreasonable


USD(Note **)


net assetvalue(USD)

British Pounds 30,151,416 +/-12.90 3,890,505

Euro 70,568,081 +/-10.26 7,236,847

Japanese Yen 64,314,397 +/-9.02 5,803,218

165,033,894 16,930,570


-54-






USDEquivalent

% ofreasonable


USD(Note **)


net assetvalue(USD)

Chinese Yuan (Offshore) 28,469,885 +/-7.36 2,095,048

Indian Rupee 32,400,464 +/-8.73 2,829,580

South Korean Won 57,668,620 +/-10.56 6,090,562

Taiwan New Dollar 28,674,051 +/-3.54 1,014,886

147,213,020 12,030,076


USDEquivalent

% ofreasonable


USD(Note **)


net assetvalue(USD)

Indian Rupee 30,800,464 +/-12.31 3,792,743

South Korean Won 106,045,642 +/-8.69 9,215,941


205,836,922 17,548,682



USDEquivalent

% ofreasonable


USD(Note **)


net assetvalue(USD)

Brazil Real 884,841,099 +/-15.51 137,241,354

Euro 891,053,417 +/-7.20 64,118,907

Rupiah Indonesia 1,008,591,388 +/-9.48 95,576,697

2,784,485,904 296,936,958


-55-




AB (HK) Global High Yield Portfolio (Continued)


USDEquivalent

% ofreasonable


USD(Note **)


net assetvalue(USD)

Colombian Peso 779,038,226 +/-13.25 103,246,862

Euro 938,575,749 +/-10.26 96,252,140

1,717,613,975 199,499,002



EUREquivalent

% ofreasonable


EUR(Note **)


net assetvalue(EUR)

British Pounds 351,420,341 +/-9.64 33,889,489

351,420,341 33,889,489


EUREquivalent

% ofreasonable


EUR(Note **)


net assetvalue(EUR)

British Pounds 230,158,434 +/-6.55 15,075,752

230,158,434 15,075,752


-56-






USDEquivalent

% ofreasonable


USD(Note **)


net assetvalue(USD)

Brazil Real 78,197,184 +/-15.51 12,128,604

Chinese Yuan (Offshore) 93,276,605 +/-7.36 6,864,059

Indian Rupee 56,675,960 +/-8.73 4,949,594

South Korean Won 140,145,953 +/-10.56 14,801,248


510,805,007 43,787,463


USDEquivalent

% ofreasonable


USD(Note **)


net assetvalue(USD)

Brazil Real 71,312,422 +/-34.40 24,531,547

Indian Rupee 112,350,192 +/-12.31 13,834,709

South Korean Won 240,753,834 +/-8.69 20,922,812


679,602,515 76,081,798

As the majority of AB FCP I - American Income Portfolio’s transactions are denominated in US dollar, the Underlying Scheme’sfunctional and presentation currency, therefore, the Underlying Scheme’s exposure to foreign currency does not consider to besignificant and no sensitivity analysis is prepared.

Note:

* Net currency exposures on assets and liabilities include both monetary and non-monetary assets and liabilities.

**% of reasonable possible change is based on the actual historical change in the respective currencies against the functionalcurrency of the Underlying Schemes in the past 12 months and does not include remote or “worst case” scenarios or “stresstests” nor represent the Underlying Schemes Manager’s forecast of the Underlying Schemes returns.


-57-



(c) Interest rate risk

Interest rate risk is the risk that the value of a financial instrument will fluctuate due to changes in market interest rates.

The Sub-Funds are investing substantially all of its assets in the Underlying Schemes and thus their investments are not directlyexposed to interest rate risk.

The majority of the Sub-Funds’ other financial assets and liabilities are non-interest bearing except for the cash and cashequivalents. As a result, the Manager considers that the Sub-Funds are not currently subject to significant amounts of risk dueto fluctuations in the prevailing levels of market interest rates. Any temporary excess cash and cash equivalents are investedat short-term market interest rates where appropriate.

AB (HK) Global High Yield Portfolio, AB (HK) American Income Portfolio, AB (HK) European Income Portfolio and AB (HK)Emerging Markets Multi-Asset Portfolio.

The Underlying Schemes of the above Sub-Funds are exposed to risks associated with the effects of fluctuations in theprevailing levels of market interest rates on their investments and cash deposits.

The table below summarizes the Underlying Schemes’ financial assets and liabilities as at 31 August 2019 and 31 August 2018extracted from the unaudited financial records of the Underlying Schemes as at that date which expose it to the risk associatedwith the effects of fluctuations in the prevailing levels of market interest rates, categorized by remaining maturity dates.

AB FCP I - Global High Yield Portfolio31 August 2019

Less than1 year

1-5 years More than5 years

Total

USD USD USD USD

Cash at banks (105,241,063) - - (105,241,063)

Investments 591,623,767 5,817,137,307 12,654,663,653 19,063,424,727

Total interest sensitivity gap 486,382,704 5,817,137,307 12,654,663,653 18,958,183,664

31 August 2018

Less than1 year


Total

USD USD USD USD

Cash at banks 1,035,898,600 - - 1,035,898,600

Investments 542,868,717 5,667,162,619 12,886,593,664 19,096,625,000

Total interest sensitivity gap 1,578,767,317 5,667,162,619 12,886,593,664 20,132,523,600


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(c) Interest rate risk (Continued)

AB FCP I - American Income Portfolio31 August 2019

Less than1 year


Total

USD USD USD USD

Cash at banks (35,444,452) - - (35,444,452)

Investments 91,407,835 3,961,530,626 19,188,163,729 23,241,102,190


31 August 2018

Less than1 year


Total

USD USD USD USD

Cash at banks 360,970,856 - - 360,970,856

Investments 53,588,295 2,752,261,160 7,134,793,084 9,940,642,539


AB FCP I - European Income Portfolio31 August 2019

Less than1 year


Total

EUR EUR EUR EUR

Cash at banks 109,446,241 - - 109,446,241

Investments 7,029,930 862,822,016 3,038,660,682 3,908,512,628

Total interest sensitivity gap 116,476,171 862,822,016 3,038,660,682 4,017,958,869

31 August 2018

Less than1 year


Total

EUR EUR EUR EUR

Cash at banks 24,550,748 - - 24,550,748

Investments 4,692,570 503,663,177 1,652,509,879 2,160,865,626

Total interest sensitivity gap 29,243,318 503,663,177 1,652,509,879 2,185,416,374


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AB SICAV I - Emerging Market Multi-Asset Portfolio31 August 2019

Less than1 year


Total

USD USD USD USD

Cash at banks 36,007,631 - - 36,007,631

Investments 21,406,900 150,294,573 396,732,563 568,434,036

Total interest sensitivity gap 57,414,531 150,294,573 396,732,563 604,441,667

31 August 2018

Less than1 year


Total

USD USD USD USD

Cash at banks 40,210,044 - - 40,210,044

Investments 6,129,193 181,523,080 416,947,087 604,599,360

Total interest sensitivity gap 46,339,237 181,523,080 416,947,087 644,809,404

The following tables present the sensitivity analysis in the event of a possible change in the underlying investments of theUnderlying Schemes, with all other variables held constant as at 31 August 2019 and 31 August 2018:

NAV +/-%Change of

InterestRate

Weight ofinvestmentssubjected tointerest rate

risk (%)

Duration +/-Change inFair Value

+/-%Change inFair Value

31 August 2019

AB FCP I - Global High YieldPortfolio 20,563,305,061 0.25 92.71 3.93 187,298,148 0.91AB FCP I - American IncomePortfolio 23,009,132,001 0.25 101.01 5.00 290,513,777 1.26AB FCP I - European IncomePortfolio 4,015,417,264 0.25 97.34 5.15 50,322,100 1.25AB SICAV I - Emerging MarketMulti-Asset Portfolio 1,721,862,000 0.25 33.01 7.14 10,146,548 0.59


-60-




NAV +/-%Change of

InterestRate

Weight ofinvestmentssubjected tointerest rate

risk (%)

Duration +/-Change inFair Value

+/-%Change inFair Value

31 August 2018

AB FCP I - Global High YieldPortfolio 20,825,255,175 0.25 91.70 4.71 224,862,759 1.08AB FCP I - American IncomePortfolio 10,343,905,339 0.25 96.10 5.42 134,695,706 1.30AB FCP I - European IncomePortfolio 2,232,949,568 0.25 96.77 4.66 25,174,085 1.13AB SICAV I - Emerging MarketMulti-Asset Portfolio 2,157,222,733 0.25 28.03 5.07 7,663,297 0.36

The Manager of the Underlying Schemes monitors the Underlying Scheme’s interest rate risk sensitivity primarily through themodified duration of the Underlying Schemes on a regular basis. The modified duration measures the sensitivity of the priceof a bond and collective investment scheme relative to the change in interest rate. For the purpose of disclosing relevantsensitivities, the percentage of reasonable possible change in interest rate adopted is 25 basis points, and does not includeremote or �worst case� scenarios or �stress tests� nor represent the Underlying Schemes Manager’s forecast of the UnderlyingScheme’s future returns.

(d) Credit/custody risk

Credit/custody risk is the risk a counterparty to a financial instrument will cause the Sub-Funds financial loss by failing todischarge its obligations. The Sub-Funds seek to minimize this risk of loss by careful choice of counterparties and byminimizing the reliance placed on individual counterparties. The counterparty risk is minimized as all the investments and cashare held with institutions that the Manager considers as reputable.

In accordance with the Sub-Funds’ policies, the Manager has put in place limits and controls to identify and assess thecreditworthiness of counterparties and reviews this risk management formally on a semi-annual basis.

Credit/custody risk arises from cash and cash equivalents, and credit exposures to brokers arising from outstanding andcommitted transactions. The Sub-Funds are also exposed to the risk that its assets held with the custodian may not berecoverable in the event of default by the custodian.


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(d) Credit/custody risk (Continued)

The table below summarizes the credit rating of banks and custodians in which the Sub-Funds’ assets are held:



USD Credit rating USD Credit rating

Cash held with State Street Bank and Trust Company 2,157 Aa1 1,319 Aa1




Cash held with State Street Bank and Trust Company 6,338 Aa1 1,304 Aa1




Cash held with State Street Bank and Trust Company 174 Aa1 225 Aa1




Cash held with State Street Bank and Trust Company 1,786 Aa1 405 Aa1



EUR Credit rating EUR Credit rating

Cash held with State Street Bank and Trust Company 281 Aa1 133 Aa1




Cash held with State Street Bank and Trust Company 713 Aa1 1,122 Aa1


-62-




AB (HK) Global High Yield Portfolio, AB (HK) American Income Portfolio, AB (HK) European Income Portfolio and AB (HK)Emerging Markets Multi-Asset Portfolio.

The Underlying Schemes invested in debt securities and therefore the Underlying Schemes are exposed to credit risk that theissuers may not be able to repay the principal amount and interest at maturity. Credit risk derived from debt securities ismanaged and monitored on an on-going basis by making reference to the credit rating and credit outlook provided by creditrating agencies, if available, and internal credit analysis.

The table below summarizes the Underlying Schemes’ debt securities by credit rating as at 31 August 2019 and 31 August2018 based on unaudited financial information of the Underlying Schemes as at that date.

AB FCP I - Global High Yield Portfolio

31 August2019

% of netassets

31 August2018

% of netassets

Moody’s

Aaa 12.10 9.38

Aa1 0.06 0.05

Aa2 - 0.03

Aa3 0.23 0.16

A1 0.13 0.26

A2 0.25 0.30

A3 1.53 1.91

Baa1 0.66 0.91

Baa2 5.06 2.43

Baa3 5.28 4.35

Ba1 4.92 4.47

Ba2 7.53 6.69

Ba3 5.83 6.31

B1 4.38 6.38

B2 7.31 8.84

B3 7.57 8.63

Caa1 5.31 6.06

Caa2 4.32 3.92

Caa3 0.21 0.95

Ca 0.17 0.15

C 0.07 0.21

Non-rated 19.79 19.31

92.71 91.70


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AB FCP I - American Income Portfolio

31 August2019

% of netassets

31 August2018

% of netassets

Moody’s

Aaa 30.65 34.49

Aa1 0.25 0.43

Aa2 0.22 0.77

Aa3 0.17 1.07

A1 0.13 0.08

A2 0.56 0.31

A3 0.48 0.61

Baa1 3.91 1.36

Baa2 7.00 3.05

Baa3 8.60 5.26

Ba1 5.01 3.89

Ba2 3.51 4.04

Ba3 4.77 4.61

B1 2.97 4.24

B2 4.00 4.79

B3 2.35 3.29

Caa1 - 0.23

Caa2 0.02 0.30

C - 0.02

Non-rated 26.41 23.26

101.01 96.10


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AB FCP I - European Income Portfolio

31 August2019

% of netassets

31 August2018

% of netassets

Moody’s

Aaa 22.94 17.63

Aa2 6.45 6.92

A2 0.27 -

A3 1.98 1.60

Baa1 8.86 7.33

Baa2 1.75 5.86

Baa3 11.65 4.97

Ba1 7.36 10.10

Ba2 6.10 7.35

Ba3 7.41 5.77

B1 3.16 6.79

B2 5.39 4.73

B3 3.20 6.36

Caa1 2.59 2.56

Caa2 0.57 1.10

Non-rated 7.66 7.70

97.34 96.77


-65-




AB SICAV I - Emerging Market Multi-Asset Portfolio

31 August2019

% of netassets

31 August2018

% of netassets

Moody’s

Aaa 0.01 -

Aa2 0.20 0.03

Aa3 0.38 0.26

A1 1.37 1.48

A2 0.30 0.01

A3 0.62 1.84

Baa1 1.23 0.08

Baa2 3.92 3.16

Baa3 3.99 2.79

Ba1 1.21 0.60

Ba2 0.91 2.87

Ba3 1.88 2.79

B1 1.45 1.76

B2 3.64 2.13

B3 2.04 2.73

Caa1 0.86 0.07

Caa2 0.74 0.53

Caa3 - 0.31

Ca 0.06 0.02

C 0.10 0.03

Non-rated 8.10 4.54

33.01 28.03

(e) Liquidity risk

Liquidity risk is the risk that the Sub-Funds will encounter difficulty in settling a liability, including a redemption request.

The Sub-Funds are exposed to daily cash redemption from unitholders. As at 31 August 2019, the Sub-Funds invest solely inUnderlying Scheme which allows daily redemption. Under the Sub-Funds’ rules, the Manager may with the approval of theTrustee limits the number of Units of such Sub-Fund redeemed on any Dealing Day (whether by sale to the Manager or bycancellation of Units) to 10% of the total number of Units of the relevant Sub-Fund in issue. The Sub-Funds have the ability toborrow up to 10% of its NAV to enhance its liquidity in meeting redemptions. The Manager manages liquidity risk by maintainingsufficient cash and daily redeemable Underlying Scheme to meet the normal operating commitments. Cash and cashequivalents have maturity of less than three months and the investments of the Sub-Funds are traded in active markets and canbe readily disposed of.


-66-



(e) Liquidity risk (Continued)

The following tables analyze the Sub-Funds’ financial assets and financial liabilities into relevant maturity groupings based onthe remaining period at the reporting date to the contractual maturity date. The amounts in the table are the contractualundiscounted cash flows. Balances due within 12 months equal their carrying balances, as the impact of discounting is notsignificant.

AB (HK) Global Value Portfolio31 August 2019 31 August 2018

Less than 1month

More than 1month and

less than1 year

Total Less than 1month


less than1 year

Total

USD USD USD USD USD USD

Financial AssetsFinancial assets at fair valuethrough profit or loss 1,429,594 - 1,429,594 2,759,289 - 2,759,289

Cash and cash equivalents 2,157 - 2,157 1,319 - 1,319

Dividend receivable 7,781 - 7,781 12,889 - 12,889Other receivables andprepayments 3,784 - 3,784 3,680 - 3,680

Subscription receivable - - - 7,204 - 7,204

Total assets 1,443,316 - 1,443,316 2,784,381 - 2,784,381

Financial LiabilitiesFinancial liabilities at fair valuethrough profit or loss 14,377 - 14,377 62 - 62

Distribution payable 6,458 - 6,458 14,369 - 14,369

Administration fee payable 534 - 534 552 - 552

Management fee payable 1,789 - 1,789 3,271 - 3,271

Trustee fee payable 88 - 88 150 - 150

Other payables and accruals 1,190 33,716 34,906 1,292 38,607 39,899Amounts due to UnderlyingScheme - - - 7,198 - 7,198Net assets attributable tounitholders 1,385,164 - 1,385,164 2,718,880 - 2,718,880

Total liabilities 1,409,600 33,716 1,443,316 2,745,774 38,607 2,784,381


-67-




AB (HK) Asia Ex-Japan Equity Portfolio31 August 2019 31 August 2018

Less than 1month


less than1 year



less than1 year

Total


Financial AssetsFinancial assets at fair valuethrough profit or loss 736,273 - 736,273 894,885 - 894,885

Cash and cash equivalents 6,338 - 6,338 1,304 - 1,304

Dividend receivable 3,803 - 3,803 5,668 - 5,668Other receivables andprepayments 3,760 - 3,760 4,402 - 4,402Amounts due from UnderlyingScheme - - - 417,924 - 417,924

Total assets 750,174 - 750,174 1,324,183 - 1,324,183






Other payables and accruals 1,165 33,726 34,891 1,345 38,620 39,965

Redemption payable - - - 419,049 - 419,049Net assets attributable tounitholders 703,210 - 703,210 854,986 - 854,986

Total liabilities 716,448 33,726 750,174 1,285,563 38,620 1,324,183


-68-




AB (HK) Global High Yield Portfolio31 August 2019 31 August 2018

Less than 1month


less than1 year



less than1 year

Total



Cash and cash equivalents 174 - 174 225 - 225


Subscription receivable 7,692 - 7,692 - - -

Total assets 16,359,504 - 16,359,504 16,163,711 - 16,163,711



Administration fee payable 1,797 - 1,797 1,801 - 1,801



Other payables and accruals 5,721 33,725 39,446 4,117 38,586 42,703Amounts due to UnderlyingScheme 7,693 - 7,693 - - -Net assets attributable tounitholders 16,015,263 - 16,015,263 15,975,642 - 15,975,642



-69-




AB (HK) American Income Portfolio31 August 2019 31 August 2018

Less than 1month


less than1 year



less than1 year

Total



Cash and cash equivalents 1,786 - 1,786 405 - 405

Dividend receivable 1,544,057 - 1,544,057 342,246 - 342,246

Subscription receivable 3,618,403 - 3,618,403 312,476 - 312,476Amounts due from UnderlyingScheme 1,081,946 - 1,081,946 45,957 - 45,957

Total assets 300,022,690 - 300,022,690 63,947,700 - 63,947,700

Financial LiabilitiesFinancial liabilities at fair valuethrough profit or loss 2,949,631 - 2,949,631 4,931 - 4,931

Distribution payable 1,593,830 - 1,593,830 419,964 - 419,964

Administration fee payable 6,191 - 6,191 2,578 - 2,578


Trustee fee payable 16,319 - 16,319 3,675 - 3,675

Other payables and accruals 18,148 33,741 51,889 5,943 38,432 44,375

Redemption payable 3,612,051 - 3,612,051 103,394 - 103,394Amounts due to UnderlyingScheme 1,086,640 - 1,086,640 254,679 - 254,679Net assets attributable tounitholders 290,438,263 - 290,438,263 63,056,342 - 63,056,342



-70-




AB (HK) European Income Portfolio31 August 2019 31 August 2018

Less than 1month


less than1 year



less than1 year

Total

EUR EUR EUR EUR EUR EUR


Cash and cash equivalents 281 - 281 133 - 133


Subscription receivable 129,802 - 129,802 1,854 - 1,854

Total assets 15,024,213 - 15,024,213 11,318,631 - 11,318,631






Other payables and accruals 4,035 30,489 34,524 3,769 33,131 36,900Amounts due to UnderlyingScheme 129,707 - 129,707 1,851 - 1,851Net assets attributable tounitholders 14,689,986 - 14,689,986 11,184,048 - 11,184,048



-71-




AB (HK) Emerging Markets Multi-Asset Portfolio31 August 2019 31 August 2018

Less than 1month


less than1 year



less than1 year

Total



Cash and cash equivalents 713 - 713 1,122 - 1,122


Total assets 3,217,460 - 3,217,460 3,364,110 - 3,364,110






Other payables and accruals 1,706 33,727 35,433 2,257 38,619 40,876Net assets attributable tounitholders 3,133,253 - 3,133,253 3,294,354 - 3,294,354


For AB (HK) Global Value Portfolio, there were two (2018: two) nominee companies that held more than 10% of the Sub-Fund’snet assets. The nominee companies’ holdings were 41.91% and 50.94% (2018: 28.38% and 67.34% ) as at 31 August 2019.

For AB (HK) Asia Ex-Japan Equity Portfolio, there was one (2018: one) related entity of the Manager and three (2018: two)nominee companies that held more than 10% of the Sub-Fund’s net assets. The related entity and nominee company’sholdings were 15.43% (2018: 15.57%) and 18.92%, 21.70% and 36.72% (2018: 20.70% and 50.32%) respectively as at31 August 2019.

For AB (HK) Global High Yield Portfolio, there were five (2018: three) nominee companies that held more than 10% of theSub-Fund’s net assets. The nominee companies’ holdings were 14.16%, 16.69%, 12.77%, 24.28% and 26.50%(2018: 14.61%, 22.35% and 42.51%) as at 31 August 2019.

For AB (HK) American Income Portfolio, there were three (2018: two) nominee companies that held more than 10% of theSub-Fund’s net assets. The nominee companies’ holdings were 12.39%, 14.85% and 45.92% (2018: 13.95% and 51.61%) asat 31 August 2019.

For AB (HK) European Income Portfolio, there were four (2018: three) nominee companies that held more than 10% of theSub-Fund’s net assets. The nominee companies’ holdings were 18.44%, 22.95%, 11.42% and 40.73% (2018: 12.55%, 23.84%and 48.73%) as at 31 August 2019.


-72-




For AB (HK) Emerging Markets Multi-Asset Portfolio, there were four (2018: three) nominee companies that held more than10% of the Sub-Fund’s net assets. The nominee companies’ holdings were 22.26%, 31.70%, 21.14% and 17.16%(2018: 26.95%, 31.05% and 33.40%) as at 31 August 2019.

(f) Offsetting and amounts subject to master netting arrangements and similar agreements

As at 31 August 2019, the Sub-Funds were subject to one master netting arrangement with their sole derivative counterparty.All of the derivative assets and liabilities of the Sub-Funds are held with this counterparty and the margin balance maintainedby the Sub-Funds is for the purpose of providing collateral on derivative positions.

The following tables present the Sub-Funds’ financial assets and liabilities subject to offsetting, enforceable master nettingarrangements and similar agreements. The tables are presented by type of financial instrument.


-73-



(f) Offsetting and amounts subject to master netting arrangements and similar agreements (Continued)


A B C=A-B D E=C-D

Related amount not set-offin the Statement ofFinancial Position

D(i) D(ii)

Grossamounts of

financialassets

Grossamounts

set off in theStatement of

financialposition

Net amountof

financialassets

presented inthe

Statement offinancialposition

Amountssubject to

masternetting

arrangements

Collateralpledged/received

Net Amount


31 August 2019

Financial assets

Cash and cashequivalents 2,157 - 2,157 - - 2,157

Derivative financialinstruments 13 - 13 (13) - -

Total 2,170 - 2,170 (13) - 2,157

Financial liabilities

Derivative financialinstruments 14,377 - 14,377 (13) - 14,364

Total 14,377 - 14,377 (13) - 14,364

31 August 2018

Financial assets



Total 22,324 - 22,324 (62) - 22,262



Total 62 - 62 (62) - -


-74-





A B C=A-B D E=C-D


D(i) D(ii)

Grossamounts of

financialassets

Grossamounts


financialposition

Net amountof

financialassets

presented inthe


Amountssubject to

masternetting

arrangements


Net Amount


31 August 2019

Financial assets



Total 6,344 - 6,344 (6) - 6,338



Total 7,377 - 7,377 (6) - 7,371

31 August 2018

Financial assets



Total 11,382 - 11,382 (808) - 10,574



Total 808 - 808 (808) - -


-75-





A B C=A-B D E=C-D


D(i) D(ii)

Grossamounts of

financialassets

Grossamounts


financialposition

Net amountof

financialassets

presented inthe


Amountssubject to

masternetting

arrangements


Net Amount


31 August 2019

Financial assets

Cash and cashequivalents 174 - 174 - - 174


Total 666 - 666 (492) - 174



Total 162,647 - 162,647 (492) - 162,155

31 August 2018

Financial assets



Total 125,059 - 125,059 (316) - 124,743



Total 316 - 316 (316) - -


-76-





A B C=A-B D E=C-D


D(i) D(ii)

Grossamounts of

financialassets

Grossamounts


financialposition

Net amountof

financialassets

presented inthe


Amountssubject to

masternetting

arrangements


Net Amount


31 August 2019

Financial assets


Derivative financialinstruments 12,128 - 12,128 (12,128) - -

Total 13,914 - 13,914 (12,128) - 1,786


Derivative financialinstruments 2,949,631 - 2,949,631 (12,128) - 2,937,503

Total 2,949,631 - 2,949,631 (12,128) - 2,937,503

31 August 2018

Financial assets


Derivative financialinstruments 481,861 - 481,861 (4,931) - 476,930

Total 482,266 - 482,266 (4,931) - 477,335



Total 4,931 - 4,931 (4,931) - -


-77-





A B C=A-B D E=C-D


D(i) D(ii)

Grossamounts of

financialassets

Grossamounts


financialposition

Net amountof

financialassets

presented inthe


Amountssubject to

masternetting

arrangements


Net Amount

EUR EUR EUR EUR EUR EUR

31 August 2019

Financial assets



Total 4,937 - 4,937 (4,656) - 281


Derivative financialinstruments 64,317 - 64,317 (4,656) - 59,661

Total 64,317 - 64,317 (4,656) - 59,661

31 August 2018

Financial assets



Total 6,954 - 6,954 (489) - 6,465



Total 489 - 489 (489) - -


-78-





A B C=A-B D E=C-D


D(i) D(ii)

Grossamounts of

financialassets

Grossamounts


financialposition

Net amountof

financialassets

presented inthe


Amountssubject to

masternetting

arrangements


Net Amount


31 August 2019

Financial assets



Total 1,524 - 1,524 (811) - 713



Total 33,070 - 33,070 (811) - 32,259

31 August 2018

Financial assets



Total 26,236 - 26,236 (907) - 25,329



Total 907 - 907 (907) - -

Amounts in D(i) and D(ii) above relate to amounts subject to set-off that do not qualify for offsetting under (B) above. Thisincludes (i) amounts which are subject to set-off against the asset (or liability) disclosed in ‘A’ which have not been offset in thestatement of financial position, and (ii) any financial collateral (including cash collateral), both received and pledged.


-79-




The Sub-Funds and their counterparties have elected to settle all transactions on a gross basis. However, each party has theoption to settle all open contracts on a net basis in the event of default of the other party. Per the term of custodian servicesagreement, an event of default includes the following:

• failure by a party to make any payment when due, under the Agreement;

• failure by a party to comply with or perform any agreement or obligation required by the custodian services agreement(other than payment);

• bankruptcy.

(g) Fair value estimation

The carrying values of assets and liabilities are reasonable approximations of their fair values.

The fair value of financial assets and liabilities traded in active markets (such as publicly traded derivatives and tradingsecurities) are based on quoted market prices at the close of trading on the year end date. The Sub-Funds utilize the last tradedmarket price for both financial assets and financial liabilities.

An active market is a market in which transactions for the asset or liability take place with sufficient frequency and volume toprovide pricing information on an ongoing basis. A financial instrument is regarded as quoted in an active market if quotedprices are readily and regularly available from an exchange, dealer, broker, industry group, pricing service, or regulatory agency,and those prices represent actual and regularly occurring market transactions on an arm’s length basis.

The Sub-Funds classify fair value measurements using a fair value hierarchy that reflects the significance of the inputs usedin making the measurements. The fair value hierarchy has the following levels:

• Quoted prices (unadjusted) in active markets for identical assets or liabilities (level 1).

• Inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly (that is,as prices) or indirectly (that is, derived from prices) (level 2).

• Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs) (level 3).

The level in the fair value hierarchy within which the fair value measurement is categorized in its entirety is determined on thebasis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the significanceof an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputsthat require significant adjustment based on unobservable inputs, that measurement is a level 3 measurement. Assessing thesignificance of a particular input to the fair value measurement in its entirety requires judgment, considering factors specific tothe asset or liability.

The determination of what constitutes observable requires significant judgment by the Manager of the Sub-Funds. TheManager considers observable data to be such market data that is readily available, regularly distributed or updated, reliableand verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.


-80-



(g) Fair value estimation (Continued)

The following tables analyze within the fair value hierarchy the Sub-Funds’ financial assets and liabilities (by class) measuredat fair value at the year end date:

AB (HK) Global Value Portfolio31 August 2019 31 August 2018

Level 1USD

Level 2USD

Level 3USD

TotalUSD

Level 1USD

Level 2USD

Level 3USD

TotalUSD

Financial assetsForward ForeignExchangeContracts - 13 - 13 - 21,005 - 21,005CollectiveInvestmentSchemes - 1,429,581 - 1,429,581 - 2,738,284 - 2,738,284

Total financialassets at fairvalue throughprofit or loss - 1,429,594 - 1,429,594 - 2,759,289 - 2,759,289

FinancialliabilitiesForward ForeignExchangeContracts - 14,377 - 14,377 - 62 - 62

Total financialliabilities at fairvalue throughprofit or loss - 14,377 - 14,377 - 62 - 62


Level 1USD

Level 2USD

Level 3USD

TotalUSD

Level 1USD

Level 2USD

Level 3USD

TotalUSD

Financial assetsForward ForeignExchangeContracts - 6 - 6 - 10,078 - 10,078CollectiveInvestmentSchemes - 736,267 - 736,267 - 884,807 - 884,807

Total financialassets at fairvalue throughprofit or loss - 736,273 - 736,273 - 894,885 - 894,885


-81-





Level 1USD

Level 2USD

Level 3USD

TotalUSD

Level 1USD

Level 2USD

Level 3USD

TotalUSD



AB (HK) Global High Yield Portfolio31 August 2019 31 August 2018

Level 1USD

Level 2USD

Level 3USD

TotalUSD

Level 1USD

Level 2USD

Level 3USD

TotalUSD






-82-




AB (HK) American Income Portfolio31 August 2019 31 August 2018

Level 1USD

Level 2USD

Level 3USD

TotalUSD

Level 1USD

Level 2USD

Level 3USD

TotalUSD

Financial assetsForward ForeignExchangeContracts - 12,128 - 12,128 - 481,861 - 481,861CollectiveInvestmentSchemes - 293,764,370 - 293,764,370 - 62,764,755 - 62,764,755


FinancialliabilitiesForward ForeignExchangeContracts - 2,949,631 - 2,949,631 - 4,931 - 4,931

Total financialliabilities at fairvalue throughprofit or loss - 2,949,631 - 2,949,631 - 4,931 - 4,931


Level 1EUR

Level 2EUR

Level 3EUR

TotalEUR

Level 1EUR

Level 2EUR

Level 3EUR

TotalEUR

Financial assetsForward ForeignExchangeContracts - 4,656 - 4,656 - 6,821 - 6,821CollectiveInvestmentSchemes - 14,831,381 - 14,831,381 - 11,257,602 - 11,257,602



-83-





Level 1EUR

Level 2EUR

Level 3EUR

TotalEUR

Level 1EUR

Level 2EUR

Level 3EUR

TotalEUR



AB (HK) Emerging Markets Multi-Asset Portfolio31 August 2019 31 August 2018

Level 1USD

Level 2USD

Level 3USD

TotalUSD

Level 1USD

Level 2USD

Level 3USD

TotalUSD





Investment whose values are based on quoted market prices in active markets, and therefore classified within level 1, includeactive listed equities. The Sub-Funds do not adjust the quoted price for these instruments.

Financial instruments that trade in markets that are not considered to be active and are valued based on quoted market prices,dealer quotations or alternative pricing sources supported by observable inputs are classified within level 2. These includesuspended listed equity securities that were valued at the last traded prices prior to suspension. The quotes are periodicallyreviewed by the Manager. As of 31 August 2019 and 31 August 2018, the Sub-Funds’ level 2 investments are mainly units inUnderlying Schemes and forward foreign exchange contracts.


-84-




At 31 August 2019 and 31 August 2018, the Sub-Funds did not hold any investments classified in level 3.

During the year ended 31 August 2019 and 31 August 2018, there were no transfer between levels of investments held by AB(HK) Global Value Portfolio, AB (HK) Asia Ex-Japan Equity Portfolio, AB (HK) Global High Yield Portfolio, AB (HK) AmericanIncome Portfolio, AB (HK) European Income Portfolio and AB (HK) Emerging Markets Multi-Asset Portfolio.

(h) Capital risk management

The Sub-Funds’ capital are represented by the redeemable units outstanding. The Sub-Funds’ objective are to provideinvestment results that correspond generally to the performance of the respective indices. The Manager may:

• Redeem and issue new units in accordance with the constitutive documents of the Sub-Funds;

• Exercise discretion when determining the amount of distributions of the Sub-Funds to the Unitholders; and

• Suspend the issue and redemption of units under certain circumstances stipulated in the explanatory memorandum.

The Sub-Funds do not have any internally and externally imposed capital requirements and therefore the Sub-Funds are notsubject to significant capital risk.

4 Net changes in fair value on financial assets and liabilities at fair value through profit orloss

AB (HK) Global Value PortfolioYear ended Year ended

31 August2019

31 August2018

USD USD

Unrealised changes on investments (212,458) (51,669)

Realised changes on investments (140,173) (21,806)

(352,631) (73,475)

AB (HK) Asia Ex-Japan Equity PortfolioYear ended Year ended

31 August2019

31 August2018

USD USD



(91,159) (375,342)


-85-


4 Net changes in fair value on financial assets and liabilities at fair value through profit orloss (Continued)

AB (HK) Global High Yield PortfolioYear ended Year ended

31 August2019

31 August2018

USD USD



(1,015,491) (1,544,365)

AB (HK) American Income PortfolioYear ended Year ended

31 August2019

31 August2018

USD USD

Unrealised changes on investments 7,030,263 (3,267,545)

Realised changes on investments (9,424,724) (1,415,993)

(2,394,461) (4,683,538)

AB (HK) European Income PortfolioYear ended Year ended

31 August2019

31 August2018

EUR EUR

Unrealised changes on investments 476,572 (396,779)

Realised changes on investments 394,174 193,409

870,746 (203,370)

AB (HK) Emerging Markets Multi-Asset PortfolioYear ended Year ended

31 August2019

31 August2018

USD USD



(440,060) (599,928)


-86-


5 Related party transactions

The following is a summary of significant related party transactions entered into during the year between the Sub-Funds andthe Trustee and its related parties, the Manager and its Connected Persons. Connected Persons of the Manager are thosedefined in the Code on Unit Trusts and Mutual Funds issued by the Securities and Futures Commission of Hong Kong (the “SFCCode”). All transactions entered into during the year between the Sub-Funds and the Manager and its Connected Persons werecarried out in the ordinary course of business and on normal commercial terms. To the best of the Manager’s knowledge, theSub-Funds do not have any other transactions with Connected Persons except for those disclosed below.

(a) Management fee

In accordance with the explanatory memorandum, the Manager is entitled to receive a management fee for each class of units.The fee is accrued daily and calculated based on the average daily Net Asset Value and payable monthly in arrears. Thefollowing table discloses the annual management fee rate for each unit class of each Sub-Fund:

Management fee per annumClass AD

RMB HClass ARMB H

Class AA Class A2 Class AARMB H

Class A2RMB H

AB (HK) Global Value Portfolio 1.50% 1.50% N/A N/A N/A N/AAB (HK) Asia Ex-Japan EquityPortfolio 1.70% 1.70% N/A N/A N/A N/AAB (HK) Global High YieldPortfolio N/A N/A 1.55% 1.55% 1.55% 1.55%AB (HK) American IncomePortfolio N/A N/A 1.10% 1.10% 1.10% 1.10%AB (HK) European IncomePortfolio N/A N/A N/A N/A 1.10% 1.10%AB (HK) Emerging MarketsMulti-Asset Portfolio 1.60% 1.60% N/A N/A N/A N/A

The transactions during the year and amounts payable at year end between the Sub-Funds and the Manager were as follows:


Managementfee

Managementfee payable

Managementfee

Managementfee payable

USD USD USD USD

AB (HK) Global Value Portfolio 27,303 1,789 29,047 3,271

AB (HK) Asia Ex-Japan Equity Portfolio 19,284 1,039 29,590 2,403

AB (HK) Global High Yield Portfolio 223,752 20,861 258,382 21,192

AB (HK) American Income Portfolio 1,546,142 267,876 836,714 57,762

AB (HK) Emerging Markets Multi-Asset Portfolio 53,834 4,408 43,189 4,365

EUR EUR EUR EUR

AB (HK) European Income Portfolio 139,423 13,510 116,385 10,580


-87-


5 Related party transactions (Continued)

(b) Trustee fee

In accordance with the explanatory memorandum, the maximum trustee fee is 2% per annum of the NAV of the Sub-Funds.Currently, the Trustee is entitled to receive a fee of 0.035% per annum. The fee is accrued daily and calculated based on theNet Asset Value and payable monthly in arrears.

The Trustee is also entitled to receive various transaction, processing and other applicable fees as agreed with the Managerfrom time to time and to be reimbursed by the relevant Sub-Fund for all out-of-pocket expenses (including sub-custody fees andexpenses) properly incurred by it in the performance of its duties.

The transactions during the year and amounts payable at year end between the Sub-Funds and the Trustee were as follows:


Trustee fee Trustee feepayable

Trustee fee Trustee feepayable

USD USD USD USD

AB (HK) Global Value Portfolio 637 88 678 150

AB (HK) Asia Ex-Japan Equity Portfolio 397 46 609 127

AB (HK) Global High Yield Portfolio 5,052 940 5,834 955

AB (HK) American Income Portfolio 49,196 16,319 26,623 3,675

AB (HK) Emerging Markets Multi-Asset Portfolio 1,177 199 945 191

EUR EUR EUR EUR

AB (HK) European Income Portfolio 4,436 852 3,703 658

(c) Administration fee

In accordance with the explanatory memorandum, State Street Trust (HK) Limited has been appointed by the Manager as theAdministrator to provide accounting, Net Asset Value calculation and other administrative services and is entitled to receive toan administration fee of up to 1% per annum of the NAV of the relevant Sub-Fund. Currently, the administration fee iscalculated at the annual rate of 0.01% of the net asset value of the Sub-Funds and for each additional share class a fee ofUSD3,000 per annum is charged. The fee is accrued daily and payable monthly in arrears.


-88-



(c) Administration fee (Continued)

The transactions during the year and amounts payable at year end between the Sub-Funds and the Administrator were asfollows:


Administrationfee

Administrationfee payable

Administrationfee

Administrationfee payable

USD USD USD USD

AB (HK) Global Value Portfolio 13,182 534 13,193 552

AB (HK) Asia Ex-Japan Equity Portfolio 13,113 523 13,174 546



AB (HK) Emerging Markets Multi-Asset Portfolio 13,336 566 13,270 564

EUR EUR EUR EUR


(d) Portfolio data construction fee

The Administrator is entitled to receive a fee from each of the Sub-Fund for portfolio data construction, currently at the annualrate of USD4,000. For each Sub-Fund, the portfolio data construction fee has been recorded as part of the Other operatingexpenses in the Statement of Comprehensive Income.

The following table discloses the portfolio data construction fee charged during the year for each of the Sub-Fund:


Portfolio dataconstruction


fee payable



fee payable

USD USD USD USD






EUR EUR EUR EUR



-89-



(e) Registrar fee

The Registrar is entitled to receive to a fee which is a combination of asset-based fees and transaction fees charged, whichvaries depending on the number of unitholders in the Sub-Fund and the number of transactions which occur. The maximumregistrar fee is 0.5% per annum of the NAV of the relevant Sub-Fund. The fee is accrued daily and payable monthly in arrears.

The following table discloses the registrar fee charged during the year for each of the Sub-Fund:


Registrar fee Registrar feepayable

Registrar fee Registrar feepayable

USD USD USD USD

AB (HK) Global Value Portfolio 585 157 764 116

AB (HK) Asia Ex-Japan Equity Portfolio 662 142 765 149

AB (HK) Global High Yield Portfolio 3,532 1,219 3,348 460


AB (HK) Emerging Markets Multi-Asset Portfolio 690 206 2,409 410

EUR EUR EUR EUR


(f) Financial statements preparation fee

The Administrator is entitled to receive a fee from each of the Sub-Fund for its service in financial statement preparation,currently at the annual rate of USD10,000. For each Sub-Fund, the financial statements preparation fee has been recorded aspart of the Administrative fee in the Statement of Comprehensive Income.

(g) Fees and charges paid to the custodian

State Street Bank and Trust Company, a related party of the Trustee, is entitled to safekeeping fees and transaction fees.Safekeeping fees are calculated per country basis and payable monthly in arrears. Transaction fees are calculated per tradedate volume basis. For each Sub-Fund, these charges have been recorded as part of the Other operating expenses in theStatement of Comprehensive Income.


-90-



(g) Fees and charges paid to the custodian (Continued)

The following table discloses fees and charges paid to the custodian during the year for each of the Sub-Fund:


Custody fee Custody feepayable

Custody fee Custody feepayable

USD USD USD USD






EUR EUR EUR EUR


(h) Other income

For as long as the Sub-Fund is a feeder fund of the Underlying Scheme, the Manager has voluntarily undertaken, until theManager notifies Unitholders to the contrary that, in any fiscal year, the aggregate fees and expenses with respect to a Classof the Sub-Fund (including any management fee, trustee fee and all other fees and expenses set out in the section headed�Fees and Expenses� but exclusive of certain other taxes, brokerage or other transactional cost and interest on borrowings)shall not exceed the aggregate of:

(a) the below stated percentage of the relevant Class’s total expense ratio for the fiscal year; and

(b) the fees and expenses attributable to the class of the Underlying Schemes because the assets of the Sub-Fund will beinvested in class shares of the Underlying Scheme.

In the event that the fees and expenses with respect to a Class of the Sub-Fund exceed the limit as set out in the ExplanatoryMemorandum (Investors can refer to the Explanatory Memorandum for details of the CAP % of each Share class) (the “Cap”),the Sub-Fund may deduct from the payment to be made to the Manager, or the Manager will otherwise bear, such excess feesand expenses. If the actual aggregate fees and expenses with respect to a Class of the Sub-Fund are below or equal to theCap, the actual aggregate fees and expenses will be charged and borne by the relevant Class.


-91-



(h) Other income (Continued)

Cap expense ratio per annumClass AD

RMB HClass ARMB H

Class AA Class A2 Class AARMB H

Class A2RMB H

AB (HK) Global Value Portfolio 1.90% 1.90% N/A N/A N/A N/AAB (HK) Asia Ex-Japan EquityPortfolio 2.00% 2.00% N/A N/A N/A N/AAB (HK) Global High YieldPortfolio N/A N/A 1.85% 1.85% 1.85% 1.85%AB (HK) American IncomePortfolio N/A N/A 1.40% 1.40% 1.40% 1.40%AB (HK) European IncomePortfolio N/A N/A N/A N/A 1.45% 1.45%AB (HK) Emerging MarketsMulti-Asset Portfolio 1.90% 1.90% N/A N/A N/A N/A

During the year ended 31 August 2019 and 31 August 2018, the Manager reimbursed certain expenses of the Sub-Funds. Foreach Sub-Fund, the reimbursements have been recorded as part of the Other income in the Statement of ComprehensiveIncome. The reimbursements were as follows:

Sub-Funds31 August

201931 August

2018

USD USD

AB (HK) Global Value Portfolio 39,380 50,356AB (HK) Asia Ex-Japan Equity Portfolio 43,548 52,437AB (HK) Global High Yield Portfolio 28,216 34,497AB (HK) American Income Portfolio 4 55AB (HK) Emerging Markets Multi-Asset Portfolio 38,375 57,945

EUR EUR

AB (HK) European Income Portfolio 17,503 31,479

During the year ended 31 August 2019 and 31 August 2018, the receivable of reimbursements have been recorded as part ofthe Other receivables and prepayments in the Statement of Financial Position. The reimbursements were as follows:

Sub-Funds31 August

201931 August

2018

USD USD

AB (HK) Global Value Portfolio 3,784 3,680AB (HK) Asia Ex-Japan Equity Portfolio 3,760 4,402AB (HK) Global High Yield Portfolio 4,991 3,553AB (HK) Emerging Markets Multi-Asset Portfolio 4,046 4,254

EUR EUR

AB (HK) European Income Portfolio 2,890 2,522


-92-



(i) Brokerage commission

During the year ended 31 August 2019 and 31 August 2018, the Sub-Funds utilized the trading services of brokers who arerelated parties of the Trustee and the Manager in their purchase and sale of investments, but no commissions were charged.

(j) Bank balance and interest received

Bank balances are maintained with State Street Bank and Trust Company, a related party of the Trustee. Such accounts areinterest bearing. Bank balances held with the related party of the Trustee as at 31 August 2019 and 31 August 2018 were asfollows:

Sub-Funds31 August

201931 August

2018

USD USD

AB (HK) Global Value Portfolio 2,157 1,319AB (HK) Asia Ex-Japan Equity Portfolio 6,338 1,304AB (HK) Global High Yield Portfolio 174 225AB (HK) American Income Portfolio 1,786 405AB (HK) Emerging Markets Multi-Asset Portfolio 713 1,122

EUR EUR

AB (HK) European Income Portfolio 281 133

Interest paid on bank balances by State Street Bank and Trust Company, a related party of the Trustee, during the accountingperiods were as follows:

Sub-Funds31 August

201931 August

2018

USD USD

AB (HK) Global Value Portfolio 10 11AB (HK) Asia Ex-Japan Equity Portfolio 20 10AB (HK) Global High Yield Portfolio 30 18AB (HK) American Income Portfolio 137 77AB (HK) Emerging Markets Multi-Asset Portfolio 5 7

EUR EUR

AB (HK) European Income Portfolio - 2


-93-



(k) Related party unitholdings

As at 31 August 2019 and 31 August 2018, AllianceBernstein L.P., a related entity of the Manager, held units in the Sub-Fundsas follows:

31 August 2019

Number ofunits held

opening(Units)

Unit acquiredduring the

year(Units)

Unit disposedduring the

year(Units)

Number ofunits held

closing(Units)

Sub-Funds


- Class AD RMB H 4,095 284 - 4,379

- Class A RMB H 3,250 - - 3,250


- Class AD RMB H 4,049 256 - 4,305

- Class A RMB H 3,250 - - 3,250


- Class AA 561 50 - 611

- Class A2 500 - - 500

- Class AA RMB H - - - -

- Class A2 RMB H 3,248 - - 3,248


- Class AA 546 37 - 583

- Class A2 500 - - 500


- Class A2 RMB H 3,252 - - 3,252



- Class A2 RMB H 3,250 - - 3,250


- Class AD RMB H 4,245 337 - 4,582

- Class A RMB H 3,250 - - 3,250


-94-



(k) Related party unitholdings (Continued)

31 August 2018

Number ofunits held

opening(Units)


year(Units)


year(Units)

Number ofunits held

closing(Units)

Sub-Funds


- Class AD RMB H 3,807 288 - 4,095

- Class A RMB H 3,250 - - 3,250


- Class AD RMB H 3,789 260 - 4,049

- Class A RMB H 3,250 - - 3,250


- Class AA 517 44 - 561

- Class A2 500 - - 500


- Class A2 RMB H 3,248 - - 3,248


- Class AA 513 33 - 546

- Class A2 500 - - 500


- Class A2 RMB H 3,252 - - 3,252



- Class A2 RMB H 3,250 - - 3,250


- Class AD RMB H 3,898 347 - 4,245

- Class A RMB H 3,250 - - 3,250

Each Sub-Fund allows the Manager and its Connected Persons to subscribe for, and redeem, units of the Sub-Fund. All suchtransactions are entered into the ordinary course of business and are on normal commercial terms.


-95-



(l) Foreign currency transactions

During the year, the following amounts of total nominal value of foreign currency contracts executed through State Street Bankand Trust Company, a related party of the Trustee, are disclosed below.

