UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: | 811-05186 | |
Exact name of registrant as specified in charter: | Advanced Series Trust | |
(This Form N-CSR relates solely to the Registrant’s 22 portfolios listed in Appendix A) | ||
Address of principal executive offices: | 655 Broad Street, 17th Floor Newark, New Jersey 07102 | |
Name and address of agent for service: | Andrew R. French 655 Broad Street, 17th Floor Newark, New Jersey 07102 | |
Registrant’s telephone number, including area code: | 800-225-1852 | |
Date of fiscal year end: | 12/31/2020 | |
Date of reporting period: | 6/30/2020 |
Item 1 – Reports to Stockholders
Advanced Series Trust
SEMIANNUAL REPORT | June 30, 2020 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports for other portfolios. Please refer to your variable annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about each portfolio’s holdings are for the period covered by this report and are subject to change thereafter.
The accompanying financial statements as of June 30, 2020, were not audited; and accordingly, no auditor’s opinion is expressed on them.
Please note that this report may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
AST Bond Portfolio 2020
AST Bond Portfolio 2021
AST Bond Portfolio 2022
AST Bond Portfolio 2023
AST Bond Portfolio 2024
AST Bond Portfolio 2025
AST Bond Portfolio 2026
AST Bond Portfolio 2027
AST Bond Portfolio 2028
AST Bond Portfolio 2029
AST Bond Portfolio 2030
AST Bond Portfolio 2031
AST Cohen & Steers Global Realty Portfolio
AST High Yield Portfolio
AST Investment Grade Bond Portfolio
AST Prudential Core Bond Portfolio
AST QMA US Equity Alpha Portfolio
AST Quantitative Modeling Portfolio
AST Western Asset Core Plus Bond Portfolio
AST Western Asset Emerging Markets Debt Portfolio
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Advanced Series Trust
Table of Contents | Semiannual Report | June 30, 2020 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |||
Glossary | A1 | |||
AST Bond Portfolio 2020 | A2 | |||
AST Bond Portfolio 2021 | A10 | |||
AST Bond Portfolio 2022 | A19 | |||
AST Bond Portfolio 2023 | A28 | |||
AST Bond Portfolio 2024 | A38 | |||
AST Bond Portfolio 2025 | A47 | |||
AST Bond Portfolio 2026 | A56 | |||
AST Bond Portfolio 2027 | A65 | |||
AST Bond Portfolio 2028 | A73 | |||
AST Bond Portfolio 2029 | A79 | |||
AST Bond Portfolio 2030 | A86 | |||
AST Bond Portfolio 2031 | A97 | |||
AST Cohen & Steers Global Realty Portfolio | A105 | |||
AST High Yield Portfolio | A109 | |||
AST Investment Grade Bond Portfolio | A136 | |||
AST Prudential Core Bond Portfolio | A156 | |||
AST QMA US Equity Alpha Portfolio | A185 | |||
AST Quantitative Modeling Portfolio | A198 | |||
AST Western Asset Core Plus Bond Portfolio | A201 | |||
AST Western Asset Emerging Markets Debt Portfolio | A241 | |||
Section B | Notes to Financial Statements | |||
Section C | Financial Highlights |
∎ | APPROVAL OF ADVISORY AGREEMENTS |
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
Advanced Series Trust
Letter to Contract Owners | Semiannual Report | June 30, 2020 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and ready to serve and support you. This Advanced Series Trust semiannual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 145 years. You can count on our history of financial stability. We are diversified for endurance. Our balanced mix of risks and businesses positions us well to manage through any economic environment. We’ve applied the lessons from decades of challenges to be stronger, because we are committed to keeping our promises to you.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. A strong sense of social responsibility for our clients, our employees, and our communities has been embedded in the company since our founding. It guides our efforts to help our customers achieve peace of mind through financial wellness.
We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin President, Advanced Series Trust |
July 31, 2020
Advanced Series Trust
Presentation of Portfolio Holdings — unaudited | June 30, 2020 |
AST Bond Portfolio 2020 |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 15.3% | |||
AA | 13.4% | |||
A | 21.7% | |||
BBB | 13.0% | |||
BB | 1.5% | |||
B | 1.6% | |||
Cash & Equivalents | 33.5% | |||
Total | 100.0% |
AST Bond Portfolio 2021 |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 44.1% | |||
AA | 6.8% | |||
A | 22.6% | |||
BBB | 9.3% | |||
BB | 0.2% | |||
CCC | 0.1% | |||
NR | 1.8% | |||
Cash & Equivalents | 15.1% | |||
Total | 100.0% |
AST Bond Portfolio 2022 |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 54.2% | |||
AA | 9.8% | |||
A | 18.6% | |||
BBB | 13.1% | |||
BB | 1.1% | |||
B | 0.2% | |||
NR | 2.5% | |||
Cash & Equivalents | 0.5% | |||
Total | 100.0% |
AST Bond Portfolio 2023 |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 62.5% | |||
AA | 5.8% | |||
A | 14.4% | |||
BBB | 12.1% | |||
B | 0.2% | |||
NR | 1.6% | |||
Cash & Equivalents | 3.4% | |||
Total | 100.0% |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
Advanced Series Trust
Presentation of Portfolio Holdings — unaudited (continued) | June 30, 2020 |
AST Bond Portfolio 2024 |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 63.2% | |||
AA | 4.0% | |||
A | 10.9% | |||
BBB | 12.1% | |||
BB | 0.4% | |||
NR | 7.3% | |||
Cash & Equivalents | 2.1% | |||
Total | 100.0% |
AST Bond Portfolio 2025 |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 65.7% | |||
AA | 3.3% | |||
A | 13.3% | |||
BBB | 12.5% | |||
BB | 0.3% | |||
NR | 7.8% | |||
Cash & Equivalents | (2.9)% | |||
Total | 100.0% |
AST Bond Portfolio 2026 |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 15.3% | |||
AA | 13.4% | |||
A | 21.7% | |||
BBB | 13.0% | |||
BB | 1.5% | |||
B | 1.6% | |||
Cash & Equivalents | 33.6% | |||
Total | 100.0% |
AST Bond Portfolio 2027 |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 65.7% | |||
AA | 10.1% | |||
A | 9.6% | |||
BBB | 12.0% | |||
BB | 0.6% | |||
B | 0.1% | |||
NR | 9.9% | |||
Cash & Equivalents | (8.0)% | |||
Total | 100.0% |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
Advanced Series Trust
Presentation of Portfolio Holdings — unaudited (continued) | June 30, 2020 |
AST Bond Portfolio 2028 |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 53.3% | |||
AA | 2.5% | |||
A | 13.5% | |||
BBB | 4.7% | |||
BB | 1.6% | |||
NR | 17.4% | |||
Cash & Equivalents | 7.0% | |||
Total | 100.0% |
AST Bond Portfolio 2029 |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 78.9% | |||
AA | 3.3% | |||
A | 9.8% | |||
BBB | 6.8% | |||
NR | 12.5% | |||
Cash & Equivalents | (11.3)% | |||
Total | 100.0% |
AST Bond Portfolio 2030 |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 63.7% | |||
AA | 4.9% | |||
A | 12.3% | |||
BBB | 7.6% | |||
BB | 0.1% | |||
NR | 15.0% | |||
Cash & Equivalents | (3.6)% | |||
Total | 100.0% |
AST Bond Portfolio 2031 |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 76.1% | |||
AA | 3.2% | |||
A | 7.4% | |||
BBB | 6.1% | |||
BB | 0.1% | |||
NR | 15.7% | |||
Cash & Equivalents | (8.6)% | |||
Total | 100.0% |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
Advanced Series Trust
Presentation of Portfolio Holdings — unaudited (continued) | June 30, 2020 |
AST Cohen & Steers Global Realty |
| |||||||
Ten Largest Holdings | Line of Business | Country | (% of Net Assets | ) | ||||
Prologis, Inc. | Industrial REITs | United States | 6.8% | |||||
Public Storage | Specialized REITs | United States | 5.0% | |||||
Welltower, Inc. | Health Care REITs | United States | 3.9% | |||||
Ventas, Inc. | Health Care REITs | United States | 3.3% | |||||
Equinix, Inc. | Specialized REITs | United States | 3.2% | |||||
Essex Property Trust, Inc. | Residential REITs | United States | 3.1% | |||||
Simon Property Group, Inc. | Retail REITs | United States | 2.7% | |||||
VICI Properties, Inc. | Specialized REITs | United States | 2.5% | |||||
Invitation Homes, Inc. | Residential REITs | United States | 2.5% | |||||
UDR, Inc. | Residential REITs | United States | 2.4% |
AST High Yield |
| |||
Credit Quality | (% of Net Assets | ) | ||
BBB | 1.7% | |||
BB | 33.9% | |||
B | 35.9% | |||
CCC and Below | 19.3% | |||
NR | 3.4% | |||
Cash/Cash Equivalents | 5.8% | |||
Total | 100.0% |
AST Investment Grade Bond |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 32.4% | |||
AA | 2.8% | |||
A | 19.1% | |||
BBB | 37.5% | |||
BB | 3.3% | |||
B | 0.1% | |||
CCC | 0.1% | |||
NR | 3.6% | |||
Cash & Equivalents | 1.1% | |||
Total | 100.0% |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
Advanced Series Trust
Presentation of Portfolio Holdings — unaudited (continued) | June 30, 2020 |
AST Prudential Core Bond |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 52.6% | |||
AA | 2.6% | |||
A | 11.3% | |||
BBB | 19.1% | |||
BB | 5.0% | |||
B | 3.2% | |||
CCC and Below | 1.0% | |||
NR | 6.5% | |||
Cash & Equivalents | (1.3)% | |||
Total | 100.0% |
AST QMA US Equity Alpha |
| |||||
Ten Largest Holdings — Long | Line of Business | (% of Net Assets | ) | |||
Microsoft Corp. | Software | 5.7% | ||||
Apple, Inc. | Technology Hardware, Storage & Peripherals | 5.1% | ||||
Amazon.com, Inc. | Internet & Direct Marketing Retail | 2.8% | ||||
Facebook, Inc. (Class A Stock) | Interactive Media & Services | 2.3% | ||||
Intel Corp. | Semiconductors & Semiconductor Equipment | 1.4% | ||||
Johnson & Johnson | Pharmaceuticals | 1.3% | ||||
Procter & Gamble Co. (The) | Household Products | 1.3% | ||||
Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 1.3% | ||||
UnitedHealth Group, Inc. | Health Care Providers & Services | 1.3% | ||||
NVIDIA Corp. | Semiconductors & Semiconductor Equipment | 1.3% |
AST QMA US Equity Alpha |
| |||||
Ten Largest Holdings — Short | Line of Business | (% of Net Assets | ) | |||
MongoDB, Inc. | IT Services | (1.1)% | ||||
Alteryx, Inc. (Class A Stock) | Software | (1.0)% | ||||
Guardant Health, Inc. | Health Care Providers & Services | (0.9)% | ||||
Cree, Inc. | Semiconductors & Semiconductor Equipment | (0.9)% | ||||
Roku, Inc. | Entertainment | (0.7)% | ||||
Smartsheet, Inc. (Class A Stock) | Software | (0.7)% | ||||
Penumbra, Inc. | Health Care Equipment & Supplies | (0.7)% | ||||
Lennox International, Inc. | Building Products | (0.7)% | ||||
Sarepta Therapeutics, Inc. | Biotechnology | (0.7)% | ||||
II-VI, Inc. | Electronic Equipment, Instruments & Components | (0.7)% |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
Advanced Series Trust
Presentation of Portfolio Holdings — unaudited (continued) | June 30, 2020 |
AST Quantitative Modeling |
| |||||
Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
AST Large-Cap Core Portfolio | Large/Mid-Cap Growth | 13.2% | ||||
AST ClearBridge Dividend Growth Portfolio | Large/Mid-Cap Blend | 10.6% | ||||
AST Prudential Core Bond Portfolio | Core Bond | 8.1% | ||||
AST Investment Grade Bond Portfolio | Core Bond | 6.1% | ||||
AST Wellington Management Global Bond Portfolio | Core Bond | 5.8% | ||||
AST MFS Large-Cap Value Portfolio | Large/Mid-Cap Value | 5.8% | ||||
AST T. Rowe Price Large-Cap Value Portfolio | Large/Mid-Cap Value | 5.5% | ||||
AST Loomis Sayles Large-Cap Growth Portfolio | Large/Mid-Cap Growth | 5.1% | ||||
AST International Growth Portfolio | International Growth | 4.9% | ||||
AST International Value Portfolio | International Value | 4.8% |
AST Western Asset Core Plus Bond |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 34.6% | |||
AA | 5.8% | |||
A | 17.2% | |||
BBB | 23.6% | |||
BB | 9.1% | |||
B | 4.0% | |||
CCC and Below | 0.9% | |||
Cash/Cash Equivalents | 4.8% | |||
Total | 100.0% |
AST Western Asset Emerging Markets Debt |
| |||
Credit Quality | (% of Net Assets | ) | ||
AAA | 0.2% | |||
AA | 6.9% | |||
A | 15.0% | |||
BBB | 39.2% | |||
BB | 19.8% | |||
B | 15.2% | |||
CCC and Below | 2.3% | |||
Cash/Cash Equivalents | 1.4% | |||
Total | 100.0% |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments.
Advanced Series Trust
Fees and Expenses — unaudited | June 30, 2020 |
As a contract owner investing in Portfolios of the Trust through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Trust and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2020 through June 30, 2020.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fees and charges were included, your costs would have been higher.
Advanced Series Trust Portfolios | Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
AST Bond Portfolio 2020 | Actual | $ | 1,000.00 | $ | 1,018.30 | 0.83 | % | $ | 4.17 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.74 | 0.83 | % | $ | 4.17 | ||||||||||
AST Bond Portfolio 2021 | Actual | $ | 1,000.00 | $ | 1,026.40 | 0.89 | % | $ | 4.48 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.44 | 0.89 | % | $ | 4.47 | ||||||||||
AST Bond Portfolio 2022 | Actual | $ | 1,000.00 | $ | 1,039.60 | 0.93 | % | $ | 4.72 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.24 | 0.93 | % | $ | 4.67 | ||||||||||
AST Bond Portfolio 2023 | Actual | $ | 1,000.00 | $ | 1,057.00 | 0.93 | % | $ | 4.76 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.24 | 0.93 | % | $ | 4.67 | ||||||||||
AST Bond Portfolio 2024 | Actual | $ | 1,000.00 | $ | 1,072.80 | 0.93 | % | $ | 4.79 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.24 | 0.93 | % | $ | 4.67 | ||||||||||
AST Bond Portfolio 2025 | Actual | $ | 1,000.00 | $ | 1,102.10 | 0.93 | % | $ | 4.86 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.24 | 0.93 | % | $ | 4.67 | ||||||||||
AST Bond Portfolio 2026 | Actual | $ | 1,000.00 | $ | 1,098.10 | 0.89 | % | $ | 4.64 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.44 | 0.89 | % | $ | 4.47 | ||||||||||
AST Bond Portfolio 2027 | Actual | $ | 1,000.00 | $ | 1,115.10 | 0.93 | % | $ | 4.89 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.24 | 0.93 | % | $ | 4.67 | ||||||||||
AST Bond Portfolio 2028 | Actual | $ | 1,000.00 | $ | 1,155.80 | 0.93 | % | $ | 4.98 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.24 | 0.93 | % | $ | 4.67 | ||||||||||
AST Bond Portfolio 2029 | Actual | $ | 1,000.00 | $ | 1,175.60 | 0.93 | % | $ | 5.03 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.24 | 0.93 | % | $ | 4.67 |
Advanced Series Trust
Fees and Expenses — unaudited (continued) | June 30, 2020 |
Advanced Series Trust Portfolios | Beginning Account Value January 1, 2020 | Ending Account Value | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
AST Bond Portfolio 2030 | Actual | $ | 1,000.00 | $ | 1,156.50 | 0.78 | % | $ | 4.18 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.98 | 0.78 | % | $ | 3.92 | ||||||||||
AST Bond Portfolio 2031 | Actual** | $ | 1,000.00 | $ | 1,156.00 | 0.93 | % | $ | 4.93 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.24 | 0.93 | % | $ | 4.67 | ||||||||||
AST Cohen & Steers Global Realty Portfolio | Actual | $ | 1,000.00 | $ | 819.90 | 1.13 | % | $ | 5.11 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.24 | 1.13 | % | $ | 5.67 | ||||||||||
AST High Yield Portfolio | Actual | $ | 1,000.00 | $ | 927.90 | 0.89 | % | $ | 4.27 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.44 | 0.89 | % | $ | 4.47 | ||||||||||
AST Investment Grade Bond Portfolio | Actual | $ | 1,000.00 | $ | 1,120.20 | 0.69 | % | $ | 3.64 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.43 | 0.69 | % | $ | 3.47 | ||||||||||
AST Prudential Core Bond Portfolio | Actual | $ | 1,000.00 | $ | 1,025.40 | 0.73 | % | $ | 3.68 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.23 | 0.73 | % | $ | 3.67 | ||||||||||
AST QMA US Equity Alpha Portfolio | Actual | $ | 1,000.00 | $ | 874.20 | 1.47 | % | $ | 6.85 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,017.55 | 1.47 | % | $ | 7.37 | ||||||||||
AST Quantitative Modeling Portfolio | Actual | $ | 1,000.00 | $ | 944.00 | 1.01 | % | $ | 4.88 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.84 | 1.01 | % | $ | 5.07 | ||||||||||
AST Western Asset Core Plus Bond Portfolio | Actual | $ | 1,000.00 | $ | 1,027.00 | 0.78 | % | $ | 3.93 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.98 | 0.78 | % | $ | 3.92 | ||||||||||
AST Western Asset Emerging Markets Debt | Actual | $ | 1,000.00 | $ | 991.00 | 1.07 | % | $ | 5.30 | |||||||||
Portfolio | Hypothetical | $ | 1,000.00 | $ | 1,019.54 | 1.07 | % | $ | 5.37 |
* Portfolio expenses (net of fee waivers or subsidies, if any) are equal to the annualized expense ratio (provided in the table), multiplied by the average account value over the period, multiplied by the 182 days in the six-month period ended June 30, 2020, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2020 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
** “Actual” expenses for AST Bond Portfolio 2031 are calculated using the 180-day period ended June 30, 2020 due to the Portfolio’s commencement of operations on January 2, 2020.
Glossary |
The following abbreviations are used in the Portfolios’ descriptions:
ARS | Argentine Peso | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CNH | Chinese Renminbi | |
COP | Colombian Peso | |
EUR | Euro | |
GBP | British Pound | |
HUF | Hungarian Forint | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
MXN | Mexican Peso | |
NZD | New Zealand Dollar | |
PHP | Philippine Peso | |
RUB | Russian Ruble | |
SAR | Saudi Arabian Riyal | |
USD | US Dollar | |
ZAR | South African Rand |
144A | — Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. | |
A | — Annual payment frequency for swaps | |
ABS | — Asset-Backed Security | |
Aces | — Alternative Credit Enhancements Securities | |
BABs | — Build America Bonds | |
BBR | — New Zealand Bank Bill Rate | |
BBSW | — Australian Bank Bill Swap Reference Rate | |
BROIS | — Brazil Overnight Index Swap | |
BTP | — Buoni del Tesoro Poliennali | |
BUBOR | — Budapest Interbank Offered Rate | |
CDX | — Credit Derivative Index | |
CLO | — Collateralized Loan Obligation | |
CMBX | — Commercial Mortgage-Backed Index | |
CMS | — Constant Maturity Swap | |
COOIS | — Colombia Overnight Interbank Reference Rate | |
CVA | — Certificate Van Aandelen (Bearer) | |
CVT | — Convertible Security | |
DIP | — Debtor-In-Possession | |
EMTN | — Euro Medium Term Note | |
EONIA | — Euro Overnight Index Average | |
EURIBOR | — Euro Interbank Offered Rate | |
FHLMC | — Federal Home Loan Mortgage Corporation | |
FREMF | — Freddie Mac Mortgage Trust | |
GMTN | — Global Medium Term Note | |
IO | — Interest Only (Principal amount represents notional) | |
iTraxx | — International Credit Derivative Index | |
JIBAR | — Johannesburg Interbank Agreed Rate | |
L2 | — Level 2 | |
L3 | — Level 3 | |
LIBOR | — London Interbank Offered Rate | |
LP | — Limited Partnership | |
M | — Monthly payment frequency for swaps | |
MASTR | — Morgan Stanley Structured Asset Security | |
MSCI | — Morgan Stanley Capital International | |
MTN | — Medium Term Note | |
OAT | — Obligations Assimilables du Tresor | |
OFZ | — Obligatsyi Federal’novo Zaima (Federal Loan Obligations) | |
OJSC | — Open Joint-Stock Company | |
OTC | — Over-the-counter | |
PIK | — Payment-in-Kind | |
PJSC | — Public Joint-Stock Company | |
PO | — Principal Only | |
Q | — Quarterly payment frequency for swaps | |
REITs | — Real Estate Investment Trust | |
REMICS | — Real Estate Mortgage Investment Conduit Security | |
S | — Semiannual payment frequency for swaps | |
S&P | — Standard & Poor’s | |
SONIA | — Sterling Overnight Index Average | |
Strips | — Separate Trading of Registered Interest and Principal of Securities | |
T | — Swap payment upon termination | |
TBA | — To Be Announced | |
TIPS | — Treasury Inflation-Protected Securities | |
USOIS | — United States Overnight Index Swap | |
UTS | — Unit Trust Security |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
AST BOND PORTFOLIO 2020 |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 65.8% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 5.3% |
| |||||||||||||||
Automobiles — 4.3% |
| |||||||||||||||
Bank of The West Auto Trust, |
| |||||||||||||||
Series 2017-01, Class A3, 144A |
| |||||||||||||||
2.110% | 01/15/23 | 47 | $ | 47,418 | ||||||||||||
Ford Credit Auto Owner Trust, |
| |||||||||||||||
Series 2015-02, Class A, 144A |
| |||||||||||||||
2.440% | 01/15/27 | 1,200 | 1,200,800 | |||||||||||||
GMF Floorplan Owner Revolving Trust, |
| |||||||||||||||
Series 2017-02, Class A2, 144A, 1 Month LIBOR + 0.430% |
| |||||||||||||||
0.615%(c) | 07/15/22 | 1,500 | 1,499,797 | |||||||||||||
|
| |||||||||||||||
2,748,015 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 1.0% |
| |||||||||||||||
Galaxy CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-29A, Class A, 144A, 3 Month LIBOR + 0.790% |
| |||||||||||||||
1.182%(c) | 11/15/26 | 189 | 185,877 | |||||||||||||
TICP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-03R, Class A, 144A, 3 Month LIBOR + 0.840% |
| |||||||||||||||
1.975%(c) | 04/20/28 | 500 | 494,988 | |||||||||||||
|
| |||||||||||||||
680,865 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 3,428,880 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.2% |
| |||||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-UBS02, Class A2 |
| |||||||||||||||
2.820% | 03/10/47 | 1 | 968 | |||||||||||||
Series 2015-DC01, Class A2 |
| |||||||||||||||
2.870% | 02/10/48 | 31 | 30,548 | |||||||||||||
DBJPM Mortgage Trust, |
| |||||||||||||||
Series 2016-C03, Class A1 |
| |||||||||||||||
1.502% | 08/10/49 | 218 | 218,412 | |||||||||||||
Series 2017-C06, Class A1 |
| |||||||||||||||
1.907% | 06/10/50 | 178 | 179,047 | |||||||||||||
Fannie Mae Multifamily Remic Trust, |
| |||||||||||||||
Series 2015-M12, Class A1 |
| |||||||||||||||
2.331% | 05/25/25 | 343 | 348,948 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2015-GS01, Class A1 |
| |||||||||||||||
1.935% | 11/10/48 | 44 | 44,402 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2015-C30, Class A3 |
| |||||||||||||||
3.322% | 07/15/48 | 401 | 407,656 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2015-C24, Class A3 |
| |||||||||||||||
3.479% | 05/15/48 | 1,300 | 1,408,550 | |||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2015-MS01, Class A2 |
| |||||||||||||||
3.261% | 05/15/48 | 700 | 724,707 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 3,363,238 | ||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS — 45.0% |
| |||||||||||||||
Agriculture — 0.7% |
| |||||||||||||||
Cargill, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.375% | 07/23/23 | 470 | $ | 477,591 | ||||||||||||
|
| |||||||||||||||
Apparel — 1.1% |
| |||||||||||||||
VF Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.050% | 04/23/22 | 690 | 707,900 | |||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 5.4% |
| |||||||||||||||
BMW US Capital LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.800% | 04/06/23 | 465 | 499,426 | |||||||||||||
Nissan Motor Acceptance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.150% | 09/28/20 | 1,000 | 996,248 | |||||||||||||
Toyota Motor Credit Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN, Secured Overnight Financing Rate + 0.400% |
| |||||||||||||||
0.480%(c) | 10/23/20 | 1,000 | 999,990 | |||||||||||||
Volkswagen Group of America Finance LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A, 3 Month LIBOR + 0.770% |
| |||||||||||||||
1.204%(c) | 11/13/20 | 1,000 | 1,000,425 | |||||||||||||
|
| |||||||||||||||
3,496,089 | ||||||||||||||||
|
| |||||||||||||||
Banks — 19.5% |
| |||||||||||||||
Australia & New Zealand Banking Group Ltd. (Australia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN, 3 Month LIBOR + 0.400% |
| |||||||||||||||
0.848%(c) | 08/11/20 | 1,000 | 998,288 | |||||||||||||
Bank of America Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.499%(ff) | 05/17/22 | 1,125 | 1,151,682 | |||||||||||||
Bank of Montreal (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
1.850% | 05/01/25 | 410 | 424,157 | |||||||||||||
Barclays Bank PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.700% | 05/12/22 | 790 | 804,179 | |||||||||||||
Canadian Imperial Bank of Commerce (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.100% | 10/05/20 | 2,000 | 2,009,312 | |||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 04/25/22 | 770 | 798,192 | |||||||||||||
Sub. Notes |
| |||||||||||||||
3.875% | 03/26/25 | 355 | 388,373 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 10/15/20 | 1,025 | 1,036,391 | |||||||||||||
4.500% | 01/24/22 | 250 | 265,399 | |||||||||||||
Morgan Stanley, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 01/25/21 | 125 | 128,713 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.625% | 11/17/21 | 865 | 888,813 | |||||||||||||
National Securities Clearing Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.200% | 04/23/23 | 470 | 476,887 |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
AST BOND PORTFOLIO 2020 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
PNC Financial Services Group, Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.854% | 11/09/22 | 240 | $ | 252,494 | ||||||||||||
Royal Bank of Canada (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.150% | 10/26/20 | 1,000 | 1,005,791 | |||||||||||||
Royal Bank of Scotland Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.359% | 05/22/24 | (ff) | 200 | 205,149 | ||||||||||||
Swedbank AB (Sweden), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.300% | 06/02/23 | 505 | 511,892 | |||||||||||||
UBS AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.750% | 04/21/22 | 1,180 | 1,202,000 | |||||||||||||
|
| |||||||||||||||
12,547,712 | ||||||||||||||||
|
| |||||||||||||||
Biotechnology — 0.6% |
| |||||||||||||||
Amgen, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.875% | 11/15/21 | 133 | 137,532 | |||||||||||||
Gilead Sciences, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.400% | 12/01/21 | 250 | 261,694 | |||||||||||||
|
| |||||||||||||||
399,226 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 1.1% |
| |||||||||||||||
CNAC HK Finbridge Co. Ltd. (China), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.000% | 07/19/20 | 500 | 500,223 | |||||||||||||
LYB International Finance BV, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 07/15/23 | 190 | 206,205 | |||||||||||||
|
| |||||||||||||||
706,428 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 0.7% |
| |||||||||||||||
Verisk Analytics, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.800% | 05/01/21 | 400 | 416,832 | |||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.2% |
| |||||||||||||||
Ameriprise Financial, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.000% | 04/02/25 | 120 | 130,338 | |||||||||||||
|
| |||||||||||||||
Electric — 1.8% |
| |||||||||||||||
NextEra Energy Capital Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.403% | 09/01/21 | 1,115 | 1,139,550 | |||||||||||||
|
| |||||||||||||||
Electronics — 0.4% |
| |||||||||||||||
Honeywell International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.350% | 06/01/25 | 270 | 276,417 | |||||||||||||
|
| |||||||||||||||
Healthcare-Services — 0.6% |
| |||||||||||||||
Aetna, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 11/15/22 | (a) | 365 | 380,023 | ||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Insurance — 3.1% |
| |||||||||||||||
American International Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.300% | 03/01/21 | 575 | $ | 583,333 | ||||||||||||
Liberty Mutual Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.250% | 06/15/23 | 15 | 16,288 | |||||||||||||
4.569% | 02/01/29 | 50 | 58,539 | |||||||||||||
New York Life Global Funding, |
| |||||||||||||||
Sec’d. Notes, 144A, 3 Month LIBOR + 0.160% |
| |||||||||||||||
1.593%(c) | 10/01/20 | 1,000 | 1,000,177 | |||||||||||||
Principal Financial Group, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.300% | 09/15/22 | 160 | 168,443 | |||||||||||||
Protective Life Global Funding, |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
1.082% | 06/09/23 | 150 | 150,886 | |||||||||||||
|
| |||||||||||||||
1,977,666 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.0% |
| |||||||||||||||
Xylem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/01/21 | 25 | 26,300 | |||||||||||||
|
| |||||||||||||||
Oil & Gas — 3.1% |
| |||||||||||||||
BP Capital Markets America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.937% | 04/06/23 | (a) | 350 | 370,376 | ||||||||||||
Exxon Mobil Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.571% | 04/15/23 | 460 | 472,023 | |||||||||||||
Petroleos Mexicanos (Mexico), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.500% | 07/23/20 | (a) | 950 | 949,300 | ||||||||||||
Phillips 66, | ||||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.700% | 04/06/23 | 195 | 208,884 | |||||||||||||
|
| |||||||||||||||
2,000,583 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas Services — 1.2% |
| |||||||||||||||
Schlumberger Finance Canada Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.200% | 11/20/20 | (a) | 750 | 753,856 | ||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 4.4% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.300% | 11/21/22 | 875 | 905,165 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.250% | 08/15/22 | 560 | 591,152 | |||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.720% |
| |||||||||||||||
1.033%(c) | 03/09/21 | 620 | 622,215 | |||||||||||||
GlaxoSmithKline Capital PLC (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.875% | 06/01/22 | 380 | 396,820 |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
AST BOND PORTFOLIO 2020 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals (continued) |
| |||||||||||||||
Zoetis, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 08/20/21 | 300 | $ | 308,213 | ||||||||||||
|
| |||||||||||||||
2,823,565 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 0.3% |
| |||||||||||||||
MPLX LP, |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.900% |
| |||||||||||||||
1.213%(c) | 09/09/21 | 180 | 178,295 | |||||||||||||
|
| |||||||||||||||
Software — 0.5% |
| |||||||||||||||
Intuit, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
0.650% | 07/15/23 | 320 | 320,663 | |||||||||||||
|
| |||||||||||||||
Telecommunications — 0.3% |
| |||||||||||||||
SingTel Group Treasury Pte Ltd. (Singapore), |
| |||||||||||||||
Gtd. Notes, EMTN |
| |||||||||||||||
4.500% | 09/08/21 | 200 | 207,985 | |||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 28,967,019 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 7.2% |
| |||||||||||||||
Abu Dhabi Government International Bond (United Arab Emirates), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.125% | 10/11/27 | 250 | 273,349 | |||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
2.000% | 09/08/20 | 1,000 | 1,002,641 | |||||||||||||
Province of Alberta (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
1.750% | 08/26/20 | 800 | 801,657 | |||||||||||||
Province of Manitoba (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.050% | 11/30/20 | 800 | 805,596 | |||||||||||||
Province of Quebec (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 07/29/20 | 800 | 801,811 | |||||||||||||
Sri Lanka Government International Bond (Sri Lanka), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.250% | 10/04/20 | 500 | 473,600 | |||||||||||||
Ukraine Government International Bond (Ukraine), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.750% | 09/01/20 | 500 | 502,477 | |||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 4,661,131 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.5% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
2.625% | 10/01/20 | 600 | 603,662 | |||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
1.625% | 09/29/20 | 390 | 391,177 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
2.875% | 10/30/20 | 600 | 605,224 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 1,600,063 | ||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. TREASURY OBLIGATION — 0.6% |
| |||||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
3.000% | 09/30/25 | (k) | 320 | $ | 364,550 | |||||||||||
|
| |||||||||||||||
(cost $318,842) |
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 42,384,881 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 35.3% |
| |||||||||||||||
AFFILIATED MUTUAL FUNDS — 13.5% |
| |||||||||||||||
PGIM Core Short-Term Bond Fund(w) |
| 706,601 | 6,486,596 | |||||||||||||
PGIM Core Ultra Short Bond Fund(w) |
| 1,234,176 | 1,234,176 | |||||||||||||
PGIM Institutional Money Market Fund |
| 996,357 | 996,357 | |||||||||||||
|
| |||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 8,717,129 | ||||||||||||||
|
| |||||||||||||||
Interest Rate | Maturity Date | Principal Amount (000)# | ||||||||||||||
CERTIFICATES OF DEPOSIT — 18.7% |
| |||||||||||||||
Australia & New Zealand Banking Group Ltd. |
| |||||||||||||||
1.580% | 12/01/20 | 1,000 | 1,005,093 | |||||||||||||
Canadian Imperial Bank of Commerce |
| |||||||||||||||
1.730% | 12/01/20 | 1,000 | 1,006,390 | |||||||||||||
Credit Industriel et Commercial |
| |||||||||||||||
Certificate of Deposit, US Federal Funds Effective Rate + 0.400% |
| |||||||||||||||
0.480%(c) | 08/13/20 | 1,000 | 1,000,175 | |||||||||||||
Credit Suisse AG |
| |||||||||||||||
1.780% | 12/01/20 | 1,000 | 1,006,083 | |||||||||||||
DNB Bank ASA |
| |||||||||||||||
1.700% | 12/01/20 | 1,000 | 1,006,279 | |||||||||||||
Lloyds Bank Corp. Market PLC |
| |||||||||||||||
1.680% | 12/02/20 | 1,000 | 1,005,520 | |||||||||||||
Natixis SA |
| |||||||||||||||
1.790% | 12/01/20 | 1,000 | 1,006,447 | |||||||||||||
Nordea Bank Abp |
| |||||||||||||||
1.740% | 12/01/20 | 1,000 | 1,006,492 | |||||||||||||
Skandinaviska Enskilda Banken AB |
| |||||||||||||||
Certificate of Deposit, 1 Month LIBOR + 0.120% |
| |||||||||||||||
0.295%(c) | 12/07/20 | 1,000 | 999,466 | |||||||||||||
Standard Chartered Bank |
| |||||||||||||||
1.800% | 12/01/20 | 1,000 | 1,006,225 | |||||||||||||
State Street Bank and Trust Co. |
| |||||||||||||||
Certificate of Deposit, 1 Month LIBOR + 0.240% |
| |||||||||||||||
0.430%(c) | 07/22/20 | 1,000 | 1,000,162 |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
AST BOND PORTFOLIO 2020 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CERTIFICATES OF DEPOSIT(continued) |
| |||||||||||||||
Toronto-Dominion Bank (The) |
| |||||||||||||||
1.720% | 12/01/20 | 1,000 | $ | 1,006,277 | ||||||||||||
|
| |||||||||||||||
TOTAL CERTIFICATES OF DEPOSIT |
| 12,054,609 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL PAPER — 3.1% |
| |||||||||||||||
HSBC Bank PLC |
| |||||||||||||||
144A, 3 Month LIBOR + 0.200% |
| |||||||||||||||
0.756%(c) | 11/02/20 | 1,000 | 1,000,683 | |||||||||||||
Ontario Teachers’ Finance Trust |
| |||||||||||||||
144A, 1 Month LIBOR + 0.260% |
| |||||||||||||||
0.455%(c) | 09/16/20 | 1,000 | 1,000,457 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL PAPER |
| 2,001,140 | ||||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 22,772,878 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS — 101.1% |
| 65,157,759 | ||||||||||||||
Liabilities in excess of other assets(z) — (1.1)% |
| (725,357 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 64,432,402 | |||||||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
# | Principal amount is shown in U.S. dollars unless otherwise stated. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $964,194; cash collateral of $995,681 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(w) | PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
13 | 10 Year U.S. Treasury Notes | Sep. 2020 | $ | 1,809,234 | $ | 12,770 | ||||||||||
4 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 872,625 | 1,045 | ||||||||||||
|
| |||||||||||||||
13,815 | ||||||||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
12 | 2 Year U.S. Treasury Notes | Sep. 2020 | 2,649,938 | 156 | ||||||||||||
50 | 5 Year U.S. Treasury Notes | Sep. 2020 | 6,287,110 | (17,130 | ) | |||||||||||
9 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 1,607,063 | (9,746 | ) | |||||||||||
|
| |||||||||||||||
(26,720 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (12,905 | ) | ||||||||||||||
|
|
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||
Citigroup Global Markets, Inc. | $60,000 | $361,132 | ||
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
A5
AST BOND PORTFOLIO 2020 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | $ | — | $ | 2,748,015 | $ | — | ||||||
Collateralized Loan Obligations | — | 680,865 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 3,363,238 | — | |||||||||
Corporate Bonds | — | 28,967,019 | — | |||||||||
Sovereign Bonds | — | 4,661,131 | — | |||||||||
U.S. Government Agency Obligations | — | 1,600,063 | — | |||||||||
U.S. Treasury Obligation | — | 364,550 | — | |||||||||
Affiliated Mutual Funds | 8,717,129 | — | — | |||||||||
Certificates of Deposit | — | 12,054,609 | — | |||||||||
Commercial Paper | — | 2,001,140 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 8,717,129 | $ | 56,440,630 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 13,971 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (26,876 | ) | $ | — | $ | — | |||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
Banks | 19.5 | % | ||
Certificates of Deposit | 18.7 | |||
Affiliated Mutual Funds (1.5% represents investments purchased with collateral from securities on loan) | 13.5 | |||
Sovereign Bonds | 7.2 | |||
Auto Manufacturers | 5.4 | |||
Commercial Mortgage-Backed Securities | 5.2 | |||
Pharmaceuticals | 4.4 | |||
Automobiles | 4.3 | |||
Commercial Paper | 3.1 | |||
Oil & Gas | 3.1 | |||
Insurance | 3.1 | |||
U.S. Government Agency Obligations | 2.5 | |||
Electric | 1.8 | |||
Oil & Gas Services | 1.2 | |||
Apparel | 1.1 | |||
Chemicals | 1.1 | |||
Collateralized Loan Obligations | 1.0 |
Agriculture | 0.7 | % | ||
Commercial Services | 0.7 | |||
Biotechnology | 0.6 | |||
Healthcare-Services | 0.6 | |||
U.S. Treasury Obligation | 0.6 | |||
Software | 0.5 | |||
Electronics | 0.4 | |||
Telecommunications | 0.3 | |||
Pipelines | 0.3 | |||
Diversified Financial Services | 0.2 | |||
Machinery-Diversified | 0.0 | * | ||
|
| |||
101.1 | ||||
Liabilities in excess of other assets | (1.1 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
SEE NOTES TO FINANCIAL STATEMENTS.
A6
AST BOND PORTFOLIO 2020 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 13,971 | * | Due from/to broker — variation margin futures | $ | 26,876 | * | ||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income |
| |||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(1) | Options Written | Futures | Swaps | ||||||||||||
Interest rate contracts | $ | (2,291 | ) | $ | 3,918 | $ | (2,372,257 | ) | $ | (1,138,073 | ) | |||||
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as hedging | Options Purchased(2) | Futures | Swaps | |||||||||
Interest rate contracts | $ | (4,756 | ) | $ | (345,712 | ) | $ | 564,426 | ||||
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options | Options | Futures | Futures | |||
$4,248 | $7,667 | $1,091,635 | $50,255,622 |
Interest Rate |
$93,149,267 |
(1) | Cost. |
(2) | Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
SEE NOTES TO FINANCIAL STATEMENTS.
A7
AST BOND PORTFOLIO 2020 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | |||||||||
Securities on Loan | $ | 964,194 | $ | (964,194 | ) | $ | — | |||||
|
|
|
|
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A8
AST BOND PORTFOLIO 2020 (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $964,194: | ||||
Unaffiliated investments (cost $55,657,719) | $ | 56,440,630 | ||
Affiliated investments (cost $8,759,504) | 8,717,129 | |||
Dividends and interest receivable | 290,375 | |||
Deposit with broker for centrally cleared/exchange-traded derivatives | 60,000 | |||
Prepaid expenses and other assets | 9,624 | |||
|
| |||
Total Assets | 65,517,758 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 995,681 | |||
Payable for Portfolio shares repurchased | 57,419 | |||
Accrued expenses and other liabilities | 18,217 | |||
Management fee payable | 10,752 | |||
Distribution fee payable | 2,663 | |||
Affiliated transfer agent fee payable | 378 | |||
Due to broker-variation margin futures | 246 | |||
|
| |||
Total Liabilities | 1,085,356 | |||
|
| |||
NET ASSETS | $ | 64,432,402 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 64,432,402 | ||
|
| |||
Net asset value and redemption price per share, $64,432,402 / 8,905,735 outstanding shares of beneficial interest | $ | 7.23 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 941,815 | ||
Affiliated dividend income | 94,555 | |||
Income from securities lending, net (including affiliated income of $4,901) | 4,963 | |||
|
| |||
Total income | 1,041,333 | |||
|
| |||
EXPENSES | ||||
Management fee | 225,498 | |||
Distribution fee | 120,912 | |||
Custodian and accounting fees | 30,373 | |||
Legal fees and expenses | 5,938 | |||
Trustees’ fees | 5,411 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,459 | |||
Shareholders’ reports | 1,765 | |||
Miscellaneous | 9,628 | |||
|
| |||
Total expenses | 402,984 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 638,349 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(4,890)) | 4,935,135 | |||
Futures transactions | (2,372,257 | ) | ||
Options written transactions | 3,918 | |||
Swap agreements transactions | (1,138,073 | ) | ||
|
| |||
1,428,723 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(6,248)) | (489,614 | ) | ||
Futures | (345,712 | ) | ||
Swap agreements | 564,426 | |||
|
| |||
(270,900 | ) | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 1,157,823 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,796,172 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS OPERATIONS | ||||||||
Net investment income (loss) | $ | 638,349 | $ | 1,532,306 | ||||
Net realized gain (loss) on investment transactions | 1,428,723 | (968,097 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (270,900 | ) | 2,310,267 | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 1,796,172 | 2,874,476 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [5,361,579 and 14,044,754 shares, respectively] | 38,244,787 | 98,227,318 | ||||||
Portfolio shares repurchased [14,245,209 and 3,966,785 shares, respectively] | (101,882,088 | ) | (27,762,662 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (63,637,301 | ) | 70,464,656 | |||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (61,841,129 | ) | 73,339,132 | |||||
NET ASSETS: | ||||||||
Beginning of period | 126,273,531 | 52,934,399 | ||||||
|
|
|
| |||||
End of period | $ | 64,432,402 | $ | 126,273,531 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A9
AST BOND PORTFOLIO 2021 |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 82.3% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 2.6% |
| |||||||||||||||
Automobiles — 0.8% |
| |||||||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||||||
Series 2015-01A, Class A, 144A |
| |||||||||||||||
2.500% | 07/20/21 | 50 | $ | 49,982 | ||||||||||||
Bank of The West Auto Trust, |
| |||||||||||||||
Series 2017-01, Class A3, 144A |
| |||||||||||||||
2.110% | 01/15/23 | 47 | 47,418 | |||||||||||||
Enterprise Fleet Financing LLC, |
| |||||||||||||||
Series 2018-01, Class A2, 144A |
| |||||||||||||||
2.870% | 10/20/23 | 98 | 98,622 | |||||||||||||
Ford Credit Auto Owner Trust, |
| |||||||||||||||
Series 2016-02, Class A, 144A |
| |||||||||||||||
2.030% | 12/15/27 | 200 | 202,317 | |||||||||||||
GMF Floorplan Owner Revolving Trust, |
| |||||||||||||||
Series 2017-02, Class A2, 144A, 1 Month LIBOR + 0.430% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.615%(c) | 07/15/22 | 600 | 599,919 | |||||||||||||
OneMain Direct Auto Receivables Trust, |
| |||||||||||||||
Series 2017-02A, Class B, 144A |
| |||||||||||||||
2.550% | 11/14/23 | 30 | 30,233 | |||||||||||||
|
| |||||||||||||||
1,028,491 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 1.8% |
| |||||||||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class ARR, 144A, 3 Month LIBOR + 1.110% (Cap N/A, Floor 1.110%) |
| |||||||||||||||
2.208%(c) | 01/22/31 | 250 | 246,069 | |||||||||||||
Flagship CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-08A, Class ARR, 144A, 3 Month LIBOR + 0.850% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.026%(c) | 01/16/26 | 103 | 101,789 | |||||||||||||
Galaxy CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-29A, Class A, 144A, 3 Month LIBOR + 0.790% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.182%(c) | 11/15/26 | 378 | 371,755 | |||||||||||||
Mountain View CLO LLC (Cayman Islands), |
| |||||||||||||||
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.386%(c) | 01/16/31 | 250 | 243,755 | |||||||||||||
TICP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-03R, Class A, 144A, 3 Month LIBOR + 0.840% (Cap N/A, Floor 0.840%) |
| |||||||||||||||
1.975%(c) | 04/20/28 | 750 | 742,481 | |||||||||||||
Voya CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%) |
| |||||||||||||||
2.035%(c) | 01/18/29 | 500 | 491,995 | |||||||||||||
|
| |||||||||||||||
2,197,844 | ||||||||||||||||
|
| |||||||||||||||
Student Loan — 0.0% |
| |||||||||||||||
SoFi Professional Loan Program LLC, |
| |||||||||||||||
Series 2018-A, Class A2A, 144A |
| |||||||||||||||
2.390% | 02/25/42 | 31 | 30,571 | |||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 3,256,906 | ||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 10.7% |
| |||||||||||||||
CFCRE Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-C07, Class A1 |
| |||||||||||||||
1.971% | 12/10/54 | 132 | $ | 131,830 | ||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-CR19, Class A4 |
| |||||||||||||||
3.532% | 08/10/47 | 922 | 987,001 | |||||||||||||
Series 2014-UBS04, Class A2 |
| |||||||||||||||
2.963% | 08/10/47 | 56 | 56,979 | |||||||||||||
Series 2015-CR26, Class A3 |
| |||||||||||||||
3.359% | 10/10/48 | 1,400 | 1,518,201 | |||||||||||||
Series 2015-DC01, Class A2 |
| |||||||||||||||
2.870% | 02/10/48 | 174 | 174,296 | |||||||||||||
DBJPM Mortgage Trust, |
| |||||||||||||||
Series 2017-C06, Class A1 |
| |||||||||||||||
1.907% | 06/10/50 | 338 | 339,388 | |||||||||||||
Fannie Mae Multifamily Remic Trust, |
| |||||||||||||||
Series 2015-M12, Class A1 |
| |||||||||||||||
2.331% | 05/25/25 | 571 | 581,580 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K054, Class A2 |
| |||||||||||||||
2.745% | 01/25/26 | 2,200 | 2,408,612 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2015-GC32, Class A3 |
| |||||||||||||||
3.498% | 07/10/48 | 2,200 | 2,391,054 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2014-C19, Class A3 |
| |||||||||||||||
3.669% | 04/15/47 | 1,140 | 1,157,604 | |||||||||||||
Series 2014-C21, Class A4 |
| |||||||||||||||
3.493% | 08/15/47 | 291 | 306,551 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2015-C24, Class A3 |
| |||||||||||||||
3.479% | 05/15/48 | 2,200 | 2,383,699 | |||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2016-UB11, Class A1 |
| |||||||||||||||
1.445% | 08/15/49 | 27 | 27,287 | |||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2017-C05, Class A1 |
| |||||||||||||||
2.139% | 11/15/50 | 500 | 504,877 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-C37, Class A1 |
| |||||||||||||||
1.944% | 12/15/49 | 246 | 246,890 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 13,215,849 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 38.1% |
| |||||||||||||||
Agriculture — 1.3% |
| |||||||||||||||
Cargill, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.375% | 07/23/23 | 555 | 563,964 | |||||||||||||
Philip Morris International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.125% | 05/01/23 | (a) | 1,070 | 1,087,279 | ||||||||||||
|
| |||||||||||||||
1,651,243 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A10
AST BOND PORTFOLIO 2021 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Apparel — 0.9% |
| |||||||||||||||
VF Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.050% | 04/23/22 | 1,130 | $ | 1,159,315 | ||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 2.6% |
| |||||||||||||||
BMW US Capital LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
1.850% | 09/15/21 | (a) | 1,000 | 1,009,234 | ||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 11/01/22 | 200 | 192,129 | |||||||||||||
Toyota Motor Credit Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN, Secured Overnight Financing Rate + 0.400% |
| |||||||||||||||
0.480%(c) | 10/23/20 | 1,000 | 999,990 | |||||||||||||
Volkswagen Group of America Finance LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A, 3 Month LIBOR + 0.770% |
| |||||||||||||||
1.204%(c) | 11/13/20 | 1,000 | 1,000,425 | |||||||||||||
|
| |||||||||||||||
3,201,778 | ||||||||||||||||
|
| |||||||||||||||
Banks — 11.4% |
| |||||||||||||||
Australia & New Zealand Banking Group Ltd. (Australia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN, 3 Month LIBOR + 0.400% |
| |||||||||||||||
0.848%(c) | 08/11/20 | 1,000 | 998,288 | |||||||||||||
Bank of America Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.499%(ff) | 05/17/22 | 550 | 563,045 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.000% | 01/22/25 | 505 | 558,453 | |||||||||||||
Bank of Montreal (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
1.850% | 05/01/25 | 1,120 | 1,158,673 | |||||||||||||
Barclays Bank PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.700% | 05/12/22 | 1,010 | 1,028,128 | |||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.700% | 03/30/21 | 520 | 528,475 | |||||||||||||
2.750% | 04/25/22 | 550 | 570,137 | |||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 01/24/22 | 340 | 366,738 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.850% | 07/08/24 | 505 | 554,635 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 10/15/20 | 315 | 318,501 | |||||||||||||
4.350% | 08/15/21 | 400 | 417,405 | |||||||||||||
Lloyds Banking Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.870%(ff) | 07/09/25 | (a) | 320 | 347,971 | ||||||||||||
Morgan Stanley, |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
4.000% | 07/23/25 | 570 | 645,992 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.625% | 11/17/21 | 425 | 436,700 | |||||||||||||
National Securities Clearing Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.200% | 04/23/23 | 545 | 552,985 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
PNC Bank NA, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.300% | 10/30/24 | (a) | 375 | $ | 412,016 | |||||||||||
Royal Bank of Canada (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.150% | 10/26/20 | 1,000 | 1,005,791 | |||||||||||||
Royal Bank of Scotland Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.359%(ff) | 05/22/24 | 240 | 246,179 | |||||||||||||
State Street Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.825%(ff) | 03/30/23 | (a) | 1,100 | 1,140,790 | ||||||||||||
Swedbank AB (Sweden), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.300% | 06/02/23 | 800 | 810,918 | |||||||||||||
UBS AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.750% | 04/21/22 | 1,310 | 1,334,424 | |||||||||||||
|
| |||||||||||||||
13,996,244 | ||||||||||||||||
|
| |||||||||||||||
Beverages — 0.8% |
| |||||||||||||||
PepsiCo, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.530% |
| |||||||||||||||
1.903%(c) | 10/06/21 | 1,000 | 1,004,834 | |||||||||||||
|
| |||||||||||||||
Biotechnology — 1.4% |
| |||||||||||||||
Amgen, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.875% | 11/15/21 | 464 | 481,362 | |||||||||||||
Gilead Sciences, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.700% | 04/01/24 | 1,100 | 1,210,974 | |||||||||||||
|
| |||||||||||||||
1,692,336 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 1.0% |
| |||||||||||||||
LYB International Finance BV, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 07/15/23 | 1,150 | 1,248,082 | |||||||||||||
|
| |||||||||||||||
Computers — 1.5% |
| |||||||||||||||
Apple, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.000% | 02/09/24 | 750 | 811,161 | |||||||||||||
International Business Machines Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.400% |
| |||||||||||||||
0.834%(c) | 05/13/21 | (a) | 1,000 | 1,002,686 | ||||||||||||
|
| |||||||||||||||
1,813,847 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.9% |
| |||||||||||||||
AIG Global Funding, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A, 3 Month LIBOR + 0.650% |
| |||||||||||||||
1.748%(c) | 01/22/21 | 1,000 | 1,002,420 | |||||||||||||
Ameriprise Financial, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.000% | 04/02/25 | 115 | 124,907 | |||||||||||||
|
| |||||||||||||||
1,127,327 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A11
AST BOND PORTFOLIO 2021 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric — 2.5% |
| |||||||||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series C, 3 Month LIBOR + 0.400% |
| |||||||||||||||
0.697%(c) | 06/25/21 | 1,000 | $ | 1,001,650 | ||||||||||||
NextEra Energy Capital Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 3 Month LIBOR + 0.480% |
| |||||||||||||||
1.036%(c) | 05/04/21 | 1,000 | 1,001,841 | |||||||||||||
Gtd. Notes |
| |||||||||||||||
2.403% | 09/01/21 | 655 | 669,422 | |||||||||||||
4.500% | 06/01/21 | 400 | 410,614 | |||||||||||||
|
| |||||||||||||||
3,083,527 | ||||||||||||||||
|
| |||||||||||||||
Electronics — 0.3% |
| |||||||||||||||
Honeywell International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.350% | 06/01/25 | 395 | 404,388 | |||||||||||||
|
| |||||||||||||||
Foods — 0.3% |
| |||||||||||||||
Mondelez International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 04/13/23 | 320 | 331,391 | |||||||||||||
|
| |||||||||||||||
Healthcare-Services — 0.3% |
| |||||||||||||||
UnitedHealth Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.700% | 02/15/21 | 400 | 406,343 | |||||||||||||
|
| |||||||||||||||
Insurance — 3.2% |
| |||||||||||||||
American International Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 02/15/24 | 850 | 947,651 | |||||||||||||
Jackson National Life Global Funding, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A, 3 Month LIBOR + 0.480% |
| |||||||||||||||
0.795%(c) | 06/11/21 | 1,000 | 1,000,892 | |||||||||||||
Metropolitan Life Global Funding I, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A, 3 Month LIBOR + 0.230% |
| |||||||||||||||
1.582%(c) | 01/08/21 | 1,000 | 1,000,760 | |||||||||||||
New York Life Global Funding, |
| |||||||||||||||
Sec’d. Notes, 144A, 3 Month LIBOR + 0.160% |
| |||||||||||||||
1.593%(c) | 10/01/20 | 1,000 | 1,000,177 | |||||||||||||
|
| |||||||||||||||
3,949,480 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Construction & Mining — 1.0% |
| |||||||||||||||
Caterpillar Financial Services Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
0.950% | 05/13/22 | (a) | 1,185 | 1,199,941 | ||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 2.1% |
| |||||||||||||||
John Deere Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.240% |
| |||||||||||||||
0.558%(c) | 03/12/21 | 1,000 | 1,000,656 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.900% | 07/12/21 | 1,000 | 1,035,619 | |||||||||||||
Xylem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/01/21 | 570 | 599,643 | |||||||||||||
|
| |||||||||||||||
2,635,918 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Multi-National — 0.2% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 09/27/21 | 185 | $ | 186,237 | ||||||||||||
|
| |||||||||||||||
Oil & Gas — 1.0% |
| |||||||||||||||
BP Capital Markets America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.937% | 04/06/23 | 345 | 365,085 | |||||||||||||
Exxon Mobil Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.571% | 04/15/23 | 500 | 513,068 | |||||||||||||
Marathon Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.750% | 12/15/23 | 50 | 54,882 | |||||||||||||
Nabors Industries, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 09/15/20 | (a) | 76 | 75,528 | ||||||||||||
Phillips 66, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.700% | 04/06/23 | 205 | 219,596 | |||||||||||||
|
| |||||||||||||||
1,228,159 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 2.4% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.300% | 11/21/22 | 1,100 | 1,137,922 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.250% | 08/15/22 | 530 | 559,483 | |||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 12/01/22 | 400 | 417,344 | |||||||||||||
4.100% | 03/25/25 | 500 | 565,307 | |||||||||||||
Zoetis, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 08/20/21 | 300 | 308,213 | |||||||||||||
|
| |||||||||||||||
2,988,269 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 1.0% |
| |||||||||||||||
Enterprise Products Operating LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.900% | 02/15/24 | (a) | 825 | 903,362 | ||||||||||||
5.200% | 09/01/20 | 285 | 287,130 | |||||||||||||
|
| |||||||||||||||
1,190,492 | ||||||||||||||||
|
| |||||||||||||||
Software — 0.5% |
| |||||||||||||||
Oracle Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.950% | 11/15/24 | 600 | 652,745 | |||||||||||||
|
| |||||||||||||||
Telecommunications — 0.3% |
| |||||||||||||||
Level 3 Financing, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 05/01/23 | 100 | 100,009 | |||||||||||||
SingTel Group Treasury Pte Ltd. (Singapore), |
| |||||||||||||||
Gtd. Notes, EMTN |
| |||||||||||||||
4.500% | 09/08/21 | 200 | 207,985 | |||||||||||||
|
| |||||||||||||||
307,994 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A12
AST BOND PORTFOLIO 2021 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Transportation — 1.2% |
| |||||||||||||||
Burlington Northern Santa Fe LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 09/15/21 | 485 | $ | 498,662 | ||||||||||||
United Parcel Service, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.125% | 01/15/21 | 1,000 | 1,014,766 | |||||||||||||
|
| |||||||||||||||
1,513,428 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 46,973,318 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 1.3% |
| |||||||||||||||
Abu Dhabi Government International Bond (United Arab Emirates), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.125% | 10/11/27 | 405 | 442,825 | |||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.125% | 04/13/21 | 200 | 202,476 | |||||||||||||
2.125% | 10/25/23 | 200 | 209,506 | |||||||||||||
Kuwait International Government Bond (Kuwait), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.750% | 03/20/22 | 255 | 262,993 | |||||||||||||
Province of Ontario (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 09/10/21 | 155 | 158,958 | |||||||||||||
Qatar Government International Bond (Qatar), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.875% | 04/23/23 | 340 | 364,904 | |||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 1,641,662 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.6% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
2.625% | 10/01/20 | 660 | 664,028 | |||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
2.375% | 01/13/22 | (k) | 4,000 | 4,133,784 | ||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
6.625% | 11/15/30 | 570 | 881,655 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 5,679,467 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 25.0% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
3.125% | 02/15/43 | 2,340 | 3,171,431 | |||||||||||||
3.625% | 02/15/44 | (a)(k) | 9,540 | 13,961,194 | ||||||||||||
3.750% | 11/15/43 | (a) | 1,520 | 2,261,712 | ||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
1.375% | 01/31/25 | (a) | 4,375 | 4,595,459 | ||||||||||||
2.375% | 08/15/24 | 1,045 | 1,136,519 | |||||||||||||
2.875% | 05/15/28 | 3,485 | 4,111,755 | |||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
0.461%(s) | 05/15/25 | 165 | 161,926 | |||||||||||||
1.394%(s) | 11/15/41 | 45 | 33,265 | |||||||||||||
1.450%(s) | 08/15/42 | 30 | 21,793 | |||||||||||||
1.643%(s) | 05/15/29 | 90 | 84,442 | |||||||||||||
2.205%(s) | 05/15/39 | 125 | 97,979 | |||||||||||||
2.334%(s) | 08/15/41 | (k) | 655 | 487,642 | ||||||||||||
2.353%(s) | 02/15/44 | 165 | 115,203 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||||||||||
2.365%(s) | 05/15/44 | 605 | $ | 419,341 | ||||||||||||
2.394%(s) | 11/15/43 | 170 | 119,432 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 30,779,093 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 101,546,295 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 35.7% |
| |||||||||||||||
AFFILIATED MUTUAL FUNDS — 35.6% |
| |||||||||||||||
PGIM Core Short-Term Bond Fund(w) |
| 1,286,563 | 11,810,649 | |||||||||||||
PGIM Core Ultra Short Bond Fund(w) |
| 9,031,432 | 9,031,432 | |||||||||||||
PGIM Institutional Money Market Fund |
| 23,119,154 | 23,119,154 | |||||||||||||
|
| |||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 43,961,235 | ||||||||||||||
|
| |||||||||||||||
OPTIONS PURCHASED*~ — 0.1% |
| 83,399 | ||||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 44,044,634 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS— 118.0% |
| 145,590,929 | ||||||||||||||
Liabilities in excess of other assets(z) — (18.0)% |
| (22,243,671 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 123,347,258 | |||||||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
~ | See tables subsequent to the Schedule of Investments for options detail. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $22,585,979; cash collateral of $23,103,947 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
SEE NOTES TO FINANCIAL STATEMENTS.
A13
AST BOND PORTFOLIO 2021 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 257 | $ | 5,735 | |||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 250 | 5,567 | ||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 626 | 13,226 | ||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 1,242 | 26,294 | ||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 1,260 | 27,593 | ||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 250 | 4,984 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Options Purchased | $ | 83,399 | ||||||||||||||||||||||||||
|
|
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
7 | 10 Year U.S. Treasury Notes | Sep. 2020 | $ | 974,203 | $ | 2,178 | ||||||||||
4 | 10 Year U.S. Ultra Treasury Notes | Sep. 2020 | 629,937 | 3,328 | ||||||||||||
|
| |||||||||||||||
5,506 | ||||||||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
36 | 2 Year U.S. Treasury Notes | Sep. 2020 | 7,949,813 | (1,858 | ) | |||||||||||
174 | 5 Year U.S. Treasury Notes | Sep. 2020 | 21,879,141 | (62,765 | ) | |||||||||||
72 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 12,856,500 | (60,229 | ) | |||||||||||
50 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 10,907,813 | 36,933 | ||||||||||||
|
| |||||||||||||||
(87,919 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (82,413 | ) | ||||||||||||||
|
|
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
13,485 | 01/08/21 | 1.683%(S) | 3 Month LIBOR(2)(Q) | $ | 63 | $ | 161,653 | $ | 161,590 | |||||||||||||||
2,570 | 05/31/21 | 1.849%(S) | 3 Month LIBOR(2)(Q) | 60 | 40,195 | 40,135 | ||||||||||||||||||
47,637 | 06/15/21 | 1.830%(S) | 3 Month LIBOR(2)(Q) | 51,179 | 744,681 | 693,502 | ||||||||||||||||||
22,305 | 09/15/21 | 1.604%(S) | 3 Month LIBOR(2)(Q) | — | 466,947 | 466,947 | ||||||||||||||||||
36,470 | 05/11/22 | 1.982%(S) | 3 Month LIBOR(2)(Q) | 308,543 | 1,267,458 | 958,915 | ||||||||||||||||||
1,450 | 11/12/25 | 2.263%(S) | 3 Month LIBOR(1)(Q) | 160 | (151,984 | ) | (152,144 | ) | ||||||||||||||||
6,900 | 06/15/26 | 1.504%(S) | 3 Month LIBOR(1)(Q) | 206 | (457,880 | ) | (458,086 | ) | ||||||||||||||||
805 | 02/15/36 | 2.338%(S) | 3 Month LIBOR(2)(Q) | (3,850 | ) | 192,483 | 196,333 | |||||||||||||||||
145 | 08/09/49 | 1.508%(A) | 1 Day USOIS(1)(A) | — | (32,888 | ) | (32,888 | ) | ||||||||||||||||
362 | 03/30/50 | 0.855%(S) | 3 Month LIBOR(1)(Q) | — | 5,245 | 5,245 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 356,361 | $ | 2,235,910 | $ | 1,879,549 | |||||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
A14
AST BOND PORTFOLIO 2021 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||||
Citigroup Global Markets, Inc. | $ | — | $ | 2,150,651 | ||||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | $ | — | $ | 1,028,491 | $ | — | ||||||
Collateralized Loan Obligations | — | 2,197,844 | — | |||||||||
Student Loan | — | 30,571 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 13,215,849 | — | |||||||||
Corporate Bonds | — | 46,973,318 | — | |||||||||
Sovereign Bonds | — | 1,641,662 | — | |||||||||
U.S. Government Agency Obligations | — | 5,679,467 | — | |||||||||
U.S. Treasury Obligations | — | 30,779,093 | — | |||||||||
Affiliated Mutual Funds | 43,961,235 | — | — | |||||||||
Options Purchased | — | 83,399 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 43,961,235 | $ | 101,629,694 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 42,439 | $ | — | $ | — | ||||||
Centrally Cleared Interest Rate Swap Agreements | — | 2,522,667 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 42,439 | $ | 2,522,667 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (124,852 | ) | $ | — | $ | — | |||||
Centrally Cleared Interest Rate Swap Agreements | — | (643,118 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (124,852 | ) | $ | (643,118 | ) | $ | — | ||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
Affiliated Mutual Funds (18.7% represents investments purchased with collateral from securities on loan) | 35.6 | % | ||
U.S. Treasury Obligations | 25.0 | |||
Banks | 11.4 | |||
Commercial Mortgage-Backed Securities | 10.7 | |||
U.S. Government Agency Obligations | 4.6 | |||
Insurance | 3.2 |
Auto Manufacturers | 2.6 | % | ||
Electric | 2.5 | |||
Pharmaceuticals | 2.4 | |||
Machinery-Diversified | 2.1 | |||
Collateralized Loan Obligations | 1.8 | |||
Computers | 1.5 | |||
Biotechnology | 1.4 |
SEE NOTES TO FINANCIAL STATEMENTS.
A15
AST BOND PORTFOLIO 2021 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (cont.):
Agriculture | 1.3 | % | ||
Sovereign Bonds | 1.3 | |||
Transportation | 1.2 | |||
Chemicals | 1.0 | |||
Oil & Gas | 1.0 | |||
Machinery-Construction & Mining | 1.0 | |||
Pipelines | 1.0 | |||
Apparel | 0.9 | |||
Diversified Financial Services | 0.9 | |||
Automobiles | 0.8 | |||
Beverages | 0.8 | |||
Software | 0.5 | |||
Healthcare-Services | 0.3 |
Electronics | 0.3 | % | ||
Foods | 0.3 | |||
Telecommunications | 0.3 | |||
Multi-National | 0.2 | |||
Options Purchased | 0.1 | |||
Student Loan | 0.0 | * | ||
|
| |||
118.0 | ||||
Liabilities in excess of other assets | (18.0 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 42,439 | * | Due from/to broker — variation margin futures | $ | 124,852 | * | ||||
Interest rate contracts | Due from/to broker — variation margin swaps | 2,522,667 | * | Due from/to broker — variation margin swaps | 643,118 | * | ||||||
Interest rate contracts | Unaffiliated investments | 83,399 | — | — | ||||||||
|
|
|
| |||||||||
$ | 2,648,505 | $ | 767,970 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(1) | Options Written | Futures | Swaps | ||||||||||||
Interest rate contracts | $ | (9,168 | ) | $ | 2,896 | $ | (949,547 | ) | $ | (4,516,439 | ) | |||||
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as hedging | Options Purchased(2) | Futures | Swaps | |||||||||
Interest rate contracts | $ | 43,980 | $ | (64,980 | ) | $ | 3,959,710 | |||||
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A16
AST BOND PORTFOLIO 2021 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— Long Positions(2) | Futures Contracts— Short Positions(2) | |||||||||
$4,525 | $5,667 | $14,212,256 | $85,015,816 |
Interest Rate Swap | ||||||||||||
$186,117,667 |
(1) | Cost. |
(2) | Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||
Securities on Loan | $ | 22,585,979 | $ | (22,585,979 | ) | $ | — | |||||
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts of Recognized Liabilities(1) | Net Amounts of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||||||||
Bank of America, N.A. | $ | 67,113 | $ | — | $ | 67,113 | $ | — | $ | 67,113 | ||||||||||
Barclays Bank PLC | 16,286 | — | 16,286 | — | 16,286 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 83,399 | $ | — | $ | 83,399 | $ | — | $ | 83,399 | |||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A17
AST BOND PORTFOLIO 2021 (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $22,585,979: | ||||
Unaffiliated investments (cost $97,983,180) | $ | 101,629,694 | ||
Affiliated investments (cost $43,982,592) | 43,961,235 | |||
Cash | 182,577 | |||
Dividends and interest receivable | 609,245 | |||
Due from broker-variation margin futures | 88,755 | |||
Receivable for Portfolio shares sold | 32,736 | |||
Due from broker-variation margin swaps | 19,637 | |||
Prepaid expenses and other assets | 4,973 | |||
|
| |||
Total Assets | 146,528,852 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 23,103,947 | |||
Accrued expenses and other liabilities | 52,498 | |||
Management fee payable | 19,398 | |||
Distribution fee payable | 4,881 | |||
Payable for Portfolio shares repurchased | 492 | |||
Affiliated transfer agent fee payable | 378 | |||
|
| |||
Total Liabilities | 23,181,594 | |||
|
| |||
NET ASSETS | $ | 123,347,258 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 123,347,258 | ||
|
| |||
Net asset value and redemption price per share, $123,347,258 / 7,728,027 outstanding shares of beneficial interest | $ | 15.96 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 1,010,761 | ||
Affiliated dividend income | 85,740 | |||
Income from securities lending, net (including affiliated income of $11,573) | 11,834 | |||
|
| |||
Total income | 1,108,335 | |||
|
| |||
EXPENSES | ||||
Management fee | 228,369 | |||
Distribution fee | 122,470 | |||
Custodian and accounting fees | 31,036 | |||
Audit fee | 26,008 | |||
Legal fees and expenses | 5,900 | |||
Trustees’ fees | 5,295 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,459 | |||
Shareholders’ reports | 3,411 | |||
Miscellaneous | 7,626 | |||
|
| |||
Total expenses | 433,574 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 674,761 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(27,702)) | 748,859 | |||
Futures transactions | (949,547 | ) | ||
Options written transactions | 2,896 | |||
Swap agreements transactions | (4,516,439 | ) | ||
|
| |||
(4,714,231 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $40,031) | 2,891,484 | |||
Futures | (64,980 | ) | ||
Swap agreements | 3,959,710 | |||
|
| |||
6,786,214 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 2,071,983 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,746,744 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 674,761 | $ | 1,468,332 | ||||
Net realized gain (loss) on investment transactions | (4,714,231 | ) | 2,509,785 | |||||
Net change in unrealized appreciation (depreciation) on investments | 6,786,214 | (53,571 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 2,746,744 | 3,924,546 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [5,478,582 and 70,263 shares, respectively] | 85,991,265 | 1,082,753 | ||||||
Portfolio shares repurchased [1,558,610 and 2,753,392 shares, respectively] | (24,593,172 | ) | (41,864,590 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 61,398,093 | (40,781,837 | ) | |||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 64,144,837 | (36,857,291 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 59,202,421 | 96,059,712 | ||||||
|
|
|
| |||||
End of period | $ | 123,347,258 | $ | 59,202,421 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A18
AST BOND PORTFOLIO 2022 |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 96.0% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 15.7% | ||||||||||||||||
Automobiles — 4.1% |
| |||||||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||||||
Series 2016-01A, Class A, 144A |
| |||||||||||||||
2.990% | 06/20/22 | 600 | $ | 596,143 | ||||||||||||
Bank of The West Auto Trust, |
| |||||||||||||||
Series 2017-01, Class A3, 144A |
| |||||||||||||||
2.110% | 01/15/23 | 47 | 47,418 | |||||||||||||
BMW Floorplan Master Owner Trust, |
| |||||||||||||||
Series 2018-01, Class A1, 144A |
| |||||||||||||||
3.150% | 05/15/23 | 200 | 203,599 | |||||||||||||
Enterprise Fleet Financing LLC, |
| |||||||||||||||
Series 2018-01, Class A2, 144A |
| |||||||||||||||
2.870% | 10/20/23 | 65 | 65,748 | |||||||||||||
Ford Credit Floorplan Master Owner Trust, |
| |||||||||||||||
Series 2019-01, Class A |
| |||||||||||||||
2.840% | 03/15/24 | 300 | 308,195 | |||||||||||||
GMF Floorplan Owner Revolving Trust, |
| |||||||||||||||
Series 2017-02, Class A2, 144A, 1 Month LIBOR + 0.430% |
| |||||||||||||||
0.615%(c) | 07/15/22 | 400 | 399,946 | |||||||||||||
Santander Drive Auto Receivables Trust, |
| |||||||||||||||
Series 2019-03, Class B |
| |||||||||||||||
2.280% | 09/15/23 | 200 | 202,522 | |||||||||||||
|
| |||||||||||||||
1,823,571 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 10.3% |
| |||||||||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class ARR, 144A, 3 Month LIBOR + 1.110% |
| |||||||||||||||
2.208%(c) | 01/22/31 | 250 | 246,069 | |||||||||||||
ICG US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% |
| |||||||||||||||
2.275%(c) | 10/19/28 | 500 | 492,453 | |||||||||||||
Man GLG US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-02A, Class A1R, 144A, 3 Month LIBOR + 1.240% |
| |||||||||||||||
2.459%(c) | 10/15/28 | 400 | 394,047 | |||||||||||||
Ocean Trails CLO (Cayman Islands), |
| |||||||||||||||
Series 2014-05A, Class ARR, 144A, 3 Month LIBOR + 1.280% |
| |||||||||||||||
2.591%(c) | 10/13/31 | 497 | 479,934 | |||||||||||||
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A1A, 144A, 3 Month LIBOR + 1.280% |
| |||||||||||||||
2.415%(c) | 10/20/31 | 500 | 493,916 | |||||||||||||
TICP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-09A, Class A, 144A, 3 Month LIBOR + 1.140% |
| |||||||||||||||
2.275%(c) | 01/20/31 | 500 | 488,354 | |||||||||||||
Series 2018-03R, Class A, 144A, 3 Month LIBOR + 0.840% |
| |||||||||||||||
1.975%(c) | 04/20/28 | 500 | 494,988 | |||||||||||||
Trinitas CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-04A, Class A1LR, 144A, 3 Month LIBOR + 1.180% |
| |||||||||||||||
2.315%(c) | 10/18/31 | 250 | 241,322 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) | ||||||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
Voya CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 0.900% |
| |||||||||||||||
2.035%(c) | 01/18/29 | 500 | $ | 491,995 | ||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-02A, Class A1R, 144A, 3 Month LIBOR + 1.140% |
| |||||||||||||||
2.275%(c) | 10/20/28 | 748 | 739,539 | |||||||||||||
|
| |||||||||||||||
4,562,617 | ||||||||||||||||
|
| |||||||||||||||
Consumer Loans — 0.6% |
| |||||||||||||||
SoFi Consumer Loan Program Trust, |
| |||||||||||||||
Series 2019-01, Class A, 144A |
| |||||||||||||||
3.240% | 02/25/28 | 68 | 68,406 | |||||||||||||
Series 2019-02, Class A, 144A |
| |||||||||||||||
3.010% | 04/25/28 | 131 | 133,117 | |||||||||||||
Series 2019-04, Class A, 144A |
| |||||||||||||||
2.450% | 08/25/28 | 61 | 61,125 | |||||||||||||
|
| |||||||||||||||
262,648 | ||||||||||||||||
|
| |||||||||||||||
Credit Cards — 0.7% |
| |||||||||||||||
Chase Issuance Trust, |
| |||||||||||||||
Series 2012-A07, Class A7 |
| |||||||||||||||
2.160% | 09/15/24 | 300 | 311,320 | |||||||||||||
|
| |||||||||||||||
Student Loans — 0.0% |
| |||||||||||||||
Navient Private Education Refi Loan Trust, |
| |||||||||||||||
Series 2018-CA, Class A1, 144A |
| |||||||||||||||
3.010% | 06/16/42 | 7 | 7,265 | |||||||||||||
SoFi Professional Loan Program LLC, |
| |||||||||||||||
Series 2018-A, Class A2A, 144A |
| |||||||||||||||
2.390% | 02/25/42 | 21 | 20,381 | |||||||||||||
|
| |||||||||||||||
27,646 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 6,987,802 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 20.7% | ||||||||||||||||
BANK, |
| |||||||||||||||
Series 2017-BNK05, Class A1 |
| |||||||||||||||
1.909% | 06/15/60 | 421 | 422,405 | |||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2015-P01, Class A4 |
| |||||||||||||||
3.462% | 09/15/48 | 900 | 979,089 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-UBS04, Class A2 |
| |||||||||||||||
2.963% | 08/10/47 | 17 | 16,940 | |||||||||||||
Series 2015-CR26, Class A3 |
| |||||||||||||||
3.359% | 10/10/48 | 900 | 975,986 | |||||||||||||
Series 2016-CR28, Class A1 |
| |||||||||||||||
1.770% | 02/10/49 | 75 | 75,401 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K054, Class A2 |
| |||||||||||||||
2.745% | 01/25/26 | 1,000 | 1,094,824 |
SEE NOTES TO FINANCIAL STATEMENTS.
A19
AST BOND PORTFOLIO 2022 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2015-GC32, Class A3 |
| |||||||||||||||
3.498% | 07/10/48 | 1,200 | $ | 1,304,211 | ||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2015-C28, Class A3 |
| |||||||||||||||
2.912% | 10/15/48 | 1,170 | 1,226,326 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2014-C14, Class A3 |
| |||||||||||||||
3.669% | 02/15/47 | 63 | 63,923 | |||||||||||||
Series 2015-C24, Class A3 |
| |||||||||||||||
3.479% | 05/15/48 | 1,200 | 1,300,200 | |||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2015-MS01, Class A2 |
| |||||||||||||||
3.261% | 05/15/48 | 600 | 621,177 | |||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2017-C05, Class A1 |
| |||||||||||||||
2.139% | 11/15/50 | 353 | 356,071 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-C35, Class A1 |
| |||||||||||||||
1.392% | 07/15/48 | 103 | 103,361 | |||||||||||||
Series 2016-C37, Class A1 |
| |||||||||||||||
1.944% | 12/15/49 | 182 | 182,824 | |||||||||||||
Series 2017-C41, Class A2 |
| |||||||||||||||
2.590% | 11/15/50 | 460 | 472,633 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 9,195,371 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 39.6% | ||||||||||||||||
Agriculture — 1.1% |
| |||||||||||||||
Cargill, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.375% | 07/23/23 | 230 | 233,715 | |||||||||||||
Philip Morris International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.125% | 05/01/23 | 270 | 274,360 | |||||||||||||
|
| |||||||||||||||
508,075 | ||||||||||||||||
|
| |||||||||||||||
Apparel — 1.1% |
| |||||||||||||||
VF Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.050% | 04/23/22 | (a) | 470 | 482,193 | ||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 1.9% |
| |||||||||||||||
Daimler Finance North America LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.850% | 01/06/22 | (a) | 640 | 654,322 | ||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 11/01/22 | 200 | 192,129 | |||||||||||||
|
| |||||||||||||||
846,451 | ||||||||||||||||
|
| |||||||||||||||
Banks — 13.4% |
| |||||||||||||||
Bank of New York Mellon Corp. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.500% | 04/15/21 | 285 | 289,277 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||
Banks (continued) |
| |||||||||||||||
Barclays PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.684% | 01/10/23 | 310 | $ | 321,496 | ||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.700% | 03/30/21 | 340 | 345,542 | |||||||||||||
2.750% | 04/25/22 | 370 | 383,547 | |||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 01/24/22 | 535 | 577,073 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.550% | 03/01/21 | 125 | 126,548 | |||||||||||||
3.200% | 01/25/23 | 380 | 403,869 | |||||||||||||
4.350% | 08/15/21 | 200 | 208,702 | |||||||||||||
Lloyds Banking Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.870%(ff) | 07/09/25 | 200 | 217,482 | |||||||||||||
Morgan Stanley, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 01/25/21 | 675 | 695,047 | |||||||||||||
National Securities Clearing Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.200% | 04/23/23 | 250 | 253,663 | |||||||||||||
PNC Bank NA, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.450% | 11/05/20 | 770 | 774,149 | |||||||||||||
Royal Bank of Canada (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
1.150% | 06/10/25 | 460 | 461,002 | |||||||||||||
Swedbank AB (Sweden), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.300% | 06/02/23 | 295 | 299,026 | |||||||||||||
UBS AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.750% | 04/21/22 | 570 | 580,627 | |||||||||||||
|
| |||||||||||||||
5,937,050 | ||||||||||||||||
|
| |||||||||||||||
Biotechnology — 2.2% |
| |||||||||||||||
Amgen, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.650% | 05/11/22 | 125 | 129,564 | |||||||||||||
3.875% | 11/15/21 | 79 | 81,660 | |||||||||||||
Biogen, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.625% | 09/15/22 | 355 | 377,126 | |||||||||||||
Gilead Sciences, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.400% | 12/01/21 | 385 | 403,009 | |||||||||||||
|
| |||||||||||||||
991,359 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 1.6% |
| |||||||||||||||
LYB International Finance BV, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 07/15/23 | 500 | 542,644 |
SEE NOTES TO FINANCIAL STATEMENTS.
A20
AST BOND PORTFOLIO 2022 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||
Chemicals (continued) |
| |||||||||||||||
Nutrien Ltd. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.150% | 10/01/22 | (a) | 150 | $ | 156,528 | |||||||||||
|
| |||||||||||||||
699,172 | ||||||||||||||||
|
| |||||||||||||||
Computers — 2.6% |
| |||||||||||||||
Apple, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 02/09/22 | (a) | 1,110 | 1,146,763 | ||||||||||||
|
| |||||||||||||||
Electric — 2.3% |
| |||||||||||||||
Alabama Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.450% | 03/30/22 | 360 | 371,444 | |||||||||||||
Avangrid, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 04/15/25 | 75 | 81,953 | |||||||||||||
Dominion Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series B |
| |||||||||||||||
2.750% | 01/15/22 | 410 | 422,717 | |||||||||||||
NextEra Energy Capital Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 06/01/21 | 125 | 128,317 | |||||||||||||
|
| |||||||||||||||
1,004,431 | ||||||||||||||||
|
| |||||||||||||||
Electronics — 0.3% |
| |||||||||||||||
Fortive Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.350% | 06/15/21 | 115 | 116,403 | |||||||||||||
|
| |||||||||||||||
Foods — 0.3% |
| |||||||||||||||
Mondelez International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 04/13/23 | 135 | 139,806 | |||||||||||||
|
| |||||||||||||||
Healthcare-Services — 1.6% |
| |||||||||||||||
Aetna, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 11/15/22 | (a) | 575 | 598,666 | ||||||||||||
UnitedHealth Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.700% | 02/15/21 | 125 | 126,982 | |||||||||||||
|
| |||||||||||||||
725,648 | ||||||||||||||||
|
| |||||||||||||||
Insurance — 1.0% |
| |||||||||||||||
Swiss Re Treasury US Corp. (Switzerland), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.875% | 12/06/22 | 175 | 182,299 | |||||||||||||
W.R. Berkley Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.625% | 03/15/22 | 245 | �� | 259,778 | ||||||||||||
|
| |||||||||||||||
442,077 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Construction & Mining — 1.0% |
| |||||||||||||||
Caterpillar Financial Services Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
0.950% | 05/13/22 | (a) | 465 | 470,863 | ||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||
Machinery-Diversified — 0.3% |
| |||||||||||||||
Xylem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/01/21 | 140 | $ | 147,281 | ||||||||||||
|
| |||||||||||||||
Multi-National — 0.2% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 09/27/21 | 110 | 110,735 | |||||||||||||
|
| |||||||||||||||
Oil & Gas — 1.7% |
| |||||||||||||||
Antero Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 11/01/21 | 75 | 69,356 | |||||||||||||
Apache Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 04/15/22 | 202 | 195,698 | |||||||||||||
BP Capital Markets America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.937% | 04/06/23 | 155 | 164,023 | |||||||||||||
Exxon Mobil Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.571% | 04/15/23 | 220 | 225,750 | |||||||||||||
Phillips 66, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.700% | 04/06/23 | 85 | 91,052 | |||||||||||||
|
| |||||||||||||||
745,879 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 3.4% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.600% | 11/21/24 | 250 | 265,200 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.250% | 08/15/22 | 380 | 401,139 | |||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.700% | 03/09/23 | 75 | 80,488 | |||||||||||||
4.100% | 03/25/25 | 50 | 56,531 | |||||||||||||
Shire Acquisitions Investments Ireland DAC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.875% | 09/23/23 | 465 | 492,756 | |||||||||||||
Zoetis, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 08/20/21 | 200 | 205,475 | |||||||||||||
|
| |||||||||||||||
1,501,589 | ||||||||||||||||
|
| |||||||||||||||
Software — 2.0% |
| |||||||||||||||
Microsoft Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.400% | 02/06/22 | (a) | 880 | 907,955 | ||||||||||||
|
| |||||||||||||||
Telecommunications — 1.1% |
| |||||||||||||||
Level 3 Financing, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 05/01/23 | 75 | 75,007 | |||||||||||||
SingTel Group Treasury Pte Ltd. (Singapore), |
| |||||||||||||||
Gtd. Notes, EMTN |
| |||||||||||||||
4.500% | 09/08/21 | 200 | 207,985 |
SEE NOTES TO FINANCIAL STATEMENTS.
A21
AST BOND PORTFOLIO 2022 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||
Telecommunications (continued) |
| |||||||||||||||
T-Mobile USA, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.500% | 04/15/25 | 175 | $ | 190,866 | ||||||||||||
|
| |||||||||||||||
473,858 | ||||||||||||||||
|
| |||||||||||||||
Transportation — 0.5% |
| |||||||||||||||
Canadian Pacific Railway Co. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 01/15/22 | 200 | 210,949 | |||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 17,608,537 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITY — 0.3% |
| |||||||||||||||
Seasoned Credit Risk Transfer Trust, |
| |||||||||||||||
Series 2019-02, Class MA |
| |||||||||||||||
3.500% | 08/25/58 | 131 | 143,146 | |||||||||||||
|
| |||||||||||||||
(cost $133,294) |
| |||||||||||||||
SOVEREIGN BONDS — 2.5% |
| |||||||||||||||
Abu Dhabi Government International Bond (United Arab Emirates), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.125% | 10/11/27 | 315 | 344,420 | |||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.125% | 04/13/21 | 200 | 202,476 | |||||||||||||
2.125% | 10/25/23 | 200 | 209,506 | |||||||||||||
Kuwait International Government Bond (Kuwait), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.750% | 03/20/22 | 215 | 221,739 | |||||||||||||
Province of Ontario (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 09/10/21 | 125 | 128,192 | |||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 1,106,333 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATION — 1.8% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
2.625% | 10/01/20 | 785 | 789,791 | |||||||||||||
|
| |||||||||||||||
(cost $784,729) |
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 15.4% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
3.625% | 02/15/44 | (a) | 2,465 | 3,607,374 | ||||||||||||
3.750% | 11/15/43 | (a) | 1,000 | 1,487,969 | ||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
1.375% | 04/30/21 | (k) | 165 | 166,644 | ||||||||||||
3.000% | 09/30/25 | (k) | 765 | 871,502 | ||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
0.461%(s) | 05/15/25 | 60 | 58,882 | |||||||||||||
1.394%(s) | 11/15/41 | 20 | 14,784 | |||||||||||||
1.450%(s) | 08/15/42 | 10 | 7,265 | |||||||||||||
1.643%(s) | 05/15/29 | 30 | 28,147 | |||||||||||||
2.026%(s) | 02/15/22 | (k) | 470 | 468,715 | ||||||||||||
2.205%(s) | 05/15/39 | 10 | 7,838 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||||||||||
2.394%(s) | 11/15/43 | 135 | $ | 94,843 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 6,813,963 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 42,644,943 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 18.7% |
| |||||||||||||||
AFFILIATED MUTUAL FUNDS — 18.6% |
| |||||||||||||||
PGIM Core Ultra Short Bond Fund(w) |
| 1,490,702 | 1,490,702 | |||||||||||||
PGIM Institutional Money Market Fund |
| 6,752,669 | 6,752,669 | |||||||||||||
|
| |||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 8,243,371 | ||||||||||||||
|
| |||||||||||||||
OPTIONS PURCHASED*~ — 0.1% |
| 60,773 | ||||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 8,304,144 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS — 114.7% |
| 50,949,087 | ||||||||||||||
Liabilities in excess of other assets(z) — (14.7)% |
| (6,516,536 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 44,432,551 | |||||||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
~ | See tables subsequent to the Schedule of Investments for options detail. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $6,590,423; cash collateral of $6,746,977 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
SEE NOTES TO FINANCIAL STATEMENTS.
A22
AST BOND PORTFOLIO 2022 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
(w) | PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded
Description | Call/ Put | Counterparty | Expiration | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 187 | $ | 4,173 | |||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 182 | 4,052 | ||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 456 | 9,634 | ||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 904 | 19,139 | ||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 920 | 20,147 | ||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 182 | 3,628 | ||||||||||||||||
|
| |||||||||||||||||||||||
Total Options Purchased | $ | 60,773 | ||||||||||||||||||||||
|
|
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||
Short Positions: | ||||||||||||||
23 | 2 Year U.S. Treasury Notes | Sep. 2020 | $ | 5,079,047 | $ | (1,818 | ) | |||||||
14 | 5 Year U.S. Treasury Notes | Sep. 2020 | 1,760,391 | (3,620 | ) | |||||||||
4 | 10 Year U.S. Treasury Notes | Sep. 2020 | 556,687 | (163 | ) | |||||||||
21 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 3,749,812 | (18,257 | ) | |||||||||
7 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 1,527,094 | 1,535 | ||||||||||
|
| |||||||||||||
$ | (22,323 | ) | ||||||||||||
|
|
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
25,500 | 09/03/22 | 1.919%(S) | 3 Month LIBOR(2)(Q) | $ | 109 | $ | 1,097,575 | $ | 1,097,466 | |||||||||||||||
345 | 11/15/45 | 1.044%(A) | 1 Day USOIS(1)(A) | — | (30,694 | ) | (30,694 | ) | ||||||||||||||||
110 | 08/09/49 | 1.508%(A) | 1 Day USOIS(1)(A) | — | (24,949 | ) | (24,949 | ) | ||||||||||||||||
57 | 03/30/50 | 0.855%(S) | 3 Month LIBOR(1)(Q) | — | 826 | 826 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 109 | $ | 1,042,758 | $ | 1,042,649 | |||||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||||
Citigroup Global Markets, Inc. | $ | — | $ | 1,263,337 | ||||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
A23
AST BOND PORTFOLIO 2022 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | $ | — | $ | 1,823,571 | $ | — | ||||||
Collateralized Loan Obligations | — | 4,562,617 | — | |||||||||
Consumer Loans | — | 262,648 | — | |||||||||
Credit Cards | — | 311,320 | — | |||||||||
Student Loans | — | 27,646 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 9,195,371 | — | |||||||||
Corporate Bonds | — | 17,608,537 | — | |||||||||
Residential Mortgage-Backed Security | — | 143,146 | — | |||||||||
Sovereign Bonds | — | 1,106,333 | — | |||||||||
U.S. Government Agency Obligation | — | 789,791 | — | |||||||||
U.S. Treasury Obligations | — | 6,813,963 | — | |||||||||
Affiliated Mutual Funds | 8,243,371 | — | — | |||||||||
Options Purchased | — | 60,773 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 8,243,371 | $ | 42,705,716 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 1,535 | $ | — | $ | — | ||||||
Centrally Cleared Interest Rate Swap Agreements | — | 1,098,292 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,535 | $ | 1,098,292 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (23,858 | ) | $ | — | $ | — | |||||
Centrally Cleared Interest Rate Swap Agreements | — | (55,643 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (23,858 | ) | $ | (55,643 | ) | $ | — | ||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
Commercial Mortgage-Backed Securities | 20.7 | % | ||
Affiliated Mutual Funds (15.2% represents investments purchased with collateral from securities on loan) | 18.6 | |||
U.S. Treasury Obligations | 15.4 | |||
Banks | 13.4 | |||
Collateralized Loan Obligations | 10.3 | |||
Automobiles | 4.1 | |||
Pharmaceuticals | 3.4 | |||
Computers | 2.6 | |||
Sovereign Bonds | 2.5 | |||
Electric | 2.3 | |||
Biotechnology | 2.2 | |||
Software | 2.0 | |||
Auto Manufacturers | 1.9 | |||
U.S. Government Agency Obligation | 1.8 | |||
Oil & Gas | 1.7 | |||
Healthcare-Services | 1.6 | |||
Chemicals | 1.6 | |||
Agriculture | 1.1 |
Apparel | 1.1 | % | ||
Telecommunications | 1.1 | |||
Machinery-Construction & Mining | 1.0 | |||
Insurance | 1.0 | |||
Credit Cards | 0.7 | |||
Consumer Loans | 0.6 | |||
Transportation | 0.5 | |||
Machinery-Diversified | 0.3 | |||
Residential Mortgage-Backed Security | 0.3 | |||
Foods | 0.3 | |||
Electronics | 0.3 | |||
Multi-National | 0.2 | |||
Options Purchased | 0.1 | |||
Student Loans | 0.0 | * | ||
|
| |||
114.7 | ||||
Liabilities in excess of other assets | (14.7 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
SEE NOTES TO FINANCIAL STATEMENTS.
A24
AST BOND PORTFOLIO 2022 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 1,535 | * | Due from/to broker — variation margin futures | $ | 23,858 | * | ||||
Interest rate contracts | Due from/to broker — variation margin swaps | 1,098,292 | * | Due from/to broker — variation margin swaps | 55,643 | * | ||||||
Interest rate contracts | Unaffiliated investments | 60,773 | — | — | ||||||||
|
|
|
| |||||||||
$ | 1,160,600 | $ | 79,501 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(1) | Options Written | Futures | Swaps | ||||||||||||
Interest rate contracts | $ | (5,093 | ) | $ | 1,704 | $ | (475,810 | ) | $ | (2,138,004 | ) | |||||
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
| |||||||||||
Derivatives not accounted for as hedging | Options Purchased(2) | Futures | Swaps | |||||||||
Interest rate contracts | $ | 32,047 | $ | 42,572 | $ | 2,693,644 | ||||||
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures | Futures | |||
$2,767 | $3,333 | $9,960,870 | $47,658,051 |
Interest Rate |
$87,659,067 |
(1) | Cost. |
(2) | Notional Amount in USD. |
SEE NOTES TO FINANCIAL STATEMENTS.
A25
AST BOND PORTFOLIO 2022 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||
Securities on Loan | $ | 6,590,423 | $ | (6,590,423 | ) | $ | — | |||||
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts of Recognized Liabilities(1) | Net Amounts of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||||||||
Bank of America, N.A. | $ | 48,920 | $ | — | $ | 48,920 | $ | — | $ | 48,920 | ||||||||||
Barclays Bank PLC | 11,853 | — | 11,853 | — | 11,853 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 60,773 | $ | — | $ | 60,773 | $ | — | $ | 60,773 | |||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
AST BOND PORTFOLIO 2022 (continued) |
STATEMENT OF ASSETS AND LIABILITIES
(unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $6,590,423: | ||||
Unaffiliated investments (cost $41,346,982) | $ | 42,705,716 | ||
Affiliated investments (cost $8,239,743) | 8,243,371 | |||
Cash | 9,320 | |||
Dividends and interest receivable | 256,408 | |||
Due from broker-variation margin futures | 17,756 | |||
Due from broker-variation margin swaps | 6,086 | |||
Prepaid expenses and other assets | 1,950 | |||
|
| |||
Total Assets | 51,240,607 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 6,746,977 | |||
Accrued expenses and other liabilities | 50,737 | |||
Management fee payable | 5,657 | |||
Payable for Portfolio shares repurchased | 2,618 | |||
Distribution fee payable | 1,689 | |||
Affiliated transfer agent fee payable | 378 | |||
|
| |||
Total Liabilities | 6,808,056 | |||
|
| |||
NET ASSETS | $ | 44,432,551 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 44,432,551 | ||
|
| |||
Net asset value and redemption price per share, $44,432,551 / 2,971,671 outstanding shares of beneficial interest | $ | 14.95 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 603,624 | ||
Income from securities lending, net (including affiliated income of $5,152) | 5,201 | |||
Affiliated dividend income | 4,163 | |||
|
| |||
Total income | 612,988 | |||
|
| |||
EXPENSES | ||||
Management fee | 106,693 | |||
Distribution fee | 57,212 | |||
Custodian and accounting fees | 29,970 | |||
Audit fee | 26,008 | |||
Legal fees and expenses | 5,778 | |||
Trustees’ fees | 4,884 | |||
Shareholders’ reports | 3,489 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,459 | |||
Miscellaneous | 6,804 | |||
|
| |||
Total expenses | 244,297 | |||
Less: Fee waiver and/or expense reimbursement | (31,467 | ) | ||
|
| |||
Net expenses | 212,830 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 400,158 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $1,623) | 558,191 | |||
Futures transactions | (475,810 | ) | ||
Options written transactions | 1,704 | |||
Swap agreements transactions | (2,138,004 | ) | ||
|
| |||
(2,053,919 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $3,557) | 710,728 | |||
Futures | 42,572 | |||
Swap agreements | 2,693,644 | |||
|
| |||
3,446,944 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 1,393,025 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,793,183 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 400,158 | $ | 1,022,483 | ||||
Net realized gain (loss) on investment transactions | (2,053,919 | ) | 1,250,116 | |||||
Net change in unrealized appreciation (depreciation) on investments | 3,446,944 | 1,064,254 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 1,793,183 | 3,336,853 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [662,968 and 102,378 shares, respectively] | 9,711,223 | 1,456,192 | ||||||
Portfolio shares repurchased [951,736 and 1,850,587 shares, respectively] | (13,951,366 | ) | (25,923,286 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (4,240,143 | ) | (24,467,094 | ) | ||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (2,446,960 | ) | (21,130,241 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 46,879,511 | 68,009,752 | ||||||
|
|
|
| |||||
End of period | $ | 44,432,551 | $ | 46,879,511 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A27
AST BOND PORTFOLIO 2023 |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 94.2% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 18.0% |
| |||||||||||||||
Automobiles — 3.3% |
| |||||||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||||||
Series 2019-01A, Class A, 144A |
| |||||||||||||||
3.450% | 03/20/23 | 100 | $ | 100,323 | ||||||||||||
Bank of The West Auto Trust, |
| |||||||||||||||
Series 2017-01, Class A3, 144A |
| |||||||||||||||
2.110% | 01/15/23 | 47 | 47,418 | |||||||||||||
BMW Floorplan Master Owner Trust, |
| |||||||||||||||
Series 2018-01, Class A1, 144A |
| |||||||||||||||
3.150% | 05/15/23 | 100 | 101,799 | |||||||||||||
CarMax Auto Owner Trust, |
| |||||||||||||||
Series 2017-04, Class A3 |
| |||||||||||||||
2.110% | 10/17/22 | 52 | 52,425 | |||||||||||||
Series 2018-04, Class B |
| |||||||||||||||
3.670% | 05/15/24 | 100 | 104,318 | |||||||||||||
Chesapeake Funding II LLC (Canada), |
| |||||||||||||||
Series 2017-03A, Class A2, 144A, 1 Month LIBOR + 0.340% |
| |||||||||||||||
0.525%(c) | 08/15/29 | 22 | 22,254 | |||||||||||||
Series 2017-04A, Class A1, 144A |
| |||||||||||||||
2.120% | 11/15/29 | 33 | 32,651 | |||||||||||||
Enterprise Fleet Financing LLC, |
| |||||||||||||||
Series 2017-03, Class A2, 144A |
| |||||||||||||||
2.130% | 05/22/23 | 12 | 12,416 | |||||||||||||
Series 2018-01, Class A2, 144A |
| |||||||||||||||
2.870% | 10/20/23 | 33 | 32,874 | |||||||||||||
Ford Credit Auto Owner Trust, |
| |||||||||||||||
Series 2017-02, Class A, 144A |
| |||||||||||||||
2.360% | 03/15/29 | 200 | 205,802 | |||||||||||||
Ford Credit Floorplan Master Owner Trust, |
| |||||||||||||||
Series 2017-02, Class A2, 1 Month LIBOR + 0.350% |
| |||||||||||||||
0.535%(c) | 09/15/22 | 100 | 99,992 | |||||||||||||
OneMain Direct Auto Receivables Trust, |
| |||||||||||||||
Series 2018-01A, Class A, 144A |
| |||||||||||||||
3.430% | 12/16/24 | 200 | 202,850 | |||||||||||||
|
| |||||||||||||||
1,015,122 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 8.8% |
| |||||||||||||||
Battalion CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-07A, Class A1RR, 144A, 3 Month LIBOR + 1.040% |
| |||||||||||||||
2.175%(c) | 07/17/28 | 250 | 246,013 | |||||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820% |
| |||||||||||||||
1.955%(c) | 01/17/28 | 243 | 239,699 | |||||||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-02RA, Class A1, 144A, 3 Month LIBOR + 1.050% |
| |||||||||||||||
2.070%(c) | 04/24/30 | 250 | 244,339 | |||||||||||||
Series 2015-01A, Class ARR, 144A, 3 Month LIBOR + 1.110% |
| |||||||||||||||
2.208%(c) | 01/22/31 | 250 | 246,069 | |||||||||||||
Man GLG US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-02A, Class A1R, 144A, 3 Month LIBOR + 1.240% |
| |||||||||||||||
2.459%(c) | 10/15/28 | 250 | 246,279 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
MidOcean Credit CLO (Cayman Islands), |
| |||||||||||||||
Series 2018-09A, Class A1, 144A, 3 Month LIBOR + 1.150% |
| |||||||||||||||
2.285%(c) | 07/20/31 | 250 | $ | 244,038 | ||||||||||||
Neuberger Berman CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-16SA, Class A, 144A, 3 Month LIBOR + 0.850% |
| |||||||||||||||
2.069%(c) | 01/15/28 | 245 | 242,458 | |||||||||||||
Ocean Trails CLO (Cayman Islands), |
| |||||||||||||||
Series 2014-05A, Class ARR, 144A, 3 Month LIBOR + 1.280% |
| |||||||||||||||
2.591%(c) | 10/13/31 | 249 | 239,967 | |||||||||||||
TICP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 0.800% |
| |||||||||||||||
1.935%(c) | 07/20/27 | 226 | 224,155 | |||||||||||||
Trinitas CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-04A, Class A1LR, 144A, 3 Month LIBOR + 1.180% |
| |||||||||||||||
2.315%(c) | 10/18/31 | 250 | 241,322 | |||||||||||||
Voya CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 0.900% |
| |||||||||||||||
2.035%(c) | 01/18/29 | 250 | 245,997 | |||||||||||||
|
| |||||||||||||||
2,660,336 | ||||||||||||||||
|
| |||||||||||||||
Consumer Loans — 1.0% |
| |||||||||||||||
SoFi Consumer Loan Program Trust, |
| |||||||||||||||
Series 2019-01, Class A, 144A |
| |||||||||||||||
3.240% | 02/25/28 | 68 | 68,407 | |||||||||||||
Series 2019-02, Class A, 144A |
| |||||||||||||||
3.010% | 04/25/28 | 88 | 88,744 | |||||||||||||
Series 2019-04, Class A, 144A |
| |||||||||||||||
2.450% | 08/25/28 | 60 | 61,125 | |||||||||||||
Series 2020-01, Class A, 144A |
| |||||||||||||||
2.020% | 01/25/29 | 79 | 80,006 | |||||||||||||
|
| |||||||||||||||
298,282 | ||||||||||||||||
|
| |||||||||||||||
Credit Cards — 3.5% |
| |||||||||||||||
American Express Credit Account Master Trust, |
| |||||||||||||||
Series 2019-03, Class A |
| |||||||||||||||
2.000% | 04/15/25 | 200 | 207,067 | |||||||||||||
BA Credit Card Trust, |
| |||||||||||||||
Series 2019-A01, Class A1 |
| |||||||||||||||
1.740% | 01/15/25 | 200 | 205,662 | |||||||||||||
Chase Issuance Trust, |
| |||||||||||||||
Series 2012-A07, Class A7 |
| |||||||||||||||
2.160% | 09/15/24 | 200 | 207,547 | |||||||||||||
Citibank Credit Card Issuance Trust, |
| |||||||||||||||
Series 2014-A01, Class A1 |
| |||||||||||||||
2.880% | 01/23/23 | 432 | 438,220 | |||||||||||||
|
| |||||||||||||||
1,058,496 | ||||||||||||||||
|
| |||||||||||||||
Equipment — 0.7% |
| |||||||||||||||
MMAF Equipment Finance LLC, |
| |||||||||||||||
Series 2017-AA, Class A4, 144A |
| |||||||||||||||
2.410% | 08/16/24 | 100 | 101,834 |
SEE NOTES TO FINANCIAL STATEMENTS.
