The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.
The
following presents information about significant unobservable inputs related to the Fund’s Level 3 investments at September 30, 2021. Securities priced (i) by third party vendors, (ii) by brokers or (iii) using prior
transaction prices, which approximates fair value, are excluded from the following table.
Quantitative Information about Level 3 Fair Value
Measurements
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair
Value at
9/30/2021
|
|
|
Valuation
Technique
|
|
Unobservable
Input
|
|
Input
|
|
Corporates – Non-Investment Grade
|
|
$
|
204,246
|
|
|
Recovery Analysis
|
|
Collateral Value
|
|
$85.10
|
|
|
|
$
|
– 0
|
–
|
|
Qualitative Assessment
|
|
|
|
$0.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
204,246
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
$
|
2,789,654
|
|
|
Market Approach
|
|
NAV Equivalent
|
|
$905.10
|
|
|
|
$
|
1,318,150
|
|
|
Market Approach
|
|
Projected Enterprise Value
|
|
$595.3mm to $661.3mm
|
|
|
|
$
|
675,107
|
|
|
Market Approach
|
|
NAV Equivalent
|
|
$964.44
|
|
|
|
$
|
894
|
|
|
Market Approach
|
|
Last Traded Price
|
|
0.03 CAD / NA
|
|
|
|
$
|
1
|
|
|
Qualitative Assessment
|
|
|
|
$0.00
|
|
|
|
$
|
– 0
|
–
|
|
Qualitative Assessment
|
|
|
|
$0.00
|
|
|
|
$
|
– 0
|
–
|
|
Qualitative Assessment
|
|
|
|
$0.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,783,806
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Governments – Sovereign Bonds
|
|
$
|
– 0
|
–
|
|
Qualitative Assessment
|
|
|
|
$0.00
|
|
Warrants.
|
|
$
|
478,817
|
|
|
Option Pricing Model
|
|
Exercise Price
|
|
$16.44
|
Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant
changes in any of the unobservable inputs may significantly impact the fair value measurement. Significant increases (decreases) in Collateral Value, NAV Equivalent, Projected Enterprise Value, Last Traded Price and Exercise Price in isolation would
be expected to result in a significantly higher (lower) fair value measurement.
|
|
|
|
|
|
|
|
abfunds.com
|
|
ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND | 95
|
NOTES TO FINANCIAL STATEMENTS (continued)
3.
Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into
U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired
or sold. Income and expenses are translated into U.S. dollars at the rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency
transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment
transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses
from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Fund’s policy to meet the requirements of the
Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are
required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and
net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties
in income taxes, management has analyzed the Fund’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision
for income tax is required in the Fund’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is
accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts
|
|
|
|
|
|
|
|
96 | ALLIANCEBERNSTEIN
GLOBAL HIGH INCOME FUND
|
|
abfunds.com
|
NOTES TO FINANCIAL STATEMENTS (continued)
as
adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the
investment company.
6. Dividends and Distributions
Dividends and
distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those
determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory
Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual
rate of .90% of the Fund’s average weekly net assets. Such fee is accrued daily and paid monthly.
Pursuant to the administration agreement, the Fund may
reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser, provided, however, that the reimbursement may not exceed .15% annualized of average weekly net assets. For the six months ended September 30,
2021, the reimbursement for such services amounted to $46,391.
Under the terms of a Shareholder Inquiry Agency Agreement with AllianceBernstein Investor Services,
Inc. (“ABIS”), a wholly owned subsidiary of the Adviser, the Fund reimburses ABIS for costs relating to servicing phone inquiries on behalf of the Fund. During the six months ended September 30, 2021, there was no such reimbursement
paid to ABIS.
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual
advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of
.10%) until August 31, 2022. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share
of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended September 30, 2021, such waiver amounted to $6,155.
|
|
|
|
|
|
|
|
abfunds.com
|
|
ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND | 97
|
NOTES TO FINANCIAL STATEMENTS (continued)
A summary of
the Fund’s transactions in AB mutual funds for the six months ended September 30, 2021 is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Market Value
3/31/21
(000)
|
|
|
Purchases
at Cost
(000)
|
|
|
Sales
Proceeds
(000)
|
|
|
Market Value
9/30/21
(000)
|
|
|
Dividend
Income
(000)
|
|
|
Government Money Market Portfolio
|
|
$
|
47,718
|
|
|
$
|
132,797
|
|
|
$
|
170,861
|
|
|
$
|
9,654
|
|
|
$
|
2
|
|
During the year ended March 31, 2021, the Adviser reimbursed the Fund $284 for trading losses incurred due to a pricing error.
NOTE C
Investment Transactions
Purchases and sales of
investment securities (excluding short-term investments) for the six months ended September 30, 2021, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchases
|
|
|
Sales
|
|
|
Investment securities (excluding U.S. government securities)
|
|
$
|
266,412,698
|
|
|
$
|
216,490,421
|
|
|
U.S. government securities
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
71,141,696
|
|
|
Gross unrealized depreciation
|
|
|
(74,012,469
|
)
|
|
|
|
|
|
|
|
Net unrealized depreciation
|
|
$
|
(2,870,773
|
)
|
|
|
|
|
|
|
1. Derivative Financial Instruments
The
Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the
risk profile of its portfolio.
The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
|
|
•
|
|
Forward Currency Exchange Contracts
|
The Fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign
portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging
|
|
|
|
|
|
|
|
98 | ALLIANCEBERNSTEIN
GLOBAL HIGH INCOME FUND
|
|
abfunds.com
|
NOTES TO FINANCIAL STATEMENTS (continued)
purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or
loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange
contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Fund. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in
the value of a foreign currency relative to the U.S. dollar.
During the six months ended September 30, 2021, the Fund held forward currency
exchange contracts for hedging and non-hedging purposes.