Sub-Funds31 August

201931 August

2018

USD USD

AB (HK) Global Value Portfolio 48,719,894 56,891,009

AB (HK) Asia Ex-Japan Equity Portfolio 38,375,023 56,816,261

AB (HK) Global High Yield Portfolio 374,929,978 523,565,785

AB (HK) American Income Portfolio 3,706,902,023 1,984,655,203

AB (HK) Emerging Markets Multi-Asset Portfolio 89,744,079 75,966,331

EUR EUR

AB (HK) European Income Portfolio 328,581,027 286,843,220

For the year end position of foreign currency contracts, please refer to note 3(a).

(m) Balances with the Manager and its Connected Persons as at year end

As at 31 August 2019 and 31 August 2018, balances with the Manager and its Connected Persons were as follows:

Sub-Funds31 August

201931 August

2018

USD USD


Amounts due to Underlying Scheme - (7,198)


Amounts due from Underlying Scheme - 417,924


Amounts due to Underlying Scheme (7,693) -


Amounts due from Underlying Scheme 1,081,946 45,957

Amounts due to Underlying Scheme (1,086,640) (254,679)

EUR EUR


Amounts due to Underlying Scheme (129,707) (1,851)


-96-



(n) Investments

The Sub-Funds held investments in the following Underlying Schemes which are managed by AllianceBernstein LuxembourgS. à r.l., an affiliate of the Manager as at 31 August 2019 and 31 August 2018:

AB (HK) Global Value PortfolioFair value ofinvestments

Interest held Dividendincome

received


year


yearUSD % USD

31 August 2019AB FCP I - Global Value Portfolio -Class SD 1,429,581 0.44 113,851 2,964 (13,477)

31 August 2018AB FCP I - Global Value Portfolio -Class SD 2,738,284 0.49 114,677 35,430 (20,000)

AB (HK) Asia Ex-Japan EquityPortfolio

Fair value ofinvestments


received


year


yearUSD % USD

31 August 2019AB FCP I - Asia Ex-Japan EquityPortfolio - Class SD 736,267 0.25 66,956 22,241 (22,340)

31 August 2018AB FCP I - Asia Ex-Japan EquityPortfolio - Class SD 884,807 0.19 89,402 35,075 (31,718)

AB (HK) Global High YieldPortfolio



received


year


yearUSD % USD

31 August 2019AB FCP I - Global High YieldPortfolio - Class SHK 16,232,070 0.08 1,236,513 81,069 (74,594)

31 August 2018AB FCP I - Global High YieldPortfolio - Class SHK 15,922,414 0.08 1,350,117 105,377 (61,661)


-97-



(n) Investments (Continued)

AB (HK) American IncomePortfolio



received


year


yearUSD % USD

31 August 2019AB FCP I - American IncomePortfolio - Class SHK 293,764,370 1.28 9,073,070 2,494,273 (176,844)

31 August 2018AB FCP I - American IncomePortfolio - Class SHK 62,764,755 0.61 4,764,957 378,747 (451,854)

AB (HK) European IncomePortfolio



received


year


yearEUR % EUR

31 August 2019AB FCP I - European IncomePortfolio - Class SHK 14,831,381 0.37 627,781 95,302 (61,514)

31 August 2018AB FCP I - European IncomePortfolio - Class SHK 11,257,602 0.50 546,687 136,304 (65,664)

AB (HK) Emerging MarketsMulti-Asset Portfolio



received


year


yearUSD % USD

31 August 2019AB (HK) Emerging MarketsMulti-Asset Portfolio 3,193,433 0.19 247,317 17,821 (16,947)

31 August 2018AB (HK) Emerging MarketsMulti-Asset Portfolio 3,311,958 0.15 193,319 33,730 (13,546)


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(o) Dividend income and receivable

The following table disclosed the dividend income and receivable of the Sub-Funds, which held investments in the followingUnderlying Schemes:


31 August 2019 31 August 2018Dividend

incomeDividend

receivableDividend

incomeDividend

receivable

USD USD USD USD

AB FCP I - Global Value Portfolio - Class SD 113,851 7,781 114,677 12,889



incomeDividend

receivableDividend

incomeDividend

receivable

USD USD USD USD

AB FCP I - Asia Ex-Japan Equity Portfolio -Class SD 66,956 3,803 89,402 5,668



incomeDividend

receivableDividend

incomeDividend

receivable

USD USD USD USD

AB FCP I - Global High Yield Portfolio - Class SHK 1,236,513 114,085 1,350,117 112,685



incomeDividend

receivableDividend

incomeDividend

receivable

USD USD USD USD

AB FCP I - American Income Portfolio - Class SHK 9,073,070 1,544,057 4,764,957 342,246



incomeDividend

receivableDividend

incomeDividend

receivable

EUR EUR EUR EUR

AB FCP I - European Income Portfolio - Class SHK 627,781 55,203 546,687 49,699


-99-



(o) Dividend income and receivable (Continued)

AB (HK) Emerging Markets Multi-AssetPortfolio


incomeDividend

receivableDividend

incomeDividend

receivable

USD USD USD USD

AB SICAV I - Emerging Markets Multi-AssetPortfolio - Class SD 247,317 18,457 193,319 21,662

6 Number of units in issue and net assets attributable to unitholders

As stated in note 2(g), redeemable units of the Sub-Funds, which are represented by assets less liabilities, are classified asliability and accounted for in accordance with HKFRSs (the “Accounting NAV”). For the purpose of determining the NAV per unitfor subscriptions and redemptions and for various fee calculations (the “Dealing NAV”), the Manager calculates the DealingNAV in accordance with the provisions of the Sub-Funds’ Trust Deed, which may be different from the accounting policiesunder HKFRSs.

In accordance with the explanatory memorandum of the Fund, the establishment cost expenses will be amortized over the first5 accounting periods of the Fund. However, with respect to the Fund and the Sub-Funds for the purpose of financial statementspreparation in compliance with HKFRSs, their accounting policy is to expense the establishment cost expenses in theStatement of Comprehensive Income as incurred.

Class A2 and Class A are accumulation classes while Class AA and Class AD are distribution classes.

The difference between the Accounting NAV reported in the Statement of Financial Position and the Dealing NAV for thepurpose of calculating the net asset value per unit for processing subscriptions and redemptions and for various feecalculations as at 31 August 2019 and 31 August 2018 are reconciled below:


201931 August

2018USD USD

Accounting NAV as reported in the Statement of Financial Position 1,385,164 2,718,880

Adjustment for preliminary expenses (3,392) 3,607

Dealing NAV 1,381,772 2,722,487


201931 August

2018USD USD

Accounting NAV as reported in the Statement of Financial Position 703,210 854,986


Dealing NAV 699,818 858,593


-100-


6 Number of units in issue and net assets attributable to unitholders (Continued)


201931 August

2018USD USD



Dealing NAV 16,011,871 15,979,249


201931 August

2018USD USD



Dealing NAV 290,434,794 63,059,872


201931 August

2018EUR EUR



Dealing NAV 14,686,921 11,187,143


201931 August

2018USD USD



Dealing NAV 3,129,861 3,297,961


-101-




201931 August

2018

USD USD

Class AD RMB H Units

Units outstanding at the beginning of the year 163,553 64,899

Units issued 12,977 207,283

Units redeemed (77,870) (108,629)

Units outstanding at the end of the year 98,660 163,553

Net assets attributable to unitholders (Accounting NAV) (USD) 1,249,167 2,562,144

Net assets attributable to unitholders (Accounting NAV) per unit (USD) 12.66 15.67

Net assets attributable to unitholders (Accounting NAV) per unit (RMB equivalent) 90.62 107.03

Net assets attributable to unitholders (Dealing NAV) (USD) 1,246,108 2,565,543

Net assets attributable to unitholders (Dealing NAV) per unit (USD) 12.63 15.69

Net assets attributable to unitholders (Dealing NAV) per unit (RMB equivalent) 90.40 107.17

Class A RMB H Units


Units issued 260 4,692

Units redeemed (228) -


Net assets attributable to unitholders (Accounting NAV) (USD) 135,997 156,736



Net assets attributable to unitholders (Dealing NAV) (USD) 135,664 156,944




-102-




201931 August

2018

USD USD



Units issued 131,048 194,475

Units redeemed (128,969) (173,633)








Class A RMB H Units



Units redeemed (6,891) (7,890)









-103-




201931 August

2018

USD USD

Class AA Units

Units outstanding at the beginning of the year 561 517

Units issued 50 44

Units redeemed - -

Units outstanding at the end of the year 611 561







Class A2 Units


Units issued - -

Units redeemed - -









-104-



AB (HK) Global High Yield Portfolio (Continued)31 August

201931 August

2018

USD USD

Class AA RMB H Units

Units outstanding at the beginning of the year 1,122,622 787,030

Units issued 571,167 688,488

Units redeemed (426,569) (352,896)

Units outstanding at the end of the year 1,267,220 1,122,622







Class A2 RMB H Units


Units issued 248 26,029










-105-




201931 August

2018

USD USD

Class AA Units


Units issued 37 33

Units redeemed - -








Class A2 Units


Units issued - -

Units redeemed - -









-106-



AB (HK) American Income Portfolio (Continued)31 August

201931 August

2018

USD USD


Units outstanding at the beginning of the year 4,603,846 4,867,407

Units issued 21,153,567 3,501,915

Units redeemed (4,222,350) (3,765,476)

Units outstanding at the end of the year 21,535,063 4,603,846












Net assets attributable to unitholders (Accounting NAV) (USD) 1,569,039 353,719



Net assets attributable to unitholders (Dealing NAV) (USD) 1,569,020 353,739




-107-




201931 August

2018

EUR EUR



Units issued 815,327 1,100,777

Units redeemed (538,489) (532,498)

Units outstanding at the end of the year 1,219,636 942,798

Net assets attributable to unitholders (Accounting NAV) (EUR) 14,634,660 11,070,155

Net assets attributable to unitholders (Accounting NAV) per unit (EUR) 12.00 11.74


Net assets attributable to unitholders (Dealing NAV) (EUR) 14,631,607 11,073,218

Net assets attributable to unitholders (Dealing NAV) per unit (EUR) 12.00 11.75





Units redeemed (5,751) -


Net assets attributable to unitholders (Accounting NAV) (EUR) 55,326 113,893

Net assets attributable to unitholders (Accounting NAV) per unit (EUR) 17.03 15.35


Net assets attributable to unitholders (Dealing NAV) (EUR) 55,314 113,925

Net assets attributable to unitholders (Dealing NAV) per unit (EUR) 17.02 15.35



-108-




201931 August

2018

USD USD



Units issued 115,293 229,593









Class A RMB H Units


Units issued - 3,710

Units redeemed - (2,291)








7 Taxation

No provision for Hong Kong profits tax has been made as the Fund was authorized as a collective investment scheme underSection 104 of the Hong Kong Securities and Futures Ordinance and is therefore exempted from profits tax under Sections26A(1A) of the Hong Kong Inland Revenue Ordinance.


-109-


8 Distributions

The Manager may in its absolute discretion distribute income to unitholders at such time or times as it may determine in eachfinancial year or determine that no distribution shall be made in any financial year. The amount to be distributed to unitholders,if any, will be derived from the net income of the Sub-Funds. The Sub-Funds have made the following distributions during theyear ended 31 August 2019 and 31 August 2018.

AB (HK)Global Value

Portfolio

AB (HK)Asia Ex-Japan

Equity Portfolio

AB (HK)Global High

Yield PortfolioFor the

year ended31 August

2019

For theyear ended31 August

2019


2019

USD USD USD

Ex-date: 28 September 2018Pay date: 10 October 2018

- RMB 0.5042 on 159,438 units 11,682 - -- RMB 0.5338 on 59,134 units - 4,587 -- RMB 0.6490 on 1,120,882 units - - 105,708- USD 0.6361 on 561 units - - 357

Ex-date: 31 October 2018Pay date: 6 November 2018


Ex-date: 30 November 2018Pay date: 5 December 2018


Ex-date: 31 December 2018Pay date: 4 January 2019

- RMB 0.5679 on 125,347 units 10,340 - -- RMB 0.6128 on 66,423 units - 5,913 -- RMB 0.7169 on 951,720 units - - 99,106- USD 0.6318 on 573 units - - 362


-110-


8 Distributions (Continued)

AB (HK)Global Value

Portfolio


Equity Portfolio

AB (HK)Global High


year ended31 August

2019


2019


2019

USD USD USD

Ex-date: 31 January 2019Pay date: 12 February 2019


Ex-date: 28 February 2019Pay date: 5 March 2019


Ex-date: 29 March 2019Pay date: 3 April 2019


Ex-date: 30 April 2019Pay date: 8 May 2019


Ex-date: 31 May 2019Pay date: 5 June 2019



-111-



AB (HK)Global Value

Portfolio


Equity Portfolio

AB (HK)Global High


year ended31 August

2019


2019


2019

USD USD USD

Ex-date: 28 June 2019Pay date: 5 July 2019


Ex-date: 31 July 2019Pay date: 5 August 2019


Ex-date: 30 August 2019Pay date: 5 September 2019


Total 109,852 64,104 1,261,073


-112-



AB (HK)American

Income Portfolio

AB (HK)European

Income Portfolio

AB (HK)Emerging

Markets Multi-Asset Portfolio


2019


2019


2019

USD EUR USD


- RMB 0.5125 on 4,840,512 units 360,487 - -- USD 0.5166 on 547 units 282 - -- RMB 0.6250 on 939,737 units - 73,090 -- RMB 0.6752 on 210,882 units - - 20,691




- RMB 0.6308 on 5,181,036 units 471,088 - -- USD 0.5153 on 553 units 285 - -- RMB 0.7323 on 1,039,471 units - 96,362 -- RMB 0.7971 on 199,710 units - - 22,946






-113-



AB (HK)American

Income Portfolio

AB (HK)European

Income Portfolio

AB (HK)Emerging



2019


2019


2019

USD EUR USD








- RMB 0.5074 on 14,494,358 units 1,059,992 - -- USD 0.5107 on 571 units 292 - -- RMB 0.5869 on 1,080,621 units - 82,037 -- RMB 0.5506 on 258,457 units - - 20,510




-114-



AB (HK)American

Income Portfolio

AB (HK)European

Income Portfolio

AB (HK)Emerging



2019


2019


2019

USD EUR USD





Total 10,178,605 1,044,025 248,212


-115-



AB (HK)Global Value

Portfolio


Equity Portfolio

AB (HK)Global High


year ended31 August

2018


2018


2018

USD USD USD












-116-



AB (HK)Global Value

Portfolio


Equity Portfolio

AB (HK)Global High


year ended31 August

2018


2018


2018

USD USD USD












-117-



AB (HK)Global Value

Portfolio


Equity Portfolio

AB (HK)Global High


year ended31 August

2018


2018


2018

USD USD USD





Total 137,965 111,605 1,580,159


-118-



AB (HK)American

Income Portfolio

AB (HK)European

Income Portfolio

AB (HK)Emerging



2018


2018


2018

USD EUR USD












-119-



AB (HK)American

Income Portfolio

AB (HK)European

Income Portfolio

AB (HK)Emerging



2018


2018


2018

USD EUR USD












-120-



AB (HK)American

Income Portfolio

AB (HK)European

Income Portfolio

AB (HK)Emerging



2018


2018


2018

USD EUR USD





Total 6,123,671 996,147 227,843

9 Soft commission arrangements

The Manager may effect transactions, provided that any such transaction is consistent with standards of “best execution”, byor through the agency of another person for the account of the Sub-Funds with whom the Manager or any of its connectedpersons have an arrangement under which that party will from time to time provide to or procure for the Manager or any of itsconnected persons goods, services or other benefits (such as advisory services, computer hardware associated withspecialized software or research services and performance measures) the nature of which is such that their provision canreasonably be expected to benefit the Sub-Funds as a whole and may contribute to an improvement in the performance of theSub-Funds. For the avoidance of doubt, such goods and services may not include travel, accommodation, entertainment,general administrative goods or services, general office equipment or premises, membership fees, employees’ salaries ordirect money payments.

Since the inception of the Fund, the Manager had not participated in any soft dollar arrangements in respect of any transactionsfor the account of the Sub-Funds.

10 Approval of financial statements

The financial statements were approved by the Trustee and the Manager on 23 December 2019.


-121-

AB (HK) Global Value PortfolioInvestment Portfolio (Unaudited)As at 31 August 2019

Place ofEstablishment

Holding at31 August

2019

Fair value at31 August

2019

Percentage oftotal net

assets at31 August

2019

Unlisted Investment USD (%)

Collective Investment Schemes

AB FCP I - Global Value Portfolio Luxembourg 16,018 1,429,581 103.21

Total Unlisted Investment 1,429,581 103.21

Derivative

Forward Foreign Exchange Contract (14,364) (1.04)

Other Net Liabilities (30,053) (2.17)

Net Assets Attributable to Unitholders as at 31 August 2019 1,385,164 100.00

Total investments, at cost 1,650,849


-122-

Investment portfolio of AB FCP I - Global Value Portfolio (Unaudited)As at 31 August 2019

Holding at31 August

2019

Fair Value at31 August

2019USD


assets at31 August

2019(%)

Equity securities

AIRBUS SE /EUR/ 29,853 4,113,561 1.28

ALPHABET INC-CL A 3,418 4,069,191 1.26

AMDOCS LTD 35,134 2,274,560 0.71

AMERICAN ELECTRIC POWER 22,979 2,094,570 0.65

APPLE INC 32,758 6,837,982 2.12

BAE SYSTEMS PLC /GBP/ 361,243 2,402,313 0.74

BANK OF AMERICA CORP 256,889 7,067,026 2.19

BLOOMIN’ BRANDS INC 98,440 1,775,857 0.55

BLUESCOPE STEEL LTD/AUD/ 159,739 1,343,995 0.42

BOOZ ALLEN HAMILTON HOLDINGS 23,419 1,768,375 0.55

BRITISH AMERICAN TOBACCO PLC /GBP/ 79,838 2,800,579 0.87

CAPITAL ONE FINANCIAL CORP 38,013 3,292,710 1.02

CHINA RESOURCES PHARMACEUTIC /HKD/ 144A 617,639 636,635 0.20

COMCAST CORP-CLASS A 174,666 7,730,708 2.40

CREDIT SUISSE GROUP AG-REG /CHF/ 150,348 1,759,090 0.54

ERSTE GROUP BANK AG /EUR/ 52,961 1,703,473 0.53

FIRST QUANTUM MINERALS LTD /CAD/ 140,960 863,929 0.27

GENPACT LTD 52,602 2,154,591 0.67

GILEAD SCIENCES INC 57,007 3,622,227 1.12

ICON PLC 11,533 1,778,216 0.55

INTACT FINANCIAL CORP /CAD/ 1 84 -

INTEL CORP 39,298 1,863,119 0.58

JXTG HOLDINGS INC /JPY/ 739,586 3,051,106 0.95

KB FINANCIAL GROUP INC /KRW/ 30,453 994,977 0.31

MAGNA INTERNATIONAL INC 90,368 4,528,354 1.40

NCR CORPORATION 71,040 2,238,457 0.69

NINTENDO CO LTD /JPY/ 7,643 2,892,188 0.90

NIPPON TELEGRAPH & TELEPHONE /JPY/ 65,783 3,153,496 0.98

NOKIA OYJ /EUR/ 904,255 4,473,627 1.39

ORACLE CORP 136,233 7,092,312 2.20

PEPSICO INC 25,636 3,505,273 1.09

PEUGEOT SA /EUR/ 122,290 2,734,062 0.85

PFIZER INC 95,809 3,405,998 1.06

PHILIP MORRIS INTERNATIONAL 65,374 4,712,825 1.46

QANTAS AIRWAYS LTD /AUD/ 556,069 2,286,320 0.71

ROYAL DUTCH SHELL PLC-A SHS /EUR/ 192,351 5,341,025 1.66

ROYAL DUTCH SHELL PLC-A SHS /GBP/ 97,020 2,695,515 0.84

SAMSUNG ELECTRONICS CO LTD /KRW/ 103,003 3,750,224 1.16

SYNCHRONY FINANCIAL 138,513 4,439,358 1.38


-123-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

TRINSEO SA 25,552 896,630 0.28

VONOVIA SE /EUR/ 31,673 1,580,453 0.49

WELLS FARGO & CO 139,061 6,476,089 2.01

YAHOO JAPAN CORP /JPY/ 631,808 1,575,474 0.49

SOUTH32 LTD /AUD/ 1,204,201 2,127,884 0.66

EVEREST RE GROUP LTD 14,702 3,468,003 1.08

PETROCHINA CO LTD H /HKD/ 5,073,704 2,497,343 0.77

PANDORA A/S /DKK/ 41,711 1,774,537 0.55

NOVO NORDISK A/S-B /DKK/ 108,138 5,634,260 1.75

ICICI BANK LTD /INR/ 541,885 3,111,997 0.96

BANK OF IRELAND GROUP PLC /EUR/ 607,687 2,339,412 0.73

COCA-COLA BOTTLERS JAPAN HOLDINGS INC /JPY/ 61,575 1,337,374 0.41

NGK SPARK PLUG CO LTD /JPY/ 106,318 1,830,690 0.57

TOYO TIRE & RUBBER CO LTD /JPY/ 124,867 1,524,001 0.47

TOSOH CORP /JPY/ 122,806 1,573,842 0.49

AROUNDTOWN SA /EUR/ 325,823 2,711,029 0.84

REPSOL SA /EUR/ 463,717 6,746,852 2.09

ALASKA AIR GROUP INC 36,792 2,197,223 0.68

FIDELITY NATIONAL FINANCIAL 51,395 2,258,291 0.70

JUNIPER NETWORKS INC 189,723 4,393,982 1.36

MICROSOFT CORP 35,038 4,830,400 1.50

REINSURANCE GROUP OF AMERICA CLASS A 17,493 2,693,468 0.83

ROSS STORES INC 31,827 3,373,936 1.05

TJX COMPANIES INC 64,289 3,533,948 1.10

US FOODS HOLDING CORP 88,283 3,571,053 1.11

CHINA RESOURCES GAS GROUP LT /HKD/ 396,759 1,957,862 0.61

SIGNET JEWELERS LTD 52,257 639,627 0.20

ESSENT GROUP LTD 76,904 3,729,855 1.16

PETROBRAS - PETROLEO BRAS-PR /BRL/ 458,763 2,825,033 0.88

YDUQS PART /BRL/ 178,541 1,356,415 0.42

CONSTELLATION SOFTWARE INC /CAD/ 2,095 2,040,839 0.63

WH GROUP LTD /HKD/ REG S 1,539,373 1,233,597 0.38

COVESTRO AG /EUR/ 144A 47,860 2,174,930 0.67

MEDTRONIC PLC 25,824 2,786,116 0.86

PERRIGO COMPANY PLC 30,135 1,409,705 0.44

GVC HOLDINGS PLC /GBP/ 355,924 2,730,929 0.85

BANK HAPOALIM BM /ILS/ 233,717 1,714,744 0.53

BANK LEUMI LE-ISRAEL /ILS/ 247,863 1,688,902 0.52

CHECK POINT SOFTWARE TECH 22,440 2,416,795 0.75

ENEL SPA /EUR/ 825,344 5,987,703 1.86

LEONARDO SPA /EUR/ 210,402 2,585,312 0.80

HOYA CORP /JPY/ 27,052 2,199,406 0.68


-124-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

KONINKLIJKE AHOLD DELHAIZE N /EUR/ 131,712 3,085,405 0.96

AERCAP HOLDINGS NV 109,511 5,872,004 1.82

NXP SEMICONDUCTORS NV 30,410 3,106,036 0.96

SALMAR ASA /NOK/ 35,270 1,673,273 0.52

ROCHE HOLDING AG-GENUSSCHEIN /CHF/ 15,587 4,259,295 1.32

SWISS RE LTD /CHF/ 36,413 3,512,875 1.09

GLAXOSMITHKLINE PLC /GBP/ 115,112 2,398,854 0.74

ROLLS-ROYCE HOLDINGS PLC /GBP/ 241,344 2,268,223 0.70

AMERICOLD REALTY TRUST 65,259 2,376,736 0.74

AUTOZONE INC 3,186 3,510,088 1.09

AVNET INC 54,899 2,299,707 0.71

BANKUNITED INC 71,760 2,279,101 0.71

GAP INC/THE 127,040 2,005,964 0.62

HAIN CELESTIAL GROUP INC 83,440 1,589,524 0.49

KLA CORP 16,076 2,377,709 0.74

MGM GROWTH PROPERTIES LLC-A 49,217 1,517,852 0.47

MASCO CORP 61,523 2,505,847 0.78

MEDICAL PROPERTIES TRUST INC 125,761 2,337,888 0.71

MERCK & CO. INC. 38,602 3,337,950 1.03

MICHAELS COS INC/THE 122,162 692,660 0.21

MID-AMERICA APARTMENT COMM 13,663 1,730,864 0.54

NETSCOUT SYSTEMS INC 60,727 1,345,090 0.42

OMEGA HEALTHCARE INVESTORS 41,746 1,698,209 0.53

PAPA JOHN’S INTL INC 33,324 1,658,175 0.51

REGAL BELOIT CORP 20,492 1,452,907 0.45

REPUBLIC SERVICES INC 33,192 2,962,391 0.92

SKECHERS USA INC-CL A 69,914 2,213,468 0.69

UNITEDHEALTH GROUP INC 16,738 3,916,628 1.21

WALMART INC 35,313 4,034,893 1.25

WESTERN DIGITAL CORP 78,124 4,474,145 1.39

WESTLAKE CHEMICAL CORP 20,079 1,176,394 0.36

ZIONS BANCORP NA 51,871 2,131,365 0.66

CAPRI HOLDINGS LTD 54,155 1,428,609 0.44

320,013,978 99.24

Derivatives

Forwards

BRL/USD FWD 20190904 000000908 USD 3,683,175 1.14

BRL/USD FWD 20191002 000000908 USD (3,676,239) (1.14)

BRL/USD FWD 20191002 000006038 USD 938,103 0.29

BRL/USD FWD 20190904 000000642 USD (3,683,175) (1.14)


-125-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

CAD/USD FWD 20190913 000000642 USD 977,350 0.30

CAD/USD FWD 20190913 000015513 USD (1,906,317) (0.59)

CAD/USD FWD 20190913 000004334 USD 928,967 0.29

EUR/USD FWD 20190913 000000010 USD 5,158,352 1.60

EUR/USD FWD 20190913 000011091 USD (2,521,798) (0.78)

EUR/USD FWD 20190913 000000908 USD (18,404,402) (5.71)

EUR/USD FWD 20190913 000010098 USD (2,533,604) (0.79)

EUR/USD FWD 20190913 000011553 USD 1,355,348 0.42

EUR/USD FWD 20190913 000015513 USD (1,475,299) (0.46)

EUR/USD FWD 20190913 000006038 USD (2,351,789) (0.73)

EUR/USD FWD 20190913 000004066 USD 3,032,769 0.94

EUR/USD FWD 20191216 000000908 USD (7,019,573) (2.18)

HKD/USD FWD 20191216 000000010 USD (1,158,076) (0.36)

NOK/USD FWD 20191216 000011553 USD (1,368,288) (0.42)

KRW/USD FWD 20191030 000010098 USD (4,398,883) (1.36)

USD/EUR FWD 20190913 000000010 USD (5,269,206) (1.63)

USD/EUR FWD 20190913 000011091 USD 2,590,375 0.80

USD/EUR FWD 20190913 000000908 USD 19,017,991 5.90

USD/CAD FWD 20190913 000000642 USD (972,552) (0.30)

USD/JPY FWD 20190913 000000010 USD (105,063) (0.03)

USD/EUR FWD 20190913 000010098 USD 2,611,890 0.81

USD/EUR FWD 20190913 000011553 USD (1,388,017) (0.43)

USD/JPY FWD 20190913 000011553 USD (1,292,527) (0.40)

USD/BRL FWD 20190904 000000908 USD (3,670,765) (1.14)

USD/EUR FWD 20190913 000015513 USD 1,512,521 0.47

USD/EUR FWD 20190913 000006038 USD 2,425,716 0.75

USD/CAD FWD 20190913 000015513 USD 1,908,647 0.59

USD/JPY FWD 20190913 000010098 USD 1,389,211 0.43

USD/EUR FWD 20190913 000004066 USD (3,078,746) (0.95)

USD/BRL FWD 20191002 000000908 USD 3,663,095 1.14

USD/CNY FWD 20191017 000011553 USD (1,337,729) (0.41)

USD/CNY FWD 20191017 000003731 USD 5,979,348 1.85

USD/BRL FWD 20191002 000006038 USD (936,354) (0.29)

USD/BRL FWD 20190904 000000642 USD 4,037,930 1.25

USD/CAD FWD 20190913 000004334 USD (931,221) (0.29)

USD/EUR FWD 20191216 000000908 USD 7,092,644 2.20

USD/KRW FWD 20191030 000010098 USD 4,412,995 1.37

USD/HKD FWD 20191216 000000010 USD 1,158,443 0.36

USD/NOK FWD 20191216 000011553 USD 1,391,093 0.43

JPY/USD FWD 20190913 000000010 USD 106,064 0.03

JPY/USD FWD 20190913 000011553 USD 1,304,745 0.41

JPY/USD FWD 20190913 000010098 USD (1,410,809) (0.44)


-126-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

CNY/USD FWD 20191017 000011553 USD 1,328,017 0.41

CNY/USD FWD 20191017 000003731 USD (5,896,692) (1.83)

1,217,665 0.38

Other Net Assets 1,245,251 0.38



-127-

AB (HK) Global Value PortfolioStatement of movements in investment portfolio (Unaudited)For the year ended 31 August 2019

Holding as at31 August

2018

Additions Disposals Holding as at31 August

2019

Unlisted Investment


AB FCP I - Global Value Portfolio 26,531 2,964 13,477 16,018

Fair value asat 31 August

2018

Fair valuechange


2019USD USD USD

Derivatives

Forward Foreign Exchange Contract

Buy RMB / Sell USD 20,973 (35,331) (14,358)

Buy USD / Sell RMB (30) 24 (6)


-128-

Performance record (Unaudited)

1. Net Asset ValuesDealing

net assetvalue

Dealingnet asset

valueper unit

RMB RMB

As at 31 August 2019

- Class A RMB H 970,947 121.76

- Class AD RMB H 8,918,395 90.40


- Class A RMB H 1,072,255 135.01

- Class AD RMB H 17,528,048 107.17


- Class A RMB H 407,152 125.28

- Class AD RMB H 6,942,506 106.97

2. Performance RecordHighest Net

AssetValue Per

Unit

Lowest NetAsset

Value PerUnit

RMB RMB

For the year ended 31 August 2019

- Class A RMB H 136.84 108.26

- Class AD RMB H 108.63 84.45


- Class A RMB H 144.74 124.60

- Class AD RMB H 120.60 104.73


- Class A RMB H 126.95 102.56

- Class AD RMB H 109.65 93.92

From 31 August 2015 (date of commencement of operations) to 31 August 2016

- Class A RMB H 107.07 85.94

- Class AD RMB H 103.35 83.13


-129-

AB (HK) Asia Ex-Japan Equity PortfolioInvestment Portfolio (Unaudited)As at 31 August 2019


Holding at31 August

2019


2019


assets at31 August

2019



AB FCP I - Asia Ex-Japan EquityPortfolio Luxembourg 7,920 736,267 104.70

Total Unlisted Investment 736,267 104.70

Derivative



Net Assets Attributable to Unitholders as at 31 August 2019 703,210 100.00

Total investments, at cost 826,716


-130-

Investment portfolio of AB FCP I - Asia Ex-Japan Equity Portfolio (Unaudited)As at 31 August 2019

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

Equity securities

ALIBABA GROUP HOLDING-SP ADR 16,380 2,866,991 0.95

ANHUI CONCH CEMENT CO LTD-H /HKD/ 1,077,000 6,064,684 2.02

CHINA CITIC BANK CORP LTD-H /HKD/ 9,943,000 5,199,518 1.73

CHINA CONSTRUCTION BANK-H /HKD/ 8,193,000 6,081,738 2.03

CHINA EVERBRIGHT LTD /HKD/ 1,488,000 1,698,587 0.57

CHINA RESOURCES PHARMACEUTIC /HKD/ 144A 3,007,200 3,106,770 1.05

CHINA UNICOM HONG KONG LTD /HKD/ 5,548,000 5,526,488 1.85

CIFI HOLDINGS GROUP CO LTD /HKD/ 7,306,000 3,932,366 1.32

DAH SING FINANCIAL HOLDINGS /HKD/ 531,400 1,951,982 0.65

E-MART INC /KRW/ 16,660 1,595,509 0.53

FUBON FINANCIAL HOLDING CO /TWD/ 2,528,000 3,513,123 1.17

HANA FINANCIAL GROUP /KRW/ 195,030 5,233,003 1.74

HUA HONG SEMICONDUCTOR LTD /HKD/ 144A 2,421,200 4,051,597 1.35

KB FINANCIAL GROUP INC /KRW/ 185,890 6,092,741 2.03

KUMHO PETRO CHEMICAL CO LTD /KRW/ 59,430 3,449,271 1.15

NETEASE INC-ADR 4,910 1,252,050 0.42

NEW ORIENTAL EDUCATIO-SP ADR 30,100 3,413,340 1.14

PETROCHINA CO LTD H /HKD/ 14,322,000 7,105,834 2.37

POSCO /KRW/ 23,280 4,055,381 1.35

REALTEK SEMICONDUCTOR CORP /TWD/ 885,000 6,057,784 2.02

SAMSUNG ELECTRONICS CO LTD /KRW/ 443,750 16,119,711 5.37

SAMSUNG ELECTRONICS PRF /KRW/ 187,780 5,712,853 1.90

SHANGHAI PHARMACEUTICALS-H /HKD/ 2,783,100 5,253,543 1.75

S-OIL CORP /KRW/ 32,477 2,592,797 0.86

STATE BANK OF INDIA /INR/ 2,119,200 8,113,843 2.70

TAIWAN SEMICONDUCTOR MANUFAC /TWD/ 1,155,000 9,523,878 3.17

TENCENT HOLDINGS LTD /HKD/ 84,500 3,500,536 1.17

YUE YUEN INDUSTRIAL HLDG /HKD/ 1,131,500 2,893,548 0.96

NWS HOLDINGS LTD /HKD/ 1,581,000 2,722,246 0.91

TIMES CHINA HOLDINGS LTD /HKD/ 3,358,000 5,122,402 1.71

WH GROUP LTD /HKD/ REG S 6,840,000 5,504,872 1.83

CK ASSET HOLDINGS LTD /HKD/ 833,000 5,657,524 1.89

WEICHAI POWER CO LTD-H /HKD/ 4,556,000 6,973,114 2.32

PING AN INSURANCE GROUP CO-H /HKD/ 1,060,500 12,159,960 4.05

HUAXIN CEMENT CO LTD-A /CNY/ 1,237,869 3,212,235 1.07

LIC HOUSING FINANCE LTD /INR/ 722,380 4,313,086 1.44

INFOSYS LIMITED /INR/ /NSDL/ 242,770 2,769,973 0.92

ICICI BANK LTD /INR/ 1,661,604 9,571,835 3.19

BOC AVIATION LTD /HKD/ 144A 590,700 5,130,691 1.71


-131-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

YANGZIJIANG SHIPBUILDING /SGD/ 3,806,800 2,496,262 0.83

SAMSUNG CARD CO /KRW/ 53,890 1,474,884 0.49

MANDO CORP /KRW/ 78,960 2,222,940 0.74

YAGEO CORPORATION /TWD/ 249,944 1,806,345 0.60

CHINA RESOURCES GAS GROUP LT /HKD/ 862,000 4,260,306 1.42

ENN ENERGY HOLDINGS LTD /HKD/ 422,000 4,817,229 1.61

GEELY AUTOMOBILE HOLDINGS LT /HKD/ 2,040,000 3,153,513 1.05

COFCO MEAT HOLDINGS LTD /HKD/ REG S 5,775,600 1,657,454 0.55

HUANENG POWER INTL INC-H /HKD/ 3,896,000 2,141,697 0.71

GUANGZHOU AUTOMOBILE GROUP-H /HKD/ 5,164,000 5,203,255 1.73

FUJIAN SUNNER DEVELOPMENT-A /CNH/ 1,088,906 4,170,084 1.40

LUXSHARE PRECISION INDUSTR-A /CNH/ 1,402,716 4,795,878 1.60

WENS FOODSTUFFS GROUP CO - A /CNH/ 485,416 2,812,837 0.94

INDUSTRIAL BANK CO LTD -A /CNH/ 2,012,710 4,826,568 1.61

SANY HEAVY INDUSTRY CO LTD-A /CNY/ 3,666,056 6,896,896 2.30

HUAFA INDUSTRIAL CO LTD ZH-A /CNY/ 1,852,235 1,828,953 0.61

CHINA RESOURCES POWER HOLDIN /HKD/ 1,148,000 1,516,923 0.51

SUN HUNG KAI PROPERTIES /HKD/ 208,000 2,947,401 0.98

GAIL INDIA LTD /INR/ 1,269,500 2,312,061 0.77

PETRONET LNG LTD /INR/ 739,270 2,763,171 0.92

POWER GRID CORP OF INDIA /INR 896,310 2,528,609 0.84

BANK NEGARA INDO IDR7500 /IDR/ 6,690,000 3,631,512 1.21

TOSOH CORP /JPY/ 124,600 1,599,797 0.53

CITY DEVELOPMENTS LTD /SGD/ 238,500 1,646,428 0.55

UOL GROUP LTD /SGD/ 762,400 4,037,932 1.35

SHINHAN FINANCIAL GROUP LTD /KRW/ 81,860 2,754,010 0.92

SK HYNIX INC /KRW/ 101,800 6,505,115 2.17

NANYA TECHNOLOGY CORP /TWD/ 1,779,000 3,987,316 1.33

NOVATEK MICROELECTRONICS COR /TWD/ 651,000 3,855,014 1.28

293,747,794 97.91




-132-

AB (HK) Asia Ex-Japan Equity PortfolioStatement of movements in investment portfolio (Unaudited)For the year ended 31 August 2019


2018


2019

Unlisted Investment


AB FCP I - Asia Ex-Japan Equity Portfolio 8,019 22,241 22,340 7,920


2018

Fair valuechange


2019USD USD USD

Derivatives


Buy RMB / Sell USD 9,875 (9,889) (14)

Buy USD / Sell RMB (605) (6,752) (7,357)


-133-



net assetvalue

Dealingnet asset

valueper unit

RMB RMB


- Class A RMB H 431,617 132.81

- Class AD RMB H 4,576,980 100.12


- Class A RMB H 498,689 153.44

- Class AD RMB H 5,367,307 123.01


- Class A RMB H 504,464 155.22

- Class AD RMB H 3,029,947 132.93


AssetValue Per

Unit

Lowest NetAsset

Value PerUnit

RMB RMB


- Class A RMB H 156.99 128.17

- Class AD RMB H 122.02 98.69


- Class A RMB H 178.73 148.74

- Class AD RMB H 149.69 119.89


- Class A RMB H 155.90 112.84

- Class AD RMB H 134.56 102.73


- Class A RMB H 121.23 90.23

- Class AD RMB H 112.74 87.92


-134-

AB (HK) Global High Yield PortfolioInvestment Portfolio (Unaudited)As at 31 August 2019


Holding at31 August

2019


2019


assets at31 August

2019



AB FCP I - Global High Yield Portfolio Luxembourg 174,239 16,232,070 101.35


Derivative






-135-

Investment portfolio of AB FCP I - Global High Yield Portfolio (Unaudited)As at 31 August 2019

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

Equity securities

AB EUROPEAN HIGH YIELD PORTFOLIO /LU0496389577/ /EUR/ 3,593,186 118,156,793 0.57

AB FCP I - MORTGAGE INCOME PORTFOLIO 1,515,009 137,320,392 0.67

AB SICAV I - EMERGING MARKET CORPORATE DEBT PORTFOLIO 4,017,647 93,169,233 0.45

AB SICAV I - US HIGH YIELD PORTFOLIO 3,798,443 54,849,524 0.27

ALLIANCEBERNS LUX EMG MKTS CORP DEBT PTF ZT 14,688,642 196,387,146 0.96

CHC GROUP LLC 637,753 63,775 -

EXIDE TECHNOLOGIES 1,272,880 1,603,829 0.01

EXIDE TECHNOLOGIES REG D RESTRICTED 419,729 528,859 -

GMAC CAPTIAL TRUST I REGD /PREFERRED/ 58,725 1,538,595 0.01

GRANTOR TRUST CGCMT 2015-PIX E CLASS E 98,575 7,520,356 0.04

GRANTOR TRUST CGCMT 2015-PIX F CLASS F 46,389 3,011,625 0.01

GRANTOR TRUST CGCMT 2015-PIX G CLASS G 409,897 12,655,570 0.06

GRANTOR TRUST COMM 2014- UBS2 CLASS E 114,026 9,312,663 0.05

GRANTOR TRUST COMM 2014-UBS2 CLASS F 82,354 5,786,991 0.03

GRANTOR TRUST COMM 2014-UBS2 CLASS G 273,056 7,547,322 0.04

GRANTOR TRUST CSAIL 2015-C1 E-XE 175,922 7,080,104 0.04

GRANTOR TRUST CSAIL 2015-C1 F-XF 109,946 3,769,554 0.02

GRANTOR TRUST CSAIL 2015-C1 NR-X-NR 720,420 19,005,184 0.09

GRANTOR TRUST JPMBB 2014-C24 1,109,007 27,117,488 0.13

GRANTOR TRUST WFRBS 2014-C23 581,163 15,495,373 0.08

GSMS 2013-GC13 GT-E 318,977 19,897,998 0.10

GSMS 2013-GC13 GT-F 109,861 7,977,352 0.04

GSMS 2013-GC13 GT-G 1,022,247 21,055,980 0.10

HALCON RESOURCES CORP 169,703 19,465 -

HARTFORD FINL SVCS GRP /PREFERRED/ 699,825 20,343,913 0.10

HERSHA HOSPITALITY TRUST SERIES C /PREFERRED/ 274,600 7,009,852 0.03

ION MEDIA NETWRKS 3,938 1,053,691 0.01

K201640219 SOUTH AFRICA A SHARES 193,371,375 193 -

K201640219 SOUTH AFRICA B SHARES 30,622,211 31 -

NEENAH ENTERPRISES INC 504,400 161,408 -

NEW COTAI PARTICIPATION CORP CLASS B /RESTRICTED/ 63 - -

PEABODY ENERGY CORP 249,798 4,603,777 0.03

SCE TRUST III PERFERRED 189,225 4,747,655 0.02

TERVITA CORP /CAD/ 10,457,770 52,155,320 0.25

VANTAGE DRILLING INT-UNIT 88,189 18,740,162 0.09

AB SICAV I - FINANCIAL CREDIT PORTFOLIO 1,057,630 110,829,071 0.54

AVAYA HOLDINGS CORP 1,508,768 21,303,804 0.10

BERRY PETROLEUM CORP 2,574,766 20,572,380 0.10

SOUTHEASTERN GROCERS INC 603,410 20,817,645 0.10


-136-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

VISTRA ENERGY CORP RIGHTS EXPIRE 12/31/2049 454,387 363,510 -

BIS INDUSTRIES HOLDINGS LTD 10,224,003 337,392 -MT LOGAN RE LTD SEGREGATED ACCOUNT U-1 SERIES 1PREFERENCE SHARES /PREFERRED/ /G63202132/ 21,937 21,226,779 0.10MT LOGAN RE LTD SEGREGATED ACCOUNT U-1 SERIES 2PREFERENCE SHARES/PREFFERED/ /G63202157/ 9,480 9,173,080 0.04MT LOGAN RE LTD SEGREGATED ACCOUNT U-1 SERIES 3PREFERENCE SHARES /PREFERRED/_ /G63202165/ 8,156 8,044,817 0.04

AB SICAV I - ASIA INCOME OPPORTUNITIES PORTFOLIO CL ZT 737,845 78,403,411 0.38

ATD NEW HOLDINGS INC 525,684 15,244,836 0.07

CLEAR CHANNEL OUTDOOR HOLDINGS INC 1,110,606 2,887,576 0.01PARAGON OFFSHORE CLASS A LIT TRUST INTERESTS PERSENIOR NOTE 218,935 43,787 -PARAGON OFFSHORE CLASS B LIT TRUST INTERESTS PERSENIOR NOTE 328,403 9,031,082 0.04

IHEARTMEDIA INC - CLASS A 63,751 879,764 -

ROAN RESOURCES INC 8,709 9,841 -

LTR INTERMEDIATE HOLDINGS INC /PREFERRED/ RESTRICTED 55,882 7,482,061 0.04

PI JERSEY TOPCO LIMITED CLASS B ORDINARY SHARES 49,843 12,586,354 0.06

WILLSCOT CORPORATION COMMON STOCK /RESTRICTED/ 323,192 4,508,528 0.02

EXIDE CORP 2,740,283 3,452,757 0.02PAYSAFE GROUP HOLDINGS LIMITED 12% UNSECUREDSUBORDINATED PREFERRED RETURN EQUITY CERTIFICATES 14,275,867 14,275,867 0.08

1,241,161,515 6.04

Debt securities225 LIBERTY STREET TRUST 2016-225L SER 2016-225L CL E V/RREGD 144A P/P 15,394,349 16,574,518 0.08

ABJA INVESTMENT CO REGD REG S 27,643,000 28,791,912 0.14

AES EL SALVADOR TRUST II REGD 144A P/P 5,470,000 5,394,787 0.03

AIG LIFE HOLDINGS INC REGD 144A P/P 1,472,000 1,957,760 0.01

AIR MEDICAL GROUP HOLDIN REGD 144A P/P 29,372,000 25,719,592 0.13

AK STEEL CORP REGD 19,451,000 16,255,823 0.08

ALBERTSONS COS LLC/SAFEW REGD SER WI 35,999,000 37,535,781 0.18

ALLIED IRISH BANKS PLC /EUR/ REGD V/R /PERP/ REG S EMTN 3,671,000 4,296,862 0.02

ALLISON TRANSMISSION INC REGD 144A P/P 5,478,000 5,874,837 0.03

ALLSTATE CORP REGD V/R 39,949,000 47,051,093 0.23

ALLY FINANCIAL INC REGD 21,766,000 30,069,669 0.15

ALLY FINANCIAL INC REGD SER * 8,970,000 12,566,037 0.06ALTERNATIVE LOAN TRUST 2006-24CB SER 2006-24CB CL A16REGD 2,032,065 1,686,319 0.01ALTERNATIVE LOAN TRUST 2006-26CB SER 2006-26CB CL A6REGD 853,102 671,948 -ALTERNATIVE LOAN TRUST 2006-26CB SER 2006-26CB CL A8REGD 3,227,931 2,542,489 0.01


-137-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

ALTERNATIVE LOAN TRUST 2006-28CB SER 2006-28CB CL A14REGD 3,217,513 2,592,987 0.01ALTERNATIVE LOAN TRUST 2006-28CB SER 2006-28CB CL A18REGD 1,132,753 891,203 -

ALTERNATIVE LOAN TRUST 2006-42 SER 2006-42 CL 1A6 REGD 3,557,210 3,121,556 0.02

ALTERNATIVE LOAN TRUST 2006-J4 SER 2006-J4 CL 2A9 REGD 773,378 661,436 -ALTERNATIVE LOAN TRUST 2007-15CB SER 2007-15CB CL A19REGD 2,110,336 1,801,882 0.01ALTERNATIVE LOAN TRUST 2007-16CB SER 2007-16CB CL 1A7REGD 5,126,303 5,097,317 0.03ALTERNATIVE LOAN TRUST 2007-7T2 SER 2007-7T2 CL A3 V/RREGD 7,719,186 3,209,416 0.02