A28
AST BOND PORTFOLIO 2023 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Equipment (continued) |
| |||||||||||||||
Series 2019-B, Class A2, 144A |
| |||||||||||||||
2.070% | 10/12/22 | 99 | $ | 99,937 | ||||||||||||
|
| |||||||||||||||
201,771 | ||||||||||||||||
|
| |||||||||||||||
Student Loans — 0.7% |
| |||||||||||||||
Navient Private Education Refi Loan Trust, |
| |||||||||||||||
Series 2018-CA, Class A1, 144A |
| |||||||||||||||
3.010% | 06/16/42 | 8 | 7,265 | |||||||||||||
SoFi Professional Loan Program LLC, |
| |||||||||||||||
Series 2017-F, Class A2FX, 144A |
| |||||||||||||||
2.840% | 01/25/41 | 95 | 97,275 | |||||||||||||
Series 2018-A, Class A2A, 144A |
| |||||||||||||||
2.390% | 02/25/42 | 10 | 10,190 | |||||||||||||
SoFi Professional Loan Program Trust, |
| |||||||||||||||
Series 2020-A, Class A1FX, 144A |
| |||||||||||||||
2.060% | 05/15/46 | 84 | 84,793 | |||||||||||||
|
| |||||||||||||||
199,523 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 5,433,530 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 16.0% |
| |||||||||||||||
CFCRE Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-C07, Class A1 |
| |||||||||||||||
1.971% | 12/10/54 | 70 | 69,934 | |||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-GC25, Class A3 |
| |||||||||||||||
3.372% | 10/10/47 | 60 | 64,207 | |||||||||||||
Series 2015-GC35, Class A1 |
| |||||||||||||||
1.847% | 11/10/48 | 4 | 4,308 | |||||||||||||
Series 2015-P01, Class A4 |
| |||||||||||||||
3.462% | 09/15/48 | 300 | 326,363 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2012-LC04, Class A4 |
| |||||||||||||||
3.288% | 12/10/44 | 208 | 211,736 | |||||||||||||
Series 2014-UBS02, Class A2 |
| |||||||||||||||
2.820% | 03/10/47 | — | (r) | 484 | ||||||||||||
Series 2016-CR28, Class A1 |
| |||||||||||||||
1.770% | 02/10/49 | 3 | 3,186 | |||||||||||||
Series 2017-COR2, Class A1 |
| |||||||||||||||
2.111% | 09/10/50 | 92 | 92,703 | |||||||||||||
DBJPM Mortgage Trust, |
| |||||||||||||||
Series 2016-C03, Class A1 |
| |||||||||||||||
1.502% | 08/10/49 | 95 | 95,091 | |||||||||||||
Series 2016-C03, Class A2 |
| |||||||||||||||
1.886% | 08/10/49 | 100 | 100,484 | |||||||||||||
Series 2017-C06, Class A1 |
| |||||||||||||||
1.907% | 06/10/50 | 114 | 114,911 | |||||||||||||
Fannie Mae-Aces, |
| |||||||||||||||
Series 2019-M25, Class AV1 |
| |||||||||||||||
2.050% | 12/25/26 | 164 | 168,134 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K054, Class A2 |
| |||||||||||||||
2.745% | 01/25/26 | 380 | 416,033 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2015-GC32, Class A3 |
| |||||||||||||||
3.498% | 07/10/48 | 300 | $ | 326,053 | ||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2015-C28, Class A3 |
| |||||||||||||||
2.912% | 10/15/48 | 219 | 229,936 | |||||||||||||
JPMCC Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2017-JP07, Class A1 |
| |||||||||||||||
1.969% | 09/15/50 | 117 | 117,501 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2014-C20, Class A3A2, 144A |
| |||||||||||||||
3.472% | 07/15/47 | 126 | 127,673 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2014-C14, Class A3 |
| |||||||||||||||
3.669% | 02/15/47 | 36 | 36,223 | |||||||||||||
Series 2015-C24, Class A3 |
| |||||||||||||||
3.479% | 05/15/48 | 400 | 433,400 | |||||||||||||
Series 2016-C32, Class A1 |
| |||||||||||||||
1.968% | 12/15/49 | 28 | 28,162 | |||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2016-UB12, Class A1 |
| |||||||||||||||
1.779% | 12/15/49 | 85 | 84,720 | |||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2017-C05, Class A1 |
| |||||||||||||||
2.139% | 11/15/50 | 248 | 249,782 | |||||||||||||
Series 2018-C08, Class ASB |
| |||||||||||||||
3.903% | 02/15/51 | 340 | 377,499 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2012-C02, Class A3 |
| |||||||||||||||
3.058% | 05/10/63 | 59 | 59,409 | |||||||||||||
Series 2012-C04, Class A5 |
| |||||||||||||||
2.850% | 12/10/45 | 635 | 653,364 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-C35, Class A1 |
| |||||||||||||||
1.392% | 07/15/48 | 56 | 55,589 | |||||||||||||
Series 2016-C37, Class A1 |
| |||||||||||||||
1.944% | 12/15/49 | 203 | 203,137 | |||||||||||||
Series 2017-C41, Class A2 |
| |||||||||||||||
2.590% | 11/15/50 | 180 | 184,943 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 4,834,965 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 28.9% |
| |||||||||||||||
Agriculture — 1.8% |
| |||||||||||||||
Archer-Daniels-Midland Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 03/27/25 | (a) | 160 | 173,708 | ||||||||||||
Cargill, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.375% | 07/23/23 | 165 | 167,665 | |||||||||||||
Philip Morris International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.125% | 05/01/23 | 190 | 193,068 | |||||||||||||
|
| |||||||||||||||
534,441 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A29
AST BOND PORTFOLIO 2023 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | �� | Principal Amount (000)# | Value | ||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Apparel — 1.1% |
| |||||||||||||||
VF Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.050% | 04/23/22 | (a) | 330 | $ | 338,561 | |||||||||||
|
| |||||||||||||||
Auto Manufacturers — 0.7% |
| |||||||||||||||
Daimler Finance North America LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.850% | 01/06/22 | (a) | 220 | 224,923 | ||||||||||||
|
| |||||||||||||||
Banks — 10.1% |
| |||||||||||||||
Bank of America Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.300% | 01/11/23 | 300 | 319,483 | |||||||||||||
Bank of New York Mellon Corp. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
1.600% | 04/24/25 | 45 | 46,642 | |||||||||||||
Barclays PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.684% | 01/10/23 | 210 | 217,788 | |||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
3.875% | 03/26/25 | 95 | 103,931 | |||||||||||||
Development Bank of Japan, Inc. (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 10/18/22 | 200 | 208,623 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 01/24/22 | 50 | 53,080 | |||||||||||||
Sub. Notes |
| |||||||||||||||
3.375% | 05/01/23 | 260 | 277,987 | |||||||||||||
Lloyds Banking Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.870%(ff) | 07/09/25 | 200 | 217,482 | |||||||||||||
Morgan Stanley, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 01/25/21 | 325 | 334,652 | |||||||||||||
National Securities Clearing Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.200% | 04/23/23 | 250 | 253,663 | |||||||||||||
PNC Bank NA, |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
2.950% | 01/30/23 | 250 | 262,893 | |||||||||||||
Royal Bank of Canada (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
1.950% | 01/17/23 | 200 | 206,351 | |||||||||||||
State Street Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.825%(ff) | 03/30/23 | 130 | 134,821 | |||||||||||||
UBS AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.750% | 04/21/22 | 395 | 402,364 | |||||||||||||
|
| |||||||||||||||
3,039,760 | ||||||||||||||||
|
| |||||||||||||||
Biotechnology — 0.2% |
| |||||||||||||||
Amgen, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.625% | 05/15/22 | 50 | 52,412 | |||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Chemicals — 1.3% |
| |||||||||||||||
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.125% | 04/01/25 | 70 | $ | 80,427 | ||||||||||||
LYB International Finance BV, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 07/15/23 | 275 | 298,454 | |||||||||||||
Nutrien Ltd. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.150% | 10/01/22 | 15 | 15,653 | |||||||||||||
|
| |||||||||||||||
394,534 | ||||||||||||||||
|
| |||||||||||||||
Computers — 0.3% |
| |||||||||||||||
Apple, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.000% | 02/09/24 | 95 | 102,747 | |||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.3% |
| |||||||||||||||
Ameriprise Financial, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.000% | 04/02/25 | 40 | 43,446 | |||||||||||||
Mastercard, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.300% | 03/26/27 | 40 | 45,378 | |||||||||||||
|
| |||||||||||||||
88,824 | ||||||||||||||||
|
| |||||||||||||||
Electric — 1.7% |
| |||||||||||||||
Avangrid, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 04/15/25 | 55 | 60,099 | |||||||||||||
Dominion Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series B |
| |||||||||||||||
2.750% | 01/15/22 | 140 | 144,343 | |||||||||||||
NextEra Energy Capital Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.625% | 06/15/23 | 285 | 306,771 | |||||||||||||
|
| |||||||||||||||
511,213 | ||||||||||||||||
|
| |||||||||||||||
Foods — 0.3% |
| |||||||||||||||
Mondelez International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 04/13/23 | 95 | 98,382 | |||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.1% |
| |||||||||||||||
Baxter International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.750% | 10/01/25 | 40 | 45,598 | |||||||||||||
|
| |||||||||||||||
Healthcare-Services — 1.4% |
| |||||||||||||||
Aetna, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 11/15/22 | 310 | 322,759 | |||||||||||||
Humana, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 04/01/25 | 80 | 91,445 | |||||||||||||
|
| |||||||||||||||
414,204 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A30
AST BOND PORTFOLIO 2023 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Insurance — 1.9% |
| |||||||||||||||
Liberty Mutual Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.250% | 06/15/23 | 63 | $ | 68,410 | ||||||||||||
4.569% | 02/01/29 | 222 | 259,917 | |||||||||||||
Principal Financial Group, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.125% | 05/15/23 | 150 | 159,096 | |||||||||||||
3.300% | 09/15/22 | 20 | 21,055 | |||||||||||||
Swiss Re Treasury US Corp. (Switzerland), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.875% | 12/06/22 | 55 | 57,294 | |||||||||||||
|
| |||||||||||||||
565,772 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.9% |
| |||||||||||||||
Deere & Co., Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 04/15/25 | 200 | 218,452 | |||||||||||||
John Deere Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.800% | 01/27/23 | 50 | 52,990 | |||||||||||||
|
| |||||||||||||||
271,442 | ||||||||||||||||
|
| |||||||||||||||
Media — 0.9% |
| |||||||||||||||
Comcast Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.100% | 04/01/25 | 130 | 142,987 | |||||||||||||
Fox Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.050% | 04/07/25 | 110 | 119,013 | |||||||||||||
|
| |||||||||||||||
262,000 | ||||||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.3% |
| |||||||||||||||
General Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.100% | 01/09/23 | 84 | 87,848 | |||||||||||||
|
| |||||||||||||||
Oil & Gas — 1.3% |
| |||||||||||||||
Antero Resources Corp., |
| |||||||||||||||
5.375% | 11/01/21 | 50 | 46,237 | |||||||||||||
BP Capital Markets America, Inc., |
| |||||||||||||||
2.937% | 04/06/23 | 110 | 116,404 | |||||||||||||
Exxon Mobil Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.571% | 04/15/23 | 150 | 153,920 | |||||||||||||
Phillips 66, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.700% | 04/06/23 | 65 | 69,628 | |||||||||||||
|
| |||||||||||||||
386,189 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 1.7% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.600% | 11/21/24 | 160 | 169,728 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.000% | 08/15/23 | 205 | 225,972 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals (continued) |
| |||||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.750% | 07/15/23 | 97 | $ | 105,309 | ||||||||||||
|
| |||||||||||||||
501,009 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 1.0% |
| |||||||||||||||
Enterprise Products Operating LLC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.350% | 03/15/23 | 300 | 317,767 | |||||||||||||
|
| |||||||||||||||
Retail — 0.3% |
| |||||||||||||||
McDonald’s Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.300% | 07/01/25 | 90 | 100,078 | |||||||||||||
|
| |||||||||||||||
Semiconductors — 0.4% |
| |||||||||||||||
Broadcom, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.700% | 04/15/25 | 105 | 118,231 | |||||||||||||
|
| |||||||||||||||
Software — 0.3% |
| |||||||||||||||
Oracle Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 04/01/25 | 75 | 80,403 | |||||||||||||
|
| |||||||||||||||
Telecommunications — 0.6% |
| |||||||||||||||
AT&T, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.000% | 06/30/22 | 50 | 52,252 | |||||||||||||
T-Mobile USA, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.500% | 04/15/25 | 125 | 136,333 | |||||||||||||
|
| |||||||||||||||
188,585 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 8,724,923 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITY — 0.3% |
| |||||||||||||||
Seasoned Credit Risk Transfer Trust, |
| |||||||||||||||
Series 2019-02, Class MA |
| |||||||||||||||
3.500% | 08/25/58 | 88 | 95,431 | |||||||||||||
|
| |||||||||||||||
(cost $88,863) |
| |||||||||||||||
SOVEREIGN BONDS — 2.2% |
| |||||||||||||||
Abu Dhabi Government International Bond (United Arab Emirates), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.125% | 10/11/27 | 200 | 218,679 | |||||||||||||
Japan Bank for International Cooperation (Japan), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
2.125% | 11/16/20 | 200 | 201,169 | |||||||||||||
Kuntarahoitus OYJ (Finland), |
| |||||||||||||||
Local Gov’t. Gtd. Notes, EMTN |
| |||||||||||||||
2.375% | 03/15/22 | 200 | 206,883 | |||||||||||||
Province of Ontario (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 09/10/21 | 50 | 51,277 | |||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 678,008 | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A31
AST BOND PORTFOLIO 2023 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATION — 0.3% |
| |||||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
2.375% | 01/19/23 | 70 | $ | 73,939 | ||||||||||||
|
| |||||||||||||||
(cost $69,739) |
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 28.5% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
3.125% | 02/15/43 | 10 | 13,553 | |||||||||||||
3.625% | 08/15/43 | 535 | 781,184 | |||||||||||||
3.625% | 02/15/44 | 2,960 | 4,331,775 | |||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
2.000% | 11/30/20 | 85 | 85,641 | |||||||||||||
2.125% | 09/30/21 | (k) | 2,535 | 2,596,593 | ||||||||||||
2.250% | 11/15/25 | 290 | 319,476 | |||||||||||||
2.875% | 05/15/28 | 30 | 35,395 | |||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
0.461%(s) | 05/15/25 | 45 | 44,161 | |||||||||||||
1.643%(s) | 05/15/29 | 25 | 23,456 | |||||||||||||
2.233%(s) | 02/15/41 | 105 | 79,250 | |||||||||||||
2.308%(s) | 11/15/40 | 95 | 72,077 | |||||||||||||
2.334%(s) | 11/15/42 | 25 | 18,032 | |||||||||||||
2.375%(s) | 11/15/41 | 140 | 103,491 | |||||||||||||
2.378%(s) | 05/15/42 | 125 | 91,299 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 8,595,383 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 28,436,179 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 5.3% |
| |||||||||||||||
AFFILIATED MUTUAL FUNDS — 5.2% |
| |||||||||||||||
PGIM Core Ultra Short Bond Fund(w) |
| 1,078,934 | 1,078,934 | |||||||||||||
PGIM Institutional Money Market Fund (cost $498,572; includes $498,301 of cash collateral for securities on loan)(b)(w) |
| 498,919 | 498,919 | |||||||||||||
|
| |||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 1,577,853 | ||||||||||||||
|
| |||||||||||||||
OPTIONS PURCHASED*~ — 0.1% |
| 31,943 | ||||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 1,609,796 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS — 99.5% |
| 30,045,975 | ||||||||||||||
Other assets in excess of liabilities(z) — 0.5% |
| 163,854 | ||||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 30,209,829 | |||||||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
~ | See tables subsequent to the Schedule of Investments for options detail. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $485,079; cash collateral of $498,301 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(r) | Principal or notional amount is less than $500 par. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM |
Institutional Money Market Fund.
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded
Description | Call/ Put | Counterparty | Expiration | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 99 | $ | 2,209 | |||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 96 | 2,138 |
SEE NOTES TO FINANCIAL STATEMENTS.
A32
AST BOND PORTFOLIO 2023 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Options Purchased (continued):
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 240 | $ | 5,071 | |||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 477 | 10,099 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 480 | 10,512 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 96 | 1,914 | ||||||||||||||||||
|
| |||||||||||||||||||||||||
Total Options Purchased | $ | 31,943 | ||||||||||||||||||||||||
|
|
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||
Long Positions: | ||||||||||||||
315 | Year U.S.Treasury Notes | Sep. 2020 | $ | 3,898,008 | $ | 10,828 | ||||||||
3 | 10 Year U.S. Ultra Treasury Notes | Sep. 2020 | 472,453 | 2,228 | ||||||||||
|
| |||||||||||||
13,056 | ||||||||||||||
|
| |||||||||||||
Short Positions: | ||||||||||||||
34 | 2 Year U.S. Treasury Notes | Sep. 2020 | 7,508,157 | (1,971 | ) | |||||||||
6 | 10 Year U.S. Treasury Notes | Sep. 2020 | 835,031 | (1,362 | ) | |||||||||
24 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 4,285,500 | (19,339 | ) | |||||||||
12 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 2,617,875 | 7,128 | ||||||||||
|
| |||||||||||||
(15,544 | ) | |||||||||||||
|
| |||||||||||||
$ | (2,488 | ) | ||||||||||||
|
|
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
6,365 | 11/18/23 | 1.430%(S) | 3 Month LIBOR(2)(Q) | $ | — | $ | 263,029 | $ | 263,029 | |||||||||||||||
10,230 | 12/31/23 | 0.000%(T) | 3 Month LIBOR(2)(T) | (67,824 | ) | 116,234 | 184,058 | |||||||||||||||||
405 | 02/15/36 | 2.338%(S) | 3 Month LIBOR(2)(Q) | (2,637 | ) | 96,839 | 99,476 | |||||||||||||||||
65 | 08/09/49 | 1.508%(A) | 1 Day USOIS(1)(A) | — | (14,743 | ) | (14,743 | ) | ||||||||||||||||
68 | 03/30/50 | 0.855%(S) | 3 Month LIBOR(1)(Q) | — | 985 | 985 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (70,461 | ) | $ | 462,344 | $ | 532,805 | ||||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||
Citigroup Global Markets, Inc. | $ | 528,000 | $ | 419,962 | ||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
A33
AST BOND PORTFOLIO 2023 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | $ | — | $ | 1,015,122 | $ | — | ||||||
Collateralized Loan Obligations. | — | 2,660,336 | — | |||||||||
Consumer Loans | — | 298,282 | — | |||||||||
Credit Cards | — | 1,058,496 | — | |||||||||
Equipment | — | 201,771 | — | |||||||||
Student Loans | — | 199,523 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 4,834,965 | — | |||||||||
Corporate Bonds | — | 8,724,923 | — | |||||||||
Residential Mortgage-Backed Security | — | 95,431 | — | |||||||||
Sovereign Bonds | — | 678,008 | — | |||||||||
U.S. Government Agency Obligation | — | 73,939 | — | |||||||||
U.S. Treasury Obligations | — | 8,595,383 | — | |||||||||
Affiliated Mutual Funds | 1,577,853 | — | — | |||||||||
Options Purchased | — | 31,943 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,577,853 | $ | 28,468,122 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 20,184 | $ | — | $ | — | ||||||
Centrally Cleared Interest Rate Swap Agreements | — | 547,548 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 20,184 | $ | 547,548 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (22,672 | ) | $ | — | $ | — | |||||
Centrally Cleared Interest Rate Swap Agreement | — | (14,743 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (22,672 | ) | $ | (14,743 | ) | $ | — | ||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2020 were as follows:
U.S. Treasury Obligations | 28.5 | % | ||
Commercial Mortgage-Backed Securities | 16.0 | |||
Banks | 10.1 | |||
Collateralized Loan Obligations | 8.8 | |||
Affiliated Mutual Funds (1.6% represents investments purchased with collateral from securities on loan) | 5.2 | |||
Credit Cards | 3.5 | |||
Automobiles | 3.3 | |||
Sovereign Bonds | 2.2 | |||
Insurance | 1.9 | |||
Agriculture | 1.8 | |||
Electric | 1.7 | |||
Pharmaceuticals | 1.7 | |||
Healthcare-Services | 1.4 | |||
Chemicals | 1.3 | |||
Oil & Gas | 1.3 | |||
Apparel | 1.1 | |||
Pipelines | 1.0 |
Consumer Loans | 1.0 | % | ||
Machinery-Diversified | 0.9 | |||
Media | 0.9 | |||
Auto Manufacturers | 0.7 | |||
Equipment | 0.7 | |||
Student Loans | 0.7 | |||
Telecommunications | 0.6 | |||
Semiconductors | 0.4 | |||
Computers | 0.3 | |||
Retail | 0.3 | |||
Foods | 0.3 | |||
Residential Mortgage-Backed Security | 0.3 | |||
Diversified Financial Services | 0.3 | |||
Miscellaneous Manufacturing | 0.3 | |||
Software | 0.3 | |||
U.S. Government Agency Obligation | 0.3 | |||
Biotechnology | 0.2 | |||
Healthcare-Products | 0.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A34
AST BOND PORTFOLIO 2023 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (cont.):
Options Purchased | 0.1 | % | ||
|
| |||
99.5 | ||||
Other assets in excess of liabilities | 0.5 | |||
|
| |||
100.0 | % | |||
|
|
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 20,184 | * | Due from/to broker — variation margin futures | $ | 22,672 | * | ||||
Interest rate contracts | Due from/to broker — variation margin swaps | 547,548 | * | Due from/to broker — variation margin swaps | 14,743 | * | ||||||
Interest rate contracts | Unaffiliated investments | 31,943 | — | — | ||||||||
|
|
|
| |||||||||
$ | 599,675 | $ | 37,415 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(1) | Options Written | Futures | Swaps | ||||||||||||
Interest rate contracts | $ | (3,056 | ) | $ | 1,193 | $ | (229,993 | ) | $ | 1,160,767 | ||||||
|
|
|
|
|
|
|
| |||||||||
(1) Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| |||||||||||||||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(2) | Futures | Swaps | |||||||||||||
Interest rate contracts | $ | 16,846 | $ | (38,329 | ) | $ | (280,836 | ) | ||||||||
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options | Options | Futures | Futures | |||
$1,583 | $2,333 | $3,528,852 | $16,491,886 |
SEE NOTES TO FINANCIAL STATEMENTS.
A35
AST BOND PORTFOLIO 2023 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate Swap | ||||||||||
$25,557,467 |
(1) | Cost. |
(2) | Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||
Securities on Loan | $ | 485,079 | $ | (485,079 | ) | $ | — | |||||
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts of Recognized Liabilities(1) | Net Amounts of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||||||||
Bank of America, N.A. | $ | 25,682 | $ | — | $ | 25,682 | $ | — | $ | 25,682 | ||||||||||
Barclays Bank PLC | 6,261 | — | 6,261 | — | 6,261 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 31,943 | $ | — | $ | 31,943 | $ | — | $ | 31,943 | |||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A36
AST BOND PORTFOLIO 2023 (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $485,079: | ||||
Unaffiliated investments (cost $27,522,276) | $ | 28,468,122 | ||
Affiliated investments (cost $1,577,506) | 1,577,853 | |||
Deposit with broker for centrally cleared/exchange-traded derivatives | 528,000 | |||
Dividends and interest receivable | 172,224 | |||
Due from broker-variation margin futures | 22,306 | |||
Prepaid expenses and other assets | 3,235 | |||
|
| |||
Total Assets | 30,771,740 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan . | 498,301 | |||
Accrued expenses and other liabilities | 48,361 | |||
Due to broker-variation margin swaps | 5,215 | |||
Payable for Portfolio shares repurchased | 5,130 | |||
Management fee payable | 3,273 | |||
Distribution fee payable | 1,253 | |||
Affiliated transfer agent fee payable | 378 | |||
|
| |||
Total Liabilities | 561,911 | |||
|
| |||
NET ASSETS | $ | 30,209,829 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 30,209,829 | ||
|
| |||
Net asset value and redemption price per share, $30,209,829 / 2,359,332 outstanding shares of beneficial interest | $ | 12.80 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 379,426 | ||
Affiliated dividend income | 4,526 | |||
Income from securities lending, net (including affiliated income of $1,690) | 1,711 | |||
|
| |||
Total income. | 385,663 | |||
|
| |||
EXPENSES | ||||
Management fee | 72,357 | |||
Distribution fee. | 38,801 | |||
Custodian and accounting fees. | 31,337 | |||
Audit fee | 26,008 | |||
Legal fees and expenses | 5,750 | |||
Trustees’ fees | 4,797 | |||
Shareholders’ reports | 3,561 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,459 | |||
Miscellaneous | 6,262 | |||
|
| |||
Total expenses | 192,332 | |||
Less: Fee waiver and/or expense reimbursement | (47,992 | ) | ||
|
| |||
Net expenses. | 144,340 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 241,323 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON | ||||
INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $3,086) | 323,846 | |||
Futures transactions | (229,993 | ) | ||
Options written transactions | 1,193 | |||
Swap agreements transactions | 1,160,767 | |||
|
| |||
1,255,813 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $347) | 523,149 | |||
Futures | (38,329 | ) | ||
Swap agreements | (280,836 | ) | ||
|
| |||
203,984 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 1,459,797 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,701,120 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS OPERATIONS | ||||||||
Net investment income (loss) | $ | 241,323 | $ | 581,080 | ||||
Net realized gain (loss) on investment transactions | 1,255,813 | 66,420 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 203,984 | 1,581,327 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 1,701,120 | 2,228,827 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [908,813 and 341,989 shares, respectively] | 11,348,228 | 3,971,440 | ||||||
Portfolio shares repurchased [963,215 and 1,351,153 shares, respectively] | (12,061,683 | ) | (15,884,966 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (713,455 | ) | (11,913,526 | ) | ||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 987,665 | (9,684,699 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 29,222,164 | 38,906,863 | ||||||
|
|
|
| |||||
End of period. | $ | 30,209,829 | $ | 29,222,164 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A37
AST BOND PORTFOLIO 2024 |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 89.9% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 13.3% | ||||||||||||||||
Automobiles — 4.9% |
| |||||||||||||||
AmeriCredit Automobile Receivables Trust, |
| |||||||||||||||
Series 2018-02, Class C |
| |||||||||||||||
3.590% | 06/18/24 | 400 | $ | 419,419 | ||||||||||||
ARI Fleet Lease Trust, |
| |||||||||||||||
Series 2017-A, Class A2, 144A |
| |||||||||||||||
1.910% | 04/15/26 | 1 | 428 | |||||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||||||
Series 2019-01A, Class A, 144A |
| |||||||||||||||
3.450% | 03/20/23 | 100 | 100,323 | |||||||||||||
Bank of The West Auto Trust, |
| |||||||||||||||
Series 2017-01, Class A3, 144A |
| |||||||||||||||
2.110% | 01/15/23 | 47 | 47,418 | |||||||||||||
CarMax Auto Owner Trust, |
| |||||||||||||||
Series 2018-04, Class B |
| |||||||||||||||
3.670% | 05/15/24 | 400 | 417,272 | |||||||||||||
Chesapeake Funding II LLC (Canada), |
| |||||||||||||||
Series 2017-03A, Class A2, 144A, 1 Month LIBOR + 0.340% |
| |||||||||||||||
0.525%(c) | 08/15/29 | 22 | 22,254 | |||||||||||||
Series 2017-04A, Class A1, 144A |
| |||||||||||||||
2.120% | 11/15/29 | 33 | 32,651 | |||||||||||||
Enterprise Fleet Financing LLC, |
| |||||||||||||||
Series 2017-03, Class A2, 144A |
| |||||||||||||||
2.130% | 05/22/23 | 12 | 12,416 | |||||||||||||
GM Financial Consumer Automobile Receivables Trust, |
| |||||||||||||||
Series 2018-04, Class C |
| |||||||||||||||
3.620% | 06/17/24 | 100 | 105,520 | |||||||||||||
OneMain Direct Auto Receivables Trust, |
| |||||||||||||||
Series 2018-01A, Class A, 144A |
| |||||||||||||||
3.430% | 12/16/24 | 400 | 405,701 | |||||||||||||
|
| |||||||||||||||
1,563,402 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 5.8% |
| |||||||||||||||
Atlas Senior Loan Fund Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-08A, Class A, 144A, 3 Month LIBOR + 1.300% |
| |||||||||||||||
2.476%(c) | 01/16/30 | 250 | 244,844 | |||||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-12A, Class A1, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
2.469%(c) | 10/15/30 | 250 | 245,026 | |||||||||||||
Catamaran CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260% |
| |||||||||||||||
2.358%(c) | 04/22/30 | 249 | 240,141 | |||||||||||||
ICG US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280% |
| |||||||||||||||
2.323%(c) | 10/23/29 | 250 | 245,705 | |||||||||||||
Jackson Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 0.830% |
| |||||||||||||||
2.049%(c) | 04/15/27 | 240 | 237,004 | |||||||||||||
Sound Point CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-03A, Class A1B, 144A, 3 Month LIBOR + 1.220% |
| |||||||||||||||
2.355%(c) | 10/20/30 | 250 | 244,393 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) | ||||||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
Telos CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300% |
| |||||||||||||||
2.435%(c) | 07/17/26 | 131 | $ | 130,991 | ||||||||||||
Zais CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.290% |
| |||||||||||||||
2.509%(c) | 04/15/30 | 248 | 240,652 | |||||||||||||
|
| |||||||||||||||
1,828,756 | ||||||||||||||||
|
| |||||||||||||||
Consumer Loans — 0.8% |
| |||||||||||||||
SoFi Consumer Loan Program Trust, |
| |||||||||||||||
Series 2019-01, Class A, 144A |
| |||||||||||||||
3.240% | 02/25/28 | 102 | 102,610 | |||||||||||||
Series 2019-02, Class A, 144A |
| |||||||||||||||
3.010% | 04/25/28 | 131 | 133,116 | |||||||||||||
|
| |||||||||||||||
235,726 | ||||||||||||||||
|
| |||||||||||||||
Equipment — 0.6% |
| |||||||||||||||
MMAF Equipment Finance LLC, |
| |||||||||||||||
Series 2017-AA, Class A4, 144A |
| |||||||||||||||
2.410% | 08/16/24 | 100 | 101,835 | |||||||||||||
Series 2019-B, Class A2, 144A |
| |||||||||||||||
2.070% | 10/12/22 | 99 | 99,937 | |||||||||||||
|
| |||||||||||||||
201,772 | ||||||||||||||||
|
| |||||||||||||||
Student Loans — 1.2% |
| |||||||||||||||
Navient Private Education Refi Loan Trust, |
| |||||||||||||||
Series 2018-CA, Class A1, 144A |
| |||||||||||||||
3.010% | 06/16/42 | 7 | 7,265 | |||||||||||||
SoFi Professional Loan Program LLC, |
| |||||||||||||||
Series 2017-F, Class A2FX, 144A |
| |||||||||||||||
2.840% | 01/25/41 | 286 | 291,825 | |||||||||||||
Series 2018-A, Class A2A, 144A |
| |||||||||||||||
2.390% | 02/25/42 | 10 | 10,190 | |||||||||||||
SoFi Professional Loan Program Trust, |
| |||||||||||||||
Series 2020-A, Class A1FX, 144A |
| |||||||||||||||
2.060% | 05/15/46 | 84 | 84,793 | |||||||||||||
|
| |||||||||||||||
394,073 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 4,223,729 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 18.4% | ||||||||||||||||
BANK, |
| |||||||||||||||
Series 2017-BNK07, Class A1 |
| |||||||||||||||
1.984% | 09/15/60 | 54 | 54,651 | |||||||||||||
Series 2018-BN15, Class A1 |
| |||||||||||||||
3.402% | 11/15/61 | 365 | 376,442 | |||||||||||||
Series 2019-BN19, Class A1 |
| |||||||||||||||
2.263% | 08/15/61 | 700 | 712,809 | |||||||||||||
CD Mortgage Trust, |
| |||||||||||||||
Series 2016-CD02, Class A1 |
| |||||||||||||||
1.848% | 11/10/49 | 89 | 88,723 | |||||||||||||
Series 2017-CD05, Class A1 |
| |||||||||||||||
2.028% | 08/15/50 | 198 | 198,903 |
SEE NOTES TO FINANCIAL STATEMENTS.
A38
AST BOND PORTFOLIO 2024 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
CFCRE Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-C07, Class A1 |
| |||||||||||||||
1.971% | 12/10/54 | 171 | $ | 171,218 | ||||||||||||
Series 2017-C08, Class A1 |
| |||||||||||||||
1.965% | 06/15/50 | 54 | 53,941 | |||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2015-P01, Class A4 |
| |||||||||||||||
3.462% | 09/15/48 | 100 | 108,788 | |||||||||||||
Series 2016-C02, Class A1 |
| |||||||||||||||
1.499% | 08/10/49 | 89 | 88,655 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-UBS02, Class A2 |
| |||||||||||||||
2.820% | 03/10/47 | — | (r) | 242 | ||||||||||||
Series 2014-UBS06, Class A4 |
| |||||||||||||||
3.378% | 12/10/47 | 215 | 230,112 | |||||||||||||
Series 2016-DC02, Class A1 |
| |||||||||||||||
1.820% | 02/10/49 | 265 | 265,170 | |||||||||||||
DBJPM Mortgage Trust, |
| |||||||||||||||
Series 2017-C06, Class A1 |
| |||||||||||||||
1.907% | 06/10/50 | 309 | 309,992 | |||||||||||||
Fannie Mae-Aces, |
| |||||||||||||||
Series 2018-M04, Class A1 |
| |||||||||||||||
3.047%(cc) | 03/25/28 | 175 | 189,196 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-GC14, Class A3 |
| |||||||||||||||
3.526% | 08/10/46 | 4 | 3,672 | |||||||||||||
Series 2014-GC22, Class A3 |
| |||||||||||||||
3.516% | 06/10/47 | 232 | 235,581 | |||||||||||||
Series 2015-GC32, Class A3 |
| |||||||||||||||
3.498% | 07/10/48 | 100 | 108,684 | |||||||||||||
Series 2017-GS07, Class A1 |
| |||||||||||||||
1.950% | 08/10/50 | 174 | 174,430 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2014-C24, Class A4A1 |
| |||||||||||||||
3.373% | 11/15/47 | 345 | 367,733 | |||||||||||||
JPMCC Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2017-JP07, Class A1 |
| |||||||||||||||
1.969% | 09/15/50 | 247 | 248,666 | |||||||||||||
JPMDB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2016-C02, Class A1 |
| |||||||||||||||
1.423% | 06/15/49 | 103 | 102,622 | |||||||||||||
Series 2017-C07, Class A1 |
| |||||||||||||||
2.081% | 10/15/50 | 83 | 83,144 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-LC11, Class A4 |
| |||||||||||||||
2.694% | 04/15/46 | 240 | 246,936 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2015-C24, Class A3 |
| |||||||||||||||
3.479% | 05/15/48 | 150 | 162,525 | |||||||||||||
Series 2017-C33, Class A1 |
| |||||||||||||||
2.031% | 05/15/50 | 79 | 79,497 | |||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2016-UB12, Class A1 |
| |||||||||||||||
1.779% | 12/15/49 | 184 | 184,568 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2012-C04, Class A5 |
| |||||||||||||||
2.850% | 12/10/45 | 705 | 725,389 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-C35, Class A1 |
| |||||||||||||||
1.392% | 07/15/48 | 141 | $ | 140,710 | ||||||||||||
Series 2017-C38, Class A1 |
| |||||||||||||||
1.968% | 07/15/50 | 114 | 114,203 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 5,827,202 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 21.9% |
| |||||||||||||||
Agriculture — 0.7% |
| |||||||||||||||
Archer-Daniels-Midland Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 03/27/25 | (a) | 220 | 238,848 | ||||||||||||
|
| |||||||||||||||
Airlines — 0.5% |
| |||||||||||||||
United Airlines 2018-1 Class AA Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
3.500% | 09/01/31 | 168 | 157,083 | |||||||||||||
|
| |||||||||||||||
Apparel — 0.7% |
| |||||||||||||||
NIKE, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 03/27/27 | 210 | 230,470 | |||||||||||||
|
| |||||||||||||||
Auto Manufacturers �� 0.3% |
| |||||||||||||||
General Motors Financial Co., Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.250 % | 01/05/23 | 100 | 102,019 | |||||||||||||
|
| |||||||||||||||
Banks — 4.5% |
| |||||||||||||||
Bank of America Corp., |
| |||||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.000% | 01/22/25 | 170 | 187,994 | |||||||||||||
Barclays PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.684% | 01/10/23 | 200 | 207,417 | |||||||||||||
BNP Paribas SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.375% | 01/09/25 | 200 | 216,256 | |||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
3.875% | 03/26/25 | 125 | 136,751 | |||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 01/24/22 | 10 | 10,787 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.509%(ff) | 01/23/29 | 115 | 129,570 | |||||||||||||
Morgan Stanley, |
| |||||||||||||||
Sr. Unsec’d. Notes, Series F, MTN |
| |||||||||||||||
3.875% | 04/29/24 | 135 | 149,170 | |||||||||||||
State Street Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.901%(ff) | 03/30/26 | 350 | 379,536 | |||||||||||||
|
| |||||||||||||||
1,417,481 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A39
AST BOND PORTFOLIO 2024 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Chemicals — 0.7% |
| |||||||||||||||
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.125% | 04/01/25 | 95 | $ | 109,150 | ||||||||||||
LYB International Finance BV, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 07/15/23 | 105 | 113,955 | |||||||||||||
|
| |||||||||||||||
223,105 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 1.2% |
| |||||||||||||||
Moody’s Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 03/24/25 | 340 | 385,454 | |||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.2% |
| |||||||||||||||
Mastercard, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.300% | 03/26/27 | 55 | 62,395 | |||||||||||||
|
| |||||||||||||||
Electric — 2.3% |
| |||||||||||||||
Avangrid, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.150% | 12/01/24 | 125 | 135,313 | |||||||||||||
Berkshire Hathaway Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.050% | 04/15/25 | 115 | 131,398 | |||||||||||||
Interstate Power & Light Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 12/01/24 | (a) | 250 | 271,295 | ||||||||||||
NextEra Energy Capital Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.625% | 06/15/23 | 180 | 193,750 | |||||||||||||
|
| |||||||||||||||
731,756 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.5% |
| |||||||||||||||
Baxter International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.750% | 10/01/25 | 55 | 62,698 | |||||||||||||
Thermo Fisher Scientific, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.133% | 03/25/25 | 100 | 114,059 | |||||||||||||
|
| |||||||||||||||
176,757 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 0.7% |
| |||||||||||||||
Humana, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 04/01/25 | 110 | 125,737 | |||||||||||||
Laboratory Corp. of America Holdings, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 09/01/24 | 85 | 91,524 | |||||||||||||
|
| |||||||||||||||
217,261 | ||||||||||||||||
|
| |||||||||||||||
Insurance — 0.2% |
| |||||||||||||||
Liberty Mutual Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.250% | 06/15/23 | 14 | 15,202 | |||||||||||||
4.569% | 02/01/29 | 46 | 53,857 | |||||||||||||
|
| |||||||||||||||
69,059 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Machinery-Diversified — 0.9% |
| |||||||||||||||
Deere & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 04/15/25 | 250 | $ | 273,065 | ||||||||||||
|
| |||||||||||||||
Media — 1.0% |
| |||||||||||||||
Comcast Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.100% | 04/01/25 | 175 | 192,482 | |||||||||||||
Cox Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.150% | 08/15/24 | 125 | 134,322 | |||||||||||||
|
| |||||||||||||||
326,804 | ||||||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.4% |
| |||||||||||||||
General Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.100% | 01/09/23 | 110 | 115,039 | |||||||||||||
|
| |||||||||||||||
Multi-National — 0.6% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 01/06/23 | 185 | 193,611 | |||||||||||||
|
| |||||||||||||||
Oil & Gas — 1.1% |
| |||||||||||||||
Apache Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 04/15/22 | 41 | 39,721 | |||||||||||||
Cenovus Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 04/15/27 | 110 | 100,035 | |||||||||||||
Sinopec Group Overseas Development 2017 Ltd. (China), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.250% | 09/13/20 | 200 | 200,368 | |||||||||||||
|
| |||||||||||||||
340,124 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 1.8% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.450% | 03/15/22 | 125 | 130,035 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.450% | 11/15/27 | 135 | 155,128 | |||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.500% | 02/25/26 | 175 | 203,559 | |||||||||||||
Shire Acquisitions Investments Ireland DAC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.200% | 09/23/26 | 70 | 77,741 | |||||||||||||
|
| |||||||||||||||
566,463 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 1.2% |
| |||||||||||||||
MPLX LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 03/15/23 | 55 | 57,441 | |||||||||||||
4.500% | 07/15/23 | 140 | 150,565 | |||||||||||||
ONEOK, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 07/13/27 | 180 | 182,634 | |||||||||||||
|
| |||||||||||||||
390,640 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A40
AST BOND PORTFOLIO 2024 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.4% |
| |||||||||||||||
Digital Realty Trust LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.700% | 08/15/27 | 100 | $ | 113,957 | ||||||||||||
|
| |||||||||||||||
Retail — 1.2% |
| |||||||||||||||
McDonald’s Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.300% | 07/01/25 | 120 | 133,437 | |||||||||||||
3.500% | 07/01/27 | 215 | 244,215 | |||||||||||||
|
| |||||||||||||||
377,652 | ||||||||||||||||
|
| |||||||||||||||
Semiconductors — 0.8% |
| |||||||||||||||
Intel Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 03/25/27 | 210 | 245,261 | |||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 6,954,304 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 2.0% |
| |||||||||||||||
Abu Dhabi Government International Bond (United Arab Emirates), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.125% | 10/11/27 | 200 | 218,679 | |||||||||||||
Japan Bank for International Cooperation (Japan), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
2.125% | 11/16/20 | 400 | 402,339 | |||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 621,018 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATION — 3.1% |
| |||||||||||||||
Residual Funding Corp., Principal Strip |
| |||||||||||||||
2.140%(s) | 10/15/20 | 1,000 | 996,988 | |||||||||||||
|
| |||||||||||||||
(cost $993,898) |
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 31.2% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
3.625% | 02/15/44 | (k) | 5,780 | 8,458,669 | ||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
2.125% | 05/15/25 | (k) | 1,330 | 1,447,933 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 9,906,602 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| �� | 28,529,843 | |||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 10.7% |
| |||||||||||||||
AFFILIATED MUTUAL FUNDS — 10.5% |
| |||||||||||||||
PGIM Core Ultra Short Bond Fund(w) |
| 2,861,037 | 2,861,037 | |||||||||||||
PGIM Institutional Money Market Fund |
| 450,645 | 450,645 | |||||||||||||
|
| |||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 3,311,682 | ||||||||||||||
|
|
Value | ||||||||||
OPTIONS PURCHASED*~ — 0.2% | $ | 74,061 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS | 3,385,743 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS—100.6% | 31,915,586 | |||||||||
Liabilities in excess of other assets(z) — (0.6)% | (175,376 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 31,740,210 | ||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
~ | See tables subsequent to the Schedule of Investments for options detail. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $436,101; cash collateral of $450,235 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(r) | Principal or notional amount is less than $500 par. |
(s) | Represents zero coupon. Rate quoted represents effective yield at June 30, 2020. |
(w) | PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
SEE NOTES TO FINANCIAL STATEMENTS.
A41
AST BOND PORTFOLIO 2024 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Options Purchased:
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 228 | $ | 5,088 | |||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 222 | 4,943 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 556 | 11,747 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 1,102 | 23,330 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 1,120 | 24,527 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 222 | 4,426 | ||||||||||||||||||
|
| |||||||||||||||||||||||||
Total Options Purchased | $ | 74,061 | ||||||||||||||||||||||||
|
|
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
33 | 5 Year U.S. Treasury Notes | Sep. 2020 | $ | 4,149,492 | $ | 20,995 | ||||||||||
24 | 10 Year U.S. Ultra Treasury Notes | Sep. 2020 | 3,779,625 | 17,157 | ||||||||||||
|
| |||||||||||||||
38,152 | ||||||||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
20 | 2 Year U.S. Treasury Notes | Sep. 2020 | 4,416,563 | (1,141 | ) | |||||||||||
48 | 10 Year U.S. Treasury Notes | Sep. 2020 | 6,680,250 | (26,699 | ) | |||||||||||
37 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 6,606,813 | (29,215 | ) | |||||||||||
21 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 4,581,281 | 12,286 | ||||||||||||
|
| |||||||||||||||
(44,769 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (6,617 | ) | ||||||||||||||
|
|
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
23,195 | 07/10/24 | 2.187%(S) | 3 Month LIBOR(2)(Q) | $ | 197,135 | $ | 1,957,429 | $ | 1,760,294 | |||||||||||||||
1,240 | 02/15/36 | 2.338%(S) | 3 Month LIBOR(2)(Q) | 241,017 | 296,519 | 55,502 | ||||||||||||||||||
110 | 08/09/49 | 1.508%(A) | 1 Day USOIS(1)(A) | (4,862 | ) | (24,950 | ) | (20,088 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 433,290 | $ | 2,228,998 | $ | 1,795,708 | |||||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||
Citigroup Global Markets, Inc. | $ | 130,000 | $ | 1,355,627 | ||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A42
AST BOND PORTFOLIO 2024 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | $ | — | $ | 1,563,402 | $ | — | ||||||
Collateralized Loan Obligations | — | 1,828,756 | — | |||||||||
Consumer Loans | — | 235,726 | — | |||||||||
Equipment | — | 201,772 | — | |||||||||
Student Loans | — | 394,073 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 5,827,202 | — | |||||||||
Corporate Bonds | — | 6,954,304 | — | |||||||||
Sovereign Bonds | — | 621,018 | — | |||||||||
U.S. Government Agency Obligation | — | 996,988 | — | |||||||||
U.S. Treasury Obligations | — | 9,906,602 | — | |||||||||
Affiliated Mutual Funds | 3,311,682 | — | — | |||||||||
Options Purchased | — | 74,061 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 3,311,682 | $ | 28,603,904 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 50,438 | $ | — | $ | — | ||||||
Centrally Cleared Interest Rate Swap Agreements | — | 1,815,796 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 50,438 | $ | 1,815,796 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (57,055 | ) | $ | — | $ | — | |||||
Centrally Cleared Interest Rate Swap Agreement | — | (20,088 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (57,055 | ) | $ | (20,088 | ) | $ | — | ||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
U.S. Treasury Obligations | 31.2 | % | ||
Commercial Mortgage-Backed Securities | 18.4 | |||
Affiliated Mutual Funds (1.4% represents investments purchased with collateral from securities on loan) | 10.5 | |||
Collateralized Loan Obligations | 5.8 | |||
Automobiles | 4.9 | |||
Banks | 4.5 | |||
U.S. Government Agency Obligation | 3.1 | |||
Electric | 2.3 | |||
Sovereign Bonds | 2.0 | |||
Pharmaceuticals | 1.8 | |||
Student Loans | 1.2 | |||
Pipelines | 1.2 | |||
Commercial Services | 1.2 | |||
Retail | 1.2 | |||
Oil & Gas | 1.1 | |||
Media | 1.0 | |||
Machinery-Diversified | 0.9 | |||
Semiconductors | 0.8 | |||
Consumer Loans | 0.8 |
Agriculture | 0.7 | % | ||
Apparel | 0.7 | |||
Chemicals | 0.7 | |||
Healthcare-Services | 0.7 | |||
Equipment | 0.6 | |||
Multi-National | 0.6 | |||
Healthcare-Products | 0.5 | |||
Airlines | 0.5 | |||
Miscellaneous Manufacturing | 0.4 | |||
Real Estate Investment Trusts (REITs) | 0.4 | |||
Auto Manufacturers | 0.3 | |||
Options Purchased | 0.2 | |||
Insurance | 0.2 | |||
Diversified Financial Services | 0.2 | |||
|
| |||
100.6 | ||||
Liabilities in excess of other assets | (0.6 | ) | ||
|
| |||
100.0 | % | |||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A43
AST BOND PORTFOLIO 2024 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interst rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 50,438 | * | Due from/to broker — variation margin futures | $ | 57,055 | * | ||||
Interest rate contracts | Due from/to broker — variation margin swaps | 1,815,796 | * | Due from/to broker — variation margin swaps | 20,088 | * | ||||||
Interest rate contracts | Unaffiliated investments | 74,061 | — | — | ||||||||
|
|
|
| |||||||||
$ | 1,940,295 | $ | 77,143 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(1) | Options Written | Futures | Swaps | ||||||||||||
Interest rate contracts | $ | (2,037 | ) | $ | 681 | $ | (44,338 | ) | $ | 620,015 | ||||||
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
Derivatives not accounted for as hedging | Options Purchased(2) | Futures | Swaps | |||||
Interest rate contracts | $39,055 | $ | 40,522 | $455,221 | ||||
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures | Futures | |||
$1,983 | $1,333 | $10,000,503 | $30,450,037 |
Interest Rate |
$54,999,400 |
(1) | Cost. |
(2) | Notional Amount in USD. |
SEE NOTES TO FINANCIAL STATEMENTS.
A44
AST BOND PORTFOLIO 2024 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||
Securities on Loan | $ | 436,101 | $ | (436,101 | ) | $ | — | |||||
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts of Recognized Liabilities(1) | Net Amounts of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||||||||
Bank of America, N.A. | $ | 59,604 | $ | — | $ | 59,604 | $ | — | $ | 59,604 | ||||||||||
Barclays Bank PLC | 14,457 | — | 14,457 | — | 14,457 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 74,061 | $ | — | $ | 74,061 | $ | — | $ | 74,061 | |||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A45
AST BOND PORTFOLIO 2024 (continued) |
STATEMENT OF ASSETS AND LIABILITIES
(unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $436,101: | ||||
Unaffiliated investments (cost $27,882,663) | $ | 28,603,904 | ||
Affiliated investments (cost $3,311,456) | 3,311,682 | |||
Dividends and interest receivable | 175,802 | |||
Deposit with broker for centrally cleared/exchange-traded derivatives | 130,000 | |||
Due from broker-variation margin futures | 39,583 | |||
Prepaid expenses and other assets | 5,194 | |||
|
| |||
Total Assets | 32,266,165 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 450,235 | |||
Accrued expenses and other liabilities | 50,690 | |||
Due to broker-variation margin swaps | 12,331 | |||
Payable for Portfolio shares repurchased | 7,660 | |||
Management fee payable | 3,328 | |||
Distribution fee payable | 1,304 | |||
Affiliated transfer agent fee payable | 378 | |||
Payable to custodian | 29 | |||
|
| |||
Total Liabilities | 525,955 | |||
|
| |||
NET ASSETS | $ | 31,740,210 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 31,740,210 | ||
|
| |||
Net asset value and redemption price per share, $31,740,210 / 2,535,994 outstanding shares of beneficial interest | $ | 12.52 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 342,489 | ||
Affiliated dividend income | 10,345 | |||
Income from securities lending, net (including affiliated income of $2,395) | 2,414 | |||
|
| |||
Total income | 355,248 | |||
|
| |||
EXPENSES | ||||
Management fee | 73,550 | |||
Distribution fee | 39,442 | |||
Custodian and accounting fees | 30,945 | |||
Audit fee | 26,008 | |||
Legal fees and expenses | 5,754 | |||
Trustees’ fees | 4,813 | |||
Shareholders’ reports | 3,737 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,459 | |||
Miscellaneous | 9,459 | |||
|
| |||
Total expenses | 197,167 | |||
Less: Fee waiver and/or expense reimbursement | (50,441 | ) | ||
|
| |||
Net expenses | 146,726 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 208,522 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $5,021) | 393,559 | |||
Futures transactions | (44,338 | ) | ||
Options written transactions | 681 | |||
Swap agreements transactions | 620,015 | |||
|
| |||
969,917 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $213) | 265,704 | |||
Futures | 40,522 | |||
Swap agreements | 455,221 | |||
|
| |||
761,447 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 1,731,364 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,939,886 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 208,522 | $ | 1,107,140 | ||||
Net realized gain (loss) on investment transactions | 969,917 | 768,930 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 761,447 | 2,704,418 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 1,939,886 | 4,580,488 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [3,409,318 and 241,953 shares, respectively] | 41,437,967 | 2,817,900 | ||||||
Portfolio shares repurchased [2,832,361 and 7,019,711 shares, respectively] | (34,490,355 | ) | (78,987,345 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 6,947,612 | (76,169,445 | ) | |||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 8,887,498 | (71,588,957 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 22,852,712 | 94,441,669 | ||||||
|
|
|
| |||||
End of period | $ | 31,740,210 | $ | 22,852,712 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A46
AST BOND PORTFOLIO 2025 |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 94.3% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 20.9% |
| |||||||||||||||
Automobiles — 6.4% |
| |||||||||||||||
AmeriCredit Automobile Receivables Trust, |
| |||||||||||||||
Series 2018-02, Class C |
| |||||||||||||||
3.590% | 06/18/24 | 300 | $ | 314,564 | ||||||||||||
ARI Fleet Lease Trust, |
| |||||||||||||||
Series 2017-A, Class A2, 144A |
| |||||||||||||||
1.910% | 04/15/26 | — | (r) | 356 | ||||||||||||
BMW Floorplan Master Owner Trust, |
| |||||||||||||||
Series 2018-01, Class A1, 144A |
| |||||||||||||||
3.150% | 05/15/23 | 200 | 203,599 | |||||||||||||
CarMax Auto Owner Trust, |
| |||||||||||||||
Series 2018-04, Class B |
| |||||||||||||||
3.670% | 05/15/24 | 400 | 417,272 | |||||||||||||
Chesapeake Funding II LLC (Canada), |
| |||||||||||||||
Series 2018-03A, Class A1, 144A |
| |||||||||||||||
3.390% | 01/15/31 | 273 | 281,502 | |||||||||||||
Enterprise Fleet Financing LLC, |
| |||||||||||||||
Series 2018-02, Class A2, 144A |
| |||||||||||||||
3.140% | 02/20/24 | 49 | 49,113 | |||||||||||||
Ford Credit Auto Owner Trust, |
| |||||||||||||||
Series 2019-01, Class A, 144A |
| |||||||||||||||
3.520% | 07/15/30 | 500 | 534,884 | |||||||||||||
GM Financial Consumer Automobile Receivables Trust, |
| |||||||||||||||
Series 2018-04, Class C |
| |||||||||||||||
3.620% | 06/17/24 | 100 | 105,520 | |||||||||||||
OneMain Direct Auto Receivables Trust, |
| |||||||||||||||
Series 2018-01A, Class A, 144A |
| |||||||||||||||
3.430% | 12/16/24 | 300 | 304,276 | |||||||||||||
|
| |||||||||||||||
2,211,086 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 10.7% |
| |||||||||||||||
Atlas Senior Loan Fund Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.436%(c) | 07/16/29 | 746 | 736,314 | |||||||||||||
Bain Capital Credit CLO (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 0.960% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.003%(c) | 04/23/31 | 250 | 243,468 | |||||||||||||
Carlye Cent CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series C17A, Class A1AR, 144A, 3 Month LIBOR + 1.030% |
| |||||||||||||||
1.790%(c) | 04/30/31 | 250 | 244,137 | |||||||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-03RA, Class A1, 144A, 3 Month LIBOR + 0.980% (Cap N/A,Floor 0.980%) |
| |||||||||||||||
2.000%(c) | 04/24/31 | 250 | 241,900 | |||||||||||||
MidOcean Credit CLO (Cayman Islands), |
| |||||||||||||||
Series 2016-05A, Class AR, 144A, 3 Month LIBOR + 1.120% |
| |||||||||||||||
2.255%(c) | 07/19/28 | 500 | 493,528 | |||||||||||||
OZLM Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-20A, Class A1, 144A, 3 Month LIBOR + 1.050% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.185%(c) | 04/20/31 | 250 | 241,852 | |||||||||||||
Telos CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.375%(c) | 01/17/30 | 249 | 245,212 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
Trinitas CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-05A, Class AR, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%) |
| |||||||||||||||
2.381%(c) | 10/25/28 | 500 | $ | 494,769 | ||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-02A, Class A1R, 144A, 3 Month LIBOR + 1.060% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.195%(c) | 10/20/29 | 750 | 732,579 | |||||||||||||
|
| |||||||||||||||
3,673,759 | ||||||||||||||||
|
| |||||||||||||||
Consumer Loans — 0.9% |
| |||||||||||||||
SoFi Consumer Loan Program Trust, |
| |||||||||||||||
Series 2019-01, Class A, 144A |
| |||||||||||||||
3.240% | 02/25/28 | 136 | 136,813 | |||||||||||||
Series 2019-02, Class A, 144A |
| |||||||||||||||
3.010% | 04/25/28 | 175 | 177,489 | |||||||||||||
|
| |||||||||||||||
314,302 | ||||||||||||||||
|
| |||||||||||||||
Credit Cards — 1.3% |
| |||||||||||||||
Citibank Credit Card Issuance Trust, |
| |||||||||||||||
Series 2018-A03, Class A3 |
| |||||||||||||||
3.290% | 05/23/25 | 400 | 433,319 | |||||||||||||
|
| |||||||||||||||
Student Loans — 1.6% |
| |||||||||||||||
Navient Private Education Refi Loan Trust, |
| |||||||||||||||
Series 2018-CA, Class A1, 144A |
| |||||||||||||||
3.010% | 06/16/42 | 7 | 7,265 | |||||||||||||
SoFi Professional Loan Program Trust, |
| |||||||||||||||
Series 2018-C, Class A2FX, 144A |
| |||||||||||||||
3.590% | 01/25/48 | 400 | 417,687 | |||||||||||||
Series 2018-D, Class A1FX, 144A |
| |||||||||||||||
3.120% | 02/25/48 | 42 | 42,385 | |||||||||||||
Series 2020-A, Class A1FX, 144A |
| |||||||||||||||
2.060% | 05/15/46 | 84 | 84,793 | |||||||||||||
|
| |||||||||||||||
552,130 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 7,184,596 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 22.3% |
| |||||||||||||||
BANK, |
| |||||||||||||||
Series 2017-BNK04, Class A1 |
| |||||||||||||||
2.002% | 05/15/50 | 198 | 199,275 | |||||||||||||
Series 2017-BNK07, Class A1 |
| |||||||||||||||
1.984% | 09/15/60 | 36 | 35,806 | |||||||||||||
Series 2018-BN14, Class A1 |
| |||||||||||||||
3.277% | 09/15/60 | 113 | 116,183 | |||||||||||||
Series 2018-BN15, Class A1 |
| |||||||||||||||
3.402% | 11/15/61 | 456 | 470,552 | |||||||||||||
Series 2019-BN19, Class A1 |
| |||||||||||||||
2.263% | 08/15/61 | 875 | 891,012 | |||||||||||||
CD Mortgage Trust, |
| |||||||||||||||
Series 2017-CD03, Class A1 |
| |||||||||||||||
1.965% | 02/10/50 | 63 | 63,559 | |||||||||||||
Series 2017-CD05, Class A1 |
| |||||||||||||||
2.028% | 08/15/50 | 123 | 123,954 |
SEE NOTES TO FINANCIAL STATEMENTS.
A47
AST BOND PORTFOLIO 2025 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2017-CD06, Class A1 |
| |||||||||||||||
2.168% | 11/13/50 | 368 | $ | 371,670 | ||||||||||||
CFCRE Commercial Mortgage Trust, |
| |||||||||||||||
Series 2017-C08, Class A1 |
| |||||||||||||||
1.965% | 06/15/50 | 27 | 27,348 | |||||||||||||
CGMS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2017-B01, Class A3 |
| |||||||||||||||
3.197% | 08/15/50 | 250 | 272,857 | |||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-C01, Class A1 |
| |||||||||||||||
1.506% | 05/10/49 | 73 | 73,430 | |||||||||||||
Series 2016-C02, Class A1 |
| |||||||||||||||
1.499% | 08/10/49 | 54 | 53,499 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-CR19, Class A4 |
| |||||||||||||||
3.532% | 08/10/47 | 101 | 108,570 | |||||||||||||
Series 2014-UBS02, Class A2 |
| |||||||||||||||
2.820% | 03/10/47 | — | (r) | 290 | ||||||||||||
Series 2014-UBS04, Class A2 |
| |||||||||||||||
2.963% | 08/10/47 | 3 | 3,080 | |||||||||||||
Series 2014-UBS06, Class A4 |
| |||||||||||||||
3.378% | 12/10/47 | 265 | 283,626 | |||||||||||||
Series 2015-CR26, Class A3 |
| |||||||||||||||
3.359% | 10/10/48 | 164 | 177,846 | |||||||||||||
Series 2016-DC02, Class A1 |
| |||||||||||||||
1.820% | 02/10/49 | 20 | 20,223 | |||||||||||||
DBJPM Mortgage Trust, |
| |||||||||||||||
Series 2016-C03, Class A1 |
| |||||||||||||||
1.502% | 08/10/49 | 77 | 77,261 | |||||||||||||
Series 2017-C06, Class A1 |
| |||||||||||||||
1.907% | 06/10/50 | 231 | 232,494 | |||||||||||||
Fannie Mae-Aces, |
| |||||||||||||||
Series 2018-M04, Class A1 |
| |||||||||||||||
3.047%(cc) | 03/25/28 | 127 | 137,597 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2014-GC20, Class A4 |
| |||||||||||||||
3.721% | 04/10/47 | 18 | 18,363 | |||||||||||||
Series 2014-GC22, Class A3 |
| |||||||||||||||
3.516% | 06/10/47 | 45 | 45,876 | |||||||||||||
Series 2017-GS07, Class A1 |
| |||||||||||||||
1.950% | 08/10/50 | 104 | 104,658 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-C12, Class A4 |
| |||||||||||||||
3.363% | 07/15/45 | 19 | 19,673 | |||||||||||||
Series 2014-C19, Class A3 |
| |||||||||||||||
3.669% | 04/15/47 | 90 | 91,390 | |||||||||||||
Series 2014-C21, Class A4 |
| |||||||||||||||
3.493% | 08/15/47 | 145 | 153,275 | |||||||||||||
Series 2014-C24, Class A4A1 |
| |||||||||||||||
3.373% | 11/15/47 | 430 | 458,334 | |||||||||||||
JPMCC Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2017-JP05, Class A1 |
| |||||||||||||||
2.086% | 03/15/50 | 3 | 2,534 | |||||||||||||
Series 2017-JP07, Class A1 |
| |||||||||||||||
1.969% | 09/15/50 | 318 | 319,713 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
JPMDB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2016-C02, Class A1 |
| |||||||||||||||
1.423% | 06/15/49 | 59 | $ | 58,641 | ||||||||||||
Series 2017-C07, Class A1 |
| |||||||||||||||
2.081% | 10/15/50 | 52 | 51,965 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-LC11, Class A4 |
| |||||||||||||||
2.694% | 04/15/46 | 319 | 328,472 | |||||||||||||
Series 2014-C20, Class A3A2, 144A |
| |||||||||||||||
3.472% | 07/15/47 | 383 | 388,821 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2015-C24, Class A3 |
| |||||||||||||||
3.479% | 05/15/48 | 155 | 167,942 | |||||||||||||
Series 2016-C30, Class A1 |
| |||||||||||||||
1.389% | 09/15/49 | 141 | 141,384 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2012-C04, Class A5 |
| |||||||||||||||
2.850% | 12/10/45 | 870 | 895,161 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-BNK01, Class A1 |
| |||||||||||||||
1.321% | 08/15/49 | 111 | 110,663 | |||||||||||||
Series 2016-C34, Class A1 |
| |||||||||||||||
1.423% | 06/15/49 | 31 | 31,000 | |||||||||||||
Series 2016-C35, Class A1 |
| |||||||||||||||
1.392% | 07/15/48 | 165 | 165,030 | |||||||||||||
Series 2017-C38, Class A1 |
| |||||||||||||||
1.968% | 07/15/50 | 68 | 68,083 | |||||||||||||
Series 2017-C41, Class A3 |
| |||||||||||||||
3.210% | 11/15/50 | 300 | 325,579 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 7,686,689 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 26.1% |
| |||||||||||||||
Agriculture — 1.3% |
| |||||||||||||||
Archer-Daniels-Midland Co., |
| |||||||||||||||
Sr. Unsec’d. Notes 2.750% | 03/27/25 | 270 | 293,132 | |||||||||||||
BAT Capital Corp. (United Kingdom), |
| |||||||||||||||
Gtd. Notes 4.700% | 04/02/27 | 120 | 137,878 | |||||||||||||
|
| |||||||||||||||
431,010 | ||||||||||||||||
|
| |||||||||||||||
Apparel — 0.8% |
| |||||||||||||||
NIKE, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes 2.750% | 03/27/27 | 265 | 290,831 | |||||||||||||
|
| |||||||||||||||
Banks — 7.5% |
| |||||||||||||||
Bank of America Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes 3.366%(ff) | 01/23/26 | 85 | 92,767 | |||||||||||||
Sub. Notes, MTN 4.000% | 01/22/25 | 65 | 71,880 | |||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Jr. Sub. Notes, Series V 4.700%(ff) | – | (rr) | 65 | 58,044 |
SEE NOTES TO FINANCIAL STATEMENTS.
A48
AST BOND PORTFOLIO 2025 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
Citigroup, Inc., (continued) |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.106%(ff) | 04/08/26 | 170 | $ | 182,681 | ||||||||||||
3.352%(ff) | 04/24/25 | 110 | 118,784 | |||||||||||||
Sub. Notes | ||||||||||||||||
4.400% | 06/10/25 | 75 | 83,851 | |||||||||||||
Credit Suisse Group AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.593%(ff) | 09/11/25 | 95 | 98,139 | |||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
4.250% | 10/21/25 | 50 | 56,262 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Jr. Sub. Notes, Series HH |
| |||||||||||||||
4.600%(ff) | – | (rr) | 20 | 17,825 | ||||||||||||
Jr. Sub. Notes, Series II |
| |||||||||||||||
4.000%(ff) | – | (rr) | 20 | 17,476 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.301%(ff) | 10/15/25 | 515 | 539,124 | |||||||||||||
Lloyds Banking Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.870%(ff) | 07/09/25 | 200 | 217,482 | |||||||||||||
Morgan Stanley, | ||||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.720%(ff) | 07/22/25 | 390 | 412,298 | |||||||||||||
Sub. Notes, GMTN | ||||||||||||||||
4.350% | 09/08/26 | 130 | 149,689 | |||||||||||||
Wells Fargo & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
4.478%(ff) | 04/04/31 | 375 | 452,954 | |||||||||||||
|
| |||||||||||||||
2,569,256 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 0.4% |
| |||||||||||||||
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.125% | 04/01/25 | 120 | 137,874 | |||||||||||||
|
| |||||||||||||||
Commercial Services — 1.6% |
| |||||||||||||||
ERAC USA Finance LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.800% | 11/01/25 | 70 | 73,534 | |||||||||||||
Moody’s Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 03/24/25 | 435 | 493,155 | |||||||||||||
|
| |||||||||||||||
566,689 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.5% |
| |||||||||||||||
Ameriprise Financial, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.000% | 04/02/25 | 60 | 65,169 | |||||||||||||
Mastercard, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.300% | 03/26/27 | 70 | 79,411 | |||||||||||||
Visa, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes | ||||||||||||||||
1.900% | 04/15/27 | 40 | 41,781 | |||||||||||||
|
| |||||||||||||||
186,361 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric — 1.1% | ||||||||||||||||
Berkshire Hathaway Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.050% | 04/15/25 | 145 | $ | 165,676 | ||||||||||||
Evergy, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.450% | 09/15/24 | 140 | 148,105 | |||||||||||||
Florida Power & Light Co., |
| |||||||||||||||
First Mortgage | ||||||||||||||||
2.850% | 04/01/25 | 65 | 71,245 | |||||||||||||
|
| |||||||||||||||
385,026 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.6% |
| |||||||||||||||
Baxter International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.750% | 10/01/25 | 65 | 74,098 | |||||||||||||
Thermo Fisher Scientific, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.133% | 03/25/25 | 125 | 142,574 | |||||||||||||
|
| |||||||||||||||
216,672 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 0.5% |
| |||||||||||||||
Humana, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 04/01/25 | 135 | 154,314 | |||||||||||||
|
| |||||||||||||||
Household Products/Wares — 0.1% |
| |||||||||||||||
Kimberly-Clark Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100% | 03/26/30 | 20 | 22,777 | |||||||||||||
|
| |||||||||||||||
Insurance — 0.1% |
| |||||||||||||||
Liberty Mutual Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.250% | 06/15/23 | 6 | 6,515 | |||||||||||||
4.569% | 02/01/29 | 19 | 22,245 | |||||||||||||
|
| |||||||||||||||
28,760 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 1.0% |
| |||||||||||||||
Deere & Co., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 04/15/25 | 300 | 327,678 | |||||||||||||
|
| |||||||||||||||
Media — 2.1% | ||||||||||||||||
Comcast Corp., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
3.100% | 04/01/25 | 220 | 241,978 | |||||||||||||
3.950% | 10/15/25 | 125 | 143,188 | |||||||||||||
Cox Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.150% | 08/15/24 | 150 | 161,186 | |||||||||||||
Fox Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.050% | 04/07/25 | 170 | 183,930 | |||||||||||||
|
| |||||||||||||||
730,282 | ||||||||||||||||
|
| |||||||||||||||
Multi-National — 0.2% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 01/06/23 | 75 | 78,491 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A49
AST BOND PORTFOLIO 2025 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals — 2.3% |
| |||||||||||||||
AbbVie, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.950% | 11/21/26 | 150 | $ | 162,948 | ||||||||||||
Cigna Corp., | ||||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.400% | 03/01/27 | 60 | 66,228 | |||||||||||||
4.500% | 02/25/26 | 40 | 46,528 | |||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.875% | 07/20/25 | 135 | 151,613 | |||||||||||||
4.100% | 03/25/25 | 200 | 226,123 | |||||||||||||
Shire Acquisitions Investments Ireland DAC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.200% | 09/23/26 | 130 | 144,377 | |||||||||||||
|
| |||||||||||||||
797,817 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 0.7% |
| |||||||||||||||
ONEOK Partners LP, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.900% | 03/15/25 | 110 | 119,832 | |||||||||||||
Williams Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 09/15/25 | 105 | 116,310 | |||||||||||||
|
| |||||||||||||||
236,142 | ||||||||||||||||
|
| |||||||||||||||
Retail — 2.1% | ||||||||||||||||
McDonald’s Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.300% | 07/01/25 | 145 | 161,236 | |||||||||||||
3.500% | 07/01/27 | 265 | 301,009 | |||||||||||||
TJX Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 04/15/27 | 240 | 274,470 | |||||||||||||
|
| |||||||||||||||
736,715 | ||||||||||||||||
|
| |||||||||||||||
Semiconductors — 0.9% |
| |||||||||||||||
Intel Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 03/25/27 | 270 | 315,336 | |||||||||||||
|
| |||||||||||||||
Software — 0.4% |
| |||||||||||||||
Oracle Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 04/01/25 | 120 | 128,645 | |||||||||||||
|
| |||||||||||||||
Telecommunications — 1.9% |
| |||||||||||||||
AT&T, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 07/15/25 | 160 | 177,513 | |||||||||||||
4.350% | 03/01/29 | 170 | 197,858 | |||||||||||||
Level 3 Financing, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.125% | 05/01/23 | 50 | 50,005 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Telecommunications (continued) |
| |||||||||||||||
T-Mobile USA, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.500% | 04/15/25 | 200 | $ | 218,132 | ||||||||||||
|
| |||||||||||||||
643,508 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 8,984,184 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITY — 0.6% |
| |||||||||||||||
Seasoned Credit Risk Transfer Trust, |
| |||||||||||||||
Series 2019-02, Class MA |
| |||||||||||||||
3.500% | 08/25/58 | 175 | 190,861 | |||||||||||||
|
| |||||||||||||||
(cost $177,726) |
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 6.0% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
2.625% | 10/01/20 | (k) | 235 | 236,434 | ||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
0.375% | 04/20/23 | 765 | 767,370 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
2.500% | 02/05/24 | 490 | 528,403 | |||||||||||||
2.875% | 09/12/23 | 500 | 541,646 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 2,073,853 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 18.4% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
3.625% | 02/15/44 | (k) | 685 | 1,002,455 | ||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
2.125% | 05/15/25 | (k) | 3,925 | 4,273,037 | ||||||||||||
2.375% | 08/15/24 | (k) | 835 | 908,128 | ||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
2.394%(s) | 11/15/43 | 2 | 1,405 | |||||||||||||
3.103%(s) 11/15/34(k) |
| 190 | 162,843 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 6,347,868 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| |||||||||||||||
(cost $30,955,430) |
| 32,468,051 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 5.4% |
| |||||||||||||||
AFFILIATED MUTUAL FUND — 5.3% |
| |||||||||||||||
PGIM Core Ultra Short Bond Fund |
| |||||||||||||||
(cost $1,824,866)(w) |
| 1,824,866 | 1,824,866 | |||||||||||||
|
| |||||||||||||||
OPTIONS PURCHASED*~ — 0.1% |
| 59,167 | ||||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 1,884,033 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS — 99.7% |
| 34,352,084 | ||||||||||||||
Other assets in excess of liabilities(z) — 0.3% |
| 88,572 | ||||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 34,440,656 | |||||||||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A50
AST BOND PORTFOLIO 2025 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
~ | See tables subsequent to the Schedule of Investments for options detail. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(r) | Principal or notional amount is less than $500 par. |
(rr) | Perpetual security with no stated maturity date. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 182 | $ | 4,062 | |||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 177 | 3,941 | ||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 442 | 9,339 | ||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 878 | 18,588 | ||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 900 | 19,709 | ||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 177 | 3,528 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Options Purchased (cost $ 1,040) |
| $ | 59,167 | |||||||||||||||||||||||||
|
|
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Position: | ||||||||||||||||
34 | 10 Year U.S. Ultra Treasury Notes | Sep. 2020 | $ | 5,354,469 | $ | 25,027 | ||||||||||
Short Positions: | ||||||||||||||||
18 | 2 Year U.S. Treasury Notes | Sep. 2020 | 3,974,906 | (1,341 | ) | |||||||||||
33 | 5 Year U.S. Treasury Notes | Sep. 2020 | 4,149,492 | (6,747 | ) | |||||||||||
39 | 10 Year U.S. Treasury Notes | Sep. 2020 | 5,427,704 | (21,298 | ) | |||||||||||
7 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 1,249,938 | (7,744 | ) | |||||||||||
9 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 1,963,406 | 8,375 | ||||||||||||
|
| |||||||||||||||
(28,755 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (3,728 | ) | ||||||||||||||
|
|
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
17,100 | 06/10/25 | 2.467%(S) | 3 Month LIBOR(2)(Q) | $ | 1,491,262 | $ | 1,836,168 | $ | 344,906 | |||||||||||||||
2,455 | 05/11/30 | 2.000%(S) | 3 Month LIBOR(2)(Q) | 300,181 | 333,082 | 32,901 | ||||||||||||||||||
498 | 11/15/45 | 1.253%(A) | 1 Day USOIS(1)(A) | 2,249 | (69,308 | ) | (71,557 | ) | ||||||||||||||||
60 | 08/09/49 | 1.508%(A) | 1 Day USOIS(1)(A) | — | (13,609 | ) | (13,609 | ) | ||||||||||||||||
70 | 03/30/50 | 0.855%(S) | 3 Month LIBOR(1)(Q) | — | 1,014 | 1,014 | ||||||||||||||||||
1,280 | 05/11/50 | 2.400%(S) | 3 Month LIBOR(2)(Q) | 580,910 | 522,475 | (58,435 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 2,374,602 | $ | 2,609,822 | $ | 235,220 | |||||||||||||||||||
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A51
AST BOND PORTFOLIO 2025 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||
Citigroup Global Markets, Inc. | $ | — | $ | 1,619,730 | ||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | $ | — | $ | 2,211,086 | $ | — | ||||||
Collateralized Loan Obligations. | — | 3,673,759 | — | |||||||||
Consumer Loans | — | 314,302 | — | |||||||||
Credit Cards | — | 433,319 | — | |||||||||
Student Loans | — | 552,130 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 7,686,689 | — | |||||||||
Corporate Bonds | — | 8,984,184 | — | |||||||||
Residential Mortgage-Backed Security | — | 190,861 | — | |||||||||
U.S. Government Agency Obligations | — | 2,073,853 | — | |||||||||
U.S. Treasury Obligations | — | 6,347,868 | — | |||||||||
Affiliated Mutual Fund | 1,824,866 | — | — | |||||||||
Options Purchased | — | 59,167 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,824,866 | $ | 32,527,218 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 33,402 | $ | — | $ | — | ||||||
Centrally Cleared Interest Rate Swap Agreements | — | 378,821 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 33,402 | $ | 378,821 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (37,130 | ) | $ | — | $ | — | |||||
Centrally Cleared Interest Rate Swap Agreements | — | (143,601 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (37,130 | ) | $ | (143,601 | ) | $ | — | ||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2020 were as follows:
Commercial Mortgage-Backed Securities | 22.3 | % | ||
U.S. Treasury Obligations | 18.4 |
Collateralized Loan Obligations | 10.7 | %�� | ||
Banks | 7.5 |
SEE NOTES TO FINANCIAL STATEMENTS.
A52
AST BOND PORTFOLIO 2025 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (cont.): | ||||
Automobiles | 6.4 | % | ||
U.S. Government Agency Obligations | 6.0 | |||
Affiliated Mutual Fund | 5.3 | |||
Pharmaceuticals | 2.3 | |||
Retail | 2.1 | |||
Media | 2.1 | |||
Telecommunications | 1.9 | |||
Commercial Services | 1.6 | |||
Student Loans | 1.6 | |||
Credit Cards | 1.3 | |||
Agriculture | 1.3 | |||
Electric | 1.1 | |||
Machinery-Diversified | 1.0 | |||
Semiconductors | 0.9 | |||
Consumer Loans | 0.9 | |||
Apparel | 0.8 |
Pipelines | 0.7 | % | ||
Healthcare-Products | 0.6 | |||
Residential Mortgage-Backed Security | 0.6 | |||
Diversified Financial Services | 0.5 | |||
Healthcare-Services | 0.5 | |||
Chemicals | 0.4 | |||
Software | 0.4 | |||
Multi-National | 0.2 | |||
Options Purchased | 0.1 | |||
Insurance | 0.1 | |||
Household Products/Wares | 0.1 | |||
|
| |||
99.7 | ||||
Other assets in excess of liabilities | 0.3 | |||
|
| |||
100.0 | % | |||
|
|
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 33,402 | * | Due from/to broker — variation margin futures | $ | 37,130 | * | ||||
Interest rate contracts | Due from/to broker — variation margin swaps | 378,821 | * | Due from/to broker — variation margin swaps | 143,601 | * | ||||||
Interest rate contracts | Unaffiliated investments | 59,167 | — | — | ||||||||
|
|
|
| |||||||||
$ | 471,390 | $ | 180,731 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(1) | Options Written | Futures | Swaps | ||||||||||||
Interest rate contracts | $ | (2,037 | ) | $ | 681 | $ | (76,859 | ) | $ | 4,296,841 | ||||||
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
Derivatives not accounted for as hedging | Options Purchased(2) | Futures | Swaps | |||||
Interest rate contracts | $31,199 | $ | 23,730 | $(2,329,083) | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A53
AST BOND PORTFOLIO 2025 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— Long Positions(2) | Futures Contracts— Short Positions(2) | |||
$1,719 | $1,333 | $10,704,505 | $37,181,646 |
Interest Rate |
$42,815,867 |
(1) | Cost. |
(2) | Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives where the legal right to set-off exists is presented in the summary below.
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts of Recognized Liabilities(1) | Net Amounts of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||||||||
Bank of America, N.A. | $ | 47,636 | $ | — | $ | 47,636 | $ | — | $ | 47,636 | ||||||||||
Barclays Bank PLC | 11,531 | — | 11,531 | — | 11,531 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 59,167 | $ | — | $ | 59,167 | $ | — | $ | 59,167 | |||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A54
AST BOND PORTFOLIO 2025 (continued) |
STATEMENT OF ASSETS AND LIABILITIES
(unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value: | ||||
Unaffiliated investments (cost $30,956,470) | $ | 32,527,218 | ||
Affiliated investments (cost $1,824,866) | 1,824,866 | |||
Dividends and interest receivable | 156,248 | |||
Due from broker-variation margin futures | 10,900 | |||
Prepaid expenses | 5,352 | |||
|
| |||
Total Assets | 34,524,584 | |||
|
| |||
LIABILITIES | ||||
Audit fee payable | 26,008 | |||
Custodian and accounting fees payable | 25,459 | |||
Due to broker-variation margin swaps | 13,430 | |||
Accrued expenses and other liabilities | 8,513 | |||
Payable for Portfolio shares repurchased | 4,858 | |||
Management fee payable | 4,011 | |||
Distribution fee payable | 1,243 | |||
Affiliated transfer agent fee payable | 378 | |||
Payable to custodian | 28 | |||
|
| |||
Total Liabilities | 83,928 | |||
|
| |||
NET ASSETS | $ | 34,440,656 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 34,440,656 | ||
|
| |||
Net asset value and redemption price per share, $34,440,656 / 2,363,426 outstanding shares of beneficial interest | $ | 14.57 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 459,727 | ||
Affiliated dividend income | 14,044 | |||
|
| |||
Total income | 473,771 | |||
|
| |||
EXPENSES | ||||
Management fee | 88,512 | |||
Distribution fee | 47,464 | |||
Custodian and accounting fees | 32,942 | |||
Audit fee | 26,008 | |||
Legal fees and expenses | 5,761 | |||
Trustees’ fees | 4,872 | |||
Shareholders’ reports | 3,805 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,460 | |||
Miscellaneous | 10,909 | |||
|
| |||
Total expenses | 223,733 | |||
Less: Fee waiver and/or expense reimbursement | (47,165 | ) | ||
|
| |||
Net expenses | 176,568 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 297,203 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 453,011 | |||
Futures transactions | (76,859 | ) | ||
Options written transactions | 681 | |||
Swap agreements transactions | 4,296,841 | |||
|
| |||
4,673,674 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 708,609 | |||
Futures | 23,730 | |||
Swap agreements | (2,329,083 | ) | ||
|
| |||
(1,596,744 | ) | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 3,076,930 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,374,133 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 297,203 | $ | 1,485,387 | ||||
Net realized gain (loss) on investment transactions | 4,673,674 | 2,744,286 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (1,596,744 | ) | 2,269,866 | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 3,374,133 | 6,499,539 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [3,884,955 and 456,194 shares, respectively] | 54,198,867 | 6,033,579 | ||||||
Portfolio shares repurchased [4,172,005 and 7,952,552 shares, respectively] | (58,160,593 | ) | (100,891,321 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (3,961,726 | ) | (94,857,742 | ) | ||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (587,593 | ) | (88,358,203 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 35,028,249 | 123,386,452 | ||||||
|
|
|
| |||||
End of period | $ | 34,440,656 | $ | 35,028,249 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A55
AST BOND PORTFOLIO 2026 |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||
LONG-TERM INVESTMENTS — 87.1% |
| |||||||||||
ASSET-BACKED SECURITIES — 29.6% |
| |||||||||||
Automobiles — 5.3% |
| |||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||
Series 2015-02A, Class A, 144A |
| |||||||||||
2.630% | 12/20/21 | 300 | $ | 299,964 | ||||||||
Series 2016-01A, Class A, 144A |
| |||||||||||
2.990% | 06/20/22 | 300 | 298,072 | |||||||||
Series 2019-01A, Class A, 144A |
| |||||||||||
3.450% | 03/20/23 | 400 | 401,290 | |||||||||
CarMax Auto Owner Trust, |
| |||||||||||
Series 2018-04, Class B |
| |||||||||||
3.670% | 05/15/24 | 900 | 938,862 | |||||||||
Enterprise Fleet Financing LLC, |
| |||||||||||
Series 2018-01, Class A2, 144A |
| |||||||||||
2.870% | 10/20/23 | 196 | 197,243 | |||||||||
Series 2018-02, Class A2, 144A |
| |||||||||||
3.140% | 02/20/24 | 243 | 245,563 | |||||||||
Ford Credit Auto Owner Trust, |
| |||||||||||
Series 2015-02, Class A, 144A |
| |||||||||||
2.440% | 01/15/27 | 700 | 700,466 | |||||||||
Series 2018-02, Class A, 144A |
| |||||||||||
3.470% | 01/15/30 | 500 | 529,141 | |||||||||
Ford Credit Floorplan Master Owner Trust, |
| |||||||||||
Series 2019-02, Class A |
| |||||||||||
3.060% | 04/15/26 | 200 | 209,225 | |||||||||
OneMain Direct Auto Receivables Trust, |
| |||||||||||
Series 2018-01A, Class A, 144A |
| |||||||||||
3.430% | 12/16/24 | 900 | 912,827 | |||||||||
|
| |||||||||||
4,732,653 | ||||||||||||
|
| |||||||||||
Collateralized Loan Obligations — 20.8% |
| |||||||||||
Allegro CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2018-02A, Class A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%) |
| |||||||||||
2.319%(c) | 07/15/31 | 1,000 | 971,467 | |||||||||
Bain Capital Credit CLO (Cayman Islands), |
| |||||||||||
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 0.960% (Cap N/A, Floor 0.000%) |
| |||||||||||
2.003%(c) | 04/23/31 | 1,000 | 973,872 | |||||||||
Brookside Mill CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820% (Cap N/A, Floor 0.000%) |
| |||||||||||
1.955%(c) | 01/17/28 | 727 | 719,098 | |||||||||
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 0.970% (Cap N/A, Floor 0.970%) |
| |||||||||||
2.105%(c) | 04/17/31 | 749 | 725,399 | |||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||
Series 2015-01A, Class ARR, 144A, 3 Month LIBOR + 1.110% (Cap N/A, Floor 1.110%) |
| |||||||||||
2.208%(c) | 01/22/31 | 250 | 246,069 | |||||||||
Series 2015-03A, Class AR, 144A, 3 Month LIBOR + 0.870% (Cap N/A, Floor 0.000%) |
| |||||||||||
2.005%(c) | 04/19/29 | 1,000 | 981,656 | |||||||||
Galaxy CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2018-29A, Class A, 144A, 3 Month LIBOR + 0.790% (Cap N/A, Floor |
| |||||||||||
0.000%) 1.182%(c) | 11/15/26 | 378 | 371,755 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||
Greenwood Park CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% (Cap N/A, Floor 0.000%) |
| |||||||||||
2.229%(c) | 04/15/31 | 500 | $ | 485,843 | ||||||||
Jackson Mill CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 0.830% (Cap N/A, Floor 0.830%) |
| |||||||||||
2.049%(c) | 04/15/27 | 959 | 948,018 | |||||||||
Magnetite Ltd. (Cayman Islands), |
| |||||||||||
Series 2015-16A, Class AR, 144A, 3 Month LIBOR + 0.800% (Cap N/A, Floor 0.000%) |
| |||||||||||
1.935%(c) | 01/18/28 | 497 | 491,304 | |||||||||
MidOcean Credit CLO (Cayman Islands), |
| |||||||||||
Series 2018-08A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 0.000%) |
| |||||||||||
1.527%(c) | 02/20/31 | 750 | 733,139 | |||||||||
Mountain View CLO LLC (Cayman Islands), |
| |||||||||||
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) |
| |||||||||||
2.386%(c) | 01/16/31 | 750 | 731,264 | |||||||||
OCP CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2014-05A, Class A1R, 144A, 3 Month LIBOR + 1.080% (Cap N/A, Floor 1.080%) |
| |||||||||||
2.071%(c) | 04/26/31 | 1,500 | 1,459,625 | |||||||||
Palmer Square CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2018-02A, Class A1A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%) |
| |||||||||||
2.276%(c) | 07/16/31 | 250 | 243,729 | |||||||||
Rockford Tower CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2018-02A, Class A, 144A, 3 Month LIBOR + 1.160% (Cap N/A, Floor 1.160%) |
| |||||||||||
2.295%(c) | 10/20/31 | 500 | 487,218 | |||||||||
TICP CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2017-09A, Class A, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 0.000%) |
| |||||||||||
2.275%(c) | 01/20/31 | 1,000 | 976,708 | |||||||||
Trinitas CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2016-04A, Class A1LR, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 0.000%) 2.315%(c) 10/18/31 500 482,644 |
| |||||||||||
Series 2016-05A, Class AR, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%) |
| |||||||||||
2.381%(c) | 10/25/28 | 750 | 742,154 | |||||||||
Venture CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2014-19A, Class ARR, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 1.260%) |
| |||||||||||
2.479%(c) | 01/15/32 | 500 | 485,004 | |||||||||
Voya CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2014-01A, Class AAR2, 144A, 3 Month LIBOR + 0.990% (Cap N/A, Floor 0.000%) |
| |||||||||||
2.125%(c) | 04/18/31 | 748 | 731,441 | |||||||||
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%) |
| |||||||||||
2.035%(c) | 01/18/29 | 1,000 | 983,990 | |||||||||
Series 2016-01A, Class A1R, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%) |
| |||||||||||
2.205%(c) | 01/20/31 | 500 | 490,305 |
SEE NOTES TO FINANCIAL STATEMENTS.
A56
AST BOND PORTFOLIO 2026 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%) |
| |||||||||||
2.285%(c) | 01/17/31 | 500 | $ | 486,584 | ||||||||
Zais CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2018-01A, Class A, 144A, 3 Month LIBOR + 0.950% (Cap N/A, Floor 0.000%) |
| |||||||||||
2.169%(c) | 04/15/29 | 2,720 | 2,623,549 | |||||||||
|
| |||||||||||
18,571,835 | ||||||||||||
|
| |||||||||||
Credit Cards — 2.4% |
| |||||||||||
American Express Credit Account Master Trust, |
| |||||||||||
Series 2019-03, Class A |
| |||||||||||
2.000% | 04/15/25 | 600 | 621,201 | |||||||||
BA Credit Card Trust, |
| |||||||||||
Series 2019-A01, Class A1 |
| |||||||||||
1.740% | 01/15/25 | 700 | 719,817 | |||||||||
Chase Issuance Trust, |
| |||||||||||
Series 2012-A07, Class A7 |
| |||||||||||
2.160% | 09/15/24 | 800 | 830,187 | |||||||||
|
| |||||||||||
2,171,205 | ||||||||||||
|
| |||||||||||
Equipment — 0.3% |
| |||||||||||
MMAF Equipment Finance LLC, |
| |||||||||||
Series 2019-B, Class A2, 144A |
| |||||||||||
2.070% | 10/12/22 | 297 | 299,811 | |||||||||
Student Loans — 0.8% |
| |||||||||||
Navient Private Education Refi Loan Trust, |
| |||||||||||
Series 2018-CA, Class A1, 144A |
| |||||||||||
3.010% | 06/16/42 | 29 | 29,060 | |||||||||
SoFi Professional Loan Program LLC, |
| |||||||||||
Series 2018-A, Class A2A, 144A |
| |||||||||||
2.390% | 02/25/42 | 71 | 71,333 | |||||||||
SoFi Professional Loan Program Trust, |
| |||||||||||
Series 2020-A, Class A1FX, 144A |
| |||||||||||
2.060% | 05/15/46 | 589 | 593,551 | |||||||||
|
| |||||||||||
693,944 | ||||||||||||
|
| |||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 26,469,448 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 14.7% |
| |||||||||||
Barclays Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2017-C01, Class A1 |
| |||||||||||
2.010% | 02/15/50 | 305 | 305,812 | |||||||||
CFCRE Commercial Mortgage Trust, |
| |||||||||||
Series 2016-C06, Class A2 |
| |||||||||||
2.950% | 11/10/49 | 1,800 | 1,887,018 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-LC17, Class A5 |
| |||||||||||
3.917% | 10/10/47 | 206 | 225,470 | |||||||||
Series 2015-CR22, Class A3 |
| |||||||||||
3.207% | 03/10/48 | 100 | 102,455 | |||||||||
Series 2015-CR26, Class A3 |
| |||||||||||
3.359% | 10/10/48 | 600 | 650,657 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||
Series 2015-LC21, Class A3 |
| |||||||||||
3.445% | 07/10/48 | 600 | $ | 651,311 | ||||||||
Series 2015-LC21, Class A4 |
| |||||||||||
3.708% | 07/10/48 | 340 | 373,655 | |||||||||
Series 2015-LC23, Class A4 |
| |||||||||||
3.774% | 10/10/48 | 160 | 177,086 | |||||||||
Series 2015-PC01, Class A5 |
| |||||||||||
3.902% | 07/10/50 | 340 | 374,265 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series K736, Class X1, IO |
| |||||||||||
1.437%(cc) | 07/25/26 | 23,726 | 1,569,336 | |||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2015-GC32, Class A3 |
| |||||||||||
3.498% | 07/10/48 | 600 | 652,106 | |||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2014-C19, Class A3 |
| |||||||||||
3.669% | 04/15/47 | 60 | 60,927 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2015-C23, Class A3 |
| |||||||||||
3.451% | 07/15/50 | 800 | 861,957 | |||||||||
Series 2015-C26, Class A3 |
| |||||||||||
3.211% | 10/15/48 | 307 | 323,065 | |||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||
Series 2015-MS01, Class A2 |
| |||||||||||
3.261% | 05/15/48 | 600 | 621,177 | |||||||||
Series 2016-UB12, Class A1 |
| |||||||||||
1.779% | 12/15/49 | 474 | 475,037 | |||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C04, Class A5 |
| |||||||||||
2.850% | 12/10/45 | 2,045 | 2,104,142 | |||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2015-C29, Class A3 |
| |||||||||||
3.368% | 06/15/48 | 492 | 528,503 | |||||||||
Series 2015-LC20, Class A3 |
| |||||||||||
3.086% | 04/15/50 | 100 | 101,963 | |||||||||
Series 2017-C41, Class A2 |
| |||||||||||
2.590% | 11/15/50 | 1,100 | 1,130,209 | |||||||||
|
| |||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 13,176,151 | ||||||||||
|
| |||||||||||
CORPORATE BONDS — 19.8% |
| |||||||||||
Agriculture — 0.6% |
| |||||||||||
BAT Capital Corp. (United Kingdom), Gtd. Notes |
| |||||||||||
4.700% | 04/02/27 | 250 | 287,246 | |||||||||
BAT International Finance PLC (United Kingdom), Gtd. Notes, 144A |
| |||||||||||
3.500% | 06/15/22 | 275 | 287,642 | |||||||||
|
| |||||||||||
574,888 | ||||||||||||
|
| |||||||||||
Banks — 7.6% | ||||||||||||
Bank of America Corp., |
| |||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||
3.593%(ff) | 07/21/28 | (a) | 495 | 555,971 | ||||||||
Sub. Notes, MTN | ||||||||||||
4.450% | 03/03/26 | 595 | 683,473 |
SEE NOTES TO FINANCIAL STATEMENTS.
A57
AST BOND PORTFOLIO 2026 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
BNG Bank NV (Netherlands), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
1.750% | 10/05/20 | 200 | $ | 200,759 | ||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 05/01/26 | (a) | 925 | 1,026,018 | ||||||||||||
Sub. Notes |
| |||||||||||||||
3.875% | 03/26/25 | 250 | 273,502 | |||||||||||||
4.400% | 06/10/25 | 385 | 430,433 | |||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 05/22/25 | 835 | 923,527 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.850% | 07/08/24 | 55 | 60,406 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Jr. Sub. Notes, Series HH |
| |||||||||||||||
4.600%(ff) | — | (rr) | 105 | 93,581 | ||||||||||||
Jr. Sub. Notes, Series II |
| |||||||||||||||
4.000%(ff) | — | (rr) | 105 | 91,748 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.125% | 01/23/25 | (a) | 580 | 631,600 | ||||||||||||
Sub. Notes |
| |||||||||||||||
4.250% | 10/01/27 | (a) | 550 | 638,038 | ||||||||||||
Lloyds Banking Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.870%(ff) | 07/09/25 | (a) | 330 | 358,845 | ||||||||||||
Morgan Stanley, |
| |||||||||||||||
Sub. Notes, GMTN |
| |||||||||||||||
4.350% | 09/08/26 | 720 | 829,045 | |||||||||||||
|
| |||||||||||||||
6,796,946 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.8% |
| |||||||||||||||
Ameriprise Financial, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.000% | 04/02/25 | 125 | 135,768 | |||||||||||||
CPPIB Capital, Inc. (Canada), |
| |||||||||||||||
Gov’t. Gtd. Notes, 144A, MTN |
| |||||||||||||||
3.125% | 09/25/23 | 250 | 271,815 | |||||||||||||
Ontario Teachers’ Finance Trust (Canada), |
| |||||||||||||||
Local Gov’t. Gtd. Notes, 144A |
| |||||||||||||||
2.750% | 04/16/21 | 250 | 254,545 | |||||||||||||
Visa, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.900% | 04/15/27 | 85 | 88,784 | |||||||||||||
|
| |||||||||||||||
750,912 | ||||||||||||||||
|
| |||||||||||||||
Electric — 2.4% |
| |||||||||||||||
CenterPoint Energy Houston Electric LLC, |
| |||||||||||||||
General Ref. Mortgage, Series Z |
| |||||||||||||||
2.400% | 09/01/26 | 240 | 250,923 | |||||||||||||
Dominion Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||||||
2.850% | 08/15/26 | 60 | 64,404 | |||||||||||||
Duke Energy Carolinas LLC, |
| |||||||||||||||
First Ref. Mortgage |
| |||||||||||||||
2.950% | 12/01/26 | 810 | 903,107 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (continued) |
| |||||||||||||||
Duke Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.650% | 09/01/26 | 150 | $ | 162,733 | ||||||||||||
PacifiCorp, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.350% | 07/01/25 | 160 | 175,840 | |||||||||||||
Virginia Electric & Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series B |
| |||||||||||||||
2.950% | 11/15/26 | 495 | 549,422 | |||||||||||||
|
| |||||||||||||||
2,106,429 | ||||||||||||||||
|
| |||||||||||||||
Insurance — 1.1% |
| |||||||||||||||
American International Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 07/10/25 | 915 | 1,013,186 | |||||||||||||
|
| |||||||||||||||
Media — 1.0% |
| |||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.464% | 07/23/22 | 455 | 485,267 | |||||||||||||
Fox Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.050% | 04/07/25 | (a) | 360 | 389,499 | ||||||||||||
|
| |||||||||||||||
874,766 | ||||||||||||||||
|
| |||||||||||||||
Multi-National — 0.5% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 09/27/21 | 405 | 407,708 | |||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 3.2% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.900% | 11/06/22 | 25 | 26,215 | |||||||||||||
3.600% | 05/14/25 | 700 | 773,920 | |||||||||||||
Becton, Dickinson & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.734% | 12/15/24 | 47 | 51,706 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.900% | 07/26/24 | 225 | 243,341 | |||||||||||||
3.550% | 08/15/22 | 495 | 525,977 | |||||||||||||
Cardinal Health, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 09/15/25 | 290 | 324,158 | |||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.100% | 03/25/25 | 375 | 423,981 | |||||||||||||
Shire Acquisitions Investments Ireland DAC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.200% | 09/23/26 | 425 | 472,002 | |||||||||||||
|
| |||||||||||||||
2,841,300 | ||||||||||||||||
|
| |||||||||||||||
Retail — 0.5% |
| |||||||||||||||
TJX Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 04/15/27 | 390 | 446,014 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A58
AST BOND PORTFOLIO 2026 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Software — 0.4% |
| |||||||||||||||
Oracle Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 04/01/25 | 255 | $ | 273,370 | ||||||||||||
2.950% | 05/15/25 | 100 | 109,134 | |||||||||||||
|
| |||||||||||||||
382,504 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 1.7% |
| |||||||||||||||
AT&T, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.350% | 03/01/29 | (a) | 740 | 861,264 | ||||||||||||
Level 3 Financing, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 05/01/23 | 200 | 200,019 | |||||||||||||
T-Mobile USA, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.500% | 04/15/25 | 410 | 447,172 | |||||||||||||
|
| |||||||||||||||
1,508,455 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 17,703,108 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 2.9% |
| |||||||||||||||
Japan Bank for International Cooperation (Japan), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
2.125% | 11/16/20 | 200 | 201,170 | |||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.000% | 09/08/20 | 200 | 200,528 | |||||||||||||
2.125% | 10/25/23 | 200 | 209,506 | |||||||||||||
Province of Alberta (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.200% | 07/26/22 | 220 | 228,009 | |||||||||||||
Province of Ontario (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.250% | 05/18/22 | (a) | 1,500 | 1,552,413 | ||||||||||||
2.500% | 09/10/21 | 50 | 51,277 | |||||||||||||
Republic of Italy Government International Bond (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.375% | 10/17/24 | 200 | 202,867 | |||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 2,645,770 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 16.3% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
2.625% | 10/01/20 | 730 | 734,455 | |||||||||||||
3.000% | 10/12/21 | 1,000 | 1,036,035 | |||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
0.375% | 04/20/23 | 2,355 | 2,362,296 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
1.875% | 09/24/26 | 75 | 80,724 | |||||||||||||
2.000% | 10/05/22 | 1,200 | 1,248,100 | |||||||||||||
2.125% | 04/24/26 | 3,675 | 4,004,584 | |||||||||||||
2.375% | 01/19/23 | 180 | 190,131 | |||||||||||||
2.500% | 02/05/24 | 210 | 226,458 | |||||||||||||
2.875% | 09/12/23 | 4,325 | 4,685,238 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 14,568,021 | ||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. TREASURY OBLIGATIONS — 3.8% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
3.625% | 02/15/44 | (k) | 2,005 | $ | 2,934,192 | |||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
2.353%(s) | 02/15/44 | 430 | 300,227 | |||||||||||||
2.365%(s) | 05/15/44 | (k) | 230 | 159,419 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 3,393,838 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 77,956,336 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 17.8% |
| |||||||||||||||
AFFILIATED MUTUAL FUNDS — 17.6% |
| |||||||||||||||
PGIM Core Short-Term Bond Fund(w) |
| 910,064 | 8,354,387 | |||||||||||||
PGIM Core Ultra Short Bond Fund(w) |
| 2,731,867 | 2,731,867 | |||||||||||||
PGIM Institutional Money Market Fund (cost $4,650,520; includes $4,649,071 of cash collateral for securities on loan)(b)(w) |
| 4,652,723 | 4,652,723 | |||||||||||||
|
| |||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 15,738,977 | ||||||||||||||
|
| |||||||||||||||
OPTIONS PURCHASED*~ — 0.2% |
| |||||||||||||||
(cost $3,402) |
| 193,119 | ||||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 15,932,096 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS—104.9% |
| 93,888,432 | ||||||||||||||
Liabilities in excess of other assets(z) — (4.9)% |
| (4,386,486 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 89,501,946 | |||||||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
~ | See tables subsequent to the Schedule of Investments for options detail. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $4,555,440; cash collateral of $4,649,071 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
SEE NOTES TO FINANCIAL STATEMENTS.