The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in
the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices
which they are designed to track. Among other things, the Fund may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign
currencies, as described below under “Currency Transactions”.
At the time the Fund enters into futures, the Fund deposits and maintains
as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund
agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may
arise from the potential inability of a counterparty to meet the terms of the contract. The credit/ counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or
counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the time it was closed.
|
|
|
|
|
|
|
|
abfunds.com
|
|
ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND | 99
|
NOTES TO FINANCIAL STATEMENTS (continued)
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional
value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement
price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended September 30, 2021, the Fund
held futures for hedging and non-hedging purposes.
For hedging and investment purposes, the Fund may purchase and write (sell) put and call options on U.S. and foreign securities, including government
securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Fund may use options
transactions for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions” and may use options strategies involving the
purchase and/or writing of various combinations of call and/or put options, for hedging and investment purposes.
The risk associated with
purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. If a put or
call option purchased by the Fund were permitted to expire without being sold or exercised, its premium would represent a loss to the Fund. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of
securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When the Fund writes an option, the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current market value of
the option written. The Fund’s maximum payment for written put options equates to the number of shares multiplied by the strike price. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective
referenced assets and upfront premium received upon entering into the contract. Premiums received from written options which expire unexercised are recorded by the Fund on the expiration date as realized gains from options written. The difference
between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the
|
|
|
|
|
|
|
|
100 | ALLIANCEBERNSTEIN
GLOBAL HIGH INCOME FUND
|
|
abfunds.com
|
NOTES TO FINANCIAL STATEMENTS (continued)
premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium
received is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency
purchased by the Fund. In writing an option, the Fund bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by the Fund could result in the Fund selling
or buying a security or currency at a price different from the current market value.
The Fund may also invest in options on swap agreements, also
called “swaptions”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based “premium”. A receiver swaption gives the owner the
right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index. Swaptions also include options that allow an
existing swap to be terminated or extended by one of the counterparties. The Fund’s maximum payment for written put swaptions equates to the notional amount of the underlying swap. In certain circumstances maximum payout amounts may be
partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract.
During the
six months ended September 30, 2021, the Fund held written options for hedging and non-hedging purposes.
The Fund may enter into swaps to hedge its exposure to interest rates, credit risk or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures including by making direct investments in foreign currencies, as described below under “Currency Transactions” or in order to take a
“long” or “short” position with respect to an underlying referenced asset described below under “Total Return Swaps”. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified
intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the
parties to the swap.
|
|
|
|
|
|
|
|
abfunds.com
|
|
ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND | 101
|
NOTES TO FINANCIAL STATEMENTS (continued)
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a
counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating
potential counterparty risk. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.
Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized
appreciation/ depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition
to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of
the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of
swaps on the statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will
be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to
transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and
Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an
initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to
receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from
the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less
|
|
|
|
|
|
|
|
102 | ALLIANCEBERNSTEIN
GLOBAL HIGH INCOME FUND
|
|
abfunds.com
|
NOTES TO FINANCIAL STATEMENTS (continued)
than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally
cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at
the time it was opened and the time it was closed.
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds,
the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements
between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its
portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest
(e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or “notional”) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted
out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended
September 30, 2021, the Fund held interest rate swaps for hedging and non-hedging purposes.
Credit
Default Swaps:
The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market,
to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Fund may purchase credit protection (“Buy
Contract”) or provide credit protection (“Sale Contract”) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated
at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer)
of protection an amount equal to the notional amount of the
|
|
|
|
|
|
|
|
abfunds.com
|
|
ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND | 103
|
NOTES TO FINANCIAL STATEMENTS (continued)
swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount
in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced
obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligation with the same counterparty.
Credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit default swaps are subject to
general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Fund is a seller of protection and a credit event
occurs, the value of the referenced obligation received by the Fund coupled with the periodic payments previously received may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of
period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/ performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation.
The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a
deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit
event has occurred for the referenced obligation.
During the six months ended September 30, 2021, the Fund held credit default swaps for
hedging and non-hedging purposes.
Total Return Swaps:
The Fund may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced
asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return
of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
|
|
|
|
|
|
|
|
104 | ALLIANCEBERNSTEIN
GLOBAL HIGH INCOME FUND
|
|
abfunds.com
|
NOTES TO FINANCIAL STATEMENTS (continued)
During the six months ended September 30, 2021, the Fund held total return swaps for non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative
contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA
Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment
(close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Fund’s net liability, held by the
defaulting party, may be delayed or denied.
The Fund’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in
the event the net assets of the Fund decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s OTC counterparty has the right to terminate such transaction and require the Fund to pay
or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty tables below for additional details.