ALTICE FINANCING SA REGD 144A P/P 83,056,000 86,950,518 0.42

ALTICE LUXEMBOURG SA REGD 144A P/P 46,752,000 50,153,322 0.24

AMC ENTERTAINMENT HOLDIN REGD 14,293,000 13,117,601 0.06

AMERICAN INTL GROUP REGD 15,085,000 20,198,890 0.10

AON CORP REGD SER * 13,915,000 17,489,221 0.09

APX GROUP INC REGD 9,225,000 8,759,433 0.04

APX GROUP INC REGD SER WI 25,526,000 21,818,225 0.11

ARAB REPUBLIC OF EGYPT REGD REG S MTN 72,441,000 75,361,278 0.37

ARCELORMITTAL REGD 24,445,000 28,862,433 0.14

ARD FINANCE SA /EUR/ REGD 17,977,000 20,503,926 0.10

ARDAGH PKG FIN/HLDGS USA /EUR/ REGD REG S 28,059,000 32,534,347 0.16

ARGENTINA 7.82% 12/31/33 /EUR/ 20,591,138 9,108,853 0.04

AVIS BUDGET CAR/FINANCE REGD 144A P/P 29,321,000 29,853,711 0.15

AZURE POWER ENERGY LTD REGD REG S 20,608,000 20,672,400 0.10

BANCO BILBAO VIZCAYA ARG /EUR/ REGD V/R /PERP/ REG S 55,600,000 66,181,602 0.32

BANCO SANTANDER SA /EUR/ REGD V/R /PERP/ REG S SER . 50,100,000 58,596,813 0.28

BANK OF AMERICA CORP REGD V/R /PERP/ SER AA 14,150,000 15,529,625 0.08

BANK OF AMERICA CORP REGD V/R /PERP/ SER X 8,068,000 8,798,678 0.04

BANK OF IRELAND /EUR/ REGD REG S EMTN 4,140,000 4,754,324 0.02

BARCLAYS BANK PLC REGD V/R /PERP/ 144A P/P 1,667,000 1,922,578 0.01

BARCLAYS PLC /GBP/ REGD V/R /PERP/ REG S 5,167,000 6,498,977 0.03

BARCLAYS PLC REGD V/R /PERP/ REG S SER . 12,000,000 12,496,884 0.06

BCD ACQUISITION INC REGD 144A P/P 50,572,000 51,455,999 0.25BEAR STEARNS ARM TRUST 2007-4 SER 2007-4 CL 22A1 V/RREGD 11,901,510 11,342,405 0.06

BEAZER HOMES USA REGD SER WI 38,600,000 38,226,508 0.19

BERRY PETE CO REGD 42,448,000 - -

BNP PARIBAS REGD V/R /PERP/ 144A P/P 45,857,000 48,374,359 0.24

BNP PARIBAS REGD V/R /PERP/ REG S 4,248,000 4,486,951 0.02

BOMBARDIER INC REGD 144A P/P 65,373,000 64,085,883 0.31

CAIXABANK SA /EUR/ REGD V/R /PERP/ REG S SER 12,200,000 14,478,307 0.07

CALIFORNIA RESOURCES CRP REGD 144A P/P 11,579,000 6,656,524 0.03


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CALIFORNIA RESOURCES CRP REGD SER WI 3,521,000 1,906,153 0.01

CALIFORNIA ST REGD B/E 23,870,000 24,561,753 0.12

CALIFORNIA ST REGD N/C B/E 5,645,000 9,731,924 0.05

CALPINE CORP REGD 49,019,000 49,594,972 0.24

CARLSON TRAVEL INC REGD 144A P/P 17,815,000 18,098,152 0.09

CARRIZO OIL & GAS INC REGD 16,379,000 15,727,779 0.08

CB SANDRIDGE ENERGY IN ESCROW CONTRA REGD 34,739,000 - -

CB SANDRIDGE ENERGY IN REGD 12,210,000 - -

CCO HLDGS LLC/CAP CORP REGD 8,127,000 8,310,906 0.04

CCO HLDGS LLC/CAP CORP REGD 144A P/P 1,856,000 1,938,412 0.01

CENOVUS ENERGY INC REGD 3,477,000 4,273,362 0.02

CENTURYLINK INC REGD 21,530,000 22,000,301 0.11

CENTURYLINK INC REGD SER T 1,492,000 1,566,504 0.01

CF INDUSTRIES INC REGD 33,048,000 32,996,708 0.16

CHASEFLEX TRUST SERIES 2007-1 SER 2007-1 CL 1A3 REGD 5,497,559 3,243,613 0.02

CHC GRP LLC/CHC FIN LTD REGD ZCP P/P SER AI CONVERTIBLE 36,907,103 10,703,060 0.05

CHESAPEAKE ENERGY CORP REGD 21,484,000 16,675,517 0.08CHL MORTGAGE PASS-THROUGH TRUST 2006-13 SER 2006-13CL 1A19 REGD 914,203 723,055 -CHL MORTGAGE PASS-THROUGH TRUST 2007-13 SER 2007-13CL A7 V/R REGD 3,320,335 2,074,385 0.01CHL MORTGAGE PASS-THROUGH TRUST 2007-HY4 SER2007-HY4 CL 1A1 V/R REGD 3,551,420 3,367,491 0.02

CHS/COMMUNITY HEALTH SYS REGD 25,888,000 24,970,788 0.12CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11 SER2013-GC11 CL XA V/R REGD 25,436,244 1,067,905 0.01CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC23 SER2014-GC23 CL D V/R REGD 144A P/P 15,574,398 15,503,534 0.08

CITIGROUP INC REGD V/R /PERP/ 33,515,000 35,206,670 0.17CITIGROUP MORTGAGE LOAN TRUST 2005-8 SER 2005-8 CL 2A2V/R REGD 5,066,616 197,484 -CITIGROUP MORTGAGE LOAN TRUST_ INC SERIES 2007-AR4CLASS 1A1A V/R REGD 2,552,789 2,536,581 0.01CITIMORTGAGE ALTERNATIVE LOAN TRUST SERIES 2007-A3SER 2007-A3 CL 1A4 REGD 833,285 818,099 -

CLEAR CHANNEL COMMUN INC COM REGD 61,123,000 1 -

CLNS TRUST 2017-IKPR SER 2017-IKPR CL F V/R REGD 144A P/P 20,667,000 20,757,548 0.10COMM 2010-C1 MORTGAGE TRUST SER 2010-C1 CL F REGD 144AP/P 3,049,000 2,946,378 0.01COMM 2012-CCRE1 MORTGAGE TRUST SER 2012-CR1 CL XA V/RREGD 59,286,127 2,480,579 0.01COMM 2012-CCRE5 MORTGAGE TRUST SER 2012-CR5 CL XA V/RREGD 53,273,070 2,250,207 0.01COMM 2013-LC6 MORTGAGE TRUST SER 2013-LC6 CL XA V/RREGD 56,637,766 2,123,610 0.01


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COMM 2014-CCRE15 MORTGAGE TRUST SER 2014-CR15 CL XAV/R REGD 57,293,157 1,919,309 0.01COMM 2014-CCRE16 MORTGAGE TRUST SER 2014-CR16 CL DV/R REGD 144A P/P 20,000,000 19,766,928 0.10COMM 2014-CCRE20 MORTGAGE TRUST SER 2014-CR20 CL XAV/R REGD 53,065,235 2,400,485 0.01

CONSOLIDATED ENERGY FIN REGD 144A P/P 23,450,000 24,035,031 0.12

COOPERATIEVE RABOBANK UA /EUR/ REGD V/R /PERP/ REG S 39,200,000 47,317,191 0.23

COOPER-STANDARD AUTOMOTI REGD 144A P/P 21,875,000 18,872,503 0.09COUNTRYWIDE ALTERNATIVE LOAN TRUST SERIES 2006-J5CLASS 1A1 REGD 2,830,271 2,444,106 0.01COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGHTRUST SER 2007-3 CL A30 REGD_ 1,884,008 1,554,411 0.01

CREDIT AGRICOLE SA /EUR/ REGD V/R /PERP/ REG S 815,000 967,524 0.01

CREDIT AGRICOLE SA REGD V/R /PERP/ 144A P/P 24,502,000 28,544,830 0.14

CREDIT SUISSE GROUP AG REGD V/R /PERP/ 144A P/P 31,464,000 33,247,600 0.16CSAB MORTGAGE-BACKED TRUST 2006-2 SER 2006-2 CL A6AS/UP REGD 8,687,959 4,840,474 0.02

CSC HOLDINGS LLC REGD 144A P/P 39,004,000 43,290,098 0.21CWABS ASSET-BACKED CERTIFICATES TRUST 2005-7 SER2005-7 CL AF5W V/R REGD 12,729,000 12,754,019 0.06

DANSKE BANK A/S REGD V/R /PERP/ REG S 30,609,000 30,729,879 0.15DBUBS 2011-LC2 MORTGAGE TRUST SER 2011-LC2A CL E V/RREGD 144A P/P 7,955,000 8,084,093 0.04

DELL INT LLC / EMC CORP REGD 144A P/P 19,266,000 22,794,071 0.11

DIAMOND OFFSHORE DRILL REGD 60,261,000 44,030,559 0.21

DISH DBS CORP REGD 2,824,000 2,974,268 0.01

DISH DBS CORP REGD SER WI 62,878,000 61,583,039 0.30

DNB BANK ASA REGD V/R /PERP/ REG S SER 48,000,000 50,525,520 0.25

DOM REPUBLIC (MESTENIO) REGD REG S 6,666,666 6,791,666 0.03

DOMINICAN REPUBLIC /DOP/ REGD 144A P/P 477,260,000 9,887,839 0.05

DOMINICAN REPUBLIC /DOP/ REGD REG S 1,599,300,000 36,786,620 0.18

DOMINICAN REPUBLIC REGD 144A 25,349,000 27,820,527 0.14

DOMINICAN REPUBLIC REGD REG S 95,115,333 108,437,122 0.53

DRESDNER FNDG TRUST I REGD 144A P/P 1,073,000 1,454,946 0.01DRYDEN 49 SENIOR LOAN FUND SER 2017-49A CL E V/R REGD144A P/P 5,731,556 5,551,505 0.03

EAGLE HOLDING CO II LLC REGD 144A P/P 37,376,000 37,747,491 0.18

EDREAMS ODIGEO SA /EUR/ REGD REG S 4,540,000 5,269,064 0.03

EGYPT TREASURY BILL /EGP/ REGD ZCP SER 364D 1,890,475,000 112,089,376 0.55

EMBARQ CORP REGD 25,252,000 24,749,283 0.12

ENOVA INTERNATIONAL INC REGD 144A P/P 25,350,000 24,371,441 0.12

ENVISION HEALTHCARE CORP REGD 144A P/P 45,187,000 24,648,243 0.12

EP ENER/EVEREST ACQ FIN REGD 144A P/P 38,023,000 2,885,835 0.01

EP ENER/EVEREST ACQ FIN REGD SER WI 32,246,000 163,326 -


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EXIDE TECHNOLOGIES REGD 144A P/P 43,011,389 35,758,183 0.17

EXIDE TECHNOLOGIES REGD 144A P/P CONVERTIBLE 34,554,140 14,201,752 0.07FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2014-C01CL M2 V/R REGD 2,530,233 2,749,471 0.01FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2014-C04CL 1M2 V/R REGD 43,474,361 47,249,536 0.23FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2015-C01CL 1M2 V/R REGD 26,512,929 27,934,621 0.14FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2015-C02CL 1M2 V/R REGD 24,967,983 26,302,871 0.13FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2015-C02CL 2M2 V/R REGD 25,270,515 26,118,581 0.13FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2015-C03CL 1M2 V/R REGD 42,827,938 45,993,792 0.22FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2015-C03CL 2M2 V/R REGD 2,359,612 2,468,514 0.01FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2015-C04CL 1M2 V/R REGD 2,648,348 2,873,466 0.01FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2015-C04CL 2M2 V/R REGD 35,325,843 37,528,731 0.18FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C01CL 1B V/R REGD 39,521,261 57,295,857 0.28FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C01CL 1M2 V/R REGD 37,242,204 40,565,959 0.20FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C02CL 1B V/R REGD 21,515,025 31,213,901 0.15FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C03CL 1B V/R REGD 7,820,789 11,154,461 0.05FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C03CL 1M2 V/R REGD 6,512,000 7,041,785 0.03FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C03CL 2B V/R REGD 18,488,265 26,259,665 0.13FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C03CL 2M2 V/R REGD 59,491,054 64,078,486 0.31FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C04CL 1B V/R REGD 34,664,922 46,396,589 0.23FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C04CL 1M2 V/R REGD 19,877,000 20,948,613 0.10FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C05CL 2B V/R REGD 30,034,038 39,480,541 0.19FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C05CL 2M2 V/R REGD 71,118,049 74,583,866 0.36FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C06CL 1B V/R REGD 21,338,276 27,390,573 0.13FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C06CL 1M2 V/R REGD 31,237,599 33,154,010 0.16FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C07CL 2B V/R REGD 26,974,236 33,677,790 0.16


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2019(%)

FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C07CL 2M2 V/R REGD 4,670,101 4,893,089 0.02

FIDEICOMISO PA COSTERA /COP/ REGD 144A P/P 18,690,784,000 5,687,071 0.03

FIDEICOMISO PA PACIFICO /COP/ REGD 144A P/P 97,872,935,896 31,130,340 0.15FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUSSER 2006-AA3 CL A1 V/R REGD 3,103,837 2,859,508 0.01FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUSSER 2007-FA2 CL 1A6 V/R REGD 2,187,008 423,933 -FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST20 SER 2006-FA3 CL A9 REGD 3,664,378 2,858,493 0.01

FIRST QUANTUM MINERALS L REGD 144A P/P 65,976,000 61,596,487 0.30FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2015-DN1 CL M3 V/R REGD 382,894 396,375 -FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2015-DNA1 CL B V/R REGD 28,709,580 38,218,498 0.19FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2015-DNA2 CL B V/R REGD 48,412,410 60,054,394 0.29FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2015-DNA3 CL B V/R REGD 13,466,309 17,678,865 0.09FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2015-HQ1 CL B V/R REGD 11,483,645 15,348,403 0.08FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2015-HQ2 CL B V/R REGD 1,455,362 1,760,550 0.01FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2015-HQA1 CL B V/R REGD 17,702,004 21,787,864 0.11FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2015-HQA1 CL M3 V/R REGD 29,075,000 31,029,657 0.15FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2015-HQA2 CL B V/R REGD 10,451,724 13,818,366 0.07FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2015-HQA2 CL M3 V/R REGD 8,705,777 9,387,771 0.05FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2016-DNA2 CL M3 V/R REGD 25,243,000 26,856,631 0.13FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2016-DNA3 CL B V/R REGD 4,918,458 6,888,478 0.03FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2016-DNA4 CL B V/R REGD 8,756,472 11,148,049 0.05FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2016-HQA1 CL B V/R REGD 16,452,823 23,844,071 0.12FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2016-HQA1 CL M3 V/R REGD 28,344,363 31,174,355 0.15FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2016-HQA2 CL B V/R REGD 10,354,275 14,242,922 0.07

FREEPORT-MCMORAN INC REGD 14,349,000 13,759,084 0.07

FREEPORT-MCMORAN INC REGD SER WI 43,495,000 39,540,391 0.19

GATES GLOBAL LLC REGD 144A P/P 8,054,000 8,041,919 0.04

GENERAL ELECTRIC CO REGD V/R /PERP/ SER D 30,828,000 28,079,961 0.14

GENERAL MOTORS CO REGD SER WI 2,398,000 2,692,765 0.01


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GENWORTH HOLDINGS INC REGD 8,980,000 9,356,020 0.05

GEO GROUP INC/THE REGD 4,281,000 3,703,874 0.02

GFL ENVIRONMENTAL INC REGD 144A P/P 45,954,000 48,453,623 0.24

GLENCORE FINANCE CANADA REGD 144A P/P 4,277,000 4,992,948 0.02

GOVERNOR & CO OF THE BAN /EUR/ REGD REG S EMTN 15,000,000 21,046,219 0.10

GOVERNOR & CO OF THE BAN /EUR/ REGD V/R /PERP/ REG S 19,840,000 22,764,120 0.11

GRAY TELEVISION INC REGD 144A P/P 6,853,000 7,075,078 0.03

GRINDING MED/MOLY-COP REGD 144A P/P 30,614,000 29,085,474 0.14GS MORTGAGE SECURITIES TRUST 2014-GC18 SER 2014-GC18CL D V/R REGD 144A P/P 6,929,815 5,772,261 0.03GS MORTGAGE SECURITIES TRUST 2014-GC22 SER 2014-GC22CL D V/R REGD 144A P/P 22,159,000 21,859,204 0.11

GSAA 2006-6 AF5 V/R 03/25/36 9,185,470 4,476,012 0.02

GSAA HEQ TR 2006-6 AF-4 20360325 FLT 1,079,744 526,255 -GSAA HOME EQUITY TRUST 2005-12 SER 2005-12 CL AF5 S/UPREGD 3,358,808 2,994,201 0.01GSAA HOME EQUITY TRUST 2006-10 SER 2006-10 CL AF3 V/RREGD 5,037,691 2,292,604 0.01

GUANAY FINANCE LTD REGD 144A P/P 4,165,049 4,196,287 0.02

HARTFORD FINL SVCS GRP REGD V/R 144A P/P SER ICON 10,000,000 8,504,150 0.04

HERTZ CORP REGD 144A P/P 42,264,000 41,563,178 0.20

HESS CORP REGD 2,953,000 3,680,348 0.02

HILCORP ENERGY I/HILCORP REGD 144A P/P 32,804,000 30,801,873 0.15

HONDURAS GOVERNMENT REGD REG S 57,073,000 62,294,190 0.30

HSBC HOLDINGS PLC /EUR/ REGD V/R /PERP/ REG S 5,039,000 6,266,092 0.03

HSBC HOLDINGS PLC REGD V/R /PERP/ 18,120,000 18,984,759 0.09

HUGHES SATELLITE SYSTEMS REGD 5,607,000 6,061,543 0.03

IHEARTCOMMUNICATIONS INC REGD 7,398,212 8,006,078 0.04

IHEARTCOMMUNICATIONS INC REGD 144A P/P 5,781,000 6,075,600 0.03

IHO VERWALTUNGS GMBH REGD 144A P/P 30,669,000 30,703,441 0.15

ILFC E-CAPITAL TRUST I REGD V/R 144A P/P 9,500,000 6,639,797 0.03

ILLINOIS ST REGD N/C B/E 21,250,000 25,869,963 0.13

INDIABULLS HOUSING FIN /INR/ REGD REG S 621,300,000 8,534,908 0.04

INDONESIA GOVERNMENT /IDR/ REGD SER FR53 5,827,682,000,000 422,337,476 2.05

INDONESIA GOVERNMENT /IDR/ REGD SER FR70 514,674,000,000 38,423,671 0.19

INFOR US INC REGD SER WI 22,657,000 23,025,290 0.11

INTELSAT JACKSON HLDG REGD 33,777,000 30,734,537 0.15

INTELSAT JACKSON HLDG REGD 144A P/P 57,846,000 60,483,598 0.29

INTERNATIONAL GAME TECH REGD 144A P/P 28,386,000 31,148,403 0.15

INTESA SANPAOLO SPA REGD 144A P/P MTN 11,669,000 12,324,150 0.06

IVORY COAST /EUR/ REGD REG S 7,161,000 8,236,848 0.04

IVORY COAST REGD 144A P/P 8,905,000 8,982,919 0.04

IVORY COAST REGD REG S 68,200,000 68,796,750 0.33


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2019(%)

JC PENNEY CORP INC REGD 21,790,000 5,735,270 0.03

JOSEPH T RYERSON & SON I REGD 144A P/P 42,394,000 44,603,957 0.22

JP MORGAN CHASE BANK NA /IDR/ REGD REG S EMTN 414,814,000,000 33,410,292 0.16JPMBB COMMERCIAL MORTGAGE SECURITIES TRUS SER2013-C14 CL D V/R REGD 144A P/P 3,001,208 2,959,043 0.01JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C15SER 2013-C15 CL XA V/R REGD 34,027,252 1,269,094 0.01

JPMORGAN CHASE & CO REGD V/R /PERP/ SER R 15,000,000 16,043,325 0.08

K HOVNANIAN ENTERPRISES REGD 5,077,000 4,733,318 0.02

K HOVNANIAN ENTERPRISES REGD 144A P/P 48,957,000 40,683,954 0.20

K2016470219 SA LTD REGD P/P 15,325,660 114,366 -

KB HOME REGD 7,596,000 8,583,503 0.04

KINDER MORGAN INC/DELAWA REGD MTN SER GMTN 23,451,000 32,411,719 0.16

KINGDOM OF BAHRAIN REGD REG S 70,673,000 80,666,305 0.39

L BRANDS INC REGD 30,864,000 25,703,945 0.12

LAUREATE EDUCATION INC REGD 144A P/P 17,714,000 19,277,083 0.09

LEBANESE REP 1.0% 11/27/26 10,759,000 7,225,341 0.04

LEBANESE REPUBLIC REGD REG S 8,568,000 5,887,656 0.03

LEHMAN MORTGAGE TRUST 2006-5 SER 2006-5 CL 1A1 REGD 549,136 466,647 -

LEHMAN XS TRUST 2007-10H SER 2007-10H CL 2AIO V/R REGD 5,292,983 948,177 -

LEHMAN XS TRUST 2007-6 SER 2007-6 CL 3A5 V/R REGD 1,405,854 1,394,996 0.01LEHMAN XS TRUST SERIES 2007-16N SER 2007-16N CL 2A2 V/RREGD 3,225,227 3,213,276 0.02

LEVEL 3 FINANCING INC REGD SER WI 5,018,000 5,121,110 0.02

LIBERTY INTERACTIVE LLC REGD CONVERTIBLE 11,992,715 8,574,791 0.04

LIBERTY MUTUAL GROUP INC REGD 144A P/P 36,487,000 45,980,115 0.22

LLOYDS BANKING GROUP PLC /EUR/ REGD V/R /PERP/ REG S 21,606,000 24,119,528 0.12

LLOYDS BANKING GROUP PLC REGD V/R /PERP/ 144A P/P 1,067,000 1,124,885 0.01

LLOYDS TSB BANK PLC 6.413% 12/31/49 /PFD/ 1,976,000 2,048,652 0.01

LPL HOLDINGS INC REGD 144A P/P 31,178,000 32,943,111 0.16

MAGNETATION LLC/FIN CORP REGD 144A P/P /IN DEFAULT/ 40,106,000 401 -

MALLINCKRODT FIN/SB REGD 144A P/P 9,157,000 4,524,182 0.02

MARFRIG HOLDING EUROPE B REGD 144A P/P 20,590,000 21,342,822 0.10

MDC HOLDINGS INC REGD 31,126,000 31,845,260 0.16

MERITAGE HOMES CORP REGD 10,422,000 11,453,726 0.06

MERITOR INC REGD 10,005,000 10,287,221 0.05

METLIFE CAPITAL TRUST IV REGD 144A P/P 7,000,000 9,076,102 0.04

METLIFE INC REGD 16,185,000 26,085,284 0.13

MEX BONOS DESARR FIX RT /MXN/ REGD SER M 2,993,760,000 150,245,793 0.73

MEX BONOS DESARR FIX RT /MXN/ REGD SER M 20 2,936,493,000 151,046,539 0.73

MINERVA LUXEMBOURG SA REGD REG S 35,342,000 36,639,274 0.18

MONGOLIA INTL BOND REGD 144A P/P MTN 15,785,000 15,765,269 0.08

MONGOLIA INTL BOND REGD REG S EMTN 36,188,000 37,689,365 0.18


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Holding at31 August

2019


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assets at31 August

2019(%)

MORGAN STANLEY BANK OF AMERICA MERRILL SER 2012-C6 CLXA V/R REGD 144A P/P 39,434,333 1,586,329 0.01MORGAN STANLEY MORTGAGE LOAN TRUST 2006-17XS SER2006-17XS CL A6 S/UP REGD 7,460,713 3,068,335 0.01MORGAN STANLEY MORTGAGE LOAN TRUST 2006-2 SER 2006-2CL 5A1 REGD 2,840,827 2,403,396 0.01MORGAN STANLEY MORTGAGE LOAN TRUST 2007-6XS SER2007-6XS CL 2A5S V/R REGD 5,140,526 3,285,049 0.02

MPH ACQUISITION HOLDINGS REGD 144A P/P 37,941,000 33,863,784 0.16

MPT OPER PARTNERSP/FINL REGD 15,698,000 16,307,955 0.08

MTN MAURITIUS INVSTMENTS REGD 144A P/P 3,770,000 4,142,288 0.02

MURPHY OIL USA INC REGD 7,385,000 7,601,562 0.04

NABORS INDUSTRIES INC REGD SER WI 20,710,000 18,466,755 0.09

NATIONWIDE FINANCIAL SER REGD 3,000,000 3,383,937 0.02

NATIONWIDE MUTUAL INSURA REGD 144A P/P 7,767,000 13,486,704 0.07

NATIONWIDE MUTUAL INSURA REGD REG S 14,895,000 25,863,842 0.13

NATIONWIDE MUTUAL INSURA REGD V/R 144A P/P 5,000,000 5,002,150 0.02

NAVIENT CORP REGD 34,073,000 36,458,830 0.18

NAVIENT CORP REGD MTN 16,896,000 18,376,355 0.09

NGL ENRGY PART LP/FIN CO REGD SER WI 35,635,000 36,061,818 0.18

NOBLE HOLDING INTL LTD REGD 20,589,000 11,822,094 0.06

NORTHWEST AIRLINES 2000-1 G 20210401 8.07200 287,928 288,851 -

NOTA DO TESOURO NACIONAL /BRL/ REGD SER NTNF 3,432,185,000 873,184,382 4.25

NOVELIS CORP REGD 144A P/P 9,254,000 9,696,906 0.05

NRG ENERGY INC REGD SER WI 1,589,000 1,738,199 0.01

ODEBRECHT FINANCE LTD REGD 144A P/P 30,829,000 2,774,610 0.01

ODEBRECHT FINANCE LTD REGD REG S 38,920,000 3,201,575 0.02

OFFSHORE GROUP INVT REGD 49,911,000 1 -

OWENS CORNING REGD 2,898,000 3,645,797 0.02

PEABODY ENERGY CORP REGD 144A P/P 3,493,000 3,638,571 0.02

PETROBRAS GLOBAL FINANCE REGD 45,588,000 52,244,423 0.25

PETROLEOS DE VENEZUELA S REGD REG S 61,737,800 7,717,225 0.04

PETROLEOS MEXICANOS REGD SER WI 6,213,000 6,271,247 0.03

PETSMART INC REGD 144A P/P 28,881,000 26,901,612 0.13PHH ALTERNATIVE MORTGAGE TRUST SERIES 2007-2 SER2007-2 CL 1A3 V/R REGD 2,790,823 2,669,294 0.01

POST HOLDINGS INC REGD 144A P/P 23,953,000 25,247,131 0.12

PRIME BLOOM HOLDINGS LTD REGD REG S 12,170,000 11,108,928 0.05

PRIME SECSRVC BRW/FINANC REGD 144A P/P 20,074,000 21,101,048 0.10

PROVINCIA DE BUENOS AIRE /ARS/ REGD V/R 600,000,000 2,988,265 0.01

PROVINCIA DE BUENOS AIRE REGD 144A P/P 3,940,000 1,182,000 0.01

PROVINCIA DE BUENOS AIRE REGD REG S 1,975,000 592,500 -

PULTE GROUP INC REGD 27,295,000 33,212,310 0.16

PULTE HOMES INC 6.375% 5/15/33 10,924,000 12,059,736 0.06


-145-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

QEP RESOURCES INC REGD 17,475,000 15,312,416 0.07

RADIATE HOLDCO / FINANCE REGD 144A P/P 39,397,000 39,312,853 0.19RALI SERIES 2005-QA10 TRUST SER 2005-QA10 CL A31 V/RREGD 6,142,866 5,469,271 0.03

RALI SERIES 2005-QS14 TRUST SER 2005-QS14 CL 3A1 REGD 1,760,970 1,707,853 0.01RALI SERIES 2006-QS18 TRUST SER 2006-QS18 CL 2A2 V/RREGD 11,394,431 2,062,697 0.01RBSGC MORTGAGE LOAN TRUST 2007-B SER 2007-B CL 1A4 V/RREGD 1,332,752 715,670 -

REPUBLIC OF ANGOLA REGD REG S 75,883,000 83,836,841 0.41

REPUBLIC OF ARGENTINA /ARS/ REGD 775,104,935 4,291,758 0.02

REPUBLIC OF ARGENTINA REGD 211,533,000 77,797,174 0.38

REPUBLIC OF ARGENTINA REGD SER WI 9,043,000 3,422,776 0.02

REPUBLIC OF CAMEROON REGD REG S 18,610,000 20,203,481 0.10

REPUBLIC OF COTE D’IVOIRE 40,685,920 40,329,918 0.20

REPUBLIC OF ECUADOR REGD REG S 103,722,000 107,681,881 0.52

REPUBLIC OF EL SALVADOR REGD 6,513,000 7,542,868 0.04

REPUBLIC OF EL SALVADOR REGD REG S 57,553,000 58,432,556 0.28

REPUBLIC OF GABON REGD REG S 63,846,428 61,768,520 0.30

REPUBLIC OF IRAQ REGD REG S 46,222,000 45,401,043 0.22

REPUBLIC OF KENYA REGD REG S 99,349,000 105,782,075 0.51

REPUBLIC OF NAMIBIA REGD REG S 8,550,000 8,598,094 0.04

REPUBLIC OF NIGERIA REGD 4,260,000 4,395,788 0.02

REPUBLIC OF NIGERIA REGD REG S 79,536,000 83,642,673 0.41

REPUBLIC OF SENEGAL REGD REG S 53,946,000 52,702,018 0.26

REPUBLIC OF SOUTH AFRICA /ZAR/ REGD SER 2023 2,605,263,200 174,256,731 0.85

REPUBLIC OF SOUTH AFRICA /ZAR/ REGD SER 2030 3,291,900,000 203,286,715 0.99

REPUBLIC OF SRI LANKA REGD 144A P/P 6,998,000 6,757,114 0.03

REPUBLIC OF SRI LANKA REGD REG S 93,712,000 93,513,758 0.46

REPUBLIC OF TURKEY REGD 98,465,000 93,704,041 0.46

REPUBLIC OF VENEZUELA REGD 57,269,000 8,304,005 0.04

REPUBLIC OF VENEZUELA REGD REG S 4,270,000 619,150 -

REPUBLIC OF ZAMBIA REGD 144A P/P 35,644,000 24,059,700 0.12RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A8 SER2006-A8 CL 3A4 REGD 3,282,852 2,671,513 0.01RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A1 SER2007-A1 CL A8 REGD 4,472,160 2,604,193 0.01RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A5 2A3REGD_ 1,414,805 1,212,424 0.01

REYNOLDS GRP ISS/REYNOLD REGD 144A P/P 18,293,000 18,962,140 0.09

ROWAN COMPANIES INC REGD 16,956,000 8,333,439 0.04

ROYAL BK SCOTLND GRP PLC REGD V/R MTN 15,100,000 14,165,944 0.07

ROYAL BK SCOTLND GRP PLC REGD V/R /PERP/ 62,153,000 65,888,395 0.32

RUMO LUXEMBOURG SAR REGD REG S 9,226,000 9,929,483 0.05


-146-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

RUSSIA GOVT BOND - OFZ /RUB/ REGD SER 6209 662,328,000 10,151,758 0.05

RUSSIA GOVT BOND - OFZ /RUB/ REGD SER 6214 5,084,215,000 76,007,909 0.37

RUSSIA GOVT BOND - OFZ /RUB/ REGD SER 6217 12,042,430,000 183,154,692 0.89

SEAGATE HDD CAYMAN REGD 47,424,000 49,177,608 0.24

SEALED AIR CORP REGD 144A P/P 30,184,000 35,183,225 0.17

SERVICIOS CORP JAVER SAP REGD 144A P/P 6,989,000 6,962,791 0.03

SERVICIOS CORP JAVER SAP REGD REG S 4,372,000 4,355,605 0.02

SHEA HOMES LP/FNDG CP REGD 144A P/P 27,999,000 28,847,845 0.14

SINCLAIR TELEVISION GROU REGD 14,458,000 14,706,128 0.07

SIRIUS XM RADIO INC REGD 144A P/P 493,000 510,255 -

SLM CORP REGD 10,162,000 10,351,267 0.05

SLM CORP REGD MTN 5,877,000 6,053,057 0.03

SM ENERGY CO REGD 17,078,000 14,513,277 0.07

SM ENERGY CO REGD SER WI 6,533,000 5,713,553 0.03

SMURFIT KAPPA TREASURY REGD 4,264,000 5,051,672 0.02

SNS BANK NV /EUR/ REGD /PERP/ REG S EMTN 7,579,000 - -

SOCIETE GENERALE REGD V/R /PERP/ 144A P/P 26,752,000 29,895,360 0.15

SOCIETE GENERALE REGD V/R /PERP/ REG S 18,547,000 19,899,798 0.10SOFI CONSUMER LOAN PROGRAM 2016-1 LLC SER 2016-1 CL RREGD 144A P/P 19,420,515 5,208,582 0.03SOFI CONSUMER LOAN PROGRAM 2016-5 LLC SER 2016-5 CL RREGD 144A P/P 215,656 3,019,184 0.01SOFI CONSUMER LOAN PROGRAM 2017-2 LLC SER 2017-2 CL RREGD 144A P/P 155,157 4,034,082 0.02SOFI CONSUMER LOAN PROGRAM 2017-3 LLC SER 2017-3 CL RREGD 144A P/P 159,116 6,689,237 0.03

SOFTBANK GROUP CORP REGD V/R /PERP/ REG S 17,245,000 16,777,936 0.08

SOFTBANK GROUP CORP REGD V/R /PERP/ REG S SER . 31,018,000 30,448,013 0.15

SOLERA LLC / SOLERA FINA REGD 144A P/P 42,592,000 45,148,457 0.22

SONIC AUTOMOTIVE INC REGD 16,446,000 16,557,635 0.08

SOUTHERN CAL EDISON REGD V/R /PERPETUAL/ 17,000,000 17,393,312 0.08

SOUTHERN STAR CENT CORP REGD 144A P/P 2,344,000 2,369,250 0.01

SPECTRUM BRANDS INC REGD 28,900,000 30,125,760 0.15

SPRINT CORP REGD 20,483,000 23,124,260 0.11

SPRINT CORP REGD SER WI 28,325,000 31,510,312 0.15

STANDARD CHARTERED PLC REGD V/R /PERP/ 144A P/P 56,770,000 56,504,663 0.27

STANDARD CHARTERED PLC REGD V/R /PERP/ REG S 27,824,000 29,184,065 0.14

STUDIO CITY CO LTD REGD 144A P/P 13,120,000 13,136,400 0.06

SUGAR HSP GMNG PROP/FIN REGD 144A P/P 22,618,000 22,384,605 0.11

SYNLAB UNSECURED BONDCO /EUR/ REGD 144A P/P 8,101,000 9,284,024 0.05

SYNLAB UNSECURED BONDCO /EUR/ REGD REG S 10,770,000 12,342,790 0.06

TAYLOR MORR COMM/HLDGS REGD 144A P/P 15,712,000 16,615,440 0.08

TEAM HEALTH HOLDINGS INC REGD 144A P/P 24,582,000 16,494,497 0.08


-147-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

TEGNA INC REGD 33,131,000 34,047,967 0.17

TEGNA INC REGD 144A P/P 2,967,000 3,046,424 0.01

TELECOM ITALIA CAPITAL REGD 44,992,000 50,213,432 0.24

TEMPO ACQUISITION LLC/FI REGD 144A P/P 47,918,000 49,202,298 0.24

TENET HEALTHCARE CORP REGD 890,000 891,378 -

TENET HEALTHCARE CORP REGD 144A P/P 1,110,000 1,154,548 0.01

TENET HEALTHCARE CORP REGD SER WI 57,480,000 60,617,500 0.29

TEXAS COHLD TCEH REGD 144A 26,532,000 - -

T-MOBILE USA INC REGD 11,185,000 11,581,452 0.06

TMX FIN LLC/TITLEMAX FIN REGD 144A P/P 22,117,000 20,899,525 0.10

TRANSATLANTIC HOLDINGS REGD 14,148,000 21,299,913 0.10

TRANSOCEAN INC REGD 14,255,000 9,410,666 0.05

TRANSOCEAN INC REGD 144A P/P 27,753,000 25,357,025 0.12

TRANSOCEAN PHOENIX 2 LTD REGD 144A P/P 13,394,250 14,143,163 0.07

TURKEY GOVERNMENT BOND /TRY/ REGD 245,400,000 44,434,395 0.22

TURKIYE VAKIFLAR BANKASI REGD 144A P/P MTN 4,539,000 4,408,504 0.02

UKRAINE GOVERNMENT REGD 122,200,000 130,070,632 0.63

UNICREDIT SPA /EUR/ REGD V/R /PERP/ REG S 21,339,000 27,128,475 0.13

UNIFIN FINANCIERA SA DE REGD REG S 10,010,000 9,590,831 0.05

UNITED RENTALS NORTH AM REGD 14,058,000 15,272,279 0.07

UNITED STATES STEEL CORP REGD 39,571,000 36,296,088 0.18

UNITED STATES TREASURY BOND 1,499,160,000 1,946,504,299 9.47

UNIVISION COMMUNICATIONS REGD 144A P/P 6,983,000 6,792,290 0.03

VERITAS US INC/BERMUDA L REGD 144A P/P 21,749,000 21,124,983 0.10

VIRGIN MEDIA RECEIVABLE /GBP/ REGD REG S 1,030,000 1,287,633 0.01

VIRGOLINO DE OLIVEIRA FI REGD 144A P/P 35,728,000 2,431,209 0.01

VIRGOLINO DE OLIVEIRA FI REGD REG S 32,498,000 801,108 -

VIZIENT INC REGD 144A P/P 4,262,000 4,557,962 0.02WASHINGTON MUTUAL MORTGAGE PASS-THROUGHCERTIFICATES WMAL SER 2006-3 CL 3CB4 REGD 700,471 655,121 -WASHINGTON MUTUAL MORTGAGE PASS-THROUGHCERTIFICATES WMALT SER 2005-9 CL 5A1 REGD 1,120,524 998,592 -WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10 SER2012-C10 CL XA V/R REGD 144A P/P 101,998,906 4,320,980 0.02WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7 SER 2012-C7CL XA V/R REGD 144A P/P 24,156,966 690,720 -WFRBS COMMERCIAL MORTGAGE TRUST 2012-C8 SER 2012-C8CL F V/R REGD 144A P/P 8,767,000 8,008,179 0.04WFRBS COMMERCIAL MORTGAGE TRUST 2012-C8 SER 2012-C8CL XA V/R REGD 144A P/P 28,184,261 1,226,937 0.01WFRBS COMMERCIAL MORTGAGE TRUST 2013-C11 SER2013-C11 CL XA V/R REGD 144A P/P 81,821,113 2,827,173 0.01WFRBS COMMERCIAL MORTGAGE TRUST 2014-C20 SER2014-C20 CL D REGD 144A P/P 4,798,911 3,849,515 0.02

WHITING PETROLEUM CORP REGD 11,330,000 8,879,718 0.04


-148-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

WPX ENERGY INC REGD 7,381,000 8,256,977 0.04

WYNN MACAU LTD REGD 144A P/P 12,252,000 12,096,142 0.06

XPO LOGISTICS INC REGD 144A P/P 30,475,000 32,841,719 0.16

YPF SOCIEDAD ANONIMA /ARS/ REGD REG S EMTN 413,965,317 2,914,320 0.01

ZAYO GROUP LLC/ZAYO CAP REGD 5,000,000 5,150,720 0.03

ZAYO GROUP LLC/ZAYO CAP REGD SER WI 1,000,000 1,028,146 -

PROVINCIA DE CORDOBA REGD REG S 7,330,000 3,298,500 0.02

BRF GMBH REGD REG S 4,249,000 4,146,782 0.02

COSAN LTD REGD REG S 13,818,000 14,047,489 0.07

ELDORADO GOLD CORP REGD 144A P/P 24,998,000 27,027,638 0.13

GOEASY LTD REGD 144A P/P 11,381,000 11,860,550 0.06

PARKLAND FUEL CORP REGD 144A P/P 24,608,000 25,916,826 0.13

BAUSCH HEALTH COS INC REGD 144A P/P 44,223,000 47,780,293 0.23

COM CELULARES(COM TRUST) REGD 144A P/P 6,468,000 6,680,231 0.03

DRYDEN 57 CLO LTD SER 2018-57A CL E V/R REGD 144A P/P 6,004,000 5,348,375 0.03

OZLM XXII LTD SER 2018-22A CL D V/R REGD 144A P/P 2,933,164 2,532,506 0.01

OZLM XVIII LTD SER 2018-18A CL E V/R REGD 144A P/P 10,000,000 8,784,850 0.04

COSTA RICA GOVERNMENT REGD REG S 46,909,000 47,144,464 0.23

DKT FINANCE APS /EUR/ REGD REG S 8,954,000 10,611,770 0.05

DANSKE BANK A/S /EUR/ REGD V/R /PERP/ REG S EMTN 22,601,000 26,379,710 0.13

NOKIA OYJ REGD 2,000,000 2,306,702 0.01

ALTICE FRANCE SA REGD 144A P/P 94,358,000 101,248,623 0.49

CREDIT AGRICOLE SA REGD V/R /PERP/ REG S 21,632,000 25,255,360 0.12

REPUBLIC OF GHANA REGD REG S 47,717,000 50,811,415 0.25

HDFC BANK LTD /INR/ REGD REG S 1,070,000,000 15,059,343 0.07

INDIAN RENEW ENERGY DEV /INR/ REGD REG S EMTN 2,500,000,000 34,222,596 0.17


C&W SENIOR FINANCING DAC REGD 144A P/P 48,461,000 51,654,526 0.25

JAMES HARDIE INTL FIN REGD 144A P/P 3,949,000 4,054,395 0.02

SOFTBANK GROUP CORP REGD REG S 27,481,000 29,789,651 0.14

LEBANESE REPUBLIC REGD MTN SER GMTN 24,961,000 23,408,738 0.11

ARD FINANCE SA REGD SER WI 25,929,000 26,730,699 0.13

INTELSAT LUXEMBOURG SA REGD 2,000,000 1,599,082 0.01

REDE D’OR FINANCE SARL REGD 144A P/P 13,576,000 13,612,737 0.07

MILLICOM INTL CELLULAR REGD REG S 21,710,000 23,723,384 0.12

SUNSHINE MID BV /EUR/ REGD 144A P/P 18,558,000 21,731,548 0.11

AEGON NV REGD V/R 1,590,000 1,685,440 0.01

ING GROEP NV REGD V/R /PERP/ 24,907,000 25,934,414 0.13

OCI NV REGD 144A P/P 19,070,000 19,901,128 0.10

STARS GRP HLDS/STARS GRP REGD 144A P/P 23,373,000 24,795,551 0.12

UPC HOLDING BV REGD 144A P/P 48,738,000 50,768,669 0.25

ZIGGO BV REGD 144A P/P 29,902,000 31,393,153 0.15


-149-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

T/L STARS GROUP HOLDINGS B V REGD 6,177,956 6,193,031 0.03

REPUBLIC OF NIGERIA REGD REG S EMTN 26,981,000 26,862,958 0.13

INDIKA ENERGY III PTE REGD REG S 31,877,000 30,253,265 0.15

MEDCO PLATINUM ROAD PTE REGD REG S 23,153,000 22,772,617 0.11

K2016470260 SA LTD 25% PIK 31/12/2022 USD1’A1’ 5,794,512 119,975 -

CAIXABANK SA /EUR/ REGD V/R /PERP/ 40,000,000 41,021,601 0.20

BANCO SANTANDER SA /EUR/ REGD V/R /PERP/ REG S 3,500,000 4,043,544 0.02

SKANDINAVISKA ENSKILDA REGD V/R /PERP/ REG S SER . 23,400,000 23,725,751 0.12

SVENSKA HANDELSBANKEN AB REGD V/R /PERP/ REG S 1,005,000 1,012,538 -

UBS GROUP FUNDING SWITZE REGD V/R /PERP/ REG S SER . 58,928,000 61,489,664 0.30

CREDIT SUISSE GROUP AG REGD V/R /PERP/ REG S 58,285,000 61,267,142 0.30

UBS GROUP FUNDING SWITZE REGD V/R /PERP/ REG S 29,689,000 31,807,646 0.16

TURKIYE VAKIFLAR BANKASI REGD REG S EMTN 27,991,000 25,929,466 0.13

HSBC HOLDINGS PLC /EUR/ REGD V/R /PERP/ REG S EMTN 27,351,000 31,220,076 0.15

ALGECO GLOBAL FINANCE REGD 144A P/P 29,923,000 29,958,758 0.15

BARCLAYS PLC REGD V/R /PERP/ 35,947,000 37,592,438 0.18

VIRGIN MEDIA SECURED FIN REGD 144A P/P 4,660,000 4,828,113 0.02

MARB BONDCO PLC REGD REG S 39,800,000 40,574,428 0.20

AMERICAN AXLE & MFG INC REGD SER WI 38,222,000 35,640,817 0.17

AVAYA INC ESCROW REGD 144A 63,334,000 1 -

AVETA INC ESCROW REGD 144A 152,815,000 2 -

BANFF MERGER SUB INC REGD 144A P/P 65,994,000 60,232,922 0.29

BANK OF AMERICA CORP REGD V/R /PERP/ SER Z 808,000 902,308 -

BANK OF AMERICA CORP REGD V/R /PERP/ SER DD 29,824,000 33,718,239 0.16

HIGHPOINT OPERATING CORP REGD 14,128,000 12,877,305 0.06

BERRY PETROLEUM CO LLC REGD 144A P/P 8,942,000 8,203,659 0.04CGBAM COMMERCIAL MORTGAGE TRUST 2015-SMRT SER2015-SMRT CL F V/R REGD 144A P/P 5,780,000 5,809,975 0.03

CHS/COMMUNITY HEALTH SYS REGD 144A P/P 13,176,000 10,013,760 0.05COMM 2016-DC2 MORTGAGE TRUST SER 2016-DC2 CL XA V/RREGD 44,154,111 2,298,071 0.01

APTIM CORP REGD 144A P/P 23,228,000 16,066,761 0.08COMM 2012-CCRE3 MORTGAGE TRUST SER 2012-CR3 CL XA V/RREGD 70,266,389 3,340,457 0.02

CARRIAGE SERVICES INC REGD 144A P/P 15,492,000 15,888,719 0.08

CHESAPEAKE ENERGY CORP REGD SER WI 10,468,000 8,036,158 0.04

CINCINNATI BELL INC REGD 144A P/P 4,000,000 3,648,272 0.02

CITIZENS FINANCIAL GROUP REGD V/R /PERP/ SER B 8,895,000 9,134,471 0.04

CLEAVER-BROOKS INC REGD 144A P/P 5,914,000 5,451,850 0.03

COMPASS GROUP DIVERSIFIE REGD 144A P/P 19,854,000 20,872,689 0.10

COVANTA HOLDING CORP REGD 3,000,000 3,123,684 0.02

COVEY PARK ENERGY LLC/FI REGD 144A P/P 10,957,000 7,869,789 0.04


-150-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

CPS AUTO RECEIVABLES TRUST 2017-C SER 2017-C CL E REGD144A P/P 2,000,000 2,070,157 0.01

ORTHO-CLINICAL INC/SA REGD 144A P/P 20,915,000 20,225,391 0.10

CURO GROUP HOLDINGS CORP REGD 144A P/P 41,103,000 35,784,601 0.17

DELL INC REGD 12,532,000 13,054,935 0.06

DENBURY RESOURCES INC REGD 144A P/P 42,379,000 33,871,422 0.17

DPL INC REGD 974,000 1,044,741 0.01FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C01CL 1B1 V/R REGD 16,340,680 19,442,492 0.09FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C03CL 1B1 V/R REGD 26,555,000 29,791,951 0.15

FANNIE MAE REMICS SER 2013-15 CL SA V/R 28,709,388 5,870,880 0.03

FANNIE MAE REMICS SER 2016-89 CL SH V/R 23,892,428 4,488,427 0.02

FANNIE MAE REMICS SER 2017-97 CL SW V/R 48,354,083 11,066,398 0.05

FANNIE MAE REMICS SER 2018-43 CL SB V/R 19,145,408 2,948,605 0.01

FANNIE MAE REMICS SER 2018-36 CL SG V/R 26,941,568 4,847,265 0.02

FREDDIE MAC REMICS SER 4121 CL DS V/R 13,799,185 2,675,048 0.01

FREDDIE MAC REMICS SER 4248 CL SL V/R 8,905,015 1,568,302 0.01

FREDDIE MAC REMICS SER 4774 CL BS V/R 65,641,608 10,141,825 0.05

FREDDIE MAC REMICS SER 4736 CL LS V/R 42,215,267 9,148,449 0.04

FREDDIE MAC REMICS SER 4736 CL SM V/R 92,940,138 17,673,933 0.09FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2017-DNA2 CL B1 V/R REGD 20,233,000 23,004,775 0.11FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2017-DNA3 CL B1 V/R REGD 47,742,000 52,692,526 0.26