A59
AST BOND PORTFOLIO 2026 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(rr) | Perpetual security with no stated maturity date. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11% | — | 596 | $ | 13,301 | ||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/13/21 | 0.11% | — | 579 | 12,892 | |||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15% | — | 1,448 | 30,594 | |||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15% | — | 2,874 | 60,845 | |||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14% | — | 2,920 | 63,945 | |||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21% | — | 579 | 11,542 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Options Purchased | $ | 193,119 | ||||||||||||||||||||||||||
|
|
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Position: | ||||||||||||||||
120 | 10 Year U.S. Ultra Treasury Notes | Sep. 2020 | $ | 18,898,126 | $ | 84,173 | ||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
55 | 2 Year U.S. Treasury Notes | Sep. 2020 | 12,145,547 | (2,424 | ) | |||||||||||
235 | 5 Year U.S. Treasury Notes | Sep. 2020 | 29,549,415 | (84,605 | ) | |||||||||||
19 | 10 Year U.S. Treasury Notes | Sep. 2020 | 2,644,266 | (348 | ) | |||||||||||
19 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 3,392,687 | (20,331 | ) | |||||||||||
2 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 436,312 | (6,606 | ) | |||||||||||
|
| |||||||||||||||
(114,314 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (30,141 | ) | ||||||||||||||
|
|
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
55,270 | 10/20/26 | 1.583%(S) | 3 Month LIBOR(2)(Q) | $ | (276,510 | ) | $ | 4,063,672 | $ | 4,340,182 | ||||||||||||||
3,200 | 05/11/30 | 2.000%(S) | 3 Month LIBOR(2)(Q) | 386,969 | 434,168 | 47,199 | ||||||||||||||||||
165 | 08/09/49 | 1.508%(A) | 1 Day USOIS(1)(A) | — | (37,424 | ) | (37,424 | ) | ||||||||||||||||
184 | 03/30/50 | 0.855%(S) | 3 Month LIBOR(1)(Q) | — | 2,666 | 2,666 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 110,459 | $ | 4,463,082 | $ | 4,352,623 | |||||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
A60
AST BOND PORTFOLIO 2026 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||||
Citigroup Global Markets, Inc. | $ | — | $ | 2,845,229 | ||||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | $ | — | $ | 4,732,653 | $ | — | ||||||
Collateralized Loan Obligations | — | 18,571,835 | — | |||||||||
Credit Cards | — | 2,171,205 | — | |||||||||
Equipment | — | 299,811 | — | |||||||||
Student Loans | — | 693,944 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 13,176,151 | — | |||||||||
Corporate Bonds | — | 17,703,108 | — | |||||||||
Sovereign Bonds | — | 2,645,770 | — | |||||||||
U.S. Government Agency Obligations | — | 14,568,021 | — | |||||||||
U.S. Treasury Obligations | — | 3,393,838 | — | |||||||||
Affiliated Mutual Funds | 15,738,977 | — | — | |||||||||
Options Purchased | — | 193,119 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 15,738,977 | $ | 78,149,455 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 84,173 | $ | — | $ | — | ||||||
Centrally Cleared Interest Rate Swap Agreements | — | 4,390,047 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 84,173 | $ | 4,390,047 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (114,314 | ) | $ | — | $ | — | |||||
Centrally Cleared Interest Rate Swap Agreement | — | (37,424 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (114,314 | ) | $ | (37,424 | ) | $ | — | ||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
Collateralized Loan Obligations | 20.8 | % | ||
Affiliated Mutual Funds (5.2% represents investments purchased with collateral from securities on loan) | 17.6 | |||
U.S. Government Agency Obligations | 16.3 | |||
Commercial Mortgage-Backed Securities | 14.7 |
Banks | 7.6 | % | ||
Automobiles | 5.3 | |||
U.S. Treasury Obligations | 3.8 | |||
Pharmaceuticals | 3.2 | |||
Sovereign Bonds | 2.9 |
SEE NOTES TO FINANCIAL STATEMENTS.
A61
AST BOND PORTFOLIO 2026 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (cont.):
Credit Cards | 2.4 | % | ||
Electric | 2.4 | |||
Telecommunications | 1.7 | |||
Insurance | 1.1 | |||
Media | 1.0 | |||
Diversified Financial Services | 0.8 | |||
Student Loans | 0.8 | |||
Agriculture | 0.6 | |||
Retail | 0.5 |
Multi-National | 0.5 | % | ||
Software | 0.4 | |||
Equipment | 0.3 | |||
Options Purchased | 0.2 | |||
|
| |||
104.9 | ||||
Liabilities in excess of other assets | (4.9 | ) | ||
|
| |||
100.0 | % | |||
|
|
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 84,173 | * | Due from/to broker — variation margin futures | $ | 114,314 | * | ||||
Interest rate contracts | Due from/to broker — variation margin swaps | 4,390,047 | * | Due from/to broker — variation margin swaps | 37,424 | * | ||||||
Interest rate contracts | Unaffiliated investments | 193,119 | — | — | ||||||||
|
|
|
| |||||||||
$ | 4,667,339 | $ | 151,738 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Options Purchased(1) | Options Written | Futures | Swaps | ||||||||||||
Interest rate contracts | $ | (14,261 | ) | $ | 4,941 | $ | 238,201 | $ | 159,704 | |||||||
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Options Purchased(2) | Futures | Swaps | |||||||||
Interest rate contracts | $ | 101,837 | $ | (139,960 | ) | $ | 5,572,860 | |||||
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A62
AST BOND PORTFOLIO 2026 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options | Options | Futures | Futures | |||||||
$8,156 | $9,667 | $28,393,897 | $62,016,507 |
Interest Rate Swap Agreements(2) | ||||
$107,257,000 |
(1) | Cost. |
(2) | Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||
Securities on Loan | $ | 4,555,440 | $ | (4,555,440 | ) | $ | — | |||||
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts of Recognized Liabilities(1) | Net Amounts of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||||||||
Bank of America, N.A. | $ | 155,384 | $ | — | $ | 155,384 | $ | — | $ | 155,384 | ||||||||||
Barclays Bank PLC | 37,735 | — | 37,735 | — | 37,735 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 193,119 | $ | — | $ | 193,119 | $ | — | $ | 193,119 | |||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A63
AST BOND PORTFOLIO 2026 (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $4,555,440: | ||||
Unaffiliated investments (cost $75,335,707) | $ | 78,149,455 | ||
Affiliated investments (cost $15,733,798) | 15,738,977 | |||
Cash | 64,789 | |||
Dividends and interest receivable | 414,707 | |||
Prepaid expenses and other assets | 5,526 | |||
|
| |||
Total Assets | 94,373,454 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 4,649,071 | |||
Payable for Portfolio shares repurchased | 89,128 | |||
Due to broker-variation margin swaps | 55,136 | |||
Accrued expenses and other liabilities | 50,522 | |||
Management fee payable | 14,638 | |||
Due to broker-variation margin futures | 9,167 | |||
Distribution fee payable | 3,468 | |||
Affiliated transfer agent fee payable | 378 | |||
|
| |||
Total Liabilities | 4,871,508 | |||
|
| |||
NET ASSETS | $ | 89,501,946 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 89,501,946 | ||
|
| |||
Net asset value and redemption price per share, $89,501,946 / 7,075,399 outstanding shares of beneficial interest | $ | 12.65 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 1,358,943 | ||
Affiliated dividend income | 52,416 | |||
Income from securities lending, net (including affiliated income of $5,312) | 5,398 | |||
|
| |||
Total income | 1,416,757 | |||
|
| |||
EXPENSES | ||||
Management fee | 255,135 | |||
Distribution fee | 136,805 | |||
Custodian and accounting fees | 33,843 | |||
Audit fee | 26,008 | |||
Legal fees and expenses | 5,947 | |||
Trustees’ fees | 5,447 | |||
Shareholders’ reports | 3,817 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,459 | |||
Miscellaneous | 15,069 | |||
|
| |||
Total expenses | 485,530 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 931,227 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(387)) | 2,697,354 | |||
Futures transactions | 238,201 | |||
Options written transactions | 4,941 | |||
Swap agreements transactions | 159,704 | |||
|
| |||
3,100,200 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $7,573) | 991,024 | |||
Futures | (139,960 | ) | ||
Swap agreements | 5,572,860 | |||
|
| |||
6,423,924 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 9,524,124 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 10,455,351 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 931,227 | $ | 2,999,376 | ||||
Net realized gain (loss) on investment transactions | 3,100,200 | (3,460,218 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 6,423,924 | 15,671,389 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 10,455,351 | 15,210,547 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [3,600,606 and 3,321,417 shares, respectively] | 44,007,099 | 38,019,926 | ||||||
Portfolio shares repurchased [8,170,961 and 10,314,318 shares, respectively] | (99,084,527 | ) | (114,332,634 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (55,077,428 | ) | (76,312,708 | ) | ||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (44,622,077 | ) | (61,102,161 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 134,124,023 | 195,226,184 | ||||||
|
|
|
| |||||
End of period | $ | 89,501,946 | $ | 134,124,023 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A64
AST BOND PORTFOLIO 2027 |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 97.7% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 36.3% | ||||||||||||||||
Automobiles — 9.7% |
| |||||||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||||||
Series 2015-02A, Class A, 144A |
| |||||||||||||||
2.630% | 12/20/21 | 700 | $ | 699,916 | ||||||||||||
CarMax Auto Owner Trust, |
| |||||||||||||||
Series 2018-04, Class B |
| |||||||||||||||
3.670% | 05/15/24 | 1,000 | 1,043,180 | |||||||||||||
Enterprise Fleet Financing LLC, |
| |||||||||||||||
Series 2018-01, Class A2, 144A |
| |||||||||||||||
2.870% | 10/20/23 | 228 | 230,117 | |||||||||||||
Series 2018-02, Class A2, 144A |
| |||||||||||||||
3.140% | 02/20/24 | 292 | 294,676 | |||||||||||||
Ford Credit Auto Owner Trust, |
| |||||||||||||||
Series 2017-02, Class A, 144A |
| |||||||||||||||
2.360% | 03/15/29 | 1,300 | 1,337,711 | |||||||||||||
OneMain Direct Auto Receivables Trust, |
| |||||||||||||||
Series 2018-01A, Class A, 144A |
| |||||||||||||||
3.430% | 12/16/24 | 1,000 | 1,014,252 | |||||||||||||
|
| |||||||||||||||
4,619,852 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 20.5% |
| |||||||||||||||
Ballyrock CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350% |
| |||||||||||||||
2.569%(c) | 10/15/28 | 2,000 | 1,978,043 | |||||||||||||
Flagship CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-08A, Class ARR, 144A, 3 Month LIBOR + 0.850% |
| |||||||||||||||
2.026%(c) | 01/16/26 | 103 | 101,789 | |||||||||||||
Greenwood Park CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% |
| |||||||||||||||
2.229%(c) | 04/15/31 | 500 | 485,843 | |||||||||||||
MidOcean Credit CLO (Cayman Islands), |
| |||||||||||||||
Series 2018-08A, Class A1, 144A, 3 Month LIBOR + 1.150% |
| |||||||||||||||
1.527%(c) | 02/20/31 | 1,000 | 977,518 | |||||||||||||
Mountain View CLO LLC (Cayman Islands), |
| |||||||||||||||
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.210% |
| |||||||||||||||
2.386%(c) | 01/16/31 | 750 | 731,264 | |||||||||||||
Romark WM-R Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% |
| |||||||||||||||
2.165%(c) | 04/20/31 | 750 | 728,795 | |||||||||||||
Sound Point CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-03RA, Class A1, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
2.293%(c) | 10/23/31 | 1,500 | 1,450,441 | |||||||||||||
Trinitas CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-04A, Class A1LR, 144A, 3 Month LIBOR + 1.180% |
| |||||||||||||||
2.315%(c) | 10/18/31 | 500 | 482,644 | |||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% |
| |||||||||||||||
2.285%(c) | 01/17/31 | 500 | 486,584 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) | ||||||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.340% |
| |||||||||||||||
2.475%(c) | 07/20/32 | 500 | $ | 489,362 | ||||||||||||
Zais CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A, 144A, 3 Month LIBOR + 0.950% |
| |||||||||||||||
2.169%(c) | 04/15/29 | 1,978 | 1,908,036 | |||||||||||||
|
| |||||||||||||||
9,820,319 | ||||||||||||||||
|
| |||||||||||||||
Credit Cards — 4.2% |
| |||||||||||||||
Chase Issuance Trust, |
| |||||||||||||||
Series 2012-A07, Class A7 |
| |||||||||||||||
2.160% | 09/15/24 | 900 | 933,960 | |||||||||||||
Discover Card Execution Note Trust, |
| |||||||||||||||
Series 2017-A04, Class A4 |
| |||||||||||||||
2.530% | 10/15/26 | 1,000 | 1,068,889 | |||||||||||||
|
| |||||||||||||||
2,002,849 | ||||||||||||||||
|
| |||||||||||||||
Equipment — 1.7% |
| |||||||||||||||
MMAF Equipment Finance LLC, |
| |||||||||||||||
Series 2017-AA, Class A4, 144A |
| |||||||||||||||
2.410% | 08/16/24 | 800 | 814,675 | |||||||||||||
|
| |||||||||||||||
Student Loan — 0.2% |
| |||||||||||||||
SoFi Professional Loan Program LLC, |
| |||||||||||||||
Series 2018-A, Class A2A, 144A |
| |||||||||||||||
2.390% | 02/25/42 | 92 | 91,713 | |||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 17,349,408 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 15.2% | ||||||||||||||||
Barclays Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2017-C01, Class A1 |
| |||||||||||||||
2.010% | 02/15/50 | 305 | 305,813 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2013-LC06, Class ASB |
| |||||||||||||||
2.478% | 01/10/46 | 179 | 181,140 | |||||||||||||
Series 2014-CR21, Class A3 |
| |||||||||||||||
3.528% | 12/10/47 | 454 | 487,564 | |||||||||||||
Series 2014-LC17, Class A3 |
| |||||||||||||||
3.723% | 10/10/47 | 115 | 118,765 | |||||||||||||
Series 2014-UBS02, Class A2 |
| |||||||||||||||
2.820% | 03/10/47 | — | (r) | 252 | ||||||||||||
Series 2015-LC21, Class A4 |
| |||||||||||||||
3.708% | 07/10/48 | 500 | 549,492 | |||||||||||||
Series 2015-PC01, Class A2 |
| |||||||||||||||
3.148% | 07/10/50 | 577 | 576,569 | |||||||||||||
Series 2015-PC01, Class A5 |
| |||||||||||||||
3.902% | 07/10/50 | 500 | 550,389 | |||||||||||||
Series 2016-COR01, Class A3 |
| |||||||||||||||
2.826% | 10/10/49 | 1,600 | 1,691,906 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K736, Class X1, IO |
| |||||||||||||||
1.437%(cc) | 07/25/26 | 11,997 | 793,529 |
SEE NOTES TO FINANCIAL STATEMENTS.
A65
AST BOND PORTFOLIO 2027 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-GC12, Class AAB |
| |||||||||||||||
2.678% | 06/10/46 | 198 | $ | 200,057 | ||||||||||||
Series 2013-GC14, Class A3 |
| |||||||||||||||
3.526% | 08/10/46 | 10 | 9,791 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2015-C26, Class A3 |
| |||||||||||||||
3.211% | 10/15/48 | 361 | 379,473 | |||||||||||||
Series 2016-C32, Class A1 |
| |||||||||||||||
1.968% | 12/15/49 | 193 | 193,379 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2012-C04, Class A5 |
| |||||||||||||||
2.850% | 12/10/45 | 1,185 | 1,219,271 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 7,257,390 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 21.4% |
| |||||||||||||||
Auto Manufacturers — 0.6% |
| |||||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 11/01/22 | 295 | 283,390 | |||||||||||||
General Motors Financial Co., Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.700% | 05/09/23 | 20 | 20,584 | |||||||||||||
|
| |||||||||||||||
303,974 | ||||||||||||||||
|
| |||||||||||||||
Banks — 7.3% |
| |||||||||||||||
Bank of America Corp., |
| |||||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.450% | 03/03/26 | 465 | 534,143 | |||||||||||||
BNG Bank NV (Netherlands), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
1.750% | 10/05/20 | 200 | 200,759 | |||||||||||||
Citigroup, Inc., | ||||||||||||||||
Sub. Notes | ||||||||||||||||
4.400% | 06/10/25 | 520 | 581,364 | |||||||||||||
Credit Suisse Group Funding Guernsey Ltd. (Switzerland), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.800% | 06/09/23 | 250 | 268,852 | |||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 01/23/25 | 60 | 65,440 | |||||||||||||
3.850% | 01/26/27 | 170 | 191,145 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Jr. Sub. Notes, Series HH |
| |||||||||||||||
4.600%(ff) | – | (rr) | 85 | 75,756 | ||||||||||||
Jr. Sub. Notes, Series II |
| |||||||||||||||
4.000%(ff) | – | (rr) | 90 | 78,641 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 06/15/26 | (a) | 600 | 665,660 | ||||||||||||
Morgan Stanley, |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.875% | 01/27/26 | 345 | 391,748 | |||||||||||||
Sub. Notes, GMTN |
| |||||||||||||||
4.350% | 09/08/26 | 385 | 443,309 | |||||||||||||
|
| |||||||||||||||
3,496,817 | ||||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Commercial Services — 1.7% |
| |||||||||||||||
ERAC USA Finance LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.700% | 11/01/23 | 800 | $ | 803,295 | ||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 1.7% |
| |||||||||||||||
CDP Financial, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.150% | 07/24/24 | 250 | 275,325 | |||||||||||||
CPPIB Capital, Inc. (Canada), |
| |||||||||||||||
Gov’t. Gtd. Notes, 144A, MTN |
| |||||||||||||||
3.125% | 09/25/23 | 250 | 271,815 | |||||||||||||
Ontario Teachers’ Finance Trust (Canada), |
| |||||||||||||||
Local Gov’t. Gtd. Notes, 144A |
| |||||||||||||||
2.750% | 04/16/21 | 250 | 254,545 | |||||||||||||
|
| |||||||||||||||
801,685 | ||||||||||||||||
|
| |||||||||||||||
Electric — 2.6% |
| |||||||||||||||
Dominion Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||||||
2.850% | 08/15/26 | 15 | 16,101 | |||||||||||||
Duke Energy Carolinas LLC, |
| |||||||||||||||
First Ref. Mortgage |
| |||||||||||||||
2.950% | 12/01/26 | 460 | 512,875 | |||||||||||||
Duke Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.650% | 09/01/26 | 35 | 37,971 | |||||||||||||
Virginia Electric & Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series B |
| |||||||||||||||
2.950% | 11/15/26 | 615 | 682,615 | |||||||||||||
|
| |||||||||||||||
1,249,562 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 0.1% |
| |||||||||||||||
Anthem, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 08/15/24 | 25 | 27,410 | |||||||||||||
|
| |||||||||||||||
Insurance — 1.7% |
| |||||||||||||||
American International Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 07/10/25 | 750 | 830,480 | |||||||||||||
|
| |||||||||||||||
Media — 1.2% | ||||||||||||||||
Cox Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.500% | 08/15/27 | (a) | 500 | 549,803 | ||||||||||||
|
| |||||||||||||||
Multi-National — 1.2% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 09/27/21 | 580 | 583,878 | |||||||||||||
|
| |||||||||||||||
Pipelines — 0.7% |
| |||||||||||||||
Phillips 66 Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.550% | 10/01/26 | (a) | 315 | 341,331 | ||||||||||||
|
| |||||||||||||||
Telecommunications — 2.6% |
| |||||||||||||||
AT&T, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.350% | 03/01/29 | (a) | 500 | 581,935 | ||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A66
AST BOND PORTFOLIO 2027 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Telecommunications (continued) |
| |||||||||||||||
CommScope, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 06/15/21 | 53 | $ | 53,000 | ||||||||||||
Level 3 Financing, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.400% | 03/01/27 | 250 | 264,468 | |||||||||||||
SingTel Group Treasury Pte Ltd. (Singapore), |
| |||||||||||||||
Gtd. Notes, EMTN |
| |||||||||||||||
4.500% | 09/08/21 | 335 | 348,375 | |||||||||||||
|
| |||||||||||||||
1,247,778 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 10,236,013 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 8.7% |
| |||||||||||||||
Japan Bank for International Cooperation (Japan), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
2.125% | 11/16/20 | 200 | 201,169 | |||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.000% | 09/08/20 | 400 | 401,057 | |||||||||||||
2.125% | 10/25/23 | 200 | 209,506 | |||||||||||||
Province of Alberta (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.200% | 07/26/22 | 260 | 269,465 | |||||||||||||
Province of Manitoba (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 06/22/26 | 300 | 322,668 | |||||||||||||
Province of Ontario (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.250% | 05/18/22 | 1,500 | 1,552,413 | |||||||||||||
2.500% | 09/10/21 | 105 | 107,681 | |||||||||||||
Province of Quebec (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 04/12/27 | 780 | 872,317 | |||||||||||||
Republic of Italy Government International Bond (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.375% | 10/17/24 | 200 | 202,867 | |||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 4,139,143 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATION — 3.1% |
| |||||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
2.125% | 04/24/26 | (k) | 1,345 | 1,465,624 | ||||||||||||
(cost $1,345,486) |
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 13.0% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
3.625% | 02/15/44 | (k) | 3,960 | 5,795,212 | ||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
2.375% | 08/15/24 | (k) | 380 | 413,280 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 6,208,492 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 46,656,070 | ||||||||||||||
|
|
Shares | Value | |||||||
SHORT-TERM INVESTMENTS — 17.7% |
| |||||||
AFFILIATED MUTUAL FUNDS — 17.2% |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 778,777 | $ | 778,777 | |||||
PGIM Institutional Money Market Fund | 7,469,312 | 7,469,312 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS | 8,248,089 | |||||||
|
| |||||||
OPTIONS PURCHASED*~ — 0.5% |
| 222,760 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 8,470,849 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 115.4% | 55,126,919 | |||||||
Liabilities in excess of other assets(z) — (15.4)% |
| (7,352,026 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 47,774,893 | ||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
~ | See tables subsequent to the Schedule of Investments for options detail. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $7,297,706; cash collateral of $7,467,315 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(r) | Principal or notional amount is less than $500 par. |
(rr) | Perpetual security with no stated maturity date. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
SEE NOTES TO FINANCIAL STATEMENTS.
A67
AST BOND PORTFOLIO 2027 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Options Purchased:
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 688 | $ | 15,354 | |||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 669 | 14,896 | ||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 1,672 | 35,326 | ||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 3,319 | 70,267 | ||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 3,360 | 73,581 | ||||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 669 | 13,336 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Options Purchased |
| $ | 222,760 | |||||||||||||||||||||||||
|
|
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Position: | ||||||||||||||||
54 | 10 Year U.S. Ultra Treasury Notes | Sep. 2020 | $ | 8,504,156 | $ | 38,771 | ||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
38 | 2 Year U.S. Treasury Notes | Sep. 2020 | 8,391,469 | (2,915 | ) | |||||||||||
135 | 5 Year U.S. Treasury Notes | Sep. 2020 | 16,975,196 | (45,561 | ) | |||||||||||
10 | 10 Year U.S. Treasury Notes | Sep. 2020 | 1,391,719 | (3,171 | ) | |||||||||||
22 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 3,928,375 | (18,836 | ) | |||||||||||
10 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 2,181,562 | 6,991 | ||||||||||||
|
| |||||||||||||||
(63,492 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (24,721 | ) | ||||||||||||||
|
|
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
34,808 | 12/31/27 | 2.255%(S) | 3 Month LIBOR(2)(Q) | $ | (970,099 | ) | $ | 4,576,195 | $ | 5,546,294 | ||||||||||||||
175 | 08/09/49 | 1.508%(A) | 1 Day USOIS(1)(A) | — | (39,692 | ) | (39,692 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (970,099 | ) | $ | 4,536,503 | $ | 5,506,602 | ||||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||||
Citigroup Global Markets, Inc. | $ | — | $ | 2,681,868 | ||||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A68
AST BOND PORTFOLIO 2027 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | $ | — | $ | 4,619,852 | $ | — | ||||||
Collateralized Loan Obligations | — | 9,820,319 | — | |||||||||
Credit Cards | — | 2,002,849 | — | |||||||||
Equipment | — | 814,675 | — | |||||||||
Student Loan | — | 91,713 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 7,257,390 | — | |||||||||
Corporate Bonds | — | 10,236,013 | — | |||||||||
Sovereign Bonds | — | 4,139,143 | — | |||||||||
U.S. Government Agency Obligation | — | 1,465,624 | — | |||||||||
U.S. Treasury Obligations | — | 6,208,492 | — | |||||||||
Affiliated Mutual Funds | 8,248,089 | — | — | |||||||||
Options Purchased | — | 222,760 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 8,248,089 | $ | 46,878,830 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 45,762 | $ | — | $ | — | ||||||
Centrally Cleared Interest Rate Swap Agreement | — | 5,546,294 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 45,762 | $ | 5,546,294 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (70,483 | ) | $ | — | $ | — | |||||
Centrally Cleared Interest Rate Swap Agreement | — | (39,692 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (70,483 | ) | $ | (39,692 | ) | $ | — | ||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
Collateralized Loan Obligations | 20.5 | % | ||
Affiliated Mutual Funds (15.6% represents investments purchased with collateral from securities on loan) | 17.2 | |||
Commercial Mortgage-Backed Securities | 15.2 | |||
U.S. Treasury Obligations | 13.0 | |||
Automobiles | 9.7 | |||
Sovereign Bonds | 8.7 | |||
Banks | 7.3 | |||
Credit Cards | 4.2 | |||
U.S. Government Agency Obligation | 3.1 | |||
Electric | 2.6 | |||
Telecommunications | 2.6 | |||
Insurance | 1.7 | |||
Equipment | 1.7 |
Commercial Services | 1.7 | % | ||
Diversified Financial Services | 1.7 | |||
Multi-National | 1.2 | |||
Media | 1.2 | |||
Pipelines | 0.7 | |||
Auto Manufacturers | 0.6 | |||
Options Purchased | 0.5 | |||
Student Loan | 0.2 | |||
Healthcare-Services | 0.1 | |||
|
| |||
115.4 | ||||
Liabilities in excess of other assets | (15.4 | ) | ||
|
| |||
100.0 | % | |||
|
|
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contract risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
SEE NOTES TO FINANCIAL STATEMENTS.
A69
AST BOND PORTFOLIO 2027 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 45,762 | * | Due from/to broker — variation margin futures | $ | 70,483 | * | ||||
Interest rate contracts | Due from/to broker — variation margin swaps | 5,546,294 | * | Due from/to broker — variation margin swaps | 39,692 | * | ||||||
Interest rate contracts | Unaffiliated investments | 222,760 | — | — | ||||||||
|
|
|
| |||||||||
$ | 5,814,816 | $ | 110,175 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(1) | Options Written | Futures | Swaps | ||||||||||||
Interest rate contracts. | $ | (14,261 | ) | $ | 4,941 | $ | 1,387,456 | $ | 1,973,675 | |||||||
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Options Purchased(2) | Futures | Swaps | |||||||||
Interest rate contracts | $ | 117,470 | $ | 19,021 | $ | 3,340,599 | ||||||
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options | Options | Futures Contracts— | Futures Contracts— Positions(2) | |||
$8,684 | $9,667 | $14,123,646 | $41,939,013 |
Interest Rate |
$92,967,667 |
(1) | Cost. |
(2) | Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
SEE NOTES TO FINANCIAL STATEMENTS.
A70
AST BOND PORTFOLIO 2027 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||
Securities on Loan | $ | 7,297,706 | $ | (7,297,706 | ) | $ | — | |||||
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts of Recognized Liabilities(1) | Net Amounts of Recognized Assets/(Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount | |||||||||||||||
Bank of America, N.A. | $ | 179,174 | $ | — | $ | 179,174 | $ | — | $ | 179,174 | ||||||||||
Barclays Bank PLC | 43,586 | — | 43,586 | — | 43,586 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 222,760 | $ | — | $ | 222,760 | $ | — | $ | 222,760 | |||||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A71
AST BOND PORTFOLIO 2027 (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $7,297,706: | ||||
Unaffiliated investments (cost $45,614,530) | $ | 46,878,830 | ||
Affiliated investments (cost $8,247,894) | 8,248,089 | |||
Dividends and interest receivable | 248,967 | |||
Due from broker-variation margin futures | 12,576 | |||
Prepaid expenses and other assets | 5,761 | |||
|
| |||
Total Assets | 55,394,223 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan . | 7,467,315 | |||
Payable for Portfolio shares repurchased | 61,462 | |||
Accrued expenses and other liabilities | 53,230 | |||
Due to broker-variation margin swaps | 28,889 | |||
Management fee payable | 6,353 | |||
Distribution fee payable | 1,649 | |||
Affiliated transfer agent fee payable | 378 | |||
Trustees’ fees payable | 54 | |||
|
| |||
Total Liabilities | 7,619,330 | |||
|
| |||
NET ASSETS | $ | 47,774,893 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 47,774,893 | ||
|
| |||
Net asset value and redemption price per share, $47,774,893 / 3,797,858 outstanding shares of beneficial interest | $ | 12.58 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 854,414 | ||
Affiliated dividend income | 68,167 | |||
Income from securities lending, net (including affiliated income of $3,596) | 3,700 | |||
|
| |||
Total income | 926,281 | |||
|
| |||
EXPENSES | ||||
Management fee | 168,212 | |||
Distribution fee | 90,193 | |||
Custodian and accounting fees | 32,431 | |||
Audit fee | 26,008 | |||
Legal fees and expenses | 5,895 | |||
Trustees’ fees | 5,364 | |||
Shareholders’ reports | 3,963 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,459 | |||
Miscellaneous | 15,811 | |||
|
| |||
Total expenses | 351,336 | |||
Less: Fee waiver and/or expense reimbursement | (15,815 | ) | ||
|
| |||
Net expenses | 335,521 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 590,760 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(62,350)) | 1,720,520 | |||
Futures transactions | 1,387,456 | |||
Options written transactions | 4,941 | |||
Swap agreements transactions | 1,973,675 | |||
|
| |||
5,086,592 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $36,167) | (291,455 | ) | ||
Futures | 19,021 | |||
Swap agreements | 3,340,599 | |||
|
| |||
3,068,165 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 8,154,757 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 8,745,517 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 590,760 | $ | 3,191,421 | ||||
Net realized gain (loss) on investment transactions | 5,086,592 | (12,456,084 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 3,068,165 | 27,264,760 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 8,745,517 | 18,000,097 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [3,237,885 and 377,835 shares, respectively] | 38,404,585 | 3,920,036 | ||||||
Portfolio shares repurchased [8,372,014 and 14,585,559 shares, respectively] | (100,249,024 | ) | (157,014,860 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (61,844,439 | ) | (153,094,824 | ) | ||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (53,098,922 | ) | (135,094,727 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 100,873,815 | 235,968,542 | ||||||
|
|
|
| |||||
End of period | $ | 47,774,893 | $ | 100,873,815 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A72
AST BOND PORTFOLIO 2028 |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 75.3% |
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 13.0% |
| |||||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2013-LC06, Class ASB |
| |||||||||||||||
2.478% | 01/10/46 | 26 | $ | 25,877 | ||||||||||||
Series 2014-UBS02, Class A2 |
| |||||||||||||||
2.820% | 03/10/47 | — | (r) | 77 | ||||||||||||
Series 2014-UBS04, Class A2 |
| |||||||||||||||
2.963% | 08/10/47 | 4 | 4,235 | |||||||||||||
Series 2015-LC21, Class A4 |
| |||||||||||||||
3.708% | 07/10/48 | 60 | 65,939 | |||||||||||||
Series 2015-PC01, Class A5 |
| |||||||||||||||
3.902% | 07/10/50 | 60 | 66,047 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K083, Class AM |
| |||||||||||||||
4.030%(cc) | 10/25/28 | 80 | 96,762 | |||||||||||||
Series K736, Class X1, IO |
| |||||||||||||||
1.437%(cc) | 07/25/26 | 700 | 46,289 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-GC12, Class AAB |
| |||||||||||||||
2.678% | 06/10/46 | 28 | 28,580 | |||||||||||||
Series 2014-GC22, Class A3 |
| |||||||||||||||
3.516% | 06/10/47 | 46 | 46,496 | |||||||||||||
JPMCC Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2017-JP05, Class A1 |
| |||||||||||||||
2.086% | 03/15/50 | 3 | 2,754 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2012-C04, Class A5 |
| |||||||||||||||
2.850% | 12/10/45 | 70 | 72,024 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 455,080 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 12.7% |
| |||||||||||||||
Aerospace & Defense — 0.2% |
| |||||||||||||||
Northrop Grumman Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.400% | 05/01/30 | 5 | 6,070 | |||||||||||||
|
| |||||||||||||||
Apparel — 0.4% |
| |||||||||||||||
VF Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.800% | 04/23/27 | 15 | 15,903 | |||||||||||||
|
| |||||||||||||||
Banks — 3.3% |
| |||||||||||||||
Bank of America Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.592%(ff) | 04/29/31 | 15 | 15,891 | |||||||||||||
Citigroup, Inc., | ||||||||||||||||
Jr. Sub. Notes, Series V |
| |||||||||||||||
4.700%(ff) | – | (rr) | 60 | 53,579 | ||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.800% | 03/15/30 | 25 | 28,326 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.493%(ff) | 03/24/31 | 15 | 18,287 | |||||||||||||
|
| |||||||||||||||
116,083 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Beverages — 0.6% |
| |||||||||||||||
PepsiCo, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.625% | 03/19/27 | 20 | $ | 21,945 | ||||||||||||
|
| |||||||||||||||
Commercial Services — 0.8% |
| |||||||||||||||
Moody’s Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 03/24/25 | 25 | 28,342 | |||||||||||||
|
| |||||||||||||||
Electric — 1.6% | ||||||||||||||||
Berkshire Hathaway Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.050% | 04/15/25 | 10 | 11,426 | |||||||||||||
Dominion Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series B |
| |||||||||||||||
3.600% | 03/15/27 | 30 | 33,237 | |||||||||||||
Oncor Electric Delivery Co. LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
2.750% | 05/15/30 | 10 | 10,958 | |||||||||||||
|
| |||||||||||||||
55,621 | ||||||||||||||||
|
| |||||||||||||||
Multi-National — 1.5% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.375% | 06/15/22 | 50 | 52,544 | |||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 1.0% |
| |||||||||||||||
AmerisourceBergen Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 12/15/27 | 30 | 33,802 | |||||||||||||
|
| |||||||||||||||
Pipelines — 1.5% |
| |||||||||||||||
Williams Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 08/15/22 | 50 | 52,068 | |||||||||||||
|
| |||||||||||||||
Semiconductors — 1.0% |
| |||||||||||||||
Broadcom, Inc., | ||||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.700% | 04/15/25 | 15 | 16,890 | |||||||||||||
Intel Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 03/25/27 | 15 | 17,519 | |||||||||||||
|
| |||||||||||||||
34,409 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 0.8% |
| |||||||||||||||
Verizon Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.000% | 03/22/27 | 5 | 5,540 | |||||||||||||
3.150% | 03/22/30 | 20 | 22,548 | |||||||||||||
|
| |||||||||||||||
28,088 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 444,875 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 10.7% |
| |||||||||||||||
Japan Bank for International Cooperation (Japan), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
2.125% | 11/16/20 | 200 | 201,169 |
SEE NOTES TO FINANCIAL STATEMENTS.
A73
AST BOND PORTFOLIO 2028 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Province of Alberta (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.300% | 03/15/28 | 40 | $ | 46,206 | ||||||||||||
Province of British Columbia (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.750% | 09/27/24 | 40 | 42,062 | |||||||||||||
Province of Manitoba (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, Series GX |
| |||||||||||||||
2.600% | 04/16/24 | 40 | 42,990 | |||||||||||||
Province of Quebec (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, Series QX |
| |||||||||||||||
1.500% | 02/11/25 | 40 | 41,602 | |||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 374,029 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.7% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
3.250% | 11/16/28 | 50 | 59,566 | |||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
1.500% | 02/12/25 | 50 | 52,406 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
1.625% | 01/07/25 | 50 | 52,651 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $162,976) |
| 164,623 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 34.2% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
3.000% | 11/15/44 | 20 | 26,769 | |||||||||||||
3.000% | 05/15/47 | 25 | 34,059 | |||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
0.500% | 03/31/25 | 145 | 146,518 | |||||||||||||
0.500% | 06/30/27 | 100 | 100,047 | |||||||||||||
2.125% | 05/15/25 | 35 | 38,103 | |||||||||||||
2.250% | 11/15/25 | (k) | 545 | 600,394 | ||||||||||||
2.625% | 11/15/20 | 150 | 151,371 | |||||||||||||
U.S. Treasury Strip Coupon |
| |||||||||||||||
2.953%(s) | 08/15/28 | (k) | 110 | 104,053 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 1,201,314 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS (cost $2,579,107) |
| 2,639,921 | ||||||||||||||
|
|
SHORT-TERM INVESTMENT — 21.5% | Shares | Value | ||||||
AFFILIATED MUTUAL FUND | ||||||||
PGIM Core Ultra Short Bond Fund | 754,533 | $ | 754,533 | |||||
|
| |||||||
TOTAL INVESTMENTS — 96.8% | 3,394,454 | |||||||
Other assets in excess of liabilities(z) — 3.2% |
| 110,993 | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,505,447 | ||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(r) | Principal or notional amount is less than $500 par. |
(rr) | Perpetual security with no stated maturity date. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Short Positions: | ||||||||||||||||
1 | 30 Day Federal Funds | Dec. 2020 | $ | 399,860 | $ | (22 | ) | |||||||||
1 | 2 Year U.S. Treasury Notes | Sep. 2020 | 220,828 | (79 | ) | |||||||||||
14 | 5 Year U.S. Treasury Notes | Sep. 2020 | 1,760,391 | (5,050 | ) | |||||||||||
1 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 178,562 | (705 | ) | |||||||||||
|
| |||||||||||||||
$ | (5,856 | ) | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A74
AST BOND PORTFOLIO 2028 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
170 | 05/11/25 | 1.900%(S) | 3 Month LIBOR(2)(Q) | $ | 10,107 | $ | 13,435 | $ | 3,328 | |||||||||||||||
3,013 | 12/29/28 | 2.900%(S) | 3 Month LIBOR(2)(Q) | 460,615 | 596,601 | 135,986 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 470,722 | $ | 610,036 | $ | 139,314 | |||||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. (2) The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||
Citigroup Global Markets, Inc. | $ | 249,000 | $ | 234,622 | ||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Commercial Mortgage-Backed Securities | $ | — | $ | 455,080 | $ | — | ||||||
Corporate Bonds | — | 444,875 | — | |||||||||
Sovereign Bonds | — | 374,029 | — | |||||||||
U.S. Government Agency Obligations | — | 164,623 | — | |||||||||
U.S. Treasury Obligations | — | 1,201,314 | — | |||||||||
Affiliated Mutual Fund | 754,533 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 754,533 | $ | 2,639,921 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Centrally Cleared Interest Rate Swap Agreements | $ | — | $ | 139,314 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (5,856 | ) | $ | — | $ | — | |||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2020 were as follows:
U.S. Treasury Obligations | 34.2 | % | ||
Affiliated Mutual Fund | 21.5 | |||
Commercial Mortgage-Backed Securities | 13.0 | |||
Sovereign Bonds | 10.7 |
U.S. Government Agency Obligations | 4.7 | % | ||
Banks | 3.3 | |||
Electric | 1.6 | |||
Multi-National | 1.5 |
SEE NOTES TO FINANCIAL STATEMENTS.
A75
AST BOND PORTFOLIO 2028 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (cont.):
Pipelines | 1.5 | % | ||
Semiconductors | 1.0 | |||
Pharmaceuticals | 1.0 | |||
Commercial Services | 0.8 | |||
Telecommunications | 0.8 | |||
Beverages | 0.6 |
Apparel | 0.4 | % | ||
Aerospace & Defense | 0.2 | |||
|
| |||
96.8 | ||||
Other assets in excess of liabilities | 3.2 | |||
|
| |||
100.0 | % | |||
|
|
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Interest rate contracts | — | $ | — | Due from/to broker — variation margin futures | $ | 5,856 | * | |||||
Interest rate contracts | Due from/to broker — variation margin swaps | 139,314 | * | — | — | |||||||
|
|
|
| |||||||||
$ | 139,314 | $ | 5,856 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(1) | Options Written | Futures | Swaps | ||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | 34,696 | ||||||||
Interest rate contracts | 30,828 | 852 | (39,992 | ) | 1,960,666 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 30,828 | $ | 852 | $ | (39,992 | ) | $ | 1,995,362 | |||||||
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(2) | Futures | Swaps | |||||||||||||
Credit contracts | $ | — | $ | — | $ | 20,936 | ||||||||||
Interest rate contracts | (28,867 | ) | (9,646 | ) | (903,036 | ) | ||||||||||
|
|
|
|
|
| |||||||||||
Total | $ | (28,867 | ) | $ | (9,646 | ) | $ | (882,100 | ) | |||||||
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A76
AST BOND PORTFOLIO 2028 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options | Options | Futures | Futures Positions(2) | |||
$1,391 | $1,667 | $2,589,109 | $4,595,107 |
Interest Rate | Credit Default | |||||||||||
$23,822,333 | $1,316,667 |
(1) | Cost. |
(2) | Notional Amount in USD. |
SEE NOTES TO FINANCIAL STATEMENTS.
A77
AST BOND PORTFOLIO 2028 (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value: | ||||
Unaffiliated investments (cost $2,579,107) | $ | 2,639,921 | ||
Affiliated investments (cost $754,533) | 754,533 | |||
Cash segregated for counterparty—OTC | 249,000 | |||
Dividends and interest receivable | 10,958 | |||
Due from Manager | 1,957 | |||
Due from broker-variation margin futures | 891 | |||
Prepaid expenses | 118 | |||
|
| |||
Total Assets | 3,657,378 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 100,055 | |||
Accrued expenses and other liabilities | 47,934 | |||
Due to broker-variation margin swaps | 3,447 | |||
Affiliated transfer agent fee payable | 378 | |||
Distribution fee payable | 107 | |||
Payable for Portfolio shares repurchased | 10 | |||
|
| |||
Total Liabilities | 151,931 | |||
|
| |||
NET ASSETS | $ | 3,505,447 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 3,505,447 | ||
|
| |||
Net asset value and redemption price per share, $3,505,447 / 271,557 outstanding shares of beneficial interest | $ | 12.91 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 115,019 | ||
Affiliated dividend income | 6,946 | |||
Affiliated income from securities lending, net | 273 | |||
|
| |||
Total income | 122,238 | |||
|
| |||
EXPENSES | ||||
Management fee | 21,184 | |||
Distribution fee | 11,356 | |||
Custodian and accounting fees | 29,351 | |||
Audit fee | 26,008 | |||
Legal fees and expenses | 5,715 | |||
Trustees’ fees | 4,791 | |||
Shareholders’ reports | 3,640 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,460 | |||
Miscellaneous | 7,230 | |||
|
| |||
Total expenses | 112,735 | |||
Less: Fee waiver and/or expense reimbursement | (70,489 | ) | ||
|
| |||
Net expenses | 42,246 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 79,992 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON | ||||
INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $285) | 1,060,648 | |||
Futures transactions | (39,992 | ) | ||
Options written transactions | 852 | |||
Swap agreements transactions | 1,995,362 | |||
|
| |||
3,016,870 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(67)) | (631,556 | ) | ||
Futures | (9,646 | ) | ||
Swap agreements | (882,100 | ) | ||
|
| |||
(1,523,302 | ) | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 1,493,568 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,573,560 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS OPERATIONS | ||||||||
Net investment income (loss) | $ | 79,992 | $ | 727,103 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 3,016,870 | 2,835,219 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (1,523,302 | ) | 1,088,367 | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 1,573,560 | 4,650,689 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [268,431 and 4,452,892 shares, respectively] | 3,274,287 | 44,708,432 | ||||||
Portfolio shares repurchased [1,933,758 and 10,098,389 shares, respectively] | (22,970,257 | ) | (103,763,879 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (19,695,970 | ) | (59,055,447 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 135,042 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (18,122,410 | ) | (54,269,716 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 21,627,857 | 75,897,573 | ||||||
|
|
|
| |||||
End of period | $ | 3,505,447 | $ | 21,627,857 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A78
AST BOND PORTFOLIO 2029 |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 98.3% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 13.9% | ||||||||||||||||
Collateralized Loan Obligations |
| |||||||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-12A, Class A1, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.469%(c) | 10/15/30 | 250 | $ | 245,026 | ||||||||||||
Octagon Investment Partners 45 Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%) |
| |||||||||||||||
2.549%(c) | 10/15/32 | 250 | 247,289 | |||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 492,315 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 23.4% | ||||||||||||||||
BANK, |
| |||||||||||||||
Series 2017-BNK08, Class A3 |
| |||||||||||||||
3.229% | 11/15/50 | 10 | 11,062 | |||||||||||||
Series 2018-BN14, Class A1 |
| |||||||||||||||
3.277% | 09/15/60 | 14 | 14,523 | |||||||||||||
CD Mortgage Trust, |
| |||||||||||||||
Series 2017-CD05, Class A1 |
| |||||||||||||||
2.028% | 08/15/50 | 17 | 17,296 | |||||||||||||
CFCRE Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-C04, Class A1 |
| |||||||||||||||
1.501% | 05/10/58 | 8 | 8,261 | |||||||||||||
Series 2016-C07, Class A1 |
| |||||||||||||||
1.971% | 12/10/54 | 29 | 28,938 | |||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-C01, Class A1 |
| |||||||||||||||
1.506% | 05/10/49 | 8 | 7,531 | |||||||||||||
Series 2016-C02, Class A1 |
| |||||||||||||||
1.499% | 08/10/49 | 6 | 6,114 | |||||||||||||
Series 2016-P04, Class A3 |
| |||||||||||||||
2.646% | 07/10/49 | 10 | 10,357 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2012-LC04, Class A4 |
| |||||||||||||||
3.288% | 12/10/44 | 33 | 33,382 | |||||||||||||
Series 2013-LC06, Class ASB |
| |||||||||||||||
2.478% | 01/10/46 | 26 | 25,877 | |||||||||||||
Series 2015-LC21, Class A4 |
| |||||||||||||||
3.708% | 07/10/48 | 50 | 54,949 | |||||||||||||
Series 2015-PC01, Class A5 |
| |||||||||||||||
3.902% | 07/10/50 | 50 | 55,039 | |||||||||||||
Series 2016-DC02, Class A1 |
| |||||||||||||||
1.820% | 02/10/49 | 32 | 32,358 | |||||||||||||
DBJPM Mortgage Trust, |
| |||||||||||||||
Series 2017-C06, Class A1 |
| |||||||||||||||
1.907% | 06/10/50 | 21 | 21,379 | |||||||||||||
Fannie Mae-Aces, |
| |||||||||||||||
Series 2017-M13, Class A1 |
| |||||||||||||||
2.746% | 09/25/27 | 14 | 14,435 | |||||||||||||
Series 2018-M04, Class A1 |
| |||||||||||||||
3.047%(cc) | 03/25/28 | 16 | 17,200 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-GC12, Class AAB |
| |||||||||||||||
2.678% | 06/10/46 | 28 | 28,579 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2017-GS07, Class A1 |
| |||||||||||||||
1.950% | 08/10/50 | 43 | $ | 43,607 | ||||||||||||
JPMCC Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2017-JP07, Class A1 |
| |||||||||||||||
1.969% | 09/15/50 | 43 | 43,721 | |||||||||||||
JPMDB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2016-C02, Class A1 |
| |||||||||||||||
1.423% | 06/15/49 | 7 | 7,330 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2012-LC09, Class A5 |
| |||||||||||||||
2.840% | 12/15/47 | 40 | 40,738 | |||||||||||||
Series 2013-LC11, Class A4 |
| |||||||||||||||
2.694% | 04/15/46 | 18 | 18,637 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2015-C21, Class A3 |
| |||||||||||||||
3.077% | 03/15/48 | 48 | 50,276 | |||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2016-UB11, Class A1 |
| |||||||||||||||
1.445% | 08/15/49 | 21 | 21,312 | |||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2017-C05, Class A1 |
| |||||||||||||||
2.139% | 11/15/50 | 32 | 31,887 | |||||||||||||
Series 2018-C11, Class A1 |
| |||||||||||||||
3.211% | 06/15/51 | 23 | 23,577 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2012-C02, Class A3 |
| |||||||||||||||
3.058% | 05/10/63 | 11 | 11,499 | |||||||||||||
Series 2012-C04, Class A5 |
| |||||||||||||||
2.850% | 12/10/45 | 110 | 113,181 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-BNK01, Class A1 |
| |||||||||||||||
1.321% | 08/15/49 | 15 | 15,159 | |||||||||||||
Series 2016-C35, Class A1 |
| |||||||||||||||
1.392% | 07/15/48 | 17 | 16,503 | |||||||||||||
Series 2017-C38, Class A1 |
| |||||||||||||||
1.968% | 07/15/50 | 9 | 8,785 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 833,492 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 12.3% | ||||||||||||||||
Aerospace & Defense — 0.3% |
| |||||||||||||||
General Dynamics Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.625% | 04/01/30 | 5 | 5,842 | |||||||||||||
Northrop Grumman Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.400% | 05/01/30 | 5 | 6,069 | |||||||||||||
|
| |||||||||||||||
11,911 | ||||||||||||||||
|
| |||||||||||||||
Agriculture — 0.2% |
| |||||||||||||||
Archer-Daniels-Midland Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 03/27/30 | 5 | 5,663 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A79
AST BOND PORTFOLIO 2029 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Airlines — 0.9% |
| |||||||||||||||
United Airlines 2019-2 Class AA Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
2.700% | 11/01/33 | 35 | $ | 31,524 | ||||||||||||
|
| |||||||||||||||
Apparel — 0.3% |
| |||||||||||||||
NIKE, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 03/27/27 | 10 | 10,975 | |||||||||||||
|
| |||||||||||||||
Banks — 2.0% | ||||||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Sub. Notes | ||||||||||||||||
4.250% | 10/21/25 | 20 | 22,505 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.493%(ff) | 03/24/31 | 15 | 18,287 | |||||||||||||
Wells Fargo & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, |
| |||||||||||||||
MTN 4.478%(ff) | 04/04/31 | 25 | 30,197 | |||||||||||||
|
| |||||||||||||||
70,989 | ||||||||||||||||
|
| |||||||||||||||
Beverages — 0.3% |
| |||||||||||||||
PepsiCo, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 03/19/30 | 10 | 11,120 | |||||||||||||
|
| |||||||||||||||
Commercial Services — 1.8% |
| |||||||||||||||
ERAC USA Finance LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.800% | 11/01/25 | 35 | 36,767 | |||||||||||||
Moody’s Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% 03/24/25 25 |
| 28,342 | ||||||||||||||
|
| |||||||||||||||
65,109 | ||||||||||||||||
|
| |||||||||||||||
Cosmetics/Personal Care — 0.2% |
| |||||||||||||||
Procter & Gamble Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.000% | 03/25/30 | 5 | 5,722 | |||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.2% |
| |||||||||||||||
Mastercard, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.300% | 03/26/27 | 5 | 5,672 | |||||||||||||
|
| |||||||||||||||
Electric — 0.9% | ||||||||||||||||
Berkshire Hathaway Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, |
| |||||||||||||||
144A 3.700% | 07/15/30 | 10 | 11,699 | |||||||||||||
4.050% | 04/15/25 | 10 | 11,426 | |||||||||||||
Oncor Electric Delivery Co. LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
2.750% | 05/15/30 | 10 | 10,958 | |||||||||||||
|
| |||||||||||||||
34,083 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.2% |
| |||||||||||||||
Thermo Fisher Scientific, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.497% | 03/25/30 | 5 | 6,162 | |||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Services — 0.3% |
| |||||||||||||||
Humana, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 04/01/30 | 10 | $ | 12,362 | ||||||||||||
|
| |||||||||||||||
Household Products/Wares — 0.1% |
| |||||||||||||||
Kimberly-Clark Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100% | 03/26/30 | 2 | 2,278 | |||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.2% |
| |||||||||||||||
Deere & Co., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100% | 04/15/30 | 5 | 5,664 | |||||||||||||
|
| |||||||||||||||
Media — 0.2% | ||||||||||||||||
Comcast Corp., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
3.400% | 04/01/30 | 5 | 5,714 | |||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.1% |
| |||||||||||||||
3M Co., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.050% | 04/15/30 | 5 | 5,658 | |||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 0.8% |
| |||||||||||||||
Cigna Corp., | ||||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.400% | 03/01/27 | 25 | 27,595 | |||||||||||||
|
| |||||||||||||||
Pipelines — 1.1% |
| |||||||||||||||
Williams Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 09/15/25 | 35 | 38,770 | |||||||||||||
|
| |||||||||||||||
Retail — 0.6% | ||||||||||||||||
McDonald’s Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.500% | 07/01/27 | 15 | 17,038 | |||||||||||||
O’Reilly Automotive, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 04/01/30 | 5 | 5,896 | |||||||||||||
|
| |||||||||||||||
22,934 | ||||||||||||||||
|
| |||||||||||||||
Semiconductors — 0.8% |
| |||||||||||||||
Broadcom, Inc., | ||||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.459% | 09/15/26 | 10 | 10,734 | |||||||||||||
Intel Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 03/25/27 | 15 | 17,519 | |||||||||||||
|
| |||||||||||||||
28,253 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 0.8% |
| |||||||||||||||
Verizon Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.000% | 03/22/27 | 5 | 5,540 | |||||||||||||
3.150% | 03/22/30 | 20 | 22,548 | |||||||||||||
|
| |||||||||||||||
28,088 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 436,246 | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A80
AST BOND PORTFOLIO 2029 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS — 8.9% |
| |||||||||||||||
Chile Government International Bond (Chile), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.875% | 08/05/20 | 100 | $ | 100,191 | ||||||||||||
Province of Alberta (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.300% | 03/15/28 | 50 | 57,757 | |||||||||||||
Province of British Columbia (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.750% | 09/27/24 | 50 | 52,577 | |||||||||||||
Province of Manitoba (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, Series GX |
| |||||||||||||||
2.600% | 04/16/24 | 50 | 53,737 | |||||||||||||
Province of Quebec (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, Series QX |
| |||||||||||||||
1.500% | 02/11/25 | 50 | 52,002 | |||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 316,264 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 12.6% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
3.250% | 11/16/28 | (k) | 200 | 238,264 | ||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
1.500% | 02/12/25 | 100 | 104,812 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
1.625% | 01/07/25 | 100 | 105,303 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 448,379 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 27.2% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
2.000% | 02/15/50 | 10 | 11,445 | |||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
0.625% | 05/15/30 | 15 | 14,953 | |||||||||||||
2.125% | 05/15/25 | 145 | 157,857 | |||||||||||||
2.250% | 11/15/27 | 5 | 5,629 | |||||||||||||
2.375% | 08/15/24 | 110 | 119,634 | |||||||||||||
3.125% | 11/15/28 | (k) | 545 | 658,599 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 968,117 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,494,813 | ||||||||||||||
|
|
SHORT-TERM INVESTMENT — 1.8% | Shares | Value | ||||||
AFFILIATED MUTUAL FUND | ||||||||
PGIM Core Ultra Short Bond Fund | 64,604 | $ | 64,604 | |||||
|
| |||||||
TOTAL INVESTMENTS — 100.1% | 3,559,417 | |||||||
Liabilities in excess of other assets(z) — (0.1)% |
| (3,535 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,555,882 | ||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Position: | ||||||||||||||||
3 | 10 Year U.S. Ultra Treasury Notes | Sep. 2020 | $ | 472,453 | $ | 2,228 | ||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
2 | 2 Year U.S. Treasury Notes | Sep. 2020 | 441,656 | (151 | ) | |||||||||||
11 | 5 Year U.S. Treasury Notes | Sep. 2020 | 1,383,164 | (3,905 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A81
AST BOND PORTFOLIO 2029 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Futures contracts outstanding at June 30, 2020 (continued):
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Short Positions (continued): | ||||||||||||||||
4 | 10 Year U.S. Treasury Notes | Sep. 2020 | $ | 556,688 | $ | (1,261 | ) | |||||||||
|
| |||||||||||||||
(5,317 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (3,089 | ) | ||||||||||||||
|
|
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreement: | ||||||||||||||||||||||||
2,522 | 12/28/29 | 2.490%(S) | 3 Month LIBOR(2)(Q) | $ | 349,318 | $ | 445,798 | $ | 96,480 | |||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. (2) The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||
Citigroup Global Markets, Inc. | $ | 20,000 | $ | 589,567 | ||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 492,315 | $ | — | ||||||
Commercial Mortgage-Backed Securities | — | 833,492 | — | |||||||||
Corporate Bonds | — | 436,246 | — | |||||||||
Sovereign Bonds. | — | 316,264 | — | |||||||||
U.S. Government Agency Obligations | — | 448,379 | — | |||||||||
U.S. Treasury Obligations | — | 968,117 | — | |||||||||
Affiliated Mutual Fund. | 64,604 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 64,604 | $ | 3,494,813 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 2,228 | $ | — | $ | — | ||||||
Centrally Cleared Interest Rate Swap Agreement | — | 96,480 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 2,228 | $ | 96,480 | $ | — | ||||||
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A82
AST BOND PORTFOLIO 2029 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Other Financial Instruments* (continued) | ||||||||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (5,317 | ) | $ | — | $ | — | |||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
U.S. Treasury Obligations | 27.2 | % | ||
Commercial Mortgage-Backed Securities | 23.4 | |||
Collateralized Loan Obligations | 13.9 | |||
U.S. Government Agency Obligations | 12.6 | |||
Sovereign Bonds | 8.9 | |||
Banks | 2.0 | |||
Commercial Services | 1.8 | |||
Affiliated Mutual Fund | 1.8 | |||
Pipelines | 1.1 | |||
Electric | 0.9 | |||
Airlines | 0.9 | |||
Semiconductors | 0.8 | |||
Telecommunications | 0.8 | |||
Pharmaceuticals | 0.8 | |||
Retail | 0.6 | |||
Healthcare-Services | 0.3 |
Aerospace & Defense | 0.3 | % | ||
Beverages | 0.3 | |||
Apparel | 0.3 | |||
Healthcare-Products | 0.2 | |||
Cosmetics/Personal Care | 0.2 | |||
Media | 0.2 | |||
Diversified Financial Services | 0.2 | |||
Machinery-Diversified | 0.2 | |||
Agriculture | 0.2 | |||
Miscellaneous Manufacturing | 0.1 | |||
Household Products/Wares | 0.1 | |||
|
| |||
100.1 | ||||
Liabilities in excess of other assets | (0.1 | ) | ||
|
| |||
100.0 | % | |||
|
|
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 2,228 | * | Due from/to broker — variation margin futures | $ | 5,317 | * | ||||
Interest rate contracts | Due from/to broker — variation margin swaps | 96,480 | * | — | — | |||||||
|
|
|
| |||||||||
$ | 98,708 | $ | 5,317 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Options Purchased(1) | Options Written | Futures | Swaps | ||||||||||||
Interest rate contracts | $ | (5,093 | ) | $ | 1,874 | $ | (1,223,575 | ) | $ | 3,002,704 | ||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A83
AST BOND PORTFOLIO 2029 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | Swaps | ||||||
Interest rate contracts | $ | (410,821 | ) | $ | (302,323 | ) | ||
|
|
|
|
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— Long Positions(2) | Futures Contracts— Short Positions(2) | |||||
$1,698 | $3,667 | $7,427,146 | $25,478,344 | |||||
Interest Rate Swap Agreements(2) | ||||||||
$25,626,000 |
(1) | Cost. |
(2) | Notional Amount in USD. |
SEE NOTES TO FINANCIAL STATEMENTS.
A84
AST BOND PORTFOLIO 2029 (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value: | ||||
Unaffiliated investments (cost $3,308,796) | $ | 3,494,813 | ||
Affiliated investments (cost $64,604) | 64,604 | |||
Deposit with broker for centrally cleared/exchange-traded derivatives | 20,000 | |||
Interest receivable | 16,666 | |||
Due from Manager | 2,164 | |||
Due from broker-variation margin futures | 187 | |||
Prepaid expenses | 5,346 | |||
|
| |||
Total Assets | 3,603,780 | |||
|
| |||
LIABILITIES | ||||
Audit fee payable | 23,314 | |||
Custodian and accounting fees payable | 16,069 | |||
Due to broker-variation margin swaps | 4,430 | |||
Accrued expenses and other liabilities | 3,401 | |||
Affiliated transfer agent fee payable | 378 | |||
Distribution fee payable | 163 | |||
Trustees’ fees payable | 110 | |||
Payable for Portfolio shares repurchased | 33 | |||
|
| |||
Total Liabilities | 47,898 | |||
|
| |||
NET ASSETS | $ | 3,555,882 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 3,555,882 | ||
|
| |||
Net asset value and redemption price per share, $3,555,882 / 273,707 outstanding shares of beneficial interest | $ | 12.99 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income. | $ | 207,804 | ||
Affiliated dividend income | 1,182 | |||
Affiliated income from securities lending, net | 239 | |||
|
| |||
Total income | 209,225 | |||
|
| |||
EXPENSES | ||||
Management fee | 39,965 | |||
Distribution fee | 21,422 | |||
Custodian and accounting fees | 30,946 | |||
Audit fee | 23,314 | |||
Legal fees and expenses | 5,746 | |||
Trustees’ fees | 4,910 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,460 | |||
Shareholders’ reports | 2,970 | |||
Miscellaneous | 8,502 | |||
|
| |||
Total expenses | 141,235 | |||
Less: Fee waiver and/or expense reimbursement | (61,545 | ) | ||
|
| |||
Net expenses | 79,690 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 129,535 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(105)) | 1,987,831 | |||
Futures transactions | (1,223,575 | ) | ||
Options written transactions | 1,874 | |||
Swap agreements transactions | 3,002,704 | |||
|
| |||
3,768,834 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(8)) | 184,487 | |||
Futures | (410,821 | ) | ||
Swap agreements | (302,323 | ) | ||
|
| |||
(528,657 | ) | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 3,240,177 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,369,712 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 129,535 | $ | 487,197 | ||||
Net realized gain (loss) on investment transactions | 3,768,834 | 723,919 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (528,657 | ) | 758,602 | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 3,369,712 | 1,969,718 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [294,349 and 4,686,422 shares, respectively]. | 3,589,483 | 51,230,248 | ||||||
Portfolio shares repurchased [4,393,407 and 1,896,574 shares, respectively] | (51,714,462 | ) | (20,471,960 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (48,124,979 | ) | 30,758,288 | |||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (44,755,267 | ) | 32,728,006 | |||||
NET ASSETS: | ||||||||
Beginning of period | 48,311,149 | 15,583,143 | ||||||
|
|
|
| |||||
End of period | $ | 3,555,882 | $ | 48,311,149 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A85
AST BOND PORTFOLIO 2030 |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 88.4% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 11.7% |
| |||||||||||||||
Automobiles — 0.7% |
| |||||||||||||||
AmeriCredit Automobile Receivables Trust, |
| |||||||||||||||
Series 2020-01, Class B |
| |||||||||||||||
1.480% | 01/21/25 | 400 | $ | 400,276 | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||||||
Series 2020-01A, Class A, 144A |
| |||||||||||||||
2.330% | 08/20/26 | 100 | 95,563 | |||||||||||||
CarMax Auto Owner Trust, |
| |||||||||||||||
Series 2019-01, Class A3 |
| |||||||||||||||
3.050% | 03/15/24 | 50 | 51,617 | |||||||||||||
Enterprise Fleet Financing LLC, |
| |||||||||||||||
Series 2018-02, Class A2, 144A |
| |||||||||||||||
3.140% | 02/20/24 | 49 | 49,113 | |||||||||||||
Series 2019-01, Class A2, 144A |
| |||||||||||||||
2.980% | 10/20/24 | 153 | 156,394 | |||||||||||||
Series 2019-02, Class A2, 144A |
| |||||||||||||||
2.290% | 02/20/25 | 95 | 96,280 | |||||||||||||
Ford Credit Auto Owner Trust, |
| |||||||||||||||
Series 2018-01, Class A, 144A |
| |||||||||||||||
3.190% | 07/15/31 | 100 | 107,082 | |||||||||||||
GMF Floorplan Owner Revolving Trust, |
| |||||||||||||||
Series 2017-02, Class A2, 144A, 1 Month LIBOR + 0.430% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.615%(c) | 07/15/22 | 300 | 299,959 | |||||||||||||
Honda Auto Receivables Owner Trust, |
| |||||||||||||||
Series 2019-01, Class A3 |
| |||||||||||||||
2.830% | 03/20/23 | 100 | 102,740 | |||||||||||||
Santander Drive Auto Receivables Trust, |
| |||||||||||||||
Series 2019-02, Class B |
| |||||||||||||||
2.790% | 01/16/24 | 500 | 507,295 | |||||||||||||
Series 2019-03, Class B |
| |||||||||||||||
2.280% | 09/15/23 | 100 | 101,261 | |||||||||||||
|
| |||||||||||||||
1,967,580 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 10.6% |
| |||||||||||||||
AGL CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2020-05A, Class A1, 144A, 3 Month LIBOR + 2.050% (Cap N/A, Floor 2.050%) |
| |||||||||||||||
2.349%(c) | 07/20/30 | 1,500 | 1,490,670 | |||||||||||||
Anchorage Capital CLO LLC (Cayman Islands), |
| |||||||||||||||
Series 2019-13A, Class A, 144A, 3 Month LIBOR + 1.470% (Cap N/A, Floor 1.470%) |
| |||||||||||||||
2.689%(c) | 04/15/32 | 4,250 | 4,211,825 | |||||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-07A, Class AR2, 144A, 3 Month LIBOR + 1.090% (Cap N/A, Floor 1.090%) |
| |||||||||||||||
2.108%(c) | 01/28/31 | 1,000 | 976,178 | |||||||||||||
Battalion CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-07A, Class A1RR, 144A, 3 Month LIBOR + 1.040% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.175%(c) | 07/17/28 | 1,000 | 984,050 | |||||||||||||
Series 2015-08A, Class A1R2, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%) |
| |||||||||||||||
2.205%(c) | 07/18/30 | 1,250 | 1,210,144 | |||||||||||||
Battalion CLO Ltd., |
| |||||||||||||||
Series 2020-15A, Class A1, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) |
| |||||||||||||||
3.012%(c) | 01/17/33 | 250 | 245,133 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.469%(c) | 07/15/29 | 2,000 | $ | 1,969,588 | ||||||||||||
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-03RA, Class A1A, 144A, 3 Month LIBOR + 1.050% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.041%(c) | 07/27/31 | 2,579 | 2,531,294 | |||||||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-02RA, Class A1, 144A, 3 Month LIBOR + 1.050% (Cap N/A, Floor 1.050%) |
| |||||||||||||||
2.070%(c) | 04/24/30 | 1,000 | 977,354 | |||||||||||||
Series 2014-04RA, Class A1A, 144A, 3 Month LIBOR + 1.130% (Cap N/A, Floor 1.130%) |
| |||||||||||||||
2.265%(c) | 10/17/30 | 2,500 | 2,455,398 | |||||||||||||
Greenwood Park CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.249%(c) | 04/15/31 | 2,500 | 2,443,212 | |||||||||||||
Greywolf CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 1.180%) |
| |||||||||||||||
2.315%(c) | 10/20/31 | 250 | 242,680 | |||||||||||||
ICG US CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-02RA, Class A1, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 1.370%) |
| |||||||||||||||
3.083%(c) | 01/16/33 | 250 | 244,638 | |||||||||||||
MidOcean Credit CLO (Cayman Islands), |
| |||||||||||||||
Series 2018-08A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.527%(c) | 02/20/31 | 2,500 | 2,443,795 | |||||||||||||
Series 2019-10A, Class A1, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%) |
| |||||||||||||||
2.433%(c) | 10/23/32 | 750 | 727,555 | |||||||||||||
Octagon Investment Partners 45 Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%) |
| |||||||||||||||
2.549%(c) | 10/15/32 | 4,000 | 3,956,634 | |||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.340% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.475%(c) | 07/20/32 | 1,000 | 978,725 | |||||||||||||
Series 2020-01A, Class A1A, 144A, 3 Month LIBOR + 1.310% (Cap N/A, Floor 1.310%) |
| |||||||||||||||
2.492%(c) | 04/15/33 | 250 | 244,514 | |||||||||||||
|
| |||||||||||||||
28,333,387 | ||||||||||||||||
|
| |||||||||||||||
Consumer Loans — 0.0% |
| |||||||||||||||
SoFi Consumer Loan Program Trust, |
| |||||||||||||||
Series 2020-01, Class A, 144A |
| |||||||||||||||
2.020% | 01/25/29 | 79 | 80,006 | |||||||||||||
|
| |||||||||||||||
Credit Cards — 0.3% |
| |||||||||||||||
American Express Credit Account Master Trust, |
| |||||||||||||||
Series 2019-01, Class A |
| |||||||||||||||
2.870% | 10/15/24 | 100 | 104,192 | |||||||||||||
Series 2019-03, Class A |
| |||||||||||||||
2.000% | 04/15/25 | 100 | 103,533 |
SEE NOTES TO FINANCIAL STATEMENTS.
A86
AST BOND PORTFOLIO 2030 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Credit Cards (continued) |
| |||||||||||||||
BA Credit Card Trust, |
| |||||||||||||||
Series 2019-A01, Class A1 |
| |||||||||||||||
1.740% | 01/15/25 | 200 | $ | 205,662 | ||||||||||||
Chase Issuance Trust, |
| |||||||||||||||
Series 2012-A07, Class A7 |
| |||||||||||||||
2.160% | 09/15/24 | 100 | 103,773 | |||||||||||||
Citibank Credit Card Issuance Trust, |
| |||||||||||||||
Series 2018-A06, Class A6 |
| |||||||||||||||
3.210% | 12/07/24 | 100 | 106,716 | |||||||||||||
Discover Card Execution Note Trust, |
| |||||||||||||||
Series 2017-A04, Class A4 |
| |||||||||||||||
2.530% | 10/15/26 | 100 | 106,889 | |||||||||||||
|
| |||||||||||||||
730,765 | ||||||||||||||||
|
| |||||||||||||||
Student Loans — 0.1% |
| |||||||||||||||
Navient Private Education Refi Loan Trust, |
| |||||||||||||||
Series 2019-EA, Class A2A, 144A |
| |||||||||||||||
2.640% | 05/15/68 | 100 | 102,182 | |||||||||||||
SoFi Professional Loan Program Trust, |
| |||||||||||||||
Series 2020-A, Class A2FX, 144A |
| |||||||||||||||
2.540% | 05/15/46 | 100 | 103,621 | |||||||||||||
|
| |||||||||||||||
205,803 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 31,317,541 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 18.2% |
| |||||||||||||||
BANK, |
| |||||||||||||||
Series 2020-BN26, Class A3 |
| |||||||||||||||
2.155% | 03/15/63 | 2,600 | 2,695,568 | |||||||||||||
Benchmark Mortgage Trust, |
| |||||||||||||||
Series 2020-B17, Class A4 |
| |||||||||||||||
2.042% | 03/15/53 | 1,350 | 1,386,807 | |||||||||||||
CD Mortgage Trust, |
| |||||||||||||||
Series 2017-CD03, Class A1 |
| |||||||||||||||
1.965% | 02/10/50 | 26 | 26,483 | |||||||||||||
CFCRE Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-C04, Class A1 |
| |||||||||||||||
1.501% | 05/10/58 | 131 | 131,122 | |||||||||||||
Series 2016-C07, Class A2 |
| |||||||||||||||
3.585% | 12/10/54 | 55 | 60,470 | |||||||||||||
CGMS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2017-B01, Class A3 |
| |||||||||||||||
3.197% | 08/15/50 | 50 | 54,571 | |||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2015-GC33, Class AAB |
| |||||||||||||||
3.522% | 09/10/58 | 300 | 316,392 | |||||||||||||
Series 2016-C01, Class A1 |
| |||||||||||||||
1.506% | 05/10/49 | 19 | 18,828 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2013-CR12, Class A4 |
| |||||||||||||||
4.046% | 10/10/46 | 400 | 430,619 | |||||||||||||
Series 2013-LC06, Class ASB |
| |||||||||||||||
2.478% | 01/10/46 | 741 | 750,439 | |||||||||||||
Series 2014-UBS04, Class A5 |
| |||||||||||||||
3.694% | 08/10/47 | 400 | 430,830 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2014-UBS05, Class A4 |
| |||||||||||||||
3.838% | 09/10/47 | 800 | $ | 867,377 | ||||||||||||
Series 2014-UBS06, Class A4 |
| |||||||||||||||
3.378% | 12/10/47 | 1,835 | 1,963,979 | |||||||||||||
Series 2015-CR25, Class A3 |
| |||||||||||||||
3.505% | 08/10/48 | 41 | 43,839 | |||||||||||||
Series 2015-CR26, Class A3 |
| |||||||||||||||
3.359% | 10/10/48 | 50 | 54,221 | |||||||||||||
Series 2015-LC21, Class A4 |
| |||||||||||||||
3.708% | 07/10/48 | 1,843 | 2,025,378 | |||||||||||||
Series 2015-PC01, Class A5 |
| |||||||||||||||
3.902% | 07/10/50 | 1,600 | 1,761,245 | |||||||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||||||
Series 2015-C01, Class A3 |
| |||||||||||||||
3.236% | 04/15/50 | 50 | 52,814 | |||||||||||||
Series 2020-C19, Class A2 |
| |||||||||||||||
2.320% | 03/15/53 | 2,500 | 2,598,894 | |||||||||||||
DBJPM Mortgage Trust, |
| |||||||||||||||
Series 2016-C03, Class A1 |
| |||||||||||||||
1.502% | 08/10/49 | 15 | 14,858 | |||||||||||||
Series 2016-C03, Class A2 |
| |||||||||||||||
1.886% | 08/10/49 | 20 | 20,097 | |||||||||||||
Fannie Mae-Aces, |
| |||||||||||||||
Series 2019-M25, Class AV1 |
| |||||||||||||||
2.050% | 12/25/26 | 177 | 181,067 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K062, Class A2 |
| |||||||||||||||
3.413% | 12/25/26 | 650 | 745,380 | |||||||||||||
Series K083, Class AM |
| |||||||||||||||
4.030%(cc) | 10/25/28 | 9,443 | 11,421,479 | |||||||||||||
Series K736, Class X1, IO |
| |||||||||||||||
1.437%(cc) | 07/25/26 | 79,981 | 5,290,192 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-GC12, Class AAB |
| |||||||||||||||
2.678% | 06/10/46 | 692 | 700,198 | |||||||||||||
Series 2013-GC14, Class A5 |
| |||||||||||||||
4.243% | 08/10/46 | 300 | 324,072 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2014-C24, Class A4A1 |
| |||||||||||||||
3.373% | 11/15/47 | 2,930 | 3,123,067 | |||||||||||||
Series 2015-C29, Class A2 |
| |||||||||||||||
2.921% | 05/15/48 | 49 | 48,778 | |||||||||||||
Series 2015-C30, Class A3 |
| |||||||||||||||
3.322% | 07/15/48 | 200 | 203,828 | |||||||||||||
JPMCC Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2017-JP05, Class A1 |
| |||||||||||||||
2.086% | 03/15/50 | — | (r) | 386 | ||||||||||||
Series 2017-JP07, Class A1 |
| |||||||||||||||
1.969% | 09/15/50 | 19 | 19,128 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-LC11, Class ASB |
| |||||||||||||||
2.554% | 04/15/46 | 737 | 748,616 | |||||||||||||
Series 2014-C20, Class A3A2, 144A |
| |||||||||||||||
3.472% | 07/15/47 | 29 | 29,017 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2013-C08, Class ASB |
| |||||||||||||||
2.699% | 12/15/48 | 3,409 | 3,449,106 |
SEE NOTES TO FINANCIAL STATEMENTS.
A87
AST BOND PORTFOLIO 2030 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2016-BNK02, Class A1 |
| |||||||||||||||
1.424% | 11/15/49 | 22 | $ | 22,469 | ||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2019-C17, Class A2 |
| |||||||||||||||
2.313% | 10/15/52 | 500 | 515,594 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2012-C04, Class A5 |
| |||||||||||||||
2.850% | 12/10/45 | 5,405 | 5,561,315 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2015-LC20, Class A5 |
| |||||||||||||||
3.184% | 04/15/50 | 400 | 426,604 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 48,515,127 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 21.9% |
| |||||||||||||||
Aerospace & Defense — 0.3% |
| |||||||||||||||
Boeing Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.950% | 02/01/30 | (a) | 725 | 707,893 | ||||||||||||
|
| |||||||||||||||
Agriculture — 0.4% |
| |||||||||||||||
Altria Group, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.490% | 02/14/22 | 5 | 5,218 | |||||||||||||
BAT Capital Corp. (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.700% | 04/02/27 | 830 | 953,656 | |||||||||||||
|
| |||||||||||||||
958,874 | ||||||||||||||||
|
| |||||||||||||||
Airlines — 0.0% |
| |||||||||||||||
United Airlines 2019-2 Class AA Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
2.700% | 11/01/33 | 15 | 13,510 | |||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 0.0% |
| |||||||||||||||
General Motors Financial Co., Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.700% | 05/09/23 | 85 | 87,480 | |||||||||||||
|
| |||||||||||||||
Banks — 10.5% |
| |||||||||||||||
Bank of America Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series MM |
| |||||||||||||||
4.300%(ff) | — | (rr) | 45 | 40,223 | ||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.015%(ff) | 02/13/26 | (a) | 1,155 | 1,194,167 | ||||||||||||
2.496%(ff) | 02/13/31 | (a) | 2,700 | 2,825,461 | ||||||||||||
3.194%(ff) | 07/23/30 | 35 | 38,606 | |||||||||||||
3.458%(ff) | 03/15/25 | 50 | 54,221 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.450% | 03/03/26 | 15 | 17,231 | |||||||||||||
BNG Bank NV (Netherlands), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
2.500% | 01/23/23 | 2,000 | 2,107,799 | |||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Jr. Sub. Notes, Series V |
| |||||||||||||||
4.700%(ff) | — | (rr) | 90 | 80,369 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
Citigroup, Inc., (continued) |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.666%(ff) | 01/29/31 | 1,350 | $ | 1,399,217 | ||||||||||||
2.976%(ff) | 11/05/30 | 180 | 191,183 | |||||||||||||
3.352%(ff) | 04/24/25 | 1,555 | 1,679,169 | |||||||||||||
Sub. Notes |
| |||||||||||||||
4.450% | 09/29/27 | 15 | 17,071 | |||||||||||||
Development Bank of Japan, Inc. (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 10/18/22 | 200 | 208,623 | |||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
2.000% | 10/19/21 | 2,000 | 2,039,123 | |||||||||||||
Dexia Credit Local SA (France), |
| |||||||||||||||
Gov’t. Liquid Gtd. Notes, EMTN |
| |||||||||||||||
3.250% | 09/26/23 | 2,500 | 2,718,110 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Jr. Sub. Notes, Series HH |
| |||||||||||||||
4.600%(ff) | — | (rr) | 20 | 17,825 | ||||||||||||
Jr. Sub. Notes, Series II |
| |||||||||||||||
4.000%(ff) | — | (rr) | 35 | 30,583 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.739%(ff) | 10/15/30 | 2,735 | 2,929,823 | |||||||||||||
4.005%(ff) | 04/23/29 | 55 | 63,539 | |||||||||||||
Kreditanstalt fuer Wiederaufbau (Germany), |
| |||||||||||||||
Gov’t. Gtd. Notes, GMTN |
| |||||||||||||||
3.125% | 12/15/21 | 100 | 104,154 | |||||||||||||
Landwirtschaftliche Rentenbank (Germany), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
2.375% | 06/10/25 | 2,000 | 2,183,287 | |||||||||||||
Gov’t. Gtd. Notes, EMTN |
| |||||||||||||||
1.875% | 04/17/23 | 200 | 208,653 | |||||||||||||
Morgan Stanley, |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
2.699%(ff) | 01/22/31 | (a) | 1,000 | 1,061,216 | ||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.720%(ff) | 07/22/25 | 2,545 | 2,690,512 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
3.950% | 04/23/27 | 55 | 61,633 | |||||||||||||
Oesterreichische Kontrollbank AG (Austria), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
1.500% | 02/12/25 | 2,000 | 2,087,920 | |||||||||||||
PNC Financial Services Group, Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 04/23/29 | 20 | 22,921 | |||||||||||||
Wells Fargo & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.572%(ff) | 02/11/31 | (a) | 430 | 449,483 | ||||||||||||
4.478%(ff) | 04/04/31 | (a) | 1,150 | 1,389,060 | ||||||||||||
|
| |||||||||||||||
27,911,182 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 0.0% |
| |||||||||||||||
Dow Chemical Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.625% | 05/15/26 | 25 | 27,439 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A88
AST BOND PORTFOLIO 2030 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Commercial Services — 0.1% |
| |||||||||||||||
Central Nippon Expressway Co. Ltd. (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.241% | 02/16/21 | 200 | $ | 201,546 | ||||||||||||
Global Payments, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.650% | 02/15/25 | 15 | 15,929 | |||||||||||||
3.750% | 06/01/23 | 25 | 26,916 | |||||||||||||
|
| |||||||||||||||
244,391 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.3% |
| |||||||||||||||
CDP Financial, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.125% | 06/11/21 | 250 | 254,160 | |||||||||||||
Mastercard, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.300% | 03/26/27 | 490 | 555,881 | |||||||||||||
|
| |||||||||||||||
810,041 | ||||||||||||||||
|
| |||||||||||||||
Electric — 0.6% |
| |||||||||||||||
Berkshire Hathaway Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.700% | 07/15/30 | 865 | 1,011,909 | |||||||||||||
Florida Power & Light Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
2.850% | 04/01/25 | (a) | 415 | 454,873 | ||||||||||||
Nevada Power Co., |
| |||||||||||||||
General Ref. Mortgage, Series CC |
| |||||||||||||||
3.700% | 05/01/29 | 40 | 46,539 | |||||||||||||
NextEra Energy Capital Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.403% | 09/01/21 | 100 | 102,202 | |||||||||||||
Virginia Electric & Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series A |
| |||||||||||||||
2.875% | 07/15/29 | 45 | 49,648 | |||||||||||||
|
| |||||||||||||||
1,665,171 | ||||||||||||||||
|
| |||||||||||||||
Foods — 0.0% |
| |||||||||||||||
Kraft Heinz Foods Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.750% | 04/01/30 | 90 | 92,943 | |||||||||||||
|
| |||||||||||||||
Gas — 0.0% |
| |||||||||||||||
Atmos Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.625% | 09/15/29 | 30 | 32,732 | |||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.2% |
| |||||||||||||||
Baxter International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.950% | 04/01/30 | 80 | 94,841 | |||||||||||||
Thermo Fisher Scientific, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.497% | 03/25/30 | 415 | 511,403 | |||||||||||||
|
| |||||||||||||||
606,244 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 0.1% |
| |||||||||||||||
Anthem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.875% | 09/15/29 | 65 | 70,454 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Services (continued) |
| |||||||||||||||
Quest Diagnostics, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.950% | 06/30/30 | 75 | $ | 79,567 | ||||||||||||
|
| |||||||||||||||
150,021 | ||||||||||||||||
|
| |||||||||||||||
Household Products/Wares — 0.1% |
| |||||||||||||||
Kimberly-Clark Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100% | 03/26/30 | 125 | 142,358 | |||||||||||||
|
| |||||||||||||||
Insurance — 0.0% |
| |||||||||||||||
Unum Group, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 06/15/29 | 50 | 51,585 | |||||||||||||
|
| |||||||||||||||
Internet — 0.0% |
| |||||||||||||||
TD Ameritrade Holding Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 10/01/29 | 70 | 76,923 | |||||||||||||
|
| |||||||||||||||
Machinery-Construction & Mining — 0.0% |
| |||||||||||||||
Caterpillar, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.600% | 09/19/29 | 60 | 65,237 | |||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.7% |
| |||||||||||||||
Deere & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100% | 04/15/30 | 385 | 436,107 | |||||||||||||
Otis Worldwide Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.056% | 04/05/25 | (a) | 1,365 | 1,431,194 | ||||||||||||
2.565% | 02/15/30 | 50 | 52,495 | |||||||||||||
|
| |||||||||||||||
1,919,796 | ||||||||||||||||
|
| |||||||||||||||
Media — 2.0% |
| |||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.050% | 03/30/29 | 1,850 | 2,181,341 | |||||||||||||
Comcast Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.650% | 02/01/30 | 935 | 1,016,267 | |||||||||||||
3.400% | 04/01/30 | 50 | 57,140 | |||||||||||||
3.950% | 10/15/25 | (a) | 715 | 819,032 | ||||||||||||
Cox Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.150% | 08/15/24 | 1,000 | 1,074,576 | |||||||||||||
3.500% | 08/15/27 | 100 | 109,961 | |||||||||||||
|
| |||||||||||||||
5,258,317 | ||||||||||||||||
|
| |||||||||||||||
Mining — 0.0% |
| |||||||||||||||
Newmont Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.800% | 10/01/29 | 10 | 10,552 | |||||||||||||
|
| |||||||||||||||
Multi-National — 1.0% |
| |||||||||||||||
Asian Development Bank (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.625% | 01/30/24 | 2,000 | 2,161,910 |
SEE NOTES TO FINANCIAL STATEMENTS.
A89
AST BOND PORTFOLIO 2030 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Multi-National (continued) |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 02/11/22 | 50 | $ | 51,321 | ||||||||||||
European Bank for Reconstruction & Development (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
1.125% | 08/24/20 | 200 | 200,251 | |||||||||||||
FMS Wertmanagement (Germany), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
2.750% | 03/06/23 | 200 | 213,031 | |||||||||||||
|
| |||||||||||||||
2,626,513 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas — 0.4% |
| |||||||||||||||
Concho Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.300% | 08/15/28 | 700 | 767,980 | |||||||||||||
Continental Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.800% | 06/01/24 | 50 | 47,058 | |||||||||||||
4.500% | 04/15/23 | 120 | 114,633 | |||||||||||||
Diamondback Energy, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.875% | 12/01/24 | 45 | 45,070 | |||||||||||||
Husky Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.400% | 04/15/29 | 50 | 49,972 | |||||||||||||
Newfield Exploration Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 01/01/26 | 55 | 51,442 | |||||||||||||
Petroleos Mexicanos (Mexico), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.500% | 07/23/20 | 50 | 49,963 | |||||||||||||
|
| |||||||||||||||
1,126,118 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 2.6% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 05/14/25 | 1,660 | 1,835,296 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.200% | 11/21/29 | 1,780 | 1,953,121 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.400% | 07/26/29 | 10 | 11,542 | |||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.500% | 06/15/24 | 100 | 108,876 | |||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.875% | 07/20/25 | 915 | 1,027,601 | |||||||||||||
4.300% | 03/25/28 | 1,375 | 1,607,533 | |||||||||||||
Shire Acquisitions Investments Ireland DAC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.875% | 09/23/23 | 350 | 370,892 | |||||||||||||
|
| |||||||||||||||
6,914,861 | ||||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pipelines — 0.5% |
| |||||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.900% | 05/15/25 | 170 | $ | 173,908 | ||||||||||||
3.750% | 05/15/30 | (a) | 1,125 | 1,113,824 | ||||||||||||
Enterprise Products Operating LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.125% | 07/31/29 | 40 | 42,848 | |||||||||||||
|
| |||||||||||||||
1,330,580 | ||||||||||||||||
|
| |||||||||||||||
Retail — 0.8% |
| |||||||||||||||
O’Reilly Automotive, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 04/01/30 | 580 | 683,926 | |||||||||||||
TJX Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 04/15/27 | (a) | 1,280 | 1,463,840 | ||||||||||||
|
| |||||||||||||||
2,147,766 | ||||||||||||||||
|
| |||||||||||||||
Semiconductors — 0.0% |
| |||||||||||||||
Broadcom, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.459% | 09/15/26 | 10 | 10,735 | |||||||||||||
|
| |||||||||||||||
Software — 0.3% |
| |||||||||||||||
Oracle Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 04/01/25 | (a) | 830 | 889,793 | ||||||||||||
|
| |||||||||||||||
Telecommunications — 1.0% |
| |||||||||||||||
AT&T, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 07/15/25 | 760 | 843,187 | |||||||||||||
4.300% | 02/15/30 | 675 | 789,186 | |||||||||||||
4.350% | 03/01/29 | (a) | 800 | 931,096 | ||||||||||||
|
| |||||||||||||||
2,563,469 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 58,442,524 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITY — 0.0% |
| |||||||||||||||
Seasoned Credit Risk Transfer Trust, |
| |||||||||||||||
Series 2019-02, Class MA |
| |||||||||||||||
3.500% | 08/25/58 | 22 | 23,858 | |||||||||||||
|
| |||||||||||||||
(cost $ 22,216) |
| |||||||||||||||
SOVEREIGN BONDS — 7.3% |
| |||||||||||||||
Chile Government International Bond (Chile), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.875% | 08/05/20 | 200 | 200,382 | |||||||||||||
Japan Bank for International Cooperation (Japan), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
1.750% | 10/17/24 | 2,000 | 2,093,232 | |||||||||||||
3.250% | 07/20/23 | 200 | 216,428 | |||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
1.750% | 09/05/24 | 2,000 | 2,081,848 | |||||||||||||
3.250% | 04/24/23 | 200 | 214,502 | |||||||||||||
Kommunalbanken A/S (Norway), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
2.000% | 06/19/24 | 200 | 211,954 |
SEE NOTES TO FINANCIAL STATEMENTS.
A90
AST BOND PORTFOLIO 2030 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Kommuninvest I Sverige AB (Sweden), |
| |||||||||||||||
Local Gov’t. Gtd. Notes |
| |||||||||||||||
2.250% | 05/29/21 | 2,000 | $ | 2,035,755 | ||||||||||||
Local Gov’t. Gtd. Notes, EMTN |
| |||||||||||||||
3.000% | 03/23/22 | 200 | 209,087 | |||||||||||||
Kuntarahoitus OYJ (Finland), |
| |||||||||||||||
Local Gov’t. Gtd. Notes, EMTN |
| |||||||||||||||
2.375% | 03/15/22 | 200 | 206,883 | |||||||||||||
Province of Alberta (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.200% | 07/26/22 | 150 | 155,461 | |||||||||||||
3.300% | 03/15/28 | 2,000 | 2,310,300 | |||||||||||||
Province of British Columbia (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.750% | 09/27/24 | 2,000 | 2,103,088 | |||||||||||||
2.000% | 10/23/22 | 150 | 155,850 | |||||||||||||
2.250% | 06/02/26 | 150 | 163,352 | |||||||||||||
Province of Manitoba (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 05/04/22 | 300 | 309,479 | |||||||||||||
Sr. Unsec’d. Notes, Series GX |
| |||||||||||||||
2.600% | 04/16/24 | 2,000 | 2,149,479 | |||||||||||||
Province of Ontario (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.250% | 05/18/22 | 100 | 103,494 | |||||||||||||
2.300% | 06/15/26 | 150 | 162,612 | |||||||||||||
Province of Quebec (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 04/12/27 | 250 | 279,589 | |||||||||||||
Sr. Unsec’d. Notes, Series PD |
| |||||||||||||||
7.500% | 09/15/29 | 400 | 616,898 | |||||||||||||
Sr. Unsec’d. Notes, Series QX |
| |||||||||||||||
1.500% | 02/11/25 | 2,000 | 2,080,093 | |||||||||||||
SFIL SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
2.625% | 04/25/22 | 200 | 207,734 | |||||||||||||
Svensk Exportkredit AB (Sweden), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.875% | 05/22/21 | 1,000 | 1,022,279 | |||||||||||||
Tokyo Metropolitan Government (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 06/08/22 | 200 | 207,173 | |||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 19,496,952 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 6.7% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
3.250% | 11/16/28 | (k) | 5,000 | 5,956,597 | ||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
0.375% | 04/20/23 | 275 | 275,852 | |||||||||||||
1.500% | 02/12/25 | 5,000 | 5,240,598 | |||||||||||||
1.625% | 09/29/20 | 240 | 240,724 | |||||||||||||
2.375% | 02/16/21 | 200 | 202,738 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
1.375% | 10/07/21 | 200 | 202,978 | |||||||||||||
1.625% | 01/07/25 | 5,000 | 5,265,154 | |||||||||||||
2.000% | 10/05/22 | 100 | 104,008 | |||||||||||||
2.375% | 01/19/23 | 200 | 211,257 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
2.875% | 09/12/23 | 200 | $ | 216,658 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 17,916,564 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 22.6% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
3.125% | 02/15/43 | 1,025 | 1,389,195 | |||||||||||||
3.625% | 08/15/43 | (k) | 3,500 | 5,110,547 | ||||||||||||
3.625% | 02/15/44 | (k) | 6,745 | 9,870,886 | ||||||||||||
3.750% | 11/15/43 | (k) | 1,190 | 1,770,683 | ||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
0.375% | 04/30/25 | 5 | 5,022 | |||||||||||||
0.500% | 06/30/27 | 1,220 | 1,220,572 | |||||||||||||
1.375% | 04/30/21 | (k) | 4,985 | 5,034,655 | ||||||||||||
1.500% | 01/31/22 | 155 | 158,258 | |||||||||||||
1.500% | 02/15/30 | (k) | 466 | 503,571 | ||||||||||||
2.375% | 08/15/24 | (k) | 1,405 | 1,528,047 | ||||||||||||
3.125% | 11/15/28 | (k) | 11,735 | 14,181,014 | ||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
0.912%(s) | 08/15/30 | 20,000 | 18,380,469 | |||||||||||||
1.225%(s) | 02/15/41 | 15 | 11,322 | |||||||||||||
1.371%(s) | 05/15/42 | 70 | 51,127 | |||||||||||||
1.450%(s) | 08/15/42 | 75 | 54,484 | |||||||||||||
1.463%(s) | 11/15/42 | 195 | 140,651 | |||||||||||||
1.470%(s) | 11/15/41 | 70 | 51,745 | |||||||||||||
2.045%(s) | 11/15/36 | 50 | 41,287 | |||||||||||||
2.165%(s) | 08/15/39 | 160 | 124,663 | |||||||||||||
2.334%(s) | 08/15/41 | 390 | 290,352 | |||||||||||||
2.353%(s) | 02/15/44 | 95 | 66,329 | |||||||||||||
2.365%(s) | 05/15/44 | 355 | 246,059 | |||||||||||||
2.394%(s) | 11/15/43 | 94 | 66,039 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 60,296,977 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 236,009,543 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 14.8% |
| |||||||||||||||
AFFILIATED MUTUAL FUNDS |
| |||||||||||||||
PGIM Core Short-Term Bond Fund(w) |
| 2,935,791 | 26,950,559 | |||||||||||||
PGIM Core Ultra Short Bond Fund(w) |
| 3,281,111 | 3,281,111 | |||||||||||||
PGIM Institutional Money Market Fund |
| 9,230,727 | 9,230,727 | |||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 39,462,397 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS — 103.2% |
| 275,471,940 | ||||||||||||||
Liabilities in excess of other assets(z) — (3.2)% |
| (8,460,617 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 267,011,323 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A91
AST BOND PORTFOLIO 2030 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $9,002,978; cash collateral of $9,216,914 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(r) | Less than $500 par. |
(rr) | Perpetual security with no stated maturity date. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
177 | 10 Year U.S. Treasury Notes | Sep. 2020 | $ | 24,633,423 | $ | (22,380 | ) | |||||||||
93 | 10 Year U.S. Ultra Treasury Notes | Sep. 2020 | 14,646,047 | 66,764 | ||||||||||||
|
| |||||||||||||||
44,384 | ||||||||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
118 | 2 Year U.S. Treasury Notes | Sep. 2020 | 26,057,719 | (5,703 | ) | |||||||||||
650 | 5 Year U.S. Treasury Notes | Sep. 2020 | 81,732,423 | (222,835 | ) | |||||||||||
313 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 55,890,062 | (266,187 | ) | |||||||||||
26 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 5,672,063 | (34,475 | ) | |||||||||||
|
| |||||||||||||||
(529,200 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (484,816 | ) | ||||||||||||||
|
|
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
2,765 | 05/11/24 | 2.139%(S) | 3 Month LIBOR(2)(Q) | $ | 67,308 | $ | 206,915 | $ | 139,607 | |||||||||||||||
70,612 | 12/27/30 | 2.750%(S) | 3 Month LIBOR(2)(Q) | 12,135,955 | 15,300,717 | 3,164,762 | ||||||||||||||||||
111,215 | 05/11/32 | 2.465%(S) | 3 Month LIBOR(2)(Q) | 19,681,626 | 22,984,683 | 3,303,057 | ||||||||||||||||||
6,815 | 05/11/39 | 2.200%(S) | 3 Month LIBOR(2)(Q) | 872,728 | 1,657,133 | 784,405 | ||||||||||||||||||
40 | 08/09/49 | 1.508%(A) | 1 Day USOIS(1)(A) | — | (9,072 | ) | (9,072 | ) | ||||||||||||||||
1,031 | 03/30/50 | 0.855%(S) | 3 Month LIBOR(1)(Q) | — | 14,938 | 14,938 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 32,757,617 | $ | 40,155,314 | $ | 7,397,697 | |||||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
A92
AST BOND PORTFOLIO 2030 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||||
Citigroup Global Markets, Inc. | $ | 180,000 | $ | 16,099,132 | ||||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | $ | — | $ | 1,967,580 | $ | — | ||||||
Collateralized Loan Obligations | — | 28,333,387 | — | |||||||||
Consumer Loans | — | 80,006 | — | |||||||||
Credit Cards | — | 730,765 | — | |||||||||
Student Loans | — | 205,803 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 48,515,127 | — | |||||||||
Corporate Bonds | — | 58,442,524 | — | |||||||||
Residential Mortgage-Backed Security | — | 23,858 | — | |||||||||
Sovereign Bonds | — | 19,496,952 | — | |||||||||
U.S. Government Agency Obligations | — | 17,916,564 | — | |||||||||
U.S. Treasury Obligations | — | 60,296,977 | — | |||||||||
Affiliated Mutual Funds | 39,462,397 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 39,462,397 | $ | 236,009,543 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 66,764 | $ | — | $ | — | ||||||
Centrally Cleared Interest Rate Swap Agreements | — | 7,406,769 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 66,764 | $ | 7,406,769 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (551,580 | ) | $ | — | $ | — | |||||
Centrally Cleared Interest Rate Swap Agreement | — | (9,072 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (551,580 | ) | $ | (9,072 | ) | $ | — | ||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
U.S. Treasury Obligations | 22.6 | % | ||
Commercial Mortgage-Backed Securities | 18.2 | |||
Affiliated Mutual Funds (3.5% represents investments purchased with collateral from securities on loan) | 14.8 | |||
Collateralized Loan Obligations | 10.6 |
Banks | 10.5 | % | ||
Sovereign Bonds | 7.3 | |||
U.S. Government Agency Obligations | 6.7 | |||
Pharmaceuticals | 2.6 | |||
Media | 2.0 |
SEE NOTES TO FINANCIAL STATEMENTS.