During the six months ended September 30, 2021, the Fund had entered into the following derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Derivatives
|
|
|
Liability Derivatives
|
|
|
Derivative Type
|
|
Statement of
Assets and
Liabilities
Location
|
|
Fair Value
|
|
|
Statement of
Assets and
Liabilities
Location
|
|
Fair Value
|
|
|
Interest rate
contracts
|
|
Receivable/Payable
for variation margin
on futures
|
|
$
|
159,023
|
*
|
|
Receivable/Payable
for variation
margin
on futures
|
|
$
|
1,178,267
|
*
|
|
|
|
|
|
|
|
Foreign currency
contracts
|
|
Unrealized
appreciation on
forward currency
exchange
contracts
|
|
|
1,433,533
|
|
|
Unrealized
depreciation on
forward currency
exchange
contracts
|
|
|
226,310
|
|
|
|
|
|
|
|
|
|
abfunds.com
|
|
ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND | 105
|
NOTES TO FINANCIAL STATEMENTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Derivatives
|
|
|
Liability Derivatives
|
|
|
Derivative Type
|
|
Statement of
Assets and
Liabilities
Location
|
|
Fair Value
|
|
|
Statement of
Assets and
Liabilities
Location
|
|
|
Fair Value
|
|
|
|
|
|
|
|
|
Foreign currency
contracts
|
|
|
|
|
|
|
|
|
Options
written, at value
|
|
|
$
|
593
|
|
|
|
|
|
|
|
|
Credit contracts
|
|
Market value of
credit default
swaps
|
|
$
|
72,419
|
|
|
|
Market value of
credit default
swaps
|
|
|
|
27,255,847
|
|
|
|
|
|
|
|
|
Credit contracts
|
|
Receivable for
variation margin
on centrally
cleared swaps
|
|
|
1,634,639
|
*
|
|
|
Payable for
variation margin
on centrally
cleared swaps
|
|
|
|
378,450
|
*
|
|
|
|
|
|
|
|
Credit contracts
|
|
|
|
|
|
|
|
|
Unrealized
depreciation on
total return
swaps
|
|
|
|
173,438
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
$
|
3,299,614
|
|
|
|
|
|
|
$
|
29,212,905
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This
amount reflects cumulative unrealized appreciation/depreciation on futures and centrally cleared swaps as reported in the portfolio of investments.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Type
|
|
Location of
Gain or (Loss)
on Derivatives
Within Statement of
Operations
|
|
Realized Gain
or (Loss) on
Derivatives
|
|
|
Change in
Unrealized
Appreciation or
(Depreciation)
|
|
|
Interest rate contracts
|
|
Net realized gain/(loss) on swaps; Net change in unrealized appreciation/ depreciation on swaps
|
|
$
|
(427,362
|
)
|
|
$
|
239,666
|
|
|
|
|
|
|
|
Interest rate contracts
|
|
Net realized gain/(loss) on futures; Net change in unrealized appreciation/ depreciation on futures
|
|
|
951,844
|
|
|
|
1,781,015
|
|
|
|
|
|
|
|
Foreign currency contracts
|
|
Net realized gain/(loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation on forward currency exchange contracts
|
|
|
598,943
|
|
|
|
629,200
|
|
|
|
|
|
|
|
Foreign currency contracts
|
|
Net realized gain/(loss) on options written; Net change in unrealized appreciation/depreciation on options written
|
|
|
– 0
|
–
|
|
|
(132
|
)
|
|
|
|
|
|
|
|
|
106 | ALLIANCEBERNSTEIN
GLOBAL HIGH INCOME FUND
|
|
abfunds.com
|
NOTES TO FINANCIAL STATEMENTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Type
|
|
Location of
Gain or (Loss)
on Derivatives
Within Statement of
Operations
|
|
Realized Gain
or (Loss) on
Derivatives
|
|
|
Change in
Unrealized
Appreciation or
(Depreciation)
|
|
|
|
|
|
|
|
Credit contracts
|
|
Net realized gain/(loss) on swaps; Net change in unrealized appreciation/depreciation on swaps
|
|
$
|
17,391,379
|
|
|
$
|
(10,592,443
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
$
|
18,514,804
|
|
|
$
|
(7,942,694
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table represents the average monthly volume of the Fund’s derivative transactions during the six months ended
September 30, 2021:
|
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps:
|
|
|
|
|
|
Average notional amount of buy contracts
|
|
$
|
59,086,962
|
(a)
|
|
Average notional amount of sale contracts
|
|
$
|
245,221,505
|
|
|
|
|
|
|
|
|
Centrally Cleared Interest Rate Swaps
|
|
|
|
|
|
Average notional amount
|
|
$
|
45,232,516
|
(b)
|
|
|
|
|
|
|
|
Credit Default Swaps:
|
|
|
|
|
|
Average notional amount of buy contracts
|
|
$
|
– 0
|
–
|
|
Average notional amount of sale contracts
|
|
$
|
74,311,969
|
|
|
|
|
|
|
|
|
Forward Currency Exchange Contracts:
|
|
|
|
|
|
Average principal amount of buy contracts
|
|
$
|
17,401,873
|
|
|
Average principal amount of sale contracts
|
|
$
|
82,064,903
|
|
|
|
|
|
|
|
|
Futures:
|
|
|
|
|
|
Average notional amount of buy contracts
|
|
$
|
79,865,766
|
|
|
Average notional amount of sale contracts
|
|
$
|
23,114,962
|
|
|
|
|
|
|
|
|
Total Return Swaps:
|
|
|
|
|
|
Average notional amount
|
|
$
|
10,595,445
|
|
|
|
|
|
|
|
|
Options Written:
|
|
|
|
|
|
Average notional amount
|
|
$
|
298,716
|
(b)
|
|
(a)
|
Positions were open for two months during the reporting period.
|
|
(b)
|
Positions were open for one month during the reporting period.
|
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of
assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Fund’s derivative
assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Fund as of September 30, 2021. Exchange-traded derivatives
and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the tables.
|
|
|
|
|
|
|
|
abfunds.com
|
|
ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND | 107
|
NOTES TO FINANCIAL STATEMENTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
|
Derivative
Assets
Subject to a
MA
|
|
|
Derivatives
Available
for Offset
|
|
|
Cash
Collateral
Received*
|
|
|
Security
Collateral
Received*
|
|
|
Net Amount
of Derivative
Assets
|
|
|
Bank of America, NA.
|
|
$
|
1,121
|
|
|
$
|
(523
|
)
|
|
$
|
– 0
|
–
|
|
$
|
– 0
|
–
|
|
$
|
598
|
|
|
Barclays Bank PLC
|
|
|
313
|
|
|
|
(80
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
233
|
|
|
BNP Paribas SA
|
|
|
1,164
|
|
|
|
(1,164
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
Brown Brothers Harriman & Co.