FIVE POINT OP CO LP/FIVE REGD 144A P/P 32,611,000 32,763,619 0.16

GENESIS ENERGY LP/GENESI REGD 14,265,000 13,973,115 0.07

GENESIS ENERGY LP/FIN REGD 17,365,000 16,760,130 0.08

GOLDEN NUGGET INC REGD 144A P/P 42,225,000 43,456,074 0.21

GOLDMAN SACHS GROUP INC REGD V/R /PERP/ SER P 37,481,000 36,959,414 0.18GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-3CL DS V/R 52,461,344 5,385,435 0.03GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER2017-134 CL MS V/R 12,283,950 2,618,133 0.01GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER2017-161 CL CS V/R 33,189,052 5,356,351 0.03

GULFPORT ENERGY CORP REGD SER WI 42,863,000 30,987,289 0.15

GULFPORT ENERGY CORP REGD 14,733,000 10,789,005 0.05

H&E EQUIPMENT SERVICES REGD SER WI 16,900,000 17,699,860 0.09

HADRIAN MERGER SUB REGD 144A P/P 11,965,000 11,418,511 0.06

HESS INF PART / FIN CORP REGD 144A P/P 10,394,000 10,752,125 0.05

HUGHES SATELLITE SYSTEMS REGD SER WI 9,000,000 9,715,689 0.05

IRB HOLDING CORP REGD 144A P/P 45,629,000 46,081,640 0.22IMPAC SECURED ASSETS CORP SERIES 2005-2 SER 2005-2 CLA2D V/R REGD 2,461,333 2,132,902 0.01


-151-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

RACKSPACE HOSTIN REGD 144A P/P 20,000,000 18,350,460 0.09

INDIGO NATURAL RES LLC REGD 144A P/P 20,506,000 16,915,276 0.08

JELD-WEN INC REGD 144A P/P 8,016,000 7,809,260 0.04

KINETIC CONCEPT/KCI USA REGD 144A P/P 1,752,000 1,791,944 0.01

LENNAR CORP REGD SER WI 5,237,000 5,632,616 0.03

LEVEL 3 PARENT LLC REGD SER WI 6,620,000 6,667,002 0.03

LIBERTY INTERACTIVE LLC REGD 2,000,000 2,113,994 0.01

LIBERTY TIRE RECYCLING HOLDCO LLC REGD 144A 4,383,863 4,383,863 0.02

MGM RESORTS INTL REGD 9,780,000 10,671,768 0.05

MONITRONICS INTL INC REGD 21,822,000 1,144,979 0.01MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUSSER 2015-C22 CL XA V/R REGD 73,479,846 3,388,964 0.02

NVA HOLDINGS REGD 144A P/P 23,973,000 25,626,993 0.12

NAVISTAR INTL CORP REGD 144A P/P 13,855,000 14,065,873 0.07

WEST CORP REGD 144A P/P 16,455,000 12,788,086 0.06

PDC ENERGY INC REGD 13,322,000 13,286,364 0.06

PDC ENERGY INC REGD SER WI 16,387,000 15,738,878 0.08

POLARIS INTERMEDIATE REGD 144A P/P 68,039,441 57,198,105 0.28

RR DONNELLEY & SONS CO REGD 4,975,000 5,007,740 0.02

RANGE RESOURCES COR REGD SER * 20,054,000 17,962,105 0.09

REGIONALCARE HOSPITAL PR REGD 144A P/P 6,000,000 6,418,554 0.03

SEMGROUP/ROSE ROCK FIN REGD SER WI 15,214,000 14,378,158 0.07

SRC ENERGY INC REGD SER WI 20,227,000 19,988,645 0.10

SEMGROUP CORP REGD SER WI 20,980,000 19,920,403 0.10SOFI CONSUMER LOAN PROGRAM 2017-5 LLC SER 2017-5 CL R1REGD 144A P/P 224,643 9,458,653 0.05SOFI CONSUMER LOAN PROGRAM 2018-1 TRUST SER 2018-1 CLR1 REGD 144A P/P 355,141 21,682,281 0.11

SPRINGLEAF FINANCE CORP REGD 11,000,000 12,507,641 0.06

SPRINT CAPITAL CORP REGD 22,233,000 25,496,173 0.12

SPRINT SPECTRUM / SPEC I REGD 144A P/P 51,080,000 55,029,097 0.27

CB T-MOBILE USA INC REGD 11,185,000 - -

TALEN ENERGY SUPPLY LLC REGD SER WI 26,817,000 20,375,262 0.10

TALEN ENERGY SUPPLY LLC REGD 144A P/P 38,296,000 35,170,126 0.17

TENNECO INC REGD 29,490,000 22,903,821 0.11

TERRAFORM GLOBAL OPERATI REGD 144A P/P 6,594,000 6,779,265 0.03

TITAN INTERNATIONAL INC REGD SER WI 25,484,000 20,292,349 0.10

VALVOLINE INC REGD SER WI 4,193,000 4,362,448 0.02

VINE OIL & GAS LP / FIN REGD 144A P/P 39,494,000 21,326,760 0.10WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C33 SER2016-C33 CL XA V/R REGD 77,440,538 6,226,374 0.03

WHITING PETROLEUM CORP REGD SER WI 1,824,000 1,325,276 0.01

WYNN LAS VEGAS LLC/CORP REGD 144A P/P 16,063,000 16,874,391 0.08


-152-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

T/L AMERICAN TIRE DISTRIBUTORS INC REGD 21,851,932 20,135,783 0.10

T/L VERITAS US INC REGD 11,802,218 11,188,503 0.05

T/L BMC SOFTWARE FINANCE INC REGD 21,521,850 20,296,396 0.10

T/L BROOKFIELD WEC HOLDINGS INC REGD 19,495,035 19,502,053 0.10

T/L VERSCEND HOLDING CORP REGD 15,834,810 15,859,513 0.08

AVETA INC. ESCROW REGD REG S 31,204,000 - -

REPUBLIC OF ARGENTINA REGD S/UP SER NY 39,035,186 13,662,315 0.07

ERSTE GROUP BANK AG /EUR/ REGD V/R /PERP/ REG S EMTN 44,000,000 51,501,579 0.25

OIL & GAS HOLDING REGD REG S 30,819,000 35,806,382 0.17

KBC GROUP NV /EUR/ REGD V/R /PERP/ REG S 48,000,000 52,246,216 0.25BELLEMEADE RE 2018-3 LTD SER 2018-3A CL M2 V/R REGD 144AP/P 18,830,000 18,929,556 0.09

DIGICEL LTD REGD 144A P/P 9,000,000 5,661,563 0.03

HOME RE 2018-1 LTD SER 2018-1 CL M2 V/R REGD 144A P/P 19,338,162 19,593,304 0.10

VOC ESCROW LTD REGD 144A P/P 493,000 505,802 -

DIGICEL GROUP TWO LTD REGD REG S 17,877,343 2,988,747 0.01

DIGICEL GROUP ONE LTD REGD REG S 14,130,500 7,913,080 0.04

CSN RESOURCES SA REGD REG S 13,980,000 14,182,713 0.07

LIGHT SERVICOS ENERGIA REGD REG S 8,659,000 9,143,363 0.05

USJ ACUCAR E ALCOOL SA REGD REG S 15,945,793 11,959,345 0.06

CEMIG GERACAO E TRANSM REGD REG S 4,278,000 4,920,128 0.02

BAUSCH HEALTH COS INC REGD P/P 7,675,000 8,129,183 0.04

MASONITE INTERNATIONAL C REGD 144A P/P 12,275,000 12,940,133 0.06

TERVITA CORP REGD 144A P/P 10,261,000 10,488,969 0.05

AMBAC LSNI LLC VARIABLE REGD 144A 736,633 747,683 -

EXIDE INTL HLDGS LP REGD P/P 20,538,710 19,943,087 0.10

MGM CHINA HOLDINGS LTD REGD 144A P/P 12,036,000 12,421,373 0.06

MELCO RESORTS FINANCE REGD 144A P/P 10,154,000 10,370,839 0.05NEUBERGER BERMAN LOAN ADVISERS CLO 2 SER 2018-29A CLD V/R REGD 144A P/P 3,000,000 2,837,070 0.01NEUBERGER BERMAN LOAN ADVISERS CLO 3 SER 2019-33A CLD V/R REGD 144A P/P 1,875,000 1,875,000 0.01NEUBERGER BERMAN LOAN ADVISERS CLO 3 SER 2019-33A CLE V/R REGD 144A P/P 1,500,000 1,500,000 0.01

YUZHOU PROPERTIES CO LTD REGD REG S 17,125,000 17,291,516 0.08

CHINA EVERGRANDE GROUP REGD REG S 6,644,000 6,091,717 0.03

ZHENRO PROPERTIES GROUP REGD REG S 10,300,000 10,036,650 0.05

LATAM FINANCE LTD REGD REG S 16,000,000 16,635,000 0.08

MUMTALAKAT SUKUK HOLDING REGD REG S 3,194,000 3,366,476 0.02

LATAM FINANCE LTD REGD REG S SER JULY 4,200,000 4,377,593 0.02

TITULOS DE TESORERIA /COP/ REGD SER B 371,791,300,000 126,269,392 0.61

DKT FINANCE APS REGD 144A P/P 7,000,000 7,508,270 0.04

ARAB REPUBLIC OF EGYPT REGD REG S EMTN 58,003,000 60,830,646 0.30


-153-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

NORDEA BANK ABP REGD V/R /PERP/ REG S 58,035,000 61,974,358 0.30

JSW STEEL LTD REGD REG S 15,200,000 15,532,500 0.08

RENEW POWER SYNTHETIC REGD REG S 14,969,000 15,287,091 0.07







F-BRASILE SPA/F-BRASILE REGD 144A P/P SER XR 12,720,000 13,108,774 0.06

LEBANESE REPUBLIC REGD REG S MTN SER GMTN 12,509,000 12,325,274 0.06

LEBANESE REPUBLIC REGD REG S EMTN SER GMTN 14,932,000 10,214,942 0.05

CIRSA FINANCE INTER /EUR/ REGD REG S 3,086,000 3,649,791 0.02

CSN RESOURCES SA REGD 144A P/P 15,610,000 15,970,981 0.08

CIRSA FINANCE INTER REGD 144A P/P 6,169,000 6,520,664 0.03

TONON LUXEMBOURG SA REGD REG S 3,961,571 198,079 -

PETROLEOS MEXICANOS REGD 13,500,000 11,524,950 0.06

TRIVIUM PACKAGING FIN /EUR/ REGD REG S 1,455,000 1,708,181 0.01

CONSTELLIUM SE REGD 144A P/P 36,757,000 38,339,822 0.19

TRIVIUM PACKAGING FIN REGD 144A P/P 7,060,000 7,551,732 0.04

ZIGGO BOND CO BV REGD 144A P/P 20,163,000 20,930,215 0.10

ING GROEP NV REGD V/R /PERP/ REG S 5,795,000 6,085,538 0.03

MV24 CAPITAL BV REGD REG S 12,186,000 12,322,520 0.06

FIDELITY BANK PLC REGD REG S 23,800,000 26,537,000 0.13

OMAN GOV INTERNTL BOND REGD REG S 73,327,000 71,896,126 0.35

OMAN GOV INTERNTL BOND REGD REG S EMTN 14,873,000 14,834,664 0.07

ISLAMIC REP OF PAKISTAN REGD REG S 918,000 919,147 -

REPUBLIC OF SENEGAL /EUR/ REGD REG S 21,000,000 24,024,889 0.12

MEDCO OAK TREE PTE LTD REGD REG S 8,137,000 8,075,973 0.04

ESKOM HOLDINGS SOC LTD REGD REG S EMTN 20,495,000 20,956,137 0.10

BANCO DE SABADELL SA /EUR/ REGD V/R /PERP/ REG S 6,200,000 6,762,002 0.03BANCO BILBAO VIZCAYA ARG /EUR/ REGD V/R /PERP/ REG S SER. 2,600,000 2,978,683 0.01

AI CANDELARIA SPAIN SLU REGD REG S 20,838,000 23,392,301 0.11

STARFRUIT FINCO/STAR US /EUR/ REGD REG S 12,500,000 13,855,311 0.07

EUROPEAN BK RECON & DEV /IDR/ REGD EMTN SER GMTN 648,670,000,000 46,729,620 0.23

PANTHER BF AGGREGATOR 2 REGD 144A P/P 54,740,000 53,760,752 0.26

STARFRUIT FINCO/STAR US REGD 144A P/P 11,275,000 10,993,125 0.05

MN MINING/ENERGY RESOURC REGD REG S 13,225,000 12,497,625 0.06

SVENSKA HANDELSBANKEN AB REGD V/R /PERP/ REG S EMTN 25,800,000 27,387,035 0.13

SWEDBANK AB REGD V/R /PERP/ REG S SER 13,800,000 14,112,225 0.07

SWEDBANK AB REGD V/R /PERP/ REG S SER NC5 5,600,000 5,649,633 0.03


-154-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

EXPORT CREDIT BANK OF TU REGD REG S 13,530,000 12,692,831 0.06

TC ZIRAAT BANKASI AS REGD REG S EMTN 10,552,000 9,602,320 0.05

YAPI VE KREDI BANKASI AS REGD REG S EMTN 8,971,000 8,576,635 0.04

TURK SISE VE CAM FABRIKA REGD REG S 27,769,000 27,716,933 0.14

YAPI VE KREDI BANKASI AS REGD REG S MTN 9,841,000 9,890,205 0.05

KOC HOLDING AS REGD REG S 20,345,000 20,389,505 0.10

LLOYDS BANKING GROUP PLC /GBP/ REGD V/R /PERP/ 4,459,000 5,085,546 0.03

ARQIVA BROADC FINANCE PL /GBP/ REGD REG S 6,698,000 8,694,318 0.04

BARCLAYS PLC /GBP/ REGD V/R /PERP/ 13,922,000 17,516,970 0.09

ITHACA ENERGY NORTH REGD 144A P/P 14,052,000 14,458,173 0.07

VALARIS PLC REGD 4,784,000 3,041,859 0.01

VEDANTA RESOURCES LTD REGD REG S 26,941,000 25,320,584 0.12

VEDANTA RESOURCES REGD REG S 21,272,000 20,810,312 0.10

KONDOR FINANCE PLC (NAK) REGD REG S 10,054,000 10,259,423 0.05

TENNECO INC /EUR/ REGD REG S 5,450,000 6,079,670 0.03

IQVIA INC /EUR/ REGD REG S 6,760,000 7,653,765 0.04

AMC ENTERTAINMENT HLDGS REGD SER WI 22,836,000 21,697,991 0.11

ACRISURE LLC / FIN INC REGD 144A P/P 41,175,000 40,207,107 0.20

AERCAP GLOBAL AVIATION T REGD V/R 144A P/P 2,000,000 2,139,316 0.01

ALBERTSONS COS LLC/SAFEW REGD 144A P/P 4,000,000 4,453,392 0.02

ALLIED UNIVERSAL REGD 144A P/P 6,046,000 6,421,154 0.03

ALLIED UNIVERSAL HOLDCO REGD 144A P/P 40,777,000 42,625,585 0.21

AMKOR TECHNOLOGY INC REGD 144A P/P 493,000 536,953 -

BANK OF AMERICA COR REGD SER B 32,004,000 41,925,240 0.20

BCPE CYCLE MERGER SUB II REGD 144A P/P 13,805,000 13,459,875 0.07

BROOKFIELD PPTY REIT INC REGD 144A P/P 18,919,000 19,915,937 0.10

MAUSER PACKAGING SOLUT REGD 144A P/P 15,012,000 14,328,429 0.07

CNG HOLDINGS INC REGD 144A P/P 17,033,000 16,530,629 0.08

COLFAX CORP REGD 144A P/P 4,123,000 4,414,452 0.02

CITIGROUP INC REGD V/R /PERP/ SER T 5,672,000 6,331,551 0.03

CITGO HOLDING INC REGD 144A P/P 11,004,000 11,636,543 0.06CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 SER2017-P8 CL XA V/R REGD 47,679,792 2,920,111 0.01

CLEAN HARBORS INC REGD 144A P/P 493,000 520,927 -

CLEAR CHANNEL WORLDWIDE REGD 144A P/P 18,181,000 19,026,944 0.09

COMMSCOPE INC REGD 144A P/P 33,479,000 33,356,718 0.16CONNECTICUT AVENUE SECURITIES TRUST 2018-R07 SER2018-R07 CL 1B1 V/R REGD 144A P/P 8,645,395 9,338,127 0.05CONSUMER LOAN UNDERLYING BOND CREDIT TRUST 2 SER2018-3 CL PT V/R REGD 144A P/P 3,435,262 3,387,583 0.02CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE I SER2018-4 CL PT V/R REGD 144A P/P 5,594,252 5,539,987 0.03CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE SER2018-12 CL PT V/R REGD 144A P/P 6,227,039 6,152,974 0.03


-155-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

CONSUMER LOAN UNDERLYING BOND CERTIFICATE IS SER2018-20 CL PT V/R REGD 144A P/P 7,826,632 7,802,871 0.04CONSUMER LOAN UNDERLYING BOND CERTIFICATE IS SER2019-24 CL PT V/R REGD 144A P/P 11,685,561 11,271,346 0.05DBWF 2018-GLKS MORTGAGE TRUST SER 2018-GLKS CL E V/RREGD 144A P/P 15,964,616 16,125,292 0.08

DIAMOND SPORTS GR/DIAMON REGD 144A P/P 19,732,000 20,679,483 0.10

EAGLE RE 2018-1 LTD SER 2018-1 CL M2 V/R REGD 144A P/P 3,267,982 3,286,721 0.02

ENERGY TRANSFER OPERATNG REGD SER * 1,000,000 1,311,766 0.01FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C06CL 1B1 V/R REGD 2,180,000 2,341,786 0.01FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2018-C01CL 1B1 V/R REGD 18,543,503 19,193,724 0.09


FANNIE MAE REMICS SER 2016-64 CL SP V/R 30,415,621 6,629,650 0.03

FANNIE MAE REMICS SER 2019-4 CL AI 37,592,701 8,608,277 0.04

FREDDIE MAC REMICS SER 4398 CL IO 42,764,222 9,183,399 0.05FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2017-DNA1 CL B1 V/R REGD 12,090,000 13,640,249 0.07

FANNIE MAE REMICS SER 2010-109 CL IQ 10,988,663 1,572,851 0.01

REFINITIV US HOLDINGS REGD 144A P/P 43,179,000 48,561,288 0.24

FLEX ACQUISITION CO INC REGD 144A P/P 26,921,000 24,363,720 0.12

FORESTAR GROUP INC REGD 144A P/P 11,953,000 12,868,923 0.06FREDDIE MAC STACR TRUST 2019-DNA3 SER 2019-DNA3 CL M2V/R REGD 144A P/P 3,509,442 3,509,433 0.02

GLP CAPITAL LP / FIN II REGD 14,440,000 14,607,124 0.07

GLOBAL PART/GLP FINANCE REGD 144A P/P 9,867,000 10,048,612 0.05

GOLDMAN SACHS GROUP INC REGD V/R /PERP/ SER Q 6,698,000 6,998,137 0.03

HARSCO CORP REGD 144A P/P 19,080,000 19,778,958 0.10

HERC HOLDINGS INC REGD 144A P/P 17,323,000 17,903,736 0.09

HILTON DOMESTIC OPERATIN REGD 144A P/P 493,000 528,066 -

IAA INC REGD 144A P/P 6,383,000 6,846,214 0.03

IQVIA INC REGD 144A P/P 1,000,000 1,053,521 0.01

CB IDEARC INC REGD 2,952,000 - -

CB IDEARC INC REGD 144A 6,591,000 - -

IRON MOUNTAIN INC REGD 144A P/P 493,000 506,484 -JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C21SER 2014-C21 CL XA V/R REGD 67,425,579 2,644,020 0.01

JAGUAR HL / PPDI REGD 144A P/P 4,000,000 4,134,072 0.02

JEFFERIES FIN LLC / JFIN REGD 144A P/P 9,599,000 9,848,680 0.05

JPMORGAN CHASE & CO REGD V/R /PERP/ SER FF 24,546,000 25,494,310 0.12

KAR AUCTION SERVICES INC REGD 144A P/P 493,000 507,744 -

REGIONALCARE/LIFEPOINT REGD 144A P/P 57,895,000 61,895,255 0.30

MGM GROWTH/MGM FINANCE REGD 144A P/P 493,000 544,906 -

MARRIOTT OWNERSHIP/ILG REGD SER WI 29,994,000 32,390,850 0.16


-156-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

MEDNAX INC REGD 144A P/P 493,000 485,656 -

MEREDITH CORP REGD 48,702,000 51,397,607 0.25MORGAN STANLEY CAPITAL I TRUST 2016-BNK2 SER 2016-BNK2CL XA V/R REGD 89,083,143 4,930,191 0.02MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUSSER 2016-C30 CL XA V/R REGD 62,810,486 4,895,380 0.02MORGAN STANLEY CAPITAL I TRUST 2019-BPR SER 2019-BPR CLE V/R REGD 144A P/P 5,780,000 5,790,761 0.03

NCR CORP REGD 144A P/P 10,106,000 10,689,925 0.05

NETFLIX INC REGD 35,095,000 39,151,312 0.19

NEXSTAR ESCROW INC REGD 144A P/P 11,783,000 12,296,067 0.06

NINE ENERGY SERVICE INC REGD 144A P/P 9,753,000 8,793,636 0.04

OLIN CORP REGD 16,243,000 16,904,399 0.08

REALOGY GROUP/CO-ISSUER REGD 144A P/P 36,102,000 31,201,262 0.15

REGIONS BANK REGD SER BKNT 28,048,000 37,569,118 0.18

SCRIPPS ESCROW INC REGD 144A P/P 12,381,000 12,483,168 0.06

STAPLES INC REGD 144A P/P 33,566,000 33,899,701 0.17

SUNOCO LP/FINANCE CORP REGD SER WI 39,826,000 41,528,805 0.20

TAYLOR MORRISON COMM REGD 144A P/P 24,053,000 25,661,410 0.12

TRIUMPH GROUP INC REGD 24,227,000 24,310,728 0.12

TRUCK HERO INC REGD 144A P/P 22,536,000 22,492,663 0.11

TWIN RIVER WORLDWIDE HLD REGD 144A P/P 13,270,000 13,977,450 0.07

UST BDS 6% 2/15/26 387,798,000 496,017,879 2.41

QWEST CORP REGD 493,000 496,454 -

BAUSCH HEALTH AMERICAS REGD 144A P/P 7,000,000 7,890,086 0.04

VERSCEND ESCROW CORP REGD 144A P/P 24,698,000 26,436,072 0.13

VISTRA OPERATIONS CO LLC REGD 144A P/P 493,000 522,438 -

WELLCARE HEALTH PLANS REGD 144A P/P 493,000 525,308 -WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 SER2016-LC24 CL XA V/R REGD 95,834,820 8,670,560 0.04

WEST STREET MERGER SUB REGD 144A P/P 22,894,000 20,409,291 0.10

WILLIAM CARTER REGD 144A P/P 493,000 525,375 -

WYNDHAM HOTELS & RESORTS REGD 144A P/P 493,000 517,469 -

CSC HOLDINGS LLC REGD REG S 19,996,000 22,271,376 0.11

T/L CALIFORNIA RESOURCES CORPORATION REGD 2,579,000 2,282,415 0.01

T/L PETSMART INC REGD 21,007,170 20,376,955 0.10

T/L TEAM HEAL INC 20,956,403 16,822,753 0.08

T/L UNIVISION COMMUNICATIONS INC REGD 19,570,000 18,685,827 0.09

T/L BWAY HOLDING COMPANY REGD 15,389,403 14,944,495 0.07

T/L PAREXEL INTERNATIONAL CORPORATION REGD 4,700,120 4,410,546 0.02

T/L AIR MEDICAL GROUP HOLDINGS INC REGD 23,163,718 21,737,760 0.11

T/L AVAYA INC REGD 20,398,228 20,015,761 0.10

T/L FINANCIAL & RISK US HOLDINGS INC REGD 7,716,225 7,750,485 0.04


-157-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

T/L U S LUMBER GROUP LLC REGD 23,584,958 23,565,382 0.12

T/L REGIONALCARE HOSPITAL PARTNERS HOLDINGS INC REGD 21,877,065 21,795,026 0.11

T/L ATHENAHEALTH INC REGD 41,683,646 41,449,384 0.20

T/L PANTHER BF AGGREGATOR 2 L REGD 9,690,000 9,544,650 0.05

T/L CITGO PETROLEUM CORPORATIO REGD 11,829,910 11,854,516 0.06

T/L ELLIE MAE INC REGD 16,440,515 16,368,670 0.08

T/L IHEARTCOMMUNICATIONS INC REGD 10,063,904 10,086,547 0.05

T/L JEFFERIES FINANCE LLC REGD 5,916,000 5,899,376 0.03

T/L DIAMOND SPORTS GROUP LLC ZCP REGD 6,121,154 6,121,154 0.03

T/L BLACKSTONE CQP HOLDCO LP REGD 13,831,818 13,827,530 0.07

T/L U S RENAL CARE INC REGD 31,170,000 29,728,387 0.15

T/L ALLIED UNIVERSAL HOLDCO LLC REGD 5,481,818 5,469,484 0.03

T/L WHATABRANDS LLC REGD 7,857,692 7,884,723 0.04

T/L SEDGWICK CLAIMS MANAGEMENT SERVICES INC REGD 27,504,654 27,389,960 0.13

T/L CLEAR CHANNEL OUTDOOR HOLDINGS INC ZCP REGD 6,362,250 6,354,297 0.03

STAR ENERGY GEOTHERMAL REGD REG S 20,309,600 20,888,017 0.10

SCENERY JOURNEY LTD REGD REG S 4,500,000 4,578,750 0.02

EASY TACTIC LTD REGD REG S 1,491,000 1,533,866 0.01

NIGERIA OMO BILL /NGN/ REGD ZCP 7,458,218,000 19,003,125 0.09

19,063,424,727 92.71

Derivatives

Forwards

AUD/USD FWD 20190905 000004066 USD 95,604,961 0.47

AUD/USD FWD 20190905 000000642 USD 109,627,413 0.53

AUD/USD FWD 20190905 000017142 USD (205,544,410) (1.00)

BRL/USD FWD 20190904 000000908 USD (392,312,093) (1.91)

BRL/USD FWD 20190904 000011553 USD 260,482,913 1.27

BRL/USD FWD 20190904 000000642 USD (132,600,444) (0.64)

BRL/USD FWD 20190904 000004334 USD 264,429,624 1.29

BRL/USD FWD 20191002 000011553 USD (259,992,375) (1.26)

BRL/USD FWD 20191002 000004334 USD (263,931,653) (1.28)

BRL/USD FWD 20191002 000000642 USD (263,931,653) (1.28)

GBP/USD FWD 20191018 000000908 USD (39,345,971) (0.19)

CAD/USD FWD 20190919 000004066 USD (209,903,035) (1.02)

CAD/USD FWD 20190919 000000908 USD (51,300,243) (0.25)

CAD/USD FWD 20190919 000004334 USD 207,714,707 1.01

COP/USD FWD 20190912 000000050 USD (169,897,736) (0.83)

EUR/USD FWD 20191010 000004334 USD (3,306,561) (0.02)

EUR/USD FWD 20191010 000006219 USD (15,333,417) (0.07)

EUR/USD FWD 20191010 000000010 USD 22,195,388 0.11


-158-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

EUR/USD FWD 20191010 000000908 USD 431,681,417 2.10

EUR/USD FWD 20191010 000015513 USD (1,269,350,766) (6.17)

EUR/USD FWD 20191010 000006038 USD (10,029,902) (0.05)

EUR/USD FWD 20191010 000000050 USD 2,634,989 0.01

EUR/USD FWD 20191010 000011091 USD (55,144,853) (0.27)

EUR/USD FWD 20191010 000004066 USD (1,603,682) (0.01)

INR/USD FWD 20191024 000006219 USD 64,672,358 0.31

INR/USD FWD 20191024 000000908 USD (71,457,705) (0.35)

INR/USD FWD 20191024 000011091 USD 128,597,201 0.63

INR/USD FWD 20191024 000004066 USD (48,734,041) (0.24)

INR/USD FWD 20191024 000000642 USD (146,202,122) (0.71)

MXN/USD FWD 20191025 000006219 USD (288,969,661) (1.41)

TWD/USD FWD 20190911 000003731 USD (322,913,583) (1.57)

TWD/USD FWD 20190911 000006219 USD 70,742,892 0.34

TWD/USD FWD 20190911 000005539 USD 250,054,873 1.22

TWD/USD FWD 20190911 000004334 USD 53,151,757 0.26

TWD/USD FWD 20190911 000011553 USD 54,080,369 0.26

TWD/USD FWD 20190911 000000642 USD 77,707,198 0.38

TWD/USD FWD 20190911 000000050 USD (242,678,872) (1.18)

TWD/USD FWD 20190911 000000908 USD 59,156,598 0.29

ZAR/USD FWD 20190918 000006038 USD (50,487,522) (0.25)

ZAR/USD FWD 20190918 000004334 USD (130,123,421) (0.63)

ZAR/USD FWD 20190918 000000050 USD (186,043,761) (0.90)

ZAR/USD FWD 20190918 000003534 USD (13,018,643) (0.06)

IDR/USD FWD 20190927 000021138 USD (316,109,682) (1.54)

IDR/USD FWD 20190927 000005539 USD (21,397,505) (0.10)

IDR/USD FWD 20191017 000006219 USD (78,915,530) (0.38)

IDR/USD FWD 20191017 000005539 USD (59,847,535) (0.29)

IDR/USD FWD 20191017 000022535 USD (194,853,160) (0.95)

IDR/USD FWD 20191121 000009969 USD (340,341,000) (1.66)

RUB/USD FWD 20190919 000000050 USD (23,716,340) (0.12)

RUB/USD FWD 20190919 000006038 USD (182,642,230) (0.89)

ILS/USD FWD 20191016 000015513 USD 124,644,421 0.61

ILS/USD FWD 20191016 000011091 USD (195,392,021) (0.95)

ILS/USD FWD 20191016 000017142 USD 60,485,158 0.29

ILS/USD FWD 20191016 000004334 USD 11,207,604 0.06

CHF/USD FWD 20190912 000004608 USD 206,034,825 1.00

CHF/USD FWD 20190912 000000908 USD (207,525,165) (1.01)

CHF/USD FWD 20190912 000017142 USD (403,520,639) (1.96)

CHF/USD FWD 20190912 000000642 USD 406,654,427 1.98

TRY/USD FWD 20190912 000011553 USD (44,844,605) (0.22)

USD/TWD FWD 20190911 000003731 USD 320,200,313 1.56


-159-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

USD/TWD FWD 20190911 000006219 USD (71,517,529) (0.35)

USD/TWD FWD 20190911 000005539 USD (253,335,281) (1.23)

USD/TWD FWD 20190911 000004334 USD (54,000,058) (0.26)

USD/TWD FWD 20190911 000011553 USD (54,714,038) (0.27)

USD/BRL FWD 20190904 000000908 USD 423,750,803 2.06

USD/CHF FWD 20190912 000004608 USD (207,070,322) (1.01)

USD/TWD FWD 20190911 000000642 USD (78,696,104) (0.38)

USD/ZAR FWD 20190918 000006038 USD 52,158,867 0.25

USD/IDR FWD 20190927 000021138 USD 308,705,495 1.50

USD/TWD FWD 20190911 000000050 USD 241,410,009 1.17

USD/ZAR FWD 20190918 000004334 USD 135,242,867 0.66

USD/ZAR FWD 20190918 000000050 USD 195,864,092 0.95

USD/AUD FWD 20190905 000004066 USD (101,302,440) (0.49)

USD/TWD FWD 20190911 000000908 USD (59,980,613) (0.29)

USD/CHF FWD 20190912 000000908 USD 211,272,067 1.03

USD/CHF FWD 20190912 000017142 USD 406,528,677 1.98

USD/EUR FWD 20191010 000004334 USD 3,363,582 0.02

USD/EUR FWD 20191010 000006219 USD 15,535,202 0.08

USD/EUR FWD 20191010 000000010 USD (22,717,837) (0.11)

USD/EUR FWD 20191010 000000908 USD (436,852,982) (2.12)

USD/EUR FWD 20191010 000015513 USD 1,300,490,001 6.32

USD/COP FWD 20190912 000000050 USD 181,681,293 0.88

USD/EUR FWD 20191010 000006038 USD 10,121,539 0.05

USD/PLN FWD 20191011 000000050 USD (302,368,090) (1.47)

USD/INR FWD 20191024 000006219 USD (67,293,611) (0.33)

USD/PLN FWD 20191011 000004334 USD 33,132,954 0.16

USD/INR FWD 20191024 000000908 USD 74,382,902 0.36

USD/INR FWD 20191024 000011091 USD (133,863,585) (0.65)

USD/ILS FWD 20191016 000015513 USD (126,726,311) (0.62)

USD/PLN FWD 20191011 000017142 USD 267,610,880 1.30

USD/EUR FWD 20191010 000000050 USD (2,709,410) (0.01)

USD/ZAR FWD 20190918 000003534 USD 13,589,996 0.07

USD/IDR FWD 20190927 000005539 USD 21,407,378 0.10

USD/ILS FWD 20191016 000011091 USD 195,004,290 0.95

USD/AUD FWD 20190905 000000642 USD (114,727,485) (0.56)

USD/EUR FWD 20191010 000011091 USD 56,071,796 0.27

USD/IDR FWD 20191017 000006219 USD 80,141,852 0.39

USD/IDR FWD 20191017 000005539 USD 60,497,941 0.29

USD/CAD FWD 20190919 000004066 USD 212,554,002 1.03

USD/CAD FWD 20190919 000000908 USD 52,178,760 0.25

USD/IDR FWD 20191017 000022535 USD 197,684,330 0.96

USD/CHF FWD 20190912 000000642 USD (409,809,839) (1.99)


-160-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

USD/BRL FWD 20190904 000011553 USD (258,516,415) (1.26)

USD/BRL FWD 20190904 000000642 USD 171,309,954 0.83

USD/TRY FWD 20190912 000011553 USD 45,874,043 0.22

USD/AUD FWD 20190905 000017142 USD 207,904,163 1.01

USD/EUR FWD 20191010 000004066 USD 1,628,306 0.01

USD/RUB FWD 20190919 000000050 USD 24,405,139 0.12

USD/RUB FWD 20190919 000006038 USD 186,415,639 0.91

USD/CAD FWD 20190919 000004334 USD (209,311,607) (1.02)

USD/INR FWD 20191024 000004066 USD 50,276,276 0.24

USD/INR FWD 20191024 000000642 USD 150,222,832 0.73

USD/BRL FWD 20190904 000004334 USD (263,158,633) (1.28)

USD/IDR FWD 20191121 000009969 USD 340,839,234 1.66

USD/ILS FWD 20191016 000017142 USD (61,280,401) (0.30)

USD/ILS FWD 20191016 000004334 USD (11,376,460) (0.06)

USD/GBP FWD 20191018 000000908 USD 39,606,357 0.19

USD/MXN FWD 20191025 000006219 USD 289,543,212 1.41

USD/BRL FWD 20191002 000011553 USD 257,990,850 1.26

USD/BRL FWD 20191002 000004334 USD 262,622,154 1.28

USD/BRL FWD 20191002 000000642 USD 263,377,640 1.28

PLN/USD FWD 20191011 000000050 USD 288,546,554 1.40

PLN/USD FWD 20191011 000004334 USD (31,646,710) (0.15)

PLN/USD FWD 20191011 000017142 USD (257,086,286) (1.25)

109,379,750 0.53

Futures

FUTURE CONTRACT ON US 10YR NOTE (CBT)DEC19 1,642,664,531 7.99

1,642,664,531 7.99

Swaps

CDS US912909AD03 05.000 SP 09/20/2019 BANK OF AMER LONG 14,837,387 0.07

CDS US912909AD03 05.000 SP 09/20/2019 BANK OF AMER SHORT (14,800,000) (0.07)

CDX 137BEMAE8 05.000 SP 05/11/2063 CITIBANK NA LONG 14,344,750 0.07

CDX 137BEMAE8 05.000 SP 05/11/2063 CITIBANK NA SHORT (17,500,000) (0.09)

CDX 137BEMAE8 05.000 SP 05/11/2063 CREDIT SUISS LONG 183,811,167 0.89

CDX 137BEMAE8 05.000 SP 05/11/2063 CREDIT SUISS SHORT (224,242,000) (1.09)

CDX 137BEMAE8 05.000 SP 05/11/2063 GOLDMAN SACH LONG 327,673,436 1.59

CDX 137BEMAE8 05.000 SP 05/11/2063 GOLDMAN SACH SHORT (399,748,000) (1.95)

CDX 137BEMAE8 05.000 SP 05/11/2063 MORGAN STANL LONG 4,098,500 0.02

CDX 137BEMAE8 05.000 SP 05/11/2063 MORGAN STANL SHORT (5,000,000) (0.02)

CDX 137BERAF4 03.000 SP 05/11/2063 CITIBANK LONG 8,051,954 0.04

CDX 137BERAF4 03.000 SP 05/11/2063 CITIBANK SHORT (8,909,000) (0.04)

CDX 137BERAF4 03.000 SP 05/11/2063 CITIGROUP GL LONG 1,084,560 0.01


-161-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

CDX 137BERAF4 03.000 SP 05/11/2063 CITIGROUP GL SHORT (1,200,000) (0.01)

CDX 137BERAF4 03.000 SP 05/11/2063 CITIGROUP LONG 4,519,000 0.02

CDX 137BERAF4 03.000 SP 05/11/2063 CITIGROUP SHORT (5,000,000) (0.02)

CDX 137BERAF4 03.000 SP 05/11/2063 CREDIT SUISS LONG 128,666,776 0.63

CDX 137BERAF4 03.000 SP 05/11/2063 CREDIT SUISS SHORT (142,362,000) (0.69)

CDX 137BERAF4 03.000 SP 05/11/2063 DEUTSCHE BAN LONG 23,670,522 0.12

CDX 137BERAF4 03.000 SP 05/11/2063 DEUTSCHE BAN SHORT (26,190,000) (0.13)

CDX 137BERAF4 03.000 SP 05/11/2063 GOLDMAN SACH LONG 145,281,331 0.71

CDX 137BERAF4 03.000 SP 05/11/2063 GOLDMAN SACH SHORT (160,745,000) (0.78)

CDX 137BERAF4 03.000 SP 05/11/2063 J P MORGAN LONG 4,394,276 0.02

CDX 137BERAF4 03.000 SP 05/11/2063 J P MORGAN SHORT (4,862,000) (0.02)

CDX 137BERAF4 03.000 SP 05/11/2063 JP MORGAN SE LONG 27,114,000 0.13

CDX 137BERAF4 03.000 SP 05/11/2063 JP MORGAN SE SHORT (30,000,000) (0.16)

CDX 137BERAF4 03.000 SP 05/11/2063 JPMORGAN LONG 4,519,000 0.02

CDX 137BERAF4 03.000 SP 05/11/2063 JPMORGAN SHORT (5,000,000) (0.02)

CDX 137BERAF4 03.000 SP 05/11/2063 MORGAN STANL LONG 78,835,763 0.38

CDX 137BERAF4 03.000 SP 05/11/2063 MORGAN STANL SHORT (87,227,000) (0.42)

CDX 2I667KFL7 05.000 BP 06/20/2022 MSNYUS33XXX FIXED (4,610) -

CDX 2I667KFL7 05.000 BP 06/20/2022 MSNYUS33XXX FLOAT 4,220 -

CDX 137BERAF4 03.000 SP 05/11/2063 JPMORGAN CHA LONG 72,304,000 0.35

CDX 137BERAF4 03.000 SP 05/11/2063 JPMORGAN CHA SHORT (80,000,000) (0.39)

CDX 137BERAF4 03.000 SP 05/11/2063 JP MORGAN LONG 45,190,000 0.22

CDX 137BERAF4 03.000 SP 05/11/2063 JP MORGAN SHORT (50,000,000) (0.24)

CDX 137BEMAE8 05.000 SP 05/11/2063 CITIGROUP GL LONG 20,492,500 0.10

CDX 137BEMAE8 05.000 SP 05/11/2063 CITIGROUP GL SHORT (25,000,000) (0.12)

CDX 2I667KFO1 05.000 SP 06/20/2024 MSNYUS33XXX FLOAT (719,767,832) (3.51)

CDX 2I667KFO1 05.000 SP 06/20/2024 MSNYUS33XXX FIXED 799,369,648 3.89

CDS US105756BV13 01.000 SP 06/20/2024 MSNYUS33XXX FLOAT (68,730,000) (0.33)

CDS US105756BV13 01.000 SP 06/20/2024 MSNYUS33XXX FIXED 67,677,112 0.33

CDS US900123AL40 01.000 SP 06/20/2024 MSNYUS33XXX FIXED 127,071,919 0.62

CDS US900123AL40 01.000 SP 06/20/2024 MSNYUS33XXX FLOAT (146,969,000) (0.72)

CDS US900123AL40 01.000 BP 06/20/2024 MSNYUS33XXX FIXED (43,794,585) (0.21)

CDS US900123AL40 01.000 BP 06/20/2024 MSNYUS33XXX FLOAT 50,652,000 0.25

CDX 2I65BRRZ5 05.000 SP 06/20/2024 MSNYUS33XXX FLOAT (2,947,364,640) (14.33)

CDX 2I65BRRZ5 05.000 SP 06/20/2024 MSNYUS33XXX FIXED 3,144,719,469 15.29

83,967,623 0.41

Warrants

SANDRIDGE ENERGY INC WARRANTS_ EXP 10/03/2022 8,525 -

AVAYA HLDGS CORP WARRANTS EXP 12/15/22 1,238,262 -

IHEARTMEDIA INC WARRANTS EXP 05/01/2039 6,227,364 0.03


-162-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

WILLSCOT CORPORATION WARRANTS EXP 11/29/22/RESTRICTED/ 1,621,342 0.01

9,095,493 0.04

Other Net Liabilities (1,586,388,578) (7.72)

Net Assets Attributable to Unitholders as at 31 August 2019 20,563,305,061 100.00


-163-

AB (HK) Global High Yield PortfolioStatement of movements in investment portfolio (Unaudited)For the year ended 31 August 2019


2018


2019

Unlisted Investment


AB FCP I - Global High Yield Portfolio 167,764 81,069 74,594 174,239


2018

Fair valuechange


2019USD USD USD

Derivatives


Buy RMB / Sell USD 124,834 (287,192) (162,358)

Buy USD / Sell RMB (316) 519 203


-164-



net assetvalue

Dealingnet asset

valueper unit

RMB RMB


- Class AA 381,540 624.45

- Class A2 381,311 762.62

- Class AA RMB H 112,992,046 89.17

- Class A2 RMB H 842,064 131.31


- Class AA 347,581 619.58

- Class A2 347,371 694.74

- Class AA RMB H 103,948,027 92.59

- Class A2 RMB H 4,528,848 124.63


- Class AA 338,861 655.78

- Class A2 338,662 677.32

- Class AA RMB H 80,005,029 101.65

- Class A2 RMB H 2,804,639 123.93


-165-


AssetValue Per

Unit

Lowest NetAsset

Value PerUnit

USD USD


- Class AA 91.27 84.54

- Class A2 107.00 97.09

RMB RMB

- Class AA RMB H 93.22 86.46

- Class A2 RMB H 131.85 119.57

USD USD


- Class AA 100.25 90.80

- Class A2 104.96 101.20

RMB RMB

- Class AA RMB H 102.65 92.64

- Class A2 RMB H 127.57 123.39

USD USD


- Class AA 101.45 99.11

- Class A2 102.08 99.57

RMB RMB

- Class AA RMB H 104.37 98.39

- Class A2 RMB H 124.08 109.88

RMB RMB


- Class A RMB H 101.90 88.95

- Class AD RMB H 111.41 92.94


-166-

AB (HK) American Income PortfolioInvestment Portfolio (Unaudited)As at 31 August 2019


Holding at31 August

2019


2019


assets at31 August

2019



AB FCP I - American Income Portfolio Luxembourg 2,984,500 293,764,370 101.15


Derivative

Forward Foreign Exchange Contract (2,937,503) (1.02)





-167-

Investment portfolio of AB FCP I - American Income Portfolio (Unaudited)As at 31 August 2019

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

Equity securities

GMAC CAPTIAL TRUST I REGD /PREFERRED/ 49,050 1,285,110 0.01

GRANTOR TRUST CGCMT 2015-PIX E CLASS E 71,381 5,445,706 0.02

GRANTOR TRUST CGCMT 2015-PIX F CLASS F 33,592 2,180,830 0.01

GRANTOR TRUST COMM 2014- UBS2 CLASS E 82,571 6,743,689 0.03

GRANTOR TRUST COMM 2014-UBS2 CLASS F 59,635 4,190,534 0.02

GRANTOR TRUST CSAIL 2015-C1 E-XE 127,392 5,126,980 0.02

GRANTOR TRUST CSAIL 2015-C1 F-XF 79,616 2,729,674 0.01

GRANTOR TRUST JPMBB 2014-C24 221,804 7,658,049 0.03

GRANTOR TRUST WFRBS 2014-C23 125,819 4,899,827 0.02

GSMS 2013-GC13 GT-E 230,984 14,408,920 0.06

GSMS 2013-GC13 GT-F 79,554 5,776,666 0.03

HARTFORD FINL SVCS GRP /PREFERRED/ 85,500 2,485,485 0.01MT LOGAN RE LTD SEGREGATED ACCOUNT U-1 SERIES 1PREFERENCE SHARES /PREFERRED/ /G63202132/ 18,232 17,641,730 0.08

80,573,200 0.35

Debt securities225 LIBERTY STREET TRUST 2016-225L SER 2016-225L CL E V/RREGD 144A P/P 16,530,501 17,797,770 0.08

ABN AMRO BANK NV REGD 144A P/P 25,015,000 27,894,941 0.12

ACADIA HEALTHCARE CO INC REGD SER WI 10,916,000 11,277,167 0.05

ACE CAPITAL TRUST II REGD 23,957,000 35,397,426 0.15

AIG LIFE HOLDINGS INC REGD 144A P/P 354,000 470,820 -

ALBERTSONS COS LLC/SAFEW REGD SER WI 19,874,000 20,742,756 0.09

ALLSTATE CORP REGD V/R 8,665,000 10,205,455 0.04

ALLY FINANCIAL INC REGD 21,331,000 25,516,075 0.11

ALLY FINANCIAL INC REGD SER * 2,348,000 3,289,304 0.01

ALTICE FINANCING SA REGD 144A P/P 31,900,000 33,402,759 0.15

AMC NETWORKS INC REGD 1,612,000 1,665,135 0.01

AMSOUTH BANCORP REGD 11,929,000 14,311,102 0.06

ANGLO AMERICAN CAPITAL REGD 144A P/P 42,799,000 46,380,166 0.20

APIDOS CLO XXVI SER 2017-26A CL D V/R REGD 144A P/P 5,450,000 5,155,509 0.02

APX GROUP INC REGD SER WI 18,805,000 17,896,324 0.08

AQUA + INV(SWISS RE) REGD V/R REG S 13,527,000 13,543,909 0.06


ARCELORMITTAL REGD 20,297,000 21,285,849 0.09

ARDAGH PKG FIN/HLDGS USA REGD 144A P/P 8,968,000 9,218,670 0.04

AVIS BUDGET CAR/FINANCE REGD 144A P/P 18,250,000 18,565,729 0.08

AZURE POWER ENERGY LTD REGD REG S 9,450,000 9,479,531 0.04

BARCLAYS PLC REGD V/R /PERP/ REG S SER . 40,987,000 42,684,149 0.19


-168-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

BEAZER HOMES USA REGD SER WI 9,395,000 8,969,571 0.04

BNP PARIBAS REGD V/R /PERP/ 144A P/P 35,282,000 37,262,154 0.16

BNQ CEN TUNISIA INT BOND REGD REG S 12,265,000 11,222,475 0.05

BNSF FUNDING TRUST I REGD V/R 5,597,000 6,181,691 0.03

BPCE SA REGD 144A P/P MTN 32,249,000 34,887,866 0.15

BRASKEM AMERICA FINANCE REGD 144A P/P 13,000,000 15,470,000 0.07

CALIFORNIA ST REGD N/C B/E 1,600,000 2,758,384 0.01

CALPINE CORP REGD 14,262,000 14,460,881 0.06

CARLSON TRAVEL INC REGD 144A P/P 5,718,000 5,808,882 0.03

CARRIZO OIL & GAS INC REGD 2,946,000 2,805,567 0.01

CCO HLDGS LLC/CAP CORP REGD 144A P/P 20,514,000 21,495,563 0.09

CENOVUS ENERGY INC REGD 8,928,000 9,309,324 0.04

CENTURYLINK INC REGD SER S 11,292,000 11,882,526 0.05

CF INDUSTRIES INC REGD 19,637,000 19,748,998 0.09

CHARTER COMM OPT LLC/CAP REGD SER WI 43,910,000 48,320,979 0.21CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11 SER2013-GC11 CL D V/R REGD 144A P/P 1,201,220 1,249,980 0.01CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11 SER2013-GC11 CL XA V/R REGD 8,535,683 358,359 -CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC17 SER2013-GC17 CL D V/R REGD 144A P/P 5,539,946 5,765,970 0.03CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC19 SER2014-GC19 CL D V/R REGD 144A P/P 4,250,000 4,600,772 0.02