A93
AST BOND PORTFOLIO 2030 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (cont.):
Multi-National | 1.0 | % | ||
Telecommunications | 1.0 | |||
Retail | 0.8 | |||
Automobiles | 0.7 | |||
Machinery-Diversified | 0.7 | |||
Electric | 0.6 | |||
Pipelines | 0.5 | |||
Oil & Gas | 0.4 | |||
Agriculture | 0.4 | |||
Software | 0.3 | |||
Diversified Financial Services | 0.3 | |||
Credit Cards | 0.3 | |||
Aerospace & Defense | 0.3 | |||
Healthcare-Products | 0.2 | |||
Commercial Services | 0.1 | |||
Student Loans | 0.1 | |||
Healthcare-Services | 0.1 | |||
Household Products/Wares | 0.1 |
Foods | 0.0 | *% | ||
Auto Manufacturers | 0.0 | * | ||
Consumer Loans | 0.0 | * | ||
Internet | 0.0 | * | ||
Machinery-Construction & Mining | 0.0 | * | ||
Insurance | 0.0 | * | ||
Gas | 0.0 | * | ||
Chemicals | 0.0 | * | ||
Residential Mortgage-Backed Security | 0.0 | * | ||
Airlines | 0.0 | * | ||
Semiconductors | 0.0 | * | ||
Mining | 0.0 | * | ||
|
| |||
103.2 | ||||
Liabilities in excess of other assets | (3.2 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 66,764 | * | Due from/to broker — variation margin futures | $ | 551,580 | * | ||||
Interest rate contracts | Due from/to broker — variation margin swaps | 7,406,769 | * | Due from/to broker — variation margin swaps | 9,072 | * | ||||||
|
|
|
| |||||||||
$ | 7,473,533 | $ | 560,652 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Options Purchased(1) | Options Written | Futures | Swaps | ||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | (527,182 | ) | |||||||
Interest rate contracts | (5,093 | ) | 1,704 | (5,824,548 | ) | 9,106,294 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (5,093 | ) | $ | 1,704 | $ | (5,824,548 | ) | $ | 8,579,112 | ||||||
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A94
AST BOND PORTFOLIO 2030 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
Derivatives not accounted for as hedging | Futures | Swaps | ||||||
Credit contracts | $ | — | $ | (1,859 | ) | |||
Interest rate contracts | (620,032 | ) | 7,810,368 | |||||
|
|
|
| |||||
Total | $ | (620,032 | ) | $ | 7,808,509 | |||
|
|
|
|
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— | Futures Contracts— | |||
$1,698 | $3,333 | $16,657,636 | $155,711,050 |
Interest Rate Swap |
$169,366,000 |
Credit Default |
$100,000 |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | |||||||||
Securities on Loan | $ | 9,002,978 | $ | (9,002,978 | ) | $ | — | |||||
|
|
|
|
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A95
AST BOND PORTFOLIO 2030 (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $9,002,978: | ||||
Unaffiliated investments (cost $228,466,131) | $ | 236,009,543 | ||
Affiliated investments (cost $39,426,931) | 39,462,397 | |||
Cash | 328,716 | |||
Dividends and interest receivable | 1,247,201 | |||
Deposit with broker for centrally cleared/exchange-traded derivatives | 180,000 | |||
Due from broker-variation margin futures | 141,767 | |||
Prepaid expenses and other assets | 44,325 | |||
|
| |||
Total Assets | 277,413,949 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 9,216,914 | |||
Payable for Portfolio shares repurchased | 593,261 | |||
Due to broker-variation margin swaps | 494,485 | |||
Management fee payable | 43,347 | |||
Accrued expenses and other liabilities | 43,277 | |||
Distribution fee payable | 10,964 | |||
Affiliated transfer agent fee payable | 378 | |||
|
| |||
Total Liabilities | 10,402,626 | |||
|
| |||
NET ASSETS | $ | 267,011,323 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 267,011,323 | ||
|
| |||
Net asset value and redemption price per share, $267,011,323 / 20,187,354 outstanding shares of beneficial interest | $ | 13.23 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 1,687,491 | ||
Affiliated dividend income | 283,336 | |||
Income from securities lending, net (including affiliated income of $77,413) | 93,225 | |||
|
| |||
Total income | 2,064,052 | |||
|
| |||
EXPENSES | ||||
Management fee | 532,880 | |||
Distribution fee | 285,802 | |||
Custodian and accounting fees | 31,320 | |||
Audit fee | 22,179 | |||
Legal fees and expenses | 5,808 | |||
Trustees’ fees | 5,074 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,459 | |||
Shareholders’ reports | 2,983 | |||
Miscellaneous | 7,255 | |||
|
| |||
Total expenses | 896,760 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 1,167,292 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $44,107) | 7,493,731 | |||
Futures transactions | (5,824,548 | ) | ||
Options written transactions | 1,704 | |||
Swap agreements transactions | 8,579,112 | |||
|
| |||
10,249,999 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $35,466) | 7,541,195 | |||
Futures | (620,032 | ) | ||
Swap agreements | 7,808,509 | |||
|
| |||
14,729,672 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 24,979,671 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 26,146,963 | ||
|
|
STATEMENT OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | January 2, 2019* through December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 1,167,292 | $ | 243,451 | ||||
Net realized gain (loss) on investment transactions | 10,249,999 | 394,152 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 14,729,672 | (237,913 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 26,146,963 | 399,690 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [34,675,500 and 10,746,676 shares, respectively] | 431,010,977 | 112,080,496 | ||||||
Portfolio shares repurchased [17,491,360 and 7,743,462 shares, respectively] | (224,509,861 | ) | (78,116,942 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 206,501,116 | 33,963,554 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 232,648,079 | 34,363,244 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 34,363,244 | — | ||||||
|
|
|
| |||||
End of period | $ | 267,011,323 | $ | 34,363,244 | ||||
|
|
|
|
* | Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A96
AST BOND PORTFOLIO 2031 |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 92.6% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 5.2% |
| |||||||||||||||
Automobiles — 0.2% |
| |||||||||||||||
Santander Drive Auto Receivables Trust, |
| |||||||||||||||
Series 2019-02, Class B |
| |||||||||||||||
2.790% | 01/16/24 | 100 | $ | 101,459 | ||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 4.6% |
| |||||||||||||||
Anchorage Capital CLO LLC (Cayman Islands), |
| |||||||||||||||
Series 2019-13A, Class A, 144A, 3 Month LIBOR + 1.470% (Cap N/A, Floor 1.470%) |
| |||||||||||||||
2.689%(c) | 04/15/32 | 250 | 247,754 | |||||||||||||
Avery Point CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-07A, Class AR, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.359%(c) | 01/15/28 | 250 | 246,746 | |||||||||||||
LCM LP (Cayman Islands), |
| |||||||||||||||
Series 13A, Class ARR, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.275%(c) | 07/19/27 | 250 | 245,840 | |||||||||||||
Mountain View CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.490% (Cap N/A, Floor 1.440%) |
| |||||||||||||||
2.709%(c) | 04/15/29 | 300 | 295,620 | |||||||||||||
Oaktree CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 0.870% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.005%(c) | 10/20/27 | 233 | 229,609 | |||||||||||||
Ocean Trails CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2020-08A, Class A1, 144A |
| |||||||||||||||
—%(p) | 07/15/29 | 250 | 250,000 | |||||||||||||
Octagon Investment Partners 45 Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%) |
| |||||||||||||||
2.549%(c) | 10/15/32 | 250 | 247,290 | |||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.340% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.475%(c) | 07/20/32 | 250 | 244,681 | |||||||||||||
|
| |||||||||||||||
2,007,540 | ||||||||||||||||
|
| |||||||||||||||
Student Loans — 0.4% |
| |||||||||||||||
ELFI Graduate Loan Program LLC, |
| |||||||||||||||
Series 2020-A, Class A, 144A |
| |||||||||||||||
1.730% | 08/25/45 | 100 | 100,344 | |||||||||||||
SoFi Professional Loan Program Trust, |
| |||||||||||||||
Series 2020-A, Class A1FX, 144A |
| |||||||||||||||
2.060% | 05/15/46 | 84 | 84,793 | |||||||||||||
|
| |||||||||||||||
185,137 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 2,294,136 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 11.5% |
| |||||||||||||||
BANK, |
| |||||||||||||||
Series 2019-BN19, Class A1 |
| |||||||||||||||
2.263% | 08/15/61 | 547 | 556,884 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2020-BN25, Class A3 |
| |||||||||||||||
2.391% | 01/15/63 | 100 | $ | 105,422 | ||||||||||||
Series 2020-BN26, Class A3 |
| |||||||||||||||
2.155% | 03/15/63 | 250 | 259,189 | |||||||||||||
Benchmark Mortgage Trust, |
| |||||||||||||||
Series 2020-B16, Class A3 |
| |||||||||||||||
2.475% | 02/15/53 | 100 | 105,546 | |||||||||||||
Series 2020-B17, Class A4 |
| |||||||||||||||
2.042% | 03/15/53 | 125 | 128,408 | |||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2015-GC35, Class A1 |
| |||||||||||||||
1.847% | 11/10/48 | 21 | 20,821 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2013-LC06, Class ASB |
| |||||||||||||||
2.478% | 01/10/46 | 51 | 51,754 | |||||||||||||
Series 2014-UBS06, Class A4 |
| |||||||||||||||
3.378% | 12/10/47 | 185 | 198,003 | |||||||||||||
Series 2015-LC21, Class A4 |
| |||||||||||||||
3.708% | 07/10/48 | 250 | 274,746 | |||||||||||||
Series 2015-PC01, Class A5 |
| |||||||||||||||
3.902% | 07/10/50 | 250 | 275,195 | |||||||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||||||
Series 2020-C19, Class A2 |
| |||||||||||||||
2.320% | 03/15/53 | 250 | 259,889 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K083, Class AM |
| |||||||||||||||
4.030%(cc) | 10/25/28 | 950 | 1,149,042 | |||||||||||||
Series K736, Class X1, IO |
| |||||||||||||||
1.437%(cc) | 07/25/26 | 7,998 | 529,019 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-GC12, Class AAB |
| |||||||||||||||
2.678% | 06/10/46 | 56 | 57,159 | |||||||||||||
Series 2020-GC45, Class A3 |
| |||||||||||||||
2.639% | 02/13/53 | 100 | 106,239 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2014-C24, Class A4A1 |
| |||||||||||||||
3.373% | 11/15/47 | 295 | 314,439 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-LC11, Class ASB |
| |||||||||||||||
2.554% | 04/15/46 | 73 | 73,683 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2012-C04, Class A5 |
| |||||||||||||||
2.850% | 12/10/45 | 500 | 514,460 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2020-C55, Class A3 |
| |||||||||||||||
2.462% | 02/15/53 | 100 | 105,289 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 5,085,187 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 14.5% |
| |||||||||||||||
Aerospace & Defense — 0.2% |
| |||||||||||||||
Boeing Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.950% | 02/01/30 | 75 | 73,231 |
SEE NOTES TO FINANCIAL STATEMENTS.
A97
AST BOND PORTFOLIO 2031 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Aerospace & Defense (continued) |
| |||||||||||||||
Northrop Grumman Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.400% | 05/01/30 | 20 | $ | 24,278 | ||||||||||||
|
| |||||||||||||||
97,509 | ||||||||||||||||
|
| |||||||||||||||
Agriculture — 0.2% |
| |||||||||||||||
BAT Capital Corp. (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.700% | 04/02/27 | 80 | 91,919 | |||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 0.1% |
| |||||||||||||||
General Motors Financial Co., Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.700% | 05/09/23 | 25 | 25,729 | |||||||||||||
|
| |||||||||||||||
Banks — 6.1% |
| |||||||||||||||
Bank of America Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series MM |
| |||||||||||||||
4.300%(ff) | — | (rr) | 5 | 4,469 | ||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.015%(ff) | 02/13/26 | 145 | 149,917 | |||||||||||||
2.496%(ff) | 02/13/31 | 250 | 261,617 | |||||||||||||
BNG Bank NV (Netherlands), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
2.500% | 01/23/23 | 200 | 210,780 | |||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.666%(ff) | 01/29/31 | 150 | 155,469 | |||||||||||||
3.352%(ff) | 04/24/25 | 160 | 172,776 | |||||||||||||
Development Bank of Japan, Inc. (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
2.000% | 10/19/21 | 200 | 203,912 | |||||||||||||
Dexia Credit Local SA (France), |
| |||||||||||||||
Gov’t. Liquid Gtd. Notes, EMTN |
| |||||||||||||||
3.250% | 09/26/23 | 250 | 271,811 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Jr. Sub. Notes, Series HH |
| |||||||||||||||
4.600%(ff) | — | (rr) | 5 | 4,456 | ||||||||||||
Jr. Sub. Notes, Series II |
| |||||||||||||||
4.000%(ff) | — | (rr) | 5 | 4,369 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.739%(ff) | 10/15/30 | 250 | 267,808 | |||||||||||||
Landwirtschaftliche Rentenbank (Germany), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
2.375% | 06/10/25 | 200 | 218,329 | |||||||||||||
Morgan Stanley, |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.720%(ff) | 07/22/25 | 345 | 364,725 | |||||||||||||
Oesterreichische Kontrollbank AG (Austria), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
1.500% | 02/12/25 | 200 | 208,792 | |||||||||||||
Wells Fargo & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.572%(ff) | 02/11/31 | 5 | 5,227 | |||||||||||||
4.478%(ff) | 04/04/31 | 150 | 181,182 | |||||||||||||
|
| |||||||||||||||
2,685,639 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Commercial Services — 0.7% |
| |||||||||||||||
Moody’s Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 03/24/25 | 290 | $ | 328,770 | ||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.1% |
| |||||||||||||||
Mastercard, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.300% | 03/26/27 | 50 | 56,723 | |||||||||||||
|
| |||||||||||||||
Electric — 0.6% |
| |||||||||||||||
Berkshire Hathaway Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.700% | 07/15/30 | 90 | 105,285 | |||||||||||||
Florida Power & Light Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
2.850% | 04/01/25 | 45 | 49,324 | |||||||||||||
Oncor Electric Delivery Co. LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
2.750% | 05/15/30 | 90 | 98,623 | |||||||||||||
|
| |||||||||||||||
253,232 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.2% |
| |||||||||||||||
Baxter International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.950% | 04/01/30 | 10 | 11,855 | |||||||||||||
Thermo Fisher Scientific, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.497% | 03/25/30 | 45 | 55,453 | |||||||||||||
|
| |||||||||||||||
67,308 | ||||||||||||||||
|
| |||||||||||||||
Household Products/Wares — 0.0% |
| |||||||||||||||
Kimberly-Clark Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100% | 03/26/30 | 15 | 17,083 | |||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.4% |
| |||||||||||||||
Deere & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100% | 04/15/30 | 40 | 45,310 | |||||||||||||
Otis Worldwide Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.056% | 04/05/25 | 135 | 141,547 | |||||||||||||
2.565% | 02/15/30 | 10 | 10,499 | |||||||||||||
|
| |||||||||||||||
197,356 | ||||||||||||||||
|
| |||||||||||||||
Media — 1.2% |
| |||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.050% | 03/30/29 | 175 | 206,343 | |||||||||||||
Comcast Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.650% | 02/01/30 | 80 | 86,953 | |||||||||||||
3.400% | 04/01/30 | 10 | 11,428 | |||||||||||||
3.950% | 10/15/25 | 85 | 97,367 | |||||||||||||
Cox Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.150% | 08/15/24 | 100 | 107,458 | |||||||||||||
|
| |||||||||||||||
509,549 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A98
AST BOND PORTFOLIO 2031 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Multi-National — 0.5% |
| |||||||||||||||
Asian Development Bank (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.625% | 01/30/24 | 200 | $ | 216,191 | ||||||||||||
|
| |||||||||||||||
Oil & Gas — 0.2% |
| |||||||||||||||
Concho Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.300% | 08/15/28 | 50 | 54,856 | |||||||||||||
Continental Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 04/15/23 | 25 | 23,882 | |||||||||||||
|
| |||||||||||||||
78,738 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 2.0% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 05/14/25 | 160 | 176,896 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.200% | 11/21/29 | 150 | 164,589 | |||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.500% | 06/15/24 | 100 | 108,876 | |||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.875% | 07/20/25 | 95 | 106,691 | |||||||||||||
4.300% | 03/25/28 | 125 | 146,139 | |||||||||||||
Shire Acquisitions Investments Ireland DAC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.875% | 09/23/23 | 50 | 52,984 | |||||||||||||
Upjohn, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.700% | 06/22/30 | 120 | 123,258 | |||||||||||||
|
| |||||||||||||||
879,433 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 0.2% |
| |||||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.750% | 05/15/30 | 100 | 99,007 | |||||||||||||
|
| |||||||||||||||
Retail — 0.5% |
| |||||||||||||||
O’Reilly Automotive, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 04/01/30 | 60 | 70,751 | |||||||||||||
TJX Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 04/15/27 | 130 | 148,671 | |||||||||||||
|
| |||||||||||||||
219,422 | ||||||||||||||||
|
| |||||||||||||||
Software — 0.2% |
| |||||||||||||||
Oracle Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 04/01/25 | 85 | 91,123 | |||||||||||||
|
| |||||||||||||||
Telecommunications — 1.1% |
| |||||||||||||||
AT&T, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 07/15/25 | 95 | 105,398 | |||||||||||||
4.300% | 02/15/30 | 125 | 146,145 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Telecommunications (continued) |
| |||||||||||||||
Verizon Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.150% | 03/22/30 | 220 | $ | 248,025 | ||||||||||||
|
| |||||||||||||||
499,568 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 6,414,299 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 4.6% |
| |||||||||||||||
Japan Bank for International Cooperation (Japan), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
1.750% | 10/17/24 | 200 | 209,323 | |||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
1.750% | 09/05/24 | 200 | 208,185 | |||||||||||||
Kommuninvest I Sverige AB (Sweden), |
| |||||||||||||||
Local Gov’t. Gtd. Notes |
| |||||||||||||||
2.250% | 05/29/21 | 200 | 203,575 | |||||||||||||
Province of Alberta (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.300% | 03/15/28 | 200 | 231,030 | |||||||||||||
Province of British Columbia (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.750% | 09/27/24 | 200 | 210,309 | |||||||||||||
Province of Manitoba (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 05/04/22 | 100 | 103,159 | |||||||||||||
Sr. Unsec’d. Notes, Series GX |
| |||||||||||||||
2.600% | 04/16/24 | 200 | 214,948 | |||||||||||||
Province of Ontario (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 10/17/23 | 100 | 109,422 | |||||||||||||
Province of Quebec (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 04/12/27 | 100 | 111,836 | |||||||||||||
Sr. Unsec’d. Notes, Series PD |
| |||||||||||||||
7.500% | 09/15/29 | 50 | 77,112 | |||||||||||||
Sr. Unsec’d. Notes, Series QX |
| |||||||||||||||
1.500% | 02/11/25 | 150 | 156,007 | |||||||||||||
Svensk Exportkredit AB (Sweden), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.875% | 05/22/21 | 200 | 204,456 | |||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 2,039,362 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 5.4% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
3.250% | 11/16/28 | 600 | 714,792 | |||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
1.500% | 02/12/25 | (k) | 500 | 524,060 | ||||||||||||
6.750% | 09/15/29 | 200 | 300,992 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
1.625% | 01/07/25 | (k) | 500 | 526,515 | ||||||||||||
6.625% | 11/15/30 | (k) | 200 | 309,353 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 2,375,712 | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A99
AST BOND PORTFOLIO 2031 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. TREASURY OBLIGATIONS — 51.4% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
3.125% | 02/15/43 | (k) | 3,255 | $ | 4,411,542 | |||||||||||
U.S. Treasury Notes |
| |||||||||||||||
0.250% | 06/30/25 | 100 | 99,813 | |||||||||||||
0.500% | 06/30/27 | 475 | 475,223 | |||||||||||||
0.625% | 05/15/30 | 135 | 134,578 | |||||||||||||
1.125% | 02/28/22 | 3,520 | 3,576,375 | |||||||||||||
1.250% | 08/31/24 | 10,590 | 11,032,629 | |||||||||||||
1.500% | 02/15/30 | (k) | 1,324 | 1,430,747 | ||||||||||||
2.875% | 05/15/28 | (k) | 1,360 | 1,604,587 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 22,765,494 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 40,974,190 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENT — 8.5% |
| |||||||||||||||
AFFILIATED MUTUAL FUND |
| |||||||||||||||
PGIM Core Ultra Short Bond Fund |
| 3,780,103 | 3,780,103 | |||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS — 101.1% |
| 44,754,293 | ||||||||||||||
Liabilities in excess of other assets(z) — (1.1)% |
| (480,721 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 44,273,572 | |||||||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(p) | Interest rate not available as of June 30, 2020. |
(rr) | Perpetual security with no stated maturity date. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Position: | ||||||||||||||||
22 | 10 Year U.S. Ultra Treasury Notes | Sep. 2020 | $ | 3,464,656 | $ | 15,954 | ||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
21 | 2 Year U.S. Treasury Notes | Sep. 2020 | 4,637,391 | (970 | ) | |||||||||||
158 | 5 Year U.S. Treasury Notes | Sep. 2020 | 19,867,266 | (49,384 | ) | |||||||||||
26 | 10 Year U.S. Treasury Notes | Sep. 2020 | 3,618,469 | (10,082 | ) | |||||||||||
19 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 3,392,688 | (12,214 | ) | |||||||||||
7 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 1,527,094 | 8,904 | ||||||||||||
|
| |||||||||||||||
�� | (63,746 | ) | ||||||||||||||
|
| |||||||||||||||
$ | (47,792 | ) | ||||||||||||||
|
|
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||
33,200 | 05/11/32 | 2.465%(S) | 3 Month LIBOR(2)(Q) | $ | 5,928,422 | $ | 6,861,233 | $ | 932,811 | |||||||||||||
455 | 05/11/40 | 2.200%(S) | 3 Month LIBOR(2)(Q) | 105,828 | 114,980 | 9,152 | ||||||||||||||||
74 | 03/30/50 | 0.855%(S) | 3 Month LIBOR(1)(Q) | — | 1,072 | 1,072 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 6,034,250 | $ | 6,977,285 | $ | 943,035 | |||||||||||||||||
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A100
AST BOND PORTFOLIO 2031 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||
Citigroup Global Markets, Inc. | $ | — | $ | 2,325,976 | ||||
J.P. Morgan Securities LLC | — | 650,550 | ||||||
|
|
|
| |||||
Total | $ | — | $ | 2,976,526 | ||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | $ | — | $ | 101,459 | $ | — | ||||||
Collateralized Loan Obligations | — | 2,007,540 | — | |||||||||
Student Loans | — | 185,137 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 5,085,187 | — | |||||||||
Corporate Bonds | — | 6,414,299 | — | |||||||||
Sovereign Bonds | — | 2,039,362 | — | |||||||||
U.S. Government Agency Obligations | — | 2,375,712 | — | |||||||||
U.S. Treasury Obligations | — | 22,765,494 | — | |||||||||
Affiliated Mutual Fund | 3,780,103 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 3,780,103 | $ | 40,974,190 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 24,858 | $ | — | $ | — | ||||||
Centrally Cleared Interest Rate Swap Agreements | — | 943,035 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 24,858 | $ | 943,035 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (72,650 | ) | $ | — | $ | — | |||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
U.S. Treasury Obligations | 51.4 | % | ||
Commercial Mortgage-Backed Securities | 11.5 | |||
Affiliated Mutual Fund | 8.5 | |||
Banks | 6.1 | |||
U.S. Government Agency Obligations | 5.4 |
Sovereign Bonds | 4.6 | % | ||
Collateralized Loan Obligations | 4.6 | |||
Pharmaceuticals | 2.0 | |||
Media | 1.2 | |||
Telecommunications | 1.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A101
AST BOND PORTFOLIO 2031 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (cont.):
Commercial Services | 0.7 | % | ||
Electric | 0.6 | |||
Retail | 0.5 | |||
Multi-National | 0.5 | |||
Machinery-Diversified | 0.4 | |||
Student Loans | 0.4 | |||
Automobiles | 0.2 | |||
Pipelines | 0.2 | |||
Aerospace & Defense | 0.2 | |||
Agriculture | 0.2 | |||
Software | 0.2 |
Oil & Gas | 0.2 | % | ||
Healthcare-Products | 0.2 | |||
Diversified Financial Services | 0.1 | |||
Auto Manufacturers | 0.1 | |||
Household Products/Wares | 0.0 | * | ||
|
| |||
101.1 | ||||
Liabilities in excess of other assets | (1.1 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 24,858 | * | Due from/to broker — variation margin futures | $ | 72,650 | * | ||||
Interest rate contracts | Due from/to broker — variation margin swaps | 943,035 | * | — | — | |||||||
|
|
|
| |||||||||
$ | 967,893 | $ | 72,650 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the period ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||
Derivatives not accounted for as hedging | Futures | Swaps | ||||||
Credit contracts | $ | — | $ | (50,520) | ||||
Interest rate contracts | (589,376 | ) | 1,045,582 | |||||
|
|
|
| |||||
Total | $ | (589,376 | ) | $ | 995,062 | |||
|
|
|
| |||||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||
Derivatives not accounted for as hedging | Futures | Swaps | ||||||
Interest rate contracts | $ | (47,792 | ) | $ | 943,035 | |||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A102
AST BOND PORTFOLIO 2031 (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
For the period ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Futures | Futures | |
$1,888,360 | $31,073,611 |
Interest Rate |
$32,666,500 |
Credit Default |
$1,500,000 |
(1) | Notional Amount in USD. |
SEE NOTES TO FINANCIAL STATEMENTS.
A103
AST BOND PORTFOLIO 2031 (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value: | ||||
Unaffiliated investments (cost $40,040,926) | $ | 40,974,190 | ||
Affiliated investments (cost $3,780,103) | 3,780,103 | |||
Interest receivable | 214,938 | |||
Due from broker-variation margin futures | 19,982 | |||
|
| |||
Total Assets | 44,989,213 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 497,636 | |||
Due to broker-variation margin swaps | 94,704 | |||
Payable for Portfolio shares repurchased | 80,080 | |||
Accrued expenses and other liabilities | 35,707 | |||
Management fee payable | 5,321 | |||
Distribution fee payable | 1,815 | |||
Affiliated transfer agent fee payable | 378 | |||
|
| |||
Total Liabilities | 715,641 | |||
|
| |||
NET ASSETS | $ | 44,273,572 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 44,273,572 | ||
|
| |||
Net asset value and redemption price per share, $44,273,572 / 3,828,259 outstanding shares of beneficial interest | $ | 11.56 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
For the Period January 2, 2020* through June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 171,132 | ||
Affiliated dividend income | 28,092 | |||
|
| |||
Total income | 199,224 | |||
|
| |||
EXPENSES | ||||
Management fee | 58,899 | |||
Distribution fee | 31,591 | |||
Custodian and accounting fees | 22,353 | |||
Audit fee | 22,055 | |||
Legal fees and expenses | 5,346 | |||
Trustees’ fees | 4,806 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,457 | |||
Shareholders’ reports | 2,967 | |||
Miscellaneous | 2,727 | |||
|
| |||
Total expenses | 154,201 | |||
Less: Fee waiver and/or expense reimbursement | (36,684 | ) | ||
|
| |||
Net expenses | 117,517 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 81,707 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 568,596 | |||
Futures transactions | (589,376 | ) | ||
Swap agreements transactions | 995,062 | |||
|
| |||
974,282 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 933,264 | |||
Futures | (47,792 | ) | ||
Swap agreements | 943,035 | |||
|
| |||
1,828,507 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 2,802,789 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,884,496 | ||
|
|
STATEMENT OF CHANGES IN NET ASSETS (unaudited)
January 2, 2020* through June 30, 2020 | ||||
INCREASE (DECREASE) IN NET ASSETS | ||||
OPERATIONS | ||||
Net investment income (loss) | $ | 81,707 | ||
Net realized gain (loss) on investment transactions | 974,282 | |||
Net change in unrealized appreciation (depreciation) on investments | 1,828,507 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 2,884,496 | |||
|
| |||
PORTFOLIO SHARE TRANSACTIONS | ||||
Portfolio shares sold [5,626,282 shares] | 61,579,033 | |||
Portfolio shares repurchased [1,798,023 shares] | (20,189,957 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 41,389,076 | |||
|
| |||
TOTAL INCREASE (DECREASE) | 44,273,572 | |||
NET ASSETS: | ||||
Beginning of period | — | |||
|
| |||
End of period | $ | 44,273,572 | ||
|
|
* | Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A104
AST COHEN & STEERS GLOBAL REALTY PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
LONG-TERM INVESTMENTS — 98.5% | ||||||||
COMMON STOCKS | Shares | Value | ||||||
Australia — 3.9% | ||||||||
Charter Hall Group, REIT | 434,122 | $ | 2,945,435 | |||||
Goodman Group, REIT | 144,843 | 1,496,960 | ||||||
Mirvac Group, REIT | 2,395,902 | 3,595,007 | ||||||
Stockland, REIT | 428,712 | 992,543 | ||||||
|
| |||||||
9,029,945 | ||||||||
|
| |||||||
Austria — 0.4% | ||||||||
CA Immobilien Anlagen AG* | 26,220 | 876,084 | ||||||
|
| |||||||
Belgium — 1.1% | ||||||||
Aedifica SA, REIT | 13,923 | 1,528,514 | ||||||
Warehouses De Pauw CVA, REIT | 39,745 | 1,090,105 | ||||||
|
| |||||||
2,618,619 | ||||||||
|
| |||||||
Canada — 1.5% | ||||||||
Allied Properties Real Estate Investment Trust, REIT | 70,335 | 2,122,070 | ||||||
Boardwalk Real Estate Investment Trust, REIT | 62,569 | 1,369,273 | ||||||
|
| |||||||
3,491,343 | ||||||||
|
| |||||||
China — 1.8% | ||||||||
China Overseas Land & Investment Ltd. | 331,500 | 1,006,187 | ||||||
China Resources Land Ltd. | 272,000 | 1,030,594 | ||||||
ESR Cayman Ltd., 144A* | 948,000 | 2,246,391 | ||||||
|
| |||||||
4,283,172 | ||||||||
|
| |||||||
France — 2.6% | ||||||||
ARGAN SA, REIT | 12,730 | 1,168,435 | ||||||
Covivio, REIT | 20,758 | 1,511,137 | ||||||
Gecina SA, REIT | 8,657 | 1,072,556 | ||||||
Klepierre SA, REIT(a) | 119,243 | 2,386,310 | ||||||
|
| |||||||
6,138,438 | ||||||||
|
| |||||||
Germany — 6.0% | ||||||||
alstria office REIT-AG, REIT | 59,289 | 885,552 | ||||||
Deutsche Wohnen SE | 86,720 | 3,907,843 | ||||||
Instone Real Estate Group AG, 144A* | 68,945 | 1,506,117 | ||||||
LEG Immobilien AG* | 17,626 | 2,247,737 | ||||||
Vonovia SE(a) | 87,239 | 5,368,998 | ||||||
|
| |||||||
13,916,247 | ||||||||
|
| |||||||
Hong Kong — 6.0% | ||||||||
Hang Lung Properties Ltd. | 1,403,000 | 3,323,694 | ||||||
Link REIT, REIT | 293,951 | 2,405,412 | ||||||
New World Development Co. Ltd. | 786,250 | 3,733,178 | ||||||
Sun Hung Kai Properties Ltd. | 358,000 | 4,580,595 | ||||||
|
| |||||||
14,042,879 | ||||||||
|
| |||||||
Japan — 12.2% | ||||||||
Activia Properties, Inc., REIT | 612 | 2,133,200 | ||||||
Daiwa House REIT Investment Corp., REIT | 1,025 | 2,412,767 | ||||||
GLP J-REIT, REIT | 1,887 | 2,737,603 | ||||||
Japan Prime Realty Investment Corp., REIT | 754 | 2,215,409 | ||||||
Mitsubishi Estate Co. Ltd. | 311,250 | 4,621,584 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Japan (continued) | ||||||||
Mitsui Fudosan Co. Ltd. | 254,000 | $ | 4,477,528 | |||||
Nippon Building Fund, Inc., REIT | 452 | 2,583,421 | ||||||
NIPPON REIT Investment Corp., REIT | 717 | 2,325,206 | ||||||
Nomura Real Estate Master Fund, Inc., REIT | 1,543 | 1,854,913 | ||||||
Tokyu Fudosan Holdings Corp | 211,100 | 987,326 | ||||||
United Urban Investment Corp., REIT | 1,890 | 2,047,639 | ||||||
|
| |||||||
28,396,596 | ||||||||
|
| |||||||
Norway — 0.4% | ||||||||
Entra ASA, 144A | 64,117 | 819,986 | ||||||
|
| |||||||
Singapore — 4.0% | ||||||||
CapitaLand Commercial Trust, REIT | 877,700 | 1,071,484 | ||||||
City Developments Ltd. | 398,200 | 2,421,975 | ||||||
Keppel DC REIT, REIT | 1,218,300 | 2,231,454 | ||||||
Mapletree Industrial Trust, REIT | 948,400 | 1,969,122 | ||||||
Parkway Life Real Estate Investment Trust, REIT | 713,875 | 1,724,564 | ||||||
|
| |||||||
9,418,599 | ||||||||
|
| |||||||
Sweden — 2.3% | ||||||||
Castellum AB | 114,900 | 2,159,386 | ||||||
Catena AB | 32,527 | 1,285,994 | ||||||
Fastighets AB Balder (Class B Stock)* | 48,004 | 1,841,977 | ||||||
|
| |||||||
5,287,357 | ||||||||
|
| |||||||
United Kingdom — 4.1% | ||||||||
Assura PLC, REIT | 1,409,926 | 1,373,010 | ||||||
Grainger PLC | 315,763 | 1,124,533 | ||||||
LondonMetric Property PLC, REIT | 443,079 | 1,160,399 | ||||||
Safestore Holdings PLC, REIT | 153,373 | 1,386,994 | ||||||
Segro PLC, REIT | 321,537 | 3,569,662 | ||||||
UNITE Group PLC (The), REIT* | 87,410 | 1,018,806 | ||||||
|
| |||||||
9,633,404 | ||||||||
|
| |||||||
United States — 52.2% | ||||||||
Agree Realty Corp., REIT(a) | 54,580 | 3,586,452 | ||||||
American Tower Corp., REIT | 7,268 | 1,879,069 | ||||||
Americold Realty Trust, REIT | 71,906 | 2,610,188 | ||||||
Boston Properties, Inc., REIT | 10,479 | 947,092 | ||||||
Boyd Gaming Corp | 56,887 | 1,188,938 | ||||||
CyrusOne, Inc., REIT(a) | 24,297 | 1,767,607 | ||||||
Duke Realty Corp., REIT | 94,651 | 3,349,699 | ||||||
Equinix, Inc., REIT | 10,760 | 7,556,748 | ||||||
Essex Property Trust, Inc., REIT | 31,953 | 7,322,669 | ||||||
Extra Space Storage, Inc., REIT(a) | 41,681 | 3,850,074 | ||||||
Healthcare Trust of America, Inc. (Class A Stock), REIT | 64,485 | 1,710,142 | ||||||
Healthpeak Properties, Inc., REIT | 131,484 | 3,623,699 | ||||||
Hilton Worldwide Holdings, Inc. | 23,046 | 1,692,729 | ||||||
Invitation Homes, Inc., REIT | 209,591 | 5,770,040 | ||||||
Kilroy Realty Corp., REIT | 48,330 | 2,836,971 | ||||||
Kimco Realty Corp., REIT(a) | 382,204 | 4,907,499 | ||||||
Medical Properties Trust, Inc., REIT | 205,805 | 3,869,134 | ||||||
Omega Healthcare Investors, Inc., | 49,913 | 1,483,914 | ||||||
Prologis, Inc., REIT | 168,727 | 15,747,291 | ||||||
Public Storage, REIT | 60,143 | 11,540,840 |
SEE NOTES TO FINANCIAL STATEMENTS.
A105
AST COHEN & STEERS GLOBAL REALTY PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
United States (continued) | ||||||||
Simon Property Group, Inc., REIT | 91,430 | $ | 6,251,983 | |||||
UDR, Inc., REIT | 146,976 | 5,493,963 | ||||||
Ventas, Inc., REIT | 211,612 | 7,749,231 | ||||||
VICI Properties, Inc., REIT(a) | 287,719 | 5,809,047 | ||||||
Welltower, Inc., REIT | 175,727 | 9,093,872 | ||||||
|
| |||||||
121,638,891 | ||||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 229,591,560 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 9.8% | ||||||||
AFFILIATED MUTUAL FUNDS | ||||||||
PGIM Core Ultra Short Bond Fund(w) | 2,629,286 | 2,629,286 | ||||||
PGIM Institutional Money Market Fund | 20,166,847 | 20,166,847 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 22,796,133 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 108.3% |
| 252,387,693 | ||||||
Liabilities in excess of other assets — (8.3)% |
| (19,375,742 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 233,011,951 | |||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $19,682,993; cash collateral of $20,162,855 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(w) | PGIM Investments LLC, the co-manager of the Portfolio, also serves as the manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | ||||||||||||
Australia | $ | — | $ | 9,029,945 | $ | — | ||||||
Austria | — | 876,084 | — | |||||||||
Belgium | — | 2,618,619 | — | |||||||||
Canada | 3,491,343 | — | — | |||||||||
China | — | 4,283,172 | — | |||||||||
France | — | 6,138,438 | — | |||||||||
Germany | — | 13,916,247 | — | |||||||||
Hong Kong | 3,733,178 | 10,309,701 | — | |||||||||
Japan | — | 28,396,596 | — | |||||||||
Norway | — | 819,986 | — | |||||||||
Singapore | — | 9,418,599 | — | |||||||||
Sweden | — | 5,287,357 | — | |||||||||
United Kingdom | — | 9,633,404 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A106
AST COHEN & STEERS GLOBAL REALTY PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
United States | $ | 121,638,891 | $ | — | $ | — | ||||||
Affiliated Mutual Funds | 22,796,133 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 151,659,545 | $ | 100,728,148 | $ | — | ||||||
|
|
|
|
|
|
Sector Classification:
The sector classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
Specialized REITs | 16.1 | % | ||
Industrial REITs | 13.9 | |||
Health Care REITs | 13.7 | |||
Diversified Real Estate Activities | 11.3 | |||
Affiliated Mutual Funds (8.7% represents investments purchased with collateral from securities on loan) | 9.8 | |||
Residential REITs | 9.0 | |||
Diversified REITs | 8.9 | |||
Real Estate Operating Companies | 8.6 | |||
Retail REITs | 8.3 |
Office REITs | 6.1 | % | ||
Real Estate Development | 1.4 | |||
Hotels, Resorts & Cruise Lines | 0.7 | |||
Casinos & Gaming | 0.5 | |||
|
| |||
108.3 | ||||
Liabilities in excess of other assets | (8.3 | ) | ||
|
| |||
100.0 | % | |||
|
|
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | |||||||||||||
Securities on Loan | $ | 19,682,993 | $ | (19,682,993 | ) | $ | — | |||||||||
|
|
|
|
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A107
AST COHEN & STEERS GLOBAL REALTY PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $19,682,993: | ||||
Unaffiliated investments (cost $234,945,976) | $ | 229,591,560 | ||
Affiliated investments (cost $22,796,133) | 22,796,133 | |||
Foreign currency, at value (cost $62,860) | 62,745 | |||
Dividends receivable | 963,403 | |||
Tax reclaim receivable | 776,387 | |||
Receivable for investments sold | 453,645 | |||
Receivable for Portfolio shares sold | 16,070 | |||
Receivable from affiliate | 13,920 | |||
Prepaid expenses | 388 | |||
|
| |||
Total Assets | 254,674,251 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 20,162,855 | |||
Payable to affiliate | 686,032 | |||
Payable for investments purchased | 494,998 | |||
Payable for Portfolio shares repurchased | 120,383 | |||
Accrued expenses and other liabilities | 106,346 | |||
Management fee payable | 81,579 | |||
Distribution fee payable | 9,519 | |||
Affiliated transfer agent fee payable | 378 | |||
Trustees’ fees payable | 210 | |||
|
| |||
Total Liabilities | 21,662,300 | |||
|
| |||
NET ASSETS | $ | 233,011,951 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 233,011,951 | ||
|
| |||
Net asset value and redemption price per share, $233,011,951 / 19,024,092 outstanding shares of beneficial interest | $ | 12.25 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $169,845 foreign withholding tax, of which $28,637 is reimbursable by an affiliate) | $ | 3,396,791 | ||
Income from securities lending, net (including affiliated income of $38,102) | 43,053 | |||
Affiliated dividend income | 34,947 | |||
|
| |||
Total income | 3,474,791 | |||
|
| |||
EXPENSES | ||||
Management fee | 1,071,363 | |||
Distribution fee | 321,730 | |||
Custodian and accounting fees | 75,413 | |||
Audit fee | 22,775 | |||
Trustees’ fees | 6,710 | |||
Legal fees and expenses | 6,247 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,460 | |||
Shareholders’ reports | 2,205 | |||
Miscellaneous | 16,099 | |||
|
| |||
Total expenses | 1,526,002 | |||
Less: Fee waiver and/or expense reimbursement | (65,633 | ) | ||
|
| |||
Net expenses | 1,460,369 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 2,014,422 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(36,015)) | (35,592,553 | ) | ||
Foreign currency transactions | 32,453 | |||
|
| |||
(35,560,100 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(808)) | (35,277,578 | ) | ||
Foreign currencies | (5,066 | ) | ||
|
| |||
(35,282,644 | ) | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (70,842,744 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (68,828,322 | ) | |
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 2,014,422 | $ | 5,346,135 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (35,560,100 | ) | 37,260,633 | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (35,282,644 | ) | 32,726,107 | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (68,828,322 | ) | 75,332,875 | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [7,539,240 and 1,403,570 shares, respectively] | 89,913,710 | 18,941,425 | ||||||
Portfolio shares repurchased [12,411,851 and 5,660,676 shares, respectively] | (145,077,407 | ) | (73,490,190 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (55,163,697 | ) | (54,548,765 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 8,141 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (123,992,019 | ) | 20,792,251 | |||||
NET ASSETS: | ||||||||
Beginning of period | 357,003,970 | 336,211,719 | ||||||
|
|
|
| |||||
End of period | $ | 233,011,951 | $ | 357,003,970 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A108
AST HIGH YIELD PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 92.6% |
| |||||||||||||||
BANK LOANS — 5.6% |
| |||||||||||||||
Auto Parts & Equipment — 0.0% |
| |||||||||||||||
Adient US LLC, | ||||||||||||||||
Initial Term Loan, 1 - 3 Month LIBOR + 4.000% |
| |||||||||||||||
4.326%(c) | 05/06/24 | 263 | $ | 252,093 | ||||||||||||
American Axle & Manufacturing, Inc., |
| |||||||||||||||
Tranche B Term Loan, 1 Month LIBOR + 2.250% |
| |||||||||||||||
3.000%(c) | 04/06/24 | 12 | 10,907 | |||||||||||||
|
| |||||||||||||||
263,000 | ||||||||||||||||
|
| |||||||||||||||
Biotechnology — 0.1% |
| |||||||||||||||
Concordia International Corp. (Canada), |
| |||||||||||||||
Term Loan, 3 Month LIBOR + 5.500% |
| |||||||||||||||
6.500%(c) | 09/06/24 | 457 | 420,245 | |||||||||||||
|
| |||||||||||||||
Chemicals — 0.5% |
| |||||||||||||||
Axalta Coating Systems US Holdings, Inc., |
| |||||||||||||||
Term B-3 Dollar Loan, 3 Month LIBOR + 1.750% |
| |||||||||||||||
2.058%(c) | 06/01/24 | 197 | 188,683 | |||||||||||||
Nouryon USA LLC (Netherlands), |
| |||||||||||||||
Initial Dollar Term Loan, 1 Month LIBOR + 3.000% |
| |||||||||||||||
3.188%(c) | 10/01/25 | 496 | 464,504 | |||||||||||||
Solenis International LP, |
| |||||||||||||||
First Lien Initial Dollar Term Loan, 3 Month LIBOR + 4.000% |
| |||||||||||||||
4.363%(c) | 06/26/25 | 696 | 665,162 | |||||||||||||
Second Lien Initial Term Loan, 3 Month LIBOR + 8.500% |
| |||||||||||||||
8.863%(c) | 06/26/26 | 1,971 | 1,687,134 | |||||||||||||
|
| |||||||||||||||
3,005,483 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 0.1% |
| |||||||||||||||
MPH Acquisition Holdings LLC, |
| |||||||||||||||
Initial Term Loan, 3 Month LIBOR + 2.750% |
| |||||||||||||||
3.750%(c) | 06/07/23 | 354 | 335,120 | |||||||||||||
|
| |||||||||||||||
Computers — 0.8% |
| |||||||||||||||
Everi Payments, Inc., |
| |||||||||||||||
Term Loan, 3 Month LIBOR + 10.500% |
| |||||||||||||||
11.500%(c) | 05/09/24^ | 50 | 50,500 | |||||||||||||
McAfee LLC, | ||||||||||||||||
Second Lien Initial Loan, 1 Month LIBOR + 8.500% |
| |||||||||||||||
9.500%(c) | 09/29/25 | 2,931 | 2,892,167 | |||||||||||||
Term B USD Loan, 1 Month LIBOR + 3.750% |
| |||||||||||||||
3.934%(c) | 09/30/24 | 1,692 | 1,641,449 | |||||||||||||
|
| |||||||||||||||
4,584,116 | ||||||||||||||||
|
| |||||||||||||||
Electric — 0.4% | ||||||||||||||||
Calpine Corp., | ||||||||||||||||
Term Loan (05/15), 1 Month LIBOR + 2.250% |
| |||||||||||||||
2.430%(c) | 01/15/24 | 686 | 660,122 | |||||||||||||
Heritage Power LLC, |
| |||||||||||||||
Term Loan B, 3 Month LIBOR + 6.000% |
| |||||||||||||||
7.771%(c) | 07/30/26^ | 1,588 | 1,476,840 | |||||||||||||
|
| |||||||||||||||
2,136,962 | ||||||||||||||||
|
| |||||||||||||||
Electronics — 0.0% |
| |||||||||||||||
II-VI, Inc., | ||||||||||||||||
Term B Loan, 1 Month LIBOR + 3.500% |
| |||||||||||||||
3.607%(c) | 09/24/26 | 159 | 154,421 | |||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
BANK LOANS (continued) |
| |||||||||||||||
Engineering & Construction — 0.1% |
| |||||||||||||||
Landry’s Finance Acquisition Co., |
| |||||||||||||||
B Term Loan, 3 Month LIBOR + 12.000% |
| |||||||||||||||
13.000%(c) | 10/06/23^ | 450 | $ | 472,500 | ||||||||||||
|
| |||||||||||||||
Entertainment — 0.8% |
| |||||||||||||||
CCM Merger, Inc., |
| |||||||||||||||
Term Loan, 1 Month LIBOR + 2.250% |
| |||||||||||||||
3.000%(c) | 08/06/21 | 105 | 101,508 | |||||||||||||
Playtika Holding Corp., |
| |||||||||||||||
Term B Loan, 3 Month LIBOR + 6.000% |
| |||||||||||||||
7.072%(c) | 12/10/24 | 1,657 | 1,654,047 | |||||||||||||
Scientific Games International, Inc., |
| |||||||||||||||
Initial Term B-5 Loan, 1 - 3 Month LIBOR + 2.750% |
| |||||||||||||||
3.058%(c) | 08/14/24 | 2,446 | 2,149,868 | |||||||||||||
Twin River Worldwide Holdings, Inc., |
| |||||||||||||||
Term B-1 Facility Loan, 3 Month LIBOR + 8.000% |
| |||||||||||||||
9.000%(c) | 05/11/26^ | 300 | 310,500 | |||||||||||||
UFC Holdings LLC, |
| |||||||||||||||
Term B Loan, 3 Month LIBOR + 3.250% |
| |||||||||||||||
4.250%(c) | 04/29/26 | 313 | 296,780 | |||||||||||||
|
| |||||||||||||||
4,512,703 | ||||||||||||||||
|
| |||||||||||||||
Foods — 0.2% | ||||||||||||||||
Moran Foods LLC, |
| |||||||||||||||
New Money Term Loan Non-PIK, 3 Month LIBOR + 7.000% |
| |||||||||||||||
7.000%(c) | 03/12/24^ | 329 | 312,976 | |||||||||||||
Second Lien Tranche A Term Loan Non-PIK, 3 Month LIBOR + 10.750% |
| |||||||||||||||
12.180%(c) | 10/01/24^ | 361 | 162,207 | |||||||||||||
United Natural Foods, Inc., |
| |||||||||||||||
Initial Term Loan, 1 Month LIBOR + 4.250% |
| |||||||||||||||
4.428%(c) | 10/22/25 | 256 | 244,007 | |||||||||||||
Viskase Cos., Inc., |
| |||||||||||||||
Initial Term Loan, 3 Month LIBOR + 3.250% |
| |||||||||||||||
4.475%(c) | 01/30/21 | 548 | 469,243 | |||||||||||||
|
| |||||||||||||||
1,188,433 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 0.1% |
| |||||||||||||||
US Renal Care, Inc., |
| |||||||||||||||
First Lien Term Loan B, 1 Month LIBOR + 5.000% |
| |||||||||||||||
5.188%(c) | 06/26/26 | 443 | 424,505 | |||||||||||||
|
| |||||||||||||||
Machinery-Construction & Mining — 0.0% |
| |||||||||||||||
Vertiv Group Corp., |
| |||||||||||||||
Initial Term Loan, 1 Month LIBOR + 3.000% |
| |||||||||||||||
3.183%(c) | 03/02/27 | 140 | 131,155 | |||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.1% |
| |||||||||||||||
Vertical US Newco, Inc., |
| |||||||||||||||
Term Loan | ||||||||||||||||
—%(p) | 07/01/49 | 281 | 275,625 | |||||||||||||
|
| |||||||||||||||
Media — 0.2% | ||||||||||||||||
Banijay Group US Holding, Inc. (France), |
| |||||||||||||||
Term Loan | ||||||||||||||||
—%(p) | 03/01/25^ | 40 | 37,800 | |||||||||||||
iHeartCommunications, Inc., |
| |||||||||||||||
New Term Loan, 1 Month LIBOR + 3.000% |
| |||||||||||||||
3.178%(c) | 05/01/26 | 438 | 402,411 |
SEE NOTES TO FINANCIAL STATEMENTS.
A109
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
BANK LOANS (continued) |
| |||||||||||||||
Media (continued) |
| |||||||||||||||
Meredith Corp., | ||||||||||||||||
Term B-2 Loan, 3 Month LIBOR + 2.500% |
| |||||||||||||||
3.260%(c) | 01/31/25 | 220 | $ | 203,919 | ||||||||||||
Term Loan |
| |||||||||||||||
—%(p) | 01/31/25^ | 275 | 261,937 | |||||||||||||
|
| |||||||||||||||
906,067 | ||||||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.0% |
| |||||||||||||||
FGI Operating Co. LLC, |
| |||||||||||||||
Exit Term Loan, 3 Month LIBOR + 10.000% |
| |||||||||||||||
12.000%(c) | 05/15/22^ | 26 | 26,310 | |||||||||||||
|
| |||||||||||||||
Oil & Gas — 0.5% |
| |||||||||||||||
California Resources Corp., |
| |||||||||||||||
Term Loan (11/17), 3 Month LIBOR + 4.750% |
| |||||||||||||||
5.750%(c) | 12/31/22 | 1,102 | 380,121 | |||||||||||||
Chesapeake Energy Corp., |
| |||||||||||||||
Term Loan |
| |||||||||||||||
—%(p) | 06/23/24 | 2,875 | 1,631,563 | |||||||||||||
Citgo Holding, Inc., |
| |||||||||||||||
Term Loan, 3 Month LIBOR + 7.000% |
| |||||||||||||||
8.000%(c) | 08/01/23 | 249 | 235,066 | |||||||||||||
CITGO Petroleum Corp., |
| |||||||||||||||
2019 Incremental Term B Loan, 3 Month LIBOR + 5.000% |
| |||||||||||||||
6.000%(c) | 03/27/24^ | 562 | 537,319 | |||||||||||||
|
| |||||||||||||||
2,784,069 | ||||||||||||||||
|
| |||||||||||||||
Packaging & Containers — 0.1% |
| |||||||||||||||
Berry Global, Inc., |
| |||||||||||||||
Term W Loan, 1 Month LIBOR + 2.000% |
| |||||||||||||||
2.177%(c) | 10/01/22 | 150 | 145,758 | |||||||||||||
Reynolds Group Holdings, Inc., |
| |||||||||||||||
Incremental U.S. Term Loan, 1 Month LIBOR + 2.750% |
| |||||||||||||||
2.928%(c) | 02/06/23 | 257 | 244,350 | |||||||||||||
|
| |||||||||||||||
390,108 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 0.2% |
| |||||||||||||||
Bausch Health Co., Inc., |
| |||||||||||||||
Initial Term Loan, 1 Month LIBOR + 3.000% |
| |||||||||||||||
3.190%(c) | 06/02/25 | 647 | 627,091 | |||||||||||||
Mallinckrodt International Finance SA, |
| |||||||||||||||
2017 Term B Loan, 6 Month LIBOR + 2.750% |
| |||||||||||||||
3.500%(c) | 09/24/24 | 457 | 338,541 | |||||||||||||
2018 Incremental Term Loan, 3 Month LIBOR + 3.000% |
| |||||||||||||||
3.750%(c) | 02/24/25 | 139 | 101,190 | |||||||||||||
|
| |||||||||||||||
1,066,822 | ||||||||||||||||
|
| |||||||||||||||
Retail — 0.3% | ||||||||||||||||
Claire’s Stores, Inc., |
| |||||||||||||||
Term Loan B, 3 Month LIBOR + 6.500% |
| |||||||||||||||
6.808%(c) | 12/18/26 | 636 | 502,052 | |||||||||||||
EG America LLC (United Kingdom), |
| |||||||||||||||
Second Lien Facility (USD),1 - 6Month LIBOR + 8.000% |
| |||||||||||||||
9.072%(c) | 04/20/26^ | 532 | 478,925 | |||||||||||||
Neiman Marcus Group Ltd. LLC, |
| |||||||||||||||
Term Loan | ||||||||||||||||
—%(p) | 10/25/23 | 107 | 24,270 | |||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
BANK LOANS (continued) |
| |||||||||||||||
Retail (continued) |
| |||||||||||||||
PetSmart, Inc., | ||||||||||||||||
Tranche B-2 Loan, 3 Month LIBOR + 4.000% |
| |||||||||||||||
5.000%(c) | 03/11/22 | 522 | $ | 514,981 | ||||||||||||
Staples, Inc., |
| |||||||||||||||
2019 Refinancing New Term B-1 Loans, 3 Month LIBOR + 5.000% |
| |||||||||||||||
5.687%(c) | 04/16/26 | 215 | 183,393 | |||||||||||||
Steinway Musical Instruments, Inc., |
| |||||||||||||||
First Lien Term Loan B, 1 Month LIBOR + 3.750% |
| |||||||||||||||
4.750%(c) | 02/13/25 | 139 | 130,468 | |||||||||||||
|
| |||||||||||||||
1,834,089 | ||||||||||||||||
|
| |||||||||||||||
Software — 0.6% |
| |||||||||||||||
Boxer Parent Co., Inc., |
| |||||||||||||||
Initial Dollar Term Loan, 1 Month LIBOR + 4.250% |
| |||||||||||||||
4.428%(c) | 10/02/25 | 441 | 415,826 | |||||||||||||
Finastra USA, Inc., |
| |||||||||||||||
Dollar Term Loan (Second Lien), 3 Month LIBOR + 7.250% |
| |||||||||||||||
8.250%(c) | 06/13/25 | 1,075 | 927,571 | |||||||||||||
Greeneden US Holdings II LLC, |
| |||||||||||||||
Tranche B-3 Dollar Term Loan, 1 Month LIBOR + 3.250% |
| |||||||||||||||
3.428%(c) | 12/01/23 | 210 | 202,525 | |||||||||||||
Informatica LLC, | ||||||||||||||||
Dollar 2020 Term Loan, 1 Month LIBOR + 3.250% |
| |||||||||||||||
3.428%(c) | 02/25/27 | 92 | 87,411 | |||||||||||||
Second Lien Initial Loan, 3 Month LIBOR + 7.125% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
7.125%(c) | 02/25/25 | 400 | 399,500 | |||||||||||||
Kronos, Inc., | ||||||||||||||||
Second Lien Initial Term Loan, 1 Month LIBOR + 8.250% |
| |||||||||||||||
9.250%(c) | 11/01/24 | 625 | 622,097 | |||||||||||||
TIBCO Software, Inc., |
| |||||||||||||||
Second Lien Term Loan, 1 Month LIBOR + 7.250% |
| |||||||||||||||
7.430%(c) | 03/03/28 | 650 | 621,562 | |||||||||||||
Term Loan B-3, 1 Month LIBOR + 3.750% |
| |||||||||||||||
3.930%(c) | 06/30/26 | 249 | 237,090 | |||||||||||||
|
| |||||||||||||||
3,513,582 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 0.5% |
| |||||||||||||||
Avaya, Inc., | ||||||||||||||||
Tranche B Term Loan, 1 Month LIBOR + 4.250% |
| |||||||||||||||
4.435%(c) | 12/15/24 | 223 | 204,928 | |||||||||||||
CenturyLink, Inc., |
| |||||||||||||||
Term B Loan, 1 Month LIBOR + 2.250% |
| |||||||||||||||
2.428%(c) | 03/15/27 | 249 | 234,104 | |||||||||||||
Cincinnati Bell, Inc., |
| |||||||||||||||
Tranche B Term Loan, 1 Month LIBOR + 3.250% |
| |||||||||||||||
4.250%(c) | 10/02/24 | 348 | 343,023 | |||||||||||||
Intelsat Jackson Holdings SA (Luxembourg), |
| |||||||||||||||
SuperPriority Secured DIP Term Loan, 3 Month LIBOR + 5.500% |
| |||||||||||||||
6.500%(c) | 07/14/21 | 252 | 255,554 | |||||||||||||
West Corp., | ||||||||||||||||
Initial Term B Loan, 3 Month LIBOR + 4.000% |
| |||||||||||||||
5.000%(c) | 10/10/24 | 199 | 169,431 | |||||||||||||
Windstream Services LLC, |
| |||||||||||||||
New Tranche B-6 Term Loan, PRIME + 5.000% |
| |||||||||||||||
8.250%(c) | 03/29/21 | 133 | 79,936 |
SEE NOTES TO FINANCIAL STATEMENTS.
A110
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
BANK LOANS (continued) |
| |||||||||||||||
Telecommunications (continued) |
| |||||||||||||||
Xplornet Communications, Inc. (Canada), |
| |||||||||||||||
Initial Term Loan, 1 Month LIBOR + 4.750% |
| |||||||||||||||
4.928%(c) | 06/10/27 | 925 | $ | 881,833 | ||||||||||||
Zayo Group Holdings, Inc., |
| |||||||||||||||
Initial Dollar Term Loan, 1 Month LIBOR + 3.000% |
| |||||||||||||||
3.178%(c) | 03/09/27 | 329 | 311,276 | |||||||||||||
|
| |||||||||||||||
2,480,085 | ||||||||||||||||
|
| |||||||||||||||
TOTAL BANK LOANS |
| 30,905,400 | ||||||||||||||
|
| |||||||||||||||
CONVERTIBLE BONDS — 0.1% |
| |||||||||||||||
Media — 0.1% |
| |||||||||||||||
Liberty Interactive LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 02/15/30 | 368 | 250,329 | |||||||||||||
4.000% | 11/15/29 | 504 | 344,402 | |||||||||||||
|
| |||||||||||||||
594,731 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas — 0.0% |
| |||||||||||||||
Whiting Petroleum Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
1.250% | 04/01/20 | (d) | 161 | 25,529 | ||||||||||||
|
| |||||||||||||||
Telecommunications — 0.0% |
| |||||||||||||||
Digicel Group 0.5 Ltd. (Jamaica), |
| |||||||||||||||
Sub. Notes, 144A, Cash coupon 7.000% or PIK N/A |
| |||||||||||||||
7.000% | – | (rr) | 44 | 3,109 | ||||||||||||
|
| |||||||||||||||
TOTAL CONVERTIBLE BONDS |
| 623,369 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 85.3% |
| |||||||||||||||
Advertising — 0.6% |
| |||||||||||||||
Lamar Media Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.000% | 02/15/30 | 345 | 331,198 | |||||||||||||
Mood Media Borrower LLC/Mood Media Co-Issuer, Inc., Sec’d. Notes, 144A, Cash pays ((6 Month LIBOR + 14.000%)/(1—Statutory Reserves)) or PIK 8.000% |
| |||||||||||||||
15.909%(c) | 12/31/23^ | 95 | 26,591 | |||||||||||||
National CineMedia LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.875% | 04/15/28 | 425 | 355,595 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 08/15/26 | 1,365 | 956,005 | |||||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250% | 06/15/25 | 300 | 304,281 | |||||||||||||
Terrier Media Buyer, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.875% | 12/15/27 | (a) | 1,470 | 1,413,488 | ||||||||||||
|
| |||||||||||||||
3,387,158 | ||||||||||||||||
|
| |||||||||||||||
Aerospace & Defense — 2.3% |
| |||||||||||||||
Boeing Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.150% | 05/01/30 | 1,225 | 1,365,268 | |||||||||||||
5.805% | 05/01/50 | 1,575 | 1,857,077 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Aerospace & Defense (continued) |
| |||||||||||||||
Bombardier, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.450% | 05/01/34 | 75 | $ | 47,130 | ||||||||||||
7.500% | 12/01/24 | 2,575 | 1,673,806 | |||||||||||||
7.500% | 03/15/25 | (a) | 2,175 | 1,417,249 | ||||||||||||
7.875% | 04/15/27 | 2,900 | 1,893,401 | |||||||||||||
8.750% | 12/01/21 | 700 | 569,733 | |||||||||||||
Howmet Aerospace, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.125% | 10/01/24 | 525 | 541,680 | |||||||||||||
6.750% | 01/15/28 | 483 | 526,588 | |||||||||||||
6.875% | 05/01/25 | 250 | 271,548 | |||||||||||||
Spirit AeroSystems, Inc., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
7.500% | 04/15/25 | (a) | 760 | 754,090 | ||||||||||||
SSL Robotics LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.750% | 12/31/23 | 775 | 830,124 | |||||||||||||
TransDigm UK Holdings PLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.875% | 05/15/26 | 75 | 69,862 | |||||||||||||
TransDigm, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 03/15/26 | 757 | 757,272 | |||||||||||||
|
| |||||||||||||||
12,574,828 | ||||||||||||||||
|
| |||||||||||||||
Agriculture — 0.3% |
| |||||||||||||||
Vector Group Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
10.500% | 11/01/26 | 300 | 301,441 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.125% | 02/01/25 | 1,575 | 1,512,410 | |||||||||||||
|
| |||||||||||||||
1,813,851 | ||||||||||||||||
|
| |||||||||||||||
Airlines — 0.0% |
| |||||||||||||||
United Airlines Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 02/01/24 | 234 | 190,530 | |||||||||||||
Apparel — 0.2% |
| |||||||||||||||
William Carter Co. (The), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 05/15/25 | 400 | 412,112 | |||||||||||||
Wolverine World Wide, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 09/01/26 | 300 | 290,332 | |||||||||||||
6.375% | 05/15/25 | 275 | 288,817 | |||||||||||||
|
| |||||||||||||||
991,261 | ||||||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 1.9% |
| |||||||||||||||
Allison Transmission, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.000% | 10/01/24 | (a) | 385 | 386,623 | ||||||||||||
5.875% | 06/01/29 | (a) | 380 | 395,397 | ||||||||||||
Ford Motor Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.750% | 01/15/43 | 2,100 | 1,656,251 | |||||||||||||
5.291% | 12/08/46 | 1,650 | 1,359,605 |
SEE NOTES TO FINANCIAL STATEMENTS.
A111
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Auto Manufacturers (continued) |
| |||||||||||||||
Ford Motor Co., (continued) |
| |||||||||||||||
9.000% | 04/22/25 | 1,380 | $ | 1,492,172 | ||||||||||||
9.625% | 04/22/30 | 275 | 325,975 | |||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.343% | 11/02/20 | 250 | 250,029 | |||||||||||||
4.271% | 01/09/27 | 490 | 457,908 | |||||||||||||
4.542% | 08/01/26 | 445 | 423,429 | |||||||||||||
5.125% | 06/16/25 | (a) | 320 | 319,680 | ||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
4.389% | 01/08/26 | 910 | 863,767 | |||||||||||||
JB Poindexter & Co., Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.125% | 04/15/26 | 219 | 220,630 | |||||||||||||
Navistar International Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.625% | 11/01/25 | 1,700 | 1,611,846 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.500% | 05/01/25 | 375 | 402,523 | |||||||||||||
|
| |||||||||||||||
10,165,835 | ||||||||||||||||
|
| |||||||||||||||
Auto Parts & Equipment — 1.8% |
| |||||||||||||||
Adient Global Holdings Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 08/15/26 | (a) | 1,800 | 1,491,627 | ||||||||||||
Adient US LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.000% | 05/15/26 | (a) | 365 | 377,476 | ||||||||||||
9.000% | 04/15/25 | 125 | 134,703 | |||||||||||||
American Axle & Manufacturing, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.250% | 04/01/25 | (a) | 1,335 | 1,311,590 | ||||||||||||
6.250% | 03/15/26 | (a) | 1,993 | 1,935,410 | ||||||||||||
6.625% | 10/15/22 | 155 | 156,867 | |||||||||||||
Clarios Global LP/Clarios U.S. Finance Co., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 05/15/26 | (a) | 580 | 597,995 | ||||||||||||
Cooper-Standard Automotive, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 11/15/26 | 930 | 590,346 | |||||||||||||
Dana Financing Luxembourg Sarl, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 06/01/26 | (a) | 1,740 | 1,802,753 | ||||||||||||
Dana, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.375% | 11/15/27 | 420 | 417,185 | |||||||||||||
5.500% | 12/15/24 | 15 | 15,120 | |||||||||||||
5.625% | 06/15/28 | 115 | 114,080 | |||||||||||||
Delphi Technologies PLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 10/01/25 | 375 | 402,490 | |||||||||||||
Tenneco, Inc., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
5.000% | 07/15/26 | 60 | 40,839 | |||||||||||||
5.375% | 12/15/24 | 255 | 170,386 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Auto Parts & Equipment (continued) |
| |||||||||||||||
Titan International, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
6.500% | 11/30/23 | 900 | $ | 588,782 | ||||||||||||
|
| |||||||||||||||
10,147,649 | ||||||||||||||||
|
| |||||||||||||||
Banks — 0.5% | ||||||||||||||||
Bank of America Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series AA |
| |||||||||||||||
6.100%(ff) | – | (rr) | 308 | 327,197 | ||||||||||||
Barclays PLC (United Kingdom), |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
7.750%(ff) | – | (rr) | 330 | 335,994 | ||||||||||||
CIT Group, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.750% | 02/16/24 | (a) | 125 | 126,680 | ||||||||||||
5.000% | 08/01/23 | (a) | 550 | 560,642 | ||||||||||||
5.250% | 03/07/25 | (a) | 200 | 207,456 | ||||||||||||
Citigroup, Inc., | ||||||||||||||||
Jr. Sub. Notes, Series R |
| |||||||||||||||
6.125%(ff) | – | (rr) | 370 | 361,722 | ||||||||||||
Royal Bank of Scotland Group PLC (United Kingdom), |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
7.500%(ff) | – | (rr) | 280 | 281,057 | ||||||||||||
8.625%(ff) | – | (rr) | 225 | 232,894 | ||||||||||||
Sub. Notes | ||||||||||||||||
6.000% | 12/19/23 | 250 | 280,027 | |||||||||||||
|
| |||||||||||||||
2,713,669 | ||||||||||||||||
|
| |||||||||||||||
Building Materials — 1.6% |
| |||||||||||||||
American Woodmark Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 03/15/26 | 15 | 14,673 | |||||||||||||
Builders FirstSource, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.750% | 06/01/27 | 175 | 179,123 | |||||||||||||
Cornerstone Building Brands, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.000% | 04/15/26 | (a) | 775 | 782,422 | ||||||||||||
Griffon Corp., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
5.750% | 03/01/28 | (a) | 1,525 | 1,507,219 | ||||||||||||
JELD-WEN, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 12/15/25 | 250 | 239,974 | |||||||||||||
4.875% | 12/15/27 | (a) | 365 | 350,564 | ||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 05/15/25 | 125 | 130,659 | |||||||||||||
Masonite International Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 02/01/28 | 350 | 358,289 | |||||||||||||
Patrick Industries, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.500% | 10/15/27 | 400 | 413,195 | |||||||||||||
Standard Industries, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 07/15/30 | 500 | 494,736 | |||||||||||||
4.750% | 01/15/28 | (a) | 1,390 | 1,409,237 |
SEE NOTES TO FINANCIAL STATEMENTS.
A112
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Building Materials (continued) |
| |||||||||||||||
Standard Industries, Inc., (continued) |
| |||||||||||||||
5.000% | 02/15/27 | 540 | $ | 551,336 | ||||||||||||
Summit Materials LLC/Summit Materials Finance Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.125% | 07/15/23 | 481 | 479,686 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.125% | 06/01/25 | 112 | 111,451 | |||||||||||||
U.S. Concrete, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.375% | 06/01/24 | (a) | 1,750 | 1,736,865 | ||||||||||||
|
| |||||||||||||||
8,759,429 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 3.1% |
| |||||||||||||||
Ashland LLC, | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
6.875% | 05/15/43 | 1,175 | 1,357,133 | |||||||||||||
Atotech Alpha 2 BV (Germany), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, Cash coupon 8.750% or PIK 9.500% |
| |||||||||||||||
8.750% | 06/01/23 | (a) | 1,000 | 998,706 | ||||||||||||
Chemours Co. (The), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.375% | 05/15/27 | (a) | 450 | 407,764 | ||||||||||||
6.625% | 05/15/23 | 195 | 186,648 | |||||||||||||
7.000% | 05/15/25 | (a) | 1,946 | 1,859,610 | ||||||||||||
Cornerstone Chemical Co., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.750% | 08/15/24 | 1,005 | 902,536 | |||||||||||||
CVR Partners LP/CVR Nitrogen Finance Corp., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
9.250% | 06/15/23 | 897 | 876,999 | |||||||||||||
Hexion, Inc., | ||||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.875% | 07/15/27 | (a) | 1,410 | 1,310,893 | ||||||||||||
Minerals Technologies, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.000% | 07/01/28 | 225 | 228,371 | |||||||||||||
NOVA Chemicals Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 06/01/24 | 275 | 255,886 | |||||||||||||
5.000% | 05/01/25 | 393 | 364,035 | |||||||||||||
5.250% | 06/01/27 | (a) | 1,153 | 1,014,444 | ||||||||||||
OCI NV (Netherlands), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.250% | 11/01/24 | 250 | 240,608 | |||||||||||||
Olin Corp., | ||||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
9.500% | 06/01/25 | 425 | 473,871 | |||||||||||||
PolyOne Corp., | ||||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.750% | 05/15/25 | 175 | 180,096 | |||||||||||||
Rain CII Carbon LLC/CII Carbon Corp., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
7.250% | 04/01/25 | 960 | 936,405 | |||||||||||||
Starfruit Finco BV/Starfruit US Holdco LLC (Netherlands), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.000% | 10/01/26 | (a) | 975 | 1,001,904 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Chemicals (continued) |
| |||||||||||||||
TPC Group, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
10.500% | 08/01/24 | 850 | $ | 764,422 | ||||||||||||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 09/01/25 | (a) | 303 | 288,321 | ||||||||||||
Tronox Finance PLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 10/01/25 | (a) | 680 | 627,738 | ||||||||||||
Tronox, Inc., | ||||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.500% | 05/01/25 | 1,130 | 1,142,781 | |||||||||||||
Venator Finance Sarl/Venator Materials LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 07/15/25 | (a) | 1,068 | 760,859 | ||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.500% | 07/01/25 | 325 | 332,398 | |||||||||||||
WR Grace & Co-Conn, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 06/15/27 | 225 | 227,910 | |||||||||||||
|
| |||||||||||||||
16,740,338 | ||||||||||||||||
|
| |||||||||||||||
Coal — 0.0% | ||||||||||||||||
Peabody Energy Corp., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.000% | 03/31/22 | 134 | 87,308 | |||||||||||||
|
| |||||||||||||||
Commercial Services — 3.6% |
| |||||||||||||||
ACE Cash Express, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
12.000% | 12/15/22 | 544 | 388,405 | |||||||||||||
ADT Security Corp. (The), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.875% | 07/15/32 | (a) | 370 | 338,479 | ||||||||||||
Ahern Rentals, Inc., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
7.375% | 05/15/23 | 642 | 293,009 | |||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.625% | 07/15/26 | 106 | 111,240 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
9.750% | 07/15/27 | (a) | 1,352 | 1,424,366 | ||||||||||||
AMN Healthcare, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 10/01/27 | 175 | 170,460 | |||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 03/15/25 | 608 | 472,602 | |||||||||||||
5.750% | 07/15/27 | 227 | 173,431 | |||||||||||||
6.375% | 04/01/24 | 110 | 90,455 | |||||||||||||
Brink’s Co. (The), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 10/15/27 | (a) | 692 | 663,635 | ||||||||||||
Gartner, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.500% | 07/01/28 | 490 | 494,958 |
SEE NOTES TO FINANCIAL STATEMENTS.
A113
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Commercial Services (continued) |
| |||||||||||||||
Herc Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 07/15/27 | (a) | 539 | $ | 541,644 | |||||||||||
Hertz Corp. (The), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 10/15/24 | (d) | 484 | 150,615 | ||||||||||||
6.000% | 01/15/28 | (d) | 379 | 118,334 | ||||||||||||
7.125% | 08/01/26 | (d) | 255 | 79,594 | ||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
7.625% | 06/01/22 | (d) | 69 | 52,857 | ||||||||||||
Laureate Education, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.250% | 05/01/25 | (a) | 1,975 | 2,053,577 | ||||||||||||
MPH Acquisition Holdings LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.125% | 06/01/24 | (a) | 393 | 365,451 | ||||||||||||
Nielsen Co. Luxembourg SARL (The), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 02/01/25 | 126 | 125,286 | |||||||||||||
Nielsen Finance LLC/Nielsen Finance Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 04/15/22 | (a) | 1,400 | 1,394,979 | ||||||||||||
Refinitiv US Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.250% | 11/15/26 | (a) | 1,016 | 1,099,744 | ||||||||||||
Service Corp. International, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.625% | 12/15/27 | 380 | 395,972 | |||||||||||||
Team Health Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.375% | 02/01/25 | 806 | 479,882 | |||||||||||||
United Rentals North America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 07/15/30 | (a) | 600 | 580,966 | ||||||||||||
4.625% | 10/15/25 | 340 | 341,500 | |||||||||||||
4.875% | 01/15/28 | 1,655 | 1,695,823 | |||||||||||||
5.250% | 01/15/30 | 2,575 | 2,661,867 | |||||||||||||
5.875% | 09/15/26 | 586 | 613,849 | |||||||||||||
6.500% | 12/15/26 | 796 | 835,958 | |||||||||||||
Verscend Escrow Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
9.750% | 08/15/26 | (a) | 1,270 | 1,368,301 | ||||||||||||
|
| |||||||||||||||
19,577,239 | ||||||||||||||||
|
| |||||||||||||||
Computers — 1.3% |
| |||||||||||||||
Banff Merger Sub, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
9.750% | 09/01/26 | (a) | 1,905 | 1,919,038 | ||||||||||||
Dell International LLC/EMC Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 06/15/21 | 142 | 142,028 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.020% | 06/15/26 | 675 | 772,235 | |||||||||||||
6.100% | 07/15/27 | 125 | 144,348 | |||||||||||||
Everi Payments, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.500% | 12/15/25 | 886 | 859,448 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Computers (continued) |
| |||||||||||||||
Exela Intermediate LLC/Exela Finance, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
10.000% | 07/15/23 | 935 | $ | 237,635 | ||||||||||||
MTS Systems Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 08/15/27 | 205 | 189,103 | |||||||||||||
NCR Corp., | ||||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 09/01/27 | 1,375 | 1,373,298 | |||||||||||||
6.125% | 09/01/29 | 215 | 215,913 | |||||||||||||
8.125% | 04/15/25 | 175 | 185,561 | |||||||||||||
Presidio Holdings, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.875% | 02/01/27 | 150 | 146,555 | |||||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.750% | 06/01/25 | 175 | 179,286 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.750% | 06/01/25 | 500 | 507,109 | |||||||||||||
Western Digital Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 02/15/26 | 300 | 310,760 | |||||||||||||
|
| |||||||||||||||
7,182,317 | ||||||||||||||||
|
| |||||||||||||||
Cosmetics/Personal Care — 0.0% |
| |||||||||||||||
Revlon Consumer Products Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.250% | 08/01/24 | 229 | 51,362 | |||||||||||||
|
| |||||||||||||||
Distribution/Wholesale — 0.4% |
| |||||||||||||||
Core & Main Holdings LP, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, Cash coupon 8.625% or PIK 9.375% |
| |||||||||||||||
8.625% | 09/15/24 | 825 | 825,727 | |||||||||||||
H&E Equipment Services, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.625% | 09/01/25 | (a) | 450 | 455,702 | ||||||||||||
Performance Food Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 10/15/27 | 246 | 237,417 | |||||||||||||
Wolverine Escrow LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.000% | 11/15/26 | 465 | 340,472 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
13.125% | 11/15/27 | 215 | 141,566 | |||||||||||||
|
| |||||||||||||||
2,000,884 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 2.8% |
| |||||||||||||||
Alliance Data Systems Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.750% | 12/15/24 | 650 | 584,216 | |||||||||||||
Ally Financial, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
8.000% | 11/01/31 | (a) | 320 | 418,244 | ||||||||||||
Sub. Notes | ||||||||||||||||
5.750% | 11/20/25 | (a) | 480 | 513,008 | ||||||||||||
CNG Holdings, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
12.500% | 06/15/24 | 159 | 139,211 |
SEE NOTES TO FINANCIAL STATEMENTS.
A114
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Diversified Financial Services (continued) |
| |||||||||||||||
Fairstone Financial, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.875% | 07/15/24 | 590 | $ | 586,868 | ||||||||||||
Global Aircraft Leasing Co. Ltd. (Cayman Islands), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, Cash coupon 6.500% or PIK 7.250% |
| |||||||||||||||
6.500% | 09/15/24 | 300 | 211,791 | |||||||||||||
ILFC E-Capital Trust II, |
| |||||||||||||||
Ltd. Gtd. Notes, 144A |
| |||||||||||||||
3.270%(cc) | 12/21/65 | 1,206 | 626,783 | |||||||||||||
LPL Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 09/15/25 | 1,055 | 1,068,381 | |||||||||||||
Nationstar Mortgage Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 01/15/27 | 550 | 528,385 | |||||||||||||
8.125% | 07/15/23 | 460 | 471,698 | |||||||||||||
9.125% | 07/15/26 | 3,542 | 3,745,452 | |||||||||||||
Navient Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.500% | 06/15/22 | (a) | 450 | 442,273 | ||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
6.125% | 03/25/24 | 615 | 585,433 | |||||||||||||
Quicken Loans LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 05/01/25 | 680 | 695,451 | |||||||||||||
Springleaf Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.625% | 01/15/28 | (a) | 1,020 | 1,007,981 | ||||||||||||
7.125% | 03/15/26 | 3,478 | 3,598,340 | |||||||||||||
|
| |||||||||||||||
15,223,515 | ||||||||||||||||
|
| |||||||||||||||
Electric — 2.4% |
| |||||||||||||||
AES Corp. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 05/15/26 | 310 | 322,594 | |||||||||||||
Calpine Corp., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.250% | 06/01/26 | 235 | 237,482 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 01/15/25 | (a) | 2,613 | 2,638,649 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.125% | 03/15/28 | 4,676 | 4,571,549 | |||||||||||||
Keystone Power Pass-Through Holders LLC/Conemaugh Power Pass-Through Holders, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.000% | 12/01/23 | 214 | 203,572 | |||||||||||||
Sub. Notes, 144A, Cash coupon 13.000% or PIK N/A |
| |||||||||||||||
13.000% | 06/01/24 | 718 | 718,611 | |||||||||||||
NextEra Energy Operating Partners LP, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.250% | 07/15/24 | 143 | 143,921 | |||||||||||||
4.500% | 09/15/27 | (a) | 275 | 287,711 | ||||||||||||
NRG Energy, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.625% | 01/15/27 | (a) | 763 | 799,215 | ||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 06/15/29 | (a) | 377 | 397,492 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (continued) |
| |||||||||||||||
PG&E Corp., |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.000% | 07/01/28 | 730 | $ | 726,002 | ||||||||||||
5.250% | 07/01/30 | 235 | 236,139 | |||||||||||||
Terraform Global Operating LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.125% | 03/01/26 | 145 | 142,438 | |||||||||||||
Texas Competitive Electric Holdings Co. LLC, Escrow Shares, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.000% | 12/30/20^ | 3,975 | 397 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.000% | 10/10/99^ | 6,875 | 2,751 | |||||||||||||
Vistra Operations Co. LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 07/31/27 | 374 | 379,319 | |||||||||||||
5.500% | 09/01/26 | 1,395 | 1,427,803 | |||||||||||||
5.625% | 02/15/27 | 4 | 4,105 | |||||||||||||
|
| |||||||||||||||
13,239,750 | ||||||||||||||||
|
| |||||||||||||||
Electrical Components & Equipment — 0.3% |
| |||||||||||||||
Energizer Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.375% | 07/15/26 | 130 | 134,457 | |||||||||||||
7.750% | 01/15/27 | (a) | 565 | 603,828 | ||||||||||||
WESCO Distribution, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 06/15/24 | 205 | 205,062 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.125% | 06/15/25 | 350 | 369,057 | |||||||||||||
7.250% | 06/15/28 | 420 | 442,677 | |||||||||||||
|
| |||||||||||||||
1,755,081 | ||||||||||||||||
|
| |||||||||||||||
Electronics — 0.1% |
| |||||||||||||||
Sensata Technologies BV, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 10/01/25 | (a) | 512 | 545,238 | ||||||||||||
|
| |||||||||||||||
Energy-Alternate Sources — 0.1% |
| |||||||||||||||
Enviva Partners LP/Enviva Partners Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 01/15/26 | 475 | 493,965 | |||||||||||||
TerraForm Power Operating LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 01/31/28 | 205 | 215,432 | |||||||||||||
|
| |||||||||||||||
709,397 | ||||||||||||||||
|
| |||||||||||||||
Engineering & Construction — 0.5% |
| |||||||||||||||
AECOM, | ||||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 03/15/27 | (a) | 100 | 107,421 | ||||||||||||
5.875% | 10/15/24 | 975 | 1,054,578 | |||||||||||||
MasTec, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 03/15/23 | 435 | 434,669 | |||||||||||||
PowerTeam Services LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.033% | 12/04/25 | 350 | 356,445 |
SEE NOTES TO FINANCIAL STATEMENTS.
A115
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Engineering & Construction (continued) |
| |||||||||||||||
TopBuild Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 05/01/26 | 850 | $ | 873,877 | ||||||||||||
|
| |||||||||||||||
2,826,990 | ||||||||||||||||
|
| |||||||||||||||
Entertainment — 3.4% |
| |||||||||||||||
AMC Entertainment Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 06/15/25 | 1,165 | 368,218 | |||||||||||||
5.875% | 11/15/26 | 2,894 | 923,746 | |||||||||||||
6.125% | 05/15/27 | 275 | 82,998 | |||||||||||||
Boyne USA, Inc., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
7.250% | 05/01/25 | 143 | 149,794 | |||||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 10/15/25 | (a) | 2,250 | 1,958,297 | ||||||||||||
CCM Merger, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.000% | 03/15/22 | 294 | 289,842 | |||||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 04/15/27 | 18 | 16,110 | |||||||||||||
Chukchansi Economic Development Authority, |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
9.750% | 05/30/20 | (d) | 635 | 254,079 | ||||||||||||
Cinemark USA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 06/01/23 | 244 | 206,475 | |||||||||||||
Colt Merger Sub, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 07/01/25 | 380 | 382,397 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.125% | 07/01/27 | 400 | 389,000 | |||||||||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
10.500% | 02/15/23 | 554 | 464,554 | |||||||||||||
Eldorado Resorts, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.000% | 04/01/25 | 200 | 209,058 | |||||||||||||
7.000% | 08/01/23 | 1,060 | 1,089,329 | |||||||||||||
Enterprise Development Authority (The), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
12.000% | 07/15/24 | 273 | 274,873 | |||||||||||||
Gateway Casinos & Entertainment Ltd. (Canada), |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
8.250% | 03/01/24 | 340 | 270,322 | |||||||||||||
Golden Entertainment, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.625% | 04/15/26 | 1,650 | 1,537,652 | |||||||||||||
International Game Technology PLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.250% | 01/15/29 | 200 | 195,335 | |||||||||||||
6.250% | 01/15/27 | (a) | 1,125 | 1,147,490 | ||||||||||||
6.500% | 02/15/25 | 600 | 612,962 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Entertainment (continued) |
| |||||||||||||||
Jacobs Entertainment, Inc., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
7.875% | 02/01/24 | 1,050 | $ | 906,748 | ||||||||||||
Live Nation Entertainment, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.750% | 10/15/27 | 225 | 194,170 | |||||||||||||
5.625% | 03/15/26 | 268 | 254,009 | |||||||||||||
Merlin Entertainments Ltd. (United Kingdom), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 06/15/26 | 200 | 192,784 | |||||||||||||
Motion Bondco DAC (United Kingdom), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.625% | 11/15/27 | (a) | 625 | 553,531 | ||||||||||||
Penn National Gaming, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.625% | 01/15/27 | (a) | 1,325 | 1,241,002 | ||||||||||||
Scientific Games International, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.250% | 11/15/29 | 425 | 341,010 | |||||||||||||
8.250% | 03/15/26 | (a) | 1,875 | 1,663,909 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.625% | 07/01/25 | 800 | 748,069 | |||||||||||||
Six Flags Entertainment Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 07/31/24 | (a) | 365 | 327,277 | ||||||||||||
5.500% | 04/15/27 | (a) | 389 | 347,624 | ||||||||||||
Six Flags Theme Parks, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.000% | 07/01/25 | 125 | 129,753 | |||||||||||||
Twin River Worldwide Holdings, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.750% | 06/01/27 | 900 | 855,267 | |||||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.125% | 10/01/29 | 288 | 257,377 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.750% | 04/15/25 | 75 | 75,564 | |||||||||||||
|
| |||||||||||||||
18,910,625 | ||||||||||||||||
|
| |||||||||||||||
Food Service — 0.2% |
| |||||||||||||||
Aramark Services, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 04/01/25 | 375 | 369,191 | |||||||||||||
5.000% | 02/01/28 | (a) | 445 | 422,672 | ||||||||||||
6.375% | 05/01/25 | 250 | 258,134 | |||||||||||||
|
| |||||||||||||||
1,049,997 | ||||||||||||||||
|
| |||||||||||||||
Foods — 2.1% |
| |||||||||||||||
Albertson’s Cos., Inc./Safeway, Inc./New Albertson’s LP/Albertson’s LLC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.625% | 06/15/24 | 65 | 67,106 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 01/15/27 | 765 | 765,201 | |||||||||||||
7.500% | 03/15/26 | 262 | 283,612 | |||||||||||||
B&G Foods, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.250% | 04/01/25 | 325 | 326,873 |
SEE NOTES TO FINANCIAL STATEMENTS.
A116
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Foods (continued) |
| |||||||||||||||
B&G Foods, Inc., (continued) |
| |||||||||||||||
5.250% | 09/15/27 | (a) | 375 | $ | 375,490 | |||||||||||
Dole Food Co., Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.250% | 06/15/25 | 385 | 370,046 | |||||||||||||
JBS USA LUX SA/JBS USA Finance, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 06/15/25 | 1,358 | 1,376,031 | |||||||||||||
5.875% | 07/15/24 | 250 | 253,366 | |||||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 04/15/29 | (a) | 600 | 636,375 | ||||||||||||
Kraft Heinz Foods Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.950% | 07/15/25 | 1,220 | 1,299,009 | |||||||||||||
4.625% | 01/30/29 | 1,010 | 1,094,133 | |||||||||||||
5.000% | 06/04/42 | 395 | 412,023 | |||||||||||||
Lamb Weston Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 11/01/26 | (a) | 359 | 371,946 | ||||||||||||
New Albertsons LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.750% | 06/15/26 | 65 | 69,002 | |||||||||||||
8.000% | 05/01/31 | 190 | 211,946 | |||||||||||||
Picard Bondco SA (Luxembourg), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 11/30/24 | EUR | 100 | 111,788 | ||||||||||||
Picard Groupe SAS (France), |
| |||||||||||||||
Sr. Sec’d. Notes, 3 Month EURIBOR + 3.000% (Cap N/A, Floor 3.000%) |
| |||||||||||||||
3.000%(c) | 11/30/23 | EUR | 600 | 649,526 | ||||||||||||
Pilgrim’s Pride Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 03/15/25 | 300 | 299,092 | |||||||||||||
5.875% | 09/30/27 | (a) | 400 | 400,218 | ||||||||||||
Post Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 04/15/30 | 144 | 141,449 | |||||||||||||
5.000% | 08/15/26 | 991 | 995,640 | |||||||||||||
5.500% | 12/15/29 | 15 | 15,526 | |||||||||||||
5.625% | 01/15/28 | 15 | 15,489 | |||||||||||||
Sysco Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.650% | 04/01/25 | 50 | 58,533 | |||||||||||||
5.950% | 04/01/30 | 35 | 43,955 | |||||||||||||
US Foods, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 06/15/24 | (a) | 825 | 784,316 | ||||||||||||
|
| |||||||||||||||
11,427,691 | ||||||||||||||||
|
| |||||||||||||||
Gas — 0.7% |
| |||||||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.500% | 05/20/25 | 1,583 | 1,634,078 | |||||||||||||
5.625% | 05/20/24 | 500 | 519,204 | |||||||||||||
5.750% | 05/20/27 | 123 | 130,335 | |||||||||||||
5.875% | 08/20/26 | 1,303 | 1,386,130 | |||||||||||||
|
| |||||||||||||||
3,669,747 | ||||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Products — 0.2% |
| |||||||||||||||
Avantor, Inc., | ||||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.000% | 10/01/24 | 675 | $ | 703,628 | ||||||||||||
Hologic, Inc., | ||||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.375% | 10/15/25 | 436 | 440,965 | |||||||||||||
|
| |||||||||||||||
1,144,593 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 5.2% |
| |||||||||||||||
Acadia Healthcare Co., Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.500% | 03/01/24 | 100 | 101,666 | |||||||||||||
Catalent Pharma Solutions, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 01/15/26 | 274 | 279,403 | |||||||||||||
5.000% | 07/15/27 | 41 | 42,587 | |||||||||||||
Centene Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 02/15/30 | (a) | 300 | 302,688 | ||||||||||||
4.625% | 12/15/29 | 727 | 768,030 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.250% | 04/01/25 | 270 | 277,917 | |||||||||||||
CHS/Community Health Systems, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
6.250% | 03/31/23 | (a) | 703 | 662,216 | ||||||||||||
DaVita, Inc., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
5.000% | 05/01/25 | (a) | 910 | 930,383 | ||||||||||||
5.125% | 07/15/24 | 102 | 103,783 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 06/01/30 | (a) | 1,085 | 1,076,766 | ||||||||||||
Encompass Health Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.500% | 02/01/28 | 1,000 | 960,080 | |||||||||||||
Envision Healthcare Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.750% | 10/15/26 | 205 | 100,952 | |||||||||||||
Hadrian Merger Sub, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.500% | 05/01/26 | 271 | 246,455 | |||||||||||||
HCA, Inc., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
3.500% | 09/01/30 | 1,185 | 1,135,924 | |||||||||||||
5.375% | 02/01/25 | 3,255 | 3,502,512 | |||||||||||||
5.625% | 09/01/28 | (a) | 691 | 770,655 | ||||||||||||
5.875% | 02/15/26 | 1,730 | 1,897,180 | |||||||||||||
IQVIA, Inc., | ||||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 05/15/27 | 725 | 739,518 | |||||||||||||
MEDNAX, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250% | 01/15/27 | (a) | 615 | 615,055 | ||||||||||||
Polaris Intermediate Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, Cash coupon 8.500% or PIK 9.250% |
| |||||||||||||||
8.500% | 12/01/22 | (a) | 2,435 | 2,145,044 |
SEE NOTES TO FINANCIAL STATEMENTS.
A117
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Services (continued) |
| |||||||||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.750% | 12/01/26 | (a) | 2,400 | $ | 2,475,665 | |||||||||||
Surgery Center Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.750% | 07/01/25 | 83 | 74,962 | |||||||||||||
10.000% | 04/15/27 | (a) | 825 | 833,899 | ||||||||||||
Tenet Healthcare Corp., |
| |||||||||||||||
Sec’d. Notes |
| |||||||||||||||
5.125% | 05/01/25 | (a) | 450 | 435,450 | ||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 02/01/27 | (a) | 1,304 | 1,293,536 | ||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.625% | 07/15/24 | 936 | 916,813 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.625% | 09/01/24 | 119 | 117,628 | |||||||||||||
4.625% | 06/15/28 | 155 | 151,916 | |||||||||||||
4.875% | 01/01/26 | 1,115 | 1,092,528 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.875% | 11/15/31 | 2,400 | 2,162,905 | |||||||||||||
7.000% | 08/01/25 | (a) | 800 | 785,823 | ||||||||||||
8.125% | 04/01/22 | (a) | 1,480 | 1,550,347 | ||||||||||||
|
| |||||||||||||||
28,550,286 | ||||||||||||||||
|
| |||||||||||||||
Home Builders — 3.3% |
| |||||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.750% | 08/01/25 | 1,200 | 1,194,633 | |||||||||||||
9.875% | 04/01/27 | 925 | 981,191 | |||||||||||||
Beazer Homes USA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 10/15/27 | (a) | 825 | 787,995 | ||||||||||||
6.750% | 03/15/25 | 1,400 | 1,376,965 | |||||||||||||
7.250% | 10/15/29 | 375 | 362,726 | |||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 02/15/30 | 675 | 562,871 | |||||||||||||
6.250% | 09/15/27 | 1,100 | 1,051,287 | |||||||||||||
6.375% | 05/15/25 | 900 | 893,074 | |||||||||||||
Century Communities, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.750% | 06/01/27 | 775 | 799,261 | |||||||||||||
Forestar Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 03/01/28 | (a) | 425 | 410,477 | ||||||||||||
8.000% | 04/15/24 | 675 | 698,457 | |||||||||||||
KB Home, | ||||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.800% | 11/15/29 | 225 | 220,975 | |||||||||||||
Lennar Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 06/15/27 | 305 | 329,428 | |||||||||||||
5.875% | 11/15/24 | 400 | 437,009 | |||||||||||||
M/I Homes, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 08/01/25 | 850 | 866,938 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Home Builders (continued) |
| |||||||||||||||
Mattamy Group Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.625% | 03/01/30 | 800 | $ | 771,320 | ||||||||||||
Meritage Homes Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.125% | 06/06/27 | (a) | 925 | 954,575 | ||||||||||||
New Home Co., Inc. (The), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
7.250% | 04/01/22 | 475 | 441,673 | |||||||||||||
Shea Homes LP/Shea Homes Funding Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 02/15/28 | 450 | 425,740 | |||||||||||||
Taylor Morrison Communities, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 01/15/28 | (a) | 550 | 569,886 | ||||||||||||
5.875% | 01/31/25 | 1,750 | 1,774,552 | |||||||||||||
6.625% | 07/15/27 | 2,075 | 2,174,722 | |||||||||||||
TRI Pointe Group, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.700% | 06/15/28 | 170 | 173,763 | |||||||||||||
|
| |||||||||||||||
18,259,518 | ||||||||||||||||
|
| |||||||||||||||
Home Furnishings — 0.2% |
| |||||||||||||||
Tempur Sealy International, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.500% | 06/15/26 | 888 | 906,349 | |||||||||||||
|
| |||||||||||||||
Household Products/Wares — 0.4% |
| |||||||||||||||
ACCO Brands Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 12/15/24 | 418 | 424,531 | |||||||||||||
Central Garden & Pet Co., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.125% | 11/15/23 | 200 | 204,471 | |||||||||||||
Prestige Brands, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.125% | 01/15/28 | 320 | 321,221 | |||||||||||||
Spectrum Brands, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.750% | 07/15/25 | 237 | 243,132 | |||||||||||||
6.125% | 12/15/24 | 443 | 455,616 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 10/01/29 | 450 | 444,406 | |||||||||||||
5.500% | 07/15/30 | 100 | 100,079 | |||||||||||||
|
| |||||||||||||||
2,193,456 | ||||||||||||||||
|
| |||||||||||||||
Housewares — 0.2% |
| |||||||||||||||
CD&R Smokey Buyer, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.750% | 07/15/25 | 20 | 20,853 | |||||||||||||
Newell Brands, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.700%(cc) | 04/01/26 | (a) | 485 | 508,666 | ||||||||||||
5.875%(cc) | 04/01/36 | 310 | 328,600 |
SEE NOTES TO FINANCIAL STATEMENTS.
A118
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Housewares (continued) |
| |||||||||||||||
Scotts Miracle-Gro Co. (The), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 10/15/29 | 76 | $ | 78,207 | ||||||||||||
|
| |||||||||||||||
936,326 | ||||||||||||||||
|
| |||||||||||||||
Internet — 0.4% |
| |||||||||||||||
Netflix, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.875% | 11/15/28 | (a) | 528 | 600,816 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 06/15/30 | 425 | 454,853 | |||||||||||||
5.375% | 11/15/29 | 540 | 592,015 | |||||||||||||
Photo Holdings Merger Sub, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.500% | 10/01/26 | (a) | 575 | 543,308 | ||||||||||||
|
| |||||||||||||||
2,190,992 | ||||||||||||||||
|
| |||||||||||||||
Investment Companies — 0.1% |
| |||||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 09/15/24 | 570 | 538,839 | |||||||||||||
|
| |||||||||||||||
Iron/Steel — 0.2% |
| |||||||||||||||
Allegheny Technologies, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.875% | 12/01/27 | 155 | 143,750 | |||||||||||||
Cleveland-Cliffs, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.875% | 10/17/25 | 845 | 884,492 | |||||||||||||
Commercial Metals Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 05/15/23 | 67 | 68,360 | |||||||||||||
5.375% | 07/15/27 | 181 | 185,735 | |||||||||||||
|
| |||||||||||||||
1,282,337 | ||||||||||||||||
|
| |||||||||||||||
Leisure Time — 0.4% |
| |||||||||||||||
Constellation Merger Sub, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.500% | 09/15/25 | (a) | 363 | 290,196 | ||||||||||||
NCL Corp. Ltd., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
12.250% | 05/15/24 | 200 | 209,031 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.625% | 12/15/24 | (a) | 425 | 259,945 | ||||||||||||
Royal Caribbean Cruises Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.125% | 06/15/23 | 95 | 94,181 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
10.875% | 06/01/23 | 150 | 154,111 | |||||||||||||
11.500% | 06/01/25 | 75 | 78,165 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.650% | 11/28/20 | (a) | 400 | 388,002 | ||||||||||||
Sabre GLBL, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.375% | 04/15/23 | 650 | 613,142 | |||||||||||||
Viking Cruises Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 09/15/27 | 575 | 342,990 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Leisure Time (continued) |
| |||||||||||||||
Viking Cruises Ltd., (continued) |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
13.000% | 05/15/25 | 25 | $ | 26,254 | ||||||||||||
|
| |||||||||||||||
2,456,017 | ||||||||||||||||
|
| |||||||||||||||
Lodging — 2.3% |
| |||||||||||||||
Boyd Gaming Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.000% | 08/15/26 | 180 | 169,121 | |||||||||||||
6.375% | 04/01/26 | 725 | 689,000 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.625% | 06/01/25 | 250 | 261,364 | |||||||||||||
Hilton Domestic Operating Co., Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 01/15/30 | 189 | 186,117 | |||||||||||||
5.125% | 05/01/26 | 1,506 | 1,496,147 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 05/01/25 | 150 | 149,999 | |||||||||||||
5.750% | 05/01/28 | 175 | 177,353 | |||||||||||||
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.125% | 12/01/24 | (a) | 219 | 221,192 | ||||||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 04/01/25 | 123 | 120,212 | |||||||||||||
4.875% | 04/01/27 | (a) | 555 | 541,805 | ||||||||||||
Marriott International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series EE |
| |||||||||||||||
5.750% | 05/01/25 | 590 | 642,195 | |||||||||||||
Marriott Ownership Resorts, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.750% | 01/15/28 | 12 | 10,942 | |||||||||||||
Marriott Ownership Resorts, Inc./ILG LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.500% | 09/15/26 | 185 | 186,965 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 09/15/26 | 277 | 277,693 | |||||||||||||
MGM Resorts International, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 09/01/26 | 645 | 594,038 | |||||||||||||
5.500% | 04/15/27 | (a) | 553 | 533,593 | ||||||||||||
5.750% | 06/15/25 | (a) | 1,030 | 1,023,159 | ||||||||||||
6.750% | 05/01/25 | (a) | 1,175 | 1,167,579 | ||||||||||||
7.750% | 03/15/22 | (a) | 800 | 813,843 | ||||||||||||
Station Casinos LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.500% | 02/15/28 | (a) | 1,225 | 1,028,681 | ||||||||||||
Wyndham Destinations, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.400%(cc) | 04/01/24 | 149 | 143,699 | |||||||||||||
5.750%(cc) | 04/01/27 | 197 | 191,623 | |||||||||||||
6.350%(cc) | 10/01/25 | 164 | 165,668 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.625% | 03/01/30 | 350 | 325,472 |
SEE NOTES TO FINANCIAL STATEMENTS.
A119
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Lodging (continued) |
| |||||||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 03/01/25 | 685 | $ | 629,408 | ||||||||||||
Wynn Macau Ltd. (Macau), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.125% | 12/15/29 | (a) | 600 | 586,078 | ||||||||||||
5.500% | 01/15/26 | 400 | 394,407 | |||||||||||||
|
| |||||||||||||||
12,727,353 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Construction & Mining — 0.1% |
| |||||||||||||||
BWX Technologies, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 07/15/26 | 230 | 238,030 | |||||||||||||
Terex Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 02/01/25 | 230 | 211,110 | |||||||||||||
|
| |||||||||||||||
449,140 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.4% |
| |||||||||||||||
ATS Automation Tooling Systems, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 06/15/23 | 205 | 206,967 | |||||||||||||
Maxim Crane Works Holdings Capital LLC, |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
10.125% | 08/01/24 | 1,825 | 1,795,559 | |||||||||||||
|
| |||||||||||||||
2,002,526 | ||||||||||||||||
|
| |||||||||||||||
Media — 9.2% |
| |||||||||||||||
Altice Financing SA (Luxembourg), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.000% | 01/15/28 | 500 | 496,754 | |||||||||||||
7.500% | 05/15/26 | 1,180 | 1,238,620 | |||||||||||||
AMC Networks, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 08/01/25 | (a) | 700 | 687,667 | ||||||||||||
5.000% | 04/01/24 | 335 | 332,400 | |||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 03/01/30 | 1,256 | 1,286,591 | |||||||||||||
5.000% | 02/01/28 | 685 | 707,424 | |||||||||||||
5.125% | 05/01/27 | 1,820 | 1,882,831 | |||||||||||||
5.375% | 06/01/29 | 550 | 580,211 | |||||||||||||
5.500% | 05/01/26 | 2,802 | 2,904,641 | |||||||||||||
5.750% | 02/15/26 | (a) | 3,216 | 3,333,293 | ||||||||||||
Clear Channel Worldwide Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
9.250% | 02/15/24 | (a) | 5,690 | 5,278,408 | ||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.125% | 08/15/27 | 1,097 | 1,053,626 | |||||||||||||
CSC Holdings LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.125% | 12/01/30 | (a) | 500 | 496,934 | ||||||||||||
5.375% | 07/15/23 | 525 | 532,391 | |||||||||||||
6.500% | 02/01/29 | 805 | 881,260 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.625% | 12/01/30 | 250 | 242,937 | |||||||||||||
5.750% | 01/15/30 | 400 | 418,184 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Media (continued) |
| |||||||||||||||
CSC Holdings LLC, (continued) |
| |||||||||||||||
7.500% | 04/01/28 | 425 | $ | 463,675 | ||||||||||||
7.750% | 07/15/25 | 500 | 520,046 | |||||||||||||
10.875% | 10/15/25 | 2,380 | 2,558,937 | |||||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.625% | 08/15/27 | 3,750 | 2,007,099 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.375% | 08/15/26 | 1,249 | 911,975 | |||||||||||||
DISH DBS Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 11/15/24 | (a) | 2,214 | 2,202,824 | ||||||||||||
6.750% | 06/01/21 | 477 | 485,928 | |||||||||||||
7.750% | 07/01/26 | (a) | 3,236 | 3,429,694 | ||||||||||||
Entercom Media Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.250% | 11/01/24 | (a) | 355 | 308,555 | ||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
6.500% | 05/01/27 | (a) | 730 | 656,450 | ||||||||||||
GCI LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.875% | 04/15/25 | 160 | 164,970 | |||||||||||||
Gray Television, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 07/15/26 | (a) | 1,028 | 1,024,133 | ||||||||||||
7.000% | 05/15/27 | (a) | 675 | 696,327 | ||||||||||||
iHeartCommunications, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
8.375% | 05/01/27 | (a) | 1,453 | 1,332,753 | ||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.250% | 08/15/27 | 173 | 165,709 | |||||||||||||
Meredith Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.875% | 02/01/26 | 170 | 141,678 | |||||||||||||
Midcontinent Communications/Midcontinent Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 08/15/27 | (a) | 350 | 357,055 | ||||||||||||
Nexstar Broadcasting, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 08/01/24 | 240 | 243,119 | |||||||||||||
5.625% | 07/15/27 | (a) | 635 | 634,234 | ||||||||||||
Radiate Holdco LLC/Radiate Finance, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.625% | 02/15/25 | (a) | 475 | 475,124 | ||||||||||||
6.875% | 02/15/23 | 990 | 1,004,999 | |||||||||||||
Scripps Escrow, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 07/15/27 | 385 | 364,803 | |||||||||||||
Sinclair Television Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 08/01/24 | (a) | 326 | 313,156 | ||||||||||||
5.875% | 03/15/26 | 1,000 | 983,677 | |||||||||||||
Sirius XM Radio, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 05/15/23 | 115 | 115,884 | |||||||||||||
4.625% | 07/15/24 | 226 | 231,941 | |||||||||||||
5.000% | 08/01/27 | 868 | 888,621 |
SEE NOTES TO FINANCIAL STATEMENTS.