|
|
|
33,287
|
|
|
|
(33,287
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
Citibank, NA/ Citigroup Global Markets, Inc.
|
|
|
4,274
|
|
|
|
(4,274
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
Credit Suisse International
|
|
|
12,614
|
|
|
|
(12,614
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
Deutsche Bank AG
|
|
|
94
|
|
|
|
(94
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
Goldman Sachs Bank USA/ Goldman Sachs International
|
|
|
151,820
|
|
|
|
(151,820
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
HSBC Bank USA
|
|
|
18
|
|
|
|
(18
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
JPMorgan Chase Bank, NA/ JPMorgan Securities, LLC
|
|
|
27,860
|
|
|
|
(27,860
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
Morgan Stanley Capital Services LLC/ Morgan Stanley & Co. International PLC
|
|
|
273
|
|
|
|
(273
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
Royal Bank of Scotland PLC
|
|
|
751
|
|
|
|
(429
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
322
|
|
|
Standard Chartered Bank
|
|
|
570
|
|
|
|
(338
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
232
|
|
|
UBS AG
|
|
|
1,271,793
|
|
|
|
(36
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
1,271,757
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
1,505,952
|
|
|
$
|
(232,810
|
)
|
|
$
|
– 0
|
–
|
|
$
|
– 0
|
–
|
|
$
|
1,273,142
|
^
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
|
Derivative
Liabilities
Subject to a
MA
|
|
|
Derivatives
Available
for Offset
|
|
|
Cash
Collateral
Pledged*
|
|
|
Security
Collateral
Pledged*
|
|
|
Net Amount
of Derivative
Liabilities
|
|
|
Bank of America, NA.
|
|
$
|
523
|
|
|
$
|
(523
|
)
|
|
$
|
– 0
|
–
|
|
$
|
– 0
|
–
|
|
$
|
– 0
|
–
|
|
Barclays Bank PLC
|
|
|
80
|
|
|
|
(80
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
BNP Paribas SA
|
|
|
2,124
|
|
|
|
(1,164
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
960
|
|
|
Brown Brothers Harriman & Co.
|
|
|
94,273
|
|
|
|
(33,287
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
60,986
|
|
|
Citibank, NA/ Citigroup Global Markets, Inc.
|
|
|
278,690
|
|
|
|
(4,274
|
)
|
|
|
– 0
|
–
|
|
|
(274,416
|
)
|
|
|
– 0
|
–
|
|
Credit Suisse International
|
|
|
2,165,461
|
|
|
|
(12,614
|
)
|
|
|
– 0
|
–
|
|
|
(2,152,847
|
)
|
|
|
– 0
|
–
|
|
Deutsche Bank AG
|
|
|
176,730
|
|
|
|
(94
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
176,636
|
|
|
Goldman Sachs Bank USA / Goldman Sachs International
|
|
|
17,117,718
|
|
|
|
(151,820
|
)
|
|
|
(4,420,000
|
)
|
|
|
(12,545,898
|
)
|
|
|
– 0
|
–
|
|
HSBC Bank USA
|
|
|
175
|
|
|
|
(18
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
157
|
|
|
JPMorgan Chase Bank, NA/ JPMorgan Securities, LLC
|
|
|
5,330,641
|
|
|
|
(27,860
|
)
|
|
|
– 0
|
–
|
|
|
(5,302,781
|
)
|
|
|
– 0
|
–
|
|
|
|
|
|
|
|
|
108 | ALLIANCEBERNSTEIN
GLOBAL HIGH INCOME FUND
|
|
abfunds.com
|
NOTES TO FINANCIAL STATEMENTS (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
|
Derivative
Liabilities
Subject to a
MA
|
|
|
Derivatives
Available
for Offset
|
|
|
Cash
Collateral
Pledged*
|
|
|
Security
Collateral
Pledged*
|
|
|
Net Amount
of Derivative
Liabilities
|
|
|
Morgan Stanley Capital Services LLC/ Morgan Stanley & Co. International PLC
|
|
$
|
2,488,970
|
|
|
$
|
(273
|
)
|
|
$
|
(120,000
|
)
|
|
$
|
(2,368,697
|
)
|
|
$
|
– 0
|
–
|
|
Royal Bank of Scotland PLC.
|
|
|
429
|
|
|
|
(429
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
Standard Chartered Bank
|
|
|
338
|
|
|
|
(338
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
UBS AG
|
|
|
36
|
|
|
|
(36
|
)
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
– 0
|
–
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
27,656,188
|
|
|
$
|
(232,810
|
)
|
|
$
|
(4,540,000
|
)
|
|
$
|
(22,644,639
|
)
|
|
$
|
238,739
|
^
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
The actual collateral received/pledged may be more than the amount reported due to overcollateralization.
|
|
^
|
Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or
termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.
|
|
|
See Note C.3 for additional disclosure of netting arrangements regarding reverse repurchase agreements.
|
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related
derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or
depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct
investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
3. Reverse Repurchase Agreements
The Fund may enter into reverse
repurchase transactions (“RVP”) in accordance with the terms of a Master Repurchase Agreement (“MRA”), under which the Fund sells securities and agrees to repurchase them at a mutually agreed upon date and price. At the time the
Fund enters into a reverse repurchase agreement, it will establish a segregated account with the custodian containing liquid assets having a value comparable to the repurchase price. Under the MRA and other Master Agreements, the Fund is permitted
to offset payables and/or receivables with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund in the event of a default. In the event of a default by a MRA
|
|
|
|
|
|
|
|
abfunds.com
|
|
ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND | 109
|
NOTES TO FINANCIAL STATEMENTS (continued)
counterparty, the Fund may be considered an unsecured creditor with respect to any excess collateral (collateral with a market value in excess of the repurchase price)
held by and/or posted to the counterparty, and as such the return of such excess collateral may be delayed or denied. For the six months ended September 30, 2021, the average amount of reverse repurchase agreements outstanding was $936,823 and
the daily weighted average interest rate was (0.98)%. During the period, the Fund received net interest payments from counterparties. At September 30, 2021, the Fund had reverse repurchase agreements outstanding in the amount of $639,268 as
reported in the statement of assets and liabilities.