CLNS TRUST 2017-IKPR SER 2017-IKPR CL F V/R REGD 144A P/P 14,384,450 14,447,473 0.06

CNTL AMR BOTTLING CORP REGD REG S 7,446,000 7,867,164 0.03COMM 2012-CCRE1 MORTGAGE TRUST SER 2012-CR1 CL XA V/RREGD 22,504,742 941,616 -COMM 2013-CCRE6 MORTGAGE TRUST SER 2013-CR6 CL D V/RREGD 144A P/P 2,600,000 2,653,925 0.01COMM 2014-CCRE15 MORTGAGE TRUST SER 2014-CR15 CL XAV/R REGD 8,867,087 297,046 -COMM 2015-LC21 MORTGAGE TRUST SER 2015-LC21 CL XA V/RREGD 93,698,199 2,840,124 0.01COMM 2015-LC23 MORTGAGE TRUST SER 2015-LC23 CL D V/RREGD 144A P/P 4,000,000 3,994,615 0.02COMM 2015-PC1 MORTGAGE TRUST SER 2015-PC1 CL C V/RREGD 11,346,000 12,017,356 0.05

CONSOLIDATED ENERGY FIN REGD 144A P/P 8,756,000 8,974,445 0.04

CONTINENTAL RESOURCES REGD SER WI 18,493,000 19,143,676 0.08

COOPER-STANDARD AUTOMOTI REGD 144A P/P 6,696,000 5,776,927 0.03

COX COMMUNICATIONS INC REGD 144A P/P 7,846,000 8,158,443 0.04CPS AUTO RECEIVABLES TRUST 2016-B SER 2016-B CL E REGD144A P/P 2,000,000 2,137,928 0.01CPS AUTO RECEIVABLES TRUST 2016-C SER 2016-C CL E REGD144A P/P 13,840,000 14,661,272 0.06


-169-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

CPS AUTO RECEIVABLES TRUST 2017-C SER 2017-C CL E REGD144A P/P 3,600,000 3,726,283 0.02

CPS AUTO TRUST SER 2017-A CL E REGD 144A P/P 6,800,000 7,191,364 0.03

CREDIT AGRICOLE SA REGD V/R /PERP/ 144A P/P 21,494,000 25,040,510 0.11

CREDIT SUISSE GROUP AG REGD V/R /PERP/ 144A P/P 17,694,000 18,729,265 0.08

CREDIT SUISSE GROUP AG REGD V/R /PERP/ REG S 75,881,000 79,724,265 0.35

CSC HOLDINGS LLC REGD 144A P/P 20,645,000 22,981,400 0.10

DANA FINANCING LUX SARL REGD 144A P/P 812,000 848,015 -

DAVITA INC REGD 20,754,000 20,875,370 0.09DBUBS 2011-LC2 MORTGAGE TRUST SER 2011-LC2A CL E V/RREGD 144A P/P 9,558,000 9,713,106 0.04

DIAMOND OFFSHORE DRILL REGD 20,387,000 12,039,447 0.05

DISH DBS CORP REGD SER WI 1,000,000 985,976 -

DOM REPUBLIC (MESTENIO) REGD REG S 2,083,333 2,122,396 0.01

DOMINICAN REPUBLIC REGD 144A 24,775,000 27,190,562 0.12

DOMINICAN REPUBLIC REGD REG S 51,978,333 57,530,311 0.25DRYDEN 49 SENIOR LOAN FUND SER 2017-49A CL E V/R REGD144A P/P 4,716,867 4,568,691 0.02

DUBAI GOVT INT’L BONDS REGD REG S EMTN 8,135,000 9,645,059 0.04

ECOPETROL SA REGD 6,743,000 7,521,142 0.03

ELECTRICITE DE FRANCE SA REGD V/R /PERP/ 144A P/P 26,000,000 26,910,000 0.12

EMBARQ CORP REGD 10,897,000 10,680,063 0.05

EPR PROPERTIES REGD 65,049,000 68,594,890 0.30EXETER AUTOMOBILE RECEIVABLES TRUST 2016-3 SER2016-3A CL D REGD 144A P/P 4,260,000 4,464,017 0.02EXETER AUTOMOBILE RECEIVABLES TRUST 2017-1 SER2017-1A CL D REGD 144A P/P 11,000,000 11,560,916 0.05FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2013-C01CL M2 V/R REGD 19,434,614 21,469,358 0.09FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2014-C04CL 1M2 V/R REGD 24,191,569 26,292,287 0.11FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2014-C04CL 2M2 V/R REGD 5,662,547 6,033,281 0.03FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2015-C01CL 1M2 V/R REGD 32,160,091 33,884,599 0.15FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2015-C01CL 2M2 V/R REGD 8,824,915 9,141,207 0.04FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2015-C02CL 1M2 V/R REGD 64,359,899 67,800,837 0.29FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2015-C02CL 2M2 V/R REGD 22,994,279 23,765,956 0.10FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2015-C03CL 1M2 V/R REGD 40,522,499 43,517,934 0.19FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2015-C03CL 2M2 V/R REGD 14,086,882 14,737,031 0.06FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2015-C04CL 1M2 V/R REGD 73,286,863 79,516,481 0.35


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FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2015-C04CL 2M2 V/R REGD 49,400,620 52,481,198 0.23FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C01CL 1M2 V/R REGD 35,172,479 38,311,517 0.17FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C01CL 2M2 V/R REGD 19,983,591 21,529,030 0.09FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C02CL 1M2 V/R REGD 72,989,267 78,952,833 0.34FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C03CL 1M2 V/R REGD 19,318,000 20,889,620 0.09FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C03CL 2M2 V/R REGD 52,759,149 56,827,476 0.25FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C04CL 1M2 V/R REGD 40,922,000 43,128,195 0.19FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C07CL 2M2 V/R REGD 24,299,174 25,459,414 0.11FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C02CL 2M2 V/R REGD 75,413,957 78,926,143 0.34

FANNIE MAE REMICS SER 2010-147 CL LS V/R 5,165,991 1,089,998 -

FANNIE MAE REMICS SER 2012-122 CL LS V/R 14,264,367 3,211,378 0.01

FANNIE MAE REMICS SER 2012-122 CL MS V/R 17,019,531 3,591,785 0.02

FANNIE MAE REMICS SER 2012-70 CL HS V/R 17,587,507 3,451,662 0.02




FANNIE MAE REMICS SER 2015-90 CL SL V/R 18,696,463 3,898,203 0.02

FANNIE MAE REMICS SER 2016-11 CL GI 8,130,026 1,546,022 0.01

FANNIE MAE REMICS SER 2016-26 CL IO 28,251,140 5,087,050 0.02


FANNIE MAE REMICS SER 2016-33 CL NI 31,155,220 5,636,107 0.02


FANNIE MAE REMICS SER 2016-37 CL BI 50,190,579 9,054,747 0.04

FANNIE MAE REMICS SER 2017-26 CL TS V/R 15,662,394 3,219,227 0.01

FANNIE MAE REMICS SER 2017-35 CL LS V/R 50,220,935 10,933,695 0.05

FANNIE MAE REMICS SER 2017-38 CL DS V/R 32,493,695 3,874,392 0.02

FANNIE MAE REMICS SER 2017-38 CL SE V/R 46,421,818 8,167,599 0.04

FED REPUBLIC OF BRAZIL REGD 15,326,000 21,365,402 0.09

FEDERAL HOME LOAN MORTGAGE CORP 184,466,000 278,485,248 1.21

FEDERAL NATIONAL MORTGAGE ASSOCIATION 584,412,000 869,222,814 3.78

FIRST QUALITY FINANCE CO REGD 144A P/P 8,237,000 8,248,565 0.04

FIRSTCASH INC REGD 144A P/P 9,131,000 9,471,221 0.04FLAGSHIP CREDIT AUTO TRUST 2016-3 SER 2016-3 CL E REGD144A P/P 3,400,000 3,553,011 0.02FLAGSHIP CREDIT AUTO TRUST 2016-4 SER 2016-4 CL D REGD144A P/P 7,000,000 7,175,194 0.03


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FLAGSHIP CREDIT AUTO TRUST 2016-4 SER 2016-4 CL E REGD144A P/P 3,435,000 3,607,219 0.02FLAGSHIP CREDIT AUTO TRUST 2017-1 SER 2017-1 CL E REGD144A P/P 6,260,000 6,633,005 0.03

FMG RESOURCES AUG 2006 REGD 144A P/P 1,000,000 1,040,574 -

FORD MOTOR COMPANY REGD 7,000,000 7,931,021 0.03

FREDDIE MAC REMICS SER 4292 CL S V/R 6,082,537 1,100,605 -

FREDDIE MAC REMICS SER 4373 CL SA V/R 17,963,818 3,915,453 0.02

FREDDIE MAC REMICS SER 4656 CL SK V/R 17,877,945 3,340,074 0.01

FREDDIE MAC REMICS SER 4707 CL LS V/R 29,192,693 4,671,053 0.02FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2013-DN1 CL M2 V/R REGD 25,545,979 28,889,557 0.13FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2013-DN2 CL M2 V/R REGD 46,729,890 50,339,946 0.22FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2014-DN1 CL M3 V/R REGD 52,005,000 56,630,257 0.25FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2014-DN3 CL M3 V/R REGD 7,831,250 8,221,939 0.04FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2014-DN4 CL M3 V/R REGD 36,126,163 38,729,667 0.17FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2014-HQ1 CL M3 V/R REGD 21,685,551 22,975,074 0.10FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2014-HQ2 CL M3 V/R REGD 3,450,000 3,739,769 0.02FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2014-HQ3 CL M3 V/R REGD 10,372,542 11,007,608 0.05FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2015-DNA3 CL M3 V/R REGD 16,658,739 18,080,764 0.08FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2015-HQA1 CL M3 V/R REGD 29,624,531 31,616,132 0.14FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2015-HQA2 CL M3 V/R REGD 31,197,314 33,641,252 0.15FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2016-DNA1 CL M3 V/R REGD 43,214,565 47,630,700 0.21FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2016-DNA2 CL M3 V/R REGD 34,348,856 36,544,569 0.16FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2016-DNA3 CL M3 V/R REGD 75,453,000 81,386,216 0.35FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2016-DNA4 CL M3 V/R REGD 48,992,098 51,855,956 0.23FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2016-HQA1 CL M3 V/R REGD 44,812,464 49,286,684 0.21FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2016-HQA2 CL M3 V/R REGD 17,695,000 19,302,516 0.08FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2017-DNA2 CL M2 V/R REGD 63,681,564 66,840,488 0.29

FREEPORT-MCMORAN INC REGD 31,504,000 30,871,736 0.13

GENERAL ELECTRIC CO REGD V/R /PERP/ SER D 21,196,000 19,306,567 0.08


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GENERAL MOTORS CO REGD SER WI 8,200,000 9,207,952 0.04

GLENCORE FUNDING LLC REGD 144A P/P 40,863,000 42,888,846 0.19

GOVERNMENT OF JAMAICA REGD 27,000,000 31,590,000 0.14

GRINDING MED/MOLY-COP REGD 144A P/P 8,617,000 8,186,762 0.04

GROUP 1 AUTOMOTIVE INC REGD 144A P/P 13,500,000 13,837,527 0.06GS MORTGAGE SECURITIES CORP II SER 2013-GC10 CL XA V/RREGD 33,529,274 1,461,041 0.01GS MORTGAGE SECURITIES TRUST 2012-GCJ9 SER 2012-GCJ9CL D V/R REGD 144A P/P 4,300,000 4,421,594 0.02GS MORTGAGE SECURITIES TRUST 2013-GC13 SER 2013-GC13CL D V/R REGD 144A P/P 10,000,000 9,873,202 0.04

GUANAY FINANCE LTD REGD 144A P/P 2,748,640 2,769,255 0.01

HANESBRANDS INC REGD 144A P/P 51,000 53,728 -

HARTFORD FINL SVCS GRP REGD V/R 144A P/P SER ICON 26,670,000 22,680,568 0.10

HCA INC REGD 36,355,000 40,877,899 0.18

HERTZ CORP REGD 144A P/P 40,662,000 41,119,544 0.18

HESS CORP REGD 45,274,000 56,425,348 0.25

HILCORP ENERGY I/HILCORP REGD 144A P/P 14,944,000 14,031,923 0.06


HSBC HOLDINGS PLC REGD V/R /PERP/ 34,835,000 36,056,601 0.16

HSBC HOLDINGS PLC REGD V/R /PERP/ SER * 4,832,000 4,854,213 0.02

ILLINOIS ST REGD N/C B/E 7,675,000 9,343,622 0.04

INTELSAT JACKSON HLDG REGD 144A P/P 7,758,000 8,803,647 0.04

IVORY COAST REGD 144A P/P 39,769,000 40,116,979 0.17

IVORY COAST REGD REG S 30,862,000 29,929,543 0.13JP MORGAN CHASE COMMERCIAL MORTGAGE SECU SER2012-C6 CL E V/R REGD 144A P/P 5,000,000 4,794,752 0.02JP MORGAN CHASE COMMERCIAL MORTGAGE SECUR SER2012-LC9 CL E V/R REGD 144A P/P 10,880,530 10,701,961 0.05JP MORGAN MADISON AVENUE SECURITIES TRUS SER2015-CH1 CL M2 V/R REGD 144A P/P 1,491,259 1,678,858 0.01JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22SER 2014-C22 CL XA V/R REGD 64,113,484 2,243,299 0.01

KAR AUCTION SERVICES INC REGD 144A P/P 9,926,000 10,222,857 0.04

KB HOME REGD 10,530,000 11,819,482 0.05

KINETIC CONCEPT/KCI USA REGD 144A P/P 5,437,000 5,560,958 0.02


L BRANDS INC REGD 13,458,000 11,384,798 0.05

LIBERTY INTERACTIVE LLC REGD 2,000,000 2,113,994 0.01

LIBERTY MUTUAL GROUP INC REGD 144A P/P 7,135,000 8,991,370 0.04

LLOYDS BANKING GROUP PLC REGD V/R /PERP/ 23,004,000 23,916,294 0.10

MALLINCKRODT FIN/SB REGD 144A P/P 5,364,000 2,480,930 0.01

MARATHON OIL CORP REGD 27,747,000 31,150,843 0.14

MARFRIG HOLDING EUROPE B REGD 144A P/P 27,700,000 28,712,781 0.12


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MARLETTE FUNDING TRUST 2017-1 SER 2017-1A CL B REGD144A P/P 450,478 451,234 -

MDC HOLDINGS INC REGD 14,316,000 15,553,318 0.07

MEDNAX INC REGD 144A P/P 11,727,000 11,718,969 0.05

MERITAGE HOMES CORP REGD 6,816,000 7,440,569 0.03

MERITOR INC REGD 909,000 934,641 -

METLIFE CAPITAL TRUST IV REGD 144A P/P 433,000 561,422 -

METLIFE INC REGD 24,590,000 32,467,916 0.14

MGM RESORTS INTL REGD 28,244,000 30,937,029 0.13

MICRON TECHNOLOGY INC REGD 56,705,000 59,245,511 0.26

MILLICOM INTL CELLULAR REGD 144A P/P 4,393,000 4,560,483 0.02

MINERVA LUXEMBOURG SA REGD REG S 24,416,000 25,312,221 0.11

MINSUR SA REGD 144A P/P 3,000,000 3,284,373 0.01MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH SER2014-C19 CL D REGD 144A P/P 4,303,509 4,138,923 0.02

MPT OPER PARTNERSP/FINL REGD 28,493,000 29,869,019 0.13

MTN MAURITIUS INVSTMENTS REGD 144A P/P 8,533,000 8,810,323 0.04

MURPHY OIL USA INC REGD 661,000 698,438 -

NABORS INDUSTRIES INC REGD SER WI 10,462,000 9,328,788 0.04

NATIONAL CINEMEDIA LLC REGD SER WI 6,298,000 6,107,007 0.03

NAVIENT CORP REGD 15,618,000 16,986,428 0.07

NAVIENT CORP REGD MTN 18,391,000 19,818,345 0.09

NGL ENRGY PART LP/FIN CO REGD SER WI 4,005,000 4,062,888 0.02

NIELSEN FINANCE LLC/CO REGD 144A P/P 7,574,000 7,640,091 0.03

NOVELIS CORP REGD 144A P/P 7,689,000 8,090,648 0.04

NRG ENERGY INC REGD SER WI 478,000 519,474 -

ODEBRECHT FINANCE LTD REGD 144A P/P 29,513,000 2,514,215 0.01

ORIENTAL RP URU 7.625% 3/21/36 7,989,115 12,108,502 0.05

OWENS CORNING REGD 1,449,000 1,822,899 0.01

PEABODY ENERGY CORP REGD 144A P/P 12,401,000 12,792,016 0.06

PETROBRAS GLOBAL FINANCE REGD 26,500,000 30,667,283 0.13


PETROLEOS MEXICANOS REGD SER WI 1,590,000 1,604,906 0.01

POST HOLDINGS INC REGD 144A P/P 24,526,000 25,786,600 0.11

PRIME SECSRVC BRW/FINANC REGD 144A P/P 16,873,000 17,538,284 0.08

PROVINCIA DE BUENOS AIRE REGD 144A P/P 9,000,000 2,700,000 0.01

PROVINCIA DE BUENOS AIRE REGD REG S 166,000 49,800 -

PULTE GROUP INC REGD 2,595,000 3,157,573 0.01

PULTE HOMES INC 6.375% 5/15/33 2,595,000 2,864,794 0.01

PULTEGROUP INC REGD 16,275,000 17,709,698 0.08

QEP RESOURCES INC REGD 12,874,000 11,496,418 0.05




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REPUBLIC OF NAMIBIA REGD REG S 11,420,000 11,484,238 0.05







REPUBLICA ORIENT URUGUAY REGD 11,680,153 17,772,083 0.08

RITCHIE BROS AUCTIONEERS REGD 144A P/P 3,575,000 3,719,069 0.02

ROYAL BK SCOTLND GRP PLC REGD V/R MTN 15,700,000 14,728,829 0.06

ROYAL BK SCOTLND GRP PLC REGD V/R /PERP/ 45,488,000 48,221,829 0.21


SABLE INTL FINANCE LTD REGD 144A P/P 15,190,000 15,892,127 0.07

SABRE GLBL INC REGD 144A P/P 1,169,000 1,199,904 0.01

SEAGATE HDD CAYMAN REGD 28,174,000 29,355,519 0.13

SEALED AIR CORP REGD 144A P/P 14,923,000 17,394,622 0.08

SERVICIOS CORP JAVER SAP REGD REG S 8,049,000 8,018,816 0.03

SHEA HOMES LP/FNDG CP REGD 144A P/P 14,683,000 15,126,432 0.07

SILVERSEA CRUISE FINANCE REGD 144A P/P 10,951,000 11,733,186 0.05

SIRIUS XM RADIO INC REGD 144A P/P 31,114,000 33,388,676 0.15

SLM CORP REGD 4,849,000 4,939,313 0.02

SM ENERGY CO REGD 11,158,000 9,538,580 0.04

SOCIETE GENERALE REGD V/R /PERP/ 144A P/P 22,971,000 25,206,786 0.11

SOCIETE GENERALE REGD V/R /PERP/ REG S 18,069,000 19,525,290 0.08SOFI CONSUMER LOAN PROGRAM 2016-2 LLC SER 2016-2 CL AREGD 144A P/P 1,263,826 1,267,395 0.01

SOFTBANK GROUP CORP REGD V/R /PERP/ REG S 8,350,000 8,123,849 0.04

SOFTBANK GROUP CORP REGD V/R /PERP/ REG S SER . 8,892,000 8,728,601 0.04

SOUTHERN CAL EDISON REGD V/R /PERPETUAL/ 6,000,000 6,138,816 0.03

SOUTHERN STAR CENT CORP REGD 144A P/P 2,000,000 2,021,544 0.01

SPCM SA REGD 144A P/P 9,338,000 9,390,993 0.04

SPECTRUM BRANDS INC REGD 14,475,000 15,088,444 0.07

SPRINT SPECTRUM / SPEC I REGD 144A P/P 34,385,000 36,815,670 0.16

STANDARD CHARTERED PLC REGD REG S 14,138,000 15,086,348 0.07

STANDARD CHARTERED PLC REGD V/R /PERP/ 144A P/P 17,570,000 15,176,515 0.07

STANDARD CHARTERED PLC REGD V/R /PERP/ REG S 29,706,000 27,030,116 0.12

STANDARD INDUSTRIES INC REGD 144A P/P 6,720,000 6,823,082 0.03

STATE OF QATAR REGD 144A P/P 3,297,000 3,463,531 0.02

SUGAR HSP GMNG PROP/FIN REGD 144A P/P 6,727,000 6,657,584 0.03

SUZANO AUSTRIA GMBH REGD 144A P/P 6,267,000 7,010,893 0.03


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2019(%)

TAYLOR MORR COMM/HLDGS REGD 144A P/P 15,857,000 16,766,750 0.07

TEGNA INC REGD 7,696,000 7,909,002 0.03

TELECOM ITALIA CAPITAL REGD 17,028,000 19,170,768 0.08

TENET HEALTHCARE CORP REGD 15,462,000 15,617,229 0.07

TENET HEALTHCARE CORP REGD 144A P/P 17,919,000 18,513,569 0.08

TENGIZCHEVROIL FIN CO IN REGD 144A P/P 25,480,000 26,371,800 0.11

TENNECO INC REGD 15,227,000 11,826,263 0.05

TENNESSEE VALLEY AUTHORITY 19,383,000 29,082,912 0.13

TRANSMANTARO REGD 144A P/P 30,911,000 32,340,634 0.14

TRANSOCEAN PHOENIX 2 LTD REGD 144A P/P 7,723,500 8,155,344 0.04

TRINIDAD GEN UNLTD REGD 144A P/P 11,768,000 11,973,940 0.05

U S TREASURY BONDS 12,000,000 15,856,874 0.07

UBS AG REGD REG S 7,742,000 8,362,328 0.04

UBS AG STAMFORD CT REGD 14,464,000 16,314,582 0.07UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 20 SER2012-C4 CL XA V/R REGD 144A P/P 3,505,506 145,841 -

UNIFIN FINANCIERA SA DE REGD REG S 4,264,000 4,085,445 0.02

UNITED RENTALS NORTH AM REGD 8,714,000 9,463,180 0.04

UNITED STATES TREASURY BOND 3,474,981,500 4,589,413,491 19.95

UNITED STATES TREASURY NOTE 154,843,823 156,804,834 0.68

UNIVERSAL HEALTH SVCS REGD 144A P/P 18,501,000 18,710,191 0.08

UNIVISION COMMUNICATIONS REGD 144A P/P 3,289,000 3,200,828 0.01

UST BDS 6% 2/15/26 518,678,300 663,421,963 2.88

VB-S1 ISSUER LLC SER 2016-1A CL F REGD 144A P/P 9,000,000 9,360,361 0.04

VENTURE XXVII CLO LTD SER 2017-27A CL D V/R REGD 144A P/P 17,168,680 16,832,002 0.07

VEREIT OPERATING PARTNER REGD 18,900,000 21,180,833 0.09

VERISK ANALYTICS INC REGD 12,141,000 14,547,555 0.06

VERITAS US INC/BERMUDA L REGD 144A P/P 2,458,000 2,452,526 0.01

VIRGOLINO DE OLIVEIRA FI REGD 144A P/P 3,700,000 127,854 -

VIRGOLINO DE OLIVEIRA FI REGD REG S 31,238,000 770,048 -WELLS FARGO CREDIT RISK TRANSFER SECURI SER 2015-WF1CL 1M2 V/R REGD 144A P/P 1,703,233 1,919,427 0.01WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7 SER 2012-C7CL E V/R REGD 144A P/P 8,500,000 7,081,373 0.03WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7 SER 2012-C7CL XA V/R REGD 144A P/P 8,099,166 231,579 -WFRBS COMMERCIAL MORTGAGE TRUST 2012-C8 SER 2012-C8CL XA V/R REGD 144A P/P 8,704,612 378,935 -WFRBS COMMERCIAL MORTGAGE TRUST 2014-C21 SER2014-C21 CL D REGD 144A P/P 14,993,735 13,139,316 0.06WFRBS COMMERCIAL MORTGAGE TRUST 2014-C22 SER2014-C22 CL XA V/R REGD 45,761,366 1,520,559 0.01WFRBS COMMERCIAL MORTGAGE TRUST 2014-C25 SER2014-C25 CL D V/R REGD 144A P/P 9,034,506 8,499,749 0.04

WYNN LAS VEGAS LLC/CORP REGD 144A P/P 7,541,000 7,950,997 0.03


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2019(%)

WYNN MACAU LTD REGD 144A P/P 3,203,000 3,162,255 0.01

XPO LOGISTICS INC REGD 144A P/P 21,298,000 22,952,024 0.10

ZAYO GROUP LLC/ZAYO CAP REGD 11,668,000 12,019,720 0.05

COMMONWEALTH BANK AUST REGD 144A P/P 26,518,000 28,686,987 0.12

BRF GMBH REGD REG S 8,645,000 8,437,027 0.04

COMMONWEALTH OF BAHAMAS REGD REG S 12,675,000 14,140,547 0.06

KINGDOM OF BAHRAIN REGD 144A P/P 8,185,000 9,228,588 0.04BELLEMEADE RE 2018-2 LTD SER 2018-2A CL M1B V/R REGD144A P/P 42,490,356 42,591,245 0.19

VOC ESCROW LTD REGD 144A P/P 16,315,000 16,738,652 0.07


BRF SA REGD REG S 209,000 206,388 -

GOEASY LTD REGD 144A P/P 5,324,000 5,548,332 0.02

PARKLAND FUEL CORP REGD 144A P/P 12,341,000 12,997,381 0.06

BAUSCH HEALTH COS INC REGD 144A P/P 25,769,000 27,230,386 0.12

T/L GFL ENVIRONMENTAL INC ZCP REGD 5,169,448 5,117,754 0.02BLACK DIAMOND CLO 2016-1 LTD SER 2016-1A CL A2AR V/RREGD 144A P/P 11,000,000 10,834,296 0.05

CBAM 2018-7 LTD SER 2018-7A CL B1 V/R REGD 144A P/P 7,726,000 7,592,502 0.03

DRYDEN 57 CLO LTD SER 2018-57A CL A V/R REGD 144A P/P 25,195,000 24,976,005 0.11

GREYWOLF CLO VI LTD SER 2018-1A CL A1 V/R REGD 144A P/P 22,100,000 21,825,319 0.09HALCYON LOAN ADVISORS FUNDING 2018-1 LTD SER 2018-1A CLA2 V/R REGD 144A P/P 7,424,134 7,238,768 0.03NORTHWOODS CAPITAL XII-B LTD SER 2018-12BA CL B V/R REGD144A P/P 5,400,000 5,341,280 0.02

OZLM VII LTD SER 2014-7RA CL CR V/R REGD 144A P/P 10,500,000 9,651,800 0.04

OZLM XVIII LTD SER 2018-18A CL A V/R REGD 144A P/P 9,625,000 9,490,404 0.04

OZLM XVIII LTD SER 2018-18A CL B V/R REGD 144A P/P 3,000,000 2,949,387 0.01OCTAGON INVESTMENT PARTNERS 35 LTD SER 2018-1A CL DV/R REGD 144A P/P 2,750,000 2,500,066 0.01

SOUND POINT CLO XIX LTD SER 2018-1A CL A V/R REGD 144A P/P 34,104,000 33,656,726 0.15

WYNN MACAU LTD REGD P/P 953,000 943,203 -


DANSKE BANK A/S REGD V/R /PERP/ REG S 10,912,000 11,213,317 0.05

ALTICE FRANCE SA REGD 144A P/P 28,884,000 30,841,815 0.13

CREDIT AGRICOLE SA REGD V/R /PERP/ REG S 19,693,000 22,284,473 0.10


C&W SENIOR FINANCING DAC REGD 144A P/P 19,822,000 21,095,843 0.09

JAMES HARDIE INTL FIN REGD 144A P/P 7,549,000 7,766,001 0.03

SOFTBANK GROUP CORP REGD REG S 12,179,000 13,202,146 0.06

KAZMUNAYGAS NATIONAL CO REGD REG S 9,841,000 11,305,958 0.05

NEXA RESOURCES SA REGD REG S 11,230,000 11,759,214 0.05

MILLICOM INTL CELLULAR REGD REG S 13,336,000 14,540,494 0.06

AEGON NV REGD V/R 7,841,000 8,311,656 0.04


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ALCOA NEDERLAND HOLDING REGD 144A P/P 1,615,000 1,673,684 0.01

ZIGGO BV REGD 144A P/P 5,840,000 6,131,229 0.03

ING BANK NV REGD REG S 13,430,000 14,944,031 0.06

T/L STARS GROUP HOLDINGS B V REGD 2,835,801 2,842,720 0.01


INRETAIL PHARMA SA REGD REG S 13,691,000 14,409,778 0.06

ABJA INVESTMENT CO REGD REG S 12,300,000 11,731,740 0.05

INDIKA ENERGY III PTE REGD REG S 31,306,000 29,711,351 0.13

MEDCO PLATINUM ROAD PTE REGD REG S 17,092,000 16,811,194 0.07

BANCO SANTANDER SA REGD 55,600,000 61,389,016 0.27

UBS GROUP FUNDING SWITZE REGD V/R /PERP/ REG S 23,750,000 26,035,938 0.11

TURKIYE VAKIFLAR BANKASI REGD REG S EMTN 11,391,000 10,552,054 0.05

ALGECO GLOBAL FINANCE REGD 144A P/P 19,470,000 19,493,267 0.08

BARCLAYS PLC REGD V/R /PERP/ 11,441,000 11,964,700 0.05

LLOYDS BANKING GROUP PLC REGD SER WI 22,665,000 23,762,757 0.10

MARB BONDCO PLC REGD REG S 4,889,000 4,984,130 0.02

ANTERO RESOURCES CORP REGD SER WI 3,682,000 3,402,461 0.01

ASHTEAD CAPITAL INC REGD 144A P/P 15,460,000 16,466,601 0.07

BBA US HOLDINGS INC REGD 144A P/P 11,605,000 12,130,057 0.05

BERRY PETROLEUM CO LLC REGD 144A P/P 6,480,000 5,944,946 0.03

CBAM 2017-3 LTD SER 2017-3A CL E V/R REGD 144A P/P 11,221,425 10,905,273 0.05CPS AUTO RECEIVABLES TRUST 2018-B SER 2018-B CL E REGD144A P/P 5,801,000 6,152,614 0.03COMM 2012-CCRE3 MORTGAGE TRUST SER 2012-CR3 CL E V/RREGD 144A P/P 2,958,838 2,832,386 0.01COMM 2015-CCRE27 MORTGAGE TRUST SER 2015-CR27 CL XAV/R REGD 29,289,105 1,354,973 0.01

CATALENT PHARMA SOLUTION REGD 144A P/P 10,407,000 10,799,575 0.05CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C3 SER2016-C3 CL XA V/R REGD 191,992,646 11,369,709 0.05

CLUB CREDIT TRUST 2017-P2 SER 2017-P2 CL C REGD 144A P/P 13,409,000 13,709,957 0.06CONSUMER LOAN UNDERLYING BOND CREDIT TRUST 2018-P1SER 2018-P1 CL C REGD 144A P/P 17,065,000 17,585,160 0.08

DELL INC REGD 2,526,000 2,631,405 0.01

VISTRA ENERGY CORP REGD SER WI 2,659,000 2,824,422 0.01CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P3 SER2016-P3 CL XA V/R REGD 134,822,935 10,790,998 0.05EXETER AUTOMOBILE RECEIVABLES TRUST 2017-3 SER2017-3A CL D REGD 144A P/P 11,280,000 11,803,204 0.05FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2014-C02CL 1M2 V/R REGD 21,044,905 21,918,485 0.10FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C05CL 2M2 V/R REGD 36,398,040 38,171,837 0.17FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C06CL 1M2 V/R REGD 42,925,316 45,558,763 0.20


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2019(%)

FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C06CL 2M2 V/R REGD 11,645,000 11,865,971 0.05FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C07CL 1M2 V/R REGD 35,314,966 35,669,041 0.16FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C07CL 2M2 V/R REGD 70,149,058 70,920,045 0.31


FANNIE MAE REMICS SER 2013-4 CL ST V/R 15,927,365 3,072,105 0.01



FANNIE MAE REMICS SER 2016-54 CL SD V/R 19,351,060 4,128,336 0.02


FANNIE MAE REMICS SER 2017-20 CL SJ V/R 57,499,038 10,639,007 0.05

FANNIE MAE REMICS SER 2017-81 CL CS V/R 24,519,661 3,832,732 0.02

FANNIE MAE REMICS SER 2017-49 CL SP V/R 13,162,696 2,749,673 0.01




FANNIE MAE REMICS SER 2018-28 CL PS V/R 35,838,119 6,130,899 0.03


FANNIE MAE REMICS SER 2018-39 CL AS V/R 17,782,974 3,343,395 0.01

FANNIE MAE REMICS SER 2018-45 CL SL V/R 19,051,441 4,124,723 0.02

FREDDIE MAC REMICS SER 3928 CL SE V/R 20,657,705 4,586,058 0.02

FREDDIE MAC REMICS SER 3921 CL SB V/R 23,081,619 4,931,695 0.02

FREDDIE MAC REMICS SER 4005 CL PS V/R 10,497,495 1,485,040 0.01



FREDDIE MAC REMICS SER 4248 CL SL V/R 4,231,660 745,257 -




FREDDIE MAC REMICS SER 4727 CL AS V/R 32,904,055 6,406,874 0.03



FREDDIE MAC REMICS SER 4736 CL SM V/R 46,335,712 8,811,417 0.04

FREDDIE MAC REMICS SER 4754 CL QS V/R 33,098,545 6,041,560 0.03

FREDDIE MAC REMICS SER 4767 CL SB V/R 16,522,425 2,668,682 0.01FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2017-HQA3 CL M2 V/R REGD 69,861,537 70,259,119 0.31

FREDDIE MAC REMICS SER 3119 CL PI V/R 6,716,304 1,614,659 0.01FLAGSHIP CREDIT AUTO TRUST 2015-3 SER 2015-3 CL D REGD144A P/P 5,500,000 5,715,571 0.02FLAGSHIP CREDIT AUTO TRUST 2018-3 SER 2018-3 CL D REGD144A P/P 2,550,000 2,680,076 0.01


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2019(%)

FREEPORT-MCMORAN IN REGD SER * 3,308,000 3,488,746 0.02

GLP CAPITAL LP / FIN II REGD 32,328,000 33,577,010 0.15GS MORTGAGE SECURITIES TRUST 2016-GS3 SER 2016-GS3 CLXA V/R REGD 133,710,995 8,939,396 0.04

GENESIS ENERGY LP/FIN REGD 7,420,000 7,119,117 0.03

GOLDMAN SACHS GROUP INC REGD V/R /PERP/ SER P 18,015,000 17,764,303 0.08GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER2017-52 CL SN V/R 13,004,558 2,033,425 0.01GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER2014-160 CL SP V/R 31,358,106 5,061,700 0.02GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER2016-77 CL TS V/R 12,450,817 2,103,077 0.01GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER2017-115 CL SA V/R 27,963,033 5,468,283 0.02GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER2017-122 CL SA V/R 35,943,676 7,127,670 0.03GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER2017-134 CL SE V/R 21,993,678 3,341,123 0.01GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER2017-149 CL SG V/R 27,313,443 4,848,702 0.02GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER2017-103 CL SL V/R 45,076,712 6,965,015 0.03

GULFPORT ENERGY CORP REGD SER WI 12,755,000 9,216,538 0.04

GULFPORT ENERGY CORP REGD 9,243,000 6,768,667 0.03

H&E EQUIPMENT SERVICES REGD SER WI 15,883,000 16,634,727 0.07

HESS INF PART / FIN CORP REGD 144A P/P 8,201,000 8,483,565 0.04

HILTON DOMESTIC OPERATIN REGD 144A P/P 28,278,000 30,289,329 0.13

INDIGO NATURAL RES LLC REGD 144A P/P 12,270,000 10,121,449 0.04

IRON MOUNTAIN INC REGD 144A P/P 16,868,000 17,498,188 0.08JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIESTRUS SER 2016-JP2 CL XA V/R REGD 67,156,865 6,863,102 0.03

JELD-WEN INC REGD 144A P/P 13,224,000 12,946,839 0.06

LENNAR CORP REGD SER WI 5,718,000 6,151,348 0.03MADISON AVENUE TRUST 2013-650M SER 2013-650M CL E V/RREGD 144A P/P 3,785,000 3,772,323 0.02MARLETTE FUNDING TRUST 2018-3 SER 2018-3A CL C REGD144A P/P 26,752,000 27,569,033 0.12

MUELLER WATER PRODUCTS REGD 144A P/P 11,722,000 12,349,912 0.05

NRG ENERGY INC REGD 144A P/P 17,825,000 18,580,533 0.08

NABORS INDUSTRIES INC REGD 5,615,000 5,441,221 0.02

NETFLIX INC REGD 11,015,000 11,346,739 0.05

PDC ENERGY INC REGD 6,833,000 6,814,722 0.03

PDC ENERGY INC REGD SER WI 11,395,000 10,944,316 0.05

PRUDENTIAL FINANCIAL INC REGD V/R 67,098,000 70,634,753 0.31

RANGE RESOURCES COR REGD SER * 14,393,000 12,864,946 0.06

ENRGY TRANS PT/REG FIN REGD 11,707,000 12,456,084 0.05


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SRC ENERGY INC REGD SER WI 8,694,000 8,591,550 0.04SOFI CONSUMER LOAN PROGRAM 2018-2 TRUST SER 2018-2 CLC REGD 144A P/P 6,200,000 6,487,105 0.03

SANTANDER HOLDINGS USA REGD SER WI 41,247,000 44,380,782 0.19

SEMGROUP CORP REGD SER WI 15,528,000 14,751,693 0.06SOFI CONSUMER LOAN PROGRAM 2017-4 LLC SER 2017-4 CL BV/R REGD 144A P/P 4,750,000 4,839,283 0.02SOFI CONSUMER LOAN PROGRAM 2017-6 LLC SER 2017-6 CL CREGD 144A P/P 9,855,000 10,206,532 0.04

SPIRIT REALTY LP REGD 35,068,000 37,731,926 0.16

SYNCHRONY FINANCIAL REGD 59,535,000 62,884,828 0.27

TALEN ENERGY SUPPLY LLC REGD SER WI 2,406,000 1,828,052 0.01

TARGA RESOURCES PARTNERS REGD 144A P/P 16,917,000 18,337,284 0.08

TERRAFORM GLOBAL OPERATI REGD 144A P/P 4,759,000 4,892,709 0.02

VALVOLINE INC REGD SER WI 7,669,000 7,791,259 0.03

VOLKSWAGEN GROUP AMERICA REGD 144A P/P 6,500,000 7,005,804 0.03

WELLCARE HEALTH PLANS REGD 144A P/P 13,453,000 14,334,615 0.06WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-LC20 SER2015-LC20 CL XA V/R REGD 37,302,103 1,845,514 0.01WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC25 SER2016-LC25 CL XA V/R REGD 143,822,158 7,182,550 0.03

WHITING PETROLEUM CORP REGD 9,164,000 7,979,848 0.03

WHITING PETROLEUM CORP REGD SER WI 6,243,000 4,536,020 0.02

WPX ENERGY INC REGD 5,336,000 5,531,242 0.02

WYNDHAM HOTELS & RESORTS REGD 144A P/P 6,193,000 6,500,371 0.03

T/L VERITAS US INC REGD 5,454,807 5,171,157 0.02

T/L BMC SOFTWARE FINANCE INC REGD 15,422,500 14,544,343 0.06

T/L BROOKFIELD WEC HOLDINGS INC REGD 14,377,812 14,382,988 0.06

GTL TRADE FIN / GERDAU REGD 144A P/P 5,434,000 5,977,400 0.03

AUST & NZ BANKING GROUP REGD 144A P/P 30,049,000 32,186,107 0.14

COMMONWEALTH BANK AUST REGD REG S 1,500,000 1,622,690 0.01

AUST & NZ BANKING GRP/UK REGD V/R /PERP/ REG S 34,925,000 38,631,940 0.17

SUZANO AUSTRIA GMBH REGD 2,700,000 2,991,570 0.01

KLABIN AUSTRIA GMBH REGD REG S 21,500,000 22,564,057 0.10

OIL & GAS HOLDING REGD REG S 20,145,000 22,903,402 0.10BELLEMEADE RE 2019-1 LTD SER 2019-1A CL M2 V/R REGD 144AP/P 5,908,994 5,909,591 0.03BELLEMEADE RE 2019-2 LTD SER 2019-2A CL M1C V/R REGD144A P/P 51,940,611 51,841,134 0.23BELLEMEADE RE 2018-3 LTD SER 2018-3A CL M1B V/R REGD144A P/P 7,270,000 7,287,630 0.03

HOME RE 2018-1 LTD SER 2018-1 CL M1 V/R REGD 144A P/P 17,866,959 17,986,514 0.08

IHS MARKIT LTD REGD 144A P/P 30,008,000 32,612,809 0.14

IHS MARKIT LTD REGD 5,173,000 5,457,003 0.02

OAKTOWN RE LTD SER 2017-1A CL M2 V/R REGD 144A P/P 8,338,929 8,542,429 0.04


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RADNOR RE 2019-1 LTD SER 2019-1 CL M1B V/R REGD 144A P/P 19,954,594 20,028,408 0.09

RADNOR RE 2019-2 LTD SER 2019-2 CL M1B V/R REGD 144A P/P 30,343,902 30,343,835 0.13

GOVT OF BERMUDA REGD REG S 5,000,000 5,725,000 0.02


CEMIG GERACAO E TRANSM REGD REG S 1,803,000 2,073,630 0.01

BAUSCH HEALTH COS INC REGD P/P 4,005,000 4,242,004 0.02

CENOVUS ENERGY INC REGD SER WI 1,500,000 1,569,914 0.01

MASONITE INTERNATIONAL C REGD 144A P/P 11,220,000 11,827,967 0.05

TERVITA CORP REGD 144A P/P 8,200,000 8,382,179 0.04BAIN CAPITAL CREDIT CLO 2019-2 SER 2019-2A CL C V/R REGD144A P/P 4,750,000 4,749,948 0.02BLACK DIAMOND CLO 2019-2 LTD SER 2019-2A CL B V/R REGD144A P/P 8,000,000 7,878,992 0.03

BRISTOL PARK CLO LTD SER 2016-1A CL C V/R REGD 144A P/P 4,000,000 3,969,336 0.02

CIFC FUNDING 2019-I LTD SER 2019-1A CL C V/R REGD 144A P/P 2,600,000 2,600,187 0.01

CIFC FUNDING 2019-III LTD SER 2019-3A CL B V/R REGD 144A P/P 4,050,000 4,041,685 0.02

ICG US CLO 2015-1 LTD SER 2015-1A CL CR V/R REGD 144A P/P 2,500,000 2,423,105 0.01

MGM CHINA HOLDINGS LTD REGD 144A P/P 9,396,000 9,696,804 0.04

MELCO RESORTS FINANCE REGD 144A P/P 9,002,000 9,194,238 0.04

MIZUHO FIN GRP CAYMAN 3 REGD 144A P/P 22,608,000 24,256,621 0.11NEUBERGER BERMAN LOAN ADVISERS CLO 3 SER 2019-31A CLC V/R REGD 144A P/P 3,250,000 3,189,810 0.01NEUBERGER BERMAN LOAN ADVISERS CLO 3 SER 2019-33A CLC V/R REGD 144A P/P 12,500,000 12,500,000 0.05

OZLM VII LTD SER 2014-7RA CL BR V/R REGD 144A P/P 9,000,000 8,748,972 0.04

OZLM XVI LTD SER 2017-16A CL B V/R REGD 144A P/P 5,000,000 4,906,475 0.02OCTAGON INVESTMENT PARTNERS 38 LTD SER 2018-1A CL BV/R REGD 144A P/P 3,900,000 3,704,427 0.02

ROMARK CLO III LTD SER 2019-3A CL A2 V/R REGD 144A P/P 28,050,000 27,988,122 0.12

ROMARK CLO III LTD SER 2019-3A CL B V/R REGD 144A P/P 3,500,000 3,491,950 0.02SHACKLETON 2017-X CLO LTD SER 2017-10A CL C V/R REGD144A P/P 2,000,000 1,942,014 0.01

TIAA CLO II LTD SER 2017-1A CL A V/R REGD 144A P/P 5,105,000 5,105,710 0.02

TRANSOCEAN POSEIDON LTD REGD 144A P/P 8,159,000 8,490,590 0.04

TRANSOCEAN SENTRY LTD REGD P/P 24,405,000 24,155,752 0.10

VENTURE XXIX CLO LTD SER 2017-29A CL C V/R REGD 144A P/P 2,300,000 2,266,250 0.01

VIBRANT CLO XI LTD SER 2019-11A CL B V/R REGD 144A P/P 3,000,000 2,977,647 0.01

WEIBO CORP REGD 28,740,000 29,307,443 0.13

YUZHOU PROPERTIES CO LTD REGD REG S 5,006,000 5,040,196 0.02

LATAM FINANCE LTD REGD REG S 12,500,000 12,996,094 0.06

MUMTALAKAT SUKUK HOLDING REGD REG S 2,146,000 2,261,884 0.01

LIMA METRO LINE 2 FIN LT REGD REG S 11,006,000 11,839,467 0.05

EMPRESAS PUBLIC MEDELLIN REGD REG S 24,989,000 26,269,686 0.11

DANSKE BANK A/S REGD 144A P/P 37,670,000 41,395,734 0.18


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assets at31 August

2019(%)

DANSKE BANK A/S REGD REG S 11,500,000 12,677,416 0.06

ARAB REPUBLIC OF EGYPT REGD REG S 11,000,000 11,288,750 0.05

ARAB REPUBLIC OF EGYPT REGD REG S EMTN 12,897,000 13,525,729 0.06


NORDEA BANK ABP REGD V/R /PERP/ REG S 63,760,000 68,087,965 0.30

BNP PARIBAS REGD 144A P/P MTN 7,039,000 7,547,051 0.03

BPCE SA REGD 144A P/P 26,413,000 28,908,474 0.13

BPCE SA REGD REG S 2,170,000 2,375,019 0.01

BNP PARIBAS REGD 144A P/P 13,920,000 15,235,384 0.07

BNP PARIBAS REGD EMTN 1,500,000 1,599,713 0.01

CREDIT AGRICOLE SA REGD 144A P/P 4,798,000 5,112,255 0.02

SOCIETE GENERALE REGD 144A P/P 37,260,000 39,464,836 0.17

COMMERZBANK AG REGD 144A P/P MTN 9,538,000 11,072,178 0.05

IHO VERWALTUNGS GMBH REGD 144A P/P 25,154,000 25,182,248 0.11

CRED SUIS GP FUN LTD REGD SER WI 1,500,000 1,661,870 0.01


STATE BANK INDIA/LONDON REGD REG S 11,500,000 12,272,656 0.05

RENEW POWER SYNTHETIC REGD REG S 7,267,000 7,421,424 0.03

CANARA BANK LONDON REGD REG S EMTN 13,080,000 13,550,063 0.06

PERUSAHAAN LISTRIK NEGAR REGD REG S 17,819,000 18,939,446 0.08

INDONESIA ASAHAN ALUMINI REGD REG S 1,065,000 1,182,150 0.01

AIB GROUP PLC REGD 144A P/P MTN 22,309,000 23,616,263 0.10

AIB GROUP PLC REGD V/R 144A P/P MTN 34,024,000 35,382,136 0.15

BANK OF IRELAND GROUP REGD 144A P/P 25,505,000 26,842,533 0.12

AIB GROUP PLC REGD V/R REG S EMTN 11,517,000 11,976,724 0.05

GE CAPITAL INTL FUNDING REGD 26,500,000 26,815,350 0.12

SHIRE ACQ INV IRELAND DA REGD 29,000,000 30,127,868 0.13

CLOVERIE PLC ZURICH INS REGD V/R REG S EMTN 3,300,000 3,738,200 0.02

AIB GROUP PLC REGD REG S EMTN 4,607,000 4,876,961 0.02

ENI SPA REGD 144A P/P SER X-R 1,500,000 1,699,484 0.01

F-BRASILE SPA/F-BRASILE REGD 144A P/P SER XR 11,529,000 11,881,372 0.05

INTESA SANPAOLO SPA REGD 144A P/P MTN 32,505,000 33,398,277 0.15

INTESA SANPAOLO SPA REGD 144A P/P 27,367,000 27,567,043 0.12

UNICREDIT SPA REGD 144A P/P MTN 57,305,000 61,581,038 0.27

ENI SPA REGD REG S 12,712,000 13,916,322 0.06

IVORY COAST REGD S/UP REG S 264,000 261,690 -

CSN RESOURCES SA REGD 144A P/P 15,000,000 15,346,875 0.07

NIELSEN CO LUX SARL/THE REGD 144A P/P 1,069,000 1,057,058 -

REDE D’OR FINANCE SARL REGD 144A P/P 3,000,000 3,008,118 0.01

SWISS RE FINANCE LUX REGD V/R 144A P/P 290,000 319,834 -

USIMINAS INTERNATIONAL REGD REG S 20,294,000 20,395,470 0.09

COSAN LUXEMBOURG SA REGD REG S 235,000 255,273 -


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2019(%)