A120
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Media (continued) |
| |||||||||||||||
Sirius XM Radio, Inc., (continued) |
| |||||||||||||||
5.375% | 04/15/25 | 367 | $ | 377,093 | ||||||||||||
5.375% | 07/15/26 | 161 | 166,699 | |||||||||||||
5.500% | 07/01/29 | 125 | 132,128 | |||||||||||||
Univision Communications, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.125% | 02/15/25 | (a) | 1,370 | 1,290,821 | ||||||||||||
6.625% | 06/01/27 | (a) | 1,330 | 1,269,763 | ||||||||||||
UPC Holding BV (Netherlands), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.500% | 01/15/28 | 230 | 221,898 | |||||||||||||
ViacomCBS, Inc., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
5.875%(ff) | 02/28/57 | 186 | 184,060 | |||||||||||||
6.250%(ff) | 02/28/57 | 444 | 455,327 | |||||||||||||
Videotron Ltd. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.125% | 04/15/27 | (a) | 950 | 990,186 | ||||||||||||
5.375% | 06/15/24 | 55 | 58,703 | |||||||||||||
Virgin Media Secured Finance PLC (United Kingdom), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.500% | 05/15/29 | (a) | 400 | 418,912 | ||||||||||||
|
| |||||||||||||||
50,603,128 | ||||||||||||||||
|
| |||||||||||||||
Metal Fabricate/Hardware — 0.0% |
| |||||||||||||||
Advanced Drainage Systems, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 09/30/27 | 80 | 80,631 | |||||||||||||
Hillman Group, Inc. (The), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.375% | 07/15/22 | 185 | 171,738 | |||||||||||||
|
| |||||||||||||||
252,369 | ||||||||||||||||
|
| |||||||||||||||
Mining — 2.6% |
| |||||||||||||||
Alcoa Nederland Holding BV, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.750% | 09/30/24 | 252 | 258,488 | |||||||||||||
7.000% | 09/30/26 | (a) | 400 | 413,935 | ||||||||||||
Arconic Corp., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
6.125% | 02/15/28 | (a) | 300 | 301,159 | ||||||||||||
Constellium SE, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 02/15/26 | (a) | 950 | 957,672 | ||||||||||||
6.625% | 03/01/25 | (a) | 1,025 | 1,040,332 | ||||||||||||
Eldorado Gold Corp. (Turkey), |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
9.500% | 06/01/24 | 1,175 | 1,258,155 | |||||||||||||
First Quantum Minerals Ltd. (Zambia), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 03/01/24 | 600 | 566,108 | |||||||||||||
6.875% | 03/01/26 | 200 | 189,321 | |||||||||||||
7.250% | 05/15/22 | 200 | 195,623 | |||||||||||||
7.500% | 04/01/25 | 1,125 | 1,068,931 | |||||||||||||
Freeport-McMoRan, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.875% | 03/15/23 | 545 | 545,749 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Mining (continued) |
| |||||||||||||||
Freeport-McMoRan, Inc., (continued) |
| |||||||||||||||
4.125% | 03/01/28 | 200 | $ | 192,656 | ||||||||||||
4.550% | 11/14/24 | 1,115 | 1,133,797 | |||||||||||||
Hecla Mining Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.250% | 02/15/28 | 525 | 532,908 | |||||||||||||
IAMGOLD Corp. (Burkina Faso), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.000% | 04/15/25 | 1,205 | 1,218,750 | |||||||||||||
Kaiser Aluminum Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 03/01/28 | 265 | 253,601 | |||||||||||||
New Gold, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250% | 11/15/22 | 700 | 707,458 | |||||||||||||
6.375% | 05/15/25 | 885 | 896,878 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.500% | 07/15/27 | 550 | 566,784 | |||||||||||||
Novelis Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.750% | 01/30/30 | 500 | 477,672 | |||||||||||||
5.875% | 09/30/26 | 1,270 | 1,269,980 | |||||||||||||
|
| |||||||||||||||
14,045,957 | ||||||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.2% |
| |||||||||||||||
Amsted Industries, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 07/01/27 | 375 | 386,984 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.625% | 05/15/30 | (a) | 545 | 538,591 | ||||||||||||
|
| |||||||||||||||
925,575 | ||||||||||||||||
|
| |||||||||||||||
Office/Business Equipment — 0.1% |
| |||||||||||||||
CDW LLC/CDW Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.250% | 04/01/28 | (a) | 385 | 391,133 | ||||||||||||
|
| |||||||||||||||
Oil & Gas — 6.1% |
| |||||||||||||||
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., |
| |||||||||||||||
Gtd. Notes
|
| |||||||||||||||
7.875% | 12/15/24 | (d) | 5,175 | 52 | ||||||||||||
Antero Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 03/01/25 | 1,475 | 875,691 | |||||||||||||
5.125% | 12/01/22 | 640 | 462,290 | |||||||||||||
5.375% | 11/01/21 | 968 | 895,151 | |||||||||||||
5.625% | 06/01/23 | 2,023 | 1,307,163 | |||||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.000% | 11/01/26 | 1,925 | 1,249,006 | |||||||||||||
10.000% | 04/01/22 | 1,311 | 1,127,050 | |||||||||||||
Baytex Energy Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.750% | 04/01/27 | 275 | 136,792 | |||||||||||||
Callon Petroleum Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.125% | 10/01/24 | 17 | 5,798 | |||||||||||||
6.250% | 04/15/23 | 240 | 91,301 |
SEE NOTES TO FINANCIAL STATEMENTS.
A121
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (continued) |
| |||||||||||||||
Callon Petroleum Co., (continued) |
| |||||||||||||||
6.375% | 07/01/26 | 78 | $ | 26,492 | ||||||||||||
Chesapeake Energy Corp., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
11.500% | 01/01/25 | (d) | 111 | 11,785 | ||||||||||||
Citgo Holding, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.250% | 08/01/24 | (a) | 1,600 | 1,594,399 | ||||||||||||
CITGO Petroleum Corp., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.000% | 06/15/25 | 600 | 600,705 | |||||||||||||
CNX Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 04/15/22 | 404 | 398,874 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.250% | 03/14/27 | 1,150 | 1,058,192 | |||||||||||||
Comstock Resources, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.500% | 05/15/25 | 314 | 284,487 | |||||||||||||
CrownRock LP/CrownRock Finance, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.625% | 10/15/25 | 306 | 274,401 | |||||||||||||
Denbury Resources, Inc., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
9.000% | 05/15/21 | 115 | 44,564 | |||||||||||||
Diamond Offshore Drilling, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.875% | 08/15/25 | (d) | 850 | 85,000 | ||||||||||||
Endeavor Energy Resources LP/EER Finance, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.750% | 01/30/28 | 780 | 751,431 | |||||||||||||
6.625% | 07/15/25 | 160 | 161,232 | |||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
9.375% | 05/01/24 | (d) | 674 | 114 | ||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.750% | 05/15/26 | (d) | 856 | 198,479 | ||||||||||||
8.000% | 11/29/24 | (d) | 248 | 4,307 | ||||||||||||
EQT Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.125%(cc) | 02/01/25 | 460 | 458,294 | |||||||||||||
Extraction Oil & Gas, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 02/01/26 | (d) | 2,075 | 401,805 | ||||||||||||
7.375% | 05/15/24 | (d) | 800 | 154,812 | ||||||||||||
Gulfport Energy Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.000% | 10/15/24 | 155 | 80,347 | |||||||||||||
6.375% | 05/15/25 | 59 | 29,445 | |||||||||||||
6.375% | 01/15/26 | 542 | 260,638 | |||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.000% | 12/01/24 | 218 | 183,334 | |||||||||||||
5.750% | 10/01/25 | 1,526 | 1,268,657 | |||||||||||||
6.250% | 11/01/28 | 475 | 377,409 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (continued) |
| |||||||||||||||
Matador Resources Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 09/15/26 | 117 | $ | 86,782 | ||||||||||||
MEG Energy Corp. (Canada), |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
6.500% | 01/15/25 | 427 | 398,086 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.125% | 02/01/27 | 1,336 | 1,109,821 | |||||||||||||
Nabors Industries Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.250% | 01/15/26 | 320 | 199,766 | |||||||||||||
7.500% | 01/15/28 | 700 | 432,377 | |||||||||||||
Nabors Industries, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 02/01/25 | 2,050 | 829,474 | |||||||||||||
Noble Holding International Ltd., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.200% | 08/01/40 | 232 | 3,266 | |||||||||||||
Oasis Petroleum, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.875% | 03/15/22 | 54 | 9,791 | |||||||||||||
6.875% | 01/15/23 | 8 | 1,348 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250% | 05/01/26 | 740 | 127,856 | |||||||||||||
Occidental Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.700% | 08/15/22 | 1,345 | 1,253,115 | |||||||||||||
2.700% | 02/15/23 | (a) | 700 | 644,435 | ||||||||||||
2.900% | 08/15/24 | (a) | 900 | 769,384 | ||||||||||||
4.850% | 03/15/21 | 25 | 25,010 | |||||||||||||
6.950% | 07/01/24 | 250 | 244,809 | |||||||||||||
8.000% | 07/15/25 | 555 | 557,124 | |||||||||||||
Parsley Energy LLC/Parsley Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 01/15/25 | 255 | 248,550 | |||||||||||||
5.625% | 10/15/27 | 312 | 307,394 | |||||||||||||
PBF Holding Co. LLC/PBF Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 02/15/28 | 190 | 159,060 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
9.250% | 05/15/25 | 640 | 682,867 | |||||||||||||
Precision Drilling Corp. (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.250% | 11/15/24 | 39 | 25,951 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.125% | 01/15/26 | 1,936 | 1,205,714 | |||||||||||||
QEP Resources, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 05/01/23 | 97 | 65,947 | |||||||||||||
5.625% | 03/01/26 | 192 | 121,611 | |||||||||||||
Range Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 08/15/22 | 300 | 273,229 | |||||||||||||
5.000% | 03/15/23 | 610 | 520,281 | |||||||||||||
5.875% | 07/01/22 | 504 | 466,019 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.250% | 02/01/26 | (a) | 995 | 895,760 |
SEE NOTES TO FINANCIAL STATEMENTS.
A122
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (continued) |
| |||||||||||||||
Shelf Drilling Holdings Ltd. (United Arab Emirates), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.250% | 02/15/25 | 406 | $ | 188,380 | ||||||||||||
SM Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.625% | 01/15/27 | 137 | 67,663 | |||||||||||||
6.750% | 09/15/26 | 65 | 32,954 | |||||||||||||
Southwestern Energy Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.200%(cc) | 01/23/25 | 500 | 430,844 | |||||||||||||
Sunoco LP/Sunoco Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 01/15/23 | 50 | 49,796 | |||||||||||||
5.500% | 02/15/26 | 675 | 655,655 | |||||||||||||
5.875% | 03/15/28 | 25 | 24,899 | |||||||||||||
Transocean Pontus Ltd., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.125% | 08/01/25 | 362 | 332,427 | |||||||||||||
Transocean Poseidon Ltd., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.875% | 02/01/27 | 154 | 135,964 | |||||||||||||
Transocean, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.250% | 11/01/25 | 1,750 | 976,095 | |||||||||||||
7.500% | 01/15/26 | 800 | 436,026 | |||||||||||||
8.000% | 02/01/27 | 1,055 | 582,706 | |||||||||||||
Valaris PLC (Saudi Arabia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 10/01/44 | 375 | 27,623 | |||||||||||||
7.375% | 06/15/25 | 75 | 7,287 | |||||||||||||
7.750% | 02/01/26 | 1,650 | 123,108 | |||||||||||||
W&T Offshore, Inc., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
9.750% | 11/01/23 | 501 | 313,250 | |||||||||||||
Whiting Petroleum Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 03/15/21 | (d) | 160 | 31,099 | ||||||||||||
6.250% | 04/01/23 | (d) | 200 | 34,706 | ||||||||||||
WPX Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 01/15/30 | 395 | 348,815 | |||||||||||||
5.250% | 09/15/24 | (a) | 390 | 385,464 | ||||||||||||
5.250% | 10/15/27 | 875 | 818,428 | |||||||||||||
5.750% | 06/01/26 | 300 | 289,821 | |||||||||||||
5.875% | 06/15/28 | 500 | 478,826 | |||||||||||||
8.250% | 08/01/23 | 300 | 334,557 | |||||||||||||
|
| |||||||||||||||
33,630,717 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas Services — 0.1% |
| |||||||||||||||
Archrock Partners LP/Archrock Partners Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.875% | 04/01/27 | 53 | 49,996 | |||||||||||||
Oceaneering International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 02/01/28 | 190 | 139,882 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas Services (continued) |
| |||||||||||||||
Telford Offshore Ltd. (United Arab Emirates), |
| |||||||||||||||
Sec’d. Notes, Cash coupon 12.000% or PIK N/A |
| |||||||||||||||
12.000% | — | (rr) | 549 | $ | 82,412 | |||||||||||
|
| |||||||||||||||
272,290 | ||||||||||||||||
|
| |||||||||||||||
Packaging & Containers — 1.3% |
| |||||||||||||||
ARD Finance SA (Luxembourg), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A, Cash coupon 6.500% or PIK 7.250% |
| |||||||||||||||
6.500% | 06/30/27 | 925 | 915,966 | |||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 02/15/25 | 221 | 226,276 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.125% | 08/15/26 | (a) | 250 | 245,846 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.250% | 08/15/27 | 1,325 | 1,300,424 | |||||||||||||
Berry Global, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.875% | 07/15/26 | 515 | 520,844 | |||||||||||||
Greif, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 03/01/27 | 259 | 264,142 | |||||||||||||
LABL Escrow Issuer LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.750% | 07/15/26 | 680 | 708,748 | |||||||||||||
Mauser Packaging Solutions Holding Co., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.500% | 04/15/24 | 595 | 584,972 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.250% | 04/15/25 | (a) | 470 | 425,551 | ||||||||||||
Owens-Brockway Glass Container, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.625% | 05/13/27 | 875 | 923,242 | |||||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.125% | 07/15/23 | (a) | 500 | 502,938 | ||||||||||||
Trivium Packaging Finance BV (Netherlands), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.500% | 08/15/26 | 650 | 660,228 | |||||||||||||
|
| |||||||||||||||
7,279,177 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 2.2% |
| |||||||||||||||
Bausch Health Americas, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.500% | 01/31/27 | 805 | 857,852 | |||||||||||||
9.250% | 04/01/26 | 1,278 | 1,385,312 | |||||||||||||
Bausch Health Cos., Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 01/30/28 | (a) | 771 | 726,504 | ||||||||||||
5.250% | 01/30/30 | 326 | 310,805 | |||||||||||||
5.875% | 05/15/23 | 60 | 60,000 | |||||||||||||
6.125% | 04/15/25 | 250 | 253,299 | |||||||||||||
6.250% | 02/15/29 | 2,425 | 2,438,529 | |||||||||||||
7.000% | 01/15/28 | 1,172 | 1,208,520 | |||||||||||||
7.250% | 05/30/29 | 161 | 169,003 | |||||||||||||
9.000% | 12/15/25 | 908 | 979,281 |
SEE NOTES TO FINANCIAL STATEMENTS.
A123
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals (continued) |
| |||||||||||||||
Bausch Health Cos., Inc., (continued) |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.500% | 11/01/25 | 540 | $ | 553,259 | ||||||||||||
7.000% | 03/15/24 | (a) | 1,500 | 1,555,120 | ||||||||||||
Elanco Animal Health, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.650%(cc) | 08/28/28 | 300 | 332,633 | |||||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 06/30/28 | 91 | 58,695 | |||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
9.500% | 07/31/27 | 72 | 75,888 | |||||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 04/15/25 | 245 | 38,940 | |||||||||||||
Par Pharmaceutical, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.500% | 04/01/27 | 1,042 | 1,068,425 | |||||||||||||
|
| |||||||||||||||
12,072,065 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 3.5% |
| |||||||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 09/15/24 | 1,155 | 984,943 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 01/15/28 | (a) | 1,736 | 1,383,916 | ||||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.125% | 11/15/22 | 750 | 745,772 | |||||||||||||
Buckeye Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.125% | 03/01/25 | 215 | 206,071 | |||||||||||||
4.500% | 03/01/28 | 215 | 202,100 | |||||||||||||
Cheniere Energy Partners LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 10/01/26 | 660 | 655,048 | |||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.250% | 10/01/25 | 185 | 184,345 | |||||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 04/01/25 | 561 | 487,531 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 05/01/27 | 85 | 70,708 | |||||||||||||
DCP Midstream Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 07/15/25 | 350 | 346,354 | |||||||||||||
5.625% | 07/15/27 | 300 | 302,632 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.450% | 11/03/36 | 175 | 157,514 | |||||||||||||
6.750% | 09/15/37 | 210 | 188,654 | |||||||||||||
Delek Logistics Partners LP/Delek Logistics Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.750% | 05/15/25 | 447 | 408,766 | |||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Jr. Sub. Notes, Series G |
| |||||||||||||||
7.125%(ff) | — | (rr) | 650 | 557,697 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pipelines (continued) |
| |||||||||||||||
EnLink Midstream Partners LP, |
| |||||||||||||||
Jr. Sub. Notes, Series C |
| |||||||||||||||
6.000%(ff) | — | (rr) | 505 | $ | 186,850 | |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.150% | 06/01/25 | 201 | 154,424 | |||||||||||||
4.400% | 04/01/24 | 149 | 123,932 | |||||||||||||
EQM Midstream Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 12/01/26 | 340 | 311,505 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.000% | 07/01/25 | 330 | 333,362 | |||||||||||||
6.500% | 07/01/27 | 230 | 235,465 | |||||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.250% | 05/15/26 | 664 | 571,010 | |||||||||||||
Global Partners LP/GLP Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.000% | 06/15/23 | 385 | 369,845 | |||||||||||||
7.000% | 08/01/27 | 324 | 299,811 | |||||||||||||
Holly Energy Partners LP/Holly Energy Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 02/01/28 | 180 | 171,469 | |||||||||||||
Martin Midstream Partners LP/Martin Midstream Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.250% | 02/15/21 | 405 | 306,951 | |||||||||||||
NGPL PipeCo LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.768% | 12/15/37 | 543 | 664,156 | |||||||||||||
NuStar Logistics LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 04/28/27 | 260 | 251,285 | |||||||||||||
6.000% | 06/01/26 | 141 | 138,133 | |||||||||||||
Rockies Express Pipeline LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.875% | 04/15/40 | 2,000 | 1,923,184 | |||||||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 08/15/22 | 133 | 88,437 | |||||||||||||
5.750% | 04/15/25 | 266 | 150,136 | |||||||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 01/15/28 | (a) | 2,325 | 1,988,537 | ||||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.250% | 11/15/23 | 180 | 172,464 | |||||||||||||
5.250% | 05/01/23 | 214 | 210,970 | |||||||||||||
5.875% | 04/15/26 | (a) | 1,445 | 1,436,075 | ||||||||||||
6.500% | 07/15/27 | 740 | 748,383 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 03/01/30 | (a) | 330 | 317,628 | ||||||||||||
Western Midstream Operating LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 06/01/25 | 400 | 375,233 | |||||||||||||
4.000% | 07/01/22 | 150 | 149,599 | |||||||||||||
4.050%(cc) | 02/01/30 | (a) | 725 | 697,381 | ||||||||||||
|
| |||||||||||||||
19,258,276 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A124
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Real Estate — 0.8% |
| |||||||||||||||
Five Point Operating Co. LP/Five Point Capital Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.875% | 11/15/25 | 1,175 | $ | 1,124,179 | ||||||||||||
Greystar Real Estate Partners LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.750% | 12/01/25 | 1,600 | 1,601,514 | |||||||||||||
Hunt Cos., Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 02/15/26 | 1,550 | 1,412,445 | |||||||||||||
|
| |||||||||||||||
4,138,138 | ||||||||||||||||
|
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 1.5% |
| |||||||||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.750% | 05/15/26 | (a) | 466 | 393,703 | ||||||||||||
Diversified Healthcare Trust, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
9.750% | 06/15/25 | 325 | 349,281 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 12/15/21 | 275 | 277,474 | |||||||||||||
ESH Hospitality, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 10/01/27 | 469 | 441,218 | |||||||||||||
5.250% | 05/01/25 | 1,063 | 1,028,362 | |||||||||||||
GLP Capital LP/GLP Financing II, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 01/15/30 | 350 | 348,213 | |||||||||||||
Iron Mountain, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 09/15/27 | 353 | 344,170 | |||||||||||||
4.875% | 09/15/29 | (a) | 450 | 437,315 | ||||||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 03/15/22 | 229 | 219,598 | |||||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 09/01/26 | 55 | 54,539 | |||||||||||||
4.500% | 01/15/28 | 970 | 946,698 | |||||||||||||
5.750% | 02/01/27 | 499 | 517,417 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 06/15/25 | 135 | 132,876 | |||||||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.500% | 06/01/25 | (a) | 535 | 547,031 | ||||||||||||
Ryman Hospitality Properties, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.750% | 10/15/27 | 417 | 370,992 | |||||||||||||
VICI Properties LP/VICI Note Co., Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.750% | 02/15/27 | 555 | 520,970 | |||||||||||||
4.125% | 08/15/30 | 515 | 490,941 | |||||||||||||
4.250% | 12/01/26 | 250 | 239,633 | |||||||||||||
4.625% | 12/01/29 | (a) | 590 | 578,401 | ||||||||||||
|
| |||||||||||||||
8,238,832 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Retail — 4.1% |
| |||||||||||||||
1011778 BC ULC/New Red Finance, Inc. (Canada), |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
5.000% | 10/15/25 | 475 | $ | 472,509 | ||||||||||||
Beacon Roofing Supply, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 11/01/25 | 300 | 268,394 | |||||||||||||
Brinker International, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 10/01/24 | 650 | 606,818 | |||||||||||||
CEC Entertainment, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
8.000% | 02/15/22 | (d) | 1,450 | 164,466 | ||||||||||||
eG Global Finance PLC (United Kingdom), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.500% | 10/30/25 | 850 | 873,640 | |||||||||||||
Ferrellgas LP/Ferrellgas Finance Corp., |
| |||||||||||||||
Gtd. Notes, (original cost $507,500; purchased 06/02/15 - 01/28/19)(f) |
| |||||||||||||||
6.750%(cc) | 06/15/23 | 575 | 477,439 | |||||||||||||
Sr. Unsec’d. Notes, (original cost $778,125; purchased 02/11/14)(f) |
| |||||||||||||||
6.500% | 05/01/21 | 750 | 624,553 | |||||||||||||
Sr. Unsec’d. Notes, (original cost $975,000; purchased 01/06/15)(f) |
| |||||||||||||||
6.750% | 01/15/22 | 1,000 | 831,917 | |||||||||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
8.625% | 07/31/20 | 1,925 | 479,839 | |||||||||||||
8.625% | 07/31/20 | 1,450 | 360,687 | |||||||||||||
Gap, Inc. (The), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.375% | 05/15/23 | 510 | 553,942 | |||||||||||||
Golden Nugget, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.750% | 10/01/25 | 2,175 | 1,279,299 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.750% | 10/15/24 | 1,050 | 752,129 | |||||||||||||
IRB Holding Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.750% | 02/15/26 | 328 | 313,447 | |||||||||||||
L Brands, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 02/15/22 | 765 | 753,268 | |||||||||||||
6.750% | 07/01/36 | 85 | 70,794 | |||||||||||||
6.875% | 11/01/35 | 181 | 150,878 | |||||||||||||
Macy’s, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.375% | 06/15/25 | 465 | 463,014 | |||||||||||||
Michaels Stores, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.000% | 07/15/27 | (a) | 850 | 739,083 | ||||||||||||
Neiman Marcus Group Ltd. LLC/Neiman Marcus Group LLC/Mariposa Borrower/NMG, |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
8.000% | 10/25/24 | (d) | 637 | 27,754 | ||||||||||||
Sec’d. Notes, 144A, Cash coupon 8.000% and PIK 6.000% |
| |||||||||||||||
14.000% | 04/25/24 | (d) | 460 | 114,212 | ||||||||||||
Penske Automotive Group, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 05/15/26 | (a) | 370 | 370,742 |
SEE NOTES TO FINANCIAL STATEMENTS.
A125
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Retail (continued) |
| |||||||||||||||
PetSmart, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.125% | 03/15/23 | 1,475 | $ | 1,454,974 | ||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.875% | 06/01/25 | 2,983 | 2,993,494 | |||||||||||||
Rite Aid Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.125% | 04/01/23 | 1,763 | 1,713,276 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.500% | 07/01/25 | 288 | 288,840 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.625% | 12/01/25 | (a) | 2,050 | 1,990,930 | ||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
8.750% | 04/30/25 | 175 | 190,699 | |||||||||||||
Staples, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.500% | 04/15/26 | 653 | 513,718 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
10.750% | 04/15/27 | 391 | 238,095 | |||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.500% | 06/01/24 | 800 | 794,034 | |||||||||||||
5.750% | 03/01/25 | 250 | 250,662 | |||||||||||||
5.875% | 03/01/27 | 175 | 174,049 | |||||||||||||
Superior Plus LP/Superior General Partner, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.000% | 07/15/26 | 450 | 465,804 | |||||||||||||
Yum! Brands, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 01/15/30 | 425 | 434,304 | |||||||||||||
7.750% | 04/01/25 | 175 | 188,816 | |||||||||||||
|
| |||||||||||||||
22,440,519 | ||||||||||||||||
|
| |||||||||||||||
Semiconductors — 0.3% |
| |||||||||||||||
Microchip Technology, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.250% | 09/01/25 | (a) | 720 | 724,501 | ||||||||||||
Qorvo, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 07/15/26 | 270 | 280,789 | |||||||||||||
Sensata Technologies UK Financing Co. PLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250% | 02/15/26 | 605 | 631,686 | |||||||||||||
|
| |||||||||||||||
1,636,976 | ||||||||||||||||
|
| |||||||||||||||
Software — 0.5% |
| |||||||||||||||
ACI Worldwide, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 08/15/26 | 80 | 83,308 | |||||||||||||
Boxer Parent Co., Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.125% | 10/02/25 | 225 | 236,016 | |||||||||||||
CDK Global, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.250% | 05/15/29 | 454 | 469,767 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Software (continued) |
| |||||||||||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 03/01/25 | (a) | 450 | $ | 444,267 | |||||||||||
Dun & Bradstreet Corp. (The), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.875% | 08/15/26 | (a) | 500 | 529,912 | ||||||||||||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Holdings LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
10.000% | 11/30/24 | 64 | 66,401 | |||||||||||||
MSCI, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.000% | 11/15/29 | 435 | 443,698 | |||||||||||||
Nuance Communications, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.625% | 12/15/26 | (a) | 340 | 353,739 | ||||||||||||
SS&C Technologies, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 09/30/27 | (a) | 350 | 358,091 | ||||||||||||
|
| |||||||||||||||
2,985,199 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 8.2% |
| |||||||||||||||
Altice France Holding SA (Luxembourg), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 02/15/28 | 210 | 198,520 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
10.500% | 05/15/27 | 307 | 339,387 | |||||||||||||
Altice France SA (France), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.375% | 05/01/26 | 740 | 770,604 | |||||||||||||
8.125% | 02/01/27 | 352 | 384,916 | |||||||||||||
C&W Senior Financing DAC (Ireland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.875% | 09/15/27 | (a) | 425 | 421,014 | ||||||||||||
CenturyLink, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.000% | 02/15/27 | 155 | 150,233 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 04/01/25 | 455 | 470,603 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.125% | 12/15/26 | 1,295 | 1,293,205 | |||||||||||||
Sr. Unsec’d. Notes, Series S |
| |||||||||||||||
6.450% | 06/15/21 | 140 | 143,158 | |||||||||||||
Sr. Unsec’d. Notes, Series T |
| |||||||||||||||
5.800% | 03/15/22 | (a) | 245 | 251,735 | ||||||||||||
Sr. Unsec’d. Notes, Series Y |
| |||||||||||||||
7.500% | 04/01/24 | 94 | 103,403 | |||||||||||||
Cincinnati Bell, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.000% | 07/15/24 | 442 | 451,497 | |||||||||||||
8.000% | 10/15/25 | 87 | 90,539 | |||||||||||||
CommScope Technologies LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 03/15/27 | (a) | 337 | 303,745 | ||||||||||||
6.000% | 06/15/25 | 1,653 | 1,594,698 |
SEE NOTES TO FINANCIAL STATEMENTS.
A126
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Telecommunications (continued) |
| |||||||||||||||
CommScope, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 06/15/24 | (a) | 672 | $ | 684,318 | |||||||||||
7.125% | 07/01/28 | 385 | 384,809 | |||||||||||||
8.250% | 03/01/27 | 932 | 957,326 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.000% | 03/01/26 | 890 | 911,940 | |||||||||||||
Digicel Group 0.5 Ltd. (Jamaica), |
| |||||||||||||||
Sr. Sec’d. Notes, Cash coupon 8.000% and PIK 2.000% or PIK 10.000% |
| |||||||||||||||
10.000% | 04/01/24 | 1,291 | 888,730 | |||||||||||||
Sr. Unsec’d. Notes, 144A, Cash coupon 5.000% and PIK 3.000% or PIK 8.000% |
| |||||||||||||||
8.000% | 04/01/25 | 268 | 66,193 | |||||||||||||
Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd. (Jamaica), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.000% | 12/31/26 | 219 | 132,463 | |||||||||||||
Gtd. Notes, 144A, Cash coupon 6.000% and PIK 7.000% |
| |||||||||||||||
13.000% | 12/31/25 | 477 | 404,819 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.750% | 05/25/24 | (a) | 700 | 682,825 | ||||||||||||
8.750% | 05/25/24 | 747 | 728,671 | |||||||||||||
Digicel Ltd. (Jamaica), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.750% | 03/01/23 | 3,620 | 1,863,500 | |||||||||||||
Embarq Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.995% | 06/01/36 | 4,255 | 4,780,909 | |||||||||||||
Frontier Communications Corp., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
8.500% | 04/01/26 | (d) | 398 | 376,790 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.875% | 01/15/25 | (d) | 278 | 84,562 | ||||||||||||
7.625% | 04/15/24 | (d) | 122 | 39,916 | ||||||||||||
11.000% | 09/15/25 | (d) | 269 | 92,592 | ||||||||||||
Hughes Satellite Systems Corp., |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.250% | 08/01/26 | 500 | 516,643 | |||||||||||||
Intelsat Jackson Holdings SA (Luxembourg), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 08/01/23 | (d) | 2,085 | 1,189,498 | ||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.500% | 10/15/24 | (d) | 813 | 489,334 | ||||||||||||
9.750% | 07/15/25 | (d) | 3,551 | 2,177,543 | ||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.000% | 02/15/24 | (d) | 335 | 339,694 | ||||||||||||
Intelsat Luxembourg SA (Luxembourg), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
8.125% | 06/01/23 | (d) | 1,150 | 63,250 | ||||||||||||
Intrado Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
8.500% | 10/15/25 | (a) | 2,175 | 1,732,732 | ||||||||||||
Level 3 Financing, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.250% | 03/15/26 | (a) | 858 | 881,268 | ||||||||||||
5.375% | 01/15/24 | 104 | 104,828 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Telecommunications (continued) |
| |||||||||||||||
ORBCOMM, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.000% | 04/01/24 | 1,075 | $ | 1,026,573 | ||||||||||||
Plantronics, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 05/31/23 | 380 | 332,945 | |||||||||||||
Sprint Capital Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.875% | 11/15/28 | 15 | 18,294 | |||||||||||||
8.750% | 03/15/32 | 2,119 | 3,030,824 | |||||||||||||
Sprint Corp., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
7.625% | 02/15/25 | 3,280 | 3,783,513 | |||||||||||||
7.875% | 09/15/23 | 2,189 | 2,467,892 | |||||||||||||
Telecom Italia Capital SA (Italy), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.000% | 09/30/34 | (a) | 400 | 435,128 | ||||||||||||
6.375% | 11/15/33 | 342 | 385,627 | |||||||||||||
Telecom Italia SpA (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.303% | 05/30/24 | 255 | 266,863 | |||||||||||||
T-Mobile USA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 02/01/28 | 650 | 686,547 | |||||||||||||
5.375% | 04/15/27 | 207 | 218,962 | |||||||||||||
6.000% | 03/01/23 | 1,550 | 1,559,322 | |||||||||||||
6.375% | 03/01/25 | 300 | 307,731 | |||||||||||||
6.500% | 01/15/24 | 400 | 408,668 | |||||||||||||
6.500% | 01/15/26 | 1,068 | 1,116,420 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.500% | 04/15/25 | 180 | 196,319 | |||||||||||||
3.750% | 04/15/27 | 180 | 199,455 | |||||||||||||
3.875% | 04/15/30 | 180 | 199,932 | |||||||||||||
Windstream Services LLC/Windstream Finance Corp., |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
9.000% | 06/30/25 | (d) | 305 | 14,336 | ||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
8.625% | 10/31/25 | (d) | 333 | 201,513 | ||||||||||||
Zayo Group Holdings, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.125% | 03/01/28 | 825 | 801,832 | |||||||||||||
|
| |||||||||||||||
45,201,106 | ||||||||||||||||
|
| |||||||||||||||
Toys/Games/Hobbies — 0.3% |
| |||||||||||||||
Mattel, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 12/15/27 | (a) | 395 | 407,071 | ||||||||||||
6.750% | 12/31/25 | 1,250 | 1,296,501 | |||||||||||||
|
| |||||||||||||||
1,703,572 | ||||||||||||||||
|
| |||||||||||||||
Transportation — 0.6% |
| |||||||||||||||
XPO Logistics, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250% | 05/01/25 | 110 | 115,183 | |||||||||||||
6.750% | 08/15/24 | (a) | 2,923 | 3,061,892 | ||||||||||||
|
| |||||||||||||||
3,177,075 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A127
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Trucking & Leasing — 0.1% |
| |||||||||||||||
DAE Funding LLC (United Arab Emirates), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 08/01/24 | 335 | $ | 313,987 | ||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 467,945,512 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
COMMON STOCKS — 1.2% |
| |||||||||||||||
Aerospace & Defense — 0.0% |
| |||||||||||||||
Remington Outdoor Co., Inc.*^ |
| 2,148 | 2,551 | |||||||||||||
|
| |||||||||||||||
Banks — 0.0% |
| |||||||||||||||
Concordia Private Placement* |
| 45,609 | 139,107 | |||||||||||||
|
| |||||||||||||||
Chemicals — 0.1% |
| |||||||||||||||
Hexion Holdings Corp. (Class B Stock)* |
| 28,136 | 189,918 | |||||||||||||
|
| |||||||||||||||
Diversified Consumer Services — 0.0% |
| |||||||||||||||
SAL TopCo LLC*^ |
| 21,315 | 2 | |||||||||||||
|
| |||||||||||||||
Electric Utilities — 0.7% |
| |||||||||||||||
GenOn Energy Holdings, Inc. (Class A Stock)*^ |
| 14,898 | 3,352,050 | |||||||||||||
Keycon Power Holdings LLC*^ |
| 2,665 | 660,920 | |||||||||||||
|
| |||||||||||||||
4,012,970 | ||||||||||||||||
|
| |||||||||||||||
Independent Power & Renewable Electricity Producers — 0.3% |
| |||||||||||||||
Vistra Energy Corp. |
| 87,819 | 1,635,190 | |||||||||||||
|
| |||||||||||||||
Media — 0.0% |
| |||||||||||||||
Clear Channel Outdoor Holdings, Inc.* |
| 63,738 | 66,288 | |||||||||||||
iHeartMedia, Inc. (Class A Stock)*(a) |
| 3,184 | 26,586 | |||||||||||||
Mood Media Corp.*^ |
| 26,250 | 3 | |||||||||||||
Mood Media Corp.*^ |
| 21,428 | 2 | |||||||||||||
|
| |||||||||||||||
92,879 | ||||||||||||||||
|
| |||||||||||||||
Multiline Retail — 0.1% |
| |||||||||||||||
Claire’s Private Placement*^ |
| 795 | 437,250 | |||||||||||||
Oil, Gas & Consumable Fuels — 0.0% |
| |||||||||||||||
Penn Virginia Corp.* |
| 1,552 | 14,790 | |||||||||||||
Penn Virginia Corp., NPV* |
| 1,873 | 17,850 | |||||||||||||
Telford Offshore Holdings Ltd.*^ |
| 25,654 | 9,620 | |||||||||||||
Ultra Petroleum Corp.* |
| 38,499 | 737 | |||||||||||||
|
| |||||||||||||||
42,997 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 0.0% |
| |||||||||||||||
Advanz Pharma Corp. Ltd. (Canada)*(a) |
| 3,579 | 10,916 | |||||||||||||
|
| |||||||||||||||
Software — 0.0% |
| |||||||||||||||
Avaya Holdings Corp.*(a) |
| 10,456 | 129,236 | |||||||||||||
|
| |||||||||||||||
Wireless Telecommunication Services — 0.0% |
| |||||||||||||||
Goodman Networks, Inc.*^ |
| 27,103 | — | |||||||||||||
|
| |||||||||||||||
TOTAL COMMON STOCKS |
| 6,693,016 | ||||||||||||||
|
|
PREFERRED STOCKS — 0.4% | ||||||||
Shares | Value | |||||||
Capital Markets — 0.1% |
| |||||||
Goldman Sachs Group, Inc. (The) Series K, 6.375% | 26,000 | $ | 680,161 | |||||
|
| |||||||
Interactive Media & Services — 0.1% |
| |||||||
MYT Holding Co., 144A* | 343,655 | 252,586 | ||||||
|
| |||||||
Multiline Retail — 0.2% |
| |||||||
Claire’s Stores, Inc., CVT*^ | 557 | 974,749 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.0% |
| |||||||
Goodman Networks, Inc.*^ | 32,246 | 323 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS |
| 1,907,819 | ||||||
|
| |||||||
Units | ||||||||
RIGHTS* — 0.0% |
| |||||||
Independent Power & Renewable Electricity Producers |
| |||||||
Vistra Energy Corp., expiring 01/23/27^ (cost $0) | 179,373 | 179,373 | ||||||
|
| |||||||
WARRANTS* — 0.0% |
| |||||||
Media — 0.0% | ||||||||
iHeartMedia, Inc., expiring 05/01/39 | 23,922 | 199,725 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.0% |
| |||||||
Ultra Resources, Inc., expiring 07/14/25 | 32,886 | 1,151 | ||||||
|
| |||||||
TOTAL WARRANTS |
| 200,876 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 508,455,365 | ||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS — 25.4% |
| |||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 46,534,987 | 46,534,987 | ||||||
PGIM Institutional Money Market Fund (cost $92,659,956; includes $92,618,601 of cash collateral for securities on loan)(b)(w) | 92,672,469 | 92,672,469 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 139,207,456 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 118.0% |
| 647,662,821 | ||||||
Liabilities in excess of |
| (98,938,355 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 548,724,466 | |||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
^ | Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $9,774,396 and 1.8% of net assets. |
SEE NOTES TO FINANCIAL STATEMENTS.
A128
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $90,881,510; cash collateral of $92,618,601 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
(f) | Indicates a restricted security; the aggregate original cost of such securities is $2,260,625. The aggregate value of $1,933,909 is 0.4% of net assets. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(p) | Interest rate not available as of June 30, 2020. |
(rr) | Perpetual security with no stated maturity date. |
(w) | PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Unfunded loan commitment outstanding at June 30, 2020:
Borrower | Principal Amount (000) | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
Intelsat Jackson Holdings SA, SuperPriority Secured DIP Term Loan, 3 Month LIBOR + 5.500%, 5.050%, Maturity Date 7/14/2021 (cost $243,828) | 246 | $ | 248,889 | $ | 5,061 | $ | — | |||||||||
|
|
|
|
|
|
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
67 | 2 Year U.S. Treasury Notes | Sep. 2020 | $ | 14,795,484 | $ | 2,328 | ||||||||||
81 | 5 Year U.S. Treasury Notes | Sep. 2020 | 10,185,117 | 21,366 | ||||||||||||
95 | 10 Year U.S. Treasury Notes | Sep. 2020 | 13,221,329 | 41,716 | ||||||||||||
21 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 3,749,813 | 28,015 | ||||||||||||
|
| |||||||||||||||
93,425 | ||||||||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
20 | 10 Year Euro-Bund | Sep. 2020 | 3,966,404 | (34,420 | ) | |||||||||||
2 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 436,313 | (784 | ) | |||||||||||
|
| |||||||||||||||
(35,204 | ) | |||||||||||||||
|
| |||||||||||||||
$ | 58,221 | |||||||||||||||
|
|
Forward foreign currency exchange contracts outstanding at June 30, 2020:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||
Euro, | Morgan Stanley & Co. International PLC | EUR 575 | $ | 648,261 | $ | 646,039 | $ | — | $ | (2,222 | ) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A129
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2020 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||||
Euro, | Citibank, N.A. | EUR 575 | $ | 627,590 | $ | 646,039 | $ | — | $ | (18,449 | ) | |||||||||||||
Expiring 08/04/20 | | Morgan Stanley & Co. International PLC | | EUR 575 | 648,735 | 646,516 | 2,219 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 1,276,325 | $ | 1,292,555 | 2,219 | (18,449 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 2,219 | $ | (20,671 | ) | ||||||||||||||||||||
|
|
|
|
Credit default swap agreements outstanding at June 30, 2020:
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.HY.34.V1 | 06/20/25 | 5.000%(Q) | 45,320 | $ | 1,709,538 | $ | 226,384 | $ | (1,483,154 | ) | ||||||||||||||
|
|
|
|
|
|
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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 or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) 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 or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||
Citigroup Global Markets, Inc. | $ | 4,093,000 | $ | — | ||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—unadjusted | quoted prices generally in active markets for identical securities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A130
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Bank Loans | $ | — | $ | 26,777,586 | $ | 4,127,814 | ||||||
Convertible Bonds | — | 623,369 | — | |||||||||
Corporate Bonds | — | 467,915,773 | 29,739 | |||||||||
Common Stocks | 2,073,661 | 156,957 | 4,462,398 | |||||||||
Preferred Stocks | 680,161 | 252,586 | 975,072 | |||||||||
Rights | — | — | 179,373 | |||||||||
Warrants | — | 200,876 | — | |||||||||
Affiliated Mutual Funds | 139,207,456 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 141,961,278 | $ | 495,927,147 | $ | 9,774,396 | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 93,425 | $ | — | $ | — | ||||||
OTC Forward Foreign Currency Exchange Contract | — | 2,219 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 93,425 | $ | 2,219 | $ | — | ||||||
|
|
|
|
|
| |||||||
Assets | ||||||||||||
Unfunded Loan Commitment | $ | — | $ | 5,061 | $ | — | ||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (35,204 | ) | $ | — | $ | — | |||||
OTC Forward Foreign Currency Exchange Contracts | — | (20,671 | ) | — | ||||||||
Centrally Cleared Credit Default Swap Agreement | — | (1,483,154 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (35,204 | ) | $ | (1,503,825 | ) | $ | — | ||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments, with the exception of unfunded loan commitments, and are not reflected in the Schedule of Investments. Futures, forwards, centrally cleared swap contracts and unfunded loan commitments are recorded at unrealized appreciation (depreciation) and OTC swap contracts are recorded at fair value. |
The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:
Bank Loans | Corporate Bonds | Common Stocks | Preferred Stocks | Rights | ||||||||||||||||
Balance as of 12/31/19 | $ | 6,208,583 | $ | 1,085 | $ | 3,462,723 | $ | 780,322 | $ | 147,983 | ||||||||||
Realized gain (loss) | 170,659 | (4,777 | ) | 176 | — | — | ||||||||||||||
Change in unrealized appreciation (depreciation) | (143,795 | ) | (86,597 | ) | 187,220 | 194,749 | 31,390 | |||||||||||||
Purchases/Exchanges/Issuances | 1,507,125 | 7,231 | 12,955 | 1 | — | |||||||||||||||
Sales/Paydowns | (943,536 | ) | (4,799 | ) | (176 | ) | — | — | ||||||||||||
Accrued discount/premium | 12,793 | 44,997 | — | — | — | |||||||||||||||
Transfers into Level 3 | — | 72,599 | 799,500 | — | — | |||||||||||||||
Transfers out of Level 3 | (2,684,015 | ) | — | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balance as of 06/30/20 | $ | 4,127,814 | $ | 29,739 | $ | 4,462,398 | $ | 975,072 | $ | 179,373 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in unrealized appreciation (depreciation) relating to securities still held at reporting period end | $ | 8,567 | $ | (93,392 | ) | $ | 187,220 | $ | 194,749 | $ | 31,390 | |||||||||
|
|
|
|
|
|
|
|
|
|
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board, which contain
unobservable inputs as follows:
Level 3 Securities | Fair Value as of June 30, 2020 | Valuation Methodology | Unobservable Inputs | |||||
Bank Loans | $ | 4,101,504 | Market Approach | Single Broker Indicative Quote |
SEE NOTES TO FINANCIAL STATEMENTS.
A131
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 3 Securities | Fair Value as of June 30, 2020 | Valuation Methodology | Unobservable Inputs | |||||
Bank Loans | $ | 26,310 | Pricing at Cost | Unadjusted Purchase Price | ||||
Corporate Bonds | 26,591 | Enterprise Value | Estimated EBITDA | |||||
Corporate Bonds | 3,148 | Market Approach | Single Broker Indicative Quote | |||||
Common Stocks | 3,361,670 | Market Approach | Single Broker Indicative Quote | |||||
Common Stocks | 660,920 | Enterprise Value | Discounted Cash Flow | |||||
Common Stocks | 439,801 | Market Approach | Monthly Broker Quote | |||||
Common Stocks | 5 | Stale Pricing | Unadjusted Last Trade Price | |||||
Common Stocks | 2 | Worthless | Estimated Future Value | |||||
Preferred Stocks | 974,749 | Market Approach | Monthly Broker Quote | |||||
Preferred Stocks | 323 | Enterprise Value | EBITDA Multiple | |||||
Rights | 179,373 | Market Approach | Single Broker Indicative Quote | |||||
|
| |||||||
$ | 9,774,396 | |||||||
|
|
It is the Portfolios’ policy to recognize transfers in and transfers out at the fair value as of the beginning of period. Securities transferred levels as follows:
Investments in Securities | Amount Transferred | Level Transfer | Logic | |||||||
Bank Loans | $ | 2,684,015 | L3 to L2 | Single Broker Indicative Quote to Multiple Broker Quotes | ||||||
Corporate Bonds | $ | 72,599 | L2 to L3 | Proxy Price to Enterprise Value Evaluated Bid to Enterprise | ||||||
Common Stocks | $ | 799,500 | L2 to L3 | Value |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
Affiliated Mutual Funds (16.9% represents investments purchased with collateral from securities on loan) | 25.4 | % | ||
Media | 9.5 | |||
Telecommunications | 8.7 | |||
Oil & Gas | 6.6 | |||
Healthcare-Services | 5.3 | |||
Retail | 4.4 | |||
Entertainment | 4.2 | |||
Chemicals | 3.7 | |||
Commercial Services | 3.7 | |||
Pipelines | 3.5 | |||
Home Builders | 3.3 | |||
Electric | 2.8 | |||
Diversified Financial Services | 2.8 | |||
Mining | 2.6 | |||
Pharmaceuticals | 2.4 | |||
Lodging | 2.3 | |||
Foods | 2.3 | |||
Aerospace & Defense | 2.3 | |||
Computers | 2.1 | |||
Auto Manufacturers | 1.9 | |||
Auto Parts & Equipment | 1.8 | |||
Building Materials | 1.6 | |||
Real Estate Investment Trusts (REITs) | 1.5 | |||
Packaging & Containers | 1.4 | |||
Software | 1.1 | |||
Real Estate | 0.8 | |||
Electric Utilities | 0.7 | |||
Gas | 0.7 | |||
Advertising | 0.6 | |||
Engineering & Construction | 0.6 | |||
Transportation | 0.6 |
Banks | 0.5 | % | ||
Machinery-Diversified | 0.5 | |||
Leisure Time | 0.4 | |||
Household Products/Wares | 0.4 | |||
Internet | 0.4 | |||
Distribution/Wholesale | 0.4 | |||
Independent Power & Renewable Electricity Producers | 0.3 | |||
Agriculture | 0.3 | |||
Electrical Components & Equipment | 0.3 | |||
Toys/Games/Hobbies | 0.3 | |||
Semiconductors | 0.3 | |||
Multiline Retail | 0.3 | |||
Iron/Steel | 0.2 | |||
Healthcare-Products | 0.2 | |||
Food Service | 0.2 | |||
Apparel | 0.2 | |||
Miscellaneous Manufacturing | 0.2 | |||
Housewares | 0.2 | |||
Home Furnishings | 0.2 | |||
Energy-Alternate Sources | 0.1 | |||
Electronics | 0.1 | |||
Capital Markets | 0.1 | |||
Machinery-Construction & Mining | 0.1 | |||
Investment Companies | 0.1 | |||
Biotechnology | 0.1 | |||
Office/Business Equipment | 0.1 | |||
Trucking & Leasing | 0.1 | |||
Oil & Gas Services | 0.1 | |||
Interactive Media & Services | 0.1 | |||
Metal Fabricate/Hardware | 0.0 | * | ||
Airlines | 0.0 | * | ||
Coal | 0.0 | * |
SEE NOTES TO FINANCIAL STATEMENTS.
A132
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (cont.): | ||||
Cosmetics/Personal Care | 0.0 | *% | ||
Oil, Gas & Consumable Fuels | 0.0 | * | ||
Wireless Telecommunication Services | 0.0 | * | ||
Diversified Consumer Services | 0.0 | * | ||
|
| |||
118.0 | ||||
Liabilities in excess of other assets | (18.0 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, equity contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | ||||||||
Credit contracts | — | $ | — | Due from/to broker — variation margin swaps | $ | 1,483,154 | * | |||||
Equity contracts | Unaffiliated investments | 380,249 | — | — | ||||||||
Foreign exchange contracts | Unrealized appreciation on OTC forward foreign currency exchange contracts | 2,219 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 20,671 | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | 93,425 | * | Due from/to broker — variation margin futures | 35,204 | * | ||||||
|
|
|
| |||||||||
$ | 475,893 | $ | 1,539,029 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | Forward Currency Exchange Contracts | Swaps | |||||||||
Credit contracts | $ | — | $ | — | $ | 6,168,696 | ||||||
Foreign exchange contracts | — | 14,981 | — | |||||||||
Interest rate contracts | 1,950,067 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,950,067 | $ | 14,981 | $ | 6,168,696 | ||||||
|
|
|
|
|
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging instruments, carried | Rights(1) | Warrants(1) | Futures | Forward Currency Exchange Contracts | Swaps | |||||||||||||||
Credit contracts. | $ | — | $ | — | $ | — | $ | — | $ | (1,144,119 | ) | |||||||||
Equity contracts | 31,390 | (204,534 | ) | — | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A133
AST HIGH YIELD PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging instruments, | Rights(1) | Warrants(1) | Futures | Forward Currency Exchange Contracts | Swaps | |||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | — | $ | (10,590 | ) | $ | — | |||||||||
Interest rate contracts | — | — | 135,736 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 31,390 | $ | (204,534 | ) | $ | 135,736 | $ | (10,590 | ) | $ | (1,144,119 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Futures | Futures | Forward Foreign | ||
$40,243,107 | $2,393,437 | $422,320 |
Forward Foreign | Credit Default | |
$1,052,310 | $36,397,583 |
(1) | Notional Amount in USD. |
(2) | Value at Settlement Date. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/ (Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||
Securities on Loan | $ | 90,881,510 | $ | (90,881,510 | ) | $ | — | |||||
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts of Recognized Liabilities(1) | Net Amounts of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||||||||
Citibank, N.A. | $ | — | $ | (18,449 | ) | $ | (18,449 | ) | $ | — | $ | (18,449 | ) | |||||||
Morgan Stanley & Co. International PLC | 2,219 | (2,222 | ) | (3 | ) | — | (3 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 2,219 | $ | (20,671 | ) | $ | (18,452 | ) | $ | — | $ | (18,452 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A134
AST HIGH YIELD PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $90,881,510: | ||||
Unaffiliated investments (cost $559,598,929) | $ | 508,455,365 | ||
Affiliated investments (cost $139,194,943) | 139,207,456 | |||
Cash | 297,917 | |||
Dividends and interest receivable | 8,634,731 | |||
Deposit with broker for centrally cleared/exchange-traded derivatives | 4,093,000 | |||
Receivable for investments sold | 3,451,726 | |||
Receivable for Portfolio shares sold | 802,106 | |||
Unrealized appreciation on unfunded loan commitments | 5,061 | |||
Unrealized appreciation on OTC forward foreign currency exchange contracts | 2,219 | |||
Prepaid expenses and other assets | 107,266 | |||
|
| |||
Total Assets | 665,056,847 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 92,618,601 | |||
Payable for investments purchased | 22,292,577 | |||
Payable for Portfolio shares repurchased | 554,349 | |||
Due to broker-variation margin swaps | 362,412 | |||
Accrued expenses and other liabilities | 299,085 | |||
Management fee payable | 145,535 | |||
Distribution fee payable | 22,678 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 20,671 | |||
Due to broker-variation margin futures | 15,915 | |||
Affiliated transfer agent fee payable | 378 | |||
Trustees’ fees payable | 180 | |||
Total Liabilities | 116,332,381 | |||
|
| |||
NET ASSETS | $ | 548,724,466 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity. | $ | 548,724,466 | ||
|
| |||
Net asset value and redemption price per share, $548,724,466 / 51,990,567 outstanding shares of beneficial interest | $ | 10.55 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 16,858,607 | ||
Income from securities lending, net (including affiliated income of $168,784) | 178,306 | |||
Affiliated dividend income. | 174,660 | |||
Unaffiliated dividend income | 45,105 | |||
|
| |||
Total income | 17,256,678 | |||
|
| |||
EXPENSES | ||||
Management fee | 1,544,317 | |||
Distribution fee | 668,683 | |||
Custodian and accounting fees | 101,483 | |||
Audit fee | 25,957 | |||
Trustees’ fees | 8,570 | |||
Legal fees and expenses | 7,936 | |||
Shareholders’ reports | 6,877 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,460 | |||
Miscellaneous | 16,540 | |||
Total expenses | 2,383,823 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 14,872,855 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(184,930)) | (21,044,506 | ) | ||
Futures transactions | 1,950,067 | |||
Forward currency contract transactions | 14,981 | |||
Swap agreements transactions | 6,168,696 | |||
Foreign currency transactions | 1,003 | |||
|
| |||
(12,909,759 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $3,408) | (50,081,484 | ) | ||
Futures | 135,736 | |||
Forward currency contracts | (10,590 | ) | ||
Swap agreements | (1,144,119 | ) | ||
Foreign currencies. | (219 | ) | ||
Unfunded loan commitment | 5,061 | |||
|
| |||
. | (51,095,615 | ) | ||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (64,005,374 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (49,132,519 | ) | |
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 14,872,855 | $ | 39,796,564 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (12,909,759 | ) | (7,119,635 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (51,095,615 | ) | 64,782,149 | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (49,132,519 | ) | 97,459,078 | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [18,526,568 and 13,902,508 shares, respectively] | 190,092,838 | 149,652,969 | ||||||
Portfolio shares repurchased [24,026,549 and 30,059,607 shares, respectively] | (246,678,935 | ) | (319,460,155 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (56,586,097 | ) | (169,807,186 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 48 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (105,718,616 | ) | (72,348,060 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 654,443,082 | 726,791,142 | ||||||
|
|
|
| |||||
End of period | $ | 548,724,466 | $ | 654,443,082 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A135
AST INVESTMENT GRADE BOND PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Shares | Value | |||||||
LONG-TERM INVESTMENTS — 98.3% |
| |||||||
AFFILIATED MUTUAL FUNDS — 2.7% |
| |||||||
PGIM Absolute Return Bond Fund | 5,734,934 | $ | 50,410,074 | |||||
PGIM Global Total Return Fund | 14,108,315 | 96,783,044 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS | 147,193,118 | |||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | ||||||||||
ASSET-BACKED SECURITIES — 5.6% |
| |||||||||||
Automobiles — 0.1% |
| |||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||
Series 2015-01A, Class A, 144A 2.500% | 07/20/21 | 533 | 533,138 | |||||||||
Ford Credit Floorplan Master Owner Trust, |
| |||||||||||
Series 2019-04, Class A 2.440% | 09/15/26 | 4,000 | 4,035,875 | |||||||||
|
| |||||||||||
4,569,013 | ||||||||||||
|
| |||||||||||
Collateralized Loan Obligations — 4.2% |
| |||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2015-06A, Class AR, 144A, 3 Month LIBOR + 1.270% (Cap N/A, Floor 0.000%) |
| |||||||||||
2.489%(c) | 07/15/30 | 60,000 | 58,695,414 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%) |
| |||||||||||
2.358%(c) | 04/22/30 | 9,949 | 9,605,636 | |||||||||
Greywolf CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 1.180%) |
| |||||||||||
2.315%(c) | 10/20/31 | 10,000 | 9,707,201 | |||||||||
Highbridge Loan Management Ltd. (Cayman Islands), |
| |||||||||||
Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000% (Cap N/A, Floor 0.000%) |
| |||||||||||
1.541%(c) | 02/05/31 | 993 | 966,722 | |||||||||
Mountain View CLO LLC (Cayman Islands), |
| |||||||||||
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) |
| |||||||||||
2.386%(c) | 01/16/31 | 80,950 | 78,927,723 | |||||||||
OZLM Ltd. (Cayman Islands), |
| |||||||||||
Series 2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%) |
| |||||||||||
2.415%(c) | 10/20/31 | 29,299 | 28,491,847 | |||||||||
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%) |
| |||||||||||
1.644%(c) | 11/14/29 | 250 | 245,958 | |||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) |
| |||||||||||
2.335%(c) | 10/20/31 | 40,250 | 38,856,630 | |||||||||
Zais CLO Ltd. (Cayman Islands), |
| |||||||||||
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.290% (Cap N/A, Floor 0.000%) |
| |||||||||||
2.509%(c) | 04/15/30 | 1,985 | 1,925,220 | |||||||||
|
| |||||||||||
227,422,351 | ||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Consumer Loans — 0.0% |
| |||||||||||
PNMAC GMSR Issuer Trust, |
| |||||||||||
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%) |
| |||||||||||
3.035%(c) | 02/25/23 | 2,560 | $ | 2,508,986 | ||||||||
|
| |||||||||||
Credit Cards — 0.1% |
| |||||||||||
Citibank Credit Card Issuance Trust, |
| |||||||||||
Series 2018-A07, Class A7 3.960% | 10/13/30 | 4,500 | 5,411,809 | |||||||||
|
| |||||||||||
Home Equity Loans — 0.1% |
| |||||||||||
ACE Securities Corp. Home Equity Loan Trust, |
| |||||||||||
Series 2004-IN01, Class A1, 1 Month LIBOR + 0.640% (Cap N/A, Floor 0.320%) |
| |||||||||||
0.825%(c) | 05/25/34 | 1,247 | 1,129,524 | |||||||||
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, |
| |||||||||||
Series 2003-W04, Class M1, 1 Month LIBOR + 1.200% (Cap N/A, Floor 0.800%) |
| |||||||||||
1.385%(c) | 10/25/33 | 1,634 | 1,581,327 | |||||||||
MASTR Asset-Backed Securities Trust, |
| |||||||||||
Series 2004-OPT02, Class A2, 1 Month LIBOR + 0.700% (Cap N/A, Floor 0.350%) |
| |||||||||||
0.885%(c) | 09/25/34 | 821 | 761,709 | |||||||||
Morgan Stanley ABS Capital I, Inc., |
| |||||||||||
Series 2002-HE03, Class A2, 1 Month LIBOR + 1.080% (Cap N/A, Floor 0.540%) |
| |||||||||||
1.265%(c) | 03/25/33 | 247 | 237,629 | |||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, |
| |||||||||||
Series 2002-OP01, Class M1, 1 Month LIBOR + 1.125% (Cap N/A, Floor 0.750%) |
| |||||||||||
1.310%(c) | 09/25/32 | 431 | 433,215 | |||||||||
|
| |||||||||||
4,143,404 | ||||||||||||
|
| |||||||||||
Manufactured Housing — 0.1% |
| |||||||||||
Towd Point Mortgage Trust, |
| |||||||||||
Series 2019-MH01, Class A1, 144A 3.000%(cc) | 11/25/58 | 3,471 | 3,536,648 | |||||||||
|
| |||||||||||
Other — 0.1% | ||||||||||||
PNMAC FMSR Issuer Trust, |
| |||||||||||
Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350% (Cap N/A, Floor 0.000%) |
| |||||||||||
2.535%(c) | 04/25/23 | 880 | 847,082 | |||||||||
TH MSR Issuer Trust, |
| |||||||||||
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%) |
| |||||||||||
2.985%(c) | 06/25/24 | 8,350 | 7,831,812 | |||||||||
|
| |||||||||||
8,678,894 | ||||||||||||
|
| |||||||||||
Residential Mortgage-Backed Securities — 0.9% |
| |||||||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||||
Series 2004-06, Class 2A5, 1 Month LIBOR + 0.780% (Cap N/A, Floor 0.390%) |
| |||||||||||
0.965%(c) | 11/25/34 | 934 | 869,103 | |||||||||
Series 2004-ECC02, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.600%) |
| |||||||||||
1.085%(c) | 12/25/34 | 2,297 | 2,170,766 | |||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||
Series 2018-RPL04, 144A 3.801%(cc) | 07/25/50 | 5,171 | 5,261,371 |
SEE NOTES TO FINANCIAL STATEMENTS.
A136
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Residential Mortgage-Backed Securities (continued) |
| |||||||||||||||
Series 2018-RPL08, Class A1, 144A |
| |||||||||||||||
4.125%(cc) | 07/25/58 | 3,109 | $ | 3,182,283 | ||||||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||||||
Series 2019-GS01, Class A1, 144A |
| |||||||||||||||
4.000% | 01/25/59 | 3,655 | 3,712,834 | |||||||||||||
Series 2019-GS04, Class A1, 144A |
| |||||||||||||||
3.438% | 05/25/59 | 3,656 | 3,649,416 | |||||||||||||
Mill City Mortgage Loan Trust, |
| |||||||||||||||
Series 2017-03, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 01/25/61 | 3,289 | 3,365,253 | |||||||||||||
Series 2018-01, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 05/25/62 | 4,231 | 4,404,257 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, |
| |||||||||||||||
Series 2004-NC05, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.600%) |
| |||||||||||||||
1.085%(c) | 05/25/34 | 816 | 789,234 | |||||||||||||
Towd Point Mortgage Trust, |
| |||||||||||||||
Series 2017-04, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 06/25/57 | 7,074 | 7,283,426 | |||||||||||||
Series 2018-03, Class A1, 144A |
| |||||||||||||||
3.750%(cc) | 05/25/58 | 6,287 | 6,749,425 | |||||||||||||
Series 2018-05, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 07/25/58 | 1,816 | 1,927,622 | |||||||||||||
Series 2019-04, Class A1, 144A |
| |||||||||||||||
2.900%(cc) | 10/25/59 | 2,978 | 3,133,185 | |||||||||||||
Series 2019-HY03, Class A1A, 144A, 1 Month LIBOR + 1.000% (Cap N/A, Floor 1.000%) |
| |||||||||||||||
1.185%(c) | 10/25/59 | 1,594 | 1,587,689 | |||||||||||||
|
| |||||||||||||||
48,085,864 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 304,356,969 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 12.7% |
| |||||||||||||||
Banc of America Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-UB10, Class A3
|
| |||||||||||||||
2.903% | 07/15/49 | 6,500 | 6,857,236 | |||||||||||||
BANK, |
| |||||||||||||||
Series 2020-BN26, Class A3
|
| |||||||||||||||
2.155% | 03/15/63 | 40,650 | 42,144,176 | |||||||||||||
Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2019-C04, Class A4 |
| |||||||||||||||
2.661% | 08/15/52 | 16,045 | 17,154,730 | |||||||||||||
Benchmark Mortgage Trust, |
| |||||||||||||||
Series 2018-B01, Class A1 |
| |||||||||||||||
2.560% | 01/15/51 | 3,423 | 3,462,235 | |||||||||||||
Cantor Commercial Real Estate Lending, |
| |||||||||||||||
Series 2019-CF02, Class A4 |
| |||||||||||||||
2.624% | 11/15/52 | 35,725 | 36,249,289 | |||||||||||||
Series 2019-CF02, Class A5 |
| |||||||||||||||
2.874% | 11/15/52 | 3,500 | 3,617,091 | |||||||||||||
CD Mortgage Trust, |
| |||||||||||||||
Series 2019-CD08, Class A3 |
| |||||||||||||||
2.657% | 08/15/57 | 19,500 | 20,849,757 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
CFCRE Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-C04, Class A1 |
| |||||||||||||||
1.501% | 05/10/58 | 806 | $ | 805,742 | ||||||||||||
Series 2016-C07, Class A2 |
| |||||||||||||||
3.585% | 12/10/54 | 16,500 | 18,140,983 | |||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-GC25, Class A4 |
| |||||||||||||||
3.635% | 10/10/47 | 5,485 | 5,929,524 | |||||||||||||
Series 2015-P01, Class A5 |
| |||||||||||||||
3.717% | 09/15/48 | 1,000 | 1,100,364 | |||||||||||||
Series 2020-555, Class A, 144A |
| |||||||||||||||
2.647% | 12/10/41 | 26,875 | 27,652,451 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-CR20, Class A3 |
| |||||||||||||||
3.326% | 11/10/47 | 7,800 | 8,271,993 | |||||||||||||
Series 2015-CR25, Class A4 |
| |||||||||||||||
3.759% | 08/10/48 | 5,000 | 5,484,430 | |||||||||||||
Series 2015-LC21, Class A4 |
| |||||||||||||||
3.708% | 07/10/48 | 820 | 901,167 | |||||||||||||
Series 2015-LC23, Class A4 |
| |||||||||||||||
3.774% | 10/10/48 | 5,000 | 5,533,928 | |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2016-NXSR, Class A3 |
| |||||||||||||||
3.501% | 12/15/49 | 5,500 | 6,002,388 | |||||||||||||
Series 2016-NXSR, Class A4 |
| |||||||||||||||
3.795%(cc) | 12/15/49 | 26,542 | 29,614,611 | |||||||||||||
Fannie Mae-Aces, |
| |||||||||||||||
Series 2015-M08, Class AB2 |
| |||||||||||||||
2.829%(cc) | 01/25/25 | 1,440 | 1,544,661 | |||||||||||||
Series 2016-M11, Class A2 |
| |||||||||||||||
2.369%(cc) | 07/25/26 | 8,325 | 8,960,614 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K0056, Class XAM, IO |
| |||||||||||||||
1.287%(cc) | 05/25/26 | 38,290 | 2,481,617 | |||||||||||||
Series K0060, Class AM |
| |||||||||||||||
3.300%(cc) | 10/25/26 | 9,157 | 10,370,266 | |||||||||||||
Series K0083, Class AM |
| |||||||||||||||
4.030%(cc) | 10/25/28 | 10,900 | 13,183,747 | |||||||||||||
Series K0085, Class AM |
| |||||||||||||||
4.060%(cc) | 10/25/28 | 10,000 | 12,084,221 | |||||||||||||
Series K0086, Class AM |
| |||||||||||||||
3.919%(cc) | 12/25/28 | 7,300 | 8,809,593 | |||||||||||||
Series K0087, Class AM |
| |||||||||||||||
3.832%(cc) | 12/25/28 | 7,850 | 9,389,605 | |||||||||||||
Series K0091, Class A2 |
| |||||||||||||||
3.505% | 03/25/29 | 8,060 | 9,532,098 | |||||||||||||
Series K0093, Class XAM, IO |
| |||||||||||||||
1.332%(cc) | 05/25/29 | 51,135 | 4,423,070 | |||||||||||||
Series K0106, Class XAM, IO |
| |||||||||||||||
1.728%(cc) | 02/25/30 | 54,548 | 7,332,691 | |||||||||||||
Series K0151, Class A3 |
| |||||||||||||||
3.511% | 04/25/30 | 4,810 | 5,651,044 | |||||||||||||
Series K0155, Class A2 |
| |||||||||||||||
3.750% | 11/25/32 | 17,750 | 21,431,815 | |||||||||||||
Series K0157, Class A2 |
| |||||||||||||||
3.990%(cc) | 05/25/33 | 30,274 | 37,453,188 |
SEE NOTES TO FINANCIAL STATEMENTS.
A137
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series K0734, Class X1, IO |
| |||||||||||||||
0.786%(cc) | 02/25/26 | 122,064 | $ | 3,783,799 | ||||||||||||
Series K0736, Class XAM, IO |
| |||||||||||||||
1.835%(cc) | 07/25/26 | 63,677 | 5,335,006 | |||||||||||||
Series K0737, Class XAM, IO |
| |||||||||||||||
1.118%(cc) | 10/25/26 | 46,658 | 2,748,963 | |||||||||||||
Series K1513, Class A3 |
| |||||||||||||||
2.797% | 08/25/34 | 67,832 | 77,429,984 | |||||||||||||
Series K1514, Class A2 |
| |||||||||||||||
2.859% | 10/25/34 | 23,112 | 26,663,295 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2014-GC24, Class A4 |
| |||||||||||||||
3.666% | 09/10/47 | 4,855 | 5,235,135 | |||||||||||||
Series 2018-GS09, Class A3 |
| |||||||||||||||
3.727% | 03/10/51 | 16,275 | 18,291,707 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-C12, Class A4 |
| |||||||||||||||
3.363% | 07/15/45 | 829 | 865,614 | |||||||||||||
Series 2014-C24, Class A4A1 |
| |||||||||||||||
3.373% | 11/15/47 | 1,500 | 1,598,840 | |||||||||||||
Series 2015-C29, Class A2 |
| |||||||||||||||
2.921% | 05/15/48 | 1,116 | 1,114,934 | |||||||||||||
Series 2015-C30, Class A3 |
| |||||||||||||||
3.322% | 07/15/48 | 2,565 | 2,609,003 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2014-C20, Class A4A2, 144A |
| |||||||||||||||
3.538% | 07/15/47 | 5,000 | 5,240,845 | |||||||||||||
Ladder Capital Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2017-LC26, Class A2, 144A |
| |||||||||||||||
3.128% | 07/12/50 | 10,170 | 10,299,004 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2015-C20, Class A4 |
| |||||||||||||||
3.249% | 02/15/48 | 3,500 | 3,715,255 | |||||||||||||
Series 2015-C27, Class A4 |
| |||||||||||||||
3.753% | 12/15/47 | 3,447 | 3,810,221 | |||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2018-C08, Class A1 |
| |||||||||||||||
2.659% | 02/15/51 | 4,760 | 4,831,366 | |||||||||||||
Series 2018-C08, Class A3 |
| |||||||||||||||
3.720% | 02/15/51 | 40,600 | 45,712,916 | |||||||||||||
Series 2018-C12, Class A2 |
| |||||||||||||||
4.152% | 08/15/51 | 3,250 | 3,514,789 | |||||||||||||
Series 2018-C14, Class A3 |
| |||||||||||||||
4.180% | 12/15/51 | 15,000 | 17,254,296 | |||||||||||||
Series 2019-C17, Class A2 |
| |||||||||||||||
2.313% | 10/15/52 | 7,291 | 7,518,387 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2013-C05, Class A3 |
| |||||||||||||||
2.920% | 03/10/46 | 3,930 | 4,016,500 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-BNK01, Class A2 |
| |||||||||||||||
2.399% | 08/15/49 | 30,800 | 31,868,994 | |||||||||||||
Series 2017-C41, Class A3 |
| |||||||||||||||
3.210% | 11/15/50 | 15,610 | 16,940,955 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 692,820,133 | ||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS — 55.7% |
| |||||||||||||||
Aerospace & Defense — 1.9% |
| |||||||||||||||
Boeing Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.950% | 02/01/30 | (a) | 9,200 | $ | 8,982,919 | |||||||||||
3.750% | 02/01/50 | (a) | 4,820 | 4,373,721 | ||||||||||||
General Dynamics Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.500% | 04/01/27 | 20,000 | 22,826,779 | |||||||||||||
Northrop Grumman Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.150% | 05/01/40 | 20,000 | 26,732,397 | |||||||||||||
Raytheon Technologies Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 11/16/28 | 35,880 | 42,262,026 | |||||||||||||
|
| |||||||||||||||
105,177,842 | ||||||||||||||||
|
| |||||||||||||||
Agriculture — 1.3% |
| |||||||||||||||
BAT Capital Corp. (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.222% | 08/15/24 | 45,895 | 49,050,503 | |||||||||||||
3.557% | 08/15/27 | 5,000 | 5,384,082 | |||||||||||||
BAT International Finance PLC (United Kingdom), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.500% | 06/15/22 | 7,534 | 7,880,357 | |||||||||||||
Reynolds American, Inc. (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.450% | 06/12/25 | 5,000 | 5,632,494 | |||||||||||||
|
| |||||||||||||||
67,947,436 | ||||||||||||||||
|
| |||||||||||||||
Airlines — 0.2% |
| |||||||||||||||
Continental Airlines 2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
5.983% | 10/19/23 | 1,123 | 1,053,481 | |||||||||||||
Continental Airlines 2010-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.750% | 07/12/22 | 106 | 104,446 | |||||||||||||
Delta Air Lines, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.625% | 03/15/22 | �� | 3,940 | 3,729,390 | ||||||||||||
3.800% | 04/19/23 | 5,000 | 4,447,160 | |||||||||||||
|
| |||||||||||||||
9,334,477 | ||||||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 0.4% |
| |||||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.134% | 08/04/25 | 500 | 474,404 | |||||||||||||
5.750% | 02/01/21 | (a) | 750 | 753,187 | ||||||||||||
General Motors Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/02/23 | 9,795 | 10,401,054 | |||||||||||||
6.600% | 04/01/36 | 3,385 | 3,644,696 | |||||||||||||
General Motors Financial Co., Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.350% | 04/09/25 | 8,000 | 8,438,160 | |||||||||||||
|
| |||||||||||||||
23,711,501 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A138
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks — 15.4% |
| |||||||||||||||
Banco Santander SA (Spain), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120% |
| |||||||||||||||
2.431%(c) | 04/12/23 | 2,200 | $ | 2,169,777 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.848% | 04/12/23 | 3,200 | 3,402,646 | |||||||||||||
Bank of America Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series DD |
| |||||||||||||||
6.300%(ff) | — | (rr)(a) | 2,160 | 2,390,473 | ||||||||||||
Jr. Sub. Notes, Series MM |
| |||||||||||||||
4.300%(ff) | — | (rr)(a) | 30,000 | 26,815,135 | ||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.593%(ff) | 07/21/28 | 9,290 | 10,434,279 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.496%(ff) | 02/13/31 | (a) | 17,744 | 18,568,510 | ||||||||||||
3.824%(ff) | 01/20/28 | 5,000 | 5,648,263 | |||||||||||||
3.974%(ff) | 02/07/30 | 5,000 | 5,811,945 | |||||||||||||
4.078%(ff) | 04/23/40 | 10,950 | 13,360,357 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.000% | 01/22/25 | 8,680 | 9,598,759 | |||||||||||||
4.200% | 08/26/24 | 9,015 | 10,001,930 | |||||||||||||
Sub. Notes, Series L, MTN |
| |||||||||||||||
3.950% | 04/21/25 | 11,000 | 12,174,239 | |||||||||||||
Bank of New York Mellon Corp. (The), |
| |||||||||||||||
Jr. Sub. Notes, Series F |
| |||||||||||||||
4.625%(ff) | — | (rr) | 30,980 | 30,675,228 | ||||||||||||
Barclays PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 03/16/25 | 24,260 | 26,277,502 | |||||||||||||
3.684% | 01/10/23 | 8,870 | 9,198,946 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
4.972%(ff) | 05/16/29 | 20,740 | 24,302,465 | |||||||||||||
BNP Paribas SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.375% | 01/09/25 | 992 | 1,072,631 | |||||||||||||
4.400% | 08/14/28 | 200 | 231,537 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.052%(ff) | 01/13/31 | 10,000 | 10,516,255 | |||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Jr. Sub. Notes, Series Q |
| |||||||||||||||
5.950%(ff) | — | (rr) | 18,509 | 17,473,345 | ||||||||||||
Jr. Sub. Notes, Series V |
| |||||||||||||||
4.700%(ff) | — | (rr) | 3,500 | 3,125,457 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.666%(ff) | 01/29/31 | (a) | 18,250 | 18,915,341 | ||||||||||||
3.520%(ff) | 10/27/28 | 22,875 | 25,395,321 | |||||||||||||
5.316%(ff) | 03/26/41 | 28,818 | 38,764,494 | |||||||||||||
Sub. Notes |
| |||||||||||||||
4.450% | 09/29/27 | 25,330 | 28,826,736 | |||||||||||||
Credit Agricole SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.750% | 04/24/23 | (a) | 10,750 | 11,507,797 | ||||||||||||
Credit Suisse Group Funding Guernsey Ltd. (Switzerland), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.800% | 06/09/23 | 1,250 | 1,344,262 | |||||||||||||
Danske Bank A/S (Denmark), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.375% | 01/12/24 | 10,000 | 11,148,453 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
Deutsche Bank AG (Germany), |
| |||||||||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||||||
5.000% | 02/14/22 | 11,100 | $ | 11,624,116 | ||||||||||||
Discover Bank, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 07/27/26 | 3,250 | 3,513,220 | |||||||||||||
4.250% | 03/13/26 | 2,100 | 2,365,134 | |||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922% |
| |||||||||||||||
4.370%(c) | — | (rr) | 8,000 | 7,318,407 | ||||||||||||
Jr. Sub. Notes, Series P |
| |||||||||||||||
5.000%(ff) | — | (rr)(a) | 10,000 | 9,237,886 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.800% | 03/15/30 | 32,368 | 36,673,563 | |||||||||||||
3.814%(ff) | 04/23/29 | 16,650 | 18,807,725 | |||||||||||||
3.850% | 01/26/27 | 240 | 269,852 | |||||||||||||
HSBC Holdings PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.583%(ff) | 06/19/29 | (a) | 3,800 | 4,380,406 | ||||||||||||
4.950% | 03/31/30 | (a) | 10,000 | 11,988,353 | ||||||||||||
Huntington Bancshares, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.550% | 02/04/30 | 770 | 796,789 | |||||||||||||
Intesa Sanpaolo SpA (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes, Series XR, 144A |
| |||||||||||||||
4.000% | 09/23/29 | (a) | 9,790 | 10,333,905 | ||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% |
| |||||||||||||||
4.230%(c) | — | (rr) | 489 | 447,304 | ||||||||||||
Jr. Sub. Notes, Series II |
| |||||||||||||||
4.000%(ff) | — | (rr)(a) | 10,000 | 8,737,856 | ||||||||||||
Jr. Sub. Notes, Series V, 3 Month LIBOR + 3.320% |
| |||||||||||||||
4.753%(c) | — | (rr) | 5,000 | 4,439,136 | ||||||||||||
Jr. Sub. Notes, Series Z, 3 Month LIBOR + 3.800% |
| |||||||||||||||
4.487%(c) | — | (rr) | 7,000 | 6,587,264 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.509%(ff) | 01/23/29 | 22,500 | 25,350,652 | |||||||||||||
3.702%(ff) | 05/06/30 | (a) | 5,000 | 5,726,837 | ||||||||||||
4.493%(ff) | 03/24/31 | (a) | 50,000 | 60,957,648 | ||||||||||||
Morgan Stanley, |
| |||||||||||||||
Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610% |
| |||||||||||||||
4.829%(c) | — | (rr) | 40,000 | 35,504,195 | ||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
2.699%(ff) | 01/22/31 | 25,000 | 26,530,405 | |||||||||||||
3.772%(ff) | 01/24/29 | 5,000 | 5,690,118 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
3.950% | 04/23/27 | 655 | 733,996 | |||||||||||||
4.100% | 05/22/23 | 1,165 | 1,259,086 | |||||||||||||
Royal Bank of Scotland Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.269%(ff) | 03/22/25 | 200 | 217,426 | |||||||||||||
Societe Generale SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.875% | 03/28/24 | 30,000 | 32,030,814 | |||||||||||||
State Street Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series F |
| |||||||||||||||
5.250%(ff) | — | (rr) | 22,425 | 21,334,488 |
SEE NOTES TO FINANCIAL STATEMENTS.
A139
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
U.S. Bancorp, |
| |||||||||||||||
Jr. Sub. Notes, Series J |
| |||||||||||||||
5.300%(ff) | — | (rr)(a) | 16,390 | $ | 16,617,753 | |||||||||||
UBS Group AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.859%(ff) | 08/15/23 | 700 | 725,152 | |||||||||||||
4.125% | 09/24/25 | 9,005 | 10,218,967 | |||||||||||||
Wells Fargo & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.572%(ff) | 02/11/31 | 40,000 | 41,812,382 | |||||||||||||
2.879%(ff) | 10/30/30 | 5,000 | 5,341,180 | |||||||||||||
4.478%(ff) | 04/04/31 | (a) | 25,000 | 30,196,964 | ||||||||||||
|
| |||||||||||||||
836,921,062 | ||||||||||||||||
|
| |||||||||||||||
Beverages — 1.1% |
| |||||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 01/23/29 | (a) | 15,000 | 18,109,548 | ||||||||||||
Coca-Cola Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 03/25/27 | 9,374 | 10,746,633 | |||||||||||||
PepsiCo, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 03/19/40 | 25,710 | 30,376,507 | |||||||||||||
|
| |||||||||||||||
59,232,688 | ||||||||||||||||
|
| |||||||||||||||
Biotechnology — 0.2% |
| |||||||||||||||
Amgen, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.450% | 02/21/30 | 10,112 | 10,686,582 | |||||||||||||
|
| |||||||||||||||
Building Materials — 0.0% |
| |||||||||||||||
Johnson Controls International PLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.900% | 02/14/26 | 322 | 356,419 | |||||||||||||
Martin Marietta Materials, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 07/02/24 | 640 | 697,620 | |||||||||||||
|
| |||||||||||||||
1,054,039 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 0.8% |
| |||||||||||||||
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.125% | 04/01/25 | 14,475 | 16,631,041 | |||||||||||||
Dow Chemical Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.625% | 05/15/26 | 2,545 | 2,793,342 | |||||||||||||
4.550% | 11/30/25 | 2,000 | 2,276,424 | |||||||||||||
LyondellBasell Industries NV, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 04/15/24 | 1,520 | 1,745,545 | |||||||||||||
Mosaic Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 11/15/23 | 3,295 | 3,453,417 | |||||||||||||
Nutrien Ltd. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.150% | 10/01/22 | 785 | 819,162 | |||||||||||||
3.500% | 06/01/23 | 6,000 | 6,375,482 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Chemicals (continued) |
| |||||||||||||||
Nutrien Ltd. (Canada), (continued) |
| |||||||||||||||
4.000% | 12/15/26 | 5,000 | $ | 5,651,990 | ||||||||||||
Sasol Financing International Ltd. (South Africa), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 11/14/22 | 5,000 | 4,536,533 | |||||||||||||
W.R. Grace & Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.125% | 10/01/21 | 805 | 848,774 | |||||||||||||
|
| |||||||||||||||
45,131,710 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 0.5% |
| |||||||||||||||
ERAC USA Finance LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.700% | 11/01/23 | 5,950 | 5,974,505 | |||||||||||||
3.300% | 10/15/22 | 170 | 174,542 | |||||||||||||
3.800% | 11/01/25 | 2,445 | 2,568,437 | |||||||||||||
IHS Markit Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.750% | 02/15/25 | 5,290 | 5,954,928 | |||||||||||||
Massachusetts Institute of Technology, |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
3.885% | 07/01/2116 | 8,500 | 10,569,965 | |||||||||||||
United Rentals North America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.250% | 01/15/30 | (a) | 1,055 | 1,090,590 | ||||||||||||
|
| |||||||||||||||
26,332,967 | ||||||||||||||||
|
| |||||||||||||||
Cosmetics/Personal Care — 0.3% |
| |||||||||||||||
Procter & Gamble Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.550% | 03/25/40 | (a) | 15,000 | 17,998,714 | ||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.9% |
| |||||||||||||||
Jefferies Group LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.125% | 01/20/23 | (a) | 2,280 | 2,476,082 | ||||||||||||
Jefferies Group LLC/Jefferies Group Capital Finance, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.150% | 01/23/30 | (a) | 8,650 | 9,332,366 | ||||||||||||
Mastercard, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 03/26/30 | 26,250 | 30,389,814 | |||||||||||||
Nuveen LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.000% | 11/01/28 | (h) | 6,515 | 7,699,146 | ||||||||||||
Private Export Funding Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.650% | 02/16/21 | 645 | 654,905 | |||||||||||||
|
| |||||||||||||||
50,552,313 | ||||||||||||||||
|
| |||||||||||||||
Electric — 6.6% |
| |||||||||||||||
AEP Texas, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 06/01/28 | 7,510 | 8,532,708 | |||||||||||||
AEP Transmission Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100% | 12/01/26 | 2,485 | 2,779,768 |
SEE NOTES TO FINANCIAL STATEMENTS.
A140
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (continued) |
| |||||||||||||||
Berkshire Hathaway Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.950% | 05/15/37 | 1,405 | $ | 1,987,875 | ||||||||||||
6.125% | 04/01/36 | 1,160 | 1,671,740 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.700% | 07/15/30 | 20,000 | 23,396,732 | |||||||||||||
Calpine Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 01/15/25 | (a) | 3,000 | 3,029,448 | ||||||||||||
CenterPoint Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 11/01/28 | 6,480 | 7,503,030 | |||||||||||||
Dominion Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.900% | 10/01/25 | (a) | 11,130 | 12,567,308 | ||||||||||||
Sr. Unsec’d. Notes, Series B |
| |||||||||||||||
3.600% | 03/15/27 | 47,060 | 52,138,384 | |||||||||||||
DTE Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.850% | 10/01/26 | 450 | 477,899 | |||||||||||||
Sr. Unsec’d. Notes, Series C |
| |||||||||||||||
3.500% | 06/01/24 | 135 | 146,186 | |||||||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||||||
3.700% | 08/01/23 | 6,650 | 7,181,303 | |||||||||||||
Duke Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.150% | 08/15/27 | 435 | 484,024 | |||||||||||||
Duke Energy Florida LLC, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.800% | 07/15/28 | 6,750 | 7,891,447 | |||||||||||||
Duke Energy Progress LLC, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.700% | 09/01/28 | 3,980 | 4,618,090 | |||||||||||||
Entergy Arkansas LLC, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.000% | 06/01/28 | 10,000 | 11,510,531 | |||||||||||||
Entergy Louisiana LLC, |
| |||||||||||||||
Collateral Trust |
| |||||||||||||||
3.250% | 04/01/28 | 445 | 490,632 | |||||||||||||
Entergy Texas, Inc., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.000% | 03/30/29 | (a) | 10,900 | 12,658,113 | ||||||||||||
Eversource Energy, |
| |||||||||||||||
Sr. Unsec’d. Notes, Series O |
| |||||||||||||||
4.250% | 04/01/29 | (a) | 6,975 | 8,207,846 | ||||||||||||
Exelon Corp., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
3.497% | 06/01/22 | 12,060 | 12,588,864 | |||||||||||||
FirstEnergy Transmission LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.350% | 01/15/25 | 1,250 | 1,424,407 | |||||||||||||
Gulf Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series A |
| |||||||||||||||
3.300% | 05/30/27 | 795 | 876,703 | |||||||||||||
Interstate Power & Light Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 12/01/24 | (a) | 925 | 1,003,790 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (continued) |
| |||||||||||||||
Interstate Power & Light Co., (continued) |
| |||||||||||||||
4.100% | 09/26/28 | 8,000 | $ | 9,271,360 | ||||||||||||
Kentucky Utilities Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.300% | 10/01/25 | 2,150 | 2,337,505 | |||||||||||||
Louisville Gas & Electric Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.300% | 10/01/25 | 3,065 | 3,383,237 | |||||||||||||
Metropolitan Edison Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.300% | 01/15/29 | 12,210 | 14,388,887 | |||||||||||||
Monongahela Power Co., |
| |||||||||||||||
First Mortgage, 144A |
| |||||||||||||||
4.100% | 04/15/24 | 5,310 | 5,869,941 | |||||||||||||
NSTAR Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 04/01/30 | 12,000 | 14,497,717 | |||||||||||||
Ohio Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series P |
| |||||||||||||||
2.600% | 04/01/30 | 9,500 | 10,190,178 | |||||||||||||
Oncor Electric Delivery Co. LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
2.750% | 05/15/30 | 25,000 | 27,395,339 | |||||||||||||
PacifiCorp, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.350% | 07/01/25 | 2,270 | 2,494,737 | |||||||||||||
PSEG Power LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.850% | 06/01/23 | 8,065 | 8,703,054 | |||||||||||||
Puget Energy, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
3.650% | 05/15/25 | 530 | 566,304 | |||||||||||||
San Diego Gas & Electric Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.150% | 05/15/48 | 7,165 | 8,756,861 | |||||||||||||
Sempra Energy, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 02/01/28 | 10,000 | 10,992,995 | |||||||||||||
Southwestern Electric Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series M |
| |||||||||||||||
4.100% | 09/15/28 | 5,000 | 5,720,628 | |||||||||||||
State Grid Overseas Investment 2013 Ltd. (China), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.125% | 05/22/23 | 2,000 | 2,103,056 | |||||||||||||
Union Electric Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
2.950% | 03/15/30 | (a) | 35,000 | 39,117,968 | ||||||||||||
Virginia Electric & Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.950% | 01/15/22 | 5 | 5,136 | |||||||||||||
Vistra Operations Co. LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 07/31/27 | 2,245 | 2,276,930 | |||||||||||||
5.625% | 02/15/27 | 3,000 | 3,078,776 |
SEE NOTES TO FINANCIAL STATEMENTS.
A141
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (continued) |
| |||||||||||||||
Xcel Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 12/01/26 | 5,115 | $ | 5,745,255 | ||||||||||||
|
| |||||||||||||||
360,062,692 | ||||||||||||||||
|
| |||||||||||||||
Electronics — 0.1% |
| |||||||||||||||
Trimble, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.150% | 06/15/23 | (a) | 4,180 | 4,434,986 | ||||||||||||
|
| |||||||||||||||
Engineering & Construction — 0.3% |
| |||||||||||||||
Mexico City Airport Trust (Mexico), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.500% | 07/31/47 | 20,780 | 18,328,903 | |||||||||||||
|
| |||||||||||||||
Foods — 0.2% |
| |||||||||||||||
Kraft Heinz Foods Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.000% | 06/01/26 | 9,915 | 10,049,663 | |||||||||||||
Mars, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.875% | 04/01/39 | 1,370 | 1,646,597 | |||||||||||||
4.200% | 04/01/59 | 1,190 | 1,523,093 | |||||||||||||
|
| |||||||||||||||
13,219,353 | ||||||||||||||||
|
| |||||||||||||||
Gas — 0.1% |
| |||||||||||||||
Southern California Gas Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.200% | 06/15/25 | (a) | 3,300 | 3,632,517 | ||||||||||||
First Mortgage, Series VV |
| |||||||||||||||
4.300% | 01/15/49 | 2,150 | 2,719,990 | |||||||||||||
|
| |||||||||||||||
6,352,507 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 1.0% |
| |||||||||||||||
Alcon Finance Corp. (Switzerland), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.000% | 09/23/29 | 7,839 | 8,301,866 | |||||||||||||
Baxter International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.950% | 04/01/30 | 11,910 | 14,119,481 | |||||||||||||
Boston Scientific Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 03/01/29 | 3,965 | 4,538,191 | |||||||||||||
Medtronic Global Holdings SCA, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.350% | 04/01/27 | 3,250 | 3,694,931 | |||||||||||||
Thermo Fisher Scientific, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.497% | 03/25/30 | 10,735 | 13,228,705 | |||||||||||||
Zimmer Biomet Holdings, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.550% | 03/20/30 | 10,000 | 10,784,727 | |||||||||||||
|
| |||||||||||||||
54,667,901 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 1.8% |
| |||||||||||||||
Aetna, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 11/15/24 | 1,000 | 1,088,600 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Services (continued) |
| |||||||||||||||
HCA, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.125% | 06/15/39 | 9,300 | $ | 10,822,464 | ||||||||||||
5.250% | 06/15/26 | (a) | 5,012 | 5,764,142 | ||||||||||||
Humana, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 03/15/27 | 3,345 | 3,799,788 | |||||||||||||
4.875% | 04/01/30 | 13,494 | 16,681,797 | |||||||||||||
Memorial Sloan-Kettering Cancer Center, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 07/01/52 | 125 | 158,938 | |||||||||||||
Quest Diagnostics, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.950% | 06/30/30 | 270 | 286,441 | |||||||||||||
3.500% | 03/30/25 | 14,145 | 15,570,200 | |||||||||||||
Stanford Health Care, |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
3.310% | 08/15/30 | 8,980 | 10,091,176 | |||||||||||||
UnitedHealth Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.950% | 10/15/27 | 10,000 | 11,159,023 | |||||||||||||
3.450% | 01/15/27 | 20,445 | 23,326,452 | |||||||||||||
|
| |||||||||||||||
98,749,021 | ||||||||||||||||
|
| |||||||||||||||
Home Furnishings — 0.0% |
| |||||||||||||||
Panasonic Corp. (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.679% | 07/19/24 | 1,000 | 1,059,938 | |||||||||||||
|
| |||||||||||||||
Housewares — 0.3% |
| |||||||||||||||
Newell Brands, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.350% | 04/01/23 | 13,855 | 14,276,854 | |||||||||||||
|
| |||||||||||||||
Insurance — 1.3% |
| |||||||||||||||
American International Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.900% | 04/01/26 | (a) | 2,655 | 2,994,442 | ||||||||||||
Arch Capital Finance LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.011% | 12/15/26 | 3,045 | 3,446,655 | |||||||||||||
Liberty Mutual Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.951% | 10/15/50 | 15,000 | 15,827,422 | |||||||||||||
4.569% | 02/01/29 | 2 | 2,342 | |||||||||||||
Markel Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 11/01/27 | 500 | 534,408 | |||||||||||||
3.625% | 03/30/23 | 355 | 377,987 | |||||||||||||
4.900% | 07/01/22 | 2,510 | 2,688,074 | |||||||||||||
Principal Financial Group, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.125% | 05/15/23 | 3,500 | 3,712,236 | |||||||||||||
Progressive Corp. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 03/26/30 | (a) | 20,000 | 22,695,281 | ||||||||||||
Swiss Re Treasury US Corp. (Switzerland), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.875% | 12/06/22 | 1,185 | 1,234,426 |
SEE NOTES TO FINANCIAL STATEMENTS.
A142
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Insurance (continued) |
| |||||||||||||||
Teachers Insurance & Annuity Association of America, |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.270% | 05/15/47 | 12,500 | $ | 14,923,399 | ||||||||||||
|
| |||||||||||||||
68,436,672 | ||||||||||||||||
|
| |||||||||||||||
Lodging — 0.0% |
| |||||||||||||||
Marriott International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 09/15/22 | 1,320 | 1,326,115 | |||||||||||||
Sands China Ltd. (Macau), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.600% | 08/08/23 | 400 | 420,630 | |||||||||||||
|
| |||||||||||||||
1,746,745 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.6% |
| |||||||||||||||
Deere & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100% | 04/15/30 | 14,885 | 16,860,914 | |||||||||||||
Otis Worldwide Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.565% | 02/15/30 | 13,000 | 13,648,826 | |||||||||||||
|
| |||||||||||||||
30,509,740 | ||||||||||||||||
|
| |||||||||||||||
Media — 3.8% |
| |||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.375% | 06/01/29 | 3,200 | 3,375,776 | |||||||||||||
5.875% | 05/01/27 | 800 | 834,072 | |||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
3.750% | 02/15/28 | 19,350 | 21,096,669 | |||||||||||||
6.384% | 10/23/35 | 32,072 | 42,320,399 | |||||||||||||
Comcast Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.650% | 02/01/30 | 18,100 | 19,673,201 | |||||||||||||
3.300% | 02/01/27 | 20,678 | 23,194,107 | |||||||||||||
3.400% | 04/01/30 | 36,725 | 41,969,042 | |||||||||||||
3.750% | 04/01/40 | 3,510 | 4,118,308 | |||||||||||||
4.200% | 08/15/34 | 1,575 | 1,943,991 | |||||||||||||
Cox Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.150% | 08/15/24 | 11,390 | 12,239,419 | |||||||||||||
3.350% | 09/15/26 | (a) | 16,000 | 17,672,504 | ||||||||||||
Discovery Communications LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.800% | 03/13/24 | 500 | 540,853 | |||||||||||||
Walt Disney Co. (The), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 03/23/40 | 15,000 | 18,769,516 | |||||||||||||
|
| |||||||||||||||
207,747,857 | ||||||||||||||||
|
| |||||||||||||||
Mining — 0.3% |
| |||||||||||||||
Barrick PD Australia Finance Pty Ltd. (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.950% | 10/15/39 | 11,267 | 15,178,949 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Mining (continued) |
| |||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250%(ff) | 10/19/75 | 1,360 | $ | 1,370,883 | ||||||||||||
|
| |||||||||||||||
16,549,832 | ||||||||||||||||
|
| |||||||||||||||
Multi-National — 0.1% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 09/27/21 | 2,935 | 2,954,622 | |||||||||||||
2.750% | 01/06/23 | 445 | 465,712 | |||||||||||||
3.250% | 02/11/22 | 4,290 | 4,403,307 | |||||||||||||
|
| |||||||||||||||
7,823,641 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas — 1.7% |
| |||||||||||||||
BP Capital Markets America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.796% | 09/21/25 | 2 | 2,270 | |||||||||||||
Cenovus Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.000% | 08/15/22 | (a) | 895 | 869,023 | ||||||||||||
4.250% | 04/15/27 | 4,950 | 4,501,594 | |||||||||||||
CNOOC Finance 2013 Ltd. (China), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.000% | 05/09/23 | (a) | 1,965 | 2,052,683 | ||||||||||||
Concho Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.750% | 10/01/27 | (a) | 2,305 | 2,458,756 | ||||||||||||
4.300% | 08/15/28 | 25,762 | 28,263,846 | |||||||||||||
Helmerich & Payne, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.650% | 03/15/25 | 1,930 | 2,075,274 | |||||||||||||
Husky Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.400% | 04/15/29 | (a) | 3,000 | 2,998,337 | ||||||||||||
Nabors Industries, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 09/15/20 | (a) | 679 | 674,786 | ||||||||||||
Occidental Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.950% | 07/01/24 | 2,000 | 1,958,471 | |||||||||||||
Petrobras Global Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.900% | 03/19/49 | (a) | 11,290 | 11,890,281 | ||||||||||||
Petroleos Mexicanos (Mexico), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 01/21/21 | 310 | 310,764 | |||||||||||||
6.500% | 03/13/27 | 18,965 | 17,300,627 | |||||||||||||
Gtd. Notes, MTN |
| |||||||||||||||
6.750% | 09/21/47 | 10,249 | 7,887,283 | |||||||||||||
Valero Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.350% | 06/01/28 | 7,335 | 8,310,312 | |||||||||||||
|
| |||||||||||||||
91,554,307 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A143
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Packaging & Containers — 0.3% |
| |||||||||||||||
WestRock RKT LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.900% | 03/01/22 | 1,050 | $ | 1,114,341 | ||||||||||||
WRKCo, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.650% | 03/15/26 | (a) | 12,590 | 14,657,338 | ||||||||||||
|
| |||||||||||||||
15,771,679 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 4.1% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.200% | 11/21/29 | 30,540 | 33,510,292 | |||||||||||||
3.850% | 06/15/24 | 575 | 631,207 | |||||||||||||
4.050% | 11/21/39 | 2,000 | 2,335,112 | |||||||||||||
Bayer US Finance II LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.200% | 07/15/22 | 400 | 408,307 | |||||||||||||
Becton, Dickinson & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.363% | 06/06/24 | 10,000 | 10,776,784 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.900% | 02/20/28 | (a) | 24,692 | 29,003,047 | ||||||||||||
4.250% | 10/26/49 | 3,050 | 4,016,697 | |||||||||||||
Cardinal Health, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.079% | 06/15/24 | 8,400 | 8,954,259 | |||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.375% | 10/15/28 | 32,200 | 38,094,430 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.250% | 04/15/25 | 530 | 577,999 | |||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 08/12/24 | 10,667 | 11,607,493 | |||||||||||||
3.875% | 07/20/25 | 1,328 | 1,491,426 | |||||||||||||
4.300% | 03/25/28 | 40,084 | 46,862,805 | |||||||||||||
4.780% | 03/25/38 | 1,775 | 2,194,443 | |||||||||||||
5.000% | 12/01/24 | 700 | 798,906 | |||||||||||||
Mylan NV, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.950% | 06/15/26 | (a) | 565 | 631,226 | ||||||||||||
Mylan, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.200% | 04/15/48 | 14,273 | 17,598,834 | |||||||||||||
Takeda Pharmaceutical Co. Ltd. (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.000% | 11/26/28 | 10,000 | 12,326,164 | |||||||||||||
|
| |||||||||||||||
221,819,431 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 2.8% |
| |||||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.750% | 05/15/30 | (a) | 7,610 | 7,534,398 | ||||||||||||
4.950% | 06/15/28 | 12,825 | 13,803,635 | |||||||||||||
5.250% | 04/15/29 | 1,550 | 1,691,815 | |||||||||||||
5.500% | 06/01/27 | (a) | 5,000 | 5,585,294 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pipelines (continued) |
| |||||||||||||||
Energy Transfer Operating LP, (continued) |
| |||||||||||||||
5.875% | 01/15/24 | 5,606 | $ | 6,249,668 | ||||||||||||
Enterprise Products Operating LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.125% | 07/31/29 | 7,750 | 8,301,816 | |||||||||||||
EQM Midstream Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.750% | 07/15/23 | 1,925 | 1,939,677 | |||||||||||||
Kinder Morgan, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.625% | 11/15/23 | 7,350 | 8,299,397 | |||||||||||||
MPLX LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 03/15/28 | 8,455 | 8,954,072 | |||||||||||||
4.125% | 03/01/27 | 2,980 | 3,179,670 | |||||||||||||
ONEOK Partners LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 09/15/23 | (a) | 2,525 | 2,723,031 | ||||||||||||
ONEOK, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 07/13/27 | 1,535 | 1,557,465 | |||||||||||||
4.500% | 03/15/50 | 48,560 | 45,200,346 | |||||||||||||
4.550% | 07/15/28 | 7,450 | 7,812,881 | |||||||||||||
Plains All American Pipeline LP/PAA Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.550% | 12/15/29 | (a) | 10,000 | 9,722,709 | ||||||||||||
4.650% | 10/15/25 | 2,185 | 2,333,703 | |||||||||||||
Spectra Energy Partners LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 03/15/24 | (a) | 4,340 | 4,852,251 | ||||||||||||
Sunoco Logistics Partners Operations LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 10/01/27 | 1,510 | 1,538,609 | |||||||||||||
Transcontinental Gas Pipe Line Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 03/15/28 | 3,610 | 4,006,530 | |||||||||||||
Valero Energy Partners LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 03/15/28 | 4,255 | 4,879,882 | |||||||||||||
Williams Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.300% | 03/04/24 | 1,000 | 1,093,421 | |||||||||||||
|
| |||||||||||||||
151,260,270 | ||||||||||||||||
|
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.2% |
| |||||||||||||||
Brixmor Operating Partnership LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 06/15/24 | 3,750 | 3,879,051 | |||||||||||||
3.850% | 02/01/25 | 5,575 | 5,762,095 | |||||||||||||
Digital Realty Trust LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.950% | 07/01/22 | 900 | 953,456 | |||||||||||||
Healthpeak Properties, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 11/15/23 | 16 | 17,456 |
SEE NOTES TO FINANCIAL STATEMENTS.