The following table presents the Fund’s RVP liabilities by counterparty net of the related collateral
pledged by the Fund as of September 30, 2021:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
|
RVP Liabilities
Subject to a
MRA
|
|
|
Securities
Collateral
Pledged†*
|
|
|
Net Amount of
RVP Liabilities
|
|
|
Credit Suisse International
|
|
$
|
639,268
|
|
|
$
|
(639,268
|
)
|
|
$
|
– 0
|
–
|
|
†
|
Including accrued interest.
|
|
*
|
The actual collateral pledged may be more than the amount reported due to overcollateralization.
|
4. Loan Participations and Assignments
The Fund may invest in direct debt
instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers, either in the form of participations at the time the loan is originated (“Participations”) or by buying an
interest in the loan in the secondary market from a financial institution or institutional investor (“Assignments”). A loan is often administered by a bank or other financial institution (the “Lender”) that acts as agent for all
holders. The agent administers the terms of the loan as specified in the loan agreement. When investing in Participations, the Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. In addition,
when investing in Participations, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the Lender and only upon receipt of payments by the Lender from the borrower. As a result, the Fund
may be subject to the credit risk of both the borrower and the Lender. When the Fund purchases Assignments from Lenders, it will typically acquire direct rights against the borrower on the loan. These loans may include participations in “bridge
loans”, which are loans taken out by borrowers for a short period (typically less than six months) pending arrangement of more permanent financing through, for example, the issuance of bonds, frequently high-yield bonds issued for the purpose
of acquisitions. The Fund may also participate in unfunded loan commitments, which are contractual obligations for investing in future Participations, and may receive a commitment fee based on the amount of the commitment. Under these arrangements,
the Fund may receive a fixed
|
|
|
|
|
|
|
|
110 | ALLIANCEBERNSTEIN
GLOBAL HIGH INCOME FUND
|
|
abfunds.com
|
NOTES TO FINANCIAL STATEMENTS (continued)
rate
commitment fee and, if and to the extent the borrower borrows under the facility, the Fund may receive an additional funding fee.
Unfunded loan commitments and
funded loans are marked to market daily.
As of September 30, 2021, the Fund had the following unfunded loan commitment which could be extended at the option
of borrower pursuant to the respective loan agreement. The unrealized appreciation on such loan was $1,125.
|
|
|
|
|
|
|
|
|
|
|
Borrower
|
|
Unfunded Loan
Participation
Commitment
|
|
|
Funded
|
|
|
Jones DesLauriers Insurance Management, Inc. 2021 Delayed Draw Term Loan (Second Lien)
|
|
$
|
121,400
|
|
|
$
|
– 0
|
–
|
As of September 30, 2021, the Fund had no bridge loan commitments outstanding.
During the six months ended September 30, 2021, the Fund received no commitment fees or additional funding fees.
NOTE D
Capital Stock
During the six months ended September 30, 2021 and the year ended March 31, 2021, the Fund issued no shares in connection with the Fund’s
dividend reinvestment plan.
NOTE E
Risks Involved in Investing in the Fund
Market Risk—The market value of a security may move up or down, sometimes rapidly and unpredictably. These fluctuations may cause a security to be worth
less than the price originally paid for it, or less than it was worth at an earlier time. Market risk may affect a single issuer, industry, sector of the economy or the market as a whole. Global economies and financial markets are increasingly
interconnected, which increases the probabilities that conditions in one country or region might adversely impact issuers in a different country or region. Conditions affecting the general economy, including political, social, or economic
instability at the local, regional, or global level may also affect the market value of a security. Health crises, such as pandemic and epidemic diseases, as well as other incidents that interrupt the expected course of events, such as natural
disasters, including fires, earthquakes and flooding, war or civil disturbance, acts of terrorism, power outages and other unforeseeable and external events, and the public response to or fear of such diseases or events, have had, and may in the
future have, an adverse effect on the Fund’s investments and net asset value and can lead to
|
|
|
|
|
|
|
|
abfunds.com
|
|
ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND | 111
|
NOTES TO FINANCIAL STATEMENTS (continued)
increased
market volatility. For example, the diseases or events themselves or any preventative or protective actions that governments may take in respect of such diseases or events may result in periods of business disruption, inability to obtain raw
materials, supplies and component parts, and reduced or disrupted operations for the Fund’s portfolio companies. The occurrence and pendency of such diseases or events could adversely affect the economies and financial markets either in
specific countries or worldwide.
Interest-Rate Risk—Changes in interest rates will affect the value of investments in fixed-income securities. When
interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities
with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Credit
Risk—An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer
or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a
fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities
Risk—Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject
to greater price volatility due to such factors as specific corporate developments and negative perceptions of the junk bond market generally and may be more difficult to trade than other types of securities.
Duration Risk—Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a
fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money.
As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
|
|
|
|
|
|
|
|
112 | ALLIANCEBERNSTEIN
GLOBAL HIGH INCOME FUND
|
|
abfunds.com
|
NOTES TO FINANCIAL STATEMENTS (continued)
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price
and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk—Investments in
emerging market countries may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory or other uncertainties.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
Mortgage-Related and/or Other Asset-Backed Securities Risk—Investments in mortgage-related and other asset-backed securities are subject to certain
additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include “extension risk”, which is the risk that, in periods of rising interest rates, issuers may delay the payment of
principal, and “prepayment risk”, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed
securities offered by non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks
associated with the nature and servicing of mortgages or assets backing the securities.