SWISS RE FINANCE LUX REGD V/R REG S 7,000,000 7,720,125 0.03

TONON LUXEMBOURG SA REGD REG S 3,885,138 194,257 -

GREENKO MAURITIUS LTD REGD REG S SER OCT 20,293,000 20,673,494 0.09

HTA GROUP LTD REGD REG S 17,935,000 18,576,736 0.08

GREENKO MAURITIUS LTD REGD REG S 12,273,000 12,503,119 0.05

MONGOLIA INTL BOND REGD REG S EMTN 2,600,000 2,596,750 0.01

ABN AMRO BANK NV REGD 144A P/P MTN 7,000,000 7,713,510 0.03

COOPERATIEVE RABOBANK UA REGD 14,004,000 15,136,097 0.07

COOPERATIEVE RABOBANK UA REGD SER BKNT 46,078,000 48,200,813 0.21

EDP FINANCE BV REGD 144A P/P 11,994,000 12,460,950 0.05

ENEL FINANCE INTL NV REGD 144A P/P 54,291,000 58,403,285 0.25

ING BANK NV REGD 144A P/P 7,901,000 8,791,719 0.04

ING GROEP NV REGD 5,232,000 5,481,022 0.02

ING GROEP NV REGD 144A P/P 5,000,000 5,572,125 0.02

MYLAN NV REGD SER WI 50,000,000 51,953,600 0.23

NXP BV/NXP FUNDING LLC REGD 144A P/P 21,225,000 22,888,779 0.10

TRIVIUM PACKAGING FIN REGD 144A P/P 9,197,000 9,742,998 0.04

ZIGGO BOND CO BV REGD 144A P/P 7,956,000 8,248,630 0.04

ARGENTUM (SWISS RE LTD) REGD V/R REG S 40,000,000 43,858,000 0.19

ING GROEP NV REGD V/R /PERP/ REG S 31,733,000 33,323,966 0.14

MYRIAD INTL HLDS REGD REG S 10,000,000 11,375,000 0.05

T/L STARFRUIT FINCO BV ZCP REGD 3,890,250 3,752,457 0.02


REPUBLIC OF NIGERIA REGD 144A P/P 9,300,000 10,200,054 0.04

DNB BANK ASA REGD V/R /PERP/ REG S SER .... 28,500,000 29,999,528 0.13


OMAN GOV INTERNTL BOND REGD REG S EMTN 13,121,000 13,104,599 0.06

ISLAMIC REP OF PAKISTAN REGD REG S 589,000 589,736 -

AEROPUERTO INTL TOCUMEN REGD REG S 5,808,000 7,399,973 0.03

STATE OF QATAR REGD REG S 24,993,000 26,469,149 0.12

SAUDI INTERNATIONAL BOND REGD REG S 15,091,000 17,407,469 0.08

LLPL CAPITAL PTE LT REGD REG S 6,338,315 7,516,422 0.03


REPUBLIC OF SOUTH AFRICA REGD 26,200,000 28,530,188 0.12

ESKOM HOLDINGS SOC LTD REGD REG S MTN 16,700,000 18,082,969 0.08

BANCO BILBAO VIZCAYA ARG REGD V/R /PERP/ SER 9 34,000,000 34,421,124 0.15

BANCO SANTANDER SA REGD V/R /PERP/ REG S 20,400,000 21,825,307 0.09

NXP BV/NXP FDG/NXP USA REGD 144A P/P 26,465,000 27,402,030 0.12

PANTHER BF AGGREGATOR 2 REGD 144A P/P 6,821,000 7,073,404 0.03

SVENSKA HANDELSBANKEN AB REGD V/R /PERP/ REG S EMTN 16,800,000 17,833,418 0.08

SKANDINAVISKA ENSKILDA REGD V/R /PERP/ REG S EMTN 13,554,000 13,692,481 0.06


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SVENSKA HANDELSBANKEN AB REGD V/R /PERP/ REG S 14,520,000 14,628,900 0.06

SWEDBANK AB REGD V/R /PERP/ REG S SER 13,200,000 13,498,650 0.06

SWEDBANK AB REGD V/R /PERP/ REG S SER NC5 6,000,000 6,053,178 0.03

UBS GROUP FUNDING SWITZE REGD V/R /PERP/ 144A P/P 9,000,000 9,553,275 0.04

EXPORT CREDIT BANK OF TU REGD REG S 3,595,000 3,372,559 0.01

TC ZIRAAT BANKASI AS REGD REG S EMTN 3,028,000 2,755,480 0.01

YAPI VE KREDI BANKASI AS REGD REG S EMTN 2,892,000 2,764,868 0.01


YAPI VE KREDI BANKASI AS REGD REG S MTN 5,130,000 5,155,650 0.02


BARCLAYS PLC REGD V/R MTN 10,610,000 11,136,893 0.05

BARCLAYS BANK PLC REGD 1,100,000 1,210,382 0.01

BRITISH TELECOMMUNICATIO REGD 32,850,000 43,314,549 0.19

HSBC HOLDINGS PLC REGD 1,500,000 1,611,998 0.01

IMPERIAL BRANDS FIN PLC REGD 144A P/P 20,170,000 20,594,357 0.09

INTERNATIONAL GAME TECH REGD 144A P/P 34,507,000 37,771,464 0.16

LLOYDS BANKING GROUP PLC REGD 17,820,000 18,664,882 0.08

NATIONWIDE BLDG SOCIETY REGD 144A P/P 41,138,000 41,981,658 0.18

NATIONWIDE BLDG SOCIETY REGD V/R 144A P/P 38,830,000 40,539,175 0.18

NATWEST MARKETS PLC REGD REG S 7,205,000 7,376,176 0.03

SANTANDER UK GROUP HLDGS REGD 144A P/P MTN 30,608,000 32,040,301 0.14

SANTANDER UK GROUP HLDGS REGD V/R 7,000,000 7,491,771 0.03

SANTANDER UK PLC REGD 144A P/P 2,738,000 2,898,091 0.01

STANDARD CHARTERED PLC REGD 144A P/P MTN 1,500,000 1,559,276 0.01

STANDARD CHARTERED PLC REGD V/R 144A P/P 5,150,000 5,312,632 0.02

VIRGIN MEDIA SECURED FIN REGD 144A P/P 41,000,000 42,839,588 0.19


STANDARD CHARTERED PLC REGD V/R REG S 1,600,000 1,655,248 0.01

SANTANDER UK PLC REGD REG S 6,364,000 6,736,103 0.03

VEDANTA RESOURCES REGD REG S 20,333,000 19,889,030 0.09

AT&T INC REGD SER * 4,542,000 5,639,820 0.02

AT&T INC REGD 53,964,000 62,926,861 0.27

ABBVIE INC REGD 30,267,000 32,212,599 0.14

ACADIA HEALTHCARE CO INC REGD 2,000,000 2,042,758 0.01

AIR LEASE CORP REGD MTN 22,197,000 23,687,373 0.10

ALEXANDRIA REAL ESTATE E REGD 4,695,000 5,044,242 0.02

ALLIED UNIVERSAL REGD 144A P/P 3,964,000 4,209,966 0.02

ALLISON TRANSMISSION INC REGD 144A P/P 14,280,000 15,314,472 0.07

FNCL 30YR TBA 3.5% OCT 19 TO BE ANNOUNCED 224,486,603 230,791,511 1.00

FNMA 30YR TBA 4.5% SEP 19 TO BE ANNOUNCED 102,124,948 107,494,484 0.47

FNMA 30YR TBA 5% SEP 19 TO BE ANNOUNCED 100,787,845 107,654,017 0.47

ALLSTATE CORP REGD V/R SER B 22,164,000 23,582,984 0.10


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ALTRIA GROUP INC REGD 45,389,000 50,527,512 0.22

AMERADA HESS CORP REGD 16,239,000 20,581,455 0.09

AMERICAN AXLE & MFG INC REGD SER WI 1,000,000 940,271 -

AMERICAN EXPRESS CO REGD V/R /PERP/ SER C 2,849,000 2,849,259 0.01

AMERICAN HOMES 4 RENT REGD 1,500,000 1,717,740 0.01

AMERICAN TOWER CORP REGD 20,191,000 22,130,648 0.10

AMKOR TECHNOLOGY INC REGD 144A P/P 15,588,000 16,977,733 0.07

ANADARKO PETROLEUM CORP REGD 1,500,000 1,698,872 0.01

ANHEUSER-BUSCH INBEV WOR REGD 19,000,000 22,169,466 0.10

ANTHEM INC REGD 1,500,000 1,632,117 0.01

AUTODESK INC REGD 8,474,000 8,842,670 0.04

AVIATION CAPITAL GROUP REGD 144A P/P 24,735,000 26,386,556 0.11AVIS BUDGET RENTAL CAR FUNDING AESOP LLC SER 2019-2ACL C REGD 144A P/P 4,000,000 4,224,473 0.02

BAT CAPITAL CORP REGD 38,068,000 39,008,698 0.17

BCD ACQUISITION INC REGD 144A P/P 1,000,000 1,017,480 -

BAKER HUGHES LLC/CO-OBL REGD SER WI 11,500,000 11,797,862 0.05

BALL CORP REGD 850,000 871,271 -

BANK OF AMERICA CORP REGD V/R /PERP/ SER V 297,000 297,933 -

BANK OF AMERICA CORP REGD V/R /PERP/ SER X 1,367,000 1,490,802 0.01

BANK OF AMERICA CORP REGD V/R /PERP/ SER Z 10,000,000 11,167,180 0.05

BANK OF AMERICA CORP REGD V/R /PERP/ SER JJ 23,156,000 24,079,531 0.10

BANK OF AMERICA COR REGD SER B 34,006,000 44,547,860 0.19BANC OF AMERICA COMMERCIAL MORTGAGE TRUST2016-UBS10 SER 2016-UB10 CL C V/R REGD 2,354,000 2,609,159 0.01

BANK OF NY MELLON CORP REGD V/R /PERP/ SER E 3,374,000 3,415,294 0.01BELLEMEADE RE 2019-3 LTD SER 2019-3A CL M1C V/R REGD144A P/P 69,349,000 69,348,834 0.30

BELO CORP REGD 2,604,000 2,932,419 0.01BENCHMARK 2019-B11 MORTGAGE TRUST SER 2019-B11 CL XAV/R REGD 223,228,141 18,254,704 0.08

BOARDWALK PIPELINES LP REGD 40,970,000 43,526,665 0.19

BROADCOM CRP / CAYMN FI REGD SER WI 29,300,000 29,599,034 0.13

BROADCOM INC REGD 144A P/P 10,655,000 10,958,156 0.05

BROOKFIELD PPTY REIT INC REGD 144A P/P 14,348,000 15,104,068 0.07

BUCKEYE PARTNERS LP REGD 8,000,000 7,077,689 0.03

CBS CORP REGD 26,022,000 28,206,459 0.12

CD 2017-CD3 MORTGAGE TRUST SER 2017-CD3 CL XA V/R REGD 105,527,348 6,549,724 0.03COMM 2014-CCRE16 MORTGAGE TRUST SER 2014-CR16 CL DV/R REGD 144A P/P 12,900,000 12,749,669 0.06COMM 2016-DC2 MORTGAGE TRUST SER 2016-DC2 CL XA V/RREGD 1,886,057 98,163 -COMM 2012-CCRE3 MORTGAGE TRUST SER 2012-CR3 CL D V/RREGD 144A P/P 3,971,000 4,005,925 0.02


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CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST SER 2015-C1CL D V/R REGD 144A P/P 12,290,000 12,083,385 0.05

CPS AUTO TRUST SER 2016-D CL E REGD 144A P/P 1,687,000 1,770,170 0.01

CVS HEALTH CORP REGD 20,500,000 22,357,690 0.10

CALPINE CORP REGD 144A P/P 2,750,000 2,791,728 0.01

CAPITAL ONE FINANCIAL CO REGD 46,608,000 48,875,213 0.21

CEDAR FAIR LP REGD 144A P/P 9,519,000 10,317,977 0.04

CENTURYLINK INC REGD SER T 500,000 524,968 -

CENTURYLINK INC REGD SER Y 6,885,000 7,643,004 0.03

COLFAX CORP REGD 144A P/P 6,542,000 7,042,684 0.03

CHARTER COMM OPT LLC/CAP REGD SER USD 5,000,000 5,378,315 0.02

CHENIERE ENERGY PARTNERS REGD SER WI 15,850,000 16,747,522 0.07

CHESAPEAKE ENERGY CORP REGD SER WI 1,000,000 767,688 -

CITIGROUP INC REGD V/R /PERP/ 14,902,000 15,654,178 0.07

CITIGROUP INC REGD 26,815,000 28,938,257 0.13

CITIGROUP INC REGD V/R /PERP/ SER O 2,096,000 2,117,155 0.01

CITIGROUP INC REGD V/R /PERP/ SER P 10,465,000 11,197,550 0.05

CITIGROUP INC REGD V/R /PERP/ SER Q 3,706,000 3,777,237 0.02CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC17 SER2013-GC17 CL C V/R REGD 3,895,000 4,233,381 0.02CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P7 CL X-AVARIABLE REGD 94,249,079 6,264,058 0.03CGMS COMMERCIAL MORTGAGE TRUST 2017-B1 SER 2017-B1CL C V/R REGD 9,500,000 10,124,815 0.04

CITIZENS FINANCIAL GROUP REGD V/R /PERP/ SER A 887,000 894,062 -

CLEAN HARBORS INC REGD 144A P/P 26,409,000 27,952,194 0.12

CLEAR CHANNEL WORLDWIDE REGD 144A P/P 18,724,000 19,595,209 0.09

COMMSCOPE INC REGD 144A P/P 20,323,000 20,340,569 0.09

BBVA USA REGD SER BKNT 11,715,000 12,780,127 0.06CONNECTICUT AVENUE SECURITIES TRUST 2019-R02 SER2019-R02 CL 1M2 V/R REGD 144A P/P 71,903,343 72,392,732 0.31CONNECTICUT AVENUE SECURITIES TRUST 2019-R03 SER2019-R03 CL 1M2 V/R REGD 144A P/P 63,838,800 64,086,392 0.28CONNECTICUT AVENUE SECURITIES TRUST 2018-R07 SER2018-R07 CL 1M2 V/R REGD 144A P/P 78,050,268 78,842,947 0.34CONNECTICUT AVENUE SECURITIES TRUST 2019-R04 SER2019-R04 CL 2M2 V/R REGD 144A P/P 63,191,478 63,350,961 0.28CONNECTICUT AVENUE SECURITIES TRUST 2019-R01 SER2019-R01 CL 2M2 V/R REGD 144A P/P 93,693,406 94,532,440 0.41CONNECTICUT AVENUE SECURITIES TRUST 2019-R05 SER2019-R05 CL 1M2 V/R REGD 144A P/P 88,375,139 88,374,927 0.38CONSUMER LOAN UNDERLYING BOND CREDIT TRUST 20 SER2017-P1 CL B V/R REGD 144A P/P 1,748,736 1,751,078 0.01CONSUMER LOAN UNDERLYING BOND CREDIT TRUST 2018-P2SER 2018-P2 CL C REGD 144A P/P 8,500,000 8,749,057 0.04

CLUB CREDIT TRUST SER 2018-P3 CL C REGD 144A P/P 23,300,000 24,269,727 0.11


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CONSUMER LOAN UNDERLYING BOND CREDIT TRUST 2019-P1SER 2019-P1 CL C REGD 144A P/P 15,000,000 15,191,658 0.07CPS AUTO RECEIVABLES TRUST 2018-D SER 2018-D CL D REGD144A P/P 3,207,000 3,346,547 0.01CPS AUTO RECEIVABLES TRUST 2018-D SER 2018-D CL E REGD144A P/P 10,815,000 11,561,430 0.05DBWF 2018-GLKS MORTGAGE TRUST SER 2018-GLKS CL E V/RREGD 144A P/P 9,010,297 9,100,981 0.04

SITE CENTERS CORP REGD 31,865,000 34,248,388 0.15

DAIMLER FINANCE NA LLC REGD 144A P/P 26,000,000 27,164,384 0.12

DANA INC REGD 500,000 510,431 -

DELL INT LLC / EMC CORP REGD 144A P/P 25,766,000 27,499,330 0.12

DIAMOND SPORTS GR/DIAMON REGD 144A P/P 17,672,000 18,535,313 0.08

DISCOVER BANK REGD SER BKNT 21,166,000 22,097,198 0.10

DISCOVERY COMMUNICATIONS REGD 1,500,000 1,580,427 0.01

DOW CHEMICAL CO/THE REGD 144A P/P 5,000,000 5,524,685 0.02

DUPONT DE NEMOURS INC REGD 18,500,000 21,420,447 0.09

EQT CORP REGD 5,000,000 4,780,990 0.02

EAGLE RE 2018-1 LTD SER 2018-1 CL M1 V/R REGD 144A P/P 5,949,131 5,959,780 0.03

ENABLE MIDSTREAM PARTNER REGD 31,500,000 32,149,656 0.14

ENERGY TRANSFER OPERATNG REGD SER * 2,000,000 2,623,532 0.01

ENERGY TRANSFER OPERATNG REGD 36,465,000 40,771,679 0.18EXETER AUTOMOBILE RECEIVABLES TRUST 2018-4 SER2018-4A CL E REGD 144A P/P 13,125,000 13,778,033 0.06

EXPEDIA INC REGD SER WI 22,818,000 25,347,692 0.11

EXPRESS SCRIPTS HOLDING REGD 30,200,000 31,433,700 0.14FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2018-C06CL 1M2 V/R REGD 35,056,000 35,123,202 0.15FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2018-C06CL 2M2 V/R REGD 12,500,000 12,475,717 0.05FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2014-C03CL 1M2 V/R REGD 5,231,469 5,490,151 0.02FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2018-C02CL 2M2 V/R REGD 76,552,770 77,004,822 0.33FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C01CL 1M2 V/R REGD 49,236,626 51,454,204 0.22FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C01CL 1B1 V/R REGD 6,998,160 8,326,561 0.04FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C02CL 2B1 V/R REGD 16,012,500 18,640,939 0.08FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C03CL 1B1 V/R REGD 10,420,000 11,690,157 0.05FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C03CL 1M2 V/R REGD 25,024,422 25,972,720 0.11FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C04CL 2M2 V/R REGD 22,484,258 23,051,239 0.10


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FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C05CL 1M2 V/R REGD 23,605,000 23,911,341 0.10FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C06CL 1M2 V/R REGD 75,130,000 76,783,161 0.33FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2018-C04CL 2M2 V/R REGD 53,827,830 54,753,130 0.24FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C07CL 1B1 V/R REGD 5,472,000 5,843,965 0.03FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2018-C05CL 1M2 V/R REGD 57,157,144 57,846,848 0.25FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2018-C01CL 1M2 V/R REGD 63,034,079 63,461,614 0.28

FEDERAL HOME LOAN BANKS 34,000,000 38,093,022 0.17


FANNIE MAE REMICS SER 2012-7 CL QS V/R 23,973,863 4,225,971 0.02

FANNIE MAE REMICS SER 2013-81 CL JS V/R 18,951,781 2,632,766 0.01



FANNIE MAE REMICS SER 2014-88 CL BS V/R 18,315,602 3,508,573 0.02

FANNIE MAE REMICS SER 2015-22 CL EI 37,397,726 8,064,072 0.04

FANNIE MAE REMICS SER 2016-81 CL DS V/R 33,324,397 6,735,304 0.03


FANNIE MAE REMICS SER 2016-65 CL AS V/R 20,551,438 3,843,789 0.02

FANNIE MAE REMICS SER 2016-64 CL BI 46,957,958 8,767,924 0.04


FANNIE MAE REMICS SER 2018-13 CL SG V/R 21,212,593 3,533,023 0.02

FANNIE MAE REMICS SER 2017-100 CL IA 41,401,235 8,753,405 0.04

FANNIE MAE REMICS SER 2017-105 CL SE V/R 80,599,300 16,520,342 0.07


FANNIE MAE REMICS SER 2018-47 CL SD V/R 53,605,563 8,810,755 0.04

FANNIE MAE REMICS SER 2018-54 CL IO 16,492,401 3,449,791 0.01

FANNIE MAE REMICS SER 2018-96 CL SC V/R 12,097,296 2,071,760 0.01


FANNIE MAE REMICS SER 2019-48 CL SM V/R 14,845,221 3,525,740 0.02


FREDDIE MAC REMICS SER 3725 CL CS V/R 54,177,276 6,804,281 0.03

FREDDIE MAC REMICS SER 3898 CL NS V/R 11,668,768 2,039,143 0.01

FREDDIE MAC REMICS SER 4317 CL SD V/R 13,530,444 2,771,803 0.01

FREDDIE MAC REMICS SER 4372 CL JS V/R 35,600,300 6,494,623 0.03

FREDDIE MAC REMICS SER 4398 CL IO 26,459,288 5,681,997 0.02

FREDDIE MAC REMICS SER 4494 CL SL V/R 60,326,082 12,458,180 0.05

FREDDIE MAC REMICS SER 4719 CL SB V/R 33,759,661 7,014,846 0.03FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGHCERTIFI SER K069 CL A2 V/R 18,347,000 19,937,712 0.09


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FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGHCERTIFICATES SER K072 CL A2 12,923,000 14,314,912 0.06FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGHCERTIFICATES SER K073 CL A2 11,000,000 12,113,891 0.05FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2017-DNA1 CL M2 V/R REGD 55,190,000 57,674,118 0.25FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2017-HQA1 CL M2 V/R REGD 76,478,961 79,949,163 0.35FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2017-DNA3 CL M2 V/R REGD 3,000,000 3,033,668 0.01FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2017-DNA3 CL B1 V/R REGD 7,500,000 8,277,700 0.04FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBTNOTES SER 2018-DNA1 CL M2 V/R REGD 25,881,171 25,881,111 0.11

STACR 2018-HQA1 M2 VARIABLE REGD 65,240,746 65,668,086 0.29

FANNIE MAE REMICS SER 2005-58 CL IK V/R 11,748,799 2,808,866 0.01

REFINITIV US HOLDINGS REGD 144A P/P 4,890,000 5,324,232 0.02FIRST INVESTORS AUTO OWNER TRUST 2018-1 SER 2018-1A CLE REGD 144A P/P 3,100,000 3,227,369 0.01

FISERV INC REGD 3,198,000 3,579,281 0.02FLAGSHIP CREDIT AUTO TRUST 2018-2 SER 2018-2 CL E REGD144A P/P 3,850,000 4,045,261 0.02FLAGSHIP CREDIT AUTO TRUST 2019-1 SER 2019-1 CL E REGD144A P/P 5,339,000 5,615,014 0.02FLAGSHIP CREDIT AUTO TRUST 2018-4 SER 2018-4 CL E REGD144A P/P 10,085,000 10,768,738 0.05FLAGSHIP CREDIT AUTO TRUST 2019-2 SER 2019-2 CL E REGD144A P/P 5,677,000 5,871,995 0.03FLAGSHIP CREDIT AUTO TRUST 2019-3 SER 2019-3 CL E REGD144A P/P 5,230,000 5,269,868 0.02

FORD MOTOR CREDIT CO LLC REGD 25,125,000 26,402,532 0.11

FORESTAR GROUP INC REGD 144A P/P 8,301,000 8,937,081 0.04FREDDIE MAC STACR TRUST 2019-DNA1 SER 2019-DNA1 CL M2V/R REGD 144A P/P 70,373,909 71,078,443 0.31FREDDIE MAC STACR TRUST 2019-HQA1 SER 2019-HQA1 CL M2V/R REGD 144A P/P 61,377,208 61,885,160 0.27FREDDIE MAC STACR TRUST 2018-HQA2 SER 2018-HQA2 CL M2V/R REGD 144A P/P 28,000,000 28,264,984 0.12FREDDIE MAC STACR TRUST 2019-DNA2 SER 2019-DNA2 CL M2V/R REGD 144A P/P 59,585,000 60,024,272 0.26FREDDIE MAC STACR TRUST 2019-HQA2 SER 2019-HQA2 CL M2V/R REGD 144A P/P 45,950,000 45,949,880 0.20FREDDIE MAC STACR TRUST 2019-DNA3 SER 2019-DNA3 CL M2V/R REGD 144A P/P 42,319,000 42,318,894 0.18FREDDIE MAC STACR TRUST 2019-FTR2 SER 2019-FTR2 CL M2V/R REGD 144A P/P 13,127,947 13,127,887 0.06GS MORTGAGE SECURITIES TRUST 2013-GCJ12 SER 2013-GC12CL C V/R REGD 2,930,000 3,012,058 0.01


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2019(%)

GS MORTGAGE SECURITIES TRUST 2010-C2 SER 2010-C2 CL DV/R REGD 144A P/P 1,850,000 1,905,784 0.01

GENERAL MOTORS FINL CO REGD 62,757,000 67,224,405 0.29

GLOBAL PART/GLP FINANCE REGD 144A P/P 9,655,000 9,832,710 0.04

GOLDMAN SACHS GROUP INC REGD 1,500,000 1,620,541 0.01

GOLDMAN SACHS GROUP INC REGD SER DMTN 8,361,000 8,824,040 0.04

GOLDMAN SACHS GROUP INC REGD V/R /PERP/ SER L 22,745,000 22,793,583 0.10

GOLDMAN SACHS GROUP INC REGD V/R /PERP/ SER M 2,953,000 2,983,026 0.01

GOLDMAN SACHS GROUP INC REGD V/R /PERP/ SER Q 13,864,000 14,485,246 0.06GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER2019-57 CL IO 11,603,418 2,515,602 0.01

GRAPHIC PACKAGING INTERN REGD 144A P/P 12,256,000 12,893,508 0.06

HCP INC REGD 6,092,000 6,302,747 0.03

HSBC FINANCE CORP REGD 23,169,000 24,345,058 0.11

HARLEY-DAVIDSON FINL SER REGD 144A P/P MTN 2,140,000 2,140,612 0.01

HARLEY-DAVIDSON FINL SER REGD 144A P/P 6,940,000 7,188,119 0.03

HARSCO CORP REGD 144A P/P 16,124,000 16,714,670 0.07

HERC HOLDINGS INC REGD 144A P/P 12,745,000 13,172,263 0.06

HIGHWOODS REALTY LP REGD 8,000,000 8,704,856 0.04

HILTON DOMESTIC OPERATIN REGD SER WI 6,375,000 6,720,780 0.03

HOLOGIC INC REGD 144A P/P 2,625,000 2,687,976 0.01

HOSPITALITY PROP TRUST REGD 22,319,000 23,089,468 0.10

HOSPITALITY PROPERTIES T REGD 28,230,000 28,755,755 0.12

HUGHES SATELLITE SYSTEMS REGD SER WI 2,885,000 3,052,039 0.01

HUNTSMAN INTERNATIONAL L REGD 33,000,000 35,220,603 0.15

IAA INC REGD 144A P/P 5,157,000 5,531,243 0.02

IQVIA INC REGD 144A P/P 19,426,000 20,461,719 0.09

IHEARTCOMMUNICATIONS INC REGD 144A P/P 16,897,000 17,758,071 0.08

VOYA FINANCIAL INC REGD V/R SER WI 30,648,000 32,110,706 0.14

IRON MOUNTAIN INC REGD 1,000,000 1,009,795 -JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2017-C5SER 2017-C5 CL XA V/R REGD 153,535,662 8,767,055 0.04

JPMORGAN CHASE & CO REGD V/R /PERP/ SER S 13,340,000 14,840,750 0.06

JPMORGAN CHASE & CO REGD 8,000,000 8,548,160 0.04

JPMORGAN CHASE & CO REGD V/R /PERP/ SER Z 477,000 483,817 -JP MORGAN CHASE COMMERCIAL MORTGAGE SECU SER2012-C8 CL C V/R REGD 144A P/P 9,962,652 10,384,310 0.05JPMBB COMMERCIAL MORTGAGE SECURITIES TRUS SER2014-C21 CL D V/R REGD 144A P/P 6,796,996 6,440,062 0.03

JEFFERIES FIN LLC / JFIN REGD 144A P/P 7,666,000 7,865,400 0.03

JPMORGAN CHASE & CO REGD V/R /PERP/ SER Q 10,000,000 10,281,170 0.04

JPMORGAN CHASE & CO REGD V/R /PERP/ SER V 5,440,000 5,454,987 0.02

JPMORGAN CHASE & CO REGD V/R /PERP/ SER CC 10,000,000 9,833,960 0.04

JPMORGAN CHASE & CO REGD V/R /PERP/ SER FF 20,916,000 21,724,069 0.09


-191-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

KLA CORP REGD 16,110,000 17,862,655 0.08

KEURIG DR PEPPER INC REGD SER WI 1,500,000 1,693,656 0.01

KEURIG DR PEPPER INC REGD 18,515,000 20,255,336 0.09

KILROY REALTY LP REGD 6,050,000 6,342,130 0.03

KITE REALTY GROUP LP REGD 2,785,000 2,793,516 0.01

KRAFT HEINZ FOODS CO REGD 41,889,000 41,921,046 0.18

LPL HOLDINGS INC REGD 144A P/P 10,713,000 11,319,506 0.05

LAM RESEARCH CORP REGD 15,107,000 16,183,056 0.07

LAS VEGAS SANDS CORP REGD 15,947,000 16,256,122 0.07

LEVEL 3 FINANCING INC REGD SER WI 1,000,000 1,047,068 -

M&T BANK CORPORATION REGD V/R /PERP/ SER G 30,067,000 31,100,433 0.14

MGM GROWTH/MGM FINANCE REGD 235,000 256,690 -

MGM GROWTH/MGM FINANCE REGD 144A P/P 23,477,000 25,948,799 0.11MARLETTE FUNDING TRUST 2017-3 SER 2017-3A CL D REGD144A P/P 7,821,000 7,970,362 0.03MARLETTE FUNDING TRUST 2018-2 SER 2018-2A CL C REGD144A P/P 10,375,000 10,637,616 0.05MARLETTE FUNDING TRUST 2018-4 SER 2018-4A CL C REGD144A P/P 10,475,032 10,893,165 0.05MARLETTE FUNDING TRUST 2018-1 SER 2018-1A CL D REGD144A P/P 23,167,000 23,504,291 0.10

MARRIOTT OWNERSHIP/ILG REGD SER WI 13,039,000 14,080,959 0.06

MEREDITH CORP REGD 6,884,000 7,265,022 0.03

MORGAN STANLEY REGD MTN 15,300,000 17,261,766 0.08

MORGAN STANLEY REGD MTN SER GMTN 11,259,000 12,313,034 0.05MORGAN STANLEY CAPITAL I TRUST 2011-C1 SER 2011-C1 CL DV/R REGD 144A P/P 2,000,000 2,076,880 0.01

MORGAN STANLEY REGD V/R /PERP/ SER J 3,861,000 3,919,973 0.02MORGAN STANLEY CAPITAL I TRUST 2011-C3 SER 2011-C3 CL CV/R REGD 144A P/P 5,000,000 5,213,284 0.02MORGAN STANLEY CAPITAL I TRUST 2019-BPR SER 2019-BPR CLD V/R REGD 144A P/P 7,189,000 7,197,865 0.03

NCR CORP REGD 144A P/P 11,338,000 11,995,016 0.05

NATIONWIDE MUTUAL INSURA REGD V/R 144A P/P 1,000,000 1,000,430 -NATIXIS COMMERCIAL MORTGAGE SECURITIES SER 2018-850TCL D V/R REGD 144A P/P 4,415,000 4,409,733 0.02

NAVISTAR INTL CORP REGD 144A P/P 676,000 686,289 -

NEXSTAR ESCROW INC REGD 144A P/P 10,671,000 11,135,647 0.05

NINE ENERGY SERVICE INC REGD 144A P/P 5,223,000 4,709,234 0.02

OAKTOWN RE II LTD SER 2018-1A CL M1 V/R REGD 144A P/P 1,657,391 1,660,743 0.01

OAKTOWN RE III LTD SER 2019-1A CL M1B V/R REGD 144A P/P 3,141,372 3,141,503 0.01

OAKTOWN RE III LTD SER 2019-1A CL M2 V/R REGD 144A P/P 20,730,000 20,814,000 0.09

OASIS PETROLEUM INC REGD 1,114,000 1,009,929 -

OCCIDENTAL PETROLEUM COR REGD 49,268,000 49,705,340 0.22

OLIN CORP REGD 22,811,000 23,739,841 0.10


-192-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

OMEGA HLTHCARE INVESTORS REGD 9,368,000 10,179,180 0.04

ONEOK INC REGD 34,411,000 36,203,356 0.16

ONEOK PARTNERS LP REGD 5,360,000 5,894,617 0.03

OUTFRONT MEDIA CAP LLC/C REGD 144A P/P 8,917,000 9,248,079 0.04PMT CREDIT RISK TRANSFER TRUST 2019-2R SER 2019-2R CL AV/R REGD 144A P/P 48,643,342 48,735,034 0.21PMT CREDIT RISK TRANSFER TRUST 2019-1R SER 2019-1R CL AV/R REGD 144A P/P 28,948,279 28,866,807 0.13

RANGE RESOURCES CORP REGD 2,400,000 1,990,262 0.01

REALOGY GROUP/CO-ISSUER REGD 144A P/P 17,394,000 15,032,817 0.07

REGENCY CENTERS LP REGD 10,680,000 11,342,352 0.05

ROHM & HAAS CO REGD 22,000,000 29,984,636 0.13

SEMGROUP/ROSE ROCK FIN REGD SER WI 1,000,000 963,783 -

SPX FLOW INC REGD 144A P/P 1,900,000 2,013,806 0.01

SABRA HEALTH/CAPTL CORP REGD 27,053,000 28,427,455 0.12

SANTANDER HOLDINGS USA REGD SER FXD 22,908,000 23,675,670 0.10

SCRIPPS ESCROW INC REGD 144A P/P 11,396,000 11,490,040 0.05

SENIOR HOUSING PROP TRUS REGD 11,743,000 11,787,494 0.05

SENIOR HOUSING PROPERTIE REGD 16,681,000 17,782,413 0.08

LIFESTORAGE LP REGD 12,300,000 12,736,244 0.06

SPECTRA ENERGY PARTNERS REGD 3,345,000 3,497,197 0.02

STAPLES INC REGD 144A P/P 18,300,000 18,475,424 0.08STARWOOD RETAIL PROPERTY TRUST 2014-STAR SER2014-STAR CL A V/R REGD 144A P/P 36,354,193 36,276,203 0.16

STEVENS HOLDING CO INC REGD 144A P/P 4,933,000 5,145,824 0.02

STORE CAPITAL CORP REGD 4,573,000 5,066,733 0.02

SUNOCO LOGISTICS PARTNER REGD 8,045,000 8,327,621 0.04

SUNOCO LP/FINANCE CORP REGD SER WI 18,646,000 19,509,367 0.08

SUSA PARTNERSHIP LP REGD 6,000,000 7,526,694 0.03

TALEN ENERGY SUPPLY LLC REGD 144A P/P 5,211,000 5,205,711 0.02

TAYLOR MORRISON COMM REGD 144A P/P 28,088,000 30,022,159 0.13

TEREX CORP REGD 144A P/P 1,028,000 1,047,041 -

TIME WARNER ENTERTAINMEN REGD SER * 15,020,000 21,019,709 0.09

TYSON FOODS INC REGD 15,927,000 17,803,828 0.08UBS COMMERCIAL MORTGAGE TRUST 2012-C1 SER 2012-C1 CLD V/R REGD 144A P/P 6,675,000 6,791,945 0.03UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 20 SER2013-C5 CL C V/R REGD 144A P/P 1,797,959 1,854,000 0.01UBS COMMERCIAL MORTGAGE TRUST 2017-C1 SER 2017-C1 CLXA V/R REGD 61,617,109 5,683,772 0.02UBS COMMERCIAL MORTGAGE TRUST 2018-C10 SER 2018-C10CL XA V/R REGD 71,739,768 4,764,783 0.02UBS COMMERCIAL MORTGAGE TRUST 2017-C4 SER 2017-C4 CLXA V/R REGD 66,624,849 4,666,751 0.02


-193-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 20 SER2013-C6 CL D V/R REGD 144A P/P 8,381,200 8,149,953 0.04

UNITED STATES TREASURY INFLATION INDEXED BONDS 416,706,475 420,171,651 1.83

QWEST CORP REGD 1,478,000 1,488,355 0.01

VALERO ENERGY CORP REGD 28,500,000 30,394,081 0.13

VENTAS REALTY LP REGD 1,500,000 1,627,915 0.01

VISTRA OPERATIONS CO LLC REGD 144A P/P 30,886,000 32,666,583 0.14WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9 SER 2012-C9CL E V/R REGD 144A P/P 5,000,000 4,610,182 0.02WFRBS COMMERCIAL MORTGAGE TRUST 2011-C3 SER 2011-C3CL C V/R REGD 144A P/P 6,900,000 7,146,911 0.03WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4 SER 2011-C4CL E V/R REGD 144A P/P 3,216,770 3,219,150 0.01WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7 SER 2012-C7CL AS V/R REGD 264,756 275,504 -

WP CAREY INC REGD 3,000,000 3,239,208 0.01

WELLS FARGO & COMPANY REGD V/R /PERP/ SER S 3,517,000 3,754,398 0.02

WELLS FARGO & COMPANY REGD V/R /PERP/ SER U 13,500,000 14,819,625 0.07WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32 SER2016-C32 CL XA V/R REGD 128,786,028 8,183,940 0.04WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 SER2016-LC24 CL XA V/R REGD 94,580,409 8,557,068 0.04

WELLS FARGO & COMPANY REGD MTN 14,095,000 15,007,045 0.07

WESTERN DIGITAL CORP REGD 1,000,000 1,022,728 0.01

WESTERN MIDSTREAM OPERAT REGD 52,547,000 52,713,026 0.23

WABTEC CORP REGD 28,747,000 30,771,881 0.13WFRBS COMMERCIAL MORTGAGE TRUST 2014-LC14 SER2014-LC14 CL C V/R REGD 852,572 892,710 -

WILLIAM CARTER REGD 144A P/P 11,232,000 11,969,594 0.05

ZF NA CAPITAL REGD 144A P/P 26,275,000 27,824,883 0.12

CSC HOLDINGS LLC REGD REG S 7,730,000 8,172,913 0.04

BROADCOM INC REGD REG S 14,208,000 14,612,246 0.06

T/L MULTIPLAN INC REGD 24,600,000 22,847,250 0.10

T/L TEAM HEAL INC 15,071,454 12,098,610 0.05

T/L UNIVISION COMMUNICATIONS INC REGD 8,900,000 8,497,898 0.04

T/L BWAY HOLDING COMPANY REGD 21,366,262 20,748,563 0.09

T/L PAREXEL INTERNATIONAL CORPORATION REGD 11,114,348 10,429,593 0.05

T/L IRB HOLDING CORP REGD ZCP TERM LOAN 20,406,882 20,247,504 0.09

T/L SCIENTIFIC GAMES INTERNATIONAL INC REGD 14,573,106 14,386,862 0.06

T/L AIR MEDICAL GROUP HOLDINGS INC REGD 20,958,848 19,668,621 0.09

T/L AVAYA INC REGD 16,398,380 16,090,910 0.07

T/L FINANCIAL & RISK US HOLDINGS INC REGD 3,902,887 3,920,216 0.02

T/L U S LUMBER GROUP LLC REGD 7,942,626 7,936,033 0.03

T/L ENVISION HEALTHCARE CORPORATION REGD 7,654,393 5,907,737 0.03

T/L REGIONALCARE HOSPITAL PARTNERS HOLDINGS INC REGD 36,081,685 35,946,379 0.16


-194-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

T/L ATHENAHEALTH INC REGD 21,274,319 21,154,758 0.09

T/L PANTHER BF AGGREGATOR 2 L REGD 17,130,000 16,873,050 0.07

T/L CITGO PETROLEUM CORPORATIO REGD 11,418,144 11,441,894 0.05

T/L ELLIE MAE INC REGD 11,853,059 11,801,261 0.05

T/L JEFFERIES FINANCE LLC REGD 4,972,000 4,958,029 0.02

T/L DIAMOND SPORTS GROUP LLC ZCP REGD 5,795,192 5,795,192 0.03

T/L BLACKSTONE CQP HOLDCO LP REGD 4,881,818 4,880,305 0.02

T/L U S RENAL CARE INC REGD 27,490,000 26,218,587 0.11

T/L ALLIED UNIVERSAL HOLDCO LLC REGD 3,638,182 3,629,996 0.02

T/L WHATABRANDS LLC REGD 7,796,154 7,822,973 0.03

T/L SEDGWICK CLAIMS MANAGEMENT SERVICES INC REGD 21,232,048 21,143,510 0.09

T/L CLEAR CHANNEL OUTDOOR HOLDINGS INC ZCP REGD 5,913,000 5,905,609 0.03

T/L ALBERTSON S LL REGD 1,947,998 1,954,095 0.01

BROADCOM INC REGD 14,208,000 14,417,639 0.06

HUARONG FINANCE II REGD REG S EMTN 36,229,000 39,835,359 0.17


GOLD FIELDS OROGEN HOLD REGD REG S 20,522,000 21,289,973 0.09

23,241,102,190 101.01

Derivatives

Future

FUTURE CONTRACT ON US LONG BOND(CBT) DEC19 (25,779,000) (0.11)

FUTURE CONTRACT ON US 10YR NOTE (CBT)DEC19 5,473,967,812 23.79

FUTURE CONTRACT ON US 2YR NOTE (CBT) DEC19 (789,908,322) (3.43)

FUTURE CONTRACT ON US 5YR NOTE (CBT) DEC19 (723,698,628) (3.15)

FUTURE CONTRACT ON US 10YR ULTRA FUT DEC19 (387,959,125) (1.69)

3,546,622,737 15.41

Swaps

CDX 137BEMAE8 05.000 SP 05/11/2063 BARCLAYS BAN LONG 4,098,500 0.02

CDX 137BEMAE8 05.000 SP 05/11/2063 BARCLAYS BAN SHORT (5,000,000) (0.02)

CDX 137BEMAE8 05.000 SP 05/11/2063 CITIBANK NA LONG 16,394,000 0.07

CDX 137BEMAE8 05.000 SP 05/11/2063 CITIBANK NA SHORT (20,000,000) (0.09)

CDX 137BEMAE8 05.000 SP 05/11/2063 CREDIT SUI LONG 8,197,000 0.04

CDX 137BEMAE8 05.000 SP 05/11/2063 CREDIT SUI SHORT (10,000,000) (0.04)

CDX 137BEMAE8 05.000 SP 05/11/2063 CREDIT SUISS LONG 15,574,300 0.07

CDX 137BEMAE8 05.000 SP 05/11/2063 CREDIT SUISS SHORT (19,000,000) (0.08)

CDX 137BEMAE8 05.000 SP 05/11/2063 GOLDMAN SACH LONG 67,625,250 0.29

CDX 137BEMAE8 05.000 SP 05/11/2063 GOLDMAN SACH SHORT (82,500,000) (0.36)

CDX 137BEMAE8 05.000 SP 05/11/2063 MORGAN STAN LONG 8,197,000 0.04

CDX 137BEMAE8 05.000 SP 05/11/2063 MORGAN STAN SHORT (10,000,000) (0.04)


-195-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

CDX 137BEMAE8 05.000 SP 05/11/2063 MORGAN STANL LONG 20,492,500 0.09

CDX 137BEMAE8 05.000 SP 05/11/2063 MORGAN STANL SHORT (25,000,000) (0.11)

CDX 137BERAF4 03.000 SP 05/11/2063 BARCLAYS LONG 22,595,000 0.10

CDX 137BERAF4 03.000 SP 05/11/2063 BARCLAYS SHORT (25,000,000) (0.11)

CDX 137BERAF4 03.000 SP 05/11/2063 CITIBANK N A LONG 22,595,000 0.10

CDX 137BERAF4 03.000 SP 05/11/2063 CITIBANK N A SHORT (25,000,000) (0.11)

CDX 137BERAF4 03.000 SP 05/11/2063 CITIBANK NA LONG 45,190,000 0.20

CDX 137BERAF4 03.000 SP 05/11/2063 CITIBANK NA SHORT (50,000,000) (0.22)

CDX 137BERAF4 03.000 SP 05/11/2063 CITIGROUP GL LONG 14,879,259 0.06

CDX 137BERAF4 03.000 SP 05/11/2063 CITIGROUP GL SHORT (16,463,000) (0.07)

CDX 137BERAF4 03.000 SP 05/11/2063 CREDIT SUI LONG 10,433,467 0.05

CDX 137BERAF4 03.000 SP 05/11/2063 CREDIT SUI SHORT (11,544,000) (0.05)

CDX 137BERAF4 03.000 SP 05/11/2063 CREDIT SUISS LONG 122,694,465 0.53

CDX 137BERAF4 03.000 SP 05/11/2063 CREDIT SUISS SHORT (135,754,000) (0.59)

CDX 137BERAF4 03.000 SP 05/11/2063 DEUTSCHE BAN LONG 25,292,843 0.11

CDX 137BERAF4 03.000 SP 05/11/2063 DEUTSCHE BAN SHORT (27,985,000) (0.12)

CDX 137BERAF4 03.000 SP 05/11/2063 DEUTSCHE LONG 9,038,000 0.04

CDX 137BERAF4 03.000 SP 05/11/2063 DEUTSCHE SHORT (10,000,000) (0.04)

CDX 137BERAF4 03.000 SP 05/11/2063 GOLDMAN SACH LONG 365,518,411 1.59

CDX 137BERAF4 03.000 SP 05/11/2063 GOLDMAN SACH SHORT (404,424,000) (1.76)

CDX 137BERAF4 03.000 SP 05/11/2063 J P MORGAN S LONG 9,038,000 0.04

CDX 137BERAF4 03.000 SP 05/11/2063 J P MORGAN S SHORT (10,000,000) (0.04)

CDX 137BERAF4 03.000 SP 05/11/2063 JPMORGAN CHA LONG 46,502,318 0.20

CDX 137BERAF4 03.000 SP 05/11/2063 JPMORGAN CHA SHORT (51,452,000) (0.22)

CDX 137BERAF4 03.000 SP 05/11/2063 MORGAN STANL LONG 58,050,170 0.25

CDX 137BERAF4 03.000 SP 05/11/2063 MORGAN STANL SHORT (64,229,000) (0.28)

CPILV504401 /LONG/ 65,000,000 0.28

CPILV504401 /SHORT/ (63,133,873) (0.27)

IRS P01.46RUS3M 06/28/26 UBS AG FIXED (58,944,194) (0.26)

IRS RUS3MP01.46 06/28/26 UBS AG FLOAT 58,460,000 0.25

CDX 137BEOAF1 02.000 SP 05/11/2063 J P MORGAN LONG 34,954,500 0.15

CDX 137BEOAF1 02.000 SP 05/11/2063 J P MORGAN SHORT (35,000,000) (0.15)

CDX 137BEOAF1 02.000 SP 05/11/2063 DEUTSCHE SHORT (5,000,000) (0.02)