A144
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Real Estate Investment Trusts (REITs) (continued) |
| |||||||||||||||
Weyerhaeuser Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 03/15/23 | (a) | 390 | $ | 409,173 | |||||||||||
|
| |||||||||||||||
11,021,231 | ||||||||||||||||
|
| |||||||||||||||
Retail — 1.2% |
| |||||||||||||||
Dollar Tree, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 05/15/28 | (a) | 6,000 | 6,967,729 | ||||||||||||
McDonald’s Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.500% | 07/01/27 | 12,600 | 14,312,137 | |||||||||||||
3.600% | 07/01/30 | 19,090 | 21,986,688 | |||||||||||||
O’Reilly Automotive, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 04/01/30 | 16,165 | 19,061,502 | |||||||||||||
|
| |||||||||||||||
62,328,056 | ||||||||||||||||
|
| |||||||||||||||
Semiconductors — 1.8% |
| |||||||||||||||
Broadcom, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.459% | 09/15/26 | 54,487 | 58,489,904 | |||||||||||||
4.110% | 09/15/28 | 12,628 | 13,776,808 | |||||||||||||
Intel Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.900% | 03/25/30 | 15,000 | 18,157,977 | |||||||||||||
NXP BV/NXP Funding LLC (Netherlands), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 06/15/22 | (a) | 5,000 | 5,323,405 | ||||||||||||
4.625% | 06/01/23 | 1,250 | 1,368,502 | |||||||||||||
|
| |||||||||||||||
97,116,596 | ||||||||||||||||
|
| |||||||||||||||
Software — 0.6% |
| |||||||||||||||
Fiserv, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 07/01/29 | 10,325 | 11,586,366 | |||||||||||||
4.200% | 10/01/28 | 18,730 | 22,024,258 | |||||||||||||
Microsoft Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.525% | 06/01/50 | 143 | 147,904 | |||||||||||||
2.675% | 06/01/60 | 167 | 174,219 | |||||||||||||
3.950% | 08/08/56 | 793 | 1,022,960 | |||||||||||||
|
| |||||||||||||||
34,955,707 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 3.1% |
| |||||||||||||||
AT&T, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 01/15/25 | 3 | 3,346 | |||||||||||||
4.350% | 03/01/29 | (a) | 16,750 | 19,494,834 | ||||||||||||
4.850% | 03/01/39 | 31,075 | 37,710,167 | |||||||||||||
CenturyLink, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.000% | 02/15/27 | (a) | 2,215 | 2,146,879 | ||||||||||||
CommScope Technologies LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 06/15/25 | 4,000 | 3,858,918 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Telecommunications (continued) |
| |||||||||||||||
Verizon Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.150% | 03/22/30 | 22,900 | $ | 25,817,102 | ||||||||||||
3.875% | 02/08/29 | (a) | 12,000 | 14,173,129 | ||||||||||||
4.016% | 12/03/29 | 23,188 | 27,685,447 | |||||||||||||
4.125% | 03/16/27 | 33,230 | 39,002,177 | |||||||||||||
|
| |||||||||||||||
169,891,999 | ||||||||||||||||
|
| |||||||||||||||
Trucking & Leasing — 0.1% |
| |||||||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.125% | 08/01/23 | 6,020 | 6,426,830 | |||||||||||||
|
| |||||||||||||||
Water — 0.3% |
| |||||||||||||||
American Water Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.000% | 12/01/26 | 13,140 | 14,176,718 | |||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 3,034,370,797 | ||||||||||||||
|
| |||||||||||||||
MUNICIPAL BONDS — 1.4% |
| |||||||||||||||
Arizona — 0.5% |
| |||||||||||||||
Salt River Project Agricultural Improvement & Power District, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
4.839% | 01/01/41 | 20,800 | 28,634,112 | |||||||||||||
|
| |||||||||||||||
California — 0.2% |
| |||||||||||||||
State of California, |
| |||||||||||||||
General Obligation Unlimited, Taxable, BABs |
| |||||||||||||||
7.625% | 03/01/40 | 5,800 | 10,080,342 | |||||||||||||
|
| |||||||||||||||
Colorado — 0.1% |
| |||||||||||||||
Regional Transportation District Sales Tax Revenue, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
5.844% | 11/01/50 | 2,895 | 4,812,011 | |||||||||||||
|
| |||||||||||||||
Massachusetts — 0.0% |
| |||||||||||||||
Massachusetts State Water Pollution Abatement, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
5.192% | 08/01/40 | 1,400 | 1,690,850 | |||||||||||||
|
| |||||||||||||||
New York — 0.3% |
| |||||||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs |
| |||||||||||||||
5.767% | 08/01/36 | 2,000 | 2,619,880 | |||||||||||||
New York City Water & Sewer System, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
5.440% | 06/15/43 | 7,000 | 10,821,230 | |||||||||||||
|
| |||||||||||||||
13,441,110 | ||||||||||||||||
|
| |||||||||||||||
Ohio — 0.1% |
| |||||||||||||||
Ohio State University (The), |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series C |
| |||||||||||||||
4.910% | 06/01/40 | 1,300 | 1,857,297 | |||||||||||||
Ohio Water Development Authority Water Pollution Control Loan Fund, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series B2 |
| |||||||||||||||
4.879% | 12/01/34 | 2,000 | 2,336,400 | |||||||||||||
|
| |||||||||||||||
4,193,697 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A145
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||||||
Oregon — 0.0% |
| |||||||||||||||
State of Oregon Department of Transportation, |
| |||||||||||||||
Taxable, Revenue Bonds, BABs, Series A |
| |||||||||||||||
5.834% | 11/15/34 | 500 | $ | 726,920 | ||||||||||||
|
| |||||||||||||||
Pennsylvania — 0.1% |
| |||||||||||||||
Pennsylvania Turnpike Commission, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
5.511% | 12/01/45 | 4,000 | 6,174,280 | |||||||||||||
|
| |||||||||||||||
Texas — 0.0% |
| |||||||||||||||
City of San Antonio TX Electric & Gas Systems Revenue, |
| |||||||||||||||
Taxable, Revenue Bonds |
| |||||||||||||||
4.427% | 02/01/42 | 1,750 | 2,207,468 | |||||||||||||
|
| |||||||||||||||
Washington — 0.1% |
| |||||||||||||||
Central Puget Sound Regional Transit Authority, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
5.491% | 11/01/39 | 2,330 | 3,228,611 | |||||||||||||
|
| |||||||||||||||
TOTAL MUNICIPAL BONDS |
| 75,189,401 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 3.5% |
| |||||||||||||||
Alternative Loan Trust, |
| |||||||||||||||
Series 2005-38, Class A3, 1 Month LIBOR + 0.350% (Cap N/A, Floor 0.350%) |
| |||||||||||||||
0.535%(c) | 09/25/35 | 2,419 | 2,158,502 | |||||||||||||
Bellemeade Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.785%(c) | 04/25/28 | 1,172 | 1,160,504 | |||||||||||||
Series 2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.535%(c) | 08/25/28 | 503 | 500,366 | |||||||||||||
Series 2018-03A, Class M1B, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 1.850%) |
| |||||||||||||||
2.035%(c) | 10/25/28 | 1,457 | 1,443,100 | |||||||||||||
Series 2019-04A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||||||
1.585%(c) | 10/25/29 | 868 | 864,911 | |||||||||||||
Series 2019-04A, Class M1B, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%) |
| |||||||||||||||
2.185%(c) | 10/25/29 | 3,100 | 2,981,650 | |||||||||||||
Central Park Funding Trust, |
| |||||||||||||||
Series 2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) |
| |||||||||||||||
1.673%(c) | 11/01/23 | 20,400 | 20,068,788 | |||||||||||||
CIM Trust, |
| |||||||||||||||
Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.173%(c) | 01/25/57 | 3,143 | 3,142,146 | |||||||||||||
Series 2017-08, Class A1, 144A |
| |||||||||||||||
3.000%(cc) | 12/25/65 | 102,925 | 102,535,341 | |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2018-RPL09, Class A, 144A |
| |||||||||||||||
3.850%(cc) | 09/25/57 | 3,890 | 4,128,364 | |||||||||||||
Eagle Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.700% (Cap N/A, Floor 1.700%) |
| |||||||||||||||
1.885%(c) | 11/25/28 | 1,721 | 1,664,947 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, |
| |||||||||||||||
Series 2015-DNA01, Class M2, 1 Month LIBOR + 1.850% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.035%(c) | 10/25/27 | 476 | $ | 474,928 | ||||||||||||
Series 2016-HQA03, Class M2, 1 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.535%(c) | 03/25/29 | 451 | 449,102 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Trust, |
| |||||||||||||||
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.935%(c) | 09/25/48 | 8 | 7,999 | |||||||||||||
Series 2019-DNA01, Class M2, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.835%(c) | 01/25/49 | 993 | 978,554 | |||||||||||||
Series 2019-HRP01, Class M1, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.935%(c) | 02/25/49 | 373 | 372,561 | |||||||||||||
Home Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.785%(c) | 10/25/28 | 524 | 522,288 | |||||||||||||
Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.835%(c) | 05/25/29 | 455 | 448,384 | |||||||||||||
JPMorgan Mortgage Trust, |
| |||||||||||||||
Series 2018-07FRB, Class A2, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.935%(c) | 04/25/46 | 1,074 | 1,062,109 | |||||||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||||||
Series 2019-GS06, Class A1, 144A |
| |||||||||||||||
3.000% | 06/25/59 | 17,301 | 17,287,306 | |||||||||||||
Mill City Mortgage Loan Trust, |
| |||||||||||||||
Series 2019-01, Class A1, 144A |
| |||||||||||||||
3.250%(cc) | 10/25/69 | 2,855 | 3,006,172 | |||||||||||||
New Residential Mortgage Loan Trust, |
| |||||||||||||||
Series 2018-01A, Class A1A, 144A |
| |||||||||||||||
4.000%(cc) | 12/25/57 | 2,470 | 2,617,640 | |||||||||||||
Series 2018-02A, Class A1, 144A |
| |||||||||||||||
4.500%(cc) | 02/25/58 | 2,119 | 2,257,705 | |||||||||||||
Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) |
| |||||||||||||||
0.935%(c) | 01/25/48 | 499 | 494,188 | |||||||||||||
Oaktown Re II Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.735%(c) | 07/25/28 | 153 | 152,255 | |||||||||||||
OBX Trust, | ||||||||||||||||
Series 2018-01, Class A2, 144A, 1 Month LIBOR + 0.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
0.835%(c) | 06/25/57 | 1,579 | 1,558,559 | |||||||||||||
Radnor Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.585%(c) | 03/25/28 | 40 | 39,937 |
SEE NOTES TO FINANCIAL STATEMENTS.
A146
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Station Place Securitization Trust, |
| |||||||||||||||
Series 2020-03, Class A, 144A, 1 Month LIBOR + 0.950% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
1.135%(c) | 04/24/21 | 15,000 | $ | 15,094,524 | ||||||||||||
WaMu Mortgage Pass-Through Certificates Trust, |
| |||||||||||||||
Series 2006-AR10, Class 1A1 |
| |||||||||||||||
3.709%(cc) | 09/25/36 | 1,423 | 1,302,593 | |||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 188,775,423 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 2.4% |
| |||||||||||||||
Abu Dhabi Government International Bond (United Arab Emirates), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.125% | 10/11/27 | 4,845 | 5,297,505 | |||||||||||||
Hungary Government International Bond (Hungary), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.375% | 03/25/24 | 15,408 | 17,486,465 | |||||||||||||
Indonesia Government International Bond (Indonesia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
5.125% | 01/15/45 | 1,440 | 1,767,788 | |||||||||||||
5.875% | 01/15/24 | 10,000 | 11,326,306 | |||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
4.750% | 01/08/26 | 250 | 281,871 | |||||||||||||
Lithuania Government International Bond (Lithuania), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.125% | 03/09/21 | 11,106 | 11,523,995 | |||||||||||||
6.625% | 02/01/22 | 3,490 | 3,800,408 | |||||||||||||
Philippine Government International Bond (Philippines), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.375% | 10/23/34 | 2,000 | 2,881,886 | |||||||||||||
Province of Quebec (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, Series PD |
| |||||||||||||||
7.500% | 09/15/29 | (a) | 2,000 | 3,084,491 | ||||||||||||
Qatar Government International Bond (Qatar), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.103% | 04/23/48 | 3,695 | 5,045,485 | |||||||||||||
Republic of Italy Government International Bond (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.375% | 10/17/24 | 51,379 | 52,115,577 | |||||||||||||
2.875% | 10/17/29 | 15,600 | 15,585,562 | |||||||||||||
6.875% | 09/27/23 | 3,210 | 3,722,220 | |||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 133,919,559 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 5.2% |
| |||||||||||||||
Federal Home Loan Bank |
| |||||||||||||||
3.250% | 11/16/28 | 20,325 | 24,213,567 | |||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
6.250% | 07/15/32 | 945 | 1,484,588 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
2.500% | TBA | 166,000 | 172,667,685 | |||||||||||||
6.250% | 05/15/29 | 11,189 | 16,207,260 | |||||||||||||
6.625% | 11/15/30 | (k) | 45,900 | 70,996,466 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 285,569,566 | ||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. TREASURY OBLIGATIONS — 9.1% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
2.000% | 02/15/50 | 9,095 | $ | 10,409,512 | ||||||||||||
3.000% | 11/15/44 | (a)(h) | 110,000 | 147,228,125 | ||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
0.250% | 05/31/25 | (a) | 125,080 | 124,904,106 | ||||||||||||
0.500% | 05/31/27 | (a) | 100,000 | 100,078,125 | ||||||||||||
0.625% | 05/15/30 | (a) | 107,700 | 107,363,438 | ||||||||||||
1.625% | 11/15/22 | 130 | 134,489 | |||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
3.202%(s) | 08/15/40 | (h) | 7,180 | 5,462,409 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 495,580,204 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 5,357,775,170 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 16.3% |
| |||||||||||||||
AFFILIATED MUTUAL FUNDS — 16.2% |
| |||||||||||||||
PGIM Core Short-Term Bond |
| 9,427,325 | 86,542,841 | |||||||||||||
PGIM Core Ultra Short Bond Fund(w) |
| 158,351,881 | 158,351,881 | |||||||||||||
PGIM Institutional Money Market Fund (cost $638,549,210; includes $638,397,800 of cash collateral for securities on loan)(b)(w) |
| 638,895,775 | 638,895,775 | |||||||||||||
|
| |||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 883,790,497 | ||||||||||||||
|
| |||||||||||||||
OPTIONS PURCHASED*~ — 0.1% |
| |||||||||||||||
(cost $747,245) |
| 3,081,237 | ||||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 886,871,734 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS, BEFORE OPTION WRITTEN—114.6% |
| 6,244,646,904 | ||||||||||||||
|
| |||||||||||||||
OPTION WRITTEN*~ — (0.0)% |
| |||||||||||||||
(premiums received $425,872) |
| (144,281 | ) | |||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS, NET OF OPTION WRITTEN—114.6% |
| 6,244,502,623 | ||||||||||||||
Liabilities in excess of |
| (795,785,670 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 5,448,716,953 | |||||||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
~ | See tables subsequent to the Schedule of Investments for options detail. |
^ | Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $(211,080) and (0.0)% of net assets. |
SEE NOTES TO FINANCIAL STATEMENTS.
A147
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $621,624,029; cash collateral of $638,397,800 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(h) | Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(rr) | Perpetual security with no stated maturity date. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the co-manager of the Portfolio, also serves as the manager/co-manager of the underlying portfolios in which the Portfolio invests. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||||
10 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $ | 140.00 | 1,539 | 1,539 | $ | 312,609 | ||||||||||||||||
10 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $ | 143.00 | 3,078 | 3,078 | 96,188 | |||||||||||||||||
|
| |||||||||||||||||||||||
Total Exchange Traded | $ | 408,797 | ||||||||||||||||||||||
|
|
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11% | — | 8,248 | $ | 184,065 | ||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/13/21 | 0.11% | — | 8,019 | 178,551 | |||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15% | — | 20,048 | 423,579 | |||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15% | — | 39,797 | 842,540 | |||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14% | — | 40,360 | 883,848 | |||||||||||||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21% | — | 8,019 | 159,857 | |||||||||||||||||||
|
| |||||||||||||||||||||||||
Total OTC Traded | $ | 2,672,440 | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||
Total Options Purchased | $ | 3,081,237 | ||||||||||||||||||||||||
|
|
Options Written:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||
10 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $ | 142.00 | 4,617 | 4,617 | $ | (144,281 | ) | |||||||||||
|
|
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
5,133 | 5 Year U.S. Treasury Notes | Sep. 2020 | $ | 645,434,661 | $ | 2,973,475 |
SEE NOTES TO FINANCIAL STATEMENTS.
A148
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Futures contracts outstanding at June 30, 2020 (continued):
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions (continued): | ||||||||||||||||
10,980 | 10 Year U.S. Treasury Notes | Sep. 2020 | $ | 1,528,107,242 | $ | 16,440,331 | ||||||||||
|
| |||||||||||||||
19,413,806 | ||||||||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
2,749 | 2 Year U.S. Treasury Notes | Sep. 2020 | 607,056,518 | (126,870 | ) | |||||||||||
107 | 10 Year Euro-Bund | Sep. 2020 | 21,220,264 | (185,225 | ) | |||||||||||
4,279 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 764,068,938 | (3,556,853 | ) | |||||||||||
553 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 120,640,406 | (1,092,964 | ) | |||||||||||
|
| |||||||||||||||
(4,961,912 | ) | |||||||||||||||
|
| |||||||||||||||
$ | 14,451,894 | |||||||||||||||
|
|
Credit default swap agreements outstanding at June 30, 2020:
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||||
OTC Credit Default Swap Agreement on asset-backed securities—Sell Protection(2)^: | ||||||||||||||||||||||||||||||
Towd Point Mortgage Trust | 07/25/56 | 0.450%(M) | 21,267 | * | $ | (211,080 | ) | $ | — | $ | (211,080 | ) | Citigroup Global Markets, Inc. | |||||||||||||||||
|
|
|
|
|
|
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Sell Protection(2): | ||||||||||||||||||||||||||||||
Boeing Co. | 12/20/21 | 1.000%(Q) | 9,900 | 2.453 | % | $ | (204,895 | ) | $ | 79,218 | $ | (284,113 | ) | Bank of America, N.A. | ||||||||||||||||
Kingdom of Spain | 12/20/24 | 1.000%(Q) | 60,000 | 0.750 | % | 681,314 | (390,209 | ) | 1,071,523 | Bank of America, N.A. | ||||||||||||||||||||
Kingdom of Spain | 12/20/24 | 1.000%(Q) | 15,000 | 0.750 | % | 170,328 | (254,112 | ) | 424,440 | Bank of America, N.A. | ||||||||||||||||||||
Republic of France | 12/20/24 | 0.250%(Q) | 30,000 | 0.215 | % | 49,927 | (198,517 | ) | 248,444 | Citibank N.A. | ||||||||||||||||||||
Republic of Portugal | 06/20/25 | 1.000%(Q) | 30,000 | 0.665 | % | 503,131 | (214,435 | ) | 717,566 | Morgan Stanley & Co. International PLC | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 1,199,805 | $ | (978,055 | ) | $ | 2,177,860 | ||||||||||||||||||||||||
|
|
|
|
|
|
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.34.V1 | 06/20/25 | 1.000 | %(Q) | 1,000,000 | $ | (6,037,907 | ) | $ | (12,055,907 | ) | $ | (6,018,000 | ) | |||||||||||
|
|
|
|
|
|
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC Credit Default Swap Agreements on credit indices—Buy Protection(1): | ||||||||||||||||||||||||||
CMBX.NA.9.AAA | 09/17/58 | 0.500%(M) | 50,000 | $ | (474,462 | ) | $ | 1,075,045 | $ | (1,549,507 | ) | Credit Suisse International | ||||||||||||||
CMBX.NA.AAA.11 | 11/18/54 | 0.500%(M) | 50,000 | (170,573 | ) | 493,982 | (664,555 | ) | Morgan Stanley & Co. International PLC |
SEE NOTES TO FINANCIAL STATEMENTS.
A149
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Credit default swap agreements outstanding at June 30, 2020 (continued):
Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC Credit Default Swap Agreements on credit indices—Buy Protection(1) (continued): | ||||||||||||||||||||||||||
CMBX.NA.AAA.12 | 08/17/61 | 0.500%(M) | 100,000 | $ | 314,380 | $ | 364,328 | $ | (49,948 | ) | Morgan Stanley & Co. International PLC | |||||||||||||||
CMBX.NA.AAA.12 | 08/17/61 | 0.500%(M) | 25,000 | 78,595 | 217,037 | (138,442 | ) | JP Morgan Securities LLC | ||||||||||||||||||
CMBX.NA.AAA.12 | 08/17/61 | 0.500%(M) | 25,000 | 78,595 | 212,022 | (133,427 | ) | Morgan Stanley & Co. International PLC | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (173,465 | ) | $ | 2,362,414 | $ | (2,535,879 | ) | |||||||||||||||||||
|
|
|
|
|
|
Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||||
OTC Credit Default Swap Agreements on credit indices—Sell Protection(2): | ||||||||||||||||||||||||||||||
CMBX.NA.13.AAA | 12/16/72 | 0.500%(M) | 50,000 | * | $ | (613,459 | ) | $ | (911,723 | ) | $ | 298,264 | Citigroup Global Markets, Inc. | |||||||||||||||||
CMBX.NA.AAA.13 | 12/16/72 | 0.500%(M) | 25,000 | * | (309,854 | ) | (229,696 | ) | (80,158 | ) | Citigroup Global Markets, Inc. | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (923,313 | ) | $ | (1,141,419 | ) | $ | 218,106 | |||||||||||||||||||||||
|
|
|
|
|
|
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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 or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) 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 or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
* | When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Portfolio is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
SEE NOTES TO FINANCIAL STATEMENTS.
A150
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
342,251 | 06/15/21 | 1.830%(S) | 3 Month LIBOR(2)(Q) | $ | — | $ | 5,350,205 | $ | 5,350,205 | |||||||||||||||
146,268 | 09/15/21 | 1.381%(S) | 3 Month LIBOR(2)(Q) | (184,982 | ) | 2,572,343 | 2,757,325 | |||||||||||||||||
112,435 | 09/15/21 | 1.480%(S) | 3 Month LIBOR(2)(Q) | 66,417 | 2,144,004 | 2,077,587 | ||||||||||||||||||
306,455 | 09/15/21 | 1.604%(S) | 3 Month LIBOR(2)(Q) | 214,232 | 6,415,516 | 6,201,284 | ||||||||||||||||||
21,294 | 03/30/50 | 0.855%(S) | 3 Month LIBOR(1)(Q) | — | 308,527 | 308,527 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 95,667 | $ | 16,790,595 | $ | 16,694,928 | |||||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
Premiums Paid | Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
OTC Swap Agreements | $ | 2,441,632 | $ | (2,198,692 | ) | $ | 2,760,237 | $ | (3,111,230 | ) | ||||||
|
|
|
|
|
|
|
|
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||||
Citigroup Global Markets, Inc. | $ | — | $ | 42,803,599 | ||||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Affiliated Mutual Funds | $ | 1,030,983,615 | $ | — | $ | — | ||||||
Asset-Backed Securities | ||||||||||||
Automobiles | — | 4,569,013 | — | |||||||||
Collateralized Loan Obligations | — | 227,422,351 | — | |||||||||
Consumer Loans | — | 2,508,986 | — | |||||||||
Credit Cards | — | 5,411,809 | — | |||||||||
Home Equity Loans | — | 4,143,404 | — | |||||||||
Manufactured Housing | — | 3,536,648 | — | |||||||||
Other | — | 8,678,894 | — | |||||||||
Residential Mortgage-Backed Securities | — | 48,085,864 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 692,820,133 | — | |||||||||
Corporate Bonds | — | 3,034,370,797 | — | |||||||||
Municipal Bonds | — | 75,189,401 | — | |||||||||
Residential Mortgage-Backed Securities | — | 188,775,423 | — | |||||||||
Sovereign Bonds | — | 133,919,559 | — | |||||||||
U.S. Government Agency Obligations | — | 285,569,566 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A151
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 495,580,204 | $ | — | ||||||
Options Purchased | 408,797 | 2,672,440 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,031,392,412 | $ | 5,213,254,492 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Option Written | $ | (144,281 | ) | $ | — | $ | — | |||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 19,413,806 | $ | — | $ | — | ||||||
OTC Credit Default Swap Agreements | — | 1,876,270 | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | 16,694,928 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 19,413,806 | $ | 18,571,198 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (4,961,912 | ) | $ | — | $ | — | |||||
Centrally Cleared Credit Default Swap Agreement | — | (6,018,000 | ) | — | ||||||||
OTC Credit Default Swap Agreements | — | (1,773,243 | ) | (211,080 | ) | |||||||
|
|
|
|
|
| |||||||
Total | $ | (4,961,912 | ) | $ | (7,791,243 | ) | $ | (211,080 | ) | |||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
Affiliated Mutual Funds (11.7% represents investments purchased with collateral from securities on loan) | 18.9 | % | ||
Banks | 15.4 | |||
Commercial Mortgage-Backed Securities | 12.7 | |||
U.S. Treasury Obligations | 9.1 | |||
Electric | 6.6 | |||
U.S. Government Agency Obligations | 5.2 | |||
Residential Mortgage-Backed Securities | 4.4 | |||
Collateralized Loan Obligations | 4.2 | |||
Pharmaceuticals | 4.1 | |||
Media | 3.8 | |||
Telecommunications | 3.1 | |||
Pipelines | 2.8 | |||
Sovereign Bonds | 2.4 | |||
Aerospace & Defense | 1.9 | |||
Healthcare-Services | 1.8 | |||
Semiconductors | 1.8 | |||
Oil & Gas | 1.7 | |||
Municipal Bonds | 1.4 | |||
Insurance | 1.3 | |||
Agriculture | 1.3 | |||
Retail | 1.2 | |||
Beverages | 1.1 | |||
Healthcare-Products | 1.0 | |||
Diversified Financial Services | 0.9 | |||
Chemicals | 0.8 | |||
Software | 0.6 | |||
Machinery-Diversified | 0.6 | |||
Commercial Services | 0.5 |
Auto Manufacturers | 0.4 | % | ||
Engineering & Construction | 0.3 | |||
Cosmetics/Personal Care | 0.3 | |||
Mining | 0.3 | |||
Packaging & Containers | 0.3 | |||
Housewares | 0.3 | |||
Water | 0.3 | |||
Foods | 0.2 | |||
Real Estate Investment Trusts (REITs) | 0.2 | |||
Biotechnology | 0.2 | |||
Airlines | 0.2 | |||
Other | 0.1 | |||
Multi-National | 0.1 | |||
Trucking & Leasing | 0.1 | |||
Gas | 0.1 | |||
Credit Cards | 0.1 | |||
Automobiles | 0.1 | |||
Electronics | 0.1 | |||
Home Equity Loans | 0.1 | |||
Manufactured Housing | 0.1 | |||
Options Purchased | 0.1 | |||
Consumer Loans | 0.0 | * | ||
Lodging | 0.0 | * | ||
Home Furnishings | 0.0 | * |
SEE NOTES TO FINANCIAL STATEMENTS.
A152
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (cont.):
Building Materials | 0.0 | *% | ||
|
| |||
114.6 | ||||
Option Written | (0.0 | )* | ||
Liabilities in excess of other assets | (14.6 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Credit contracts | — | $ | — | Due from/to broker-variation margin swaps | $ | 6,018,000 | * | |||||
Credit contracts | Premiums paid for OTC swap agreements | 2,441,632 | Premiums received for OTC swap agreements | 2,198,692 | ||||||||
Credit contracts | Unrealized appreciation on OTC swap agreements | 2,760,237 | Unrealized depreciation on OTC swap agreements | 3,111,230 | ||||||||
Interest rate contracts | Due from/to broker-variation margin futures | 19,413,806 | * | Due from/to broker-variation margin futures | 4,961,912 | * | ||||||
Interest rate contracts | Due from/to broker-variation margin swaps | 16,694,928 | * | — | — | |||||||
Interest rate contracts | Unaffiliated investments | 3,081,237 | Options written outstanding, at value | 144,281 | ||||||||
|
|
|
| |||||||||
$ | 44,391,840 | $ | 16,434,115 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(1) | Options Written | Futures | Swaps | ||||||||||||
Credit contracts | $ | — | $ | (47,617,225 | ) | $ | — | $ | 42,723,567 | |||||||
Interest rate contracts | (449,571 | ) | 167,196 | (86,202,851 | ) | (76,617,138 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (449,571 | ) | $ | (47,450,029 | ) | $ | (86,202,851 | ) | $ | (33,893,571 | ) | ||||
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(2) | Options Written | Futures | Swaps | ||||||||||||
Credit contracts | $ | — | $ | (2,052,925 | ) | $ | — | $ | (2,786,428 | ) | ||||||
Interest rate contracts | 1,117,928 | 281,591 | 21,922,509 | 45,483,014 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,117,928 | $ | (1,771,334 | ) | $ | 21,922,509 | $ | 42,696,586 | |||||||
|
|
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A153
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— Long Positions(2) | Futures Contracts— Short Positions(2) | |||
$430,346 | $2,734,844,000 | $3,193,591,429 | $2,919,167,101 |
Interest Rate Swap Agreements(2) | Credit Default Swap Agreements— Buy Protection(2) | |
$1,240,698,667 | $583,333,333 |
Credit Default Swap Agreements— Sell Protection(2) | Total Return Swap Agreements(2) | |
$977,394,052 | $150,000,000 |
(1) | Cost. |
(2) | Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||
Securities on Loan | $ | 621,624,029 | $ | (621,624,029 | ) | $ | — | |||||
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts of Recognized Liabilities(1) | Net Amounts of Recognized Assets/(Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount | |||||||||||||||
Bank of America, N.A. | $ | 3,725,148 | $ | (928,434 | ) | $ | 2,796,714 | $ | (2,796,714 | ) | $ | — | ||||||||
Barclays Bank PLC | 522,473 | — | 522,473 | (496,153 | ) | 26,320 | ||||||||||||||
Citibank N.A. | 248,444 | (198,517 | ) | 49,927 | — | 49,927 | ||||||||||||||
Citigroup Global Markets, Inc. | 298,264 | (1,432,657 | ) | (1,134,393 | ) | 1,134,393 | — | |||||||||||||
Credit Suisse International | 1,075,045 | (1,549,507 | ) | (474,462 | ) | 474,462 | — | |||||||||||||
JP Morgan Securities LLC | 217,037 | (138,442 | ) | 78,595 | — | 78,595 | ||||||||||||||
Morgan Stanley & Co. International PLC | 1,787,898 | (1,062,365 | ) | 725,533 | (725,533 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 7,874,309 | $ | (5,309,922 | ) | $ | 2,564,387 | $ | (2,409,545 | ) | $ | 154,842 | |||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A154
AST INVESTMENT GRADE BOND PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $621,624,029: | ||||
Unaffiliated investments (cost $4,722,459,901) | $ | 5,213,663,289 | ||
Affiliated investments (cost $1,012,967,292) | 1,030,983,615 | |||
Receivable for investments sold | 243,212,615 | |||
Dividends and interest receivable | 37,814,655 | |||
Receivable for Portfolio shares sold | 33,265,589 | |||
Unrealized appreciation on OTC swap agreements | 2,760,237 | |||
Premiums paid for OTC swap agreements | 2,441,632 | |||
Due from broker-variation margin futures | 783,072 | |||
Prepaid expenses and other assets | 3,870,648 | |||
|
| |||
Total Assets | 6,568,795,352 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 638,397,800 | |||
Payable for investments purchased | 425,885,628 | |||
Payable for Portfolio shares repurchased | 47,110,443 | |||
Unrealized depreciation on OTC swap agreements | 3,111,230 | |||
Premiums received for OTC swap agreements | 2,198,692 | |||
Due to broker-variation margin swaps | 1,435,776 | |||
Management fee payable. | 857,509 | |||
Accrued expenses and other liabilities | 747,595 | |||
Distribution fee payable | 189,067 | |||
Options written outstanding, at value (proceeds received $425,872) | 144,281 | |||
Affiliated transfer agent fee payable | 378 | |||
|
| |||
Total Liabilities | 1,120,078,399 | |||
|
| |||
NET ASSETS | $ | 5,448,716,953 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 5,448,716,953 | ||
|
| |||
Net asset value and redemption price per share, $5,448,716,953 / 584,767,068 outstanding shares of beneficial interest | $ | 9.32 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 130,858,653 | ||
Affiliated dividend income | 16,192,445 | |||
Income from securities lending, net (including affiliated income of $2,227,608) | 2,271,733 | |||
|
| |||
Total income | 149,322,831 | |||
|
| |||
EXPENSES | ||||
Management fee | 25,162,359 | |||
Distribution fee | 13,495,139 | |||
Custodian and accounting fees | 300,390 | |||
Trustees’ fees | 37,333 | |||
Audit fee | 26,007 | |||
Legal fees and expenses | 12,707 | |||
Shareholders’ reports | 5,771 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,452 | |||
Miscellaneous | 334,491 | |||
|
| |||
Total expenses | 39,377,649 | |||
Less: Fee waiver and/or expense reimbursement | (1,042,059 | ) | ||
Distribution fee waiver | (2,102,689 | ) | ||
|
| |||
Net expenses | 36,232,901 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 113,089,930 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $109,834,546) | 1,671,573,236 | |||
Futures transactions | (86,202,851 | ) | ||
Options written transactions | (47,450,029 | ) | ||
Swap agreements transactions | (33,893,571 | ) | ||
Foreign currency transactions | 2,956 | |||
|
| |||
1,504,029,741 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $17,996,079) | 362,349,635 | |||
Futures | 21,922,509 | |||
Options written | (1,771,334 | ) | ||
Swap agreements | 42,696,586 | |||
Foreign currencies | (347 | ) | ||
|
| |||
425,197,049 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 1,929,226,790 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,042,316,720 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 113,089,930 | $ | 123,948,536 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 1,504,029,741 | 311,269,134 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 425,197,049 | 59,554,614 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 2,042,316,720 | 494,772,284 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [5,316,450,913 and 219,201,312 shares, respectively] | 45,031,345,508 | 1,780,049,786 | ||||||
Portfolio shares repurchased [5,058,976,793 and 1,374,226,102 shares, respectively] | (44,348,716,883 | ) | (10,641,407,845 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 682,628,625 | (8,861,358,059 | ) | |||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 2,724,945,345 | (8,366,585,775 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 2,723,771,608 | 11,090,357,383 | ||||||
|
|
|
| |||||
End of period | $ | 5,448,716,953 | $ | 2,723,771,608 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A155
AST PRUDENTIAL CORE BOND PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 100.7% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 15.1% |
| |||||||||||||||
Automobiles — 1.7% |
| |||||||||||||||
AmeriCredit Automobile Receivables Trust, |
| |||||||||||||||
2.740% | 04/18/25 | 4,300 | $ | 4,426,559 | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||||||
Series 2018-02A, Class A, 144A |
| |||||||||||||||
4.000% | 03/20/25 | 3,600 | 3,633,154 | |||||||||||||
Series 2019-02A, Class A, 144A |
| |||||||||||||||
3.350% | 09/22/25 | 6,300 | 6,383,704 | |||||||||||||
Series 2019-03A, Class A, 144A |
| |||||||||||||||
2.360% | 03/20/26 | 11,600 | 11,437,567 | |||||||||||||
Series 2020-01A, Class A, 144A |
| |||||||||||||||
2.330% | 08/20/26 | 5,500 | 5,255,947 | |||||||||||||
Ford Credit Auto Owner Trust, |
| |||||||||||||||
3.190% | 07/15/31 | 9,705 | 10,392,270 | |||||||||||||
Ford Credit Floorplan Master Owner Trust, |
| |||||||||||||||
2.440% | 09/15/26 | 10,512 | 10,606,279 | |||||||||||||
Hertz Vehicle Financing LP, |
| |||||||||||||||
2.950% | 03/25/22 | 241 | 238,712 | |||||||||||||
OneMain Direct Auto Receivables Trust, |
| |||||||||||||||
Series 2018-01A, Class B, 144A |
| |||||||||||||||
3.710% | 04/14/25 | 4,600 | 4,684,282 | |||||||||||||
Series 2019-01A, Class A, 144A |
| |||||||||||||||
3.630% | 09/14/27 | 11,100 | 11,933,926 | |||||||||||||
|
| |||||||||||||||
68,992,400 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 8.8% |
| |||||||||||||||
AGL CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2020-05A, Class A1, 144A, 3 Month LIBOR + 2.050% (Cap N/A, Floor 2.050%) |
| |||||||||||||||
2.349%(c) | 07/20/30 | 5,000 | 4,968,899 | |||||||||||||
AGL Core CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-02A, Class A1, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%) |
| |||||||||||||||
2.525%(c) | 04/20/32 | 15,000 | 14,796,891 | |||||||||||||
Allegro CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-02A, Class A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%) |
| |||||||||||||||
2.319%(c) | 07/15/31 | 5,000 | 4,857,335 | |||||||||||||
ArrowMark Colorado Holdings (Cayman Islands), |
| |||||||||||||||
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.499%(c) | 07/15/29 | 2,500 | 2,457,537 | |||||||||||||
Ballyrock CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) |
| |||||||||||||||
2.569%(c) | 10/15/28 | 6,500 | 6,428,640 | |||||||||||||
Battalion CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-07A, Class A1RR, 144A, 3 Month LIBOR + 1.040% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.175%(c) | 07/17/28 | 9,900 | 9,742,096 | |||||||||||||
Series 2018-12A, Class A1, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%) |
| |||||||||||||||
1.456%(c) | 05/17/31 | 5,000 | 4,846,076 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-18A, Class A, 144A, 3 Month LIBOR + 1.340% |
| |||||||||||||||
2.559%(c) | 10/15/32 | 1,000 | $ | 982,371 | ||||||||||||
Catamaran CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.400% |
| |||||||||||||||
2.535%(c) | 10/18/26 | 1,557 | 1,553,061 | |||||||||||||
CBAM Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-11A, Class A1, 144A, 3 Month LIBOR + 1.360% |
| |||||||||||||||
2.495%(c) | 10/20/32 | 10,000 | 9,813,092 | |||||||||||||
CIFC Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.040% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.175%(c) | 04/20/31 | 7,000 | 6,814,707 | |||||||||||||
Elevation CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-09A, Class A1, 144A, 3 Month LIBOR + 1.120% |
| |||||||||||||||
2.339%(c) | 07/15/31 | 10,000 | 9,705,748 | |||||||||||||
Greenwood Park CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% |
| |||||||||||||||
2.229%(c) | 04/15/31 | 15,000 | 14,575,284 | |||||||||||||
Jackson Mill CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 0.830% |
| |||||||||||||||
2.049%(c) | 04/15/27 | 12,469 | 12,324,233 | |||||||||||||
Mariner CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-05A, Class A, 144A, 3 Month LIBOR + 1.110% |
| |||||||||||||||
2.101%(c) | 04/25/31 | 15,000 | 14,662,617 | |||||||||||||
MidOcean Credit CLO (Cayman Islands), |
| |||||||||||||||
Series 2019-10A, Class A1, 144A, 3 Month LIBOR + 1.390% |
| |||||||||||||||
2.433%(c) | 10/23/32 | 41,500 | 40,258,071 | |||||||||||||
Mountain View CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 1.250% |
| |||||||||||||||
2.561%(c) | 10/12/30 | 1,500 | 1,462,539 | |||||||||||||
Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120% |
| |||||||||||||||
2.339%(c) | 07/15/31 | 10,000 | 9,700,817 | |||||||||||||
OCP CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-05A, Class A1R, 144A, 3 Month LIBOR + 1.080% |
| |||||||||||||||
2.071%(c) | 04/26/31 | 15,100 | 14,693,562 | |||||||||||||
Series 2019-17A, Class A1, 144A, 3 Month LIBOR + 1.330% |
| |||||||||||||||
2.465%(c) | 07/20/32 | 8,000 | 7,865,410 | |||||||||||||
OZLM Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-06A, Class A1S, 144A, 3 Month LIBOR + 1.080% |
| |||||||||||||||
2.215%(c) | 04/17/31 | 24,909 | 24,153,857 | |||||||||||||
Series 2014-07RA, Class A1R, 144A, 3 Month LIBOR + 1.010% |
| |||||||||||||||
2.145%(c) | 07/17/29 | 9,917 | 9,772,896 |
SEE NOTES TO FINANCIAL STATEMENTS.
A156
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
Series 2019-24A, Class A1A, 144A, 3 Month LIBOR + 1.390% |
| |||||||||||||||
2.525%(c) | 07/20/32 | 12,500 | $ | 12,156,371 | ||||||||||||
Palmer Square CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130% (Cap N/A, Floor 1.130%) |
| |||||||||||||||
2.265%(c) | 01/17/31 | 4,000 | 3,915,776 | |||||||||||||
Series 2018-02A, Class A1A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.276%(c) | 07/16/31 | 6,000 | 5,849,485 | |||||||||||||
Prudential PLC (United Kingdom), |
| |||||||||||||||
Series 2018-01A, Class A, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.369%(c) | 07/15/31 | 10,000 | 9,724,003 | |||||||||||||
Rockford Tower CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-02A, Class A, 144A, 3 Month LIBOR + 1.160% (Cap N/A, Floor 1.160%) |
| |||||||||||||||
2.295%(c) | 10/20/31 | 15,000 | 14,616,523 | |||||||||||||
Shackleton CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-07RA, Class A1, 144A, 3 Month LIBOR + 1.170% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.389%(c) | 07/15/31 | 16,750 | 16,215,904 | |||||||||||||
Sound Point CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-01A, Class A1R, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%) |
| |||||||||||||||
2.061%(c) | 01/26/31 | 4,000 | 3,870,076 | |||||||||||||
Telos CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.375%(c) | 01/17/30 | 6,719 | 6,620,717 | |||||||||||||
Trinitas CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-04A, Class A1LR, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.315%(c) | 10/18/31 | 16,000 | 15,444,606 | |||||||||||||
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.201%(c) | 01/25/31 | 5,000 | 4,875,105 | |||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%) |
| |||||||||||||||
2.285%(c) | 01/17/31 | 4,500 | 4,379,259 | |||||||||||||
Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.340% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.475%(c) | 07/20/32 | 10,000 | 9,787,247 | |||||||||||||
Zais CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.589%(c) | 07/15/29 | 7,678 | 7,547,735 | |||||||||||||
Series 2018-01A, Class A, 144A, 3 Month LIBOR + 0.950% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.169%(c) | 04/15/29 | 14,836 | 14,310,270 | |||||||||||||
|
| |||||||||||||||
355,748,816 | ||||||||||||||||
|
| |||||||||||||||
Consumer Loans — 0.8% |
| |||||||||||||||
Lendmark Funding Trust, |
| |||||||||||||||
Series 2019-01A, Class A, 144A |
| |||||||||||||||
3.000% | 12/20/27 | 5,800 | 5,578,418 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Consumer Loans (continued) |
| |||||||||||||||
Series 2019-02A, Class A, 144A |
| |||||||||||||||
2.780% | 04/20/28 | 3,900 | $ | 3,900,565 | ||||||||||||
Mariner Finance Issuance Trust, |
| |||||||||||||||
Series 2019-AA, Class A, 144A |
| |||||||||||||||
2.960% | 07/20/32 | 1,900 | 1,873,407 | |||||||||||||
OneMain Financial Issuance Trust, |
| |||||||||||||||
Series 2017-01A, Class B, 144A |
| |||||||||||||||
2.790% | 09/14/32 | 1,500 | 1,485,592 | |||||||||||||
Oportun Funding IX LLC, |
| |||||||||||||||
Series 2018-B, Class A, 144A |
| |||||||||||||||
3.910% | 07/08/24 | 4,800 | 4,834,431 | |||||||||||||
Oportun Funding X LLC, |
| |||||||||||||||
Series 2018-C, Class A, 144A |
| |||||||||||||||
4.100% | 10/08/24 | 3,700 | 3,714,329 | |||||||||||||
Oportun Funding XII LLC, |
| |||||||||||||||
Series 2018-D, Class A, 144A |
| |||||||||||||||
4.150% | 12/09/24 | 2,600 | 2,597,999 | |||||||||||||
Oportun Funding XIII LLC, |
| |||||||||||||||
Series 2019-A, Class A, 144A |
| |||||||||||||||
3.080% | 08/08/25 | 3,900 | 3,835,226 | |||||||||||||
PNMAC GMSR Issuer Trust, |
| |||||||||||||||
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%) |
| |||||||||||||||
3.035%(c) | 02/25/23 | 1,470 | 1,440,707 | |||||||||||||
Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
2.835%(c) | 08/25/25 | 1,800 | 1,718,356 | |||||||||||||
|
| |||||||||||||||
30,979,030 | ||||||||||||||||
|
| |||||||||||||||
Credit Cards — 0.2% |
| |||||||||||||||
Citibank Credit Card Issuance Trust, |
| |||||||||||||||
Series 2018-A07, Class A7 |
| |||||||||||||||
3.960% | 10/13/30 | 6,800 | 8,177,845 | |||||||||||||
|
| |||||||||||||||
Equipment — 0.2% |
| |||||||||||||||
MMAF Equipment Finance LLC, |
| |||||||||||||||
Series 2019-B, Class A5, 144A |
| |||||||||||||||
2.290% | 11/12/41 | 6,900 | 7,306,066 | |||||||||||||
|
| |||||||||||||||
Home Equity Loans — 0.3% |
| |||||||||||||||
ACE Securities Corp. Home Equity Loan Trust, |
| |||||||||||||||
Series 2004-IN01, Class A1, 1 Month LIBOR + 0.640% (Cap N/A, Floor 0.320%) |
| |||||||||||||||
0.825%(c) | 05/25/34 | 953 | 863,754 | |||||||||||||
Asset-Backed Funding Certificates Trust, |
| |||||||||||||||
Series 2004-OPT02, Class M1, 1 Month LIBOR + 0.825% (Cap N/A, Floor 0.550%) |
| |||||||||||||||
1.010%(c) | 08/25/33 | 241 | 236,045 | |||||||||||||
Series 2004-OPT05, Class A1, 1 Month LIBOR + 0.700% (Cap N/A, Floor 0.350%) |
| |||||||||||||||
0.885%(c) | 06/25/34 | 1,547 | 1,482,564 | |||||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, |
| |||||||||||||||
Series 2004-HE08, Class M1, 1 Month LIBOR + 1.050% (Cap N/A, Floor 0.700%) |
| |||||||||||||||
1.235%(c) | 12/25/34 | 981 | 918,485 | |||||||||||||
Bear Stearns Asset-Backed Securities Trust, |
| |||||||||||||||
Series 2003-02, Class A3, 1 Month LIBOR + 1.500% (Cap 11.000%, Floor 0.750%) |
| |||||||||||||||
1.685%(c) | 03/25/43 | 750 | 730,596 |
SEE NOTES TO FINANCIAL STATEMENTS.
A157
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Home Equity Loans (continued) |
| |||||||||||||||
EquiFirst Mortgage Loan Trust, |
| |||||||||||||||
Series 2004-01, Class 1A1, 1 Month LIBOR + 0.480% (Cap N/A, Floor 0.240%) |
| |||||||||||||||
0.665%(c) | 01/25/34 | 2,646 | $ | 2,474,277 | ||||||||||||
MASTR Asset-Backed Securities Trust, |
| |||||||||||||||
Series 2004-OPT02, Class A2, 1 Month LIBOR + 0.700% (Cap N/A, Floor 0.350%) |
| |||||||||||||||
0.885%(c) | 09/25/34 | 713 | 661,524 | |||||||||||||
Series 2004-WMC02, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.600%) |
| |||||||||||||||
1.085%(c) | 04/25/34 | 1,560 | 1,525,552 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, |
| |||||||||||||||
Series 2003-NC10, Class M1, 1 Month LIBOR + 1.020% (Cap N/A, Floor 0.680%) |
| |||||||||||||||
1.205%(c) | 10/25/33 | 104 | 102,569 | |||||||||||||
Series 2004-HE01, Class A4, 1 Month LIBOR + 0.740% (Cap N/A, Floor 0.370%) |
| |||||||||||||||
0.925%(c) | 01/25/34 | 1,395 | 1,348,092 | |||||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, |
| |||||||||||||||
Series 2003-NC01, Class M1, 1 Month LIBOR + 1.575% (Cap N/A, Floor 1.050%) |
| |||||||||||||||
1.760%(c) | 11/25/32 | 363 | 360,027 | |||||||||||||
Option One Mortgage Accept Corp., Asset-Backed Certificates, |
| |||||||||||||||
Series 2003-05, Class A2, 1 Month LIBOR + 0.640% (Cap N/A, Floor 0.320%) |
| |||||||||||||||
0.825%(c) | 08/25/33 | 810 | 763,319 | |||||||||||||
|
| |||||||||||||||
11,466,804 | ||||||||||||||||
|
| |||||||||||||||
Manufactured Housing — 0.2% |
| |||||||||||||||
Towd Point Mortgage Trust, |
| |||||||||||||||
Series 2019-MH01, Class A1, 144A |
| |||||||||||||||
3.000%(cc) | 11/25/58 | 6,784 | 6,912,540 | |||||||||||||
|
| |||||||||||||||
Other — 0.4% |
| |||||||||||||||
TH MSR Issuer Trust, |
| |||||||||||||||
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%) |
| |||||||||||||||
2.985%(c) | 06/25/24 | 15,400 | 14,444,300 | |||||||||||||
|
| |||||||||||||||
Residential Mortgage-Backed Securities — 0.7% |
| |||||||||||||||
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-through Certificates, |
| |||||||||||||||
Series 2004-R01, Class A2, 1 Month LIBOR + 0.600% (Cap N/A, Floor 0.300%) |
| |||||||||||||||
0.785%(c) | 02/25/34 | 223 | 202,300 | |||||||||||||
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, |
| |||||||||||||||
Series 2004-W010, Class A2, 1 Month LIBOR + 0.780% (Cap N/A, Floor 0.390%) |
| |||||||||||||||
0.965%(c) | 10/25/34 | 769 | 745,369 | |||||||||||||
Countrywide Asset-Backed Certificates, |
| |||||||||||||||
Series 2004-12, Class AF6 |
| |||||||||||||||
4.634%(cc) | 03/25/35 | 8 | 8,413 | |||||||||||||
Series 2004-BC04, Class M1, 1 Month LIBOR + 1.050% (Cap N/A, Floor 0.700%) |
| |||||||||||||||
1.235%(c) | 11/25/34 | 649 | 646,138 | |||||||||||||
Credit-Based Asset Servicing & Securitization LLC, |
| |||||||||||||||
Series 2004-CB04, Class A6 |
| |||||||||||||||
5.872%(cc) | 05/25/35 | 48 | 48,620 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Residential Mortgage-Backed Securities (continued) |
| |||||||||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||||||
Series 2019-GS02, Class A1, 144A |
| |||||||||||||||
3.750% | 01/25/59 | 1,903 | $ | 1,926,291 | ||||||||||||
Series 2019-GS04, Class A1, 144A |
| |||||||||||||||
3.438% | 05/25/59 | 3,121 | 3,115,355 | |||||||||||||
Series 2019-SL01, Class A, 144A |
| |||||||||||||||
4.000%(cc) | 12/28/54 | 1,046 | 1,053,003 | |||||||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||||||
Series 2003-WMC03, Class M3, 1 Month LIBOR + 2.475% |
| |||||||||||||||
2.660%(c) | 06/25/34 | 719 | 717,560 | |||||||||||||
Series 2004-WMC03, Class M2, 1 Month LIBOR + 1.845% |
| |||||||||||||||
2.030%(c) | 01/25/35 | 692 | 687,392 | |||||||||||||
Structured Asset Investment Loan Trust, |
| |||||||||||||||
Series 2004-07, Class A7, 1 Month LIBOR + 0.840% (Cap N/A, Floor 0.420%) |
| |||||||||||||||
1.025%(c) | 08/25/34 | 402 | 398,837 | |||||||||||||
Series 2004-BNC01, Class A4, 1 Month LIBOR + 0.940% (Cap N/A, Floor 0.470%) |
| |||||||||||||||
1.125%(c) | 09/25/34 | 2,200 | 2,119,598 | |||||||||||||
TFS (Spain), |
| |||||||||||||||
Series 2018-03, Class A1, 1 Month EURIBOR + 2.900% |
| |||||||||||||||
2.900%(c) | 04/16/23 | EUR | 8,356 | 8,706,021 | ||||||||||||
Towd Point Mortgage Trust, |
| |||||||||||||||
Series 2017-04, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 06/25/57 | 2,047 | 2,107,117 | |||||||||||||
Series 2017-06, Class A1, 144A |
| |||||||||||||||
2.750%(cc) | 10/25/57 | 5,562 | 5,762,034 | |||||||||||||
Series 2019-HY03, Class A1A, 144A, 1 Month LIBOR + 1.000% |
| |||||||||||||||
1.185%(c) | 10/25/59 | 2,181 | 2,172,628 | |||||||||||||
|
| |||||||||||||||
30,416,676 | ||||||||||||||||
|
| |||||||||||||||
Student Loans — 1.8% |
| |||||||||||||||
Earnest Student Loan Program LLC, |
| |||||||||||||||
Series 2017-A, Class A1, 144A, 1 Month LIBOR + 1.000% (Cap N/A, Floor 1.000%) |
| |||||||||||||||
1.185%(c) | 01/25/41 | 340 | 338,824 | |||||||||||||
Laurel Road Prime Student Loan Trust, |
| |||||||||||||||
Series 2018-C, Class A, 144A |
| |||||||||||||||
—%(p) | 08/25/43 | 5,070 | 5,237,303 | |||||||||||||
Series 2019-A, Class A2FX, 144A |
| |||||||||||||||
2.730% | 10/25/48 | 3,000 | 3,090,327 | |||||||||||||
Navient Private Education Refi Loan Trust, |
| |||||||||||||||
Series 2019-EA, Class A2A, 144A |
| |||||||||||||||
2.640% | 05/15/68 | 4,700 | 4,802,570 | |||||||||||||
SoFi Alternative Trust, |
| |||||||||||||||
Series 2019-B, Class PT, 144A |
| |||||||||||||||
—%(p) | 12/15/45 | 10,978 | 11,446,195 | |||||||||||||
Series 2019-D, Class 1PT, 144A |
| |||||||||||||||
2.460%(cc) | 01/16/46 | 18,550 | 19,184,140 | |||||||||||||
Series 2019-F, Class PT1, 144A |
| |||||||||||||||
1.870%(cc) | 02/15/45 | 15,366 | 15,479,285 | |||||||||||||
SoFi Professional Loan Program LLC, |
| |||||||||||||||
Series 2019-C, Class A2FX, 144A |
| |||||||||||||||
2.370% | 11/16/48 | 5,500 | 5,614,651 |
SEE NOTES TO FINANCIAL STATEMENTS.
A158
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Student Loans (continued) |
| |||||||||||||||
SoFi Professional Loan Program Trust, |
| |||||||||||||||
Series 2020-A, Class A2FX, 144A |
| |||||||||||||||
2.540% | 05/15/46 | 7,200 | $ | 7,460,677 | ||||||||||||
|
| |||||||||||||||
72,653,972 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 607,098,449 | ||||||||||||||
|
| |||||||||||||||
BANK LOANS — 0.2% |
| |||||||||||||||
Pharmaceuticals — 0.1% |
| |||||||||||||||
Ceva Sante Animale SA (France), |
| |||||||||||||||
Term Loan, 6 Month EURIBOR + 4.750% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
4.750%(c) | 04/13/26 | EUR | 2,200 | 2,425,012 | ||||||||||||
|
| |||||||||||||||
Retail — 0.1% |
| |||||||||||||||
EG America LLC (United Kingdom), |
| |||||||||||||||
Second Lien Facility (USD), 1 - 6 Month LIBOR + 8.000% |
| |||||||||||||||
9.072%(c) | 04/20/26^ | 862 | 776,121 | |||||||||||||
EG Finco Ltd. (United Kingdom), |
| |||||||||||||||
Second Lien Term Loan, 6 Month EURIBOR + 7.750% |
| |||||||||||||||
8.750%(c) | 04/20/26 | EUR | 583 | 589,721 | ||||||||||||
Term B, 6 Month GBP LIBOR + 4.750% |
| |||||||||||||||
5.475%(c) | 02/06/25 | GBP | 792 | 909,346 | ||||||||||||
Term B1, 6 Month EURIBOR + 4.000% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
4.000%(c) | 02/07/25 | EUR | 1,748 | 1,830,720 | ||||||||||||
|
| |||||||||||||||
4,105,908 | ||||||||||||||||
|
| |||||||||||||||
TOTAL BANK LOANS |
| 6,530,920 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 18.5% |
| |||||||||||||||
BANK, |
| |||||||||||||||
Series 2018-BN13, Class A4 |
| |||||||||||||||
3.953% | 08/15/61 | 11,300 | 13,092,596 | |||||||||||||
Series 2019-BN20, Class A2 |
| |||||||||||||||
2.758% | 09/15/62 | 17,000 | 18,475,831 | |||||||||||||
Barclays Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2018-TALL, Class A, 144A, 1 Month LIBOR + 0.722% (Cap N/A, Floor 0.722%) |
| |||||||||||||||
0.907%(c) | 03/15/37 | 6,835 | 6,498,158 | |||||||||||||
Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2019-C04, Class A4 |
| |||||||||||||||
2.661% | 08/15/52 | 24,000 | 25,659,926 | |||||||||||||
Benchmark Mortgage Trust, |
| |||||||||||||||
Series 2018-B02, Class A4 |
| |||||||||||||||
3.615% | 02/15/51 | 7,550 | 8,551,400 | |||||||||||||
Cantor Commercial Real Estate Lending, |
| |||||||||||||||
Series 2019-CF02, Class A4 |
| |||||||||||||||
2.624% | 11/15/52 | 27,500 | 27,903,582 | |||||||||||||
CD Mortgage Trust, |
| |||||||||||||||
Series 2017-CD05, Class A3 |
| |||||||||||||||
3.171% | 08/15/50 | 9,000 | 9,789,867 | |||||||||||||
Series 2019-CD08, Class A3 |
| |||||||||||||||
2.657% | 08/15/57 | 25,000 | 26,730,457 | |||||||||||||
CFCRE Commercial Mortgage Trust, |
| |||||||||||||||
Series 2016-C06, Class A2 |
| |||||||||||||||
2.950% | 11/10/49 | 19,000 | 19,918,528 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2016-C07, Class A2 |
| |||||||||||||||
3.585% | 12/10/54 | 13,656 | $ | 15,014,137 | ||||||||||||
Series 2016-C07, Class A3 |
| |||||||||||||||
3.839% | 12/10/54 | 14,766 | 16,480,231 | |||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2013-GC17, Class A4 |
| |||||||||||||||
4.131% | 11/10/46 | 6,771 | 7,236,906 | |||||||||||||
Series 2015-GC27, Class A2 |
| |||||||||||||||
2.687% | 02/10/48 | 601 | 601,149 | |||||||||||||
Series 2015-GC31, Class A3 |
| |||||||||||||||
3.497% | 06/10/48 | 22,271 | 24,187,063 | |||||||||||||
Series 2017-C04, Class A3 |
| |||||||||||||||
3.209% | 10/12/50 | 9,800 | 10,726,168 | |||||||||||||
Series 2019-GC41, Class A4 |
| |||||||||||||||
2.620% | 08/10/56 | 10,000 | 10,758,103 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2013-CR12, Class A4 |
| |||||||||||||||
4.046% | 10/10/46 | 6,567 | 7,069,693 | |||||||||||||
Series 2014-CR20, Class A3 |
| |||||||||||||||
3.326% | 11/10/47 | 17,000 | 18,028,702 | |||||||||||||
Series 2014-UBS04, Class A3 |
| |||||||||||||||
3.430% | 08/10/47 | 15,300 | 15,737,031 | |||||||||||||
Series 2014-UBS06, Class A4 |
| |||||||||||||||
3.378% | 12/10/47 | 8,000 | 8,562,308 | |||||||||||||
Series 2015-DC01, Class A4 |
| |||||||||||||||
3.078% | 02/10/48 | 15,000 | 15,902,499 | |||||||||||||
Series 2015-LC21, Class A3 |
| |||||||||||||||
3.445% | 07/10/48 | 19,100 | 20,733,403 | |||||||||||||
Series 2015-LC23, Class A3 |
| |||||||||||||||
3.521% | 10/10/48 | 13,500 | 14,754,687 | |||||||||||||
Series 2015-PC01, Class A5 |
| |||||||||||||||
3.902% | 07/10/50 | 4,620 | 5,085,594 | |||||||||||||
Series 2016-COR01, Class A3 |
| |||||||||||||||
2.826% | 10/10/49 | 12,000 | 12,689,296 | |||||||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||||||
Series 2015-C02, Class A3 |
| |||||||||||||||
3.231% | 06/15/57 | 21,773 | 23,234,600 | |||||||||||||
Series 2017-CX10, Class A4 |
| |||||||||||||||
3.191% | 11/15/50 | 7,625 | 8,332,708 | |||||||||||||
Series 2018-CX12, Class A3 |
| |||||||||||||||
3.959% | 08/15/51 | 7,000 | 7,977,852 | |||||||||||||
DBJPM Mortgage Trust, |
| |||||||||||||||
Series 2016-C03, Class A4 |
| |||||||||||||||
2.632% | 08/10/49 | 11,300 | 11,934,891 | |||||||||||||
Fannie Mae-Aces, |
| |||||||||||||||
Series 2015-M17, Class A2 |
| |||||||||||||||
3.015%(cc) | 11/25/25 | 10,404 | 11,371,938 | |||||||||||||
Series 2018-M04, Class A2 |
| |||||||||||||||
3.147%(cc) | 03/25/28 | 9,750 | 10,999,891 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K020, Class X1, IO |
| |||||||||||||||
1.498%(cc) | 05/25/22 | 41,928 | 887,345 | |||||||||||||
Series K021, Class X1, IO |
| |||||||||||||||
1.548%(cc) | 06/25/22 | 23,236 | 511,797 | |||||||||||||
Series K024, Class X1, IO |
| |||||||||||||||
0.932%(cc) | 09/25/22 | 37,216 | 576,271 |
SEE NOTES TO FINANCIAL STATEMENTS.
A159
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series K025, Class X1, IO |
| |||||||||||||||
0.934%(cc) | 10/25/22 | 30,041 | $ | 468,917 | ||||||||||||
Series K052, Class X1, IO |
| |||||||||||||||
0.792%(cc) | 11/25/25 | 127,596 | 3,823,762 | |||||||||||||
Series K055, Class X1, IO |
| |||||||||||||||
1.498%(cc) | 03/25/26 | 27,338 | 1,806,678 | |||||||||||||
Series K070, Class A2 |
| |||||||||||||||
3.303%(cc) | 11/25/27 | 8,700 | 10,028,888 | |||||||||||||
Series K072, Class A2 |
| |||||||||||||||
3.444% | 12/25/27 | 4,300 | 5,004,620 | |||||||||||||
Series K075, Class AM |
| |||||||||||||||
3.650%(cc) | 02/25/28 | 8,075 | 9,454,946 | |||||||||||||
Series K077, Class A2 |
| |||||||||||||||
3.850%(cc) | 05/25/28 | 17,965 | 21,418,687 | |||||||||||||
Series K081, Class A2 |
| |||||||||||||||
3.900%(cc) | 08/25/28 | 21,830 | 26,176,198 | |||||||||||||
Series K089, Class A2 |
| |||||||||||||||
3.563% | 01/25/29 | 7,500 | 8,887,017 | |||||||||||||
Series K097, Class X1, IO |
| |||||||||||||||
1.218%(cc) | 07/25/29 | 49,981 | 4,223,630 | |||||||||||||
Series Q001, Class XA, IO |
| |||||||||||||||
2.206%(cc) | 02/25/32 | 28,360 | 3,009,962 | |||||||||||||
Series W5FX, Class AFX |
| |||||||||||||||
3.336%(cc) | 04/25/28 | 5,230 | 5,941,204 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2014-GC24, Class A5 |
| |||||||||||||||
3.931% | 09/10/47 | 4,615 | 5,025,183 | |||||||||||||
Series 2014-GC26, Class A4 |
| |||||||||||||||
3.364% | 11/10/47 | 8,000 | 8,510,698 | |||||||||||||
Series 2019-GC42, Class A3 |
| |||||||||||||||
2.749% | 09/01/52 | 22,000 | 23,791,827 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2013-C07, Class A3 |
| |||||||||||||||
2.655% | 02/15/46 | 5,317 | 5,425,869 | |||||||||||||
Series 2013-C08, Class A3 |
| |||||||||||||||
2.863% | 12/15/48 | 4,502 | 4,622,736 | |||||||||||||
Series 2013-C09, Class A3 |
| |||||||||||||||
2.834% | 05/15/46 | 11,944 | 12,298,507 | |||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2016-UB12, Class A4 |
| |||||||||||||||
3.596% | 12/15/49 | 5,000 | 5,501,150 | |||||||||||||
Series 2019-H07, Class A3 |
| |||||||||||||||
3.005% | 07/15/52 | 5,300 | 5,821,579 | |||||||||||||
One Bryant Park Trust, |
| |||||||||||||||
Series 2019-OBP, Class A, 144A |
| |||||||||||||||
2.516% | 09/15/54 | 4,600 | 4,866,686 | |||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2018-C08, Class ASB |
| |||||||||||||||
3.903% | 02/15/51 | 10,175 | 11,297,213 | |||||||||||||
Series 2018-C12, Class A4 |
| |||||||||||||||
4.030% | 08/15/51 | 11,500 | 13,417,866 | |||||||||||||
Series 2019-C16, Class A3 |
| |||||||||||||||
3.344% | 04/15/52 | 10,000 | 11,009,872 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||||||
Series 2013-C05, Class A3 |
| |||||||||||||||
2.920% | 03/10/46 | 4,111 | 4,201,877 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2013-C06, Class A3 |
| |||||||||||||||
2.971% | 04/10/46 | 12,184 | $ | 12,544,995 | ||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-LC16, Class A4 |
| |||||||||||||||
3.548% | 08/15/50 | 3,468 | 3,684,253 | |||||||||||||
Series 2015-LC20, Class A4 |
| |||||||||||||||
2.925% | 04/15/50 | 15,000 | 15,785,497 | |||||||||||||
Series 2016-C37, Class A4 |
| |||||||||||||||
3.525% | 12/15/49 | 5,800 | 6,399,856 | |||||||||||||
Series 2017-C38, Class A4 |
| |||||||||||||||
3.190% | 07/15/50 | 9,500 | 10,432,432 | |||||||||||||
Series 2017-C39, Class ASB |
| |||||||||||||||
3.212% | 09/15/50 | 6,900 | 7,390,043 | |||||||||||||
Series 2017-C41, Class A3 |
| |||||||||||||||
3.210% | 11/15/50 | 15,000 | 16,278,945 | |||||||||||||
Series 2019-C49, Class A3 |
| |||||||||||||||
3.749% | 03/15/52 | 13,200 | 14,627,964 | |||||||||||||
Series 2019-C52, Class A4 |
| |||||||||||||||
2.643% | 08/15/52 | 6,400 | 6,861,852 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 746,056,017 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 33.8% |
| |||||||||||||||
Aerospace & Defense — 0.3% |
| |||||||||||||||
Boeing Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.825% | 03/01/59 | 4,550 | 3,861,150 | |||||||||||||
Bombardier, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.500% | 03/15/25 | 5,100 | 3,323,204 | |||||||||||||
7.875% | 04/15/27 | 4,690 | 3,062,086 | |||||||||||||
Raytheon Technologies Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 11/16/28 | 2,995 | 3,527,725 | |||||||||||||
|
| |||||||||||||||
13,774,165 | ||||||||||||||||
|
| |||||||||||||||
Agriculture — 0.1% |
| |||||||||||||||
Altria Group, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.850% | 08/09/22 | 2,950 | 3,072,858 | |||||||||||||
Reynolds American, Inc. (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.000% | 08/04/41 | 1,244 | 1,552,085 | |||||||||||||
|
| |||||||||||||||
4,624,943 | ||||||||||||||||
|
| |||||||||||||||
Airlines — 0.4% |
| |||||||||||||||
Continental Airlines 2012-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.150% | 10/11/25 | 3,376 | 3,162,955 | |||||||||||||
Continental Airlines 2012-2 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.000% | 04/29/26 | 843 | 769,182 | |||||||||||||
Delta Air Lines, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 04/19/21 | 7,770 | 7,575,331 |
SEE NOTES TO FINANCIAL STATEMENTS.
A160
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Airlines (continued) |
| |||||||||||||||
Southwest Airlines Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.125% | 06/15/27 | 2,945 | $ | 3,057,144 | ||||||||||||
United Airlines 2016-2 Class AA Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
2.875% | 04/07/30 | 2,864 | 2,674,323 | |||||||||||||
|
| |||||||||||||||
17,238,935 | ||||||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 1.0% |
| |||||||||||||||
BMW US Capital LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A, 3 Month LIBOR + 0.410% |
| |||||||||||||||
1.721%(c) | 04/12/21 | 1,090 | 1,085,733 | |||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 11/01/22 | 17,795 | 17,094,672 | |||||||||||||
General Motors Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 04/01/25 | 923 | 959,131 | |||||||||||||
6.250% | 10/02/43 | 3,650 | 3,839,610 | |||||||||||||
General Motors Financial Co., Inc., |
| |||||||||||||||
Gtd. Notes, 3 Month LIBOR + 0.850% |
| |||||||||||||||
2.170%(c) | 04/09/21 | 1,260 | 1,249,099 | |||||||||||||
Gtd. Notes | ||||||||||||||||
3.150% | 06/30/22 | 12,500 | 12,703,498 | |||||||||||||
3.550% | 04/09/21 | 950 | 961,357 | |||||||||||||
4.300% | 07/13/25 | 2,587 | 2,712,406 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.900% | 02/26/25 | 775 | 772,359 | |||||||||||||
|
| |||||||||||||||
41,377,865 | ||||||||||||||||
|
| |||||||||||||||
Auto Parts & Equipment — 0.2% |
| |||||||||||||||
Adient US LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.000% | 05/15/26 | 725 | 749,782 | |||||||||||||
American Axle & Manufacturing, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.500% | 04/01/27 | (a) | 2,625 | 2,546,201 | ||||||||||||
Dana Financing Luxembourg Sarl, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 04/15/25 | (a) | 1,000 | 1,015,225 | ||||||||||||
ZF North America Capital, Inc. (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.500% | 04/29/22 | 1,634 | 1,679,533 | |||||||||||||
|
| |||||||||||||||
5,990,741 | ||||||||||||||||
|
| |||||||||||||||
Banks — 11.1% |
| |||||||||||||||
Banco Santander SA (Spain), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120% |
| |||||||||||||||
2.431%(c) | 04/12/23 | 1,000 | 986,262 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.125% | 02/23/23 | 3,600 | 3,746,495 | |||||||||||||
3.848% | 04/12/23 | 1,400 | 1,488,658 | |||||||||||||
Bank of America Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series DD |
| |||||||||||||||
6.300%(ff) | — | (a)(rr) | 1,490 | 1,648,984 | ||||||||||||
Jr. Sub. Notes, Series JJ |
| |||||||||||||||
5.125%(ff) | — | (rr) | 10,890 | 10,759,564 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
Bank of America Corp., (continued)) |
| |||||||||||||||
Jr. Sub. Notes, Series MM |
| |||||||||||||||
4.300%(ff) | — | (rr) | 7,500 | $ | 6,703,784 | |||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.004%(ff) | 12/20/23 | 3 | 3,151 | |||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.300% | 01/11/23 | 1,346 | 1,433,415 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.194%(ff) | 07/23/30 | 7,195 | 7,936,330 | |||||||||||||
3.824%(ff) | 01/20/28 | 8,055 | 9,099,351 | |||||||||||||
4.271%(ff) | 07/23/29 | 1,010 | 1,188,428 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.450% | 03/03/26 | 6,375 | 7,322,927 | |||||||||||||
Sub. Notes, Series L, MTN |
| |||||||||||||||
3.950% | 04/21/25 | 8,575 | 9,490,373 | |||||||||||||
Barclays PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
4.972%(ff) | 05/16/29 | 5,480 | 6,421,288 | |||||||||||||
BNP Paribas SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.219%(ff) | 06/09/26 | 6,530 | 6,673,939 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.500% | 03/01/23 | 7,590 | 8,035,904 | |||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Jr. Sub. Notes, Series Q |
| |||||||||||||||
5.950%(ff) | — | (rr) | 2,575 | 2,430,918 | ||||||||||||
Jr. Sub. Notes, Series R |
| |||||||||||||||
6.125%(ff) | — | (rr) | 4,975 | 4,863,698 | ||||||||||||
Jr. Sub. Notes, Series T |
| |||||||||||||||
6.250%(ff) | — | (rr) | 3,315 | 3,518,706 | ||||||||||||
Jr. Sub. Notes, Series V |
| |||||||||||||||
4.700%(ff) | — | (rr) | 545 | 486,678 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.572%(ff) | 06/03/31 | 21,800 | 22,521,232 | |||||||||||||
2.976%(ff) | 11/05/30 | 9,855 | 10,467,290 | |||||||||||||
3.668%(ff) | 07/24/28 | 2,000 | 2,236,236 | |||||||||||||
3.700% | 01/12/26 | 1,940 | 2,167,726 | |||||||||||||
3.887%(ff) | 01/10/28 | 1,540 | 1,733,372 | |||||||||||||
8.125% | 07/15/39 | (a) | 945 | 1,635,867 | ||||||||||||
Sub. Notes | ||||||||||||||||
4.600% | 03/09/26 | 1,070 | 1,222,623 | |||||||||||||
4.750% | 05/18/46 | (a) | 3,835 | 4,850,626 | ||||||||||||
Credit Suisse Group AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.193%(ff) | 06/05/26 | 6,015 | 6,093,425 | |||||||||||||
Credit Suisse Group Funding Guernsey Ltd. (Switzerland), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.450% | 04/16/21 | 1,700 | 1,740,086 | |||||||||||||
3.800% | 06/09/23 | 5,555 | 5,973,900 | |||||||||||||
Danske Bank A/S (Denmark), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.001%(ff) | 09/20/22 | 10,250 | 10,413,731 | |||||||||||||
Deutsche Bank AG (Germany), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.290% |
| |||||||||||||||
1.846%(c) | 02/04/21 | 2,300 | 2,288,554 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 02/04/21 | 2,125 | 2,153,333 |
SEE NOTES TO FINANCIAL STATEMENTS.
A161
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
Deutsche Bank AG (Germany), (continued) |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.375% | 05/12/21 | 3,960 | $ | 4,012,035 | ||||||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||||||
5.000% | 02/14/22 | 2,700 | 2,827,488 | |||||||||||||
Discover Bank, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 02/06/23 | 5,855 | 6,205,579 | |||||||||||||
First Horizon National Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.550% | 05/26/23 | 6,780 | 6,983,343 | |||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922% |
| |||||||||||||||
4.370%(c) | — | (rr) | 7,490 | 6,851,859 | ||||||||||||
Jr. Sub. Notes, Series O |
| |||||||||||||||
5.300%(ff) | — | (rr) | 1,035 | 1,046,347 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 11/16/26 | 4,640 | 5,099,386 | |||||||||||||
3.750% | 02/25/26 | 1,290 | 1,443,414 | |||||||||||||
3.850% | 01/26/27 | 3,850 | 4,328,873 | |||||||||||||
Sub. Notes | ||||||||||||||||
6.750% | 10/01/37 | 1,600 | 2,315,607 | |||||||||||||
HSBC Holdings PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.803%(ff) | 03/11/25 | 980 | 1,058,297 | |||||||||||||
4.292%(ff) | 09/12/26 | 1,000 | 1,114,990 | |||||||||||||
ING Groep NV (Netherlands), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.550% | 04/09/24 | 1,200 | 1,307,561 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Jr. Sub. Notes, Series FF |
| |||||||||||||||
5.000%(ff) | — | (rr) | 6,055 | 5,809,556 | ||||||||||||
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% |
| |||||||||||||||
4.230%(c) | — | (rr) | 2,127 | 1,945,634 | ||||||||||||
Jr. Sub. Notes, Series Z, 3 Month LIBOR + 3.800% |
| |||||||||||||||
4.487%(c) | – | (rr) | 7,950 | 7,481,250 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 06/15/26 | 5,930 | 6,578,940 | |||||||||||||
3.509%(ff) | 01/23/29 | 1,310 | 1,475,971 | |||||||||||||
3.782%(ff) | 02/01/28 | 5,075 | 5,738,769 | |||||||||||||
3.964%(ff) | 11/15/48 | 3,690 | 4,447,476 | |||||||||||||
4.005%(ff) | 04/23/29 | 23,820 | 27,518,213 | |||||||||||||
4.500% | 01/24/22 | 8,500 | 9,023,578 | |||||||||||||
Lloyds Banking Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 01/11/27 | 6,000 | 6,633,895 | |||||||||||||
Morgan Stanley, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.375% | 01/22/47 | (a) | 2,590 | 3,344,163 | ||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.750% | 02/25/23 | 5,340 | 5,760,804 | |||||||||||||
3.772%(ff) | 01/24/29 | 3,610 | 4,108,265 | |||||||||||||
3.875% | 01/27/26 | 1,105 | 1,254,729 | |||||||||||||
4.431%(ff) | 01/23/30 | 21,270 | 25,334,132 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.125% | 07/27/26 | 8,155 | 8,994,785 | |||||||||||||
3.591%(ff) | 07/22/28 | 2,055 | 2,310,054 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
Morgan Stanley, (continued) |
| |||||||||||||||
Sub. Notes, GMTN |
| |||||||||||||||
4.350% | 09/08/26 | 7,000 | $ | 8,060,160 | ||||||||||||
People’s United Bank NA, |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
4.000% | 07/15/24 | 550 | 580,711 | |||||||||||||
Royal Bank of Scotland Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.269%(ff) | 03/22/25 | 3,370 | 3,663,635 | |||||||||||||
Societe Generale SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.875% | 03/28/24 | 13,000 | 13,880,020 | |||||||||||||
Sumitomo Mitsui Financial Group, Inc. (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.696% | 07/16/24 | 15,000 | 15,872,154 | |||||||||||||
UBS Group AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.859%(ff) | 08/15/23 | 7,290 | 7,551,936 | |||||||||||||
3.126%(ff) | 08/13/30 | 7,740 | 8,351,472 | |||||||||||||
Wells Fargo & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.393%(ff) | 06/02/28 | 44,500 | 45,970,454 | |||||||||||||
|
| |||||||||||||||
446,022,389 | ||||||||||||||||
|
| |||||||||||||||
Beverages — 0.2% |
| |||||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.450% | 01/23/39 | 4,500 | 5,677,684 | |||||||||||||
Keurig Dr. Pepper, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.551% | 05/25/21 | 2,540 | 2,610,812 | |||||||||||||
|
| |||||||||||||||
8,288,496 | ||||||||||||||||
|
| |||||||||||||||
Building Materials — 0.2% |
| |||||||||||||||
Owens Corning, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 08/15/29 | 5,000 | 5,436,895 | |||||||||||||
Standard Industries, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.375% | 11/15/24 | 2,915 | 2,995,149 | |||||||||||||
|
| |||||||||||||||
8,432,044 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 0.6% |
| |||||||||||||||
CF Industries, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 03/15/44 | 2,560 | 2,771,123 | |||||||||||||
Chemours Co. (The), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.000% | 05/15/25 | (a) | 5,000 | 4,778,032 | ||||||||||||
LYB International Finance BV, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 03/15/44 | 1,950 | 2,287,315 | |||||||||||||
LyondellBasell Industries NV, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 11/15/21 | 250 | 263,750 |
SEE NOTES TO FINANCIAL STATEMENTS.
A162
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Chemicals (continued) |
| |||||||||||||||
NOVA Chemicals Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 06/01/24 | 1,800 | $ | 1,674,892 | ||||||||||||
Nutrien Ltd. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 01/15/45 | 4,910 | 6,123,938 | |||||||||||||
OCI NV (Netherlands), |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
3.125% | 11/01/24 | EUR | 1,980 | 2,172,938 | ||||||||||||
Sasol Financing USA LLC (South Africa), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 03/27/24 | 2,060 | 1,856,345 | |||||||||||||
Starfruit Finco BV/Starfruit US Holdco LLC (Netherlands), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.500% | 10/01/26 | EUR | 3,200 | 3,631,414 | ||||||||||||
|
| |||||||||||||||
25,559,747 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 0.7% |
| |||||||||||||||
ERAC USA Finance LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.300% | �� | 12/01/26 | 5,690 | 5,766,701 | ||||||||||||
7.000% | 10/15/37 | 2,050 | 2,628,143 | |||||||||||||
Global Payments, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.650% | 02/15/25 | 2,200 | 2,336,324 | |||||||||||||
IHS Markit Ltd., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 08/01/23 | 5,000 | 5,465,986 | |||||||||||||
Loxam SAS (France), |
| |||||||||||||||
Sr. Sub. Notes |
| |||||||||||||||
4.500% | 04/15/27 | EUR | 1,100 | 965,194 | ||||||||||||
5.750% | 07/15/27 | EUR | 5,100 | 4,532,922 | ||||||||||||
United Rentals North America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 01/15/28 | 2,955 | 3,027,890 | |||||||||||||
5.250% | 01/15/30 | 2,980 | 3,080,530 | |||||||||||||
5.500% | 05/15/27 | 520 | 538,264 | |||||||||||||
|
| |||||||||||||||
28,341,954 | ||||||||||||||||
|
| |||||||||||||||
Computers — 0.3% |
| |||||||||||||||
HP, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.200% | 06/17/25 | 12,575 | 12,983,207 | |||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.4% |
| |||||||||||||||
Cantor Fitzgerald LP, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 05/01/24 | 5,000 | 5,399,724 | |||||||||||||
Discover Financial Services, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 03/04/25 | 4,895 | 5,274,834 | |||||||||||||
Jefferies Group LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.500% | 01/20/43 | 1,975 | 2,263,606 | |||||||||||||
Nationstar Mortgage Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 01/15/27 | 915 | 879,041 | |||||||||||||
8.125% | 07/15/23 | 1,190 | 1,220,261 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Diversified Financial Services (continued) |
| |||||||||||||||
Power Sector Assets & Liabilities Management Corp. (Philippines), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
7.390% | 12/02/24 | 1,100 | $ | 1,352,401 | ||||||||||||
|
| |||||||||||||||
16,389,867 | ||||||||||||||||
|
| |||||||||||||||
Electric — 2.6% |
| |||||||||||||||
American Transmission Systems, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.000% | 09/01/44 | 2,300 | 2,878,266 | |||||||||||||
Calpine Corp., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.250% | 06/01/26 | (a) | 3,600 | 3,638,018 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 01/15/25 | (a) | 1,655 | 1,671,245 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.125% | 03/15/28 | 6,000 | 5,865,974 | |||||||||||||
CenterPoint Energy Houston Electric LLC, |
| |||||||||||||||
General Ref. Mortgage |
| |||||||||||||||
3.950% | 03/01/48 | 1,750 | 2,126,551 | |||||||||||||
Commonwealth Edison Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.000% | 03/01/48 | 2,300 | 2,840,132 | |||||||||||||
6.450% | 01/15/38 | 2,110 | 3,186,270 | |||||||||||||
Consumers Energy Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.050% | 05/15/48 | 3,670 | 4,624,275 | |||||||||||||
DTE Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series C |
| |||||||||||||||
2.529% | 10/01/24 | 8,945 | 9,416,731 | |||||||||||||
Duke Energy Progress LLC, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.700% | 10/15/46 | 2,030 | 2,371,709 | |||||||||||||
Entergy Louisiana LLC, |
| |||||||||||||||
Sec’d. Notes |
| |||||||||||||||
4.000% | 03/15/33 | (a) | 1,385 | 1,701,860 | ||||||||||||
Eskom Holdings SOC Ltd. (South Africa), |
| |||||||||||||||
Gov’t. Gtd. Notes, 144A, MTN |
| |||||||||||||||
6.350% | 08/10/28 | 1,965 | 1,969,120 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.750% | 01/26/21 | 5,450 | 5,211,377 | |||||||||||||
7.125% | 02/11/25 | 2,110 | 1,957,982 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
6.750% | 08/06/23 | 400 | 378,018 | |||||||||||||
Evergy Metro, Inc., |
| |||||||||||||||
Mortgage |
| |||||||||||||||
4.200% | 03/15/48 | 2,700 | 3,336,677 | |||||||||||||
FirstEnergy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series C |
| |||||||||||||||
7.375% | 11/15/31 | 2,360 | 3,449,268 | |||||||||||||
FirstEnergy Transmission LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.450% | 07/15/44 | 855 | 1,094,681 | |||||||||||||
Hydro-Quebec (Canada), |
| |||||||||||||||
Local Gov’t. Gtd. Notes, Series HE |
| |||||||||||||||
8.625% | 06/15/29 | 1,000 | 1,584,752 |
SEE NOTES TO FINANCIAL STATEMENTS.
A163
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (continued) |
| |||||||||||||||
Interstate Power & Light Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.300% | 06/01/30 | 3,560 | $ | 3,631,341 | ||||||||||||
Israel Electric Corp. Ltd. (Israel), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A, GMTN |
| |||||||||||||||
4.250% | 08/14/28 | 2,385 | 2,697,789 | |||||||||||||
Northern States Power Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.600% | 09/15/47 | 4,475 | 5,259,151 | |||||||||||||
NRG Energy, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.250% | 06/15/29 | (a) | 725 | 764,407 | ||||||||||||
PECO Energy Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.700% | 09/15/47 | 660 | 782,085 | |||||||||||||
PPL Capital Funding, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 09/15/47 | 2,930 | 3,154,254 | |||||||||||||
5.000% | 03/15/44 | 1,500 | 1,797,586 | |||||||||||||
PSEG Power LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.000% | 06/15/21 | 3,750 | 3,826,973 | |||||||||||||
Public Service Co. of Colorado, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.200% | 03/01/50 | (a) | 5,350 | 6,014,605 | ||||||||||||
San Diego Gas & Electric Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.950% | 11/15/41 | 1,125 | 1,261,376 | |||||||||||||
Southern California Edison Co., |
| |||||||||||||||
First Ref. Mortgage |
| |||||||||||||||
4.000% | 04/01/47 | 3,550 | 4,053,883 | |||||||||||||
Southern Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.150% | 09/15/41 | 1,025 | 1,170,274 | |||||||||||||
Southwestern Electric Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series L |
| |||||||||||||||
3.850% | 02/01/48 | 4,655 | 4,907,070 | |||||||||||||
Vistra Operations Co. LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 07/31/27 | 3,051 | 3,094,393 | |||||||||||||
Wisconsin Public Service Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.300% | 09/01/49 | 4,445 | 4,808,838 | |||||||||||||
|
| |||||||||||||||
106,526,931 | ||||||||||||||||
|
| |||||||||||||||
Electrical Components & Equipment — 0.2% |
| |||||||||||||||
Energizer Gamma Acquisition BV, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 07/15/26 | EUR | 7,981 | 9,148,553 | ||||||||||||
|
| |||||||||||||||
Engineering & Construction — 0.1% |
| |||||||||||||||
Mexico City Airport Trust (Mexico), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.875% | 04/30/28 | 1,500 | 1,368,828 | |||||||||||||
4.250% | 10/31/26 | 1,516 | 1,433,618 | |||||||||||||
|
| |||||||||||||||
2,802,446 | ||||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Entertainment — 0.1% |
| |||||||||||||||
AMC Entertainment Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 11/15/26 | 3,450 | $ | 1,101,218 | ||||||||||||
Cirsa Finance International Sarl (Spain), |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.750% | 05/22/25 | EUR | 1,745 | 1,710,768 | ||||||||||||
|
| |||||||||||||||
2,811,986 | ||||||||||||||||
|
| |||||||||||||||
Foods — 0.5% |
| |||||||||||||||
JBS USA LUX SA/JBS USA Finance, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 06/15/25 | 2,430 | 2,462,264 | |||||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.500% | 01/15/30 | (a) | 550 | 563,419 | ||||||||||||
Kraft Heinz Foods Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 10/01/39 | 935 | 937,118 | |||||||||||||
4.875% | 10/01/49 | (a) | 6,035 | 6,248,127 | ||||||||||||
Mars, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.950% | 04/01/44 | 2,415 | 2,916,709 | |||||||||||||
Picard Bondco SA (Luxembourg), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 11/30/24 | EUR | 2,360 | 2,638,203 | ||||||||||||
Pilgrim’s Pride Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 03/15/25 | 2,975 | 2,965,990 | |||||||||||||
|
| |||||||||||||||
18,731,830 | ||||||||||||||||
|
| |||||||||||||||
Forest Products & Paper — 0.1% |
| |||||||||||||||
Georgia-Pacific LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.375% | 12/01/25 | 3,620 | 4,646,326 | |||||||||||||
|
| |||||||||||||||
Gas — 0.2% | ||||||||||||||||
CenterPoint Energy Resources Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.850% | 01/15/41 | 1,200 | 1,556,461 | |||||||||||||
Dominion Energy Gas Holdings LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.600% | 12/15/44 | 235 | 270,703 | |||||||||||||
NiSource, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 03/30/48 | 3,210 | 3,707,072 | |||||||||||||
Southwest Gas Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.200% | 06/15/30 | 2,325 | 2,386,044 | |||||||||||||
|
| |||||||||||||||
7,920,280 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.3% |
| |||||||||||||||
DH Europe Finance II Sarl, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.350% | 09/18/39 | EUR | 4,760 | 5,084,438 | ||||||||||||
Medtronic Global Holdings SCA, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.625% | 03/07/31 | EUR | 600 | 733,833 | ||||||||||||
2.250% | 03/07/39 | EUR | 805 | 1,015,073 |
SEE NOTES TO FINANCIAL STATEMENTS.
A164
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Products (continued) |
| |||||||||||||||
Thermo Fisher Scientific, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
1.500% | 10/01/39 | EUR | 2,350 | $ | 2,592,933 | |||||||||||
1.875% | 10/01/49 | EUR | 1,525 | 1,632,872 | ||||||||||||
|
| |||||||||||||||
11,059,149 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 1.8% |
| |||||||||||||||
Aetna, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 12/15/37 | 2,250 | 3,196,714 | |||||||||||||
Ascension Health, |
| |||||||||||||||
Sr. Unsec’d. Notes, Series B |
| |||||||||||||||
3.106% | 11/15/39 | 2,505 | 2,696,484 | |||||||||||||
CommonSpirit Health, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
2.760% | 10/01/24 | 10,345 | 10,667,182 | |||||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.125% | 10/15/20 | 890 | 890,399 | |||||||||||||
HCA, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.125% | 06/15/29 | 8,500 | 9,372,641 | |||||||||||||
5.000% | 03/15/24 | 10,000 | 11,117,293 | |||||||||||||
5.125% | 06/15/39 | 2,250 | 2,618,338 | |||||||||||||
Health Care Service Corp. A Mutual Legal Reserve Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.200% | 06/01/30 | 4,000 | 4,008,781 | |||||||||||||
3.200% | 06/01/50 | 1,830 | 1,865,687 | |||||||||||||
Humana, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.125% | 08/15/29 | 7,620 | 8,253,047 | |||||||||||||
IQVIA, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.250% | 01/15/28 | EUR | 2,700 | 2,920,519 | ||||||||||||
Kaiser Foundation Hospitals, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.150% | 05/01/47 | 2,000 | 2,612,587 | |||||||||||||
Laboratory Corp. of America Holdings, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 02/01/22 | 365 | 378,584 | |||||||||||||
Quest Diagnostics, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 06/01/26 | 1,765 | 1,981,473 | |||||||||||||
Tenet Healthcare Corp., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.125% | 11/01/27 | 6,540 | 6,469,587 | |||||||||||||
UnitedHealth Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.625% | 11/15/41 | 3,360 | 4,363,614 | |||||||||||||
|
| |||||||||||||||
73,412,930 | ||||||||||||||||
|
| |||||||||||||||
Home Builders — 0.1% |
| |||||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250% | 09/15/27 | 870 | 831,472 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Home Builders (continued) |
| |||||||||||||||
Taylor Morrison Communities, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 06/15/27 | 1,215 | $ | 1,261,753 | ||||||||||||
6.000% | 09/01/23 | 2,000 | 2,055,495 | |||||||||||||
|
| |||||||||||||||
4,148,720 | ||||||||||||||||
|
| |||||||||||||||
Household Products/Wares — 0.1% |
| |||||||||||||||
Spectrum Brands, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.000% | 10/01/26 | EUR | 2,250 | 2,473,568 | ||||||||||||
|
| |||||||||||||||
Insurance — 0.7% |
| |||||||||||||||
American International Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 07/16/44 | 1,630 | 1,873,352 | |||||||||||||
Liberty Mutual Finance Europe DAC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
1.750% | 03/27/24 | EUR | 2,100 | 2,451,057 | ||||||||||||
Liberty Mutual Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.569% | 02/01/29 | 15,250 | 17,854,615 | |||||||||||||
Lincoln National Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.300% | 10/09/37 | 2,155 | 2,861,552 | |||||||||||||
Markel Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.000% | 03/30/43 | 740 | 852,188 | |||||||||||||
Principal Financial Group, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 09/15/42 | 235 | 288,606 | |||||||||||||
Sompo International Holdings Ltd. (Bermuda), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.000% | 07/15/34 | 1,500 | 2,048,598 | |||||||||||||
Teachers Insurance & Annuity Association of America, |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.900% | 09/15/44 | 890 | 1,139,498 | |||||||||||||
6.850% | 12/16/39 | 246 | 374,861 | |||||||||||||
|
| |||||||||||||||
29,744,327 | ||||||||||||||||
|
| |||||||||||||||
Lodging — 0.2% |
| |||||||||||||||
Las Vegas Sands Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 08/08/24 | 4,500 | 4,469,592 | |||||||||||||
3.500% | 08/18/26 | 1,550 | 1,546,257 | |||||||||||||
Marriott International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.625% | 06/15/30 | 1,365 | 1,419,113 | |||||||||||||
Sands China Ltd. (Macau), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.125% | 08/08/25 | 1,100 | 1,196,337 | |||||||||||||
|
| |||||||||||||||
8,631,299 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.1% |
| |||||||||||||||
Xylem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/01/21 | 1,950 | 2,051,412 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A165
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Media — 1.6% |
| |||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 03/01/30 | 1,840 | $ | 1,884,814 | ||||||||||||
5.375% | 06/01/29 | 1,000 | 1,054,930 | |||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.050% | 03/30/29 | 16,850 | 19,867,886 | |||||||||||||
5.375% | 05/01/47 | 1,210 | 1,428,563 | |||||||||||||
6.384% | 10/23/35 | 4,300 | 5,674,037 | |||||||||||||
6.484% | 10/23/45 | 1,000 | 1,335,420 | |||||||||||||
Clear Channel Worldwide Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
9.250% | 02/15/24 | (a) | 4,000 | 3,710,656 | ||||||||||||
Comcast Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.450% | 02/01/50 | 1,900 | 2,151,228 | |||||||||||||
3.750% | 04/01/40 | 6,870 | 8,060,619 | |||||||||||||
Cox Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.150% | 08/15/24 | 7,280 | 7,822,913 | |||||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.375% | 08/15/26 | 2,295 | 1,675,726 | |||||||||||||
Discovery Communications LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 09/20/37 | 2,030 | 2,390,564 | |||||||||||||
Videotron Ltd. (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 07/15/22 | 2,200 | 2,273,768 | |||||||||||||
Virgin Media Secured Finance PLC (United Kingdom), |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.250% | 05/15/29 | GBP | 3,100 | 4,014,065 | ||||||||||||
|
| |||||||||||||||
63,345,189 | ||||||||||||||||
|
| |||||||||||||||
Mining — 0.2% |
| |||||||||||||||
Southern Copper Corp. (Peru), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 04/16/40 | 850 | 1,153,073 | |||||||||||||
7.500% | 07/27/35 | 1,700 | 2,371,747 | |||||||||||||
Teck Resources Ltd. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.250% | 07/15/41 | 5,350 | 5,852,633 | |||||||||||||
|
| |||||||||||||||
9,377,453 | ||||||||||||||||
|
| |||||||||||||||
Multi-National — 0.2% |
| |||||||||||||||
Corp. Andina de Fomento (Supranational Bank), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.125% | 09/27/21 | 3,495 | 3,518,366 | |||||||||||||
2.200% | 07/18/20 | (a) | 1,365 | 1,365,795 | ||||||||||||
2.750% | 01/06/23 | (a) | 970 | 1,015,149 | ||||||||||||
Inter-American Development Bank (Supranational Bank), |
| |||||||||||||||
Notes |
| |||||||||||||||
6.800% | 10/15/25 | 2,000 | 2,597,283 | |||||||||||||
|
| |||||||||||||||
8,496,593 | ||||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas — 2.2% |
| |||||||||||||||
Antero Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 11/01/21 | 7,825 | $ | 7,236,113 | ||||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.000% | 11/01/26 | 650 | 421,742 | |||||||||||||
10.000% | 04/01/22 | 400 | 343,875 | |||||||||||||
BP Capital Markets PLC (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.375%(ff) | — | (rr) | 8,590 | 8,724,035 | ||||||||||||
Cenovus Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.400% | 06/15/47 | 880 | 757,077 | |||||||||||||
6.750% | 11/15/39 | (a) | 1,980 | 1,943,068 | ||||||||||||
Concho Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 10/01/47 | 4,570 | 5,140,982 | |||||||||||||
ConocoPhillips Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.150% | 11/15/34 | 489 | 545,845 | |||||||||||||
Continental Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | �� | 04/15/23 | (a) | 7,100 | 6,782,453 | |||||||||||
Devon Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.600% | 07/15/41 | 1,895 | 1,851,318 | |||||||||||||
Gazprom PJSC Via Gaz Capital SA (Russia), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.950% | 07/19/22 | 2,238 | 2,361,173 | |||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 04/24/25 | 2,205 | 2,371,703 | |||||||||||||
4.750% | 04/19/27 | 500 | 542,168 | |||||||||||||
MEG Energy Corp. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.000% | 03/31/24 | 3,550 | 3,041,763 | |||||||||||||
Newfield Exploration Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.375% | 01/01/26 | 2,620 | 2,450,538 | |||||||||||||
Noble Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.900% | 11/15/24 | 2,000 | 2,014,596 | |||||||||||||
Occidental Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.264%(s) | 10/10/36 | 7,000 | 2,968,519 | |||||||||||||
6.450% | 09/15/36 | 55 | 47,385 | |||||||||||||
6.950% | 07/01/24 | 3,110 | 3,045,422 | |||||||||||||
Ovintiv, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.500% | 08/15/34 | 1,640 | 1,463,055 | |||||||||||||
Petrobras Global Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 01/14/25 | EUR | 1,820 | 2,147,009 | ||||||||||||
6.625% | 01/16/34 | GBP | 2,520 | 3,181,331 | ||||||||||||
7.375% | 01/17/27 | 1,770 | 1,968,998 | |||||||||||||
8.750% | 05/23/26 | 680 | 803,180 |
SEE NOTES TO FINANCIAL STATEMENTS.
A166
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (continued) |
| |||||||||||||||
Petrobras Global Finance BV (Brazil), (continued) |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.093% | 01/15/30 | 1,211 | $ | 1,205,764 | ||||||||||||
Petroleos Mexicanos (Mexico), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 02/26/29 | EUR | 1,500 | 1,421,073 | ||||||||||||
5.500% | 01/21/21 | (a) | 740 | 741,824 | ||||||||||||
6.350% | 02/12/48 | 2,644 | 1,962,838 | |||||||||||||
6.500% | 03/13/27 | 1,680 | 1,532,563 | |||||||||||||
6.500% | 01/23/29 | 1,100 | 962,070 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.490% | 01/23/27 | 5,091 | 4,644,866 | |||||||||||||
6.840% | 01/23/30 | 300 | 262,592 | |||||||||||||
7.690% | 01/23/50 | 621 | 514,517 | |||||||||||||
Gtd. Notes, EMTN |
| |||||||||||||||
4.875% | 02/21/28 | EUR | 2,150 | 2,094,360 | ||||||||||||
Range Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 05/15/25 | 1,000 | 754,716 | |||||||||||||
5.000% | 08/15/22 | 50 | 45,538 | |||||||||||||
5.000% | 03/15/23 | 1,950 | 1,663,195 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.250% | 02/01/26 | (a) | 2,150 | 1,935,563 | ||||||||||||
Total Capital International SA (France), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.127% | 05/29/50 | (a) | 5,580 | 5,691,416 | ||||||||||||
YPF SA (Argentina), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.500% | 03/23/21 | 440 | 371,738 | |||||||||||||
|
| |||||||||||||||
87,957,981 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas Services — 0.1% |
| |||||||||||||||
Cameron International Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.950% | 06/01/41 | 3,935 | 4,569,772 | |||||||||||||
|
| |||||||||||||||
Packaging & Containers — 0.0% |
| |||||||||||||||
WestRock RKT LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.900% | 03/01/22 | 1,250 | 1,326,596 | |||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 2.6% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 05/14/25 | 3,640 | 4,024,384 | |||||||||||||
4.500% | 05/14/35 | 4,430 | 5,347,510 | |||||||||||||
4.700% | 05/14/45 | 5,155 | 6,424,094 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.550% | 03/15/35 | 7,332 | 8,878,429 | |||||||||||||
4.875% | 02/15/21 | 2,046 | 2,077,533 | |||||||||||||
Bausch Health Cos., Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 01/30/28 | (a) | 500 | 471,144 | ||||||||||||
5.250% | 01/30/30 | (a) | 500 | 476,695 | ||||||||||||
7.000% | 01/15/28 | 595 | 613,540 | |||||||||||||
Bayer US Finance LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.000% | 10/08/21 | 7,500 | 7,688,490 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals (continued) |
| |||||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.625% | 05/15/24 | (a) | 6,695 | $ | 7,366,319 | |||||||||||
4.125% | 06/15/39 | (a) | 980 | 1,245,562 | ||||||||||||
4.250% | 10/26/49 | 2,060 | 2,712,917 | |||||||||||||
4.625% | 05/15/44 | 2,000 | 2,640,505 | |||||||||||||
5.000% | 08/15/45 | 1,190 | 1,657,002 | |||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.400% | 03/01/27 | 5,000 | 5,519,009 | |||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 08/15/29 | 12,250 | 13,513,671 | |||||||||||||
4.100% | 03/25/25 | 5,355 | 6,054,443 | |||||||||||||
4.300% | 03/25/28 | 5,650 | 6,605,500 | |||||||||||||
4.780% | 03/25/38 | 935 | 1,155,946 | |||||||||||||
5.125% | 07/20/45 | 1,875 | 2,419,156 | |||||||||||||
5.300% | 12/05/43 | 645 | 840,067 | |||||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 06/30/28 | 710 | 457,950 | |||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
9.500% | 07/31/27 | (a) | 563 | 593,406 | ||||||||||||
Mylan NV, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.250% | 06/15/46 | 5,935 | 7,310,568 | |||||||||||||
Nidda BondCo GmbH (Germany), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.000% | 09/30/25 | EUR | 3,211 | 3,553,445 | ||||||||||||
Par Pharmaceutical, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.500% | 04/01/27 | 281 | 288,126 | |||||||||||||
Upjohn, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.850% | 06/22/40 | 1,585 | 1,700,061 | |||||||||||||
4.000% | 06/22/50 | 2,930 | 3,133,249 | |||||||||||||
|
| |||||||||||||||
104,768,721 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 1.4% |
| |||||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.950% | 06/15/28 | 2,860 | 3,078,238 | |||||||||||||
6.250% | 04/15/49 | 5,080 | 5,413,057 | |||||||||||||
Jr. Sub. Notes, Series G |
| |||||||||||||||
7.125%(ff) | — | (rr) | 3,195 | 2,741,295 | ||||||||||||
Enterprise Products Operating LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.950% | 02/01/41 | 1,600 | 2,047,589 | |||||||||||||
Magellan Midstream Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 03/01/50 | 7,505 | 7,591,532 | |||||||||||||
MPLX LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 04/15/38 | 2,525 | 2,523,929 | |||||||||||||
4.875% | 06/01/25 | 5,275 | 5,886,799 | |||||||||||||
5.200% | 03/01/47 | 290 | 309,533 |
SEE NOTES TO FINANCIAL STATEMENTS.