Leverage Risk—When the Fund borrows money or otherwise
leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund’s investments. The Fund may create leverage through the use of reverse repurchase
arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures contracts or by borrowing money. The use of other types of derivative instruments by the Fund, such as forwards, futures, options and swaps, may also
result in a form of leverage.
Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns,
particularly if the market is declining. The risks of leverage also include potentially a higher volatility of the NAV of the Fund’s shares of common stock, potentially more volatility in the market value of the common stock and the relatively
greater effect of changes in the value of the Fund’s portfolio on the NAV of the shares of common stock caused by the favorable or adverse changes in market conditions or currency exchange rates. In addition, changes in the interest rate
environment can increase or decrease shareholder returns. The Fund maintains asset coverage of at least 300% with respect to borrowings.
|
|
|
|
|
|
|
|
abfunds.com
|
|
ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND | 113
|
NOTES TO FINANCIAL STATEMENTS (continued)
To the
extent that the current interest rate on the Fund’s indebtedness approaches the net return on the leveraged portion of the Fund’s investment portfolio, then the benefit to the shareholders will be reduced. If the rate on indebtedness were
to exceed the net return on the same portion of the portfolio, then this would result in a lower rate of return for the shareholders. Similarly, the use of leverage in a declining market can advance the decrease of the Fund’s NAV more so than
if the Fund were not leveraged, which would likely be reflected in a greater decline in the market price for shares of common stock than if the Fund were not leveraged. In extreme cases, if the Fund’s current investment income were not
sufficient to meet interest payments on indebtedness or if the Fund failed to maintain the asset coverage required by the 1940 Act, then it could be necessary for the Fund to liquidate certain investments at a time when it may be disadvantageous to
do so.
Derivatives Risk—The Fund may enter into derivative transactions such as forwards, options, futures and swaps. Derivatives may be difficult to
price, or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also
subject to counterparty risk. Derivatives may result in significant losses, including losses that are far greater than the value of the derivatives reflected in the statement of assets and liabilities.
Illiquid Investments Risk—Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such
investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid
investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally decline.
LIBOR
Risk—The Fund may invest in debt securities, derivatives or other financial instruments that utilize the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate
calculations. The United Kingdom Financial Conduct Authority, which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. Although widely used LIBOR rates are intended to be published until June 2023, banks are
strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. Although financial regulators and industry working groups have suggested alternative reference rates, such as the European Interbank
Offer Rate (“EURIBOR”), the Sterling Overnight Interbank Average Rate (“SONIA”) and the Secured Overnight Financing Rate (“SOFR”), global consensus on alternative rates is lacking and the process
|
|
|
|
|
|
|
|
114 | ALLIANCEBERNSTEIN
GLOBAL HIGH INCOME FUND
|
|
abfunds.com
|
NOTES TO FINANCIAL STATEMENTS (continued)
for amending
existing contracts or instruments to transition away from LIBOR is underway but remains incomplete. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates
could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect the Fund’s performance and/or net asset value. Uncertainty and risk also remain regarding the
willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in
markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially
adversely affecting the Fund’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is
not completed in a timely manner. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.
Indemnification Risk—In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum
exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability
in connection with these indemnification provisions.
Management Risk—The Fund is subject to management risk because it is an
actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Fund, but there is no guarantee that its techniques will produce the intended results. Some of these
techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE F
Distributions
to Shareholders
The tax character of distributions paid for the year ending March 31, 2022 will be determined at the end of the current fiscal
year.
|
|
|
|
|
|
|
|
abfunds.com
|
|
ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND | 115
|
NOTES TO FINANCIAL STATEMENTS (continued)
The tax
character of distributions paid during the fiscal years ended March 31, 2021 and March 31, 2020 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
2021
|
|
|
2020
|
|
|
Distributions paid from:
|
|
|
|
|
|
|
|
|
|
Ordinary income
|
|
$
|
59,292,215
|
|
|
$
|
64,694,299
|
|
|
|
|
|
|
|
|
|
|
|
|
Total taxable distributions paid
|
|
$
|
59,292,215
|
|
|
$
|
64,694,299
|
|
|
Return of Capital
|
|
|
8,484,311
|
|
|
|
3,461,637
|
|
|
|
|
|
|
|
|
|
|
|
|
Total distributions paid
|
|
$
|
67,776,526
|
|
|
$
|
68,155,936
|
|
|
|
|
|
|
|
|
|
|
|
As of March 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
|
|
|
|
|
|
|
Accumulated capital and other losses
|
|
$
|
(54,148,048
|
)(a)
|
|
Unrealized appreciation/(depreciation)
|
|
|
8,367,248
|
(b)
|
|
|
|
|
|
|
|
Total accumulated earnings/(deficit)
|
|
$
|
(45,780,800
|
)(c)
|
|
|
|
|
|
|
|
(a)
|
As of March 31, 2021, the Fund had a net capital loss carryforward of $54,145,462. As of March 31, 2021, the
cumulative deferred loss on straddles was $2,586.
|
|
(b)
|
The differences between book-basis and tax-basis unrealized
appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of passive foreign investment companies (PFICs), the tax treatment of
hyper-inflationary currency contracts, the tax treatment of Grantor Trusts, the tax treatment of swaps, the tax deferral of losses on wash sales, the tax treatment of partnership investments, and the tax treatment of callable bonds.
|
|
(c)
|
The differences between book-basis and tax-basis components of accumulated
earnings/(deficit) are attributable primarily to the accrual of foreign capital gains tax and the tax treatment of defaulted securities.
|
For tax
purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or
long-term capital losses. As of March 31, 2021, the Fund had a net short-term capital loss carryforward of $11,488,751 and a net long-term capital loss carryforward of $42,656,711, which may be carried forward for an indefinite period.