CDX 137BEOAF1 02.000 SP 05/11/2063 DEUTSCHE LONG 4,993,500 0.02

CDX 137BEOAF1 02.000 SP 05/11/2063 JP MORGAN SE SHORT (15,325,000) (0.07)

CDX 137BEOAF1 02.000 SP 05/11/2063 JP MORGAN SE LONG 15,305,078 0.07

CDX 137BEOAF1 02.000 SP 05/11/2063 CREDIT SUISS SHORT (42,877,000) (0.19)

CDX 137BEOAF1 02.000 SP 05/11/2063 CREDIT SUISS LONG 42,821,260 0.19

CDX 137BEOAF1 02.000 SP 05/11/2063 MORGAN STANL SHORT (10,325,334) (0.04)

CDX 137BEOAF1 02.000 SP 05/11/2063 MORGAN STANL LONG 10,311,911 0.04

IRS P02.85RUS3M 04/20/23 CITIGROUP GL FIXED (476,973,042) (2.07)

IRS RUS3MP02.85 04/20/23 CITIGROUP GL FLOAT 453,010,000 1.97


-196-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

CDX 137BERAF4 03.000 SP 05/11/2063 JP MORGAN LONG 74,086,294 0.32

CDX 137BERAF4 03.000 SP 05/11/2063 JP MORGAN SHORT (81,972,000) (0.36)

CDX 137BEOAF1 02.000 SP 05/11/2063 JP MORGAN LONG 9,987,000 0.04

CDX 137BEOAF1 02.000 SP 05/11/2063 JP MORGAN SHORT (10,000,000) (0.04)

CDX 137BERAF4 03.000 SP 05/11/2063 JP MORGAN SE LONG 22,595,000 0.10

CDX 137BERAF4 03.000 SP 05/11/2063 JP MORGAN SE SHORT (25,000,000) (0.11)

CDS US105756BV13 01.000 SP 06/20/2024 MSNYUS33XXX FIXED 27,462,748 0.12

CDS US105756BV13 01.000 SP 06/20/2024 MSNYUS33XXX FLOAT (27,890,000) (0.12)

CDS US195325BB02 01.000 NA 06/20/2024 CITIGROUP FIXED 27,970,292 0.12

CDS US195325BB02 01.000 NA 06/20/2024 CITIGROUP FLOAT (27,890,000) (0.12)

CDS US836205AN45 01.000 NA 06/20/2024 CITIGROUP FIXED 32,694,362 0.14

CDS US836205AN45 01.000 NA 06/20/2024 CITIGROUP FLOAT (33,890,000) (0.15)

CDS XS0114288789 01.000 NA 06/20/2024 CITIGRUP FIXED 27,907,946 0.12

CDS XS0114288789 01.000 NA 06/20/2024 CITIGRUP FLOAT (27,890,000) (0.12)

CDS US900123AL40 01.000 SP 06/20/2024 MSNYUS33XXX FIXED 52,690,634 0.23

CDS US900123AL40 01.000 SP 06/20/2024 MSNYUS33XXX FLOAT (60,941,000) (0.26)

CDX 137BEOAF1 02.000 SP 05/11/2063 GOLDMAN SACH SHORT (5,000,000) (0.02)

CDX 137BEOAF1 02.000 SP 05/11/2063 GOLDMAN SACH LONG 4,993,500 0.02

CDX 137BEOAF1 02.000 SP 05/11/2063 CITIGROUP SHORT (40,500,000) (0.18)

CDX 137BEOAF1 02.000 SP 05/11/2063 CITIGROUP LONG 40,447,350 0.18

CDX 137BEOAF1 02.000 SP 05/11/2063 J P MORGAN S LONG 14,980,500 0.07

CDX 137BEOAF1 02.000 SP 05/11/2063 J P MORGAN S SHORT (15,000,000) (0.07)

CDS US465410AH18 01.000 SP 06/20/2024 CITIGROUP GL FLOAT (103,000,000) (0.45)

CDS US465410AH18 01.000 SP 06/20/2024 CITIGROUP GL FIXED 100,081,290 0.42

CDX NA A 6 02.000 NA 05/11/2063 CITIGROUP FIXED 4,993,500 0.02

CDX NA A 6 02.000 NA 05/11/2063 CITIGROUP FLOAT (5,000,000) (0.02)

CDX NA A 6 02.000 NA 05/11/2063 GOLDMAN FIXED 4,993,500 0.02

CDX NA A 6 02.000 NA 05/11/2063 GOLDMAN FLOAT (5,000,000) (0.02)

CDX 137BERAF4 03.000 SP 05/11/2063 CITIGROUP LONG 87,668,600 0.38

CDX 137BERAF4 03.000 SP 05/11/2063 CITIGROUP SHORT (97,000,000) (0.42)

CDX 137BERAF4 03.000 SP 05/11/2063 J.P. MORG SHORT (5,000,000) (0.02)

CDX 137BERAF4 03.000 SP 05/11/2063 J.P. MORG LONG 4,519,000 0.02

CDS US465410AH18 01.000 SP 06/20/2024 SBSIUS33XXX FIXED 82,105,523 0.36

CDS US465410AH18 01.000 SP 06/20/2024 SBSIUS33XXX FLOAT (84,500,000) (0.37)

CDX 137BEOAF1 02.000 SP 05/11/2063 GOLDMAN SAC LONG 2,496,750 0.01

CDX 137BEOAF1 02.000 SP 05/11/2063 GOLDMAN SAC SHORT (2,500,000) (0.01)

CDS US465410AH18 01.000 BP 06/20/2024 SBSIUS33XXX FIXED (182,186,814) (0.79)

CDS US465410AH18 01.000 BP 06/20/2024 SBSIUS33XXX FLOAT 187,500,000 0.81

CDX 137BEMAE8 05.000 SP 05/11/2063 GOLDMAN SHORT (3,269,000) (0.01)

CDX 137BEMAE8 05.000 SP 05/11/2063 GOLDMAN LONG 2,679,599 0.01

CDX 137BEMAE8 05.000 SP 05/11/2063 CITIGROUP LONG 15,889,885 0.07

CDX 137BEMAE8 05.000 SP 05/11/2063 CITIGROUP SHORT (19,385,000) (0.08)


-197-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

CDX 137BEMAE8 05.000 SP 05/11/2063 JP MORGAN LONG 13,518,492 0.06

CDX 137BEMAE8 05.000 SP 05/11/2063 JP MORGAN SHORT (16,492,000) (0.07)

CDX 137BEMAE8 05.000 SP 05/11/2063 J.P. MORGAN LONG 22,816,349 0.10

CDX 137BEMAE8 05.000 SP 05/11/2063 J.P. MORGAN SHORT (27,835,000) (0.12)

CDX 2I65BRRZ5 05.000 SP 06/20/2024 SBSIUS33XXX FIXED 1,860,496,677 8.09

CDX 2I65BRRZ5 05.000 SP 06/20/2024 SBSIUS33XXX FLOAT (1,743,736,500) (7.58)

CDS US900123AL40 01.000 BP 06/20/2024 MSNYUS33XXX FIXED (4,437,215) (0.02)

CDS US900123AL40 01.000 BP 06/20/2024 MSNYUS33XXX FLOAT 5,132,000 0.02

CDX 137BERAF4 03.000 SP 05/11/2063 CITGROUP SHORT (75,000,000) (0.33)

CDX 137BERAF4 03.000 SP 05/11/2063 CITGROUP LONG 67,785,000 0.29

(65,490,449) (0.28)

Other Net Liabilities (3,793,675,677) (16.49)



-198-

AB (HK) American Income PortfolioStatement of movements in investment portfolio (Unaudited)For the year ended 31 August 2019


2018


2019

Unlisted Investment


AB FCP I - American Income Portfolio 667,071 2,494,273 176,844 2,984,500


2018

Fair valuechange


2019USD USD USD

Derivatives


Buy RMB / Sell USD 477,890 (3,412,518) (2,934,628)

Buy USD / Sell RMB (960) (1,915) (2,875)


-199-



net assetvalue

Dealingnet asset

valueper unit

RMB RMB


- Class AA 403,290 691.75

- Class A2 403,304 806.61

- Class AA RMB H 2,066,605,751 95.96

- Class A2 RMB H 11,229,476 130.93


- Class AA 349,833 640.72

- Class A2 349,841 699.68

- Class AA RMB H 427,714,905 92.90

- Class A2 RMB H 2,416,779 118.30


- Class AA 341,195 665.10

- Class A2 341,194 682.39

- Class AA RMB H 486,379,543 99.93

- Class A2 RMB H 1,806,577 117.46


-200-


AssetValue Per

Unit

Lowest NetAsset

Value PerUnit

USD USD


- Class AA 97.03 91.00

- Class A2 112.70 100.81

RMB RMB

- Class AA RMB H 96.49 90.36

- Class A2 RMB H 130.93 116.81

USD USD


- Class AA 100.95 93.70

- Class A2 103.59 101.15

RMB RMB

- Class AA RMB H 100.11 92.94

- Class A2 RMB H 118.43 116.13

USD USD


- Class AA 101.71 99.53

- Class A2 103.41 99.53

RMB RMB

- Class AA RMB H 102.28 97.90

- Class A2 RMB H 117.46 107.38

RMB RMB


- Class AA RMB H 102.84 95.53

- Class A2 RMB H 110.34 98.00


-201-

AB (HK) European Income PortfolioInvestment Portfolio (Unaudited)As at 31 August 2019


Holding at31 August

2019


2019


assets at31 August

2019

Unlisted Investment EUR (%)


AB FCP I - European Income Portfolio Luxembourg 152,539 14,831,381 100.97


Derivative






-202-

Investment portfolio of AB FCP I - European Income Portfolio (Unaudited)As at 31 August 2019

Holding at31 August

2019


2019EUR


assets at31 August

2019(%)

Equity securities

K201640219 SOUTH AFRICA A SHARES 18,654,746 17 -

SNS REAAL TECH CODE 089997496 6.25800 UNDATED 770,000 1 -

18 -

Debt securities

ABN AMRO BANK NV /EUR/ REGD REG S EMTN 15,473,000 18,553,520 0.46

ABN AMRO BANK NV /EUR/ REGD V/R /PERP/ REG S 20,000,000 20,885,841 0.52

ACCOR SA /EUR/ REGD V/R /PERP/ REG S 13,300,000 14,552,514 0.36

ALLIED IRISH BANKS PLC /EUR/ REGD V/R /PERP/ REG S EMTN 8,180,000 8,711,700 0.22

ALTICE FINCO SA /EUR/ REGD REG S 11,720,000 12,175,674 0.30

ALTICE LUXEMBOURG SA /EUR/ REGD REG S 11,500,000 12,351,426 0.31

ARD FINANCE SA /EUR/ REGD 9,781,000 10,150,458 0.25

ARDAGH PKG FIN/HLDGS USA /EUR/ REGD REG S 37,929,000 39,562,039 0.99

ASSICURAZIONI GENERALI /EUR/ REGD V/R REG S EMTN 28,904,000 35,656,072 0.89

ASSICURAZIONI GENERALI /GBP/ REGD V/R /PERP/ REG S 3,400,000 4,028,483 0.10

AT&T INC 7% 04/30/40 /GBP/ 2,900,000 5,096,206 0.13

AVIS BUDGET FINANCE PLC /EUR/ REGD REG S 17,968,000 19,184,358 0.48

AVIVA PLC /EUR/ REGD V/R REG S EMTN 17,124,000 19,830,347 0.49

AXALTA COATING SYSTEMS /EUR/ REGD REG S 7,500,000 7,766,250 0.19

BALL CORP /EUR/ REGD 1,000,000 1,170,560 0.03

BANCO BILBAO VIZCAYA ARG /EUR/ REGD V/R /PERP/ REG S 14,000,000 14,509,446 0.36

BANCO SABADELL SA /EUR/ REGD EMTN 750,000 779,114 0.02

BANCO SANTANDER SA /EUR/ REGD V/R /PERP/ REG S 7,800,000 7,948,075 0.20

BANCO SANTANDER SA /EUR/ REGD V/R /PERP/ REG S SER . 6,000,000 6,518,862 0.16

BARCLAYS BANK PLC /GBP/ REGD REG S EMTN 12,121,000 15,262,629 0.38

BELDEN INC /EUR/ REGD REG S 19,059,000 19,794,129 0.49

BNP PARIBAS /EUR/ REGD V/R /PERP/ REG S 13,735,000 15,251,014 0.38

BONOS Y OBLIG DEL ESTADO /EUR/ REGD 168,562,000 273,445,036 6.81

BUNDESREPUB. DEUTSCHLAND /EUR/ REGD REG S SER 97 562,716,146 898,122,542 22.37

BUONI POLIENNALI DEL TES /EUR/ REGD 161,744,901 231,955,494 5.78

BUONI POLIENNALI DEL TES /EUR/ REGD REG S 21,613,000 33,420,809 0.83

CAIXABANK SA /EUR/ REGD V/R /PERP/ REG S SER ... 17,000,000 18,356,481 0.46

CAIXABANK SA /EUR/ REGD V/R REG S EMTN 10,000,000 10,640,230 0.26

CREDIT AGRICOLE SA /EUR/ REGD V/R /PERP/ REG S 350,000 378,055 0.01

CREDIT AGRICOLE SA /GBP/ REGD V/R /PERP/ REG S 1,100,000 1,229,499 0.03

CREDIT AGRICOLE V/R 12/31/49 4,350,000 4,918,285 0.12

DUFRY FINANCE SCA /EUR/ REGD REG S 10,600,000 10,875,240 0.27

EDP FINANCE BV /GBP/ REGD REG S EMTN 14,150,000 20,316,078 0.51

ENEL SPA /EUR/ REGD V/R REG S 11,430,000 12,619,480 0.31


-203-

Holding at31 August

2019


2019EUR


assets at31 August

2019(%)

ENEL SPA /GBP/ REGD V/R REG S 173,000 209,477 0.01FIAT CHRYSLER FINANCE EU /EUR/ REGD REG S EMTN SERGMTN 8,705,000 9,847,079 0.25

FRANCE OAT 8.5% 4/25/23 /EUR/ 104,101,000 140,293,066 3.49

FRIENDS LIFE HOLDINGS PL /GBP/ REGD EMTN 3,100,000 4,044,776 0.10

GOLDMAN SACHS GROUP INC /GBP/ REGD 11,430,000 16,442,066 0.41

HELLAS TELECOM III /EUR/ REGD REG S 640,692 - -

HSBC HOLDINGS PLC /EUR/ REGD V/R /PERP/ REG S 5,281,000 5,975,182 0.15

HSBC HOLDINGS PLC /EUR/ REGD V/R /PERP/ REG S EMTN 11,051,000 11,477,436 0.29

HSBC HOLDINGS PLC /GBP/ REGD REG S 7,050,000 10,268,136 0.26

IMPERIAL BRANDS FIN PLC /GBP/ REGD REG S EMTN 3,145,000 4,121,670 0.10

INEOS FINANCE PLC /EUR/ REGD REG S 3,040,000 3,087,363 0.08

INEOS GROUP HOLDINGS SA /EUR/ REGD REG S 6,530,000 6,718,926 0.17

INTERNATIONAL GAME TECH /EUR/ REGD REG S 25,084,000 27,686,566 0.69

INTESA SANPAOLO SPA /EUR/ REGD REG S EMTN 6,130,000 7,420,095 0.18

INTESA SANPAOLO VITA SPA /EUR/ REGD V/R /PERP/ REG S 1,700,000 1,827,325 0.05

IRON MOUNTAIN INC /EUR/ REGD REG S 7,910,000 8,147,363 0.20

LECTA SA /EUR/ REGD REG S 12,503,000 3,965,514 0.10

LHC THREE PLC /EUR/ REGD REG S 18,303,744 18,978,987 0.47

LKQ ITALIA BONDCO SPA /EUR/ REGD REG S 9,920,000 11,132,680 0.28

LLOYDS BANK PLC /GBP/ REGD V/R /PERP/ EMTN 7,150,000 13,699,658 0.34

LLOYDS BANKING GROUP PLC /EUR/ REGD V/R /PERP/ REG S 5,315,000 5,398,589 0.13

LOXAM SAS /EUR/ REGD REG S 12,111,000 12,749,710 0.32

NETHERLANDS GOVERNMENT /EUR/ REGD 18,000,000 23,202,072 0.58

NORTHERN POWERGRID /GBP/ REGD 167,768 191,304 -

PREMIER FOODS FINANCE /GBP/ REGD REG S 4,794,000 5,465,298 0.14

RABOBANK 6.875% 03/19/20 /EUR 5,850,000 6,059,512 0.15

RABOBANK CAP FD TR IV /GBP/ REGD V/R /PERP/ REG S 6,380,000 7,145,986 0.18

REXEL SA /EUR/ REGD REG S 13,301,000 13,969,016 0.35

SEALED AIR CORP /EUR/ REGD REG S EMTN 12,020,000 13,763,633 0.34

SOCIETE GENERALE /EUR/ REGD V/R /PERP/ REG S 15,350,000 16,013,425 0.40

STOREBRAND LIVSFORSIKRIN /EUR/ REGD V/R 4,370,000 5,142,280 0.13

SYNLAB UNSECURED BONDCO /EUR/ REGD REG S 11,431,000 11,919,675 0.30

TELECOM ITALIA SPA /EUR/ REGD REG S EMTN 11,021,000 11,890,389 0.30

TELEFONICA EUROPE BV /EUR/ REGD V/R /PERP/ REG S 18,400,000 20,691,303 0.52

TIME WARNER CABLE LLC /GBP/ REGD 10,160,000 13,473,344 0.34

TRAVIS PERKINS PLC /GBP/ REGD REG S 15,244,000 17,590,146 0.44

TRYG FORSIKRING /NOK/ REGD V/R 61,000,000 6,250,165 0.16

UK TSY 6% 2028 /GBP/ REGD REG S 5,130,000 8,593,233 0.21

UNICREDIT SPA /EUR/ REGD REG S EMTN 34,379,000 40,817,058 1.02

UNITYMEDIA HESSEN / NRW /EUR/ REGD REG S 23,141,700 25,647,868 0.64

VIRGIN MEDIA FINANCE PLC /EUR/ REGD REG S EMTN 10,100,000 10,437,017 0.26


-204-

Holding at31 August

2019


2019EUR


assets at31 August

2019(%)

VIRGIN MEDIA FINANCE PLC /GBP/ REGD SER . 400,000 442,300 0.01

VOLVO TREASURY AB /EUR/ REGD V/R REG S 2,740,000 3,097,913 0.08

WEPA HYGIENEPRODUKTE GMB /EUR/ REGD REG S 7,800,000 7,986,443 0.20

ERSTE GROUP BANK AG /EUR/ REGD V/R /PERP/ REG S 11,000,000 12,581,250 0.31

BAWAG GROUP AG /EUR/ REGD V/R /PERP/ REG S 9,000,000 9,119,988 0.23

BAUSCH HEALTH COS INC /EUR/ REGD 144A P/P 7,126,000 7,227,218 0.18

UPCB FINANCE IV LTD /EUR/ REGD REG S 3,825,000 4,035,375 0.10

DKT FINANCE APS /EUR/ REGD REG S 9,250,000 9,974,590 0.25

BANQUE FED CRED MUTUEL /EUR/ REGD REG S EMTN 5,600,000 6,409,469 0.16

PAPREC HOLDING SA /EUR/ REGD REG S 9,764,000 9,710,552 0.24

CMA CGM SA /EUR/ REGD REG S 5,900,000 4,541,808 0.11

VALLOUREC SA /EUR/ REGD REG S 8,236,000 7,177,681 0.18

ALTICE FRANCE SA /EUR/ REGD REG S 13,685,600 14,782,376 0.37

CROWN EURO HOLDINGS SA /EUR/ REGD REG S 15,630,000 17,472,558 0.44

CONSTANTIN INVESTISSEME /EUR/ REGD REG S 8,729,000 9,010,117 0.22

NEXANS SA /EUR/ REGD REG S 7,500,000 8,353,853 0.21

IHO VERWALTUNGS GMBH /EUR/ REGD REG S 20,491,305 20,922,508 0.52

KME AG /EUR/ REGD REG S 2,182,000 2,090,814 0.05

PROGROUP AG /EUR/ REGD REG S 13,219,000 13,504,729 0.34

VIRGIN MEDIA RECEIVABLE /GBP/ REGD REG S 4,000,000 4,549,854 0.11

GOVERNOR & CO OF THE BAN /EUR/ REGD REG S EMTN 6,205,000 7,921,495 0.20

SMURFIT KAPPA ACQUISITIO /EUR/ REGD REG S 15,818,000 17,460,509 0.43

PIAGGIO & C SPA /EUR/ REGD REG S 500,000 530,184 0.01

UNICREDIT SPA /EUR/ REGD V/R /PERP/ REG S 7,600,000 8,326,530 0.21

EDREAMS ODIGEO SA /EUR/ REGD REG S 16,096,000 16,997,231 0.42

INTRALOT CAPITAL LUX /EUR/ REGD REG S 1,627,000 829,474 0.02

SAMSONITE FINCO SARL /EUR/ REGD REG S EMTN 1,319,000 1,355,378 0.03

SELECTA GROUP BV /EUR/ REGD REG S 9,882,000 10,301,985 0.26

AXALTA COATIN /EUR/ REGD REG S 7,949,000 8,268,597 0.21

DARLING GLOBAL FINANCE /EUR/ REGD REG S 6,596,000 7,001,654 0.17

SUNSHINE MID BV /EUR/ REGD REG S 9,969,000 10,621,690 0.26

OCI NV /EUR/ REGD REG S 11,300,000 11,846,547 0.30TELEFONICA EUROPE BV /EUR/ REGD V/R /PERP/ REG S SERNC5 2,300,000 2,385,383 0.06

INTERXION HOLDING NV /EUR/ REGD REG S 18,226,000 19,860,435 0.49

HERTZ HOLDGS NETHERLANDS /EUR/ REGD REG S 8,032,000 8,457,455 0.21

ASR NEDERLAND NV /EUR/ REGD V/R /PERP/ REG S SER . 3,062,000 3,215,893 0.08

BANCO DE CREDITO SOCIAL /EUR/ REGD V/R REG S EMTN 1,100,000 1,071,930 0.03

GRIFOLS SA /EUR/ REGD REG S 4,400,000 4,546,322 0.11

VERISURE MIDHOLDING AB /EUR/ REGD REG S 6,850,000 7,094,860 0.18

INTRUM AB /EUR/ REGD REG S 13,893,000 14,287,768 0.36

UNILABS SUBHOLDING AB /EUR/ REGD REG S 9,803,000 10,208,491 0.25


-205-

Holding at31 August

2019


2019EUR


assets at31 August

2019(%)

UBS GROUP FUNDING SWITZE /EUR/ REGD V/R /PERP/ REG S 18,745,000 20,527,949 0.51

IRON MOUNTAIN UK PLC /GBP/ REGD REG S EMTN 12,200,000 13,505,340 0.34

ALGECO GLOBAL FINANCE /EUR/ REGD REG S 16,520,000 17,138,740 0.43

LLOYDS BANKING GROUP PLC /EUR/ REGD V/R REG S EMTN 13,185,000 13,138,853 0.33

EQUINIX INC /EUR/ REGD 3,355,000 3,493,162 0.09

KRONOS INTERNATIONAL INC /EUR/ REGD REG S 12,233,000 11,957,758 0.30

SILGAN HOLDINGS INC /EUR/ REGD SER WI 5,915,000 6,105,386 0.15

PVH CORP /EUR/ REGD REG S 6,165,000 6,937,401 0.17

KRATON POLYMERS LLC/CAP /EUR/ REGD REG S 13,605,000 14,022,102 0.35

SCIENTIFIC GAMES INTERNA /EUR/ REGD REG S 6,000,000 6,123,390 0.15

ERSTE GROUP BANK AG /EUR/ REGD V/R /PERP/ REG S EMTN 7,600,000 8,094,015 0.20

ANHEUSER-BUSCH INBEV SA/ /GBP/ REGD REG S EMTN 11,922,000 18,509,601 0.46

KBC GROUP NV /EUR/ REGD V/R /PERP/ REG S 23,800,000 23,772,998 0.59

SOLVAY SA /EUR/ REGD V/R /PERP/ REG S 5,700,000 6,308,492 0.16

BAUSCH HEALTH COS INC /EUR/ REGD REG S 5,000,000 5,071,020 0.12

UPCB FINANCE VII LTD /EUR/ REGD REG S 8,300,000 8,879,091 0.22

ORSTED A/S /EUR/ REGD V/R REG S SER EXCH 5,330,000 6,384,828 0.16NORDEA BANK ABP /EUR/ REGD V/R /PERP/ REG S EMTN SERGMTN 4,000,000 3,905,868 0.10

FRANCE TELECOM /GBP/ REGD EMTN 9,997,000 17,130,764 0.43

FRANCE OAT 6% 10/25/25 /EUR/ 44,201,000 62,762,149 1.56

FRANCE OAT 4% 4/25/55 /EUR/ 10,500,000 22,536,591 0.56

ORANO SA /EUR/ REGD EMTN 2,000,000 2,353,268 0.06ELECTRICITE DE FRANCE SA /EUR/ REGD V/R /PERP/ REG SEMTN 8,000,000 9,277,912 0.23

CREDIT AGRICOLE ASSRNCES /EUR/ REGD V/R REG S 5,100,000 6,187,881 0.15

EUROPCAR MOBILITY /EUR/ REGD REG S 8,472,000 8,904,385 0.22

CAISSE NAT REASSURANCE /EUR/ REGD 9,600,000 12,324,010 0.31

ELIS SA /EUR/ REGD REG S EMTN 4,400,000 4,901,886 0.12

ENGIE SA /EUR/ REGD V/R /PERP/ REG S 7,100,000 7,875,363 0.20

SPIE SA /EUR/ REGD REG S 14,700,000 15,632,039 0.39

FAURECIA /EUR/ REGD REG S 12,756,000 13,552,000 0.34

ORANO SA /EUR/ REGD REG S EMTN 10,300,000 11,241,358 0.28

EUROPCAR MOBILITY GROUP S A /EUR/ REGD REG S 11,562,000 12,008,802 0.30

LOXAM SAS /EUR/ REGD 20,030,000 20,927,524 0.52

SOLVAY FINANCE /EUR/ REGD V/R /PERP/ REG S SER . 8,000,000 9,510,128 0.24

SCOR SE /EUR/ REGD V/R REG S 6,200,000 7,039,052 0.17

GETLINK SE /EUR/ REGD REG S 15,160,000 15,775,693 0.39

CNP ASSURANCES /EUR/ REGD V/R REG S 5,300,000 6,366,514 0.16

PARTS EUROPE SA /EUR/ REGD REG S 6,900,000 6,920,534 0.17

MUNICH RE /EUR/ REGD V/R REG S 6,100,000 7,389,997 0.18

ADLER REAL ESTATE AG /EUR/ REGD REG S 5,600,000 6,030,657 0.15

NIDDA BONDCO GMBH /EUR/ REGD REG S 9,570,000 9,982,188 0.25


-206-

Holding at31 August

2019


2019EUR


assets at31 August

2019(%)

LANXESS A /EUR/ REGD V/R REG S 6,207,000 6,844,353 0.17

ALLIANZ S /EUR/ REGD V/R REG S 3,000,000 3,510,639 0.09

CERAMTEC BONDCO GMBH /EUR/ REGD REG S 2,720,000 2,808,376 0.07

TECHEM VERWALTUNGSGES /EUR/ REGD REG S 3,393,000 3,683,997 0.09

SGL CARBON SE /EUR/ REGD REG S 8,205,000 7,926,112 0.20

THYSSENKRUPP AG /EUR/ REGD REG S EMTN 5,654,000 5,853,564 0.14

VIRGIN MEDIA RECEIVABLE /GBP/ REGD 6,486,000 7,407,203 0.18

JAMES HARDIE INTL FIN /EUR/ REGD REG S 6,384,000 6,818,297 0.17

EIRCOM FINANCE DAC /EUR/ REGD REG S 14,126,000 15,092,374 0.38

PLAYTECH PLC /EUR/ REGD REG S 13,192,000 14,031,163 0.35

UNIPOLSAI ASSICURAZIONI /EUR/ REGD REG S EMTN 7,200,000 7,185,967 0.18

SOC CATTOLICA ASSICURAZI /EUR/ REGD V/R REG S 100,000 102,199 -

TIM S.P.A. /EUR/ REGD REG S EMTN 5,881,000 6,520,412 0.16

TAKEDA PHARMACEUTICAL /EUR/ REGD REG S 6,900,000 8,369,942 0.21

HSBC BNK CAO FND STER 2 /GBP/ REGD V/R /PERP/ 1,325,000 1,499,366 0.04

GLENCORE FINANCE EUROPE /GBP/ REGD REG S EMTN 7,230,000 8,193,188 0.20

ADIENT GLOBAL HOLDINGS /EUR/ REGD REG S 4,720,000 3,858,600 0.10

CIRSA FINANCE INTER /EUR/ REGD REG S 11,280,000 12,138,464 0.30

ALLERGAN FUNDING SCS /EUR/ REGD 7,200,000 8,260,704 0.21

LINCOLN FINANCING SARL /EUR/ REGD REG S 16,212,000 16,814,681 0.42

TELENET FINANCE VI /EUR/ REGD REG S 5,740,000 6,299,650 0.16

DEUTSCHE TELEKOM INT FIN /GBP/ REGD EMTN 7,184,000 12,710,687 0.32

UNITED GROUP BV /EUR/ REGD REG S 15,440,000 16,146,824 0.40

DUFRY ONE BV /EUR/ REGD REG S 2,000,000 2,071,496 0.05

LKQ EURO HOLDINGS BV /EUR/ REGD REG S 4,310,000 4,612,575 0.11

ENERGIZER GAMMA ACQ BV /EUR/ REGD REG S 4,855,000 5,096,745 0.13

INTERTRUST GROUP BV /EUR/ REGD REG S 12,380,000 13,169,200 0.33

ASR NEDERLAND NV /EUR/ REGD V/R REG S 13,599,000 14,889,831 0.37

SUMMER BIDCO BV /EUR/ REGD REG S 6,490,000 6,930,548 0.17

TRIVIUM PACKAGING FIN /EUR/ REGD REG S 18,384,000 19,637,826 0.49

ZIGGO BOND CO BV /EUR/ REGD REG S 23,720,000 24,565,381 0.61

NATURGY FINANCE BV /EUR/ REGD V/R /PERP/ REG S 6,100,000 6,511,360 0.16

KONGSBERG ACT SYS /EUR/ REGD REG S 2,500,000 2,500,000 0.06

CONSTELLIUM S /EUR/ REGD REG S 3,150,000 3,299,373 0.08

ENERGIAS DE PORTUGAL SA /EUR/ REGD V/R REG S 12,000,000 13,385,004 0.33

GESTAMP AUTOMOCION SA /EUR/ REGD REG S EMTN 4,973,000 4,951,551 0.12

BANKIA SA /EUR/ REGD V/R /PERP/ REG S 2,800,000 2,839,365 0.07BANCO BILBAO VIZCAYA ARG /EUR/ REGD V/R /PERP/ REG S SER. 1,200,000 1,250,878 0.03

BANKIA SA /EUR/ REGD V/R REG S EMTN 17,600,000 18,991,526 0.47

BANCO DE SABADELL SA /EUR/ REGD EMTN 7,100,000 8,200,259 0.20

STARFRUIT FINCO/STAR US /EUR/ REGD REG S 12,233,000 12,337,347 0.31


-207-

Holding at31 August

2019


2019EUR


assets at31 August

2019(%)

GARRET LX I / BORROWING /EUR/ REGD REG S 16,595,000 15,932,860 0.40

PANTHER BF AGGREGATOR 2 /EUR/ REGD REG S 22,694,000 23,155,741 0.58

DOMETIC GROUP AB /EUR/ REGD REG S EMTN 11,110,000 11,888,075 0.29

INTRUM AB /EUR/ REGD REG S EMTN 12,410,000 13,002,031 0.32

UK TSY 4 3/4% 2038 /GBP/ REGD REG S 13,250,000 24,794,080 0.62

SKY LTD /GBP/ REGD EMTN 7,850,000 11,570,181 0.29

ARQIVA BROADC FINANCE PL /GBP/ REGD REG S 3,414,000 4,032,148 0.10

HEATHROW FINANCE PLC /GBP/ REGD REG S 11,614,000 13,905,539 0.35

VIRGIN MEDIA SECURED FIN /GBP/ REGD REG S 9,050,000 10,522,712 0.26

TESCO PLC /EUR/ REGD REG S EMTN 5,915,000 8,729,463 0.22

EG GLOBAL FINANCE PLC /EUR/ REGD REG S 8,839,000 8,588,945 0.21

FIDELITY NATL INFO SERV /GBP/ REGD 6,800,000 8,427,204 0.21

AT&T INC /GBP/ REGD REG S 3,750,000 5,190,216 0.13

DIGITAL STOUT HOLDING LL /GBP/ REGD REG S 6,061,000 7,570,719 0.19

FISERV INC /GBP/ REGD 7,000,000 8,347,798 0.21

FORD MOTOR CREDIT CO LLC /GBP/ REGD EMTN 13,380,000 15,880,448 0.39

AT&T INC /GBP/ REGD 3,200,000 4,220,204 0.10

ALTRIA GROUP INC /EUR/ REGD 7,400,000 8,734,213 0.22

AT&T INC /EUR/ REGD 5,500,000 7,113,695 0.18

TENNECO INC /EUR/ REGD REG S 13,845,000 14,040,835 0.35

MAUSER PACKAGING SOLUT /EUR/ REGD REG S 14,975,000 15,494,842 0.39

CHEMOURS CO /EUR/ REGD 8,375,000 7,808,783 0.19

SPECTRUM BRANDS INC /EUR/ REGD REG S 5,089,000 5,422,533 0.13

IQVIA INC /EUR/ REGD REG S 22,477,000 23,191,170 0.58

REFINITIV US HOLDINGS /EUR/ REGD REG S 7,750,000 8,408,750 0.21

UGI INTERNATIONAL LLC /EUR/ REGD REG S 7,342,000 7,752,498 0.19

FORD MOTOR CREDIT CO LLC /EUR/ REGD EMTN 3,632,000 3,899,072 0.10

LIBERTY MUTUAL GROUP INC /EUR/ REGD V/R REG S 15,768,000 16,619,945 0.41

LEVI STRAUSS & CO /EUR/ REGD 1,909,000 2,061,859 0.05

COLFAX CORP /EUR/ REGD REG S 1,000,000 1,030,812 0.03

3,908,512,628 97.34

Derivatives

Forwards

GBP/EUR FWD 20191018 000000010 EUR (6,871,258) (0.17)

GBP/EUR FWD 20191018 000011091 EUR (296,078,616) (7.37)

GBP/EUR FWD 20191018 000000642 EUR (3,956,333) (0.10)

GBP/EUR FWD 20191018 000004334 EUR (30,100,278) (0.75)

GBP/EUR FWD 20191018 000006038 EUR (16,405,731) (0.41)

EUR/NOK FWD 20190920 000000908 EUR 5,630,607 0.14

EUR/GBP FWD 20191018 000000010 EUR 6,860,974 0.17


-208-

Holding at31 August

2019


2019EUR


assets at31 August

2019(%)

EUR/GBP FWD 20191018 000011091 EUR 295,547,746 7.36

EUR/GBP FWD 20191018 000000642 EUR 3,957,256 0.10

EUR/GBP FWD 20191018 000004334 EUR 30,009,818 0.75

EUR/GBP FWD 20191018 000006038 EUR 16,320,455 0.41

NOK/EUR FWD 20190920 000000908 EUR (5,467,607) (0.14)

(552,967) (0.01)

Future

FUTURE CONTRACT ON EURO-BOBL FUTURE SEP19 /EUR/ 22,205,490 0.55

FUTURE CONTRACT ON EURO-OAT FUTURE SEP19 /EUR/ 30,501,600 0.76

FUTURE CONTRACT ON EURO BUXL 30Y BND SEP19 /EUR/ 139,738,900 3.48

FUTURE CONTRACT ON EURO-BTP FUTURE SEP19 /EUR/ 161,730,030 4.03

FUTURE CONTRACT ON EURO-SCHATZ FUT SEP19 /EUR/ (53,592,840) (1.33)

FUTURE CONTRACT ON EURO-BUND FUTURE SEP19 /EUR/ (428,049,000) (10.66)

FUTURE CONTRACT ON LONG GILT FUTURE DEC19 /GBP/ (86,969,891) (2.17)

(214,435,711) (5.34)




-209-

AB (HK) European Income PortfolioStatement of movements in investment portfolio (Unaudited)For the year ended 31 August 2019


2018


2019

Unlisted Investment


AB FCP I - European Income Portfolio 118,751 95,302 61,514 152,539


2018

Fair valuechange


2019EUR EUR EUR

Derivatives


Buy RMB / Sell EUR 6,719 (60,048) (53,329)

Buy EUR / Sell RMB (387) (5,945) (6,332)


-210-



net assetvalue

Dealingnet asset

valueper unit

RMB RMB


- Class AA RMB H 115,321,153 94.55

- Class A2 RMB H 435,965 134.18


- Class AA RMB H 88,022,625 93.36

- Class A2 RMB H 905,605 122.02


- Class AA RMB H 36,890,441 98.50

- Class A2 RMB H 381,691 117.44


AssetValue Per

Unit

Lowest NetAsset

Value PerUnit

RMB RMB


- Class AA RMB H 95.17 89.76

- Class A2 RMB H 134.18 120.39


- Class AA RMB H 99.42 93.39

- Class A2 RMB H 122.21 117.47


- Class AA RMB H 101.63 97.64

- Class A2 RMB H 117.71 111.37


- Class AA RMB H 101.88 96.69

- Class A2 RMB H 109.91 99.85


-211-

AB (HK) Emerging Markets Multi-Asset PortfolioInvestment Portfolio (Unaudited)As at 31 August 2019


Holding at31 August

2019


2019


assets at31 August

2019



AB SICAV I - Emerging MarketsMulti-Asset Portfolio Luxembourg 32,895 3,193,433 101.92


Derivative






-212-

Investment portfolio of AB SICAV I - Emerging Markets Multi-Asset Portfolio (Unaudited)As at 31 August 2019

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

Equity securities

AGRICULTURAL BANK OF CHINA-H /HKD/ 15,849,000 6,093,175 0.35

ALDAR PROPERTIES PJSC /AED/ 19,129,020 11,677,824 0.68

ALIBABA GROUP HOLDING-SP ADR 149,747 26,210,217 1.52

ANHUI CONCH CEMENT CO LTD-H /HKD/ 1,166,211 6,546,310 0.38

ASUSTEK COMPUTER INC /TWD/ 784,000 5,087,533 0.30

BANK OF CHINA LTD-H /HKD/ 18,289,000 6,993,205 0.41

BANK OF COMMUNICATIONS CO-H /HKD/ 9,430,000 6,159,247 0.36

CHINA COMMUNICATIONS SERVI-H /HKD/ 4,152,000 2,319,081 0.13

CHINA CONSTRUCTION BANK-H /HKD/ 17,204,000 12,784,544 0.74

CHINA DEVELOPMENT FINANCIAL /TWD/ 4,091,000 1,183,295 0.07

CHINA EVERBRIGHT BANK CO L-H /HKD/ 2,698,000 1,123,601 0.07

CHINA EVERBRIGHT LTD /HKD/ 9,888,000 11,261,965 0.65

CHINA PETROLEUM & CHEMICAL-H /HKD/ 8,116,000 4,734,350 0.27

CHINA YUCHAI INTL LTD 369,250 4,785,480 0.28

CHONGQING RURAL COMMERCIAL-H /HKD/ 4,279,000 2,064,711 0.12

FORMOSA CHEMICALS & FIBRE /TWD/ 2,334,000 6,542,941 0.38

FUBON FINANCIAL HOLDING CO /TWD/ 6,170,000 8,570,334 0.50

HANA FINANCIAL GROUP /KRW/ 808,260 21,711,090 1.26

HDFC BANK LTD-ADR 170,340 18,362,652 1.07

HON HAI PRECISION INDUSTRY /TWD/ 1,565,000 3,694,260 0.22

INDUSTRIAL BANK OF KOREA /KRW/ 616,460 6,315,272 0.37

ITAUSA-INVESTIMENTOS ITAU-PR /BRL/ 1 3 -

ITC LTD /INR/ 785,701 2,703,982 0.16

JIANGSU EXPRESS CO LTD-H /HKD/ 854,000 1,130,967 0.07

KB FINANCIAL GROUP INC /KRW/ 284,560 9,297,447 0.54

KIA MOTORS CORP /KRW/ 116,922 4,220,416 0.25

KT CORP /KRW/ 110 2,454 -

KT CORP-SP ADR 627,930 7,051,654 0.41

KT&G CORP /KRW/ 15,010 1,263,993 0.07

LUKOIL PJSC-SPON ADR 443,668 35,883,868 2.08

MERITZ SECURITIES CO LTD /KRW/ 263,660 1,036,260 0.06

MITSUBISHI GAS CHEMICAL CO /JPY/ 126,100 1,514,094 0.09

NH INVESTMENT & SECURITIES C /KRW/ 124,690 1,268,389 0.07

NOVATEK MICROELECTRONICS COR /TWD/ 2,983,000 17,668,821 1.03

NWS HOLDINGS LTD /HKD/ 7,969,655 13,700,293 0.80

POSCO /KRW/ 17,890 3,120,112 0.18

POWER FINANCE CORPORATION /INR/ 765,702 1,130,105 0.07

POWSZECHNY ZAKLAD UBEZPIECZE /PLN/ 111,690 1,048,115 0.06

REALTEK SEMICONDUCTOR CORP /TWD/ 1,700,000 11,626,703 0.68


-213-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

RICHTER GEDEON NYRT /HUF/ 147,800 2,464,215 0.14

SAMSUNG CARD CO /KRW/ 146,979 4,027,302 0.23

SAMSUNG ELECTRONICS CO LTD /KRW/ 1,185,166 43,150,685 2.51

SAMSUNG ELECTRONICS PRF /KRW/ 606,410 18,475,825 1.07

SHINHAN FINANCIAL GROUP LTD /KRW/ 26,795 901,927 0.05

SINOTRUK HONG KONG LTD /HKD/ 7,477,500 11,505,232 0.67SURGUTNEFTEGAZ SPONSORED ADR 1 ADR REPRESENTS 10ORDINARY SHARES 1,336,314 5,506,816 0.32

TAIWAN SEMICONDUCTOR MANUFAC /TWD/ 817,000 6,712,987 0.39

TATNEFT PAO-SPONSORED ADR 37,463 2,490,540 0.14

TELKOM SA SOC LTD /ZAR/ 186,191 978,912 0.06

TENCENT HOLDINGS LTD /HKD/ 942,900 38,928,129 2.26

TRIPOD TECHNOLOGY CORP /TWD/ 1,898,000 6,854,424 0.40

TUPRAS-TURKIYE PETROL RAFINE /TRY/ 110,047 2,379,803 0.14

TURKIYE IS BANKASI-C /TRY/ 9,052,361 8,589,554 0.50

UNI-PRESIDENT ENTERPRISES CO /TWD/ 635,000 1,548,479 0.09

WISTRON CORP /TWD/ 6,126,000 4,852,891 0.28

ZHEJIANG EXPRESSWAY CO-H /HKD/ 1,718,000 1,435,023 0.08

ZHEN DING TECHNOLOGY HOLDING /TWD/ 1,963,000 7,253,005 0.42

KERRY PROPERTIES LTD /HKD/ 756,500 2,546,021 0.15

PETROBRAS - PETROLEO BRAS-PR /BRL/ 1,502,400 9,251,678 0.54

CK ASSET HOLDINGS LTD /HKD/ 398,000 2,695,390 0.16

CHINA CITIC BANK CORP LTD-H /HKD/ 43,899,000 22,921,405 1.33

CHINA MINSHENG BANKING COR-H /HKD/ 20,313,600 13,347,202 0.78

INFOSYS LIMITED /INR/ /NSDL/ 256,230 2,924,171 0.17

MAKEMYTRIP LTD 423,450 9,726,647 0.56

NASPERS LTD-N SHS /ZAR/ 90,775 20,657,287 1.20

KUMBA IRON ORE LTD /ZAR/ 152,787 3,963,602 0.23

COMMERCIAL BANK OF CEYLON PL /LKR/ 1,796,163 1,077,998 0.06

COMPAL ELECTRONICS /TWD/ 1,921,000 1,097,296 0.06

PRESIDENT CHAIN STORE CORP /TWD/ 127,000 1,180,773 0.07

RUENTEX INDUSTRIES LTD /TWD/ 2,821,000 6,256,002 0.36

EREGLI DEMIR VE CELIK FABRIK /TRY/ 956,157 1,054,172 0.06

EVRAZ PLC /GBP/ 146,380 884,152 0.05

REFRIGERATION ELECTRICAL ENG /VND/ 1,653,213 2,610,260 0.15

BANCO MACRO SA-ADR 39,503 920,815 0.05

BBVA ARGENTINA SA-ADR 135,748 572,857 0.03

GRUPO FINANCIERO GALICIA-ADR 147,790 1,602,044 0.09

TRANSPORTADOR GAS SUR-SP B 82,900 621,750 0.04

YUE YUEN INDUSTRIAL HLDG /HKD/ 2,913,500 7,447,385 0.43

NINE DRAGONS PAPER HOLDINGS /HKD/ 145,000 109,552 0.01

ELETROBRAS PFD REGD B/PNB/BRL/ 1,154,800 13,092,939 0.76


-214-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

ELETROBRAS DE BRAZIL ON /ORD REGD/ /BRL/ 254,500 2,823,407 0.16

BANCO DO BRASIL S.A. /BRL/ 89,400 998,275 0.06

KROTON EDUCACIONAL SA /BRL/ 9,900 24,099 -

CIA SIDERURGICA NACIONAL SA /BRL/ 286,000 991,780 0.06

EQUATORIAL ENERGIA SA - ORD /BRL/ 193,000 4,463,562 0.26

JBS SA /BRL/ 180,600 1,292,679 0.08SABESP ON /CIA SANEAMENTO BASICO ESTADO DE SAO PAULOORDINARY REGISTERED /BRL/ 1,311,600 16,375,204 0.95