A167
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date |
| Principal Amount (000)# | Value | ||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pipelines (continued) |
| |||||||||||||||
NGPL PipeCo LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 08/15/22 | (a) | 600 | $ | 618,439 | |||||||||||
ONEOK Partners LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.850% | 10/15/37 | 3,400 | 3,808,209 | |||||||||||||
ONEOK, Inc., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
4.450% | 09/01/49 | 6,410 | 5,970,827 | |||||||||||||
Plains All American Pipeline LP/PAA Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.800% | 09/15/30 | 4,120 | 4,057,588 | |||||||||||||
Western Midstream Operating LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.300% | 03/01/48 | 340 | 275,990 | |||||||||||||
5.450% | 04/01/44 | (a) | 1,925 | 1,604,748 | ||||||||||||
Williams Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 11/15/21 | (a) | 2,100 | 2,168,388 | ||||||||||||
4.850% | 03/01/48 | 165 | 180,134 | |||||||||||||
5.100% | 09/15/45 | 3,500 | 3,826,953 | |||||||||||||
5.400% | 03/04/44 | 2,000 | 2,210,756 | |||||||||||||
|
| |||||||||||||||
54,314,004 | ||||||||||||||||
|
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.5% |
| |||||||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.500% | 09/01/26 | 3,300 | 3,272,325 | |||||||||||||
MPT Operating Partnership LP/MPT Finance Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.325% | 03/24/25 | EUR | 4,000 | 4,766,913 | ||||||||||||
Welltower, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100% | 01/15/30 | 10,050 | 10,401,485 | |||||||||||||
|
| |||||||||||||||
18,440,723 | ||||||||||||||||
|
| |||||||||||||||
Retail — 0.7% |
| |||||||||||||||
Brinker International, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 10/01/24 | 2,000 | 1,867,132 | |||||||||||||
Dollar Tree, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 05/15/28 | (a) | 8,614 | 10,003,337 | ||||||||||||
eG Global Finance PLC (United Kingdom), |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.375% | 02/07/25 | EUR | 2,800 | 2,895,084 | ||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 10/30/25 | EUR | 5,600 | 6,118,122 | ||||||||||||
L Brands, Inc., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
5.625% | 10/15/23 | (a) | 4,175 | 3,948,605 | ||||||||||||
Macy’s Retail Holdings, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.875% | 01/15/22 | 340 | 304,642 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||
CORPORATE BONDS (continued) |
| |||||||||||
Retail (continued) |
| |||||||||||
Sally Holdings LLC/Sally Capital, Inc., |
| |||||||||||
Gtd. Notes | ||||||||||||
5.625% | 12/01/25 | (a) | 2,500 | $ | 2,427,963 | |||||||
|
| |||||||||||
27,564,885 | ||||||||||||
|
| |||||||||||
Savings & Loans — 0.1% |
| |||||||||||
People’s United Financial, Inc., |
| |||||||||||
Sr. Unsec’d. Notes | ||||||||||||
3.650% | 12/06/22 | 3,475 | 3,614,757 | |||||||||
|
| |||||||||||
Software — 0.0% |
| |||||||||||
Microsoft Corp., | ||||||||||||
Sr. Unsec’d. Notes | ||||||||||||
2.675% | 06/01/60 | 218 | 227,424 | |||||||||
3.950% | 08/08/56 | 1,032 | 1,331,267 | |||||||||
|
| |||||||||||
1,558,691 | ||||||||||||
|
| |||||||||||
Telecommunications — 1.4% |
| |||||||||||
AT&T, Inc., | ||||||||||||
Sr. Unsec’d. Notes | ||||||||||||
3.500% | 06/01/41 | 30,375 | 31,821,403 | |||||||||
3.800% | 02/15/27 | 1,075 | 1,206,832 | |||||||||
4.500% | 03/09/48 | 729 | 848,748 | |||||||||
5.150% | 03/15/42 | 165 | 205,789 | |||||||||
5.350% | 09/01/40 | 456 | 573,239 | |||||||||
CommScope Technologies LLC, |
| |||||||||||
Gtd. Notes, 144A | ||||||||||||
6.000% | 06/15/25 | 2,970 | 2,865,247 | |||||||||
Embarq Corp., | ||||||||||||
Sr. Unsec’d. Notes | ||||||||||||
7.995% | 06/01/36 | 9,000 | 10,112,380 | |||||||||
Level 3 Financing, Inc., |
| |||||||||||
Sr. Sec’d. Notes, 144A | ||||||||||||
3.400% | 03/01/27 | 850 | 899,193 | |||||||||
Sprint Capital Corp., |
| |||||||||||
Gtd. Notes | ||||||||||||
8.750% | 03/15/32 | 1,500 | 2,145,463 | |||||||||
Sprint Corp., | ||||||||||||
Gtd. Notes | ||||||||||||
7.250% | 09/15/21 | 2,779 | 2,911,856 | |||||||||
Verizon Communications, Inc., |
| |||||||||||
Sr. Unsec’d. Notes | ||||||||||||
4.522% | 09/15/48 | 1,620 | 2,142,190 | |||||||||
|
| |||||||||||
55,732,340 | ||||||||||||
|
| |||||||||||
Textiles — 0.0% |
| |||||||||||
Mohawk Industries, Inc., |
| |||||||||||
Sr. Unsec’d. Notes | ||||||||||||
3.850% | 02/01/23 | (a) | 891 | 942,237 | ||||||||
|
| |||||||||||
Transportation — 0.2% |
| |||||||||||
Lima Metro Line 2 Finance Ltd. (Peru), |
| |||||||||||
Sr. Sec’d. Notes | ||||||||||||
5.875% | 07/05/34 | 323 | 380,243 |
SEE NOTES TO FINANCIAL STATEMENTS.
A168
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||
CORPORATE BONDS (continued) |
| |||||||||||
Transportation (continued) |
| |||||||||||
XPO Logistics, Inc., |
| |||||||||||
Gtd. Notes, 144A |
| |||||||||||
6.750% | 08/15/24 | (a) | 5,250 | $ | 5,499,465 | |||||||
|
| |||||||||||
5,879,708 | ||||||||||||
|
| |||||||||||
TOTAL CORPORATE BONDS |
| 1,361,023,760 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 1.9% |
| |||||||||||
Alabama — 0.0% |
| |||||||||||
Alabama Economic Settlement Authority, |
| |||||||||||
Taxable, Revenue Bonds, Series B |
| |||||||||||
4.263% | 09/15/32 | 625 | 743,675 | |||||||||
|
| |||||||||||
Arizona — 0.1% |
| |||||||||||
Salt River Project Agricultural Improvement & Power District, |
| |||||||||||
Revenue Bonds, BABs |
| |||||||||||
4.839% | 01/01/41 | 2,455 | 3,379,651 | |||||||||
|
| |||||||||||
California — 0.6% |
| |||||||||||
Bay Area Toll Authority, |
| |||||||||||
Revenue Bonds, BABs, Series F2 |
| |||||||||||
6.263% | 04/01/49 | 4,890 | 8,434,467 | |||||||||
Los Angeles Department of Water, |
| |||||||||||
Taxable, Revenue Bonds, BABs, Series C |
| |||||||||||
6.008% | 07/01/39 | 4,900 | 6,731,669 | |||||||||
Los Angeles Department of Water & Power, Power System Revenue, |
| |||||||||||
Revenue Bonds, BABs |
| |||||||||||
5.716% | 07/01/39 | 1,475 | 2,216,645 | |||||||||
State of California, |
| |||||||||||
General Obligation Unlimited, Taxable, BABs |
| |||||||||||
7.500% | 04/01/34 | 3,170 | 5,148,428 | |||||||||
|
| |||||||||||
22,531,209 | ||||||||||||
|
| |||||||||||
Illinois — 0.3% | ||||||||||||
Chicago O’Hare International Airport, |
| |||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||
6.395% | 01/01/40 | 2,970 | 4,422,865 | |||||||||
State of Illinois, | ||||||||||||
General Obligation Unlimited, Series D |
| |||||||||||
5.000% | 11/01/22 | 7,055 | 7,398,508 | |||||||||
General Obligation Unlimited, Taxable, Pension |
| |||||||||||
5.100% | 06/01/33 | 1,050 | 1,065,487 | |||||||||
|
| |||||||||||
12,886,860 | ||||||||||||
|
| |||||||||||
Maryland — 0.1% |
| |||||||||||
Maryland State Transportation Authority, |
| |||||||||||
Revenue Bonds, BABs |
| |||||||||||
5.888% | 07/01/43 | 2,200 | 3,215,234 | |||||||||
|
| |||||||||||
Missouri — 0.0% |
| |||||||||||
University of Missouri, |
| |||||||||||
Revenue Bonds, BABs |
| |||||||||||
5.792% | 11/01/41 | 400 | 632,996 | |||||||||
|
| |||||||||||
New Jersey — 0.2% |
| |||||||||||
New Jersey Turnpike Authority, |
| |||||||||||
Taxable, Revenue Bonds, BABs, Series A |
| |||||||||||
7.102% | 01/01/41 | 1,750 | 2,904,248 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
New Jersey (continued) |
| |||||||||||
Taxable, Revenue Bonds, BABs, Series F |
| |||||||||||
7.414% | 01/01/40 | 1,075 | $ | 1,826,618 | ||||||||
Rutgers State University of New Jersey (The), |
| |||||||||||
Taxable, Revenue Bonds, BABs, Series H |
| |||||||||||
5.665% | 05/01/40 | 1,920 | 2,624,448 | |||||||||
|
| |||||||||||
7,355,314 | ||||||||||||
|
| |||||||||||
New York — 0.2% |
| |||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, |
| |||||||||||
Taxable, Revenue Bonds, BABs |
| |||||||||||
5.767% | 08/01/36 | 1,320 | 1,729,121 | |||||||||
New York City Water & Sewer System, |
| |||||||||||
Taxable, Revenue Bonds, BABs |
| |||||||||||
5.882% | 06/15/44 | 2,000 | 3,215,220 | |||||||||
Port Authority of New York & New Jersey, |
| |||||||||||
Revenue Bonds | ||||||||||||
4.458% | 10/01/62 | 1,940 | 2,578,920 | |||||||||
|
| |||||||||||
7,523,261 | ||||||||||||
|
| |||||||||||
North Carolina — 0.1% |
| |||||||||||
North Carolina State Education Assistance Authority, |
| |||||||||||
Taxable, Revenue Bonds, Series 2011-002, Class A3, 3 Month LIBOR + 0.800% |
| |||||||||||
1.791%(c) | 07/25/36 | 5,900 | 5,612,375 | |||||||||
|
| |||||||||||
Ohio — 0.2% | ||||||||||||
Ohio State University (The), |
| |||||||||||
Taxable, Revenue Bonds, Series A |
| |||||||||||
4.800% | 06/01/2111 | 4,165 | 6,311,516 | |||||||||
|
| |||||||||||
Pennsylvania — 0.1% |
| |||||||||||
Pennsylvania Turnpike Commission, |
| |||||||||||
Revenue Bonds, BABs | ||||||||||||
6.105% | 12/01/39 | 500 | 755,140 | |||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||
5.511% | 12/01/45 | 1,280 | 1,975,770 | |||||||||
|
| |||||||||||
2,730,910 | ||||||||||||
|
| |||||||||||
Texas — 0.0% | ||||||||||||
City of San Antonio TX Electric & Gas Systems Revenue, |
| |||||||||||
Taxable, Revenue Bonds | ||||||||||||
4.427% | 02/01/42 | 1,270 | 1,601,991 | |||||||||
|
| |||||||||||
Virginia — 0.0% |
| |||||||||||
University of Virginia, |
| |||||||||||
Taxable, Revenue Bonds, Series C |
| |||||||||||
4.179% | 09/01/2117 | 1,110 | 1,502,207 | |||||||||
|
| |||||||||||
TOTAL MUNICIPAL BONDS |
| 76,027,199 | ||||||||||
|
| |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 5.0% |
| |||||||||||
Banc of America Funding Corp., |
| |||||||||||
Series 2015-R03, Class 1A1, 144A, 1 Month LIBOR + 0.190% (Cap N/A, |
| |||||||||||
Floor 0.000%) 0.375%(c) | 03/27/36 | 2,745 | 2,689,527 | |||||||||
Series 2015-R03, Class 2A1, 144A, 1 Month LIBOR + 0.130% (Cap N/A, |
| |||||||||||
Floor 0.130%) 0.315%(c) | 02/27/37 | 1,646 | 1,588,792 |
SEE NOTES TO FINANCIAL STATEMENTS.
A169
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||
Series 2015-R03, Class 6A1, 144A, 1 Month LIBOR + 0.170% (Cap N/A, Floor 0.170%) |
| |||||||||||
0.355%(c) | 05/27/36 | 764 | $ | 752,177 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2014-R05, Class 1A1, 144A, 6 Month LIBOR + 1.500% (Cap 11.000%, Floor 1.500%) |
| |||||||||||
2.077%(c) | 09/26/45 | 970 | 963,557 | |||||||||
Bellemeade Re Ltd. (Bermuda), |
| |||||||||||
Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) |
| |||||||||||
1.785%(c) | 04/25/28 | 1,078 | 1,066,998 | |||||||||
Series 2019-02A, Class M1B, 144A, 1 Month LIBOR + 1.450% (Cap N/A, Floor 1.450%) |
| |||||||||||
1.635%(c) | 04/25/29 | 575 | 572,960 | |||||||||
Series 2019-03A, Class M1A, 144A, 1 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%) |
| |||||||||||
1.285%(c) | 07/25/29 | 976 | 972,048 | |||||||||
Series 2019-03A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 1.600%) |
| |||||||||||
1.785%(c) | 07/25/29 | 2,700 | 2,615,878 | |||||||||
Series 2019-04A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||
1.585%(c) | 10/25/29 | 1,562 | 1,556,841 | |||||||||
Series 2019-04A, Class M1B, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%) |
| |||||||||||
2.185%(c) | 10/25/29 | 5,600 | 5,386,207 | |||||||||
Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) |
| |||||||||||
2.845%(c) | 06/25/30 | 2,780 | 2,780,486 | |||||||||
Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 3.400% (Cap N/A, Floor 0.000%) |
| |||||||||||
3.595%(c) | 06/25/30 | 720 | 720,000 | |||||||||
BVRT Financing Trust, |
| |||||||||||
Series 2019-01, Class F, 144A |
| |||||||||||
2.327% | 09/15/21^ | 27,592 | 27,376,392 | |||||||||
Central Park Funding Trust, |
| |||||||||||
Series 2019-01, Class A1, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||
1.578%(c) | 04/25/24 | 4,384 | 4,337,960 | |||||||||
CIM Trust, | ||||||||||||
Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 0.000%) |
| |||||||||||
2.173%(c) | 01/25/57 | 2,228 | 2,227,099 | |||||||||
Series 2017-05, Class A3, 144A 4.000%(cc) | 05/25/57 | 6,200 | 6,160,083 | |||||||||
Series 2017-06, Class A1, 144A 3.015%(cc) | 06/25/57 | 6,842 | 6,877,421 | |||||||||
Series 2017-08, Class A1, 144A 3.000%(cc) | 12/25/65 | 5,092 | 5,073,062 | |||||||||
Citigroup Mortgage Loan Trust, |
| |||||||||||
Series 2011-12, Class 3A2, 144A |
| |||||||||||
3.772%(cc) | 09/25/47 | 1,193 | 1,078,864 | |||||||||
Connecticut Avenue Securities Trust, |
| |||||||||||
Series 2019-R03, Class 1M2, 144A, 1 Month LIBOR + 2.150% (Cap N/A, Floor 0.000%) |
| |||||||||||
2.335%(c) | 09/25/31 | 5,205 | 5,139,453 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||
Series 2019-11R, Class 1A1, 144A, 1 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) |
| |||||||||||
1.529%(c) | 09/25/45 | 239 | $ | 236,722 | ||||||||
Series 2020-WL01, Class A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%) |
| |||||||||||
1.585%(c) | 12/26/59^ | 12,992 | 12,957,532 | |||||||||
Eagle Re Ltd. (Bermuda), |
| |||||||||||
Series 2019-01, Class M1B, 144A, 1 Month LIBOR + 1.800% (Cap N/A, Floor 0.000%) |
| |||||||||||
1.985%(c) | 04/25/29 | 620 | 614,490 | |||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 4646, Class HV | ||||||||||||
3.500% | 11/15/36 | 5,802 | 6,113,202 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, |
| |||||||||||
Series 2020-DNA03, Class B1, 144A |
| |||||||||||
—%(p) | 06/25/50 | 565 | 565,000 | |||||||||
Series 2020-DNA03, Class M2, 144A |
| |||||||||||
—%(p) | 06/25/50 | 2,080 | 2,080,000 | |||||||||
GCAT LLC, | ||||||||||||
Series 2019-04, Class A1, 144A |
| |||||||||||
3.228% | 11/26/49 | 11,332 | 11,153,735 | |||||||||
GS Mortgage-Backed Securities Trust, |
| |||||||||||
Series 2019-SL01, Class A1, 144A |
| |||||||||||
2.625%(cc) | 01/25/59 | 15,493 | 15,606,727 | |||||||||
GSMSC Resecuritization Trust, |
| |||||||||||
Series 2015-03R, Class 1A1, 144A, 1 Month LIBOR + 0.140% (Cap N/A, Floor 0.140%) |
| |||||||||||
0.325%(c) | 01/26/37 | 304 | 300,919 | |||||||||
Series 2015-03R, Class 1A2, 144A, 1 Month LIBOR + 0.140% (Cap N/A, Floor 0.140%) |
| |||||||||||
0.325%(c) | 01/26/37 | 2,500 | 2,433,838 | |||||||||
Series 2015-03R, Class 2A1, 144A, 1 Month LIBOR + 0.140% (Cap N/A, Floor 0.140%) |
| |||||||||||
0.325%(c) | 10/26/36 | 2,453 | 2,400,040 | |||||||||
Series 2015-03R, Class 2A2, 144A, 1 Month LIBOR + 0.140% (Cap N/A, Floor 0.140%) |
| |||||||||||
0.325%(c) | 10/26/36 | 2,025 | 1,909,377 | |||||||||
Home Re Ltd. (Bermuda), |
| |||||||||||
Series 2019-01, Class M1, 144A, 1 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%) |
| |||||||||||
1.835%(c) | 05/25/29 | 383 | 377,730 | |||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||
Series 2019-GS06, Class A1, 144A |
| |||||||||||
3.000% | 06/25/59 | 2,046 | 2,044,735 | |||||||||
Series 2019-PR01, Class A1, 144A |
| |||||||||||
3.858% | 09/25/59 | 9,407 | 9,368,052 | |||||||||
LSTAR Securities Investment Trust, |
| |||||||||||
Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 0.000%) |
| |||||||||||
1.673%(c) | 04/01/24 | 1,302 | 1,300,502 | |||||||||
MetLife Securitization Trust, |
| |||||||||||
Series 2018-01A, Class A, 144A |
| |||||||||||
3.750%(cc) | 03/25/57 | 671 | 714,670 |
SEE NOTES TO FINANCIAL STATEMENTS.
A170
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
MRA Issuance Trust, |
| |||||||||||||||
Series 2019-03, Class A, 144A, 1 Month LIBOR + 1.850% |
| |||||||||||||||
2.034%(c) | 07/10/20^ | 30,600 | $ | 30,828,735 | ||||||||||||
Oaktown Re II Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% |
| |||||||||||||||
1.735%(c) | 07/25/28 | 70 | 69,435 | |||||||||||||
Oaktown Re III Ltd. (Bermuda), |
| |||||||||||||||
Series 2019-01A, Class M1A, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 1.400%) |
| |||||||||||||||
1.585%(c) | 07/25/29 | 111 | 111,264 | |||||||||||||
OBX Trust, |
| |||||||||||||||
Series 2018-01, Class A2, 144A, 1 Month LIBOR + 0.650% |
| |||||||||||||||
0.835%(c) | 06/25/57 | 1,396 | 1,377,331 | |||||||||||||
Park Avenue Funding Trust, |
| |||||||||||||||
Series 2020-02, Class PT, 144A, 1 Month LIBOR + 2.000% |
| |||||||||||||||
2.184%(c) | 06/02/22 | 20,860 | 20,860,000 | |||||||||||||
Radnor Re Ltd. (Bermuda), |
| |||||||||||||||
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.400% |
| |||||||||||||||
1.585%(c) | 03/25/28 | 19 | 19,185 | |||||||||||||
Series 2018-01, Class M2, 144A, 1 Month LIBOR + 2.700% |
| |||||||||||||||
2.885%(c) | 03/25/28 | 260 | 244,607 | |||||||||||||
Series 2019-02, Class M1A, 144A, 1 Month LIBOR + 1.200% |
| |||||||||||||||
1.385%(c) | 06/25/29 | 102 | 101,772 | |||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 203,725,405 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 4.2% |
| |||||||||||||||
Argentine Republic Government International Bond (Argentina), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.875% | 01/15/22 | EUR | 3,500 | 1,555,656 | ||||||||||||
4.625% | 01/11/23 | 4,270 | 1,783,237 | |||||||||||||
6.875% | 04/22/21 | 1,100 | 458,154 | |||||||||||||
7.820% | 12/31/33 | EUR | 2,104 | 1,018,160 | ||||||||||||
7.820% | 12/31/33 | EUR | 226 | 109,028 | ||||||||||||
8.280% | 12/31/33 | 932 | 421,139 | |||||||||||||
Brazil Minas SPE via State of Minas Gerais (Brazil), |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
5.333% | 02/15/28 | 2,272 | 2,295,625 | |||||||||||||
Dominican Republic International Bond (Dominican Republic), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.000% | 07/19/28 | 1,985 | 1,999,603 | |||||||||||||
Egypt Government International Bond (Egypt), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.588% | 02/21/28 | 755 | 745,667 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
4.750% | 04/11/25 | EUR | 3,280 | 3,578,445 | ||||||||||||
4.750% | 04/16/26 | EUR | 3,245 | 3,464,573 | ||||||||||||
6.375% | 04/11/31 | EUR | 3,565 | 3,712,975 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Ghana Government International Bond (Ghana), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.375% | 02/11/27 | 3,310 | $ | 3,097,069 | ||||||||||||
Hellenic Republic Government Bond (Greece), |
| |||||||||||||||
Bonds |
| |||||||||||||||
3.650%(cc) | 02/24/23 | EUR | 1,000 | 1,220,251 | ||||||||||||
3.650%(cc) | 02/24/24 | EUR | 1,100 | 1,374,600 | ||||||||||||
3.650%(cc) | 02/24/26 | EUR | 850 | 1,107,346 | ||||||||||||
3.650%(cc) | 02/24/31 | EUR | 1,690 | 2,349,210 | ||||||||||||
3.650%(cc) | 02/24/32 | EUR | 1,295 | 1,828,744 | ||||||||||||
3.650%(cc) | 02/24/35 | EUR | 1,000 | 1,475,497 | ||||||||||||
Hellenic Republic Government International Bond (Greece), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.200% | 07/17/34 | EUR | 745 | 1,178,776 | ||||||||||||
Indonesia Government International Bond (Indonesia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
0.900% | 02/14/27 | EUR | 1,899 | 2,021,516 | ||||||||||||
1.450% | 09/18/26 | EUR | 1,355 | 1,507,119 | ||||||||||||
3.375% | 07/30/25 | EUR | 1,700 | 2,072,296 | ||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
2.875% | 07/08/21 | EUR | 2,645 | 3,035,290 | ||||||||||||
3.750% | 06/14/28 | EUR | 5,755 | 7,370,946 | ||||||||||||
Japan Finance Organization for Municipalities (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
1.750% | 09/05/24 | 3,400 | 3,539,141 | |||||||||||||
2.125% | 04/13/21 | 200 | 202,477 | |||||||||||||
2.625% | 04/20/22 | 3,800 | 3,938,960 | |||||||||||||
Kingdom of Belgium Government International Bond (Belgium), |
| |||||||||||||||
Notes, 144A |
| |||||||||||||||
8.875% | 12/01/24 | 2,000 | 2,666,769 | |||||||||||||
Panama Government International Bond (Panama), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.700% | 01/26/36 | 1,890 | 2,717,628 | |||||||||||||
Portugal Government International Bond (Portugal), |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
5.125% | 10/15/24 | 16,840 | 19,622,281 | |||||||||||||
Province of Quebec (Canada), |
| |||||||||||||||
Unsec’d. Notes, MTN |
| |||||||||||||||
7.140% | 02/27/26 | 3,520 | 4,619,206 | |||||||||||||
Provincia de Buenos Aires (Argentina), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
9.950% | 06/09/21 | 5,210 | 2,121,282 | |||||||||||||
Qatar Government International Bond (Qatar), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.817% | 03/14/49 | 635 | 839,114 | |||||||||||||
Republic of Italy Government International Bond (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.875% | 09/27/23 | 8,285 | 9,607,038 | |||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
6.000% | 08/04/28 | GBP | 6,030 | 9,232,997 | ||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
5.375% | 06/15/33 | 16,870 | 20,888,504 | |||||||||||||
Romanian Government International Bond (Romania), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.375% | 04/19/27 | EUR | 2,020 | 2,311,781 | ||||||||||||
3.875% | 10/29/35 | EUR | 800 | 970,985 | ||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
3.875% | 10/29/35 | EUR | 770 | 934,573 |
SEE NOTES TO FINANCIAL STATEMENTS.
A171
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
4.125% | 03/11/39 | EUR | 2,457 | $ | 3,041,301 | |||||||||||
4.375% | 08/22/23 | 2,000 | 2,125,106 | |||||||||||||
4.625% | 04/03/49 | EUR | 500 | 643,719 | ||||||||||||
Slovenia Government International Bond (Slovenia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 02/18/24 | 3,097 | 3,562,486 | |||||||||||||
Tokyo Metropolitan Government (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.000% | 05/17/21 | 6,000 | 6,075,255 | |||||||||||||
2.500% | 06/08/22 | 800 | 828,692 | |||||||||||||
Ukraine Government International Bond (Ukraine), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.750% | 09/01/20 | 460 | 462,279 | |||||||||||||
7.750% | 09/01/21 | 3,430 | 3,537,327 | |||||||||||||
8.994% | 02/01/24 | 510 | 548,380 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 01/27/30 | EUR | 4,605 | 4,455,670 | ||||||||||||
7.750% | 09/01/20 | 2,150 | 2,160,650 | |||||||||||||
7.750% | 09/01/22 | 1,550 | 1,615,852 | |||||||||||||
8.994% | 02/01/24 | 3,200 | 3,440,819 | |||||||||||||
9.750% | 11/01/28 | 1,600 | 1,828,811 | |||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 169,320,005 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.9% |
| |||||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
2.500% | 09/01/29 | 246 | 262,549 | |||||||||||||
2.500% | 03/01/30 | 1,174 | 1,250,918 | |||||||||||||
3.000% | 05/01/29 | 1,304 | 1,387,166 | |||||||||||||
3.500% | 09/01/42 | 712 | 774,181 | |||||||||||||
4.000% | 11/01/37 | 1,305 | 1,404,938 | |||||||||||||
4.000% | 09/01/40 | 4,643 | 5,071,143 | |||||||||||||
4.000% | 11/01/40 | 2,648 | 2,902,857 | |||||||||||||
4.000% | 12/01/40 | 2,194 | 2,407,228 | |||||||||||||
4.000% | 01/01/44 | 987 | 1,083,286 | |||||||||||||
4.000% | 01/01/44 | 1,005 | 1,102,973 | |||||||||||||
4.000% | 06/01/48 | 828 | 876,409 | |||||||||||||
4.000% | 07/01/48 | 9,745 | 10,321,236 | |||||||||||||
4.500% | 12/01/40 | 1,314 | 1,461,913 | |||||||||||||
4.500% | 07/01/41 | 2,406 | 2,678,886 | |||||||||||||
4.500% | 03/01/42 | 2,094 | 2,329,366 | |||||||||||||
4.500% | 06/01/44 | 1,985 | 2,196,432 | |||||||||||||
6.250% | 07/15/32 | (k) | 3,400 | 5,341,373 | ||||||||||||
6.750% | 09/15/29 | 4,060 | 6,110,149 | |||||||||||||
6.750% | 03/15/31 | (k) | 4,000 | 6,289,785 | ||||||||||||
Federal Home Loan Mortgage Corp., MTN |
| |||||||||||||||
2.559%(s) | 12/14/29 | (k) | 2,400 | 2,140,222 | ||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
2.500% | TBA | 36,000 | 37,446,004 | |||||||||||||
2.500% | 04/01/28 | 77 | 81,509 | |||||||||||||
2.500% | 06/01/28 | 971 | 1,033,938 | |||||||||||||
2.500% | 08/01/28 | 393 | 411,786 | |||||||||||||
2.500% | 09/01/28 | 531 | 557,274 | |||||||||||||
3.000% | TBA | 500 | 525,705 | |||||||||||||
3.000% | 02/01/31 | 1,972 | 2,073,267 | |||||||||||||
3.000% | 01/01/32 | 316 | 332,679 | |||||||||||||
3.000% | 07/01/43 | 239 | 255,079 | |||||||||||||
3.000% | 08/01/43 | 509 | 545,401 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||
3.000% | 11/01/43 | 6,829 | $ | 7,312,053 | ||||||||
3.000% | 12/01/47 | 8,280 | 8,819,469 | |||||||||
3.500% | 04/01/32 | 2,317 | 2,444,116 | |||||||||
3.500% | 05/01/42 | 1,145 | 1,238,146 | |||||||||
3.500% | 05/01/42 | 1,186 | 1,297,069 | |||||||||
3.500% | 05/01/42 | 1,561 | 1,689,130 | |||||||||
3.500% | 07/01/42 | 6,116 | 6,619,366 | |||||||||
3.500% | 09/01/42 | 3,457 | 3,742,265 | |||||||||
3.500% | 09/01/42 | 18,267 | 19,772,834 | |||||||||
3.500% | 02/01/47 | 3,449 | 3,654,521 | |||||||||
4.000% | 09/01/40 | 2,114 | 2,310,839 | |||||||||
4.000% | 12/01/43 | 88 | 95,791 | |||||||||
4.000% | 07/01/47 | 6,863 | 7,450,085 | |||||||||
4.000% | 09/01/47 | 3,255 | 3,464,028 | |||||||||
4.000% | 10/01/47 | 7,399 | 8,179,343 | |||||||||
4.000% | 11/01/47 | 1,972 | 2,179,964 | |||||||||
4.000% | 10/01/48 | 592 | 627,341 | |||||||||
4.000% | 11/01/48 | 1,971 | 2,141,899 | |||||||||
4.500% | 05/01/39 | 2,121 | 2,357,525 | |||||||||
4.500% | 12/01/40 | 3,467 | 3,870,694 | |||||||||
4.500% | 06/01/48 | 5,400 | 5,809,260 | |||||||||
4.500% | 01/01/49 | 2,468 | 2,649,012 | |||||||||
6.250% | 05/15/29 | (k) | 4,310 | 6,243,033 | ||||||||
6.625% | 11/15/30 | (k) | 1,485 | 2,296,944 | ||||||||
7.125% | 01/15/30 | (k) | 1,440 | 2,244,312 | ||||||||
Freddie Mac Strips Coupon |
| |||||||||||
3.221%(s) | 07/15/32 | 1,000 | 806,048 | |||||||||
Government National Mortgage Assoc. |
| |||||||||||
2.500% | TBA | 22,000 | 23,101,719 | |||||||||
3.500% | 09/15/41 | 260 | 277,910 | |||||||||
3.500% | 11/15/41 | 4 | 4,639 | |||||||||
3.500% | 11/15/41 | 112 | 120,019 | |||||||||
3.500% | 01/15/42 | 24 | 25,754 | |||||||||
3.500% | 02/15/42 | 193 | 206,564 | |||||||||
3.500% | 03/15/42 | 11 | 11,339 | |||||||||
3.500% | 03/15/42 | 675 | 721,130 | |||||||||
3.500% | 05/15/42 | 178 | 189,989 | |||||||||
3.500% | 06/15/42 | 105 | 112,114 | |||||||||
3.500% | 07/15/42 | 29 | 30,616 | |||||||||
3.500% | 07/15/42 | 140 | 149,287 | |||||||||
3.500% | 07/15/42 | 274 | 292,541 | |||||||||
3.500% | 07/15/42 | 354 | 378,013 | |||||||||
3.500% | 08/15/42 | 18 | 19,743 | |||||||||
3.500% | 01/15/43 | 120 | 128,640 | |||||||||
3.500% | 02/15/43 | 198 | 209,941 | |||||||||
3.500% | 04/15/43 | 497 | 529,156 | |||||||||
3.500% | 05/15/43 | 10 | 10,871 | |||||||||
3.500% | 05/15/43 | 15 | 16,026 | |||||||||
3.500% | 05/15/43 | 35 | 37,483 | |||||||||
3.500% | 05/15/43 | 64 | 69,758 | |||||||||
3.500% | 05/20/43 | 5,110 | 5,562,768 | |||||||||
3.500% | 07/15/43 | 385 | 422,528 | |||||||||
3.500% | 10/15/43 | 38 | 42,021 | |||||||||
3.500% | 11/15/43 | 18 | 19,263 | |||||||||
3.500% | 12/15/43 | 486 | 533,705 | |||||||||
3.500% | 01/15/44 | 137 | 145,772 | |||||||||
3.500% | 08/20/48 | 12,181 | 12,912,918 | |||||||||
3.500% | 09/20/48 | (k) | 21,356 | 22,646,494 |
SEE NOTES TO FINANCIAL STATEMENTS.
A172
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
4.000% | 01/20/40 | 761 | $ | 839,906 | ||||||||||||
4.000% | 10/20/40 | 713 | 786,440 | |||||||||||||
4.000% | 02/20/41 | 924 | 1,018,132 | |||||||||||||
4.000% | 12/20/46 | 4,123 | 4,437,915 | |||||||||||||
4.000% | 07/20/47 | 470 | 505,767 | |||||||||||||
4.000% | 12/20/47 | 2,397 | 2,567,790 | |||||||||||||
4.000% | 01/20/48 | 16,565 | 17,755,086 | |||||||||||||
4.500% | 05/20/40 | 2,225 | 2,442,966 | |||||||||||||
4.500% | 12/20/40 | 2,144 | 2,353,730 | |||||||||||||
4.500% | 11/20/46 | 681 | 745,047 | |||||||||||||
4.500% | 08/20/48 | 4,754 | 5,086,125 | |||||||||||||
Tennessee Valley Authority Generic Strip, Bonds |
| |||||||||||||||
2.705%(s) | 09/15/30 | 2,730 | 2,311,150 | |||||||||||||
2.897%(s) | 03/15/33 | 600 | 480,520 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 320,230,034 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 14.1% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
2.000% | 02/15/50 | (a) | 6,115 | 6,998,809 | ||||||||||||
2.250% | 08/15/49 | (h)(k) | 5,545 | 6,663,530 | ||||||||||||
2.875% | 05/15/43 | (a) | 3,380 | 4,413,012 | ||||||||||||
3.000% | 11/15/45 | 2,780 | 3,745,616 | |||||||||||||
3.125% | 02/15/43 | (a)(h) | 40,480 | 54,863,050 | ||||||||||||
3.375% | 05/15/44 | (a) | 3,300 | 4,665,891 | ||||||||||||
3.625% | 08/15/43 | (a) | 30,985 | 45,242,941 | ||||||||||||
3.625% | 02/15/44 | (a) | 5,575 | 8,158,664 | ||||||||||||
3.750% | 11/15/43 | (a) | 6,105 | 9,084,049 | ||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
0.375% | 03/31/22 | 5,000 | 5,018,555 | |||||||||||||
1.625% | 09/30/26 | 16,535 | 17,750,581 | |||||||||||||
2.000% | 08/15/25 | 32,280 | 35,046,497 | |||||||||||||
2.125% | 05/15/25 | (a) | 52,000 | 56,610,938 | ||||||||||||
2.250% | 11/15/25 | (a)(k) | 148,695 | 163,808,453 | ||||||||||||
2.250% | 11/15/27 | (k) | 4,600 | 5,178,594 | ||||||||||||
2.625% | 03/31/25 | (k) | 2,225 | 2,471,141 | ||||||||||||
3.125% | 11/15/28 | (a) | 83,745 | 101,200,598 | ||||||||||||
U.S. Treasury Principal Strips |
| |||||||||||||||
2.035%(s) | 11/15/44 | (k) | 8,305 | 5,804,741 | ||||||||||||
U.S. Treasury Strips Coupon |
| |||||||||||||||
1.497%(s) | 08/15/41 | (a) | 40,000 | 29,779,688 | ||||||||||||
2.089%(s) | 11/15/35 | 350 | 295,203 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 566,800,551 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
COMMON STOCK — 0.0% |
| |||||||||||||||
Oil, Gas & Consumable Fuels |
| |||||||||||||||
Frontera Energy Corp. (Colombia) |
| 64,148 | 159,536 | |||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 4,056,971,876 | ||||||||||||||
|
|
Shares | Value | |||||||
SHORT-TERM INVESTMENTS — 12.6% |
| |||||||
AFFILIATED MUTUAL FUNDS — 12.6% |
| |||||||
PGIM Core Ultra Short Bond Fund(w) | 665,003 | $ | 665,003 | |||||
PGIM Institutional Money Market Fund (cost $506,837,017; includes $506,648,288 of cash collateral for securities on loan)(b)(w) | 507,101,279 | 507,101,279 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 507,766,282 | ||||||
|
| |||||||
OPTIONS PURCHASED*~ — 0.0% |
| 1,407,958 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 509,174,240 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 113.3% |
| 4,566,146,116 | ||||||
Liabilities in excess of other assets(z) — (13.3)% |
| (535,682,902 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 4,030,463,214 | |||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
~ | See tables subsequent to the Schedule of Investments for options detail. |
^ | Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $71,636,931 and 1.8% of net assets. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $495,990,010; cash collateral of $506,648,288 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(h) | Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(p) | Interest rate not available as of June 30, 2020. |
(rr) | Perpetual security with no stated maturity date. |
SEE NOTES TO FINANCIAL STATEMENTS.
A173
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded
Description | Call/ Put | Counterparty | Expiration | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 4,657 | $ | 103,927 | |||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 11,320 | 239,172 | ||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 22,471 | 475,732 | ||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 22,780 | 498,862 | ||||||||||||||||
2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 4,528 | 90,265 | ||||||||||||||||
|
| |||||||||||||||||||||||
Total Options Purchased | $ | 1,407,958 | ||||||||||||||||||||||
|
|
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
340 | 10 Year U.S. Ultra Treasury Notes | Sep. 2020 | $ | 53,544,689 | $ | 243,975 | ||||||||||
340 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 60,711,250 | 758,780 | ||||||||||||
1,726 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 376,537,688 | (19,053 | ) | |||||||||||
|
| |||||||||||||||
983,702 | ||||||||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
2,446 | 2 Year U.S. Treasury Notes | Sep. 2020 | 540,145,596 | (234,393 | ) | |||||||||||
110 | 5 Year Euro-Bobl | Sep. 2020 | 16,681,503 | (79,866 | ) | |||||||||||
568 | 5 Year U.S. Treasury Notes | Sep. 2020 | 71,421,564 | (160,456 | ) | |||||||||||
154 | 10 Year Euro-Bund | Sep. 2020 | 30,541,314 | (263,429 | ) | |||||||||||
3,580 | 10 Year U.S. Treasury Notes | Sep. 2020 | 498,235,330 | (1,796,541 | ) | |||||||||||
140 | Euro Schatz Index | Sep. 2020 | 17,638,501 | (10,663 | ) | |||||||||||
|
| |||||||||||||||
(2,545,348 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (1,561,646 | ) | ||||||||||||||
|
|
Forward foreign currency exchange contracts outstanding at June 30, 2020:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||
British Pound, | ||||||||||||||||||||||
Expiring 07/02/20 | Citibank, N.A. | GBP | 12,418 | $ | 15,503,627 | $ | 15,387,077 | $ | — | $ | (116,550 | ) | ||||||||||
Euro, | ||||||||||||||||||||||
Expiring 07/02/20 | Bank of America, N.A. | EUR | 114,484 | 129,155,947 | 128,627,686 | — | (528,261 | ) | ||||||||||||||
Expiring 07/02/20 | Barclays Bank PLC | EUR | 355 | 400,000 | 398,457 | — | (1,543 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
$ | 145,059,574 | $ | 144,413,220 | — | (646,354 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||
British Pound, | ||||||||||||||||||||||
Expiring 07/02/20 | Barclays Bank PLC | GBP | 12,418 | $ | 15,119,296 | $ | 15,387,077 | $ | — | $ | (267,781 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A174
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2020 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | �� | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts (continued): |
| |||||||||||||||||||||||
British Pound (continued), | ||||||||||||||||||||||||
Expiring 08/04/20 | Citibank, N.A. | GBP | 12,418 | $ | 15,506,372 | $ | 15,390,433 | $ | 115,939 | $ | — | |||||||||||||
Expiring 08/04/20 | JPMorgan Chase Bank, N.A. | GBP | 1,403 | 1,734,039 | 1,739,028 | — | (4,989 | ) | ||||||||||||||||
Euro, | ||||||||||||||||||||||||
Expiring 07/02/20 | Citibank, N.A. | EUR | 3,871 | 4,250,000 | 4,348,816 | — | (98,816 | ) | ||||||||||||||||
Expiring 07/02/20 | Citibank, N.A. | EUR | 2,434 | 2,755,543 | 2,735,210 | 20,333 | — | |||||||||||||||||
Expiring 07/02/20 | Citibank, N.A. | EUR | 2,133 | 2,394,944 | 2,396,853 | — | (1,909 | ) | ||||||||||||||||
Expiring 07/02/20 | JPMorgan Chase Bank, N.A. | EUR | 106,400 | 116,141,984 | 119,545,263 | — | (3,403,279 | ) | ||||||||||||||||
Expiring 08/04/20 | Bank of America, N.A. | EUR | 114,484 | 129,249,594 | 128,722,675 | 526,919 | — | |||||||||||||||||
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$ | 287,151,772 | $ | 290,265,355 | 663,191 | (3,776,774 | ) | ||||||||||||||||||
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$ | 663,191 | $ | (4,423,128 | ) | ||||||||||||||||||||
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Credit default swap agreements outstanding at June 30, 2020:
Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||||
OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues—Sell Protection(2)**: | ||||||||||||||||||||||||||||||
Government of Malaysia | 12/20/23 | 1.000%(Q) | 4,500 | 0.503 | % | $ | 78,679 | $ | (3,208 | ) | $ | 81,887 | Barclays Bank PLC | |||||||||||||||||
People’s Republic of China | 12/20/23 | 1.000%(Q) | 15,000 | 0.310 | % | 364,343 | (10,693 | ) | 375,036 | Barclays Bank PLC | ||||||||||||||||||||
Republic of Brazil | 12/20/23 | 1.000%(Q) | 22,500 | 2.089 | % | (820,318 | ) | (16,039 | ) | (804,279 | ) | Barclays Bank PLC | ||||||||||||||||||
Republic of Chile | 12/20/23 | 1.000%(Q) | 4,500 | 0.597 | % | 64,036 | (3,208 | ) | 67,244 | Barclays Bank PLC | ||||||||||||||||||||
Republic of Colombia | 12/20/23 | 1.000%(Q) | 6,000 | 1.184 | % | (36,380 | ) | (4,277 | ) | (32,103 | ) | Barclays Bank PLC | ||||||||||||||||||
Republic of Indonesia | 12/20/23 | 1.000%(Q) | 6,000 | 0.948 | % | 12,238 | (4,277 | ) | 16,515 | Barclays Bank PLC | ||||||||||||||||||||
Republic of Panama | 12/20/23 | 1.000%(Q) | 4,500 | 0.842 | % | 25,737 | (3,208 | ) | 28,945 | Barclays Bank PLC | ||||||||||||||||||||
Republic of Peru | 12/20/23 | 1.000%(Q) | 4,500 | 0.663 | % | 53,673 | (3,208 | ) | 56,881 | Barclays Bank PLC | ||||||||||||||||||||
Republic of Philippines | 12/20/23 | 1.000%(Q) | 4,500 | 0.451 | % | 86,992 | (3,208 | ) | 90,200 | Barclays Bank PLC | ||||||||||||||||||||
Republic of South Africa | 12/20/23 | 1.000%(Q) | 13,500 | 2.666 | % | (744,104 | ) | (9,623 | ) | (734,481 | ) | Barclays Bank PLC | ||||||||||||||||||
Republic of Turkey | 12/20/23 | 1.000%(Q) | 22,500 | 4.654 | % | (2,604,627 | ) | (16,039 | ) | (2,588,588 | ) | Barclays Bank PLC | ||||||||||||||||||
Russian Federation | 12/20/23 | 1.000%(Q) | 13,500 | 0.830 | % | 82,783 | (9,623 | ) | 92,406 | Barclays Bank PLC | ||||||||||||||||||||
United Mexican States | 12/20/23 | 1.000%(Q) | 19,500 | 1.171 | % | (109,875 | ) | (13,901 | ) | (95,974 | ) | Barclays Bank PLC | ||||||||||||||||||
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$ | (3,546,823 | ) | $ | (100,512 | ) | $ | (3,446,311 | ) | ||||||||||||||||||||||
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Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC Packaged Credit Default Swap Agreement on credit indices—Buy Protection(1)**: | ||||||||||||||||||||||||||
CDX.EM.30.V1 | 12/20/23 | 1.000%(Q) | 141,000 | $ | 3,738,978 | $ | (29,292 | ) | $ | 3,768,270 | Barclays Bank PLC | |||||||||||||||
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** | The Portfolio entered into multiple credit default swap agreements in a package trade consisting of two parts. The Portfolio bought protection on an Emerging Market CDX Index and sold protection on the countries which compromise the index. The upfront premium is attached to the index of the trade. Each swap is priced individually. If any of the component swaps are closed out early, the index exposure will be reduced by an amount proportionate to the terminated swap(s). |
SEE NOTES TO FINANCIAL STATEMENTS.
A175
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Credit default swap agreements outstanding at June 30, 2020 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||||
OTC Credit Default Swap Agreement on asset-backed securities—Sell Protection(2)^: |
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Towd Point Mortgage Trust | 07/25/56 | 0.450%(M) | 29,400 | * | $ | (291,799 | ) | $ | — | $ | (291,799 | ) | Citigroup Global Markets, Inc. | |||||||||||||||||
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Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Buy Protection(1): | ||||||||||||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 1,710 | $ | 1,443 | $ | 7,464 | $ | (6,021 | ) | Citibank, N.A. | |||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 1,685 | 1,422 | 18,639 | (17,217 | ) | Citibank, N.A. | ||||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 565 | 477 | 6,999 | (6,522 | ) | Citibank, N.A. | ||||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 565 | 477 | 6,427 | (5,950 | ) | Citibank, N.A. | ||||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 565 | 477 | 2,320 | (1,843 | ) | Citibank, N.A. | ||||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 290 | 245 | 1,265 | (1,020 | ) | Citibank, N.A. | ||||||||||||||||||
United Mexican States | 12/20/24 | 1.000%(Q) | 400 | 7,340 | 3,018 | 4,322 | Citibank, N.A. | |||||||||||||||||||
United Mexican States | 12/20/24 | 1.000%(Q) | 355 | 6,514 | 2,237 | 4,277 | Citibank, N.A. | |||||||||||||||||||
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$ | 18,395 | $ | 48,369 | $ | (29,974 | ) | ||||||||||||||||||||
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Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Sell Protection(2): |
| |||||||||||||||||||||||||||||
Boeing Co. | 12/20/21 | 1.000%(Q) | 13,800 | 2.453 | % | $ | (285,610 | ) | $ | 110,426 | $ | (396,036 | ) | Bank of America, N.A. | ||||||||||||||||
Hellenic Republic | 06/20/23 | 1.000%(Q) | 1,300 | 1.001 | % | 280 | (89,219 | ) | 89,499 | Citibank, N.A. | ||||||||||||||||||||
Hellenic Republic | 06/20/24 | 1.000%(Q) | 7,000 | 1.239 | % | (63,238 | ) | (427,378 | ) | 364,140 | JPMorgan Chase Bank, N.A. | |||||||||||||||||||
Hellenic Republic | 06/20/24 | 1.000%(Q) | 2,000 | 1.239 | % | (18,068 | ) | (328,166 | ) | 310,098 | Barclays Bank PLC | |||||||||||||||||||
Hellenic Republic | 12/20/24 | 1.000%(Q) | 2,000 | 1.364 | % | (31,063 | ) | (358,730 | ) | 327,667 | Citibank, N.A. | |||||||||||||||||||
Hellenic Republic | 12/20/25 | 1.000%(Q) | 970 | 1.552 | % | (27,696 | ) | (142,712 | ) | 115,016 | Bank of America, N.A. | |||||||||||||||||||
Hellenic Republic | 06/20/26 | 1.000%(Q) | 3,000 | 1.626 | % | (105,175 | ) | (399,706 | ) | 294,531 | Citibank, N.A. | |||||||||||||||||||
Kingdom of Saudi Arabia | 06/20/24 | 1.000%(Q) | 1,045 | 0.889 | % | 4,833 | 3,851 | 982 | Morgan Stanley & Co. International PLC | |||||||||||||||||||||
Credit Suisse | ||||||||||||||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 3,955 | 5.232 | % | (454,338 | ) | (79,242 | ) | (375,096 | ) | International | ||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 1,425 | 5.232 | % | (163,699 | ) | (55,272 | ) | (108,427 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 1,405 | 5.232 | % | (161,402 | ) | (65,417 | ) | (95,985 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 470 | 5.232 | % | (53,992 | ) | (22,426 | ) | (31,566 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 470 | 5.232 | % | (53,992 | ) | (22,019 | ) | (31,973 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 470 | 5.232 | % | (53,992 | ) | (18,316 | ) | (35,676 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 240 | 5.232 | % | (27,571 | ) | (9,304 | ) | (18,267 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 12/20/24 | 1.000%(Q) | 400 | 5.566 | % | (70,499 | ) | (34,163 | ) | (36,336 | ) | Citibank, N.A. | ||||||||||||||||||
Petroleos Mexicanos | 12/20/24 | 1.000%(Q) | 355 | 5.566 | % | (62,568 | ) | (29,967 | ) | (32,601 | ) | Citibank, N.A. | ||||||||||||||||||
State of Illinois | 06/20/24 | 1.000%(Q) | 1,610 | 2.854 | % | (103,324 | ) | (16,207 | ) | (87,117 | ) | Citibank, N.A. | ||||||||||||||||||
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$ | (1,731,114 | ) | $ | (1,983,967 | ) | $ | 252,853 | |||||||||||||||||||||||
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SEE NOTES TO FINANCIAL STATEMENTS.
A176
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Credit default swap agreements outstanding at June 30, 2020 (continued):
Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1): |
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CDX.NA.IG.33.V1 | 12/20/29 | 1.000%(Q) | 62,200 | $ | (587,776 | ) | $ | 382,032 | $ | 969,808 | ||||||||||||||
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Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2020(4) | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices—Sell Protection(2): |
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iTraxx Europe Series 33.V1 | 06/20/25 | 1.000%(Q) | EUR | 102,000 | 0.664 | % | $ | 826,119 | $ | 1,942,577 | $ | 1,116,458 | ||||||||||||||||
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Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||
OTC Credit Default Swap Agreement on credit indices—Sell Protection(2)^: |
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CDX.BEIJING 1Y 30%—100% | 12/20/20 | 0.000% | 32,129 | * | $ | (10,050 | ) | $ | (8,818 | ) | $ | (1,232 | ) | Citibank, N.A. | ||||||||||||||
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The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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 or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) 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 or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
* | When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Portfolio is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
SEE NOTES TO FINANCIAL STATEMENTS.
A177
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||
AUD | 12,900 | 02/13/30 | 1.210%(S) | 6 Month BBSW(2)(S) | $ | (57 | ) | $ | 305,688 | $ | 305,745 | |||||||||||||
BRL | 47,377 | 01/02/25 | 5.902%(T) | 1 Day BROIS(2)(T) | — | 263,376 | 263,376 | |||||||||||||||||
BRL | 13,907 | 01/02/25 | 6.640%(T) | 1 Day BROIS(2)(T) | — | 185,303 | 185,303 | |||||||||||||||||
BRL | 15,722 | 01/02/25 | 6.670%(T) | 1 Day BROIS(2)(T) | — | 215,172 | 215,172 | |||||||||||||||||
BRL | 12,873 | 01/04/27 | 6.912%(T) | 1 Day BROIS(2)(T) | — | 139,002 | 139,002 | |||||||||||||||||
CNH | 26,020 | 06/14/24 | 2.900%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | 74 | 87,404 | 87,330 | |||||||||||||||||
CNH | 76,000 | 06/28/24 | 2.901%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | — | 253,663 | 253,663 | |||||||||||||||||
CNH | 56,100 | 09/19/24 | 2.940%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | (44 | ) | 206,720 | 206,764 | ||||||||||||||||
CNH | 50,000 | 10/11/24 | 2.880%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | (119 | ) | 184,583 | 184,702 | ||||||||||||||||
COP | 8,418,000 | 02/18/25 | 4.505%(Q) | 1 Day COOIS(2)(Q) | — | 138,641 | 138,641 | |||||||||||||||||
COP | 5,947,000 | 02/18/30 | 5.072%(Q) | 1 Day COOIS(2)(Q) | — | 90,919 | 90,919 | |||||||||||||||||
COP | 4,161,000 | 02/18/30 | 5.081%(Q) | 1 Day COOIS(2)(Q) | — | 67,440 | 67,440 | |||||||||||||||||
EUR | 7,985 | 05/11/21 | (0.300)%(A) | 1 Day EONIA(1)(A) | (6,797 | ) | (17,759 | ) | (10,962 | ) | ||||||||||||||
EUR | 2,665 | 05/11/22 | (0.250)%(A) | 1 Day EONIA(1)(A) | (1,693 | ) | (16,865 | ) | (15,172 | ) | ||||||||||||||
EUR | 12,145 | 05/11/23 | (0.100)%(A) | 1 Day EONIA(1)(A) | (68,266 | ) | (182,117 | ) | (113,851 | ) | ||||||||||||||
EUR | 1,680 | 05/11/24 | 0.050%(A) | 1 Day EONIA(1)(A) | (17,524 | ) | (44,548 | ) | (27,024 | ) | ||||||||||||||
EUR | 10,015 | 05/11/25 | 0.100%(A) | 1 Day EONIA(1)(A) | (58,876 | ) | (350,474 | ) | (291,598 | ) | ||||||||||||||
EUR | 5,135 | 05/11/26 | 0.250%(A) | 1 Day EONIA(1)(A) | (84,692 | ) | (259,550 | ) | (174,858 | ) | ||||||||||||||
GBP | 1,060 | 05/08/21 | 0.850%(A) | 1 Day SONIA(1)(A) | (7,722 | ) | (9,620 | ) | (1,898 | ) | ||||||||||||||
GBP | 3,270 | 05/08/24 | 0.950%(A) | 1 Day SONIA(1)(A) | (103,656 | ) | (157,414 | ) | (53,758 | ) | ||||||||||||||
GBP | 2,931 | 10/22/28 | 0.680%(A) | 1 Day SONIA(1)(A) | — | (189,020 | ) | (189,020 | ) | |||||||||||||||
GBP | 4,490 | 05/08/29 | 1.100%(A) | 1 Day SONIA(1)(A) | (350,312 | ) | (507,075 | ) | (156,763 | ) | ||||||||||||||
HUF | 213,000 | 02/13/30 | 1.595%(A) | 6 Month BUBOR(2)(S) | — | 23,246 | 23,246 | |||||||||||||||||
HUF | 3,333,000 | 02/14/30 | 1.605%(A) | 6 Month BUBOR(2)(S) | — | 372,038 | 372,038 | |||||||||||||||||
HUF | 936,000 | 02/18/30 | 1.803%(A) | 6 Month BUBOR(2)(S) | — | 160,276 | 160,276 | |||||||||||||||||
JPY | 3,452,700 | 12/17/20 | 0.015%(S) | 6 Month JPY LIBOR(1)(S) | — | (4,320 | ) | (4,320 | ) | |||||||||||||||
NZD | 4,600 | 02/14/30 | 1.522%(S) | 3 Month BBR(2)(Q) | — | 244,798 | 244,798 | |||||||||||||||||
65,880 | 03/16/21 | 0.109%(A) | 1 Day USOIS(1)(A) | — | (3,744 | ) | (3,744 | ) | ||||||||||||||||
16,553 | 06/09/21 | 0.395%(A) | 1 Day USOIS(1)(A) | — | (60,508 | ) | (60,508 | ) | ||||||||||||||||
39,470 | 12/15/21 | 1.554%(S) | 3 Month LIBOR(2)(Q) | — | 779,509 | 779,509 | ||||||||||||||||||
67,640 | 03/10/22 | 0.330%(A) | 1 Day USOIS(1)(A) | — | (415,849 | ) | (415,849 | ) | ||||||||||||||||
7,890 | 05/31/22 | 2.353%(A) | 1 Day USOIS(1)(A) | — | (371,566 | ) | (371,566 | ) | ||||||||||||||||
10,745 | 09/27/22 | 2.360%(A) | 1 Day USOIS(1)(A) | 127 | (689,076 | ) | (689,203 | ) | ||||||||||||||||
6,700 | 02/14/30 | 1.382%(A) | 1 Day USOIS(1)(A) | — | (675,762 | ) | (675,762 | ) | ||||||||||||||||
4,604 | 11/15/45 | 0.508%(A) | 1 Day USOIS(1)(A) | 53,581 | 181,051 | 127,470 | ||||||||||||||||||
1,906 | 11/15/45 | 0.553%(A) | 1 Day USOIS(1)(A) | — | 54,354 | 54,354 | ||||||||||||||||||
7,050 | 11/15/45 | 1.044%(A) | 1 Day USOIS(1)(A) | — | (627,226 | ) | (627,226 | ) | ||||||||||||||||
17,348 | 11/15/45 | 1.253%(A) | 1 Day USOIS(1)(A) | (265,368 | ) | (2,414,366 | ) | (2,148,998 | ) | |||||||||||||||
ZAR | 58,900 | 02/11/30 | 7.481%(Q) | 3 Month JIBAR(2)(Q) | (2,637 | ) | 164,663 | 167,300 | ||||||||||||||||
ZAR | 78,500 | 02/28/30 | 7.500%(Q) | 3 Month JIBAR(2)(Q) | (23,992 | ) | 220,930 | 244,922 | ||||||||||||||||
ZAR | 42,100 | 03/02/30 | 7.625%(Q) | 3 Month JIBAR(2)(Q) | 1,159 | 140,411 | 139,252 | |||||||||||||||||
ZAR | 46,700 | 03/12/30 | 7.840%(Q) | 3 Month JIBAR(2)(Q) | (431 | ) | 196,662 | 197,093 | ||||||||||||||||
ZAR | 31,000 | 03/12/30 | 7.900%(Q) | 3 Month JIBAR(2)(Q) | (298 | ) | 138,758 | 139,056 | ||||||||||||||||
ZAR | 7,400 | 03/27/30 | 9.150%(Q) | 3 Month JIBAR(2)(Q) | (156 | ) | 72,953 | 73,109 | ||||||||||||||||
ZAR | 15,700 | 04/01/30 | 8.600%(Q) | 3 Month JIBAR(2)(Q) | (70 | ) | 122,902 | 122,972 | ||||||||||||||||
ZAR | 36,000 | 04/03/30 | 9.300%(Q) | 3 Month JIBAR(2)(Q) | (754 | ) | 395,605 | 396,359 | ||||||||||||||||
ZAR | 18,200 | 06/12/30 | 7.250%(Q) | 3 Month JIBAR(2)(Q) | (1,120 | ) | 24,549 | 25,669 | ||||||||||||||||
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| |||||||||||||||||||
$ | (939,643 | ) | $ | (1,566,243 | ) | $ | (626,600 | ) | ||||||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
A178
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Total return swap agreements outstanding at June 30, 2020:
Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(2) | |||||||||||||||||||
OTC Total Return Swap Agreement: |
| |||||||||||||||||||||||||
IOS.FN30.450.10 Index(M) | 1 Month LIBOR | (M) | Credit Suisse International | 1/12/41 | 1,789 | $ | 1,484 | $ | (3,454 | ) | $ | 4,938 | ||||||||||||||
|
|
|
|
|
|
(1) | On a long total return swap, the Portfolio receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Portfolio makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate. |
(2) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
Premiums Paid | Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
OTC Swap Agreements | $ | 162,646 | $ | (2,240,320 | ) | $ | 6,092,854 | $ | (5,836,109 | ) | ||||||
|
|
|
|
|
|
|
|
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally
cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||||
Citigroup Global Markets, Inc. | $ | — | $ | 29,641,435 | ||||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | $ | — | $ | 68,992,400 | $ | — | ||||||
Collateralized Loan Obligations | — | 355,748,816 | — | |||||||||
Consumer Loans | — | 30,979,030 | — | |||||||||
Credit Cards | — | 8,177,845 | — | |||||||||
Equipment | — | 7,306,066 | — | |||||||||
Home Equity Loans | — | 11,466,804 | — | |||||||||
Manufactured Housing | — | 6,912,540 | — | |||||||||
Other | — | 14,444,300 | — | |||||||||
Residential Mortgage-Backed Securities | — | 30,416,676 | — | |||||||||
Student Loans | — | 72,653,972 | — | |||||||||
Bank Loans | — | 5,754,799 | 776,121 | |||||||||
Commercial Mortgage-Backed Securities | — | 746,056,017 | — | |||||||||
Corporate Bonds | — | 1,361,023,760 | — | |||||||||
Municipal Bonds | — | 76,027,199 | — | |||||||||
Residential Mortgage-Backed Securities | — | 132,562,746 | 71,162,659 | |||||||||
Sovereign Bonds | — | 169,320,005 | — | |||||||||
U.S. Government Agency Obligations | — | 320,230,034 | — | |||||||||
U.S. Treasury Obligations | — | 566,800,551 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A179
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
Common Stock | $ | 159,536 | $ | — | $ | — | ||||||
Affiliated Mutual Funds | 507,766,282 | — | — | |||||||||
Options Purchased | — | 1,407,958 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 507,925,818 | $ | 3,986,281,518 | $ | 71,938,780 | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 1,002,755 | $ | — | $ | — | ||||||
OTC Forward Foreign Currency Exchange Contracts | — | 663,191 | — | |||||||||
OTC Packaged Credit Default Swap Agreements | — | 4,507,459 | — | |||||||||
Centrally Cleared Credit Default Swap Agreements | — | 2,086,266 | — | |||||||||
OTC Credit Default Swap Agreements | — | 23,508 | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | 5,405,480 | — | |||||||||
OTC Total Return Swap Agreement | — | 1,484 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,002,755 | $ | 12,687,388 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (2,564,401 | ) | $ | — | $ | — | |||||
OTC Forward Foreign Currency Exchange Contracts | — | (4,423,128 | ) | — | ||||||||
OTC Packaged Credit Default Swap Agreements | — | (4,315,304 | ) | — | ||||||||
OTC Credit Default Swap Agreements | — | (1,736,227 | ) | (301,849 | ) | |||||||
Centrally Cleared Interest Rate Swap Agreements | — | (6,032,080 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (2,564,401 | ) | $ | (16,506,739 | ) | $ | (301,849 | ) | |||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:
Bank Loans | Residential Mortgage- Backed Securities | OTC Credit Default Swap Agreements | ||||||||||
Balance as of 12/31/19 | $ | 1,639,684 | $ | 47,410,623 | $ | 2,647 | ||||||
Realized gain (loss) | 678 | — | — | |||||||||
Change in unrealized appreciation (depreciation) | (36,447 | ) | 8,595 | (301,430 | ) | |||||||
Purchases/Exchanges/Issuances | — | 22,563,304 | — | |||||||||
Sales/Paydowns | (174,125 | ) | (29,390,686 | ) | — | |||||||
Accrued discount/premium | 526 | — | — | |||||||||
Transfers into Level 3 | — | 30,570,823 | (3,066 | ) | ||||||||
Transfers out of Level 3 | (654,195 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Balance as of 06/30/20 | $ | 776,121 | $ | 71,162,659 | $ | (301,849 | ) | |||||
|
|
|
|
|
| |||||||
Change in unrealized appreciation (depreciation) relating to securities still held at reporting period end | $ | (36,447 | ) | $ | 8,595 | $ | (301,430 | ) | ||||
|
|
|
|
|
|
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board, which contain unobservable inputs as follows:
Level 3 Securities | Fair Value as of June 30, 2020 | Valuation Methodology | Unobservable Inputs | |||||
Bank Loans | $ | 776,121 | Market Approach | Single Broker Indicative Quote | ||||
Residential Mortgage-Backed Securities | 71,162,659 | Market Approach | Single Broker Indicative Quote | |||||
OTC Credit Default Swap Agreements | (301,849 | ) | Market Approach | Single Broker Indicative Quote | ||||
|
| |||||||
$ | 71,636,931 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A180
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Investments in Securities | Amount Transferred | Level Transfer | Logic | |||||||
Bank Loans | $ | 654,195 | L3 to L2 | Single Broker Indicative Quote to Multiple Broker Quotes | ||||||
Residential Mortgage-Backed Securities | $ | 30,570,823 | L2 to L3 | Evaluated Bid to Single Broker Indicative Quote | ||||||
OTC Credit Default Swap Agreements | $ | 3,066 | L2 to L3 | Vendor Pricing to Single Broker Indicative Quote |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
Commercial Mortgage-Backed Securities | 18.5 | % | ||
U.S. Treasury Obligations | 14.1 | |||
Affiliated Mutual Funds (12.6% represents investments purchased with collateral from securities on loan) | 12.6 | |||
Banks | 11.1 | |||
Collateralized Loan Obligations | 8.8 | |||
U.S. Government Agency Obligations | 7.9 | |||
Residential Mortgage-Backed Securities | 5.7 | |||
Sovereign Bonds | 4.2 | |||
Pharmaceuticals | 2.7 | |||
Electric | 2.6 | |||
Oil & Gas | 2.2 | |||
Municipal Bonds | 1.9 | |||
Healthcare-Services | 1.8 | |||
Student Loans | 1.8 | |||
Automobiles | 1.7 | |||
Media | 1.6 | |||
Telecommunications | 1.4 | |||
Pipelines | 1.4 | |||
Auto Manufacturers | 1.0 | |||
Retail | 0.8 | |||
Consumer Loans | 0.8 | |||
Insurance | 0.7 | |||
Commercial Services | 0.7 | |||
Chemicals | 0.6 | |||
Foods | 0.5 | |||
Real Estate Investment Trusts (REITs) | 0.5 | |||
Airlines | 0.4 | |||
Diversified Financial Services | 0.4 | |||
Other | 0.4 | |||
Aerospace & Defense | 0.3 | |||
Computers | 0.3 | |||
Home Equity Loans | 0.3 |
Healthcare-Products | 0.3 | % | ||
Mining | 0.2 | |||
Electrical Components & Equipment | 0.2 | |||
Lodging | 0.2 | |||
Multi-National | 0.2 | |||
Building Materials | 0.2 | |||
Beverages | 0.2 | |||
Credit Cards | 0.2 | |||
Gas | 0.2 | |||
Equipment | 0.2 | |||
Manufactured Housing | 0.2 | |||
Auto Parts & Equipment | 0.2 | |||
Transportation | 0.2 | |||
Forest Products & Paper | 0.1 | |||
Agriculture | 0.1 | |||
Oil & Gas Services | 0.1 | |||
Home Builders | 0.1 | |||
Savings & Loans | 0.1 | |||
Entertainment | 0.1 | |||
Engineering & Construction | 0.1 | |||
Household Products/Wares | 0.1 | |||
Machinery-Diversified | 0.1 | |||
Software | 0.0 | * | ||
Options Purchased | 0.0 | * | ||
Packaging & Containers | 0.0 | * | ||
Textiles | 0.0 | * | ||
Oil, Gas & Consumable Fuels | 0.0 | * | ||
|
| |||
113.3 | ||||
Liabilities in excess of other assets | (13.3 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk, and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
SEE NOTES TO FINANCIAL STATEMENTS.
A181
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Credit contracts | Due from/to broker —variation margin swaps | $ | 2,086,266 | * | — | $ | — | |||||
Credit contracts | Premiums paid for OTC swap agreements | 162,646 | Premiums received for OTC swap agreements | 2,236,866 | ||||||||
Credit contracts | Unrealized appreciation on OTC swap agreements | 6,087,916 | Unrealized depreciation on OTC swap agreements | 5,836,109 | ||||||||
Foreign exchange contracts | Unrealized appreciation on OTC forward foreign currency exchange contracts | 663,191 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 4,423,128 | ||||||||
Interest rate contracts | Due from/to broker-variation margin futures | 1,002,755 | Due from/to broker-variation margin futures | 2,564,401 | * | |||||||
Interest rate contracts | Due from/to broker-variation margin swaps | 5,405,480 | * | Due from/to broker-variation margin swaps | 6,032,080 | * | ||||||
Interest rate contracts | — | — | Premiums received for OTC swap agreements | 3,454 | ||||||||
Interest rate contracts | Unaffiliated investments | 1,407,958 | — | — | ||||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 4,938 | — | — | ||||||||
|
|
|
| |||||||||
$ | 16,821,150 | $ | 21,096,038 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Options Written | Futures | Forward Currency Exchange Contracts | Swaps | ||||||||||||
Credit contracts | $ | (12,601,840 | ) | $ | — | $ | — | $ | (4,039,082 | ) | ||||||
Foreign exchange contracts | — | — | 4,299,189 | — | ||||||||||||
Interest rate contracts | — | 87,192,378 | — | (65,475,858 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (12,601,840 | ) | $ | 87,192,378 | $ | 4,299,189 | $ | (69,514,940 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(1) | Futures | Forward Currency Exchange Contracts | Swaps | ||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | 588,562 | ||||||||
Foreign exchange contracts | — | — | (1,126,688 | ) | — | |||||||||||
Interest rate contracts | 741,932 | 10,569,772 | — | 25,931,467 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 741,932 | $ | 10,569,772 | $ | (1,126,688 | ) | $ | 26,520,029 | |||||||
|
|
|
|
|
|
|
|
(1) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A182
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— Long Positions(2) | Futures Contracts— Short Positions(2) | Forward Foreign Currency Exchange Contracts— Purchased(3) | ||||||||
$26,602 | $37,700,000 | $879,013,066 | $933,246,695 | $116,001,276 |
Forward Foreign | Interest Rate | Credit Default | ||||||
$264,372,162 | $932,957,192 | $223,868,333 |
Credit Default | Total Return | |||||
$374,052,325 | $1,902,304 |
(1) | Cost. |
(2) | Notional Amount in USD. |
(3) | Value at Settlement Date. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||
Securities on Loan | $ | 495,990,010 | $ | (495,990,010 | ) | $ | — | |||||
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts of Recognized Liabilities(1) | Net Amounts of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||||||||
Bank of America, N.A. | $ | 1,966,127 | $ | (1,067,009 | ) | $ | 899,118 | $ | (853,136 | ) | $ | 45,982 | ||||||||
Barclays Bank PLC | 5,081,674 | (4,982,719 | ) | 98,955 | — | 98,955 | ||||||||||||||
Citibank, N.A. | 904,937 | (1,864,592 | ) | (959,655 | ) | 959,655 | — | |||||||||||||
Citigroup Global Markets, Inc. | — | (291,799 | ) | (291,799 | ) | 291,799 | — | |||||||||||||
Credit Suisse International | 4,938 | (457,792 | ) | (452,854 | ) | 452,854 | — | |||||||||||||
JPMorgan Chase Bank, N.A. | 364,140 | (3,835,646 | ) | (3,471,506 | ) | 3,434,875 | (36,631 | ) | ||||||||||||
Morgan Stanley & Co. International PLC | 4,833 | — | 4,833 | — | 4,833 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 8,326,649 | $ | (12,499,557 | ) | $ | (4,172,908 | ) | $ | 4,286,047 | $ | 113,139 | |||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A183
AST PRUDENTIAL CORE BOND PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $495,990,010: | ||||
Unaffiliated investments (cost $3,942,044,101) | $ | 4,058,379,834 | ||
Affiliated investments (cost $507,502,020) | 507,766,282 | |||
Cash segregated for counterparty — OTC | 990,000 | |||
Foreign currency, at value (cost $760,087) | 758,255 | |||
Receivable for investments sold | 123,872,875 | |||
Dividends and interest receivable | 25,325,145 | |||
Receivable for Portfolio shares sold | 10,876,092 | |||
Unrealized appreciation on OTC swap agreements | 6,092,854 | |||
Unrealized appreciation on OTC forward foreign currency exchange contracts | 663,191 | |||
Due from broker-variation margin swaps | 331,256 | |||
Premiums paid for OTC swap agreements | 162,646 | |||
Tax reclaim receivable | 8,899 | |||
Prepaid expenses and other assets | 38,394 | |||
|
| |||
Total Assets | 4,735,265,723 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 506,648,288 | |||
Payable for investments purchased | 176,191,163 | |||
Payable for Portfolio shares repurchased | 6,855,514 | |||
Unrealized depreciation on OTC swap agreements | 5,836,109 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 4,423,128 | |||
Premiums received for OTC swap agreements | 2,240,320 | |||
Due to broker-variation margin futures | 1,418,012 | |||
Management fee payable | 627,906 | |||
Accrued expenses and other liabilities | 388,554 | |||
Distribution fee payable | 164,238 | |||
Payable to affiliate | 8,899 | |||
Affiliated transfer agent fee payable | 378 | |||
|
| |||
Total Liabilities | 704,802,509 | |||
|
| |||
NET ASSETS | $ | 4,030,463,214 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 4,030,463,214 | ||
|
| |||
Net asset value and redemption price per share, $4,030,463,214 / 293,471,047 outstanding shares of beneficial interest | $ | 13.73 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income (net of $112 foreign withholding tax) | $ | 61,142,149 | ||
Affiliated dividend income | 555,222 | |||
Income from securities lending, net (including affiliated income of $348,972) | 361,884 | |||
Unaffiliated dividend income (net of $2,618 foreign withholding tax) | 16,980 | |||
|
| |||
Total income | 62,076,235 | |||
|
| |||
EXPENSES | ||||
Management fee | 9,128,905 | |||
Distribution fee | 4,917,368 | |||
Custodian and accounting fees | 171,699 | |||
Trustees’ fees | 31,144 | |||
Audit fee | 26,008 | |||
Legal fees and expenses | 12,928 | |||
Shareholders’ reports | 7,545 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,460 | |||
Miscellaneous | 31,639 | |||
|
| |||
Total expenses | 14,330,696 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 47,745,539 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(66,402)) | (36,607,133 | ) | ||
Futures transactions | 87,192,378 | |||
Forward currency contract transactions | 4,299,189 | |||
Options written transactions | (12,601,840 | ) | ||
Swap agreements transactions | (69,514,940 | ) | ||
Foreign currency transactions | (573,347 | ) | ||
|
| |||
(27,805,693 | ) | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $251,982) | 17,176,126 | |||
Futures | 10,569,772 | |||
Forward currency contracts | (1,126,688 | ) | ||
Swap agreements | 26,520,029 | |||
Foreign currencies | (401,864 | ) | ||
|
| |||
52,737,375 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 24,931,682 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 72,677,221 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 47,745,539 | $ | 99,167,662 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (27,805,693 | ) | 134,107,779 | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 52,737,375 | 62,171,623 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 72,677,221 | 295,447,064 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [82,607,436 and 136,548,826 shares, respectively] | 1,095,875,450 | 1,785,134,024 | ||||||
Portfolio shares repurchased [110,098,721 and 42,329,591 shares, respectively] | (1,436,154,471 | ) | (549,784,708 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (340,279,021 | ) | 1,235,349,316 | |||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 155 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (267,601,800 | ) | 1,530,796,535 | |||||
NET ASSETS: | ||||||||
Beginning of period | 4,298,065,014 | 2,767,268,479 | ||||||
|
|
|
| |||||
End of period | $ | 4,030,463,214 | $ | 4,298,065,014 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A184
AST QMA US EQUITY ALPHA PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
LONG-TERM INVESTMENTS — 124.0% | ||||||||
COMMON STOCKS | Shares | Value | ||||||
Aerospace & Defense — 2.9% |
| |||||||
General Dynamics Corp.(u) | 17,700 | $ | 2,645,442 | |||||
Huntington Ingalls Industries, Inc.(u) | 13,500 | 2,355,615 | ||||||
Lockheed Martin Corp.(u) | 8,100 | 2,955,852 | ||||||
Northrop Grumman Corp.(u) | 9,800 | 3,012,912 | ||||||
Raytheon Technologies Corp. | 24,804 | 1,528,422 | ||||||
Vectrus, Inc.* | 10,700 | 525,691 | ||||||
|
| |||||||
13,023,934 | ||||||||
|
| |||||||
Airlines — 0.4% |
| |||||||
Mesa Air Group, Inc.* | 54,000 | 185,760 | ||||||
SkyWest, Inc. | 45,500 | 1,484,210 | ||||||
|
| |||||||
1,669,970 | ||||||||
|
| |||||||
Auto Components — 0.5% |
| |||||||
Adient PLC*(u) | 126,700 | 2,080,414 | ||||||
|
| |||||||
Automobiles — 0.6% |
| |||||||
General Motors Co.(u) | 108,500 | 2,745,050 | ||||||
|
| |||||||
Banks — 3.4% |
| |||||||
Associated Banc-Corp. | 127,800 | 1,748,304 | ||||||
Bancorp, Inc. (The)* | 74,200 | 727,160 | ||||||
Bank of NT Butterfield & Son Ltd. (The) | 17,800 | 434,142 | ||||||
BankUnited, Inc.(u) | 103,100 | 2,087,775 | ||||||
Citigroup, Inc.(u) | 68,540 | 3,502,394 | ||||||
Customers Bancorp, Inc.* | 56,600 | 680,332 | ||||||
FNB Corp. | 48,000 | 360,000 | ||||||
Midland States Bancorp, Inc. | 8,800 | 131,560 | ||||||
OFG Bancorp (Puerto Rico) | 37,800 | 505,386 | ||||||
PacWest Bancorp(u) | 110,100 | 2,170,071 | ||||||
Popular, Inc. (Puerto Rico) | 21,600 | 802,872 | ||||||
Simmons First National Corp. | 77,800 | 1,331,158 | ||||||
TriState Capital Holdings, Inc.* | 29,900 | 469,729 | ||||||
Wells Fargo & Co. | 14,400 | 368,640 | ||||||
|
| |||||||
15,319,523 | ||||||||
|
| |||||||
Beverages — 1.4% |
| |||||||
Coca-Cola Co. (The) | 32,100 | 1,434,228 | ||||||
Keurig Dr. Pepper, Inc.(u) | 68,600 | 1,948,240 | ||||||
Monster Beverage Corp.*(u) | 37,200 | 2,578,704 | ||||||
PepsiCo, Inc. | 3,400 | 449,684 | ||||||
|
| |||||||
6,410,856 | ||||||||
|
| |||||||
Biotechnology — 6.7% |
| |||||||
AbbVie, Inc.(u) | 41,839 | 4,107,753 | ||||||
Alexion Pharmaceuticals, Inc.*(u) | 21,300 | 2,390,712 | ||||||
Amgen, Inc.(u) | 19,300 | 4,552,098 | ||||||
Biogen, Inc.*(u) | 10,900 | 2,916,295 | ||||||
Eagle Pharmaceuticals, Inc.* | 6,700 | 321,466 | ||||||
Exelixis, Inc.* | 84,200 | 1,998,908 | ||||||
Gilead Sciences, Inc.(u) | 50,200 | 3,862,388 | ||||||
Neurocrine Biosciences, Inc.*(u) | 20,700 | 2,525,400 | ||||||
Regeneron Pharmaceuticals, Inc.*(u) | 5,300 | 3,305,345 | ||||||
Vanda Pharmaceuticals, Inc.* | 73,500 | 840,840 | ||||||
Vertex Pharmaceuticals, Inc.*(u) | 12,500 | 3,628,875 | ||||||
|
| |||||||
30,450,080 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Building Products — 1.3% |
| |||||||
American Woodmark Corp.* | 11,600 | $ | 877,540 | |||||
Johnson Controls International PLC | 8,400 | 286,776 | ||||||
Masco Corp. | 49,800 | 2,500,458 | ||||||
UFP Industries, Inc.(u) | 46,300 | 2,292,313 | ||||||
|
| |||||||
5,957,087 | ||||||||
|
| |||||||
Capital Markets — 2.8% |
| |||||||
Affiliated Managers Group, Inc. | 10,800 | 805,248 | ||||||
Ameriprise Financial, Inc.(u) | 18,400 | 2,760,736 | ||||||
Evercore, Inc. (Class A Stock)(u) | 32,000 | 1,885,440 | ||||||
Federated Hermes, Inc. | 62,100 | 1,471,770 | ||||||
LPL Financial Holdings, Inc.(u) | 31,300 | 2,453,920 | ||||||
SEI Investments Co. | 19,200 | 1,055,616 | ||||||
Stifel Financial Corp. | 34,800 | 1,650,564 | ||||||
Virtus Investment Partners, Inc. | 7,100 | 825,659 | ||||||
|
| |||||||
12,908,953 | ||||||||
|
| |||||||
Chemicals — 2.7% |
| |||||||
Corteva, Inc.(u) | 96,700 | 2,590,593 | ||||||
Eastman Chemical Co. | 13,200 | 919,248 | ||||||
Huntsman Corp. | 86,600 | 1,556,202 | ||||||
Linde PLC (United Kingdom) | 5,400 | 1,145,394 | ||||||
LyondellBasell Industries NV | 36,700 | 2,411,924 | ||||||
Minerals Technologies, Inc. | 6,100 | 286,273 | ||||||
Orion Engineered Carbons SA | 25,800 | 273,222 | ||||||
PolyOne Corp. | 10,000 | 262,300 | ||||||
PPG Industries, Inc. | 15,500 | 1,643,930 | ||||||
Stepan Co. | 10,100 | 980,710 | ||||||
|
| |||||||
12,069,796 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% |
| |||||||
ACCO Brands Corp. | 35,400 | 251,340 | ||||||
Deluxe Corp. | 6,400 | 150,656 | ||||||
HNI Corp. | 23,500 | 718,395 | ||||||
Interface, Inc. | 62,200 | 506,308 | ||||||
SP Plus Corp.* | 13,300 | 275,443 | ||||||
|
| |||||||
1,902,142 | ||||||||
|
| |||||||
Communications Equipment — 1.6% |
| |||||||
Calix, Inc.* | 87,100 | 1,297,790 | ||||||
Ciena Corp.* | 23,800 | 1,289,008 | ||||||
Cisco Systems, Inc.(u) | 100,800 | 4,701,312 | ||||||
NetScout Systems, Inc.* | 6,300 | 161,028 | ||||||
|
| |||||||
7,449,138 | ||||||||
|
| |||||||
Construction & Engineering — 0.3% |
| |||||||
EMCOR Group, Inc. | 21,200 | 1,402,168 | ||||||
|
| |||||||
Consumer Finance — 0.2% |
| |||||||
Discover Financial Services | 6,900 | 345,621 | ||||||
OneMain Holdings, Inc. | 31,200 | 765,648 | ||||||
|
| |||||||
1,111,269 | ||||||||
|
| |||||||
Distributors — 0.4% |
| |||||||
LKQ Corp.*(u) | 78,000 | 2,043,600 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A185
AST QMA US EQUITY ALPHA PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Diversified Financial Services — 0.6% |
| |||||||
Berkshire Hathaway, Inc. | 15,500 | $ | 2,766,905 | |||||
|
| |||||||
Diversified Telecommunication Services — 2.4% |
| |||||||
AT&T, Inc.(u) | 164,800 | 4,981,904 | ||||||
CenturyLink, Inc. | 15,800 | 158,474 | ||||||
Verizon Communications, Inc.(u) | 103,400 | 5,700,442 | ||||||
|
| |||||||
10,840,820 | ||||||||
|
| |||||||
Electric Utilities — 1.2% | ||||||||
Exelon Corp.(u) | 60,500 | 2,195,545 | ||||||
NRG Energy, Inc.(u) | 63,400 | 2,064,304 | ||||||
PG&E Corp.* | 24,900 | 220,863 | ||||||
PPL Corp. | 39,900 | 1,031,016 | ||||||
|
| |||||||
5,511,728 | ||||||||
|
| |||||||
Electrical Equipment — 1.2% | ||||||||
Acuity Brands, Inc. | 24,200 | 2,316,908 | ||||||
Atkore International Group, Inc.*(u) | 78,900 | 2,157,915 | ||||||
AZZ, Inc. | 8,600 | 295,152 | ||||||
Encore Wire Corp. | 5,300 | 258,746 | ||||||
nVent Electric PLC | 24,500 | 458,885 | ||||||
|
| |||||||
5,487,606 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.7% |
| |||||||
Jabil, Inc. | 46,000 | 1,475,680 | ||||||
Methode Electronics, Inc. | 22,300 | 697,098 | ||||||
PC Connection, Inc. | 12,400 | 574,864 | ||||||
ScanSource, Inc.* | 14,300 | 344,487 | ||||||
|
| |||||||
3,092,129 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.1% |
| |||||||
TechnipFMC PLC (United Kingdom) | 94,600 | 647,064 | ||||||
|
| |||||||
Entertainment — 3.4% | ||||||||
Activision Blizzard, Inc.(u) | 40,500 | 3,073,950 | ||||||
Electronic Arts, Inc.*(u) | 20,800 | 2,746,640 | ||||||
Lions Gate Entertainment Corp. | 151,800 | 1,036,794 | ||||||
Netflix, Inc.*(u) | 7,600 | 3,458,304 | ||||||
Spotify Technology SA*(u) | 14,100 | 3,640,479 | ||||||
Zynga, Inc. (Class A Stock)* | 149,500 | 1,426,230 | ||||||
|
| |||||||
15,382,397 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 3.0% |
| |||||||
American Tower Corp. | 3,300 | 853,182 | ||||||
Apple Hospitality REIT, Inc. | 68,600 | 662,676 | ||||||
Brixmor Property Group, Inc. | 30,300 | 388,446 | ||||||
CatchMark Timber Trust, Inc. | 27,400 | 242,490 | ||||||
Columbia Property Trust, Inc. | 110,600 | 1,453,284 | ||||||
CoreCivic, Inc. | 122,000 | 1,141,920 | ||||||
Equinix, Inc. | 1,200 | 842,760 | ||||||
Franklin Street Properties Corp. | 37,200 | 189,348 | ||||||
Gaming & Leisure Properties, Inc.(u) | 71,100 | 2,460,060 | ||||||
GEO Group, Inc. (The) | 81,250 | 961,188 | ||||||
Retail Properties of America, Inc. | 81,200 | 594,384 | ||||||
Service Properties Trust | 67,700 | 479,993 | ||||||
SITE Centers Corp. | 204,900 | 1,659,690 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (continued) |
| |||||||
Spirit Realty Capital, Inc. | 8,200 | $ | 285,852 | |||||
WP Carey, Inc. | 3,400 | 230,010 | ||||||
Xenia Hotels & Resorts, Inc. | 109,600 | 1,022,568 | ||||||
|
| |||||||
13,467,851 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.2% |
| |||||||
Kroger Co. (The)(u) | 78,700 | 2,663,995 | ||||||
Walgreens Boots Alliance, Inc.(u) | 66,000 | 2,797,740 | ||||||
Walmart, Inc.(u) | 37,700 | 4,515,706 | ||||||
|
| |||||||
9,977,441 | ||||||||
|
| |||||||
Food Products — 1.2% | ||||||||
Archer-Daniels-Midland Co. | 4,900 | 195,510 | ||||||
Bunge Ltd. | 45,200 | 1,859,076 | ||||||
Kraft Heinz Co. (The) | 28,700 | 915,243 | ||||||
Pilgrim’s Pride Corp.*(u) | 134,800 | 2,276,772 | ||||||
|
| |||||||
5,246,601 | ||||||||
|
| |||||||
Gas Utilities — 0.4% | ||||||||
UGI Corp.(u) | 62,500 | 1,987,500 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 5.2% |
| |||||||
Abbott Laboratories | 28,800 | 2,633,184 | ||||||
AngioDynamics, Inc.* | 65,200 | 663,084 | ||||||
Baxter International, Inc.(u) | 27,800 | 2,393,580 | ||||||
Edwards Lifesciences Corp.*(u) | 42,300 | 2,923,353 | ||||||
Lantheus Holdings, Inc.* | 27,400 | 391,820 | ||||||
Medtronic PLC(u) | 34,000 | 3,117,800 | ||||||
Meridian Bioscience, Inc.* | 57,600 | 1,341,504 | ||||||
Natus Medical, Inc.* | 41,100 | 896,802 | ||||||
Quidel Corp.*(u) | 12,700 | 2,841,498 | ||||||
ResMed, Inc. | 8,200 | 1,574,400 | ||||||
STERIS PLC | 11,100 | 1,703,184 | ||||||
Teleflex, Inc. | 1,300 | 473,174 | ||||||
West Pharmaceutical Services, Inc. | 11,400 | 2,589,738 | ||||||
|
| |||||||
23,543,121 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.7% |
| |||||||
Anthem, Inc.(u) | 12,500 | 3,287,250 | ||||||
Cigna Corp.(u) | 17,600 | 3,302,640 | ||||||
CVS Health Corp.(u) | 48,600 | 3,157,542 | ||||||
DaVita, Inc.*(u) | 24,400 | 1,931,016 | ||||||
Humana, Inc.(u) | 7,200 | 2,791,800 | ||||||
UnitedHealth Group, Inc.(u) | 19,700 | 5,810,515 | ||||||
Universal Health Services, Inc. | 10,400 | 966,056 | ||||||
|
| |||||||
21,246,819 | ||||||||
|
| |||||||
Health Care Technology — 0.7% |
| |||||||
NextGen Healthcare, Inc.* | 24,600 | 270,108 | ||||||
Veeva Systems, Inc. | 12,200 | 2,859,924 | ||||||
|
| |||||||
3,130,032 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.1% |
| |||||||
Brinker International, Inc. | 29,600 | 710,400 | ||||||
Domino’s Pizza, Inc. | 1,700 | 628,048 | ||||||
Extended Stay America, Inc., UTS | 59,600 | 666,924 | ||||||
Las Vegas Sands Corp. | 8,200 | 373,428 |
SEE NOTES TO FINANCIAL STATEMENTS.
A186
AST QMA US EQUITY ALPHA PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Hotels, Restaurants & Leisure (continued) |
| |||||||
McDonald’s Corp.(u) | 12,300 | $ | 2,268,981 | |||||
Wyndham Hotels & Resorts, Inc. | 5,400 | 230,148 | ||||||
|
| |||||||
4,877,929 | ||||||||
|
| |||||||
Household Durables — 0.6% | ||||||||
Cavco Industries, Inc.*(u) | 12,300 | 2,372,055 | ||||||
M/I Homes, Inc.* | 8,000 | 275,520 | ||||||
|
| |||||||
2,647,575 | ||||||||
|
| |||||||
Household Products — 2.0% | ||||||||
Colgate-Palmolive Co. | 18,900 | 1,384,614 | ||||||
Kimberly-Clark Corp.(u) | 15,000 | 2,120,250 | ||||||
Procter & Gamble Co. (The)(u) | 48,700 | 5,823,059 | ||||||
|
| |||||||
9,327,923 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.4% |
| |||||||
Vistra Energy Corp.(u) | 97,100 | 1,808,002 | ||||||
|
| |||||||
Industrial Conglomerates — 0.3% | ||||||||
3M Co. | 5,600 | 873,544 | ||||||
Honeywell International, Inc. | 4,500 | 650,655 | ||||||
|
| |||||||
1,524,199 | ||||||||
|
| |||||||
Insurance — 1.9% | ||||||||
Aflac, Inc. | 17,900 | 644,937 | ||||||
Allstate Corp. (The) | 17,700 | 1,716,723 | ||||||
American Financial Group, Inc. | 6,500 | 412,490 | ||||||
Athene Holding Ltd. (Class A Stock)* | 23,300 | 726,727 | ||||||
Lincoln National Corp.(u) | 35,500 | 1,306,045 | ||||||
MetLife, Inc.(u) | 70,000 | 2,556,400 | ||||||
Old Republic International Corp. | 48,000 | 782,880 | ||||||
Universal Insurance Holdings, Inc. | 22,500 | 399,375 | ||||||
|
| |||||||
8,545,577 | ||||||||
|
| |||||||
Interactive Media & Services — 5.1% |
| |||||||
Alphabet, Inc. (Class A Stock)*(u) | 4,100 | 5,814,005 | ||||||
Alphabet, Inc. (Class C Stock)*(u) | 4,037 | 5,706,744 | ||||||
Cars.com, Inc.* | 129,100 | 743,616 | ||||||
Facebook, Inc. (Class A Stock)*(u) | 46,400 | 10,536,048 | ||||||
Liberty TripAdvisor Holdings, Inc. | 84,100 | 179,133 | ||||||
QuinStreet, Inc.* | 30,100 | 314,846 | ||||||
|
| |||||||
23,294,392 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 5.1% |
| |||||||
Amazon.com, Inc.*(u) | 4,600 | 12,690,572 | ||||||
Booking Holdings, Inc.*(u) | 1,900 | 3,025,446 | ||||||
eBay, Inc.(u) | 59,500 | 3,120,775 | ||||||
PetMed Express, Inc. | 16,300 | 580,932 | ||||||
Qurate Retail, Inc. (Class A Stock)* | 132,200 | 1,255,900 | ||||||
Stamps.com, Inc.*(u) | 13,400 | 2,461,446 | ||||||
|
| |||||||
23,135,071 | ||||||||
|
| |||||||
IT Services — 6.4% | ||||||||
Accenture PLC (Class A Stock)(u) | 18,800 | 4,036,736 | ||||||
Amdocs Ltd.(u) | 39,200 | 2,386,496 | ||||||
Automatic Data Processing, Inc.(u) | 15,800 | 2,352,462 | ||||||
CACI International, Inc. (Class A Stock)* | 10,800 | 2,342,304 |
COMMON STOCKS (continued) | Shares | Value | ||||||
IT Services (continued) | ||||||||
Cognizant Technology Solutions Corp. (Class A Stock)(u) | 49,100 | $ | 2,789,862 | |||||
EPAM Systems, Inc.* | 800 | 201,608 | ||||||
Hackett Group, Inc. (The) | 42,200 | 571,388 | ||||||
International Business Machines Corp. | 2,200 | 265,694 | ||||||
KBR, Inc. | 36,900 | 832,095 | ||||||
Leidos Holdings, Inc.(u) | 26,400 | 2,472,888 | ||||||
PayPal Holdings, Inc.* | 10,800 | 1,881,684 | ||||||
Perspecta, Inc.(u) | 96,200 | 2,234,726 | ||||||
Science Applications International Corp. | 16,800 | 1,305,024 | ||||||
TTEC Holdings, Inc. | 6,300 | 293,328 | ||||||
Visa, Inc. (Class A Stock)(u) | 26,700 | 5,157,639 | ||||||
|
| |||||||
29,123,934 | ||||||||
|
| |||||||
Leisure Products — 1.0% | ||||||||
Brunswick Corp.(u) | 42,800 | 2,739,628 | ||||||
Malibu Boats, Inc. (Class A Stock)*(u) | 37,200 | 1,932,540 | ||||||
|
| |||||||
4,672,168 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.7% |
| |||||||
Bio-Techne Corp. | 7,200 | 1,901,304 | ||||||
Charles River Laboratories International, Inc.* | 1,800 | 313,830 | ||||||
Illumina, Inc.* | 3,600 | 1,333,260 | ||||||
IQVIA Holdings, Inc.*(u) | 19,900 | 2,823,412 | ||||||
PRA Health Sciences, Inc.* | 14,000 | 1,362,060 | ||||||
|
| |||||||
7,733,866 | ||||||||
|
| |||||||
Machinery — 1.5% | ||||||||
Allison Transmission Holdings, Inc. | 26,700 | 982,026 | ||||||
Altra Industrial Motion Corp.(u) | 70,200 | 2,236,572 | ||||||
Gates Industrial Corp. PLC* | 108,900 | 1,119,492 | ||||||
Oshkosh Corp. | 23,500 | 1,683,070 | ||||||
Shyft Group, Inc. (The) | 16,200 | 272,808 | ||||||
Standex International Corp. | 6,000 | 345,300 | ||||||
|
| |||||||
6,639,268 | ||||||||
|
| |||||||
Marine — 0.1% | ||||||||
Costamare, Inc. (Monaco) | 97,700 | 543,212 | ||||||
|
| |||||||
Media — 1.2% | ||||||||
Discovery, Inc. (Class C Stock)* | 33,300 | 641,358 | ||||||
Meredith Corp. | 118,000 | 1,716,900 | ||||||
Nexstar Media Group, Inc. (Class A Stock) | 4,800 | 401,712 | ||||||
ViacomCBS, Inc. (Class B Stock)(u) | 123,972 | 2,891,027 | ||||||
|
| |||||||
5,650,997 | ||||||||
|
| |||||||
Metals & Mining — 0.7% | ||||||||
Newmont Corp. | 3,700 | 228,438 | ||||||
Royal Gold, Inc. | 8,100 | 1,006,992 | ||||||
Steel Dynamics, Inc.(u) | 79,100 | 2,063,719 | ||||||
|
| |||||||
3,299,149 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 1.2% |
| |||||||
Annaly Capital Management, Inc. | 175,200 | 1,149,312 | ||||||
Colony Credit Real Estate, Inc. | 174,800 | 1,227,096 | ||||||
Ready Capital Corp. | 58,300 | 506,627 |
SEE NOTES TO FINANCIAL STATEMENTS.
A187
AST QMA US EQUITY ALPHA PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Mortgage Real Estate Investment Trusts (REITs) (continued) |
| |||||||
Starwood Property Trust, Inc.(u) | 125,900 | $ | 1,883,464 | |||||
TPG RE Finance Trust, Inc. | 89,700 | 771,420 | ||||||
|
| |||||||
5,537,919 | ||||||||
|
| |||||||
Multiline Retail — 0.7% | ||||||||
Dollar General Corp.(u) | 16,200 | 3,086,262 | ||||||
|
| |||||||
Multi-Utilities — 1.2% | ||||||||
MDU Resources Group, Inc. | 71,200 | 1,579,216 | ||||||
Public Service Enterprise Group, Inc.(u) | 49,200 | 2,418,672 | ||||||
Sempra Energy | 12,700 | 1,488,821 | ||||||
|
| |||||||
5,486,709 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels —1.9% | ||||||||
Cheniere Energy, Inc.*(u) | 48,300 | 2,333,856 | ||||||
Diamondback Energy, Inc.(u) | 67,100 | 2,806,122 | ||||||
Kinder Morgan, Inc.(u) | 150,500 | 2,283,085 | ||||||
ONEOK, Inc. | 6,200 | 205,964 | ||||||
Phillips 66 | 4,500 | 323,550 | ||||||
World Fuel Services Corp. | 31,900 | 821,744 | ||||||
|
| |||||||
8,774,321 | ||||||||
|
| |||||||
Personal Products — 0.2% | ||||||||
Coty, Inc. (Class A Stock) | 230,200 | 1,028,994 | ||||||
|
| |||||||
Pharmaceuticals — 4.8% | ||||||||
Amneal Pharmaceuticals, Inc.* | 110,200 | 524,552 | ||||||
Bristol-Myers Squibb Co.(u) | 77,100 | 4,533,480 | ||||||
Eli Lilly & Co.(u) | 27,400 | 4,498,532 | ||||||
Horizon Therapeutics PLC* | 9,500 | 528,010 | ||||||
Jazz Pharmaceuticals PLC* | 2,700 | 297,918 | ||||||
Johnson & Johnson(u) | 43,100 | 6,061,153 | ||||||
Merck & Co., Inc.(u) | 56,900 | 4,400,077 | ||||||
Supernus Pharmaceuticals, Inc.* | 48,800 | 1,159,000 | ||||||
|
| |||||||
22,002,722 | ||||||||
|
| |||||||
Professional Services — 0.3% | ||||||||
Barrett Business Services, Inc. | 12,900 | 685,377 | ||||||
Kforce, Inc. | 21,500 | 628,875 | ||||||
|
| |||||||
1,314,252 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
Newmark Group, Inc. (Class A Stock) | 59,492 | 289,131 | ||||||
|
| |||||||
Road & Rail — 0.7% | ||||||||
Kansas City Southern | 9,500 | 1,418,255 | ||||||
Schneider National, Inc. (Class B Stock)(u) | 81,000 | 1,998,270 | ||||||
|
| |||||||
3,416,525 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.7% |
| |||||||
Applied Materials, Inc.(u) | 49,000 | 2,962,050 | ||||||
FormFactor, Inc.*(u) | 79,300 | 2,325,869 | ||||||
Intel Corp.(u) | 102,880 | 6,155,310 | ||||||
NeoPhotonics Corp.* | 59,800 | 531,024 | ||||||
NVIDIA Corp.(u) | 15,200 | 5,774,632 | ||||||
Photronics, Inc.* | 92,400 | 1,028,412 | ||||||
QUALCOMM, Inc.(u) | 43,100 | 3,931,151 | ||||||
Semtech Corp.*(u) | 43,600 | 2,276,792 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||
Skyworks Solutions, Inc. | 4,100 | $ | 524,226 | |||||
Ultra Clean Holdings, Inc.* | 17,400 | 393,762 | ||||||
|
| |||||||
25,903,228 | ||||||||
|
| |||||||
Software — 16.1% | ||||||||
ACI Worldwide, Inc.* | 11,800 | 318,482 | ||||||
Adobe, Inc.*(u) | 12,700 | 5,528,437 | ||||||
Autodesk, Inc.*(u) | 12,100 | 2,894,199 | ||||||
CDK Global, Inc.(u) | 53,100 | 2,199,402 | ||||||
ChannelAdvisor Corp.* | 59,500 | 942,480 | ||||||
CommVault Systems, Inc.* | 39,200 | 1,517,040 | ||||||
Cornerstone OnDemand, Inc.*(u) | 54,300 | 2,093,808 | ||||||
Ebix, Inc.(u) | 99,900 | 2,233,764 | ||||||
eGain Corp.* | 15,300 | 169,983 | ||||||
Fortinet, Inc.*(u) | 18,800 | 2,580,676 | ||||||
Intuit, Inc.(u) | 11,700 | 3,465,423 | ||||||
J2 Global, Inc.* | 23,700 | 1,498,077 | ||||||
Manhattan Associates, Inc.*(u) | 22,400 | 2,110,080 | ||||||
Microsoft Corp.(u) | 127,100 | 25,866,121 | ||||||
MicroStrategy, Inc. (Class A Stock)* | 8,800 | 1,040,952 | ||||||
NortonLifeLock, Inc. | 98,600 | 1,955,238 | ||||||
OneSpan, Inc.* | 67,000 | 1,871,310 | ||||||
Oracle Corp.(u) | 59,900 | 3,310,673 | ||||||
Paycom Software, Inc.*(u) | 8,600 | 2,663,678 | ||||||
Progress Software Corp. | 14,900 | 577,375 | ||||||
QAD, Inc. (Class A Stock) | 4,100 | 169,248 | ||||||
SPS Commerce, Inc.*(u) | 20,900 | 1,570,008 | ||||||
SS&C Technologies Holdings, Inc. | 23,000 | 1,299,040 | ||||||
Synopsys, Inc.*(u) | 15,500 | 3,022,500 | ||||||
Telenav, Inc.* | 26,300 | 144,387 | ||||||
Teradata Corp.* | 9,900 | 205,920 | ||||||
Xperi Holding Corp. | 142,700 | 2,106,252 | ||||||
|
| |||||||
73,354,553 | ||||||||
|
| |||||||
Specialty Retail — 2.1% | ||||||||
Asbury Automotive Group, Inc.*(u) | 26,400 | 2,041,512 | ||||||
Best Buy Co., Inc. | 11,300 | 986,151 | ||||||
Home Depot, Inc. (The)(u) | 8,300 | 2,079,233 | ||||||
Lowe’s Cos., Inc.(u) | 29,400 | 3,972,528 | ||||||
Zumiez, Inc.* | 24,000 | 657,120 | ||||||
|
| |||||||
9,736,544 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 5.1% |
| |||||||
Apple, Inc.(u) | 63,800 | 23,274,240 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.2% | ||||||||
MGIC Investment Corp. | 110,300 | 903,357 | ||||||
|
| |||||||
Tobacco — 0.6% | ||||||||
Altria Group, Inc.(u) | 66,200 | 2,598,350 | ||||||
|
| |||||||
Trading Companies & Distributors — 1.4% |
| |||||||
BMC Stock Holdings, Inc.*(u) | 82,900 | 2,084,106 | ||||||
Foundation Building Materials, Inc.* | 25,900 | 404,299 | ||||||
GMS, Inc.*(u) | 94,200 | 2,316,378 | ||||||
Univar Solutions, Inc.* | 55,800 | 940,788 |
SEE NOTES TO FINANCIAL STATEMENTS.