NOTE G
Recent
Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional
guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through
December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
|
|
|
|
|
|
|
|
116 | ALLIANCEBERNSTEIN
GLOBAL HIGH INCOME FUND
|
|
abfunds.com
|
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE H
Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued.
Management has determined that there are no material events that would require disclosure in the Fund’s financial statements through this date.
|
|
|
|
|
|
|
|
abfunds.com
|
|
ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND | 117
|
FINANCIAL HIGHLIGHTS
Selected Data For A Share of Capital Stock Outstanding Throughout Each Period
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months
Ended
September 30,
2021
(unaudited)
|
|
|
Year Ended March 31,
|
|
|
|
2021
|
|
|
2020
|
|
|
2019
|
|
|
2018
|
|
|
2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
|
$ 12.78
|
|
|
|
$ 10.74
|
|
|
|
$ 12.95
|
|
|
|
$ 13.56
|
|
|
|
$ 13.87
|
|
|
|
$ 12.64
|
|
|
|
|
|
|
|
|
Income From Investment Operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a)
|
|
|
.31
|
|
|
|
.59
|
|
|
|
.67
|
|
|
|
.75
|
|
|
|
.83
|
|
|
|
.82
|
|
|
|
|
|
|
|
|
|
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions
|
|
|
.28
|
|
|
|
2.24
|
|
|
|
(2.09
|
)
|
|
|
(.52
|
)
|
|
|
(.30
|
)
|
|
|
1.36
|
|
|
|
|
|
|
|
|
|
|
Contributions from Affiliates
|
|
|
– 0
|
–
|
|
|
.00
|
(b)
|
|
|
.00
|
(b)
|
|
|
.00
|
(b)
|
|
|
– 0
|
–
|
|
|
.00
|
(b)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) in net asset value from operations
|
|
|
.59
|
|
|
|
2.83
|
|
|
|
(1.42
|
)
|
|
|
.23
|
|
|
|
.53
|
|
|
|
2.18
|
|
|
|
|
|
|
|
|
Less: Dividends and Distributions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends from net investment income
|
|
|
(.39
|
)
|
|
|
(.69
|
)
|
|
|
(.75
|
)
|
|
|
(.75
|
)
|
|
|
(.83
|
)
|
|
|
(.95
|
)
|
|
|
|
|
|
|
|
|
|
Return of capital
|
|
|
– 0
|
–
|
|
|
(.10
|
)
|
|
|
(.04
|
)
|
|
|
(.09
|
)
|
|
|
(.01
|
)
|
|
|
– 0
|
–
|
|
|
|
|
|
|
|
|
|
Total dividends and distributions
|
|
|
(.39
|
)
|
|
|
(.79
|
)
|
|
|
(.79
|
)
|
|
|
(.84
|
)
|
|
|
(.84
|
)
|
|
|
(.95
|
)
|
|
|
|
|
|
|
|
Net asset value, end of period
|
|
|
$ 12.98
|
|
|
|
$ 12.78
|
|
|
|
$ 10.74
|
|
|
|
$ 12.95
|
|
|
|
$ 13.56
|
|
|
|
$ 13.87
|
|
|
|
|
|
|
|
|
Market value, end of period
|
|
|
$ 12.27
|
|
|
|
$ 11.85
|
|
|
|
$ 9.26
|
|
|
|
$ 11.59
|
|
|
|
$ 11.89
|
|
|
|
$ 12.58
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premium/(Discount), end of period
|
|
|
(5.47
|
)%
|
|
|
(7.28
|
)%
|
|
|
(13.78
|
)%
|
|
|
(10.50
|
)%
|
|
|
(12.32
|
)%
|
|
|
(9.30
|
)%
|
|
|
|
|
|
|
|
|
|
Total Return
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment return based
on:(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market value
|
|
|
6.92
|
%
|
|
|
37.57
|
%
|
|
|
(14.43
|
)%
|
|
|
4.91
|
%
|
|
|
.95
|
%
|
|
|
16.47
|
%
|
|
|
|
|
|
|
|
|
|
Net asset value
|
|
|
4.88
|
%
|
|
|
27.92
|
%
|
|
|
(11.18
|
)%
|
|
|
2.78
|
%
|
|
|
4.42
|
%
|
|
|
18.46
|
%
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000’s omitted)
|
|
|
$1,119,560
|
|
|
|
$1,102,273
|
|
|
|
$926,184
|
|
|
|
$1,116,970
|
|
|
|
$1,169,161
|
|
|
|
$1,195,920
|
|
|
|
|
|
|
|
|
|
|
Ratio to average net assets of:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses, net of waivers/reimbursements(d)(e)†
|
|
|
1.00
|
%(f)
|
|
|
1.02
|
%
|
|
|
1.00
|
%
|
|
|
1.04
|
%
|
|
|
1.05
|
%
|
|
|
1.04
|
%
|
|
|
|
|
|
|
|
|
|
Expenses, before waivers/reimbursements(d)(e)†
|
|
|
1.00
|
%(f)
|
|
|
1.02
|
%
|
|
|
1.01
|
%
|
|
|
1.05
|
%
|
|
|
1.05
|
%
|
|
|
1.04
|
%
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
4.76
|
%(f)
|
|
|
4.88
|
%
|
|
|
5.16
|
%
|
|
|
5.72
|
%
|
|
|
5.99
|
%
|
|
|
6.14
|
%
|
|
|
|
|
|
|
|
|
|
Portfolio turnover rate
|
|
|
20
|
%
|
|
|
51
|
%
|
|
|
32
|
%
|
|
|
40
|
%
|
|
|
34
|
%
|
|
|
48
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
† Expense
ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying
|
|
|
portfolios
|
|
|
.01
|
%
|
|
|
.01
|
%
|
|
|
.00
|
%
|
|
|
.00
|
%
|
|
|
.01
|
%
|
|
|
.00
|
%
|
See footnote summary on page 119.