BB SEGURIDADE PARTICIPACOES /BRL/ 323,600 2,553,009 0.15

B3 SA-BRASIL BOLSA BALCAO /BRL/ 418,800 4,530,848 0.26

YDUQS PART /BRL/ 758,500 5,762,475 0.33

KINGBOARD HOLDINGS LTD /HKD/ 479,500 1,119,685 0.07

LI NING CO LTD /HKD/ 8,051,500 23,746,147 1.38

AGILE PROPERTY HOLDINGS LTD /HKD/ 952,000 1,211,925 0.07

KINGBOARD LAMINATES HLDG LTD /HKD/ 1,407,500 1,107,895 0.07

COUNTRY GARDEN HOLDINGS CO /HKD/ 871,000 1,078,724 0.06

KWG GROUP HOLDINGS LTD /HKD/ 1,232,500 1,069,987 0.06

CHINA ZHONGWANG HOLDINGS LTD /HKD/ 2,464,800 1,010,509 0.06

CHINA RESOURCES CEMENT /HKD/ 1,338,000 1,182,232 0.07

CHINA EVERGRANDE GROUP /HKD/ 433,000 893,833 0.05

FU SHOU YUAN INTERNATIONAL /HKD/ 1,860,000 1,799,798 0.10

JINXIN FERTILITY GROUP LTD /HKD/ 144A 3,832,000 4,652,905 0.27

BAOZUN INC-SPN ADR 111,000 5,079,360 0.29

CTRIP.COM INTERNATIONAL-ADR 30,890 1,000,218 0.06

NEW ORIENTAL EDUCATIO-SP ADR 120,260 13,637,484 0.79

AGUAS ANDINAS SA-A /CLP/ 2,108,304 1,141,219 0.07

JIANGXI COPPER CO LTD-H /HKD/ 4,174,000 4,687,739 0.27

YANZHOU COAL MINING CO-H /HKD/ 5,246,000 4,531,554 0.26

MAANSHAN IRON & STEEL 3,144,000 1,176,611 0.07

PICC PROPERTY & CASUALTY-H /HKD/ 2,382,000 2,723,797 0.16

WEICHAI POWER CO LTD-H /HKD/ 1,570,000 2,395,835 0.14

PING AN INSURANCE GROUP CO-H /HKD/ 1,234,500 14,163,434 0.82

GUANGZHOU R&F PROPERTIES - H /HKD/ 666,000 1,069,039 0.06

CHINA PACIFIC INSURANCE GR-H /HKD/ 290,200 1,158,353 0.07

CHINA CINDA ASSET MANAGEME-H /HKD/ 5,307,000 1,100,554 0.06

BAIC MOTOR CORP LTD-H /HKD/ 144A 1,755,000 986,507 0.06

RISESUN REAL ESTATE DEVEL-A /CNH/ 5,826,419 6,598,972 0.38

WULIANGYE YIBIN CO LTD-A /CNH/ 499,700 9,874,200 0.57

ZOOMLION HEAVY INDUSTRY S-A /CNH/ 5,249,845 3,885,400 0.23

WEICHAI POWER CO LTD-A /CNH/ 4,119,554 6,667,691 0.39

HISENSE KELON ELECTRICAL-A /CNH/ 1,713,191 2,823,824 0.16

BANK OF CHINA LTD-A /CNH/ 1,881,600 927,672 0.05


-215-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

CHINA PETROLEUM & CHEMICAL-A /CNH/ 1,580,100 1,098,444 0.06

CHINA SHENHUA ENERGY CO-A /CNH/ 212,500 554,758 0.03

INDUSTRIAL BANK CO LTD -A /CNH/ 1,734,920 4,159,928 0.24

CHINA MINSHENG BANKING-A /CNY/ 1,337,800 1,085,610 0.06

BANK OF COMMUNICATIONS CO-A /CNH/ 1,365,550 1,031,838 0.06

DAQIN RAILWAY CO LTD -A /CNH/ 3,287,566 3,554,443 0.21

CHINA EVERBRIGHT BANK CO-A /CNH/ 2,121,220 1,113,939 0.06

BAOSHAN IRON & STEEL CO-A /CNY/ 1,307,100 1,060,623 0.06

ANHUI CONCH CEMENT CO LTD-A /CNH/ 1,930,053 10,633,670 0.62

TSINGTAO BREWERY CO LTD-A /CNH/ 1,007,813 7,434,666 0.43

SINOPEC SHANGHAI PETROCHEM /CNH/ 1,656,634 976,287 0.06

MAANSHAN IRON & STEEL-A /CNY/ 2,879,000 1,077,769 0.06

HUAXIN CEMENT CO LTD-A /CNY/ 371,760 965,282 0.06

FANGDA SPECIAL STEEL TECH-A /CNH/ 1,032,796 1,195,877 0.07

TCS GROUP HOLDING -REG S 148,874 2,769,056 0.16

MONETA MONEY BANK AS /CZK/ 144A 965,400 3,128,176 0.18

EASTERN COMPANY TOBACCO /EGP/ 1,339,702 1,246,611 0.07

ELSWEDY ELECTRIC CO /EGP/ 1,503,958 1,267,687 0.07

OPAP SA /EUR/ 336,638 3,553,768 0.21

CHINA MOBILE LTD /HKD/ 507,000 4,195,216 0.24

LENOVO GROUP LTD /HKD/ 1,496,000 981,342 0.06

SHENZHEN INVESTMENT LTD /HKD/ 3,372,000 1,275,483 0.07

NEW WORLD DEVELOPMENT /HKD/ 3,913,000 4,869,537 0.28

CHINA POWER INTERNATIONAL /HKD/ 5,166,000 1,118,512 0.06

FAR EAST HORIZON LTD /HKD/ 1,214,000 1,083,900 0.06

INDUSIND BANK LTD /INR/ 234,830 4,598,226 0.27

HINDUSTAN PETROLEUM CORP /INR/ 296,368 1,080,049 0.06

LIC HOUSING FINANCE LTD /INR/ 335,820 2,005,700 0.12

GAIL INDIA LTD /INR/ 2,386,000 4,348,380 0.25

VEDANTA LTD /INR/ 1,381,410 2,708,448 0.16

GLAXOSMITHKLINE CONSUMER HEA /INR/ 11,408 1,292,926 0.08

NMDC LTD /INR/ 769,473 894,436 0.05

HOUSING DEVELOPMENT FINANCE /INR/ 157,040 4,767,899 0.28

MANAPPURAM FINANCE LTD /INR/ 1,316,238 2,198,738 0.13

NTPC LTD /INR/ 662,132 1,130,845 0.07

POWER GRID CORP OF INDIA /INR 432,765 1,221,086 0.07

ADANI PORTS AND SPECIAL ECON /INR/ 918,690 4,691,360 0.27

REC LTD /INR/ 3,986,861 8,096,875 0.47

MUTHOOT FINANCE LTD /INR/ 152,947 1,299,821 0.08

COAL INDIA LTD /INR/ 410,965 1,063,610 0.06

INTERGLOBE AVIATION LTD /INR/ 144A 55,738 1,317,007 0.08

INFOSYS LIMITED 1,063,060 12,214,559 0.71


-216-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

INDOFOOD SUKSES MAKMUR TBK P /IDR/ 2,488,000 1,387,455 0.08

BUKIT ASAM TBK PT /IDR/ 6,069,500 1,054,653 0.06

PT BANK CENTRAL ASIA TBK /IDR/ 4,247,000 9,115,190 0.53

ADARO ENERGY TBK PT /IDR/ 10,231,500 809,053 0.05

TOSOH CORP /JPY/ 849,600 10,888,174 0.63

GLENCORE PLC /GBP/ 3,378,680 9,694,552 0.56

AB SICAV II - CHINA EQUITY PORTFOLIO /CNH/ CL S ACCU CNH 1,119,716 23,438,970 1.36

DIGI.COM BHD /MYR/ 1,238,700 1,476,609 0.09

MISC BHD /MYR/ 716,700 1,236,281 0.07

NESTLE (MALAYSIA) BERHAD /MYR/ 41,500 1,454,698 0.08

WESTPORTS HOLDINGS BHD /MYR/ 1,329,900 1,326,354 0.08

FOMENTO ECONOMICO MEXICA-UBD /MXN/ 1,009,300 9,231,584 0.54

GRUPO FINANCIERO BANORTE-O /MXN/ 197,584 1,066,124 0.06

KIMBERLY CLARK DE MEXICO S A C V/MXN/ 659,710 1,352,897 0.08

GRUPO MEXICO SAB DE CV-SER B /MXN/ 521,796 1,201,551 0.07

GRUPO AEROPORT DEL PACIFIC-B /MXN/ 116,973 1,111,977 0.06

FIBRA UNO ADMINISTRACION SA /MXN/ 13,657,037 18,909,901 1.10

BANCO SANTANDER MEXICO SA IN /MXN/ 818,992 1,040,827 0.06

YANDEX NV-A 253,630 9,409,673 0.55

MCB BANK LTD /PKR/ 1,105,517 1,190,536 0.07

OIL & GAS DEVELOPMENT CO LTD /PKR/ 1,423,846 951,085 0.06

GLOBE TELECOM INC /PHP/ 28,750 1,121,116 0.07

INTL CONTAINER TERM SVCS INC /PHP/ 444,320 1,159,302 0.07

MANILA ELECTRIC COMPANY /PHP/ 168,720 1,182,860 0.07

PLDT INC /PHP/ 50,090 1,135,022 0.07

EDP-ENERGIAS DE PORTUGAL SA /EUR/ 323,559 1,222,991 0.07

JERONIMO MARTINS /EUR/ 76,870 1,268,522 0.07

SBERBANK PJSC -SPONSORED ADR 1,031,836 14,167,108 0.82

PHOSAGRO PJSC -GDR REG S REG S 96,399 1,248,681 0.07

MAGNIT PJSC-SPON GDR REGS 87,236 1,151,951 0.07

BOC AVIATION LTD /HKD/ 144A 659,900 5,725,441 0.33

TRUWORTHS INTERNATIONAL LTD /ZAR/ 703,690 2,448,051 0.14

FIRSTRAND LTD /ZAR/ 212,510 840,897 0.05

RMB HOLDINGS LTD /ZAR/ 319,570 1,505,218 0.09

STANDARD BANK GROUP LTD /ZAR/ 86,251 1,009,170 0.06

ABSA GROUP LTD /ZAR/ 98,051 992,768 0.06

MULTICHOICE GROUP LTD /ZAR/ 41,780 367,551 0.02

CHEIL WORLDWIDE INC /KRW/ 49,913 1,088,992 0.06

COWAY CO LTD /KRW/ 17,570 1,218,126 0.07

DAELIM INDUSTRIAL CO LTD /KRW/ 76,730 6,193,904 0.36

SAMSUNG SECURITIES CO LTD /KRW/ 38,290 1,117,575 0.06

HYUNDAI MOTOR CO /KRW/ 10,300 1,094,835 0.06


-217-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

KOREA ZINC CO LTD /KRW/ 3,050 1,096,499 0.06

KUMHO PETRO CHEMICAL CO LTD /KRW/ 38,340 2,230,068 0.13

KOREA INVESTMENT HOLDINGS CO /KRW/ 18,029 1,078,814 0.06

SAMSUNG SDI CO LTD /KRW/ 22,000 4,543,535 0.26

HYUNDAI GLOVIS CO LTD /KRW/ 8,855 1,170,366 0.07

FILA KOREA LTD /KRW/ 5,830 275,557 0.02

ORANGE LIFE INSURANCE LTD /KRW/ 144A 107,760 2,399,345 0.14

WOORI FINANCIAL GROUP INC /KRW/ 179,860 1,769,889 0.10

ASIA CEMENT CORP /TWD/ 4,056,000 5,550,398 0.32

WALSIN TECHNOLOGY CORP /TWD/ 669,000 3,359,346 0.20

CHICONY ELECTRONICS CO LTD /TWD/ 494,000 1,386,872 0.08

HIGHWEALTH CONSTRUCTION CORP /TWD/ 774,000 1,219,323 0.07

DELTA ELECTRONICS INC /TWD/ 243,000 1,132,672 0.07

NANYA TECHNOLOGY CORP /TWD/ 4,416,000 9,889,866 0.58

TAIWAN MOBILE CO LTD /TWD/ 317,000 1,130,341 0.07

ELITE MATERIAL CO LTD /TWD/ 629,000 2,644,191 0.15

FENG TAY ENTERPRISE CO LTD /TWD/ 173,800 1,131,723 0.07

MEDIATEK INC /TWD/ 123,000 1,438,771 0.08

YUANTA FINANCIAL HOLDING CO LTD /TWD/ 2,048,000 1,176,544 0.07

INVENTEC CORP /TWD/ 1,599,000 1,094,053 0.06

MACRONIX INTERNATIONAL /TWD/ 5,337,000 4,678,836 0.27

NAN YA PLASTICS CORP /TWD/ 1,051,000 2,301,465 0.13

RUENTEX DEVELOPMENT CO LTD /TWD/ 855,000 1,157,948 0.07

TAIWAN CEMENT /TWD/ 2,628,187 3,215,382 0.19

UNITED MICROELECTRONICS CORP /TWD/ 848,000 363,603 0.02

YAGEO CORPORATION /TWD/ 130,000 937,849 0.06

TAIWAN HIGH SPEED RAIL CORP /TWD/ 841,000 1,014,706 0.06

SUNNY FRIEND ENVIRONMENTAL T /TWD/ 41,000 341,289 0.02

GLOBALWAFERS CO LTD /TWD/ 431,000 3,957,074 0.23

HOME PRODUCT CENTER PCL-FOR /THB/ 2,131,300 1,254,833 0.07

LAND & HOUSES PUB CO-FOR REG /THB/ 3,456,100 1,220,897 0.07

CP ALL PCL FOREIGN /THB/ 2,223,100 6,108,117 0.36

CHAROEN POKPHAND FOOD-FORGN /THB/ 1,126,000 1,086,499 0.06

FORD OTOMOTIV SANAYI AS /TRY/ 119,880 1,210,354 0.07

TURKIYE GARANTI BANKASI /TRY/ 106,380 162,951 0.01

HACI OMER SABANCI HOLDING /TRY/ 4,725,526 7,127,474 0.41

ISKENDERUN DEMIR VE CELIK AS /TRY/ 1,095,231 1,138,345 0.07

ABU DHABI ISLAMIC BANK /AED/ 280,544 386,464 0.02EMIRATES TELECOMMUNICATIONS GROUP COMPANY PJSC/AED/ 258,230 1,188,498 0.07

EMAAR DEVELOPMENT PJSC /AED/ 1,004,550 1,123,542 0.07


-218-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

ABU DHABI NATIONAL OIL CO FO /AED/ 1,680,400 1,203,947 0.07

1,104,693,209 64.16

Debt securities


AUTOPISTAS DEL SOL SA REGD 304,469 307,228 0.02

DOMINICAN REPUBLIC REGD REG S 11,182,000 12,561,744 0.73

ECOPETROL SA REGD 942,000 1,050,707 0.06

EGYPT TREASURY BILL /EGP/ REGD ZCP SER 273D 165,900,000 9,621,967 0.56

EGYPT TREASURY BILL /EGP/ REGD ZCP SER 364D 3,200,000 188,554 0.01

ENERGUATE TRUST REGD REG S 379,000 380,895 0.02

FED REPUBLIC OF BRAZIL REGD 1,742,000 1,852,508 0.11

GOVERNMENT OF JAMAICA REGD 12,037,000 14,810,277 0.86


HOUSING DEV FINANCE CORP /INR/ REGD REG S EMTN 70,000,000 972,937 0.06

INDIABULLS HOUSING FIN /INR/ REGD REG S 121,000,000 1,662,198 0.10

ISLAMIC REP OF PAKISTAN REGD REG S 6,488,000 6,734,929 0.39

ISRAEL ELECTRIC CORP LTD REGD SER 6 579,000 641,061 0.04

IVORY COAST /EUR/ REGD REG S 2,506,000 2,846,313 0.17

IVORY COAST REGD REG S 1,064,000 1,081,622 0.06

KAZMUNAYGAS NATIONAL CO REGD REG S 4,963,000 5,669,500 0.33


LEBANESE REPUBLIC REGD REG S EMTN 5,977,000 4,924,758 0.29

MARFRIG HOLDING EUROPE B REGD REG S 286,000 297,440 0.02

MEX BONOS DESARR FIX RT /MXN/ REGD SER M 1,581,800 79,376 -

MEX BONOS DESARR FIX RT /MXN/ REGD SER M 20 156,963,000 8,655,425 0.50

MINERVA LUXEMBOURG SA REGD REG S 290,000 300,645 0.02

MONGOLIA INTL BOND REGD REG S EMTN 542,000 541,322 0.03

NOTA DO TESOURO NACIONAL /BRL/ REGD SER NTNB 100,000 107,676 0.01

NOTA DO TESOURO NACIONAL /BRL/ REGD SER NTNF 47,702,000 13,306,863 0.77

NTPC LTD /INR/ REGD REG S EMTN 90,000,000 1,248,398 0.07

ODEBRECHT FINANCE LTD REGD REG S 1,863,000 145,939 0.01

PERUSAHAAN LISTRIK NEGAR REGD REG S 2,611,000 2,848,279 0.17

PETROBRAS GLOBAL FINANCE REGD 175,000 196,766 0.01

PETROLEOS DE VENEZUELA S REGD REG S 12,114,441 1,514,305 0.09


PETROLEOS MEXICANOS REGD MTN 6,242,000 6,013,625 0.35

PROVINCE OF NEUQUEN REGD REG S 736,000 426,880 0.02

PROVINCIA DE BUENOS AIRE REGD REG S 2,792,000 837,600 0.05

PROVINCIA DE CORDOBA REGD REG S 972,000 437,400 0.03

PROVINCIA DE ENTRE RIOS REGD REG S 428,000 179,760 0.01



-219-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

REPUBLIC OF ARGENTINA /ARS/ REGD 2,563,721 15,141 -

REPUBLIC OF ARGENTINA REGD 21,733,000 8,000,385 0.46

REPUBLIC OF ARGENTINA REGD SER WI 2,063,000 776,866 0.05

REPUBLIC OF AZERBAIJAN REGD REG S 6,970,000 7,479,224 0.43

REPUBLIC OF COLOMBIA REGD 2,623,000 3,171,207 0.18



REPUBLIC OF GABON REGD REG S 6,282,468 6,066,507 0.35

REPUBLIC OF GUATEMALA REGD REG S 5,768,000 6,037,945 0.35

REPUBLIC OF INDONESIA REGD REG S EMTN 23,797,000 25,040,831 1.45

REPUBLIC OF IRAQ REGD REG S 4,886,000 4,949,878 0.29



REPUBLIC OF PANAMA REGD 12,331,000 13,208,354 0.77

REPUBLIC OF PERU REGD 666,000 1,018,148 0.06

REPUBLIC OF PHILIPPINES REGD 1,270,000 1,383,903 0.08

REPUBLIC OF RWANDA REGD REG S 222,000 234,764 0.01


REPUBLIC OF SOUTH AFRICA /ZAR/ REGD SER 2048 13,774,678 807,846 0.05

REPUBLIC OF SOUTH AFRICA REGD 14,488,000 15,389,734 0.89



REPUBLIC OF VENEZUELA REGD REG S 12,089,800 1,753,021 0.10

REPUBLIC OF ZAMBIA REGD REG S 4,863,000 3,253,651 0.19

REPUBLICA ORIENT URUGUAY REGD 3,010,097 3,523,387 0.20



RUSSIAN FEDERATION REGD REG S 7,400,000 8,817,563 0.51

SERVICIOS CORP JAVER SAP REGD 144A P/P 223,000 222,164 0.01

SINOPEC GRP OVERSEA 2012 REGD REG S 4,430,000 4,596,404 0.27

SINOPEC GRP OVERSEAS DEV REGD 144A P/P 1,030,000 1,023,884 0.06

SOUTHERN GAS CORRIDOR REGD REG S 705,000 832,781 0.05

STATE GRID OVERSEAS INV REGD REG S 1,290,000 1,390,781 0.08

STATE GRID OVERSEAS INV REGD REG S EMTN 2,705,000 2,809,593 0.16

STATE OF MINAS GERAIS REGD REG S 722,700 767,643 0.04

TRINIDAD GEN UNLTD REGD REG S 251,000 255,393 0.01

UKRAINE GOVERNMENT REGD 10,209,000 10,834,491 0.63

UNIFIN FINANCIERA SA DE REGD REG S 634,000 607,451 0.04

UNITED REP OF TANZANIA REGD V/R REG S 241,556 243,639 0.01

VIRGOLINO DE OLIVEIRA FI REGD REG S 2,317,000 223,619 0.01

YPF SOCIEDAD ANONIMA /ARS/ REGD REG S EMTN 5,155,000 36,291 -

BANCO MACRO S /ARS/ REGD REG S 3,390,000 15,666 -


-220-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

ARGENTINA 7.82% 12/31/33 /EUR/ 856,924 379,076 0.02



LOGAN PROPERTY HOLDINGS /SGD/ REGD REG S 250,000 181,555 0.01

GRAN TIERRA ENERGY INTL REGD REG S 1,818,000 1,683,981 0.10

EXPORT-IMPORT BANK CHINA REGD REG S 1,057,000 1,120,635 0.07

EMGESA SA ESP /COP/ REGD REG S 261,000,000 78,898 -

EMPRESAS PUBLIC MEDELLIN /COP/ REGD REG S 8,067,000,000 2,464,282 0.14

FIDEICOMISO RUTA AL MAR /COP/ REGD REG S 500,000,000 139,791 0.01


ARAB REPUBLIC OF EGYPT /EUR/ REGD REG S EMTN 1,602,000 1,775,534 0.10

ARAB REPUBLIC OF EGYPT REGD REG S 12,143,000 12,752,496 0.74


CHINA CONSTRUCT BK ASIA /CNH/ REGD REG S EMTN 2,000,000 279,853 0.02

HDFC BANK LTD /INR/ REGD REG S 90,000,000 1,266,674 0.07

INDIAN RENEW ENERGY DEV /INR/ REGD REG S EMTN 100,000,000 1,368,904 0.08

OIL INDIA LTD REGD REG S 750,000 829,922 0.05

INDONESIA GOVERNMENT /IDR/ REGD SER FR56 314,000,000 23,416 -

PT WIJAYA KARYA /IDR/ REGD REG S 30,360,000,000 2,028,522 0.12

PERUSAHAAN PENERBIT SBSN REGD REG S 1,370,000 1,485,166 0.09

PERUSAHAAN LISTRIK NEGAR REGD REG S EMTN 3,606,000 3,873,816 0.22

PERTAMINA PERSERO PT REGD REG S EMTN 885,000 1,116,381 0.06

ANGLOGOLD HOLDINGS PLC REGD 2,490,000 2,619,169 0.15

KAZAKHSTAN TEMIR ZHOLY REGD REG S 1,840,000 2,058,500 0.12


LEBANESE REPUBLIC REGD REG S 6,913,000 4,710,341 0.27

REDE D’OR FINANCE SARL REGD REG S 2,520,000 2,526,819 0.15

NEXA RESOURCES SA REGD REG S 910,000 952,884 0.06

MALAYSIA GOVERNMENT /MYR/ REGD SER 0413 1,345,000 329,015 0.02

MALAYSIA GOVERNMENT /MYR/ REGD SER 0217 1,250,000 307,963 0.02

PRESS METAL LABUAN LTD REGD REG S 1,000,000 987,500 0.06

GRUPO TELEVISA SAB /MXN/ REGD SER 10 6,400,000 314,801 0.02

AMERICA MOVIL SAB DE CV /MXN/ REGD SER 12 6,080,000 290,193 0.02

MONGOLIA INTL BOND REGD REG S 1,873,000 1,887,048 0.11



BANCO DE CREDITO DEL PER /PEN/ REGD REG S 350,000 104,167 0.01

BONOS DE TESORERIA /PEN/ REGD 875,000 311,436 0.02

STATE OF QATAR REGD REG S 5,550,000 6,507,375 0.38

RUSSIA GOVT BOND - OFZ /RUB/ REGD SER 6214 6,451,000 96,441 0.01


SAUDI INTERNATIONAL BOND REGD REG S EMTN 4,123,000 4,378,042 0.25


-221-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

CAPITAMALLS ASIA TREASUR /SGD/ REGD REG S MTN 250,000 185,449 0.01

BOC AVIATION LTD /CNH/ REGD REG S EMTN SER GMTN 2,000,000 283,083 0.02

ESKOM HOLDINGS SOC LTD /ZAR/ REGD MTN SER ES23 4,100,000 279,753 0.02

TRANSNET SOC LTD /ZAR/ REGD MTN SER TN20 4,000,000 270,493 0.02


ENERGA FINANCE AB /EUR/ REGD REG S EMTN 145,000 168,807 0.01

BNQ CEN TUNISIA INT BOND REGD REG S 2,091,000 1,913,265 0.11

UKRAINE GOVERNMENT REGD REG S 3,300,000 3,889,875 0.23

ABU DHABI GOVT INT’L REGD REG S 604,000 654,585 0.04

MARB BONDCO PLC REGD REG S 430,000 438,367 0.03

REPUBLIC OF ARGENTINA REGD S/UP SER NY 1,988,000 695,800 0.04

INTERCORP PERU LTD REGD REG S 391,000 393,639 0.02

OIL & GAS HOLDING REGD REG S 1,970,000 2,253,803 0.13

GOVT OF BERMUDA REGD REG S 4,219,000 4,830,755 0.28

DIGICEL GROUP ONE LTD REGD REG S 3,655,657 2,047,168 0.12

DIGICEL GROUP TWO LTD REGD REG S 4,551,000 819,180 0.05


BIOCEANICO SOVEREIGN REGD ZCP REG S 1,091,000 751,599 0.04

DP WORLD CRESCENT LTD REGD REG S EMTN 1,315,000 1,354,524 0.08

DUBAI DOF SUKUK LTD REGD REG S 1,967,000 2,285,278 0.13

LIMA METRO LINE 2 FIN LT REGD REG S 3,131,000 3,390,529 0.20

ENEL GENERACION CHILE SA REGD 490,000 516,644 0.03

ENEL AMERICAS SA REGD 1,466,000 1,518,226 0.09

ENEL CHILE SA REGD 817,000 903,357 0.05

GNL QUINTERO SA REGD REG S 400,000 429,500 0.02

IND & COMM BK CHINA/SG /CNY/ REGD REG S EMTN 2,280,000 319,630 0.02

TITULOS DE TESORERIA /COP/ REGD SER B 929,500,000 300,537 0.02

TRANSPRTDRA DE GAS INTL REGD REG S 1,642,000 1,903,950 0.11

EMPRESAS PUBLIC MEDELLIN REGD REG S 1,331,000 1,399,214 0.08

REPUBLIC OF ECUADOR REGD 144A P/P 960,000 903,000 0.05

EGYPT GOVERNMENT BOND /EGP/ REGD SER 10YR 1,900,000 122,804 0.01

REC LIMITED REGD REG S EMTN 1,029,000 1,109,024 0.06


RENEW POWER SYNTHETIC REGD REG S 474,000 484,073 0.03

ADANI GREEN ENERGY UP REGD REG S 589,000 603,725 0.04

POWER FINANCE CORP LTD REGD REG S EMTN 2,000,000 2,049,051 0.12



PT PERTAMINA (PERSERO) REGD REG S 1,711,000 2,229,112 0.13

PERTAMINA PERSERO P REGD REG S 1,000,000 1,249,063 0.07

REPUBLIC OF KAZAKHSTAN REGD REG S EMTN 907,000 1,033,980 0.06

LEBANESE REP 1.0% 11/27/26 2,053,000 1,378,718 0.08


-222-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

LEBANESE REPUBLIC REGD REG S EMTN SER GMTN 3,257,000 2,232,396 0.13

USIMINAS INTERNATIONAL REGD REG S 1,639,000 1,647,195 0.10


TONON LUXEMBOURG SA REGD REG S 458,922 22,946 -

MEXICAN UDIBONOS REGD /MXN/ 2,864,134 153,450 0.01

GREENKO DUTCH BV REGD REG S 1,680,000 1,680,525 0.10

MDC-GMTN B.V. REGD REG S EMTN 2,441,000 2,855,970 0.17

SABIC CAPITAL II BV REGD REG S 1,123,000 1,236,072 0.07


AEROPUERTO INTL TOCUMEN REGD REG S 1,075,000 1,369,657 0.08

PANAMA NOTAS DEL TESORO REGD 1,620,000 1,720,440 0.10

EMPRESA DE TRANSMISION REGD REG S 648,000 753,300 0.04

TRANSPORT DE GAS PERU REGD REG S 226,000 242,385 0.01

PERU LNG SRL REGD REG S 1,150,000 1,240,563 0.07

RUSSIA GOVT BOND - OFZ /RUB/ REGD SER 6222 35,770,000 543,483 0.03



SAUDI INTERNATIONAL BOND REGD REG S 5,397,000 6,574,608 0.38

REPUBLIC OF SENEGAL /EUR/ REGD REG S 278,000 318,044 0.02

HOUSING &DEVELOPMENT BRD /SGD/ REGD REG S MTN 250,000 184,933 0.01


REPUBLIC OF SOUTH AFRICA /ZAR/ REGD SER 2032 115,923,000 7,032,356 0.41

KOREA DEVELOPMENT BANK /CNH/ REGD REG S EMTN 1,000,000 141,760 0.01

MN MINING/ENERGY RESOURC REGD REG S 460,000 434,700 0.02

PETKIM PETROKIMYA HOLDIN REGD REG S 1,136,000 1,093,400 0.06



UKRAINE GOVERNMENT /EUR/ REGD REG S 745,000 892,484 0.05

UKRAINE GOVERNMENT REGD V/R SER GDP 2,490,000 2,178,750 0.13

DP WORLD PLC REGD REG S EMTN 865,000 1,029,350 0.06


KONDOR FINANCE PLC (NAK) REGD REG S 1,323,000 1,350,031 0.08

SASOL FINANCING USA LLC REGD 1,174,000 1,266,552 0.07

GRAN TIERRA ENERGY INC REGD REG S 1,258,000 1,220,337 0.07

NBM US HOLDINGS INC REGD REG S 925,000 945,339 0.05

BRASKEM AMERICA FINANCE REGD REG S 1,435,000 1,707,650 0.10

NEW METRO GLOBAL LT REGD REG S 200,000 188,308 0.01

GERDAU TRADE INC REGD REG S 1,530,000 1,637,100 0.09


GOLD FIELDS OROGEN HOLD REGD REG S 515,000 548,475 0.03

NIGERIA TREASURY BILLS ZCP /NGN/ 930,730,000 2,386,605 0.14

NIGERIA OMO BILL /NGN/ REGD ZCP 412,855,000 1,023,879 0.06


-223-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

NIGERIA OMO BILL ZCP REGD /NGN /AW0704451/ 44,080,000 117,529 0.01

NIGERIA T-BILL /NGN/ ZCP SER 364D 510,420,000 1,331,365 0.08

NIGERIA T-BLL ZCP REGD 514,020,000 1,327,923 0.08

568,434,036 33.01

Derivatives

Forwards

AUD/USD FWD 20190905 000000010 USD (110,500) (0.01)

THB/USD FWD 20190913 000010098 USD 24,434,475 1.42

THB/USD FWD 20190913 000000642 USD 10,399,332 0.60

THB/USD FWD 20190913 000003731 USD (1,751,319) (0.10)

THB/USD FWD 20190913 000004066 USD (15,042,540) (0.87)

THB/USD FWD 20190913 000006219 USD (6,171,976) (0.36)

THB/USD FWD 20191030 000010098 USD 11,150,523 0.65

BRL/USD FWD 20190904 000000908 USD 32,228,687 1.87

BRL/USD FWD 20191002 000000908 USD (52,452,916) (3.05)

BRL/USD FWD 20190904 000011091 USD 1,135,879 0.07

BRL/USD FWD 20190904 000011553 USD 12,111,664 0.70

BRL/USD FWD 20190904 000010098 USD 114,011 0.01

BRL/USD FWD 20190904 000000642 USD (45,590,241) (2.66)

BRL/USD FWD 20191002 000006219 USD 62,134 -

BRL/USD FWD 20191002 000011553 USD 20,743 -

GBP/USD FWD 20191018 000011091 USD (10,046,167) (0.58)

CLP/USD FWD 20190912 000000908 USD (9,189,431) (0.53)

CLP/USD FWD 20190912 000006219 USD (27,050) -

CLP/USD FWD 20190912 000011091 USD 27,535 -

COP/USD FWD 20190912 000010098 USD 264,972 0.02

COP/USD FWD 20190912 000017142 USD (12,547,919) (0.73)

COP/USD FWD 20190912 000000908 USD 39,572 -

COP/USD FWD 20190912 000006219 USD (93,682) (0.01)

CZK/USD FWD 20190913 000000642 USD (12,557,714) (0.73)

CZK/USD FWD 20190913 000000908 USD 5,403,730 0.31

CZK/USD FWD 20191011 000000010 USD (303,447) (0.02)

CZK/USD FWD 20191011 000000908 USD (5,276,791) (0.31)

CZK/USD FWD 20190913 000011091 USD 7,153,985 0.42

CZK/USD FWD 20191011 000011091 USD 2,315,697 0.13

CZK/USD FWD 20191011 000010098 USD 8,040,245 0.47

EUR/USD FWD 20191010 000010098 USD 2,519,763 0.15

EUR/USD FWD 20191010 000000010 USD (418,993) (0.02)

EUR/USD FWD 20191010 000015513 USD (13,014,476) (0.76)


-224-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

EUR/USD FWD 20191010 000010428 USD (2,987,705) (0.17)

HUF/USD FWD 20191011 000004066 USD (12,349,303) (0.72)

HUF/USD FWD 20191011 000011091 USD 1,719,889 0.10

INR/USD FWD 20191024 000006219 USD (222,962) (0.01)

INR/USD FWD 20191024 000000908 USD (49,619,882) (2.88)

INR/USD FWD 20191024 000004334 USD 4,760,078 0.28

INR/USD FWD 20191024 000011091 USD (5,344,820) (0.31)

INR/USD FWD 20191024 000010098 USD 2,743,848 0.16

INR/USD FWD 20191024 000006038 USD 7,430,820 0.43

MYR/USD FWD 20200213 000011091 USD 11,365,762 0.66

MYR/USD FWD 20200213 000010098 USD 35,750,173 2.08

MXN/USD FWD 20190913 000006038 USD 18,641,608 1.08

MXN/USD FWD 20190913 000006219 USD 11,004,077 0.64

MXN/USD FWD 20191025 000000010 USD 12,565 -

MXN/USD FWD 20191025 000011091 USD 4,442,740 0.26

MXN/USD FWD 20191025 000017142 USD 9,034,860 0.52

TWD/USD FWD 20190911 000017142 USD (220,409) (0.01)

TWD/USD FWD 20190911 000003731 USD 167,385 0.01

TWD/USD FWD 20190911 000006219 USD 46,666,217 2.71

TWD/USD FWD 20190911 000004334 USD (53,244,380) (3.09)

TWD/USD FWD 20190911 000011091 USD (7,144,655) (0.41)

TWD/USD FWD 20190911 000011553 USD 27,543,546 1.60

TWD/USD FWD 20190911 000000642 USD (1,361,438) (0.08)

TWD/USD FWD 20190911 000015513 USD (54,321) -

TWD/USD FWD 20190911 000010098 USD (19,342,328) (1.12)

PEN/USD FWD 20190912 000004066 USD (10,093,190) (0.59)

PEN/USD FWD 20190912 000010098 USD 1,658,680 0.10

PHP/USD FWD 20190911 000011553 USD 4,887,077 0.28

PHP/USD FWD 20190911 000006219 USD (15,620,249) (0.91)

PHP/USD FWD 20190911 000003534 USD (3,226,646) (0.19)

PHP/USD FWD 20190911 000000908 USD 2,153,849 0.13

ZAR/USD FWD 20190913 000004066 USD (10,845,505) (0.63)

ZAR/USD FWD 20190913 000000908 USD 10,845,505 0.63

ZAR/USD FWD 20190918 000011553 USD (3,341,518) (0.19)

ZAR/USD FWD 20190918 000010098 USD 26,503,463 1.54

ZAR/USD FWD 20190918 000000010 USD (250,969) (0.01)

ZAR/USD FWD 20190918 000004066 USD 1,647,206 0.10

ZAR/USD FWD 20190918 000004334 USD (1,605,730) (0.09)

ZAR/USD FWD 20190918 000000642 USD (14,769,041) (0.86)

ZAR/USD FWD 20190918 000003731 USD (3,607,493) (0.21)

IDR/USD FWD 20191121 000011091 USD 17,086,859 0.99

IDR/USD FWD 20191121 000000642 USD 5,614,683 0.33


-225-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

IDR/USD FWD 20191121 000006219 USD (6,722,643) (0.39)

IDR/USD FWD 20191121 000004066 USD 22,276,829 1.29

IDR/USD FWD 20191121 000000908 USD (25,740,972) (1.49)

RUB/USD FWD 20190919 000010098 USD (18,237,275) (1.06)

RUB/USD FWD 20190919 000006038 USD 15,889,767 0.92

RUB/USD FWD 20190919 000011091 USD (12,405) -

RUB/USD FWD 20190919 000004066 USD (11,715,567) (0.68)

SGD/USD FWD 20191031 000000908 USD 567,374 0.03

KRW/USD FWD 20191030 000006038 USD 21,923,476 1.27

KRW/USD FWD 20191030 000010098 USD (111,830,047) (6.49)

KRW/USD FWD 20191030 000000642 USD 3,163,189 0.18

TRY/USD FWD 20190912 000000010 USD 79,709 -

TRY/USD FWD 20190912 000006219 USD (10,224,286) (0.59)

TRY/USD FWD 20190912 000000642 USD 11,544,398 0.67

TRY/USD FWD 20190912 000000908 USD 1,961,197 0.11

TRY/USD FWD 20190912 000010098 USD 9,310,750 0.54

TRY/USD FWD 20190912 000004066 USD (2,114,025) (0.12)

USD/ZAR FWD 20190913 000004066 USD 11,602,816 0.67

USD/THB FWD 20190913 000010098 USD (23,728,907) (1.38)

USD/CZK FWD 20190913 000000642 USD 12,966,040 0.75

USD/MXN FWD 20190913 000006038 USD (19,232,478) (1.12)

USD/MXN FWD 20190913 000006219 USD (11,399,769) (0.66)

USD/THB FWD 20190913 000000642 USD (10,016,167) (0.58)

USD/PLN FWD 20190913 000004334 USD 2,175,167 0.13

USD/PHP FWD 20190911 000011553 USD (4,885,953) (0.28)

USD/TWD FWD 20190911 000017142 USD 218,365 0.01

USD/TWD FWD 20190911 000003731 USD (169,772) (0.01)

USD/TWD FWD 20190911 000006219 USD (46,841,781) (2.72)

USD/TWD FWD 20190911 000004334 USD 53,037,417 3.08

USD/TWD FWD 20190911 000011091 USD 7,263,675 0.42

USD/ZAR FWD 20190913 000000908 USD (11,277,476) (0.65)

USD/PLN FWD 20190913 000010098 USD (2,275,489) (0.13)

USD/PHP FWD 20190911 000006219 USD 15,568,929 0.90

USD/TWD FWD 20190911 000011553 USD (27,575,383) (1.60)

USD/BRL FWD 20190904 000000908 USD (32,547,534) (1.89)

USD/TWD FWD 20190911 000000642 USD 1,488,427 0.09

USD/CZK FWD 20190913 000000908 USD (5,640,698) (0.33)

USD/ZAR FWD 20190918 000011553 USD 3,326,031 0.19

USD/AUD FWD 20190905 000000010 USD 109,489 0.01

USD/TWD FWD 20190911 000015513 USD 54,211 -

USD/ZAR FWD 20190918 000010098 USD (27,902,450) (1.62)

USD/ZAR FWD 20190918 000000010 USD 257,625 0.01


-226-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

USD/BRL FWD 20191002 000000908 USD 52,246,155 3.03

USD/ZAR FWD 20190918 000004066 USD (1,652,430) (0.10)

USD/ZAR FWD 20190918 000004334 USD 2,037,958 0.12

USD/JPY FWD 20190912 000011091 USD 2,875,045 0.17

USD/JPY FWD 20190912 000005539 USD (37,514,004) (2.18)

USD/TWD FWD 20190911 000010098 USD 19,623,578 1.14

USD/PHP FWD 20190911 000003534 USD 3,282,365 0.19

USD/EUR FWD 20191010 000010098 USD (2,547,431) (0.15)

USD/EUR FWD 20191010 000000010 USD 426,942 0.02

USD/CLP FWD 20190912 000000908 USD 9,749,864 0.57

USD/EUR FWD 20191010 000015513 USD 13,336,393 0.77

USD/COP FWD 20190912 000010098 USD (286,828) (0.02)

USD/CZK FWD 20191011 000000010 USD 314,532 0.02

USD/HUF FWD 20191011 000004066 USD 12,898,821 0.75

USD/CZK FWD 20191011 000000908 USD 5,481,725 0.32

USD/PEN FWD 20190912 000004066 USD 10,393,770 0.60

USD/COP FWD 20190912 000017142 USD 13,416,119 0.78

USD/PLN FWD 20191011 000000908 USD (3,410,909) (0.20)

USD/COP FWD 20190912 000000908 USD (42,332) -

USD/COP FWD 20190912 000006219 USD 101,181 0.01

USD/INR FWD 20191024 000006219 USD 230,232 0.01

USD/PLN FWD 20191011 000004066 USD 2,489,142 0.14

USD/INR FWD 20191024 000000908 USD 51,339,494 2.98

USD/INR FWD 20191024 000004334 USD (4,969,975) (0.29)

USD/INR FWD 20191024 000011091 USD 5,548,029 0.32

USD/PLN FWD 20191011 000006219 USD 2,725,302 0.16

USD/PLN FWD 20191011 000011091 USD 7,303,149 0.42

USD/THB FWD 20190913 000003731 USD 1,750,967 0.10

USD/ZAR FWD 20190918 000000642 USD 14,747,361 0.86

USD/BRL FWD 20190904 000011091 USD (1,277,180) (0.07)

USD/INR FWD 20191024 000010098 USD (2,846,124) (0.17)

USD/ZAR FWD 20190918 000003731 USD 3,926,457 0.23

USD/BRL FWD 20190904 000011553 USD (13,079,885) (0.76)

USD/BRL FWD 20190904 000010098 USD (116,530) (0.01)

USD/CLP FWD 20190912 000006219 USD 24,165 -

USD/BRL FWD 20190904 000000642 USD 49,981,385 2.90

USD/TRY FWD 20190912 000000010 USD (85,328) -

USD/TRY FWD 20190912 000006219 USD 10,542,945 0.61

USD/CLP FWD 20190912 000011091 USD (28,355) -

USD/IDR FWD 20191121 000011091 USD (17,282,492) (1.00)

USD/TRY FWD 20190912 000000642 USD (11,524,357) (0.67)

USD/IDR FWD 20191121 000000642 USD (5,620,160) (0.33)


-227-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

USD/INR FWD 20191024 000006038 USD (8,003,746) (0.46)

USD/TRY FWD 20190912 000000908 USD (1,972,036) (0.11)

USD/RUB FWD 20190919 000010098 USD 18,521,174 1.08

USD/RUB FWD 20190919 000006038 USD (16,468,154) (0.96)

USD/RUB FWD 20190919 000011091 USD 12,520 -

USD/IDR FWD 20191121 000006219 USD 6,653,118 0.39

USD/CNH FWD 20191024 000000010 USD (23,830,821) (1.38)

USD/CNH FWD 20191024 000003731 USD 203,455 0.01

USD/CNH FWD 20191024 000011553 USD 158,227,372 9.19

USD/THB FWD 20190913 000004066 USD 14,945,404 0.87

USD/IDR FWD 20191121 000004066 USD (22,159,599) (1.29)

USD/RUB FWD 20190919 000004066 USD 11,939,664 0.69

USD/TRY FWD 20190912 000010098 USD (9,800,081) (0.57)

USD/TRY FWD 20190912 000004066 USD 2,201,958 0.13

USD/MYR FWD 20200213 000011091 USD (11,409,152) (0.66)

USD/MYR FWD 20200213 000010098 USD (35,874,766) (2.08)

USD/PEN FWD 20190912 000010098 USD (1,664,604) (0.10)

USD/THB FWD 20190913 000006219 USD 6,108,927 0.35

USD/HUF FWD 20191011 000011091 USD (1,778,749) (0.10)

USD/CNH FWD 20191024 000004334 USD (24,657,726) (1.43)

USD/KRW FWD 20191030 000006038 USD (21,989,828) (1.28)

USD/KRW FWD 20191030 000010098 USD 112,139,653 6.51

USD/SGD FWD 20191031 000000908 USD (568,070) (0.03)

USD/PHP FWD 20190911 000000908 USD (2,146,233) (0.12)

USD/THB FWD 20191030 000010098 USD (11,055,616) (0.64)

USD/CZK FWD 20190913 000011091 USD (7,255,424) (0.42)

USD/CZK FWD 20191011 000011091 USD (2,348,363) (0.14)

USD/CNH FWD 20191024 000000642 USD (16,025,527) (0.93)

USD/GBP FWD 20191018 000011091 USD 10,135,827 0.59

USD/BRL FWD 20191002 000006219 USD (61,945) -

USD/MXN FWD 20191025 000000010 USD (12,650) -

USD/MXN FWD 20191025 000011091 USD (4,460,622) (0.26)

USD/BRL FWD 20191002 000011553 USD (20,583) -

USD/KRW FWD 20191030 000000642 USD (3,150,407) (0.18)

USD/EUR FWD 20191010 000010428 USD 3,012,830 0.17

USD/IDR FWD 20191121 000000908 USD 25,565,604 1.48

USD/CZK FWD 20191011 000010098 USD (8,129,682) (0.47)

USD/MXN FWD 20191025 000017142 USD (9,002,124) (0.52)

USD/CNH FWD 20191024 000006038 USD (6,346,347) (0.37)

JPY/USD FWD 20190912 000011091 USD (2,868,556) (0.17)

JPY/USD FWD 20190912 000005539 USD 37,812,806 2.20

CNH/USD FWD 20191024 000000010 USD 23,498,435 1.36


-228-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

CNH/USD FWD 20191024 000003731 USD (200,266) (0.01)

CNH/USD FWD 20191024 000011553 USD (156,603,273) (9.09)

CNH/USD FWD 20191024 000004334 USD 24,292,827 1.41

CNH/USD FWD 20191024 000000642 USD 15,850,829 0.92

CNH/USD FWD 20191024 000006038 USD 6,358,095 0.37

PLN/USD FWD 20190913 000004334 USD (2,167,123) (0.13)

PLN/USD FWD 20190913 000010098 USD 2,167,123 0.13

PLN/USD FWD 20191011 000000908 USD 3,272,315 0.19

PLN/USD FWD 20191011 000004066 USD (2,592,096) (0.15)

PLN/USD FWD 20191011 000006219 USD (2,594,225) (0.15)

PLN/USD FWD 20191011 000011091 USD (6,937,130) (0.40)

7,223,103 0.42

Future

FUTURE CONTRACT ON US 10YR NOTE (CBT)DEC19 34,905,469 2.03

FUTURE CONTRACT ON US ULTRA BOND CBT DEC19 789,750 0.04

FUTURE CONTRACT ON MSCI EMGMKT SEP19 62,287,200 3.62

97,982,419 5.69

Swaps

HSCEI /LONG/ 4,000,244 0.23

HSCEI /SHORT/ (3,803,559) (0.22)

IRS R00.00P00.00 01/04/21 MORGAN STAN FLOAT 2,004,347 0.12

IRS P00.00R00.00 01/04/21 MORGAN STAN FIXED (2,005,744) (0.12)

IRS R00.00P00.00 01/02/25 MORGAN STAN FIXED 695,410 0.04

IRS P00.00R00.00 01/02/25 MORGAN STAN FLOAT (700,314) (0.04)

IRS PMXIER08.20 03/06/29 MORGAN STAN FLOAT (310,855) (0.02)

IRS R08.20PMXIE 03/06/29 MORGAN STAN FIXED 339,729 0.02

IRS R07.01PMXIE 08/03/29 MSNYUS33XXX FIXED 304,631 0.02

IRS PMXIER07.01 08/03/29 MSNYUS33XXX FLOAT (302,373) (0.02)CDS US040114GX20 05.000 NA 06/20/2024 MORGAN STANLFLOAT (6,980,000) (0.41)CDS US040114GX20 05.000 NA 06/20/2024 MORGAN STANLFIXED 2,777,750 0.16

CDS US900123AL40 01.000 NA 06/20/2024 MORGAN FIXED (3,649,549) (0.21)

CDS US900123AL40 01.000 NA 06/20/2024 MORGAN FLOAT 4,221,000 0.25

CDS US040114GX20 05.000 BP 06/20/2024 MSNYUS33XXX FIXED (616,836) (0.04)

CDS US040114GX20 05.000 BP 06/20/2024 MSNYUS33XXX FLOAT 1,550,000 0.09

IRS R01.57PUS3M 08/09/29 MSNYUS33XXX FIXED 119,359,308 6.93

IRS PUS3MR01.57 08/09/29 MSNYUS33XXX FLOAT (117,320,000) (6.81)

(436,811) (0.03)


-229-

Holding at31 August

2019


2019USD


assets at31 August

2019(%)

Warrants

MACQUARIE BANK LIMITED WARRANTS EXP 03/31/2020 12,214,541 0.71

Other Net Liabilities (68,248,497) (3.96)



-230-

AB (HK) Emerging Markets Multi-Asset PortfolioStatement of movements in investment portfolio (Unaudited)For the year ended 31 August 2019


2018


2019

Unlisted Investment


AB SICAV I - Emerging Markets Multi-Asset Portfolio 32,021 17,821 16,947 32,895


2018

Fair valuechange


2019USD USD USD

Derivatives


Buy RMB / Sell USD 23,773 (56,843) (33,070)

Buy USD / Sell RMB 434 377 811


-231-



net assetvalue

Dealingnet asset

valueper unit

RMB RMB


- Class A RMB H 765,133 133.67

- Class AD RMB H 21,635,282 94.70


- Class A RMB H 773,196 135.07

- Class AD RMB H 21,758,806 103.30


- Class A RMB H 616,399 143.18

- Class AD RMB H 8,470,477 119.22


AssetValue Per

Unit

Lowest NetAsset

Value PerUnit

RMB RMB


- Class A RMB H 142.09 123.42

- Class AD RMB H 104.33 92.13


- Class A RMB H 161.31 132.39

- Class AD RMB H 130.77 102.03


- Class A RMB H 144.15 112.72

- Class AD RMB H 120.83 101.24


- Class A RMB H 121.34 92.22

- Class AD RMB H 110.85 89.18


-232-

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ab (hk) unit trust series - alliancebernstein · 2020-01-02 · state street trust (hk) limited...

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