|
|
|
|
|
|
|
|
118 | ALLIANCEBERNSTEIN
GLOBAL HIGH INCOME FUND
|
|
abfunds.com
|
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share of Capital Stock Outstanding Throughout Each Period
|
(a)
|
Based on average shares outstanding.
|
|
(b)
|
Amount is less than $0.005.
|
|
(c)
|
Total investment return is calculated assuming a purchase of common stock on the opening of the first day and a sale on
the closing of the last day of each period reported. Dividends and distributions, if any, are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s Dividend Reinvestment Plan. Generally, Total
investment return based on net asset value will be higher than total investment return based on market value to the net asset value from the beginning to the end of such periods. Conversely, total investment return based on net asset value will be
lower than total investment return based on market value in periods where there is a decrease in the discount or an increase in the premium of the market value to the net asset value from the beginning to the end of such periods. Total investment
return calculated for a period of less than one year is not annualized.
|
|
(d)
|
The expense ratios presented below exclude interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months
Ended
September 30,
2021
(unaudited)(f)
|
|
|
Year Ended March 31,
|
|
|
|
2021
|
|
|
2020
|
|
|
2019
|
|
|
2018
|
|
|
2017
|
|
|
|
|
|
|
|
|
|
|
Net of waivers/reimbursements
|
|
|
1.00
|
%
|
|
|
1.02
|
%
|
|
|
.99
|
%
|
|
|
.99
|
%
|
|
|
.99
|
%
|
|
|
.99
|
%
|
|
|
|
|
|
|
|
|
|
Before waivers/reimbursements
|
|
|
1.00
|
%
|
|
|
1.02
|
%
|
|
|
1.00
|
%
|
|
|
1.00
|
%
|
|
|
.99
|
%
|
|
|
.99
|
%
|
|
(e)
|
In connection with the Fund’s investments in affiliated underlying portfolios, the Fund incurs no direct expenses but
bears proportionate shares of the acquired fund fees and expenses (i.e. operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an
amount equal to the Fund’s pro rata share of certain acquired fund fees and expenses, and for the years ended March 31, 2020 and March 31, 2019, such waiver amounted to 0.01% and 0.01%, respectively.
|
See notes to financial statements.
|
|
|
|
|
|
|
|
abfunds.com
|
|
ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND | 119
|
ADDITIONAL INFORMATION
(unaudited)
AllianceBernstein Global High Income Fund
Shareholders whose shares are registered in their own names will automatically be participants in the Dividend Reinvestment Plan (the “Plan”),
pursuant to which distributions to shareholders will be paid in or reinvested in additional shares of the Fund, unless they elect to receive cash. Computershare Trust Company N.A. (the “Agent”) will act as agent for participants under the
Plan. Shareholders whose shares are held in the name of a broker or nominee should contact such broker or nominee to determine whether or how they may participate in the Plan.
If the Board declares a distribution payable either in shares or in cash, as holders of the Common Stock may have elected,
non-participants in the Plan will receive cash and participants in the Plan will receive the equivalent in shares of Common Stock of the Fund valued as follows:
|
|
(i)
|
If the shares of Common Stock are trading at net asset value or at a premium above net asset value at the time of
valuation, the Fund will issue new shares at the greater of net asset value or 95% of the then current market price.
|
|
|
(ii)
|
If the shares of Common Stock are trading at a discount from net asset value at the time of valuation, the Agent will
receive the distribution in cash and apply it to the purchase of the Fund’s shares of Common Stock in the open market on the New York Stock Exchange or elsewhere, for the participants’ accounts. Such purchases will be made on or shortly
after the payment date for such distribution and in no event more than 30 days after such date except where temporary curtailment or suspension of purchase is necessary to comply with Federal securities laws. If, before the Agent has completed its
purchases, the market price exceeds the net asset value of a share of Common Stock, the average purchase price per share paid by the Agent may exceed the net asset value of the Fund’s shares of Common Stock, resulting in the acquisition of
fewer shares than if the distribution had been paid in shares issued by the Fund.
|
The Agent will maintain all shareholders’ accounts in the
Plan and furnish written confirmation of all transactions in the account, including information needed by shareholders for tax records. Shares in the account of each Plan participant will be held by the Agent in
non-certificate form in the name of the participant, and each shareholder’s proxy will include those shares purchased or received pursuant to the Plan.
There will be no charges with respect to shares issued directly by the Fund to satisfy the dividend reinvestment requirements. However, each participant
|
|
|
|
|
|
|
|
120 | ALLIANCEBERNSTEIN
GLOBAL HIGH INCOME FUND
|
|
abfunds.com
|
ADDITIONAL INFORMATION (continued)
will pay a pro rata share of brokerage commissions incurred with respect to the Agent’s open market purchases of shares.
The automatic reinvestment of distributions will not relieve participants of any income taxes that may be payable (or required to be withheld) on distributions.
Experience under the Plan may indicate that changes are desirable. Accordingly, the Fund reserves the right to amend or terminate the Plan
as applied to any voluntary cash payments made and any dividend or distribution paid subsequent to written notice of the change sent to participants in the Plan at least 90 days before the record date for such dividend or distribution. The Plan may
also be amended or terminated by the Agent on at least 90 days written notice to participants in the Plan. All correspondence concerning the Plan should be directed to the Agent at Computershare Trust Company N.A., P.O. Box 30170 College Point,
TX 77842-3170.
|
|
|
|
|
|
|
|
abfunds.com
|
|
ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND | 121
|