A188
AST QMA US EQUITY ALPHA PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||||
Trading Companies & Distributors (continued) |
| |||||||||
Veritiv Corp.* | 24,100 | $ | 408,736 | |||||||
|
| |||||||||
6,154,307 | ||||||||||
|
| |||||||||
TOTAL LONG-TERM INVESTMENTS |
| |||||||||
(cost $501,944,300) | 564,556,670 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 5.2% |
| |||||||||
AFFILIATED MUTUAL FUND — 4.4% |
| |||||||||
PGIM Core Ultra Short Bond Fund (cost $19,910,833)(w) | 19,910,833 | 19,910,833 | ||||||||
|
| |||||||||
Interest Rate | Maturity Date | Principal Amount (000)# | ||||||||
U.S. TREASURY OBLIGATIONS(k)(n) — 0.8% |
| |||||||||
U.S. Treasury Bills | ||||||||||
0.048% 02/25/21 | 1,800 | 1,798,191 | ||||||||
0.159% 09/17/20 | 2,000 | 1,999,393 | ||||||||
|
| |||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| |||||||||
(cost $3,798,745) | 3,797,584 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS |
| |||||||||
(cost $23,709,578) | 23,708,417 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT — 129.2% |
| |||||||||
(cost $525,653,878) | 588,265,087 | |||||||||
|
| |||||||||
Shares | ||||||||||
SECURITIES SOLD SHORT — (29.5)% |
| |||||||||
COMMON STOCKS |
| |||||||||
Aerospace & Defense — (0.9)% |
| |||||||||
AeroVironment, Inc.* | 8,000 | (637,040 | ) | |||||||
Kratos Defense & Security Solutions, Inc.* | 72,800 | (1,137,864 | ) | |||||||
Spirit AeroSystems Holdings, Inc. (Class A Stock) | 66,000 | (1,580,040 | ) | |||||||
TransDigm Group, Inc. | 2,100 | (928,305 | ) | |||||||
|
| |||||||||
(4,283,249 | ) | |||||||||
|
| |||||||||
Banks — (0.3)% |
| |||||||||
Cullen/Frost Bankers, Inc. | 20,400 | (1,524,084 | ) | |||||||
|
| |||||||||
Beverages — (0.0)% |
| |||||||||
Boston Beer Co., Inc. (The) | 300 | (160,995 | ) | |||||||
|
| |||||||||
Biotechnology — (3.3)% |
| |||||||||
Alector, Inc.* | 33,800 | (826,072 | ) | |||||||
Beam Therapeutics, Inc.* | 11,500 | (322,000 | ) | |||||||
Biohaven Pharmaceutical Holding | 40,200 | (2,939,022 | ) | |||||||
Bioxcel Therapeutics, Inc.* | 12,200 | (646,722 | ) | |||||||
Epizyme, Inc.* | 58,900 | (945,934 | ) | |||||||
Global Blood Therapeutics, Inc.* | 37,500 | (2,367,375 | ) | |||||||
Mirati Therapeutics, Inc.* | 1,800 | (205,506 | ) | |||||||
REGENXBIO, Inc.* | 9,300 | (342,519 | ) | |||||||
REVOLUTION Medicines, Inc.* | 15,700 | (495,649 | ) | |||||||
Sarepta Therapeutics, Inc.* | 18,500 | (2,966,290 | ) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Biotechnology (continued) | ||||||||
TG Therapeutics, Inc.* | 37,400 | $ | (728,552 | ) | ||||
Turning Point Therapeutics, Inc.* | 9,800 | (632,982 | ) | |||||
Twist Bioscience Corp.* | 30,100 | (1,363,530 | ) | |||||
Y-mAbs Therapeutics, Inc.* | 6,500 | (280,800 | ) | |||||
|
| |||||||
(15,062,953 | ) | |||||||
|
| |||||||
Building Products — (0.7)% | ||||||||
Lennox International, Inc. | 12,900 | (3,005,571 | ) | |||||
|
| |||||||
Capital Markets — (0.3)% | ||||||||
Hamilton Lane, Inc. (Class A Stock) | 21,300 | (1,434,981 | ) | |||||
|
| |||||||
Chemicals — (0.5)% | ||||||||
Olin Corp. | 15,800 | (181,542 | ) | |||||
Quaker Chemical Corp. | 12,500 | (2,320,625 | ) | |||||
|
| |||||||
(2,502,167 | ) | |||||||
|
| |||||||
Commercial Services & Supplies — (0.5)% |
| |||||||
Stericycle, Inc.* | 39,500 | (2,211,210 | ) | |||||
|
| |||||||
Construction & Engineering — (0.1)% | ||||||||
NV5 Global, Inc.* | 7,700 | (391,391 | ) | |||||
|
| |||||||
Diversified Telecommunication Services — (0.3)% |
| |||||||
Bandwidth, Inc. (Class A Stock)* | 11,800 | (1,498,600 | ) | |||||
|
| |||||||
Electrical Equipment — (0.4)% | ||||||||
Sunrun, Inc.* | 61,000 | (1,202,920 | ) | |||||
Vivint Solar, Inc.* | 82,700 | (818,730 | ) | |||||
|
| |||||||
(2,021,650 | ) | |||||||
|
| |||||||
Electronic Equipment, Instruments & Components — (0.9)% |
| |||||||
II-VI, Inc.* | 62,700 | (2,960,694 | ) | |||||
Napco Security Technologies, Inc.* | 13,200 | (308,748 | ) | |||||
nLight, Inc.* | 30,600 | (681,156 | ) | |||||
|
| |||||||
(3,950,598 | ) | |||||||
|
| |||||||
Entertainment — (0.7)% | ||||||||
Roku, Inc.* | 28,800 | (3,356,064 | ) | |||||
Food & Staples Retailing — (0.3)% | ||||||||
Chefs’ Warehouse, Inc. (The)* | 24,200 | (328,636 | ) | |||||
Grocery Outlet Holding Corp.* | 23,400 | (954,720 | ) | |||||
|
| |||||||
(1,283,356 | ) | |||||||
|
| |||||||
Food Products — (0.4)% | ||||||||
Cal-Maine Foods, Inc.* | 4,700 | (209,056 | ) | |||||
Hostess Brands, Inc.* | 79,600 | (972,712 | ) | |||||
Simply Good Foods Co. (The)* | 32,500 | (603,850 | ) | |||||
|
| |||||||
(1,785,618 | ) | |||||||
|
| |||||||
Health Care Equipment & Supplies — (2.5)% |
| |||||||
Cerus Corp.* | 96,200 | (634,920 | ) | |||||
Glaukos Corp.* | 29,400 | (1,129,548 | ) | |||||
iRhythm Technologies, Inc.* | 20,100 | (2,329,389 | ) | |||||
OrthoPediatrics Corp.* | 13,000 | (568,880 | ) | |||||
Penumbra, Inc.* | 17,400 | (3,111,468 | ) | |||||
Shockwave Medical, Inc.* | 22,400 | (1,061,088 | ) | |||||
Silk Road Medical, Inc.* | 10,000 | (418,900 | ) | |||||
Tactile Systems Technology, Inc.* | 12,900 | (534,447 | ) | |||||
Tandem Diabetes Care, Inc.* | 14,300 | (1,414,556 | ) | |||||
|
| |||||||
(11,203,196 | ) | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A189
AST QMA US EQUITY ALPHA PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Health Care Providers & Services — (1.9)% |
| |||||||
BioTelemetry, Inc.* | 4,900 | $ | (221,431 | ) | ||||
Covetrus, Inc.* | 13,300 | (237,937 | ) | |||||
Guardant Health, Inc.* | 51,800 | (4,202,534 | ) | |||||
Hanger, Inc.* | 22,400 | (370,944 | ) | |||||
HealthEquity, Inc.* | 47,300 | (2,775,091 | ) | |||||
Option Care Health, Inc.* | 13,100 | (181,828 | ) | |||||
PetIQ, Inc.* | 7,500 | (261,300 | ) | |||||
US Physical Therapy, Inc. | 7,600 | (615,752 | ) | |||||
|
| |||||||
(8,866,817 | ) | |||||||
|
| |||||||
Health Care Technology — (0.4)% | ||||||||
Inspire Medical Systems, Inc.* | 17,800 | (1,548,956 | ) | |||||
Vocera Communications, Inc.* | 16,500 | (349,800 | ) | |||||
|
| |||||||
(1,898,756 | ) | |||||||
|
| |||||||
Hotels, Restaurants & Leisure — (0.3)% | ||||||||
Shake Shack, Inc. (Class A Stock)* | 20,800 | (1,101,984 | ) | |||||
Wynn Resorts Ltd. | 3,700 | (275,613 | ) | |||||
|
| |||||||
(1,377,597 | ) | |||||||
|
| |||||||
Household Durables — (0.1)% | ||||||||
Sonos, Inc.* | 23,400 | (342,342 | ) | |||||
|
| |||||||
Household Products — (0.1)% | ||||||||
WD-40 Co. | 1,600 | (317,280 | ) | |||||
|
| |||||||
Independent Power & Renewable Electricity Producers — (0.2)% | ||||||||
Sunnova Energy International, Inc.* | 50,400 | (860,328 | ) | |||||
|
| |||||||
Insurance — (0.4)% | ||||||||
Kinsale Capital Group, Inc. | 10,000 | (1,552,100 | ) | |||||
Palomar Holdings, Inc.* | 3,600 | (308,736 | ) | |||||
|
| |||||||
(1,860,836 | ) | |||||||
|
| |||||||
Interactive Media & Services — (0.1)% | ||||||||
Cargurus, Inc.* | 19,700 | (499,395 | ) | |||||
|
| |||||||
IT Services — (1.7)% | ||||||||
LiveRamp Holdings, Inc.* | 8,000 | (339,760 | ) | |||||
MongoDB, Inc.* | 22,200 | (5,024,748 | ) | |||||
Okta, Inc.* | 7,200 | (1,441,656 | ) | |||||
Repay Holdings Corp.* | 31,100 | (765,993 | ) | |||||
|
| |||||||
(7,572,157 | ) | |||||||
Leisure Products — (0.2)% | ||||||||
Callaway Golf Co. | 48,900 | (856,239 | ) | |||||
|
| |||||||
Life Sciences Tools & Services — (0.8)% | ||||||||
Codexis, Inc.* | 46,900 | (534,660 | ) | |||||
NanoString Technologies, Inc.* | 25,100 | (736,685 | ) | |||||
NeoGenomics, Inc.* | 54,200 | (1,679,116 | ) | |||||
Quanterix Corp.* | 18,700 | (512,193 | ) | |||||
|
| |||||||
(3,462,654 | ) | |||||||
|
| |||||||
Machinery — (0.2)% | ||||||||
John Bean Technologies Corp. | 5,400 | (464,508 | ) | |||||
Lindsay Corp. | 3,000 | (276,630 | ) | |||||
|
| |||||||
(741,138 | ) | |||||||
|
| |||||||
Media — (0.7)% | ||||||||
Cardlytics, Inc.* | 18,400 | (1,287,632 | ) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Media (continued) | ||||||||
New York Times Co. (The) (Class A Stock) | 40,800 | $ | (1,714,824 | ) | ||||
|
| |||||||
(3,002,456 | ) | |||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — (0.4)% |
| |||||||
Blackstone Mortgage Trust, Inc. | 71,300 | (1,717,617 | ) | |||||
|
| |||||||
Pharmaceuticals — (0.3)% | ||||||||
Theravance Biopharma, Inc.* | 31,200 | (654,888 | ) | |||||
Zogenix, Inc.* | 29,800 | (804,898 | ) | |||||
|
| |||||||
(1,459,786 | ) | |||||||
|
| |||||||
Professional Services — (0.4)% | ||||||||
Forrester Research, Inc.* | 6,000 | (192,240 | ) | |||||
TrueBlue, Inc.* | 23,900 | (364,953 | ) | |||||
Upwork, Inc.* | 80,700 | (1,165,308 | ) | |||||
|
| |||||||
(1,722,501 | ) | |||||||
|
| |||||||
Real Estate Management & Development — (0.6)% |
| |||||||
Redfin Corp.* | 64,100 | (2,686,431 | ) | |||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (1.0)% |
| |||||||
Cohu, Inc. | 10,600 | (183,804 | ) | |||||
Cree, Inc.* | 66,000 | (3,906,540 | ) | |||||
Impinj, Inc.* | 15,700 | (431,279 | ) | |||||
|
| |||||||
(4,521,623 | ) | |||||||
|
| |||||||
Software — (5.9)% | ||||||||
8x8, Inc.* | 61,300 | (980,800 | ) | |||||
Alteryx, Inc. (Class A Stock)* | 28,900 | (4,747,692 | ) | |||||
Anaplan, Inc.* | 38,400 | (1,739,904 | ) | |||||
Benefitfocus, Inc.* | 20,600 | (221,656 | ) | |||||
Domo, Inc. (Class B Stock)* | 7,600 | (244,492 | ) | |||||
Elastic NV* | 13,600 | (1,254,056 | ) | |||||
Everbridge, Inc.* | 21,200 | (2,933,232 | ) | |||||
Medallia, Inc.* | 67,300 | (1,698,652 | ) | |||||
Pluralsight, Inc. (Class A Stock)* | 14,800 | (267,140 | ) | |||||
PROS Holdings, Inc.* | 26,000 | (1,155,180 | ) | |||||
Q2 Holdings, Inc.* | 30,600 | (2,625,174 | ) | |||||
Smartsheet, Inc. (Class A Stock)* | 65,300 | (3,325,076 | ) | |||||
Splunk, Inc.* | 9,800 | (1,947,260 | ) | |||||
Varonis Systems, Inc.* | 21,700 | (1,920,016 | ) | |||||
Yext, Inc.* | 72,600 | (1,205,886 | ) | |||||
Zuora, Inc. (Class A Stock)* | 58,500 | (745,875 | ) | |||||
|
| |||||||
(27,012,091 | ) | |||||||
|
| |||||||
Specialty Retail — (0.4)% | ||||||||
Five Below, Inc.* | 8,800 | (940,808 | ) | |||||
Monro, Inc. | 19,900 | (1,093,306 | ) | |||||
|
| |||||||
(2,034,114 | ) | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — (0.3)% |
| |||||||
Pure Storage, Inc. (Class A Stock)* | 71,000 | (1,230,430 | ) | |||||
|
| |||||||
Trading Companies & Distributors — (0.4)% |
| |||||||
SiteOne Landscape Supply, Inc.* | 14,100 | (1,606,977 | ) | |||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A190
AST QMA US EQUITY ALPHA PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Water Utilities — (0.6)% | ||||||||
Essential Utilities, Inc | 65,900 | $ | (2,783,616 | ) | ||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT |
| (134,108,864 | ) | |||||
|
| |||||||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT — 99.7% |
| 454,156,223 | ||||||
Other assets in excess of liabilities(z) — 0.3% |
| 1,213,609 | ||||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 455,369,832 | |||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal amount is shown in U.S. dollars unless otherwise stated. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(n) | Rate shown reflects yield to maturity at purchased date. |
(u) | Represents security, or a portion thereof, segregated as collateral for short sales. |
(w) | PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
141 | S&P 500 E-Mini Index | Sep. 2020 | $ | 21,785,910 | $ | 120,913 | ||||||||||
15 | S&P Mid Cap 400 E-Mini Index | Sep. 2020 | 2,668,650 | 26,162 | ||||||||||||
|
| |||||||||||||||
$ | 147,075 | |||||||||||||||
|
|
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||
Goldman Sachs & Co. LLC | $ | — | $ | 3,797,584 | ||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—unadjusted | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3—unobservable | inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 13,023,934 | $ | — | $ | — | ||||||
Airlines. | 1,669,970 | — | — | |||||||||
Auto Components | 2,080,414 | — | — | |||||||||
Automobiles | 2,745,050 | — | — | |||||||||
Banks. | 15,319,523 | — | — | |||||||||
Beverages. | 6,410,856 | — | — | |||||||||
Biotechnology | 30,450,080 | — | — | |||||||||
Building Products | 5,957,087 | — | — | |||||||||
Capital Markets | 12,908,953 | — | — | |||||||||
Chemicals | 12,069,796 | — | — | |||||||||
Commercial Services & Supplies | 1,902,142 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A191
AST QMA US EQUITY ALPHA PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Communications Equipment | $ | 7,449,138 | $ | — | $ | — | ||||||
Construction & Engineering | 1,402,168 | — | — | |||||||||
Consumer Finance | 1,111,269 | — | — | |||||||||
Distributors | 2,043,600 | — | — | |||||||||
Diversified Financial Services | 2,766,905 | — | — | |||||||||
Diversified Telecommunication Services | 10,840,820 | — | — | |||||||||
Electric Utilities | 5,511,728 | — | — | |||||||||
Electrical Equipment | 5,487,606 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 3,092,129 | — | — | |||||||||
Energy Equipment & Services | 647,064 | — | — | |||||||||
Entertainment | 15,382,397 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 13,467,851 | — | — | |||||||||
Food & Staples Retailing | 9,977,441 | — | — | |||||||||
Food Products | 5,246,601 | — | — | |||||||||
Gas Utilities | 1,987,500 | — | — | |||||||||
Health Care Equipment & Supplies | 23,543,121 | — | — | |||||||||
Health Care Providers & Services | 21,246,819 | — | — | |||||||||
Health Care Technology | 3,130,032 | — | — | |||||||||
Hotels, Restaurants & Leisure | 4,877,929 | — | — | |||||||||
Household Durables | 2,647,575 | — | — | |||||||||
Household Products | 9,327,923 | — | — | |||||||||
Independent Power & Renewable Electricity Producers | 1,808,002 | — | — | |||||||||
Industrial Conglomerates | 1,524,199 | — | — | |||||||||
Insurance | 8,545,577 | — | — | |||||||||
Interactive Media & Services | 23,294,392 | — | — | |||||||||
Internet & Direct Marketing Retail | 23,135,071 | — | — | |||||||||
IT Services | 29,123,934 | — | — | |||||||||
Leisure Products | 4,672,168 | — | — | |||||||||
Life Sciences Tools & Services | 7,733,866 | — | — | |||||||||
Machinery | 6,639,268 | — | — | |||||||||
Marine | 543,212 | — | — | |||||||||
Media | 5,650,997 | — | — | |||||||||
Metals & Mining | 3,299,149 | — | — | |||||||||
Mortgage Real Estate Investment Trusts (REITs) | 5,537,919 | — | — | |||||||||
Multiline Retail | 3,086,262 | — | — | |||||||||
Multi-Utilities | 5,486,709 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 8,774,321 | — | — | |||||||||
Personal Products | 1,028,994 | — | — | |||||||||
Pharmaceuticals | 22,002,722 | — | — | |||||||||
Professional Services | 1,314,252 | — | — | |||||||||
Real Estate Management & Development | 289,131 | — | — | |||||||||
Road & Rail | 3,416,525 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 25,903,228 | — | — | |||||||||
Software | 73,354,553 | — | — | |||||||||
Specialty Retail | 9,736,544 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 23,274,240 | — | — | |||||||||
Thrifts & Mortgage Finance | 903,357 | — | — | |||||||||
Tobacco | 2,598,350 | — | — | |||||||||
Trading Companies & Distributors | 6,154,307 | — | — | |||||||||
Affiliated Mutual Fund | 19,910,833 | — | — | |||||||||
U.S. Treasury Obligations | — | 3,797,584 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 584,467,503 | $ | 3,797,584 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Common Stocks — Short | ||||||||||||
Aerospace & Defense | $ | (4,283,249 | ) | $ | — | $ | — | |||||
Banks | (1,524,084 | ) | — | — | ||||||||
Beverages | (160,995 | ) | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A192
AST QMA US EQUITY ALPHA PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Liabilities (continued) | ||||||||||||
Common Stocks — Short (continued) | ||||||||||||
Biotechnology | $ | (15,062,953 | ) | $ | — | $ | — | |||||
Building Products | (3,005,571 | ) | — | — | ||||||||
Capital Markets | (1,434,981 | ) | — | — | ||||||||
Chemicals | (2,502,167 | ) | — | — | ||||||||
Commercial Services & Supplies | (2,211,210 | ) | — | — | ||||||||
Construction & Engineering | (391,391 | ) | — | — | ||||||||
Diversified Telecommunication Services | (1,498,600 | ) | — | — | ||||||||
Electrical Equipment | (2,021,650 | ) | — | — | ||||||||
Electronic Equipment, Instruments & Components | (3,950,598 | ) | — | — | ||||||||
Entertainment | (3,356,064 | ) | — | — | ||||||||
Food & Staples Retailing | (1,283,356 | ) | — | — | ||||||||
Food Products | (1,785,618 | ) | — | — | ||||||||
Health Care Equipment & Supplies | (11,203,196 | ) | — | — | ||||||||
Health Care Providers & Services | (8,866,817 | ) | — | — | ||||||||
Health Care Technology | (1,898,756 | ) | — | — | ||||||||
Hotels, Restaurants & Leisure | (1,377,597 | ) | — | — | ||||||||
Household Durables | (342,342 | ) | — | — | ||||||||
Household Products | (317,280 | ) | — | — | ||||||||
Independent Power & Renewable Electricity Producers | (860,328 | ) | — | — | ||||||||
Insurance | (1,860,836 | ) | — | — | ||||||||
Interactive Media & Services | (499,395 | ) | — | — | ||||||||
IT Services | (7,572,157 | ) | — | — | ||||||||
Leisure Products | (856,239 | ) | — | — | ||||||||
Life Sciences Tools & Services | (3,462,654 | ) | — | — | ||||||||
Machinery | (741,138 | ) | — | — | ||||||||
Media | (3,002,456 | ) | — | — | ||||||||
Mortgage Real Estate Investment Trusts (REITs) | (1,717,617 | ) | — | — | ||||||||
Pharmaceuticals | (1,459,786 | ) | — | — | ||||||||
Professional Services | (1,722,501 | ) | — | — | ||||||||
Real Estate Management & Development | (2,686,431 | ) | — | — | ||||||||
Semiconductors & Semiconductor Equipment | (4,521,623 | ) | — | — | ||||||||
Software | (27,012,091 | ) | — | — | ||||||||
Specialty Retail | (2,034,114 | ) | — | — | ||||||||
Technology Hardware, Storage & Peripherals | (1,230,430 | ) | — | — | ||||||||
Trading Companies & Distributors | (1,606,977 | ) | — | — | ||||||||
Water Utilities | (2,783,616 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (134,108,864 | ) | $ | — | $ | — | |||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 147,075 | $ | — | $ | — | ||||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2020 were as follows:
Software | 16.1 | % | ||
Biotechnology | 6.7 | |||
IT Services | 6.4 | |||
Semiconductors & Semiconductor Equipment | 5.7 | |||
Health Care Equipment & Supplies | 5.2 | |||
Interactive Media & Services | 5.1 | |||
Technology Hardware, Storage & Peripherals | 5.1 | |||
Internet & Direct Marketing Retail | 5.1 |
Pharmaceuticals | 4.8 | % | ||
Health Care Providers & Services | 4.7 | |||
Affiliated Mutual Fund | 4.4 | |||
Entertainment | 3.4 | |||
Banks | 3.4 | |||
Equity Real Estate Investment Trusts (REITs) | 3.0 | |||
Aerospace & Defense | 2.9 | |||
Capital Markets | 2.8 |
SEE NOTES TO FINANCIAL STATEMENTS.
A193
AST QMA US EQUITY ALPHA PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (continued):
Chemicals | 2.7 | % | ||
Diversified Telecommunication Services | 2.4 | |||
Food & Staples Retailing | 2.2 | |||
Specialty Retail | 2.1 | |||
Household Products | 2.0 | |||
Oil, Gas & Consumable Fuels | 1.9 | |||
Insurance | 1.9 | |||
Life Sciences Tools & Services | 1.7 | |||
Communications Equipment | 1.6 | |||
Machinery | 1.5 | |||
Beverages | 1.4 | |||
Trading Companies & Distributors | 1.4 | |||
Building Products | 1.3 | |||
Media | 1.2 | |||
Mortgage Real Estate Investment Trusts (REITs) | 1.2 | |||
Electric Utilities | 1.2 | |||
Electrical Equipment | 1.2 | |||
Multi-Utilities | 1.2 | |||
Food Products | 1.2 | |||
Hotels, Restaurants & Leisure | 1.1 | |||
Leisure Products | 1.0 | |||
U.S. Treasury Obligations | 0.8 | |||
Road & Rail | 0.7 | |||
Metals & Mining | 0.7 | |||
Health Care Technology | 0.7 | |||
Electronic Equipment, Instruments & Components | 0.7 | |||
Multiline Retail | 0.7 | |||
Diversified Financial Services | 0.6 | |||
Automobiles | 0.6 | |||
Household Durables | 0.6 | |||
Tobacco | 0.6 | |||
Auto Components | 0.5 | |||
Distributors | 0.4 | |||
Gas Utilities | 0.4 | |||
Commercial Services & Supplies | 0.4 | |||
Independent Power & Renewable Electricity Producers | 0.4 | |||
Airlines | 0.4 | |||
Industrial Conglomerates | 0.3 | |||
Construction & Engineering | 0.3 | |||
Professional Services | 0.3 | |||
Consumer Finance | 0.2 | |||
Personal Products | 0.2 | |||
Thrifts & Mortgage Finance | 0.2 | |||
Energy Equipment & Services | 0.1 | |||
Marine | 0.1 | |||
Real Estate Management & Development | 0.1 |
Securities Sold Short | ||||
Beverages | (0.0 | )*% | ||
Household Products | (0.1 | ) | ||
Household Durables | (0.1 | ) | ||
Construction & Engineering | (0.1 | ) | ||
Interactive Media & Services | (0.1 | ) | ||
Machinery | (0.2 | ) | ||
Leisure Products | (0.2 | ) | ||
Independent Power & Renewable Electricity Producers | (0.2 | ) | ||
Technology Hardware, Storage & Peripherals | (0.3 | ) | ||
Food & Staples Retailing | (0.3 | ) | ||
Hotels, Restaurants & Leisure | (0.3 | ) | ||
Capital Markets | (0.3 | ) | ||
Pharmaceuticals | (0.3 | ) | ||
Diversified Telecommunication Services | (0.3 | ) | ||
Banks | (0.3 | ) | ||
Trading Companies & Distributors | (0.4 | ) | ||
Mortgage Real Estate Investment Trusts (REITs) | (0.4 | ) | ||
Professional Services | (0.4 | ) | ||
Food Products | (0.4 | ) | ||
Insurance | (0.4 | ) | ||
Health Care Technology | (0.4 | ) | ||
Electrical Equipment | (0.4 | ) | ||
Specialty Retail | (0.4 | ) | ||
Commercial Services & Supplies | (0.5 | ) | ||
Chemicals | (0.5 | ) | ||
Real Estate Management & Development | (0.6 | ) | ||
Water Utilities | (0.6 | ) | ||
Media | (0.7 | ) | ||
Building Products | (0.7 | ) | ||
Entertainment | (0.7 | ) | ||
Life Sciences Tools & Services | (0.8 | ) | ||
Electronic Equipment, Instruments & Components | (0.9 | ) | ||
Aerospace & Defense | (0.9 | ) | ||
Semiconductors & Semiconductor Equipment | (1.0 | ) | ||
IT Services | (1.7 | ) | ||
Health Care Providers & Services | (1.9 | ) | ||
Health Care Equipment & Supplies | (2.5 | ) | ||
Biotechnology | (3.3 | ) | ||
Software | (5.9 | ) | ||
|
| |||
99.7 | ||||
Other assets in excess of liabilities | 0.3 | |||
|
| |||
100.0 | % | |||
|
|
* Less than +/- 0.05%
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instrumentsis equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
SEE NOTES TO FINANCIAL STATEMENTS.
A194
AST QMA US EQUITY ALPHA PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of Assets | Fair Value | Statement of Assets | Fair Value | |||||||||
Equity contracts | Due from/to broker- variation margin futures | $ | 147,075 | * | — | $ | — | |||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | 957,390 | ||
|
| |||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | 48,112 | ||
|
|
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Futures Contracts— Positions(1) |
$17,082,087 |
(1) | Notional Amount in USD. |
Description | Counterparty | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | ||||||||||||
Securities Sold Short | BNP Paribas | $ | (134,108,864 | ) | $ | 134,108,864 | $ | — | ||||||||
|
|
|
|
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A195
AST QMA US EQUITY ALPHA PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value: | ||||
Unaffiliated investments (cost $505,743,045) | $ | 568,354,254 | ||
Affiliated investments (cost $19,910,833) | 19,910,833 | |||
Cash | 69,662 | |||
Receivable for investments sold | 27,199,372 | |||
Dividends and interest receivable | 517,238 | |||
Deposit with broker for securities sold short | 461,896 | |||
Due from broker-variation margin futures | 334,425 | |||
Receivable for Portfolio shares sold | 71,205 | |||
Tax reclaim receivable | 4,752 | |||
Prepaid expenses | 30,866 | |||
|
| |||
Total Assets | 616,954,503 | |||
|
| |||
LIABILITIES | ||||
Securities sold short, at value (proceeds received $111,341,927) | 134,108,864 | |||
Payable for investments purchased | 27,045,068 | |||
Management fee payable | 169,467 | |||
Dividends payable on securities sold short | 139,964 | |||
Payable for Portfolio shares repurchased | 57,339 | |||
Accrued expenses and other liabilities | 40,341 | |||
Distribution fee payable | 18,325 | |||
Payable to affiliate | 4,752 | |||
Affiliated transfer agent fee payable | 378 | |||
Trustees’ fees payable | 173 | |||
|
| |||
Total Liabilities | 161,584,671 | |||
|
| |||
NET ASSETS | $ | 455,369,832 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 455,369,832 | ||
|
| |||
Net asset value and redemption price per share, $455,369,832 / 14,929,575 outstanding shares of beneficial interest | $ | 30.50 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of $3,329 foreign withholding tax) | $ | 5,075,131 | ||
Affiliated dividend income | 83,420 | |||
Interest income | 16,206 | |||
|
| |||
Total income | 5,174,757 | |||
|
| |||
EXPENSES | ||||
Management fee | 1,881,922 | |||
Distribution fee | 567,479 | |||
Broker fees and expenses on short sales | 583,840 | |||
Dividends on securities sold short | 200,845 | |||
Custodian and accounting fees | 36,742 | |||
Audit fee | 20,935 | |||
Trustees’ fees | 7,944 | |||
Legal fees and expenses | 6,615 | |||
Shareholders’ reports | 3,648 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,460 | |||
Miscellaneous | 17,483 | |||
|
| |||
Total expenses | 3,330,913 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 1,843,844 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | (5,658,738 | ) | ||
Futures transactions | 957,390 | |||
Short sales transactions | (6,390,430 | ) | ||
|
| |||
(11,091,778 | ) | |||
|
| |||
Net change in unrealized appreciation | ||||
(depreciation) on: | ||||
Investments | (86,226,477 | ) | ||
Futures | 48,112 | |||
Short sales | (4,087,245 | ) | ||
|
| |||
(90,265,610 | ) | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | (101,357,388 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (99,513,544 | ) | |
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 1,843,844 | $ | 4,664,688 | ||||
Net realized gain (loss) on investment transactions | (11,091,778 | ) | 36,447,973 | |||||
Net change in unrealized appreciation (depreciation) on investments | (90,265,610 | ) | 90,562,968 | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (99,513,544 | ) | 131,675,629 | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [6,283,909 and 1,207,784 shares, respectively] | 170,969,520 | 37,055,158 | ||||||
Portfolio shares repurchased [9,101,788 and 4,290,337 shares, respectively] | (235,417,792 | ) | (133,393,595 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (64,448,272 | ) | (96,338,437 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 1,328 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (163,961,816 | ) | 35,338,520 | |||||
NET ASSETS: | ||||||||
Beginning of period | 619,331,648 | 583,993,128 | ||||||
|
|
|
| |||||
End of period | $ | 455,369,832 | $ | 619,331,648 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A196
AST QMA US EQUITY ALPHA PORTFOLIO (continued) |
STATEMENT OF CASH FLOWS (unaudited)
the Six Months Ended June 30, 2020
CASH FLOWS PROVIDED BY/(USED FOR) OPERATING ACTIVITIES: | ||||
Net Increase (decrease) in net assets resulting from operations. | $ | (99,513,544 | ) | |
|
| |||
ADJUSTMENTS TO RECONCILE NET INCREASE(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS TO NET CASH PROVIDED BY/(USED FOR) OPERATING ACTIVITIES: | ||||
Proceeds from disposition of long-term portfolio investments | 506,377,602 | |||
Purchases of long-term portfolio investments. | (372,027,560 | ) | ||
Net proceeds (purchases) of short-term portfolio investments. | (10,941,332 | ) | ||
Costs to cover investments sold short | 79,993,039 | |||
Proceeds from investments sold short. | (141,213,125 | ) | ||
Net realized (gain) loss on investment transactions | 5,658,738 | |||
Net realized (gain) loss on short sales transactions | 6,390,430 | |||
Net change in unrealized (appreciation) depreciation on investment transactions | 86,226,477 | |||
Net change in unrealized (appreciation) depreciation on short sales transactions | 4,087,245 | |||
(INCREASE) DECREASE IN ASSETS: | ||||
Receivable for investments sold | (27,199,372 | ) | ||
Dividends and interest receivable. | 116,093 | |||
Tax reclaim receivable | 26 | |||
Prepaid expenses | (26,137 | ) | ||
INCREASE (DECREASE) IN LIABILITIES: | ||||
Payable for investments purchased | 27,045,068 | |||
Management fee payable | (63,908 | ) | ||
Dividends payable on securities sold short | (95,118 | ) | ||
Accrued expenses and other liabilities. | (16,581 | ) | ||
Distribution fee payable | (7,160 | ) | ||
Payable to affiliate. | (26 | ) | ||
Affiliated transfer agent fee payable. | 21 | |||
Trustees’ fees payable | 173 | |||
|
| |||
Total adjustments | 164,304,593 | |||
|
| |||
Net cash provided by (used for) operating activities | 64,791,049 | |||
|
| |||
NET CASH FLOWS FROM FINANCING ACTIVITIES: | ||||
Proceeds from Portfolio shares sold, net of amounts receivable | 170,963,407 | |||
Payable of Portfolio shares repurchased, net of amounts payable | (235,423,105 | ) | ||
|
| |||
Net cash provided by (used for) financing activities. | (64,459,698 | ) | ||
|
| |||
Net increase (decrease) in cash and restricted cash, at value. | 331,351 | |||
Cash and restricted cash at beginning of period | 534,632 | |||
|
| |||
CASH AND RESTRICTED CASH AT END OF PERIOD. | $ | 865,983 | ||
|
|
RECONCILIATION OF CASH AND RESTRICTED CASH REPORTED IN THE STATEMENT OF ASSETS AND LIABILITIES TO THE STATEMENT OF CASH FLOWS:
June 30, 2020 | December 31, 2019 | |||||||
Cash | $ | 69,662 | $ | 83,558 | ||||
Restricted cash: | ||||||||
Deposit with broker for securities sold short | 461,896 | 428,564 | ||||||
Due from broker-variation margin futures | 334,425 | 22,510 | ||||||
|
|
|
| |||||
Total cash and restricted cash | $ | 865,983 | $ | 534,532 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A197
AST QUANTITATIVE MODELING PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
LONG-TERM INVESTMENTS — 99.5% | ||||||||
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
AST AB Global Bond Portfolio* | 2,513,067 | $ | 29,855,238 | |||||
AST BlackRock/Loomis Sayles Bond Portfolio* | 1,751,293 | 26,917,369 | ||||||
AST ClearBridge Dividend Growth Portfolio* | 7,032,894 | 136,719,450 | ||||||
AST Emerging Markets Equity Portfolio* | 279,139 | 2,152,159 | ||||||
AST Goldman Sachs Global Income Portfolio* | 1,221,740 | 14,954,091 | ||||||
AST Goldman Sachs Small-Cap Value Portfolio* | 313,138 | 5,940,221 | ||||||
AST High Yield Portfolio* | 179,509 | 1,895,618 | ||||||
AST Hotchkis & Wiley Large-Cap Value Portfolio* | 1,264,532 | 32,005,308 | ||||||
AST International Growth Portfolio* | 2,975,774 | 62,878,106 | ||||||
AST International Value Portfolio* | 3,492,435 | 61,641,479 | ||||||
AST Investment Grade Bond Portfolio*. | 8,447,334 | 78,729,150 | ||||||
AST Jennison Large-Cap Growth Portfolio* | 790,463 | 37,712,986 | ||||||
AST Large-Cap Core Portfolio* | 8,539,269 | 171,212,340 | ||||||
AST Loomis Sayles Large-Cap Growth Portfolio* | 935,590 | 65,407,100 | ||||||
AST MFS Growth Portfolio* | 1,034,601 | 37,659,479 | ||||||
AST MFS Large-Cap Value Portfolio* | 3,660,899 | 74,682,348 | ||||||
AST Mid-Cap Growth Portfolio* AST Neuberger Berman/LSV Mid-Cap | 471,994 | 5,819,682 | ||||||
Value Portfolio* | 103,042 | 2,744,002 | ||||||
AST PIMCO Dynamic Bond Portfolio* | 592,241 | 5,981,639 | ||||||
AST Prudential Core Bond Portfolio* | 7,618,189 | 104,597,741 | ||||||
AST QMA International Core Equity Portfolio* | 4,761,575 | 53,377,255 |
AFFILIATED MUTUAL FUNDS (continued) | Shares | Value | ||||||
AST Small-Cap Growth Opportunities Portfolio* | 469,500 | $ | 11,098,978 | |||||
AST Small-Cap Growth Portfolio* | 202,238 | 11,102,856 | ||||||
AST Small-Cap Value Portfolio* | 570,570 | 12,352,851 | ||||||
AST T. Rowe Price Large-Cap Growth Portfolio* | 912,042 | 46,924,577 | ||||||
AST T. Rowe Price Large-Cap Value Portfolio* | 5,092,987 | 71,098,095 | ||||||
AST WEDGE Capital Mid-Cap Value Portfolio* | 149,827 | 2,744,829 | ||||||
AST Wellington Management Global Bond Portfolio* | 6,148,666 | 74,706,293 | ||||||
AST Western Asset Core Plus Bond Portfolio* | 2,901,815 | 41,902,210 | ||||||
|
| |||||||
AST Western Asset Emerging Markets Debt Portfolio* | 156,670 | 1,897,279 | ||||||
TOTAL LONG-TERM INVESTMENTS | 1,286,710,729 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 0.1% AFFILIATED MUTUAL FUND |
| |||||||
PGIM Core Ultra Short Bond Fund | 1,106,240 | 1,106,240 | ||||||
TOTAL INVESTMENTS—99.6% | 1,287,816,969 | |||||||
Other assets in excess of liabilities — 0.4% |
| 4,535,188 | ||||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 1,292,352,157 | |||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
(w) | PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the underlying funds in which the Fund invests. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Affiliated Mutual Funds | $ | 1,287,816,969 | $ | — | $ | — | ||||||
|
|
|
|
|
|
Investment Allocation:
The investment allocation of portfolio holdings and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2020 were as follows:
Core Bond | 29.2 | % | ||
Large/Mid-Cap Growth | 28.1 |
Large/Mid-Cap Value | 14.2 | % | ||
Large/Mid-Cap Blend | 10.6 |
SEE NOTES TO FINANCIAL STATEMENTS.
A198
AST QUANTITATIVE MODELING PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Investment Allocation (continued):
International Value | 8.9 | % | ||
International Growth | 4.9 | |||
Small-Cap Growth | 1.8 | |||
Small-Cap Value | 1.4 | |||
Emerging Markets | 0.3 | |||
High Yield | 0.1 |
Ultra Short Bond | 0.1 | % | ||
|
| |||
99.6 | ||||
Other assets in excess of liabilities | 0.4 | |||
|
| |||
100.0 | % | |||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A199
AST QUANTITATIVE MODELING PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value: | ||||
Affiliated investments (cost $1,212,726,944) | $ | 1,287,816,969 | ||
Receivable for investments sold | 60,708,495 | |||
Dividends receivable | 7 | |||
Prepaid expenses | 113 | |||
|
| |||
Total Assets | 1,348,525,584 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 55,265,795 | |||
Payable for Portfolio shares repurchased | 765,489 | |||
Management fee payable | 103,053 | |||
Accrued expenses and other liabilities | 38,712 | |||
Affiliated transfer agent fee payable | 378 | |||
|
| |||
Total Liabilities | 56,173,427 | |||
|
| |||
NET ASSETS | $ | 1,292,352,157 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 1,292,352,157 | ||
|
| |||
Net asset value and redemption price per share, $1,292,352,157 / 72,351,016 outstanding shares of beneficial interest | $ | 17.86 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
Affiliated dividend income | $ | 37,211 | ||
|
| |||
EXPENSES | ||||
Management fee | 1,618,338 | |||
Custodian and accounting fees | 54,288 | |||
Trustees’ fees | 12,920 | |||
Audit fee | 11,586 | |||
Legal fees and expenses | 7,949 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,460 | |||
Shareholders’ reports | 2,037 | |||
Miscellaneous | 7,196 | |||
|
| |||
Total expenses | 1,717,774 | |||
Less: Fee waiver and/or expense reimbursement | (15,812 | ) | ||
|
| |||
Net expenses | 1,701,962 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | (1,664,751 | ) | ||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON AFFILIATED INVESTMENTS | ||||
Net realized gain (loss) on investment transactions | 49,569,930 | |||
Net change in unrealized appreciation (depreciation) on investments | (127,678,541 | ) | ||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | (78,108,611 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (79,773,362 | ) | |
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | (1,664,751 | ) | $ | (3,405,198 | ) | ||
Net realized gain (loss) on investment transactions | 49,569,930 | 52,851,854 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (127,678,541 | ) | 205,283,432 | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (79,773,362 | ) | 254,730,088 | |||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [1,492,798 and 3,952,369 shares, respectively] | 26,650,694 | 70,062,827 | ||||||
Portfolio shares repurchased [4,017,287 and 7,717,791 shares, respectively] | (70,912,559 | ) | (136,054,002 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (44,261,865 | ) | (65,991,175 | ) | ||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (124,035,227 | ) | 188,738,913 | |||||
NET ASSETS: | ||||||||
Beginning of period | 1,416,387,384 | 1,227,648,471 | ||||||
|
|
|
| |||||
End of period | $ | 1,292,352,157 | $ | 1,416,387,384 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A200
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 95.5% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 3.8% |
| |||||||||||||||
Automobiles — 0.3% |
| |||||||||||||||
Avis Budget Rental Car Funding AESOP LLC, |
| |||||||||||||||
Series 2019-03A, Class A, 144A |
| |||||||||||||||
2.360% | 03/20/26 | 8,140 | $ | 8,026,017 | ||||||||||||
Ford Credit Auto Owner Trust, |
| |||||||||||||||
Series 2017-02, Class B, 144A |
| |||||||||||||||
2.600% | 03/15/29 | 373 | 378,920 | |||||||||||||
Hertz Vehicle Financing II LP, |
| |||||||||||||||
Series 2019-03A, Class A, 144A |
| |||||||||||||||
2.670% | 12/26/25 | 2,978 | 2,950,206 | |||||||||||||
|
| |||||||||||||||
11,355,143 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 0.8% |
| |||||||||||||||
Avery Point CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-05A, Class BR, 144A, 3 Month LIBOR + 1.500% |
| |||||||||||||||
2.635%(c) | 07/17/26 | 1,359 | 1,331,740 | |||||||||||||
Cent CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2013-19A, Class A1A, 144A, 3 Month LIBOR + 1.330% |
| |||||||||||||||
2.171%(c) | 10/29/25 | 2,553 | 2,545,950 | |||||||||||||
Community Funding CLO (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class A, 144A |
| |||||||||||||||
5.750% | 11/01/27 | 8,094 | 8,090,760 | |||||||||||||
Galaxy CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 1.020% |
| |||||||||||||||
2.155%(c) | 04/20/31 | 781 | 757,018 | |||||||||||||
KVK CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2016-01A, Class C, 144A, 3 Month LIBOR + 3.150% |
| |||||||||||||||
4.369%(c) | 01/15/29 | 2,257 | 2,245,794 | |||||||||||||
Mountain View CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-10A, Class BR, 144A, 3 Month LIBOR + 1.350% |
| |||||||||||||||
2.661%(c) | 10/13/27 | 2,000 | 1,933,010 | |||||||||||||
Palmer Square Loan Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.050% |
| |||||||||||||||
2.269%(c) | 04/15/26 | 1,329 | 1,274,082 | |||||||||||||
Series 2018-01A, Class B, 144A, 3 Month LIBOR + 1.400% |
| |||||||||||||||
2.619%(c) | 04/15/26 | 1,006 | 934,345 | |||||||||||||
Shackleton CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-06RA, Class A, 144A, 3 Month LIBOR + 1.020% |
| |||||||||||||||
2.155%(c) | 07/17/28 | 737 | 717,263 | |||||||||||||
Series 2016-09A, Class B, 144A, 3 Month LIBOR + 1.900% |
| |||||||||||||||
3.035%(c) | 10/20/28 | 1,519 | 1,473,703 | |||||||||||||
Symphony CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-19A, Class A, 144A, 3 Month LIBOR + 0.960% |
| |||||||||||||||
2.136%(c) | 04/16/31 | 2,500 | 2,420,562 | |||||||||||||
Tralee CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-03A, Class AR, 144A, 3 Month LIBOR + 1.030% |
| |||||||||||||||
2.165%(c) | 10/20/27 | 3,714 | 3,651,243 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
WhiteHorse Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2014-01A, Class AR, 144A, 3 Month LIBOR + 0.900% |
| |||||||||||||||
1.587%(c) | 05/01/26 | 961 | $ | 947,078 | ||||||||||||
|
| |||||||||||||||
28,322,548 | ||||||||||||||||
|
| |||||||||||||||
Home Equity Loans — 0.4% |
| |||||||||||||||
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, |
| |||||||||||||||
Series 2004-W08, Class A2, 1 Month LIBOR + 0.960% |
| |||||||||||||||
1.145%(c) | 05/25/34 | 1,055 | 1,053,496 | |||||||||||||
Countrywide Home Equity Loan Trust, |
| |||||||||||||||
Series 2006-HW, Class 2A1B, 1 Month LIBOR + 0.150% |
| |||||||||||||||
0.335%(c) | 11/15/36 | 157 | 133,992 | |||||||||||||
Option One Mortgage Loan Trust, |
| |||||||||||||||
Series 2007-FXD2, Class 1A1 |
| |||||||||||||||
5.820% | 03/25/37 | 11,629 | 11,964,282 | |||||||||||||
Renaissance Home Equity Loan Trust, |
| |||||||||||||||
Series 2006-03, Class AV3, 1 Month LIBOR + 0.240% |
| |||||||||||||||
0.425%(c) | 11/25/36 | 2,221 | 536,497 | |||||||||||||
|
| |||||||||||||||
13,688,267 | ||||||||||||||||
|
| |||||||||||||||
Other — 0.2% |
| |||||||||||||||
Applebee’s Funding LLC/IHOP Funding LLC, |
| |||||||||||||||
Series 2019-01A, Class A2I, 144A |
| |||||||||||||||
4.194% | 06/07/49 | 6,000 | 5,317,980 | |||||||||||||
Credit Suisse European Mortgage Capital Ltd. (Ireland), |
| |||||||||||||||
Series 2019-03, Class A, 144A, 3 Month LIBOR + 2.900% |
| |||||||||||||||
3.660%(c) | 08/09/24 | 990 | 980,116 | |||||||||||||
Fannie Mae Grantor Trust, |
| |||||||||||||||
Series 2017-T01, Class A |
| |||||||||||||||
2.898% | 06/25/27 | 897 | 987,838 | |||||||||||||
Freddie Mac Structured Pass-Through Certificates, |
| |||||||||||||||
Series 2017-SR01, Class A3 |
| |||||||||||||||
3.089% | 11/25/27 | 480 | 519,643 | |||||||||||||
|
| |||||||||||||||
7,805,577 | ||||||||||||||||
|
| |||||||||||||||
Residential Mortgage-Backed Securities — 1.1% |
| |||||||||||||||
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, |
| |||||||||||||||
Series 2004-R02, Class A1A, 1 Month LIBOR + 0.690% |
| |||||||||||||||
0.875%(c) | 04/25/34 | 223 | 222,333 | |||||||||||||
Bravo Mortgage Asset Trust, |
| |||||||||||||||
Series 2006-01A, Class M1, 144A, 1 Month LIBOR + 0.400% |
| |||||||||||||||
0.585%(c) | 07/25/36 | 8,370 | 7,211,572 | |||||||||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||||||||
Series 2004-13, Class MF1 |
| |||||||||||||||
5.071%(cc) | 04/25/35 | 3,541 | 3,570,873 | |||||||||||||
Series 2006-SD03, Class A1, 144A, 1 Month LIBOR + 0.330% |
| |||||||||||||||
0.515%(c) | 07/25/36 | 284 | 267,926 |
SEE NOTES TO FINANCIAL STATEMENTS.
A201
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Residential Mortgage-Backed Securities (continued) |
| |||||||||||||||
Equity One Mortgage Pass-Through Trust, |
| |||||||||||||||
Series 2002-05, Class M1 |
| |||||||||||||||
5.803%(cc) | 11/25/32 | 1,479 | $ | 1,536,273 | ||||||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||||||
Series 2018-GS02, Class A1, 144A |
| |||||||||||||||
4.000% | 04/25/58 | 8,293 | 8,253,637 | |||||||||||||
PFCA Home Equity Investment Trust, |
| |||||||||||||||
Series 2003-IFC06, Class A, 144A |
| |||||||||||||||
4.419%(cc) | 04/22/35 | 13,632 | 13,328,274 | |||||||||||||
RAMP Trust, |
| |||||||||||||||
Series 2006-RZ04, Class A3, 1 Month LIBOR + 0.270% |
| |||||||||||||||
0.455%(c) | 10/25/36 | 1,714 | 1,680,403 | |||||||||||||
|
| |||||||||||||||
36,071,291 | ||||||||||||||||
|
| |||||||||||||||
Small Business Loan — 0.2% |
| |||||||||||||||
SBA Small Business Investment Cos., |
| |||||||||||||||
Series 2018-10B, Class 1 |
| |||||||||||||||
3.548% | 09/10/28 | 1,564 | 1,681,705 | |||||||||||||
United States Small Business Administration, |
| |||||||||||||||
Series 2019-20D, Class 1 |
| |||||||||||||||
2.980% | 04/01/39 | 1,631 | 1,786,389 | |||||||||||||
Series 2019-25G, Class 1 |
| |||||||||||||||
2.690% | 07/01/44 | 1,605 | 1,721,170 | |||||||||||||
|
| |||||||||||||||
5,189,264 | ||||||||||||||||
|
| |||||||||||||||
Student Loans — 0.8% |
| |||||||||||||||
Navient Private Education Refi Loan Trust, |
| |||||||||||||||
Series 2020-A, Class A2A, 144A |
| |||||||||||||||
2.460% | 11/15/68 | 3,810 | 3,896,660 | |||||||||||||
Navient Student Loan Trust, |
| |||||||||||||||
Series 2016-07A, Class A, 144A, 1 Month LIBOR + 1.150% |
| |||||||||||||||
1.335%(c) | 03/25/66 | 1,800 | 1,775,212 | |||||||||||||
Series 2017-02A, Class A, 144A, 1 Month LIBOR + 1.050% |
| |||||||||||||||
1.235%(c) | 12/27/66 | 3,290 | 3,189,688 | |||||||||||||
SLC Student Loan Trust, |
| |||||||||||||||
Series 2008-01, Class A4A, 3 Month LIBOR + 1.600% |
| |||||||||||||||
1.913%(c) | 12/15/32 | 3,153 | 3,114,767 | |||||||||||||
SLM Student Loan Trust, |
| |||||||||||||||
Series 2003-04, Class A5E, 144A, 3 Month LIBOR + 0.750% |
| |||||||||||||||
1.063%(c) | 03/15/33 | 2,180 | 2,062,137 | |||||||||||||
Series 2011-01, Class A1, 1 Month LIBOR + 0.520% |
| |||||||||||||||
0.705%(c) | 03/25/26 | 2 | 1,659 | |||||||||||||
SMB Private Education Loan Trust, |
| |||||||||||||||
Series 2015-C, Class R, 144A |
| |||||||||||||||
—%(p) | 09/18/46 | 63,950 | 3,183,646 | |||||||||||||
Series 2020-A, Class A2A, 144A |
| |||||||||||||||
2.230% | 09/15/37 | 8,930 | 9,095,927 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||||||
Student Loans (continued) |
| |||||||||||||||
SoFi Professional Loan Program LLC, |
| |||||||||||||||
Series 2015-C, Class R, 144A |
| |||||||||||||||
—%(p) | 08/25/36 | 1 | $ | 1,014,800 | ||||||||||||
|
| |||||||||||||||
27,334,496 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 129,766,586 | ||||||||||||||
|
| |||||||||||||||
BANK LOANS — 4.8% |
| |||||||||||||||
Advertising — 0.1% |
| |||||||||||||||
Terrier Media Buyer, Inc., |
| |||||||||||||||
Term Loan, 1 Month LIBOR + 4.250% |
| |||||||||||||||
4.428%(c) | 12/17/26 | 1,840 | 1,750,759 | |||||||||||||
|
| |||||||||||||||
Airlines — 0.1% |
| |||||||||||||||
American Airlines, Inc., |
| |||||||||||||||
2017 Replacement Class B Term Loan, 1 Month LIBOR + 2.000% |
| |||||||||||||||
2.185%(c) | 12/14/23 | 920 | 737,724 | |||||||||||||
Delta Air Lines, Inc., |
| |||||||||||||||
Initial Term Loan, 3 Month LIBOR + 4.750% |
| |||||||||||||||
5.510%(c) | 04/27/23 | 1,260 | 1,233,540 | |||||||||||||
|
| |||||||||||||||
1,971,264 | ||||||||||||||||
|
| |||||||||||||||
Auto Parts & Equipment — 0.1% |
| |||||||||||||||
Panther BF Aggregator, LP, |
| |||||||||||||||
First Lien Initial Dollar Term Loan, 1 Month LIBOR + 3.500% |
| |||||||||||||||
3.678%(c) | 04/30/26 | 2,759 | 2,623,491 | |||||||||||||
|
| |||||||||||||||
Building Materials — 0.1% |
| |||||||||||||||
API Group, Inc., |
| |||||||||||||||
Initial Term Loan, 1 Month LIBOR + 2.500% |
| |||||||||||||||
2.678%(c) | 10/01/26 | 1,910 | 1,843,536 | |||||||||||||
|
| |||||||||||||||
Commercial Services — 0.5% |
| |||||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp., |
| |||||||||||||||
Initial Term Loan, 1 Month LIBOR + 4.250% |
| |||||||||||||||
4.428%(c) | 07/10/26 | 3,317 | 3,207,568 | |||||||||||||
Atlantic Aviation FBO, Inc., |
| |||||||||||||||
Term Loan, 3 Month LIBOR + 3.750% |
| |||||||||||||||
3.930%(c) | 12/06/25^ | 620 | 580,214 | |||||||||||||
BrightView Landscapes LLC, |
| |||||||||||||||
Initial Term Loan, 1 Month LIBOR + 2.500% |
| |||||||||||||||
2.719%(c) | 08/15/25^ | 1,627 | 1,577,996 | |||||||||||||
Garda World Security Corp. (Canada), |
| |||||||||||||||
First Lien Term Loan B, 1 Month LIBOR + 4.750% |
| |||||||||||||||
4.930%(c) | 10/30/26 | 907 | 888,788 | |||||||||||||
MPH Acquisition Holdings LLC, |
| |||||||||||||||
Initial Term Loan, 3 Month LIBOR + 2.750% |
| |||||||||||||||
3.750%(c) | 06/07/23 | 4,516 | 4,274,899 | |||||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc., |
| |||||||||||||||
2019 Refinancing Term B-1 Loan, 1 - 3 Month LIBOR + 3.250% |
| |||||||||||||||
4.250%(c) | 09/23/26 | 4,223 | 4,050,145 | |||||||||||||
Trans Union LLC, |
| |||||||||||||||
Term B-5 Loan, 1 Month LIBOR + 1.750% |
| |||||||||||||||
1.928%(c) | 11/16/26 | 1,397 | 1,334,777 | |||||||||||||
|
| |||||||||||||||
15,914,387 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A202
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
BANK LOANS (continued) |
| |||||||||||||||
Computers — 0.2% |
| |||||||||||||||
Dell International LLC, |
| |||||||||||||||
Refinancing Term B-1 Loan, 1 Month LIBOR + 2.000% |
| |||||||||||||||
2.750%(c) | 09/19/25 | 2,478 | $ | 2,411,261 | ||||||||||||
McAfee LLC, |
| |||||||||||||||
Term B USD Loan, 1 Month LIBOR + 3.750% |
| |||||||||||||||
3.934%(c) | 09/30/24 | 4,474 | 4,339,829 | |||||||||||||
Western Digital Corp., |
| |||||||||||||||
New Term Loan B-4, 3 Month LIBOR + 1.750% |
| |||||||||||||||
1.924%(c) | 04/29/23 | 64 | 61,499 | |||||||||||||
|
| |||||||||||||||
6,812,589 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.4% |
| |||||||||||||||
Citadel Securities LP, |
| |||||||||||||||
Term B Facility, 1 Month LIBOR + 2.750% |
| |||||||||||||||
2.928%(c) | 02/27/26 | 1,036 | 1,005,732 | |||||||||||||
Deerfield Dakota Holding LLC, |
| |||||||||||||||
First Lien Initial Dollar Term Loan, 1 Month LIBOR + 3.750% |
| |||||||||||||||
4.750%(c) | 04/09/27 | 3,300 | 3,196,875 | |||||||||||||
Edelman Financial Center LLC (The), |
| |||||||||||||||
First Lien Initial Term Loan, 1 Month LIBOR + 3.000% |
| |||||||||||||||
3.180%(c) | 07/21/25 | 1,272 | 1,211,173 | |||||||||||||
Focus Financial Partners LLC, |
| |||||||||||||||
Tranche B-3 Term Loan, 1 Month LIBOR + 2.000% |
| |||||||||||||||
2.178%(c) | 07/03/24 | 996 | 951,434 | |||||||||||||
Jane Street Group LLC, |
| |||||||||||||||
Dollar Term Loan, 1 Month LIBOR + 3.000% |
| |||||||||||||||
3.178%(c) | 01/31/25 | 2,182 | 2,114,748 | |||||||||||||
RPI 2019 Intermediate Finance Trust, |
| |||||||||||||||
Term B-1 Term Loan, 1 Month LIBOR + 1.750% |
| |||||||||||||||
1.928%(c) | 02/05/27 | 3,154 | 3,076,611 | |||||||||||||
VFH Parent LLC, |
| |||||||||||||||
Initial Term Loan, 1 Month LIBOR + 3.000% |
| |||||||||||||||
3.188%(c) | 03/01/26 | 1,002 | 974,640 | |||||||||||||
|
| |||||||||||||||
12,531,213 | ||||||||||||||||
|
| |||||||||||||||
Entertainment — 0.3% |
| |||||||||||||||
CEOC LLC, |
| |||||||||||||||
Term B Loan, 1 Month LIBOR + 2.000% |
| |||||||||||||||
2.178%(c) | 10/07/24 | 1,866 | 1,856,843 | |||||||||||||
PCI Gaming Authority, |
| |||||||||||||||
Term B Facility Loan, 1 Month LIBOR + 2.500% |
| |||||||||||||||
2.678%(c) | 05/29/26 | 1,818 | 1,738,154 | |||||||||||||
Scientific Games International, Inc., |
| |||||||||||||||
Initial Term B-5 Loan, 1 - 3 Month LIBOR + 2.750% |
| |||||||||||||||
3.612%(c) | 08/14/24 | 3,123 | 2,745,692 | |||||||||||||
Stars Group Holdings BV (Canada), |
| |||||||||||||||
USD Term Loan, 3 Month LIBOR + 3.500% |
| |||||||||||||||
3.808%(c) | 07/10/25 | 92 | 91,335 | |||||||||||||
UFC Holdings LLC, |
| |||||||||||||||
Term B Loan, 3 Month LIBOR + 3.250% |
| |||||||||||||||
4.250%(c) | 04/29/26 | 2,924 | 2,775,861 | |||||||||||||
|
| |||||||||||||||
9,207,885 | ||||||||||||||||
|
| |||||||||||||||
Environmental Control — 0.0% |
| |||||||||||||||
GFL Environmental, Inc. (Canada), |
| |||||||||||||||
2018 Incremental Term Loan, 3 Month LIBOR + 3.000% |
| |||||||||||||||
4.000%(c) | 05/30/25 | 390 | 377,539 | |||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
BANK LOANS (continued) |
| |||||||||||||||
Food Service — 0.0% |
| |||||||||||||||
Aramark Services, Inc., |
| |||||||||||||||
US Term B-3 Loan, 3 Month LIBOR + 1.750% |
| |||||||||||||||
1.928%(c) | 03/11/25 | 1,187 | $ | 1,117,295 | ||||||||||||
TKC Holdings, Inc., |
| |||||||||||||||
Initial Term Loan (First Lien), 3 Month LIBOR + 3.750% |
| |||||||||||||||
4.750%(c) | 02/01/23 | 533 | 497,985 | |||||||||||||
|
| |||||||||||||||
1,615,280 | ||||||||||||||||
|
| |||||||||||||||
Foods — 0.1% |
| |||||||||||||||
Froneri US, Inc. (United Kingdom), |
| |||||||||||||||
Facility B-2, 1 Month LIBOR + 2.250% |
| |||||||||||||||
2.428%(c) | 01/29/27 | 1,220 | 1,145,784 | |||||||||||||
US Foods, Inc., |
| |||||||||||||||
Incremental B-2019 Term Loan, 1 Month LIBOR + 2.000% |
| |||||||||||||||
3.072%(c) | 09/13/26 | 778 | 727,467 | |||||||||||||
Repriced Term Loan, 1 Month LIBOR + 1.750% |
| |||||||||||||||
1.928%(c) | 06/27/23 | 908 | 839,564 | |||||||||||||
|
| |||||||||||||||
2,712,815 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.3% |
| |||||||||||||||
AthenaHealth, Inc., |
| |||||||||||||||
Term B Loan (First Lien), 3 Month LIBOR + 4.500% |
| |||||||||||||||
4.818%(c) | 02/11/26 | 5,850 | 5,635,187 | |||||||||||||
Sotera Health Holdings LLC, |
| |||||||||||||||
First Lien Initial Term Loan, 1 Month LIBOR + 4.500% |
| |||||||||||||||
5.500%(c) | 12/11/26 | 4,768 | 4,653,321 | |||||||||||||
|
| |||||||||||||||
10,288,508 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 0.4% |
| |||||||||||||||
Air Medical Group Holdings, Inc., |
| |||||||||||||||
2018 Term Loan, 3 Month LIBOR + 3.250% |
| |||||||||||||||
4.250%(c) | 04/28/22 | 1,457 | 1,397,471 | |||||||||||||
Eyecare Partners LLC, |
| |||||||||||||||
First Lien Initial Term Loan, 3 Month LIBOR + 3.750% |
| |||||||||||||||
4.822%(c) | 02/18/27 | 154 | 137,854 | |||||||||||||
HCA, Inc., |
| |||||||||||||||
Tranche B-12 Term Loan, 1 Month LIBOR + 1.750% |
| |||||||||||||||
1.928%(c) | 03/13/25 | 984 | 962,858 | |||||||||||||
Jaguar Holding Co. II, |
| |||||||||||||||
2018 Term Loan, 1 Month LIBOR + 2.500% |
| |||||||||||||||
3.500%(c) | 08/18/22 | 2,506 | 2,460,607 | |||||||||||||
LifePoint Health, Inc., |
| |||||||||||||||
First Lien Term B Loan, 1 Month LIBOR + 3.750% |
| |||||||||||||||
3.928%(c) | 11/17/25 | 4,123 | 3,841,787 | |||||||||||||
Phoenix Guarantor, Inc., |
| |||||||||||||||
Tranche B-1 Term Loan, 1 Month LIBOR + 3.250% |
| |||||||||||||||
3.435%(c) | 03/05/26 | 2,475 | 2,376,060 | |||||||||||||
Radnet Management, Inc., |
| |||||||||||||||
Term B-1 Loan (First Lien), 1 - 6 Month LIBOR + 3.750% |
| |||||||||||||||
4.750%(c) | 06/30/23 | 2,158 | 2,051,279 | |||||||||||||
|
| |||||||||||||||
13,227,916 | ||||||||||||||||
|
| |||||||||||||||
Holding Companies-Diversified — 0.1% |
| |||||||||||||||
First Eagle Holdings, Inc., |
| |||||||||||||||
2018 Refinancing Term Loan B, 3 Month LIBOR + 2.500% |
| |||||||||||||||
2.808%(c) | 02/01/27 | 2,200 | 2,111,456 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A203
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
BANK LOANS (continued) |
| |||||||||||||||
Household Products/Wares — 0.1% |
| |||||||||||||||
Reynolds Consumer Products LLC, |
| |||||||||||||||
Initial Term Loan, 1 Month LIBOR + 1.750% |
| |||||||||||||||
1.928%(c) | 02/04/27 | 4,309 | $ | 4,135,388 | ||||||||||||
|
| |||||||||||||||
Insurance — 0.1% |
| |||||||||||||||
Asurion LLC, |
| |||||||||||||||
Amendment No. 14 Replacement B-4 Term Loan, 1 Month LIBOR + 3.000% |
| |||||||||||||||
3.178%(c) | 08/04/22 | 1,887 | 1,834,404 | |||||||||||||
New B-7 Term Loan, 1 Month LIBOR + 3.000% |
| |||||||||||||||
3.178%(c) | 11/03/24 | 1,627 | 1,567,703 | |||||||||||||
|
| |||||||||||||||
3,402,107 | ||||||||||||||||
|
| |||||||||||||||
Investment Companies — 0.0% |
| |||||||||||||||
FinCo I LLC, |
| |||||||||||||||
2018 Replacement Term Loan, 1 Month LIBOR + 2.000% |
| |||||||||||||||
2.178%(c) | 12/27/22 | 1,353 | 1,300,857 | |||||||||||||
|
| |||||||||||||||
Leisure Time — 0.0% |
| |||||||||||||||
Alterra Mountain Co., |
| |||||||||||||||
First Lien Term Loan, 1 Month LIBOR + 4.500% |
| |||||||||||||||
5.500%(c) | 05/13/26 | 1,152 | 1,080,952 | |||||||||||||
|
| |||||||||||||||
Lodging — 0.5% |
| |||||||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc., |
| |||||||||||||||
Term B Loan, 1 Month LIBOR + 2.750% |
| |||||||||||||||
2.928%(c) | 12/23/24 | 2,550 | 2,269,935 | |||||||||||||
Term Loan |
| |||||||||||||||
—%(p) | 06/19/25 | 1,960 | 1,823,500 | |||||||||||||
CityCenter Holdings LLC, |
| |||||||||||||||
Refinancing Term Loan, 1 Month LIBOR + 2.250% |
| |||||||||||||||
3.000%(c) | 04/18/24 | 1,713 | 1,552,887 | |||||||||||||
Four Seasons Hotels Ltd. (Canada), |
| |||||||||||||||
Restated Term Loan, 1 Month LIBOR + 2.000% |
| |||||||||||||||
2.178%(c) | 11/30/23 | 1,365 | 1,292,138 | |||||||||||||
Golden Nugget LLC, |
| |||||||||||||||
First Initial Term Loan, 1 - 2 Month LIBOR + 2.500% |
| |||||||||||||||
3.398%(c) | 10/04/23 | 2,431 | 1,974,280 | |||||||||||||
Hilton Worldwide Finance LLC, |
| |||||||||||||||
Refinance Series B-2 Term Loan, 1 Month LIBOR + 1.750% |
| |||||||||||||||
1.935%(c) | 06/22/26 | 3,644 | 3,397,967 | |||||||||||||
Station Casinos LLC, |
| |||||||||||||||
Term B-1 Facility Loan, 1 Month LIBOR + 2.250% |
| |||||||||||||||
2.500%(c) | 02/08/27 | 1,083 | 988,589 | |||||||||||||
Wynn Resorts Finance LLC, |
| |||||||||||||||
Term A Facility, 1 Month LIBOR + 1.750% |
| |||||||||||||||
1.930%(c) | 09/20/24^ | 4,707 | 4,377,161 | |||||||||||||
|
| |||||||||||||||
17,676,457 | ||||||||||||||||
|
| |||||||||||||||
Media — 0.5% |
| |||||||||||||||
Charter Communications Operating LLC, |
| |||||||||||||||
Term Loan B1, 1 Month LIBOR + 1.750% |
| |||||||||||||||
1.930%(c) | 04/30/25 | 2,926 | 2,817,722 | |||||||||||||
CSC Holdings LLC, |
| |||||||||||||||
September 2019 Term Loan, 1 Month LIBOR + 2.500% |
| |||||||||||||||
2.685%(c) | 04/15/27 | 738 | 699,766 | |||||||||||||
Diamond Sports Group LLC, |
| |||||||||||||||
Term Loan, 3 Month LIBOR + 3.250% |
| |||||||||||||||
3.430%(c) | 08/24/26 | 116 | 94,354 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
BANK LOANS (continued) |
| |||||||||||||||
Media (continued) |
| |||||||||||||||
Entercom Media Corp., |
| |||||||||||||||
Term Loan B-2, 1 Month LIBOR + 2.500% |
| |||||||||||||||
4.061%(c) | 11/18/24 | 271 | $ | 251,699 | ||||||||||||
iHeartCommunications, Inc., |
| |||||||||||||||
New Term Loan, 1 Month LIBOR + 3.000% |
| |||||||||||||||
3.178%(c) | 05/01/26 | 1,723 | 1,584,178 | |||||||||||||
Nexstar Broadcasting, Inc., |
| |||||||||||||||
Term B-4 Loan, 1 Month LIBOR + 2.750% |
| |||||||||||||||
2.923%(c) | 09/18/26 | 2,283 | 2,167,020 | |||||||||||||
Univision Communications, Inc., |
| |||||||||||||||
2020 Replacement New First-Lien Term Loans, 1 Month LIBOR + 3.750% |
| |||||||||||||||
4.750%(c) | 03/16/26 | 260 | 241,583 | |||||||||||||
Term Loan |
| |||||||||||||||
—%(p) | 03/15/24 | 2,394 | 2,212,783 | |||||||||||||
Virgin Media Bristol LLC, |
| |||||||||||||||
N Facility, 1 Month LIBOR + 2.500% |
| |||||||||||||||
2.685%(c) | 01/31/28 | 4,640 | 4,428,499 | |||||||||||||
Ziggo Financing Partnership (Netherlands), |
| |||||||||||||||
Term Loan I, 1 Month LIBOR + 2.500% |
| |||||||||||||||
2.685%(c) | 04/30/28 | 1,005 | 946,977 | |||||||||||||
|
| |||||||||||||||
15,444,581 | ||||||||||||||||
|
| |||||||||||||||
Packaging & Containers — 0.0% |
| |||||||||||||||
Berry Global, Inc., |
| |||||||||||||||
Term W Loan, 1 Month LIBOR + 2.000% |
| |||||||||||||||
2.177%(c) | 10/01/22 | 1,730 | 1,681,074 | |||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 0.4% |
| |||||||||||||||
Bausch Health Co., Inc., |
| |||||||||||||||
Initial Term Loan, 1 Month LIBOR + 3.000% |
| |||||||||||||||
3.190%(c) | 06/02/25 | 1,902 | 1,843,205 | |||||||||||||
BioScrip, Inc., |
| |||||||||||||||
Term Loan |
| |||||||||||||||
—%(p) | 08/06/26 | 1,861 | 1,804,831 | |||||||||||||
Change Healthcare Holdings LLC, |
| |||||||||||||||
Closing Date Term Loan, 3 Month LIBOR + 2.500% |
| |||||||||||||||
3.500%(c) | 03/01/24 | 4,330 | 4,148,559 | |||||||||||||
Elanco Animal Health, Inc., |
| |||||||||||||||
Term Loan |
| |||||||||||||||
—%(p) | 02/04/27 | 3,770 | 3,592,497 | |||||||||||||
Grifols Worldwide Operations Ltd. (Spain), |
| |||||||||||||||
Dollar Tranche B Term Loan, 1 Month LIBOR + 2.000% |
| |||||||||||||||
2.109%(c) | 11/15/27 | 3,761 | 3,613,789 | |||||||||||||
|
| |||||||||||||||
15,002,881 | ||||||||||||||||
|
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.0% |
| |||||||||||||||
VICI Properties 1 LLC, |
| |||||||||||||||
Term B Loan, 1 Month LIBOR + 1.750% |
| |||||||||||||||
1.940%(c) | 12/20/24 | 1,520 | 1,413,600 | |||||||||||||
|
| |||||||||||||||
Retail — 0.2% |
| |||||||||||||||
1011778 BC Unlimited Liability Co. (Canada), |
| |||||||||||||||
Term Loan B-4, 1 Month LIBOR + 1.750% |
| |||||||||||||||
1.928%(c) | 11/19/26 | 4,931 | 4,662,182 | |||||||||||||
Academy Ltd., |
| |||||||||||||||
Initial Term Loan, 1 Month LIBOR + 4.000% |
| |||||||||||||||
5.000%(c) | 07/01/22 | 2,043 | 1,630,430 |
SEE NOTES TO FINANCIAL STATEMENTS.
A204
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
BANK LOANS (continued) |
| |||||||||||||||
Retail (continued) |
| |||||||||||||||
Michaels Stores, Inc., |
| |||||||||||||||
2018 New Replacement Term B Loan, 1 - 3 Month LIBOR + 2.500% |
| |||||||||||||||
3.546%(c) | 01/30/23 | 990 | $ | 903,167 | ||||||||||||
|
| |||||||||||||||
7,195,779 | ||||||||||||||||
|
| |||||||||||||||
Software — 0.1% |
| |||||||||||||||
Dcert Buyer, Inc., |
| |||||||||||||||
First Lien Initial Term Loan, 1 Month LIBOR + 4.000% |
| |||||||||||||||
4.178%(c) | 10/16/26 | 4,140 | 3,993,012 | |||||||||||||
MA FinanceCo LLC, |
| |||||||||||||||
Tranche B-3 Term Loan, 1 Month LIBOR + 2.500% |
| |||||||||||||||
2.678%(c) | 06/21/24 | 54 | 50,577 | |||||||||||||
Seattle Escrow Borrower LLC, |
| |||||||||||||||
Initial Term Loan, 1 Month LIBOR + 2.500% |
| |||||||||||||||
2.678%(c) | 06/21/24 | 367 | 341,562 | |||||||||||||
|
| |||||||||||||||
4,385,151 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 0.1% |
| |||||||||||||||
Level 3 Financing, Inc., |
| |||||||||||||||
Tranche B 2027 Term Loans, 3 Month LIBOR + 1.750% |
| |||||||||||||||
1.928%(c) | 03/01/27 | 2,060 | 1,942,319 | |||||||||||||
Numericable US LLC (France), |
| |||||||||||||||
USD TLB-12 Term Loan, 1 Month LIBOR + 3.688% |
| |||||||||||||||
4.438%(c) | 01/31/26 | 1,784 | 1,704,992 | |||||||||||||
Sprint Communications, Inc., |
| |||||||||||||||
Term Loan, 1 Month LIBOR + 3.000% |
| |||||||||||||||
3.178%(c) | 04/01/27 | 1,410 | 1,407,885 | |||||||||||||
|
| |||||||||||||||
5,055,196 | ||||||||||||||||
|
| |||||||||||||||
Transportation — 0.1% |
| |||||||||||||||
Genesee & Wyoming, Inc., |
| |||||||||||||||
Initial Term Loan, 3 Month LIBOR + 2.000% |
| |||||||||||||||
2.308%(c) | 12/30/26 | 3,401 | 3,272,219 | |||||||||||||
|
| |||||||||||||||
TOTAL BANK LOANS |
| 164,034,880 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.4% |
| |||||||||||||||
BX Commercial Mortgage Trust, |
| |||||||||||||||
Series 2018-IND, Class H, 144A, 1 Month LIBOR + 3.000% |
| |||||||||||||||
3.185%(c) | 11/15/35 | 17,283 | 16,766,976 | |||||||||||||
CHT Mortgage Trust, |
| |||||||||||||||
Series 2017-CSMO, Class A, 144A, 1 Month LIBOR + 0.930% |
| |||||||||||||||
1.115%(c) | 11/15/36 | 3,490 | 3,336,996 | |||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2019-GC41, Class XA, IO |
| |||||||||||||||
1.188%(cc) | 08/10/56 | 53,876 | 3,936,370 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2013-CR12, Class AM |
| |||||||||||||||
4.300% | 10/10/46 | 450 | 475,293 | |||||||||||||
Series 2013-CR12, Class B |
| |||||||||||||||
4.762%(cc) | 10/10/46 | 390 | 406,357 | |||||||||||||
Series 2013-CR12, Class C |
| |||||||||||||||
5.240%(cc) | 10/10/46 | 190 | 178,767 | |||||||||||||
Series 2014-CR17, Class XA, IO |
| |||||||||||||||
1.133%(cc) | 05/10/47 | 32,063 | 979,505 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2015-LC23, Class C |
| |||||||||||||||
4.800%(cc) | 10/10/48 | 2,238 | $ | 2,185,513 | ||||||||||||
Series 2015-PC01, Class D |
| |||||||||||||||
4.577%(cc) | 07/10/50 | 2,212 | 1,515,676 | |||||||||||||
Credit Suisse Commercial Mortgage Trust, |
| |||||||||||||||
Series 2006-C05, Class AJ |
| |||||||||||||||
5.373% | 12/15/39 | 1,030 | 458,991 | |||||||||||||
Credit Suisse European Mortgage Capital, |
| |||||||||||||||
Series 2020-TF, Class A |
| |||||||||||||||
—%(p) | 08/09/24^ | 5,303 | 4,878,959 | |||||||||||||
Credit Suisse Mortgage Capital LLC, |
| |||||||||||||||
Series 2014-USA, Class A2, 144A |
| |||||||||||||||
3.953% | 09/15/37 | 2,470 | 2,410,577 | |||||||||||||
Series 2014-USA, Class F, 144A |
| |||||||||||||||
4.373% | 09/15/37 | 5,420 | 3,968,530 | |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2017-TIME, Class A, 144A |
| |||||||||||||||
3.646% | 11/13/39 | 2,950 | 2,843,029 | |||||||||||||
Fannie Mae-Aces, |
| |||||||||||||||
Series 2015-M04, Class X2, IO |
| |||||||||||||||
0.483%(cc) | 07/25/22 | 12,863 | 82,324 | |||||||||||||
Series 2017-M08, Class A2 |
| |||||||||||||||
3.061%(cc) | 05/25/27 | 500 | 558,871 | |||||||||||||
Series 2019-M04, Class A2 |
| |||||||||||||||
3.610% | 02/25/31 | 1,950 | 2,323,615 | |||||||||||||
Series 2019-M06, Class A2 |
| |||||||||||||||
3.450% | 01/01/29 | 4,110 | 4,737,877 | |||||||||||||
Series 2019-M14, Class X1, IO |
| |||||||||||||||
0.706%(cc) | 06/25/29 | 9,970 | 437,643 | |||||||||||||
Series 2019-M27, Class A2 |
| |||||||||||||||
2.700% | 11/25/40 | 1,400 | 1,497,443 | |||||||||||||
Series 2020-M06, Class A |
| |||||||||||||||
2.500% | 10/25/37 | 491 | 520,980 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
| |||||||||||||||
Series K016, Class X1, IO |
| |||||||||||||||
1.635%(cc) | 10/25/21 | 368 | 5,650 | |||||||||||||
Series K092, Class X1, IO |
| |||||||||||||||
0.852%(cc) | 04/25/29 | 9,989 | 546,556 | |||||||||||||
Series K094, Class X1, IO |
| |||||||||||||||
1.016%(cc) | 06/25/29 | 6,995 | 470,760 | |||||||||||||
Series K094, Class XAM, IO |
| |||||||||||||||
1.283%(cc) | 06/25/29 | 4,850 | 407,627 | |||||||||||||
Series K095, Class X1, IO |
| |||||||||||||||
1.082%(cc) | 06/25/29 | 6,189 | 445,179 | |||||||||||||
Series K095, Class XAM, IO |
| |||||||||||||||
1.372%(cc) | 06/25/29 | 1,700 | 166,808 | |||||||||||||
Series K099, Class X1, IO |
| |||||||||||||||
1.006%(cc) | 09/25/29 | 6,133 | 424,091 | |||||||||||||
Series K101, Class X1, IO |
| |||||||||||||||
0.949%(cc) | 10/25/29 | 1,199 | 79,318 | |||||||||||||
Series K735, Class X1, IO |
| |||||||||||||||
1.102%(cc) | 05/25/26 | 6,394 | 312,636 | |||||||||||||
Series K736, Class X1, IO |
| |||||||||||||||
1.437%(cc) | 07/25/26 | 12,297 | 813,367 | |||||||||||||
Series K737, Class X1, IO |
| |||||||||||||||
0.752%(cc) | 10/25/26 | 13,990 | 479,815 |
SEE NOTES TO FINANCIAL STATEMENTS.
A205
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series KC05, Class X1, IO |
| |||||||||||||||
1.204%(cc) | 06/25/27 | 6,993 | $ | 416,524 | ||||||||||||
Freddie Mac Multiclass Certificates, |
| |||||||||||||||
Series 2020-RR02, Class BX, IO |
| |||||||||||||||
1.666%(cc) | 08/27/28 | 2,000 | 226,613 | |||||||||||||
FREMF Mortgage Trust, |
| |||||||||||||||
Series 2012-K20, Class X2A, IO, 144A |
| |||||||||||||||
0.200% | 05/25/45 | 55,845 | 169,747 | |||||||||||||
Government National Mortgage Assoc., |
| |||||||||||||||
Series 2013-072, Class IO, IO |
| |||||||||||||||
0.498%(cc) | 11/16/47 | 16,188 | 391,386 | |||||||||||||
Series 2013-085, Class IA, IO |
| |||||||||||||||
0.685%(cc) | 03/16/47 | 35,104 | 1,031,362 | |||||||||||||
Series 2013-107, Class AD |
| |||||||||||||||
2.694%(cc) | 11/16/47 | 1,875 | 1,980,202 | |||||||||||||
Series 2015-183, Class IO, IO |
| |||||||||||||||
0.857%(cc) | 09/16/57 | 18,275 | 993,466 | |||||||||||||
Series 2017-008, Class IO, IO |
| |||||||||||||||
0.646%(cc) | 08/16/58 | 3,648 | 175,322 | |||||||||||||
Series 2017-041, Class IO, IO |
| |||||||||||||||
0.760%(cc) | 07/16/58 | 3,468 | 193,545 | |||||||||||||
Series 2017-111, Class IO, IO |
| |||||||||||||||
0.739%(cc) | 02/16/59 | 5,558 | 328,949 | |||||||||||||
Series 2017-145, Class IO, IO |
| |||||||||||||||
0.665%(cc) | 04/16/57 | 4,672 | 246,457 | |||||||||||||
Series 2017-157, Class IO, IO |
| |||||||||||||||
0.570%(cc) | 12/16/59 | 3,667 | 187,866 | |||||||||||||
Series 2018-119, Class IO, IO |
| |||||||||||||||
0.658%(cc) | 05/16/60 | 2,715 | 165,101 | |||||||||||||
GS Mortgage Securities Corp. II, |
| |||||||||||||||
Series 2015-GC30, Class AS |
| |||||||||||||||
3.777%(cc) | 05/10/50 | 4,988 | 5,262,034 | |||||||||||||
Series 2015-GC30, Class B |
| |||||||||||||||
4.169%(cc) | 05/10/50 | 1,540 | 1,565,483 | |||||||||||||
Series 2018-SRP5, Class A, 144A, 1 Month LIBOR + 1.300% |
| |||||||||||||||
1.485%(c) | 09/15/31 | 11,720 | 11,070,915 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2006-GG08, Class AJ |
| |||||||||||||||
5.622% | 11/10/39 | 1,544 | 1,045,083 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-C17, Class B |
| |||||||||||||||
5.053%(cc) | 01/15/47 | 540 | 565,136 | |||||||||||||
Series 2015-C30, Class C |
| |||||||||||||||
4.411%(cc) | 07/15/48 | 3,667 | 3,519,148 | |||||||||||||
Series 2015-C31, Class B |
| |||||||||||||||
4.773%(cc) | 08/15/48 | 3,600 | 3,801,185 | |||||||||||||
JPMCC Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2019-BOLT, Class B, 144A, 1 Month LIBOR + 2.200% |
| |||||||||||||||
2.385%(c) | 07/15/34 | 3,984 | 3,724,202 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2007-CB19, Class AJ |
| |||||||||||||||
6.074%(cc) | 02/12/49 | 470 | 181,062 | |||||||||||||
Series 2007-LD12, Class AJ |
| |||||||||||||||
6.710%(cc) | 02/15/51 | 18 | 16,958 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
ML-CFC Commercial Mortgage Trust, |
| |||||||||||||||
Series 2007-09, Class AJ |
| |||||||||||||||
6.155%(cc) | 09/12/49 | 1,132 | $ | 420,855 | ||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2006-IQ12, Class AJ |
| |||||||||||||||
5.399% | 12/15/43 | 325 | 215,932 | |||||||||||||
Series 2007-IQ13, Class AJ |
| |||||||||||||||
5.438% | 03/15/44 | 30 | 29,964 | |||||||||||||
Series 2019-BPR, Class A, 144A, 1 Month LIBOR + 1.400% |
| |||||||||||||||
1.585%(c) | 05/15/36 | 8,170 | 7,239,050 | |||||||||||||
Rosslyn Portfolio Trust, |
| |||||||||||||||
Series 2017-ROSS, Class A, 144A, 1 Month LIBOR + 0.950% |
| |||||||||||||||
1.939%(c) | 06/15/33 | 2,700 | 2,646,001 | |||||||||||||
Shops at Crystals Trust, |
| |||||||||||||||
Series 2016-CSTL, Class A, 144A |
| |||||||||||||||
3.126% | 07/05/36 | 1,900 | 1,803,763 | |||||||||||||
Tharaldson Hotel Portfolio Trust, |
| |||||||||||||||
Series 2018-THL, Class A, 144A, 1 Month LIBOR + 0.750% |
| |||||||||||||||
0.925%(c) | 11/11/34 | 3,062 | 2,893,236 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2013-LC12, Class B |
| |||||||||||||||
4.411%(cc) | 07/15/46 | 569 | 514,644 | |||||||||||||
WFRBS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2012-C07, Class XA, IO, 144A |
| |||||||||||||||
1.480%(cc) | 06/15/45 | 14,345 | 252,718 | |||||||||||||
Series 2013-C14, Class D, 144A |
| |||||||||||||||
4.106%(cc) | 06/15/46 | 650 | 293,899 | |||||||||||||
Series 2014-C19, Class XA, IO |
| |||||||||||||||
1.192%(cc) | 03/15/47 | 10,069 | 266,024 | |||||||||||||
Series 2014-C25, Class C |
| |||||||||||||||
4.459%(cc) | 11/15/47 | 3,570 | 3,281,167 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 115,767,098 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 39.9% |
| |||||||||||||||
Aerospace & Defense — 1.2% |
| |||||||||||||||
Boeing Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.700% | 02/01/27 | 800 | 777,408 | |||||||||||||
2.800% | 03/01/27 | 760 | 732,134 | |||||||||||||
3.100% | 05/01/26 | 590 | 601,138 | |||||||||||||
3.200% | 03/01/29 | (a) | 1,520 | 1,503,007 | ||||||||||||
3.250% | 02/01/35 | 3,590 | 3,240,811 | |||||||||||||
3.550% | 03/01/38 | 310 | 271,368 | |||||||||||||
3.750% | 02/01/50 | (a) | 1,030 | 934,633 | ||||||||||||
4.875% | 05/01/25 | (a) | 4,220 | 4,602,657 | ||||||||||||
5.150% | 05/01/30 | 2,070 | 2,307,024 | |||||||||||||
5.705% | 05/01/40 | 1,690 | 1,923,764 | |||||||||||||
5.805% | 05/01/50 | 3,930 | 4,633,850 | |||||||||||||
5.930% | 05/01/60 | 1,270 | 1,491,674 | |||||||||||||
General Dynamics Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.250% | 04/01/25 | 650 | 722,270 |
SEE NOTES TO FINANCIAL STATEMENTS.
A206
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Aerospace & Defense (continued) |
| |||||||||||||||
General Dynamics Corp., (continued) |
| |||||||||||||||
3.500% | 05/15/25 | 200 | $ | 224,033 | ||||||||||||
4.250% | 04/01/40 | 70 | 87,103 | |||||||||||||
4.250% | 04/01/50 | 600 | 775,198 | |||||||||||||
L3Harris Technologies, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.854% | 04/27/35 | (a) | 490 | 622,627 | ||||||||||||
5.054% | 04/27/45 | 1,120 | 1,468,992 | |||||||||||||
Lockheed Martin Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100% | 01/15/23 | 240 | 255,252 | |||||||||||||
3.550% | 01/15/26 | 420 | 481,917 | |||||||||||||
4.500% | 05/15/36 | 480 | 622,215 | |||||||||||||
Northrop Grumman Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.930% | 01/15/25 | 2,100 | 2,269,765 | |||||||||||||
3.250% | 01/15/28 | 810 | 904,762 | |||||||||||||
5.250% | 05/01/50 | 830 | 1,196,695 | |||||||||||||
Raytheon Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.125% | 10/15/20 | 1,030 | 1,038,181 | |||||||||||||
Raytheon Technologies Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.250% | 07/01/30 | 1,250 | 1,299,482 | |||||||||||||
3.950% | 08/16/25 | 970 | 1,105,075 | |||||||||||||
4.125% | 11/16/28 | 570 | 671,387 | |||||||||||||
4.500% | 06/01/42 | 770 | 956,133 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.150% | 12/15/24 | 595 | 643,010 | |||||||||||||
TransDigm, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.250% | 03/15/26 | 720 | 720,259 | |||||||||||||
8.000% | 12/15/25 | 310 | 325,590 | |||||||||||||
|
| |||||||||||||||
39,409,414 | ||||||||||||||||
|
| |||||||||||||||
Agriculture — 1.0% |
| |||||||||||||||
Altria Group, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.350% | 05/06/25 | 350 | 367,968 | |||||||||||||
2.850% | 08/09/22 | 1,060 | 1,104,146 | |||||||||||||
3.490% | 02/14/22 | 1,010 | 1,054,012 | |||||||||||||
3.800% | 02/14/24 | 1,110 | 1,214,694 | |||||||||||||
3.875% | 09/16/46 | 570 | 565,502 | |||||||||||||
4.400% | 02/14/26 | 1,410 | 1,621,292 | |||||||||||||
4.800% | 02/14/29 | (a) | 3,790 | 4,418,082 | ||||||||||||
5.800% | 02/14/39 | 2,250 | 2,799,361 | |||||||||||||
5.950% | 02/14/49 | (a) | 2,070 | 2,697,260 | ||||||||||||
6.200% | 02/14/59 | 800 | 1,065,441 | |||||||||||||
BAT Capital Corp. (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.557% | 08/15/27 | (a) | 6,420 | 6,913,161 | ||||||||||||
4.540% | 08/15/47 | 2,720 | 2,946,637 | |||||||||||||
Cargill, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.375% | 07/23/23 | 1,280 | 1,300,675 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Agriculture (continued) |
| |||||||||||||||
Philip Morris International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.125% | 05/01/23 | 770 | $ | 782,434 | ||||||||||||
2.100% | 05/01/30 | (a) | 840 | 866,278 | ||||||||||||
2.500% | 08/22/22 | 1,710 | 1,778,087 | |||||||||||||
2.500% | 11/02/22 | 620 | 647,886 | |||||||||||||
2.900% | 11/15/21 | 2,060 | 2,132,151 | |||||||||||||
4.500% | 03/20/42 | 240 | 293,499 | |||||||||||||
Reynolds American, Inc. (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.150% | 09/15/43 | 990 | 1,221,356 | |||||||||||||
|
| |||||||||||||||
35,789,922 | ||||||||||||||||
|
| |||||||||||||||
Airlines — 0.5% |
| |||||||||||||||
Delta Air Lines 2007-1 Class A Pass-Through Trust, Pass-Through Certificates |
| |||||||||||||||
6.821% | 02/10/24 | 1,023 | 1,002,837 | |||||||||||||
Delta Air Lines, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.000% | 05/01/25 | 6,680 | 6,894,772 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.600% | 12/04/20 | 470 | 461,249 | |||||||||||||
2.900% | 10/28/24 | 170 | 137,440 | |||||||||||||
3.400% | 04/19/21 | 2,360 | 2,300,873 | |||||||||||||
3.625% | 03/15/22 | 1,130 | 1,069,597 | |||||||||||||
3.800% | 04/19/23 | 500 | 444,716 | |||||||||||||
7.375% | 01/15/26 | 2,490 | 2,409,123 | |||||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
6.500% | 06/20/27 | 1,590 | 1,591,621 | |||||||||||||
|
| |||||||||||||||
16,312,228 | ||||||||||||||||
|
| |||||||||||||||
Apparel — 0.3% |
| |||||||||||||||
Hanesbrands, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 05/15/24 | 150 | 150,434 | |||||||||||||
4.875% | 05/15/26 | (a) | 620 | 624,858 | ||||||||||||
5.375% | 05/15/25 | 870 | 880,349 | |||||||||||||
Levi Strauss & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.000% | 05/01/25 | 730 | 734,157 | |||||||||||||
NIKE, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.400% | 03/27/25 | 710 | 764,916 | |||||||||||||
2.750% | 03/27/27 | 1,220 | 1,338,920 | |||||||||||||
2.850% | 03/27/30 | 990 | 1,101,613 | |||||||||||||
3.250% | 03/27/40 | 660 | 736,066 | |||||||||||||
3.375% | 03/27/50 | (a) | 2,280 | 2,623,657 | ||||||||||||
|
| |||||||||||||||
8,954,970 | ||||||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 0.3% |
| |||||||||||||||
Ford Motor Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.750% | 01/15/43 | 680 | 536,310 | |||||||||||||
8.500% | 04/21/23 | 1,080 | 1,141,886 | |||||||||||||
9.000% | 04/22/25 | 350 | 378,450 |
SEE NOTES TO FINANCIAL STATEMENTS.
A207
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Auto Manufacturers (continued) |
| |||||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.336% | 03/18/21 | 200 | $ | 198,000 | ||||||||||||
3.339% | 03/28/22 | 200 | 194,507 | |||||||||||||
5.125% | 06/16/25 | 200 | 199,800 | |||||||||||||
5.875% | 08/02/21 | 1,930 | 1,949,135 | |||||||||||||
General Motors Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.150% | 04/01/38 | 320 | 311,256 | |||||||||||||
5.400% | 10/02/23 | 550 | 594,961 | |||||||||||||
5.950% | 04/01/49 | (a) | 1,420 | 1,479,127 | ||||||||||||
6.125% | 10/01/25 | (a) | 950 | 1,067,396 | ||||||||||||
6.250% | 10/02/43 | 420 | 441,818 | |||||||||||||
General Motors Financial Co., Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.450% | 11/06/20 | 640 | 641,601 | |||||||||||||
3.450% | 04/10/22 | 490 | 499,082 | |||||||||||||
4.250% | 05/15/23 | 200 | 208,614 | |||||||||||||
4.350% | 01/17/27 | 380 | 395,091 | |||||||||||||
4.375% | 09/25/21 | 1,430 | 1,468,484 | |||||||||||||
|
| |||||||||||||||
11,705,518 | ||||||||||||||||
|
| |||||||||||||||
Auto Parts & Equipment — 0.1% |
| |||||||||||||||
ZF North America Capital, Inc. (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.500% | 04/29/22 | 2,151 | 2,210,940 | |||||||||||||
|
| |||||||||||||||
Banks — 12.2% |
| |||||||||||||||
ABN AMRO Bank NV (Netherlands), |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.750% | 07/28/25 | 1,940 | 2,140,590 | |||||||||||||
BAC Capital Trust XIV, |
| |||||||||||||||
Ltd. Gtd. Notes, Series G, 3 Month LIBOR + 0.400% |
| |||||||||||||||
4.000%(c) | — | (rr) | 190 | 169,185 | ||||||||||||
Banco de Credito e Inversiones SA (Chile), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.500% | 10/12/27 | 1,430 | 1,510,064 | |||||||||||||
Banco Santander SA (Spain), |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120% |
| |||||||||||||||
2.431%(c) | 04/12/23 | 1,000 | 986,262 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.746% | 05/28/25 | 4,200 | 4,343,205 | |||||||||||||
3.848% | 04/12/23 | 1,200 | 1,275,992 | |||||||||||||
4.379% | 04/12/28 | 2,000 | 2,238,229 | |||||||||||||
Bank of America Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series AA |
| |||||||||||||||
6.100%(ff) | — | (rr) | 120 | 127,479 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.592%(ff) | 04/29/31 | 1,500 | 1,589,146 | |||||||||||||
3.004%(ff) | 12/20/23 | 2,400 | 2,520,843 | |||||||||||||
3.419%(ff) | 12/20/28 | 4,242 | 4,722,557 | |||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.300% | 01/11/23 | 4,400 | 4,685,756 | |||||||||||||
3.500% | 04/19/26 | 2,790 | 3,140,156 | |||||||||||||
3.593%(ff) | 07/21/28 | 580 | 651,440 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
1.319%(ff) | 06/19/26 | 4,270 | 4,279,382 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
Bank of America Corp., (continued) |
| |||||||||||||||
3.550%(ff) | 03/05/24 | 2,690 | $ | 2,872,180 | ||||||||||||
3.824%(ff) | 01/20/28 | 1,873 | 2,115,839 | |||||||||||||
3.974%(ff) | 02/07/30 | 870 | 1,011,278 | |||||||||||||
4.000% | 04/01/24 | (a) | 4,030 | 4,471,039 | ||||||||||||
4.083%(ff) | 03/20/51 | 4,520 | 5,608,157 | |||||||||||||
4.125% | 01/22/24 | 2,080 | 2,303,314 | |||||||||||||
4.330%(ff) | 03/15/50 | 1,060 | 1,357,304 | |||||||||||||
5.000% | 01/21/44 | 2,060 | 2,817,920 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.000% | 01/22/25 | 1,839 | 2,033,654 | |||||||||||||
4.200% | 08/26/24 | 1,410 | 1,564,362 | |||||||||||||
4.250% | 10/22/26 | 240 | 275,026 | |||||||||||||
4.450% | 03/03/26 | 1,953 | 2,243,400 | |||||||||||||
Bank of Montreal (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
1.850% | 05/01/25 | 2,490 | 2,575,979 | |||||||||||||
Sub. Notes |
| |||||||||||||||
3.803%(ff) | 12/15/32 | 470 | 502,892 | |||||||||||||
Bank of New York Mellon Corp. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
1.600% | 04/24/25 | 730 | 756,643 | |||||||||||||
Bank of Nova Scotia (The) (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.300% | 06/11/25 | 1,500 | 1,510,697 | |||||||||||||
Banque Federative du Credit Mutuel SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.200% | 07/20/20 | 920 | 920,825 | |||||||||||||
Barclays Bank PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.700% | 05/12/22 | 1,030 | 1,048,487 | |||||||||||||
Barclays PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
4.972%(ff) | 05/16/29 | 1,280 | 1,499,863 | |||||||||||||
Sub. Notes |
| |||||||||||||||
5.088%(ff) | 06/20/30 | (a) | 7,560 | 8,587,721 | ||||||||||||
BNP Paribas SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.219%(ff) | 06/09/26 | 1,840 | 1,880,559 | |||||||||||||
3.375% | 01/09/25 | 1,100 | 1,189,410 | |||||||||||||
4.400% | 08/14/28 | 6,340 | 7,339,735 | |||||||||||||
4.705%(ff) | 01/10/25 | (a) | 4,230 | 4,680,838 | ||||||||||||
5.198%(ff) | 01/10/30 | (a) | 2,630 | 3,215,361 | ||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.625% | 03/13/27 | 830 | 932,923 | |||||||||||||
Sub. Notes, 144A, MTN |
| |||||||||||||||
4.375%(ff) | 03/01/33 | (a) | 850 | 946,957 | ||||||||||||
BPCE SA (France), |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
5.150% | 07/21/24 | 1,490 | 1,656,748 | |||||||||||||
Canadian Imperial Bank of Commerce (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
0.950% | 06/23/23 | (a) | 1,490 | 1,495,469 | ||||||||||||
CIT Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.750% | 02/16/24 | 890 | 901,960 | |||||||||||||
5.250% | 03/07/25 | (a) | 740 | 767,588 |
SEE NOTES TO FINANCIAL STATEMENTS.
A208
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
5.950%(ff) | — | (rr) | 1,510 | $ | 1,502,916 | |||||||||||
Jr. Sub. Notes, Series M |
| |||||||||||||||
6.300%(ff) | — | (rr) | 1,690 | 1,688,262 | ||||||||||||
Jr. Sub. Notes, Series P |
| |||||||||||||||
5.950%(ff) | — | (rr) | 5,030 | 5,020,439 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.678%(ff) | 05/15/24 | 1,480 | 1,508,009 | |||||||||||||
2.572%(ff) | 06/03/31 | 910 | 940,106 | |||||||||||||
3.106%(ff) | 04/08/26 | 1,010 | 1,085,342 | |||||||||||||
3.668%(ff) | 07/24/28 | 3,555 | 3,974,910 | |||||||||||||
3.887%(ff) | 01/10/28 | 3,575 | 4,023,898 | |||||||||||||
4.650% | 07/30/45 | 5,048 | 6,473,421 | |||||||||||||
8.125% | 07/15/39 | (a) | 309 | 534,903 | ||||||||||||
Sub. Notes |
| |||||||||||||||
4.050% | 07/30/22 | 300 | 318,224 | |||||||||||||
4.400% | 06/10/25 | 4,050 | 4,527,934 | |||||||||||||
4.450% | 09/29/27 | 4,195 | 4,774,108 | |||||||||||||
4.750% | 05/18/46 | (a) | 350 | 442,691 | ||||||||||||
5.300% | 05/06/44 | 556 | 735,094 | |||||||||||||
5.500% | 09/13/25 | 4,930 | 5,845,994 | |||||||||||||
6.125% | 08/25/36 | 558 | 742,870 | |||||||||||||
Cooperatieve Rabobank UA (Netherlands), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.375% | 08/04/25 | 920 | 1,035,169 | |||||||||||||
4.625% | 12/01/23 | 4,190 | 4,613,193 | |||||||||||||
5.250% | 08/04/45 | 1,200 | 1,644,841 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
1.339%(ff) | 06/24/26 | 3,540 | 3,551,588 | |||||||||||||
Credit Agricole SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
1.907%(ff) | 06/16/26 | 1,250 | 1,266,299 | |||||||||||||
Credit Suisse AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.950% | 04/09/25 | 1,040 | 1,124,376 | |||||||||||||
Credit Suisse Group AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.193%(ff) | 06/05/26 | 3,860 | 3,910,328 | |||||||||||||
4.194%(ff) | 04/01/31 | 1,160 | 1,321,597 | |||||||||||||
Credit Suisse Group Funding Guernsey Ltd. (Switzerland), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.550% | 04/17/26 | 350 | 402,568 | |||||||||||||
Danske Bank A/S (Denmark), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.226% | 06/22/24 | 200 | 200,457 | |||||||||||||
3.244%(ff) | 12/20/25 | 690 | 715,458 | |||||||||||||
5.000% | 01/12/22 | 5,080 | 5,333,380 | |||||||||||||
5.375% | 01/12/24 | 2,960 | 3,299,942 | |||||||||||||
Goldman Sachs Capital II, |
| |||||||||||||||
Ltd. Gtd. Notes, 3 Month LIBOR + 0.768% (Cap N/A, Floor 4.000%) |
| |||||||||||||||
4.000%(c) | — | (rr) | 227 | 188,872 | ||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.876%(ff) | 10/31/22 | 300 | 307,738 | |||||||||||||
3.200% | 02/23/23 | 2,160 | 2,289,034 | |||||||||||||
3.500% | 04/01/25 | 1,590 | 1,743,671 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
Goldman Sachs Group, Inc. (The), (continued) |
| |||||||||||||||
3.500% | 11/16/26 | 1,930 | $ | 2,121,081 | ||||||||||||
4.223%(ff) | 05/01/29 | 946 | 1,096,653 | |||||||||||||
4.750% | 10/21/45 | (a) | 3,180 | 4,208,279 | ||||||||||||
6.250% | 02/01/41 | (a) | 6,970 | 10,448,226 | ||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.850% | 07/08/24 | 720 | 790,766 | |||||||||||||
4.000% | 03/03/24 | 2,610 | 2,884,034 | |||||||||||||
Sub. Notes |
| |||||||||||||||
4.250% | 10/21/25 | 2,180 | 2,453,030 | |||||||||||||
5.150% | 05/22/45 | 3,380 | 4,414,824 | |||||||||||||
6.750% | 10/01/37 | 3,904 | 5,650,080 | |||||||||||||
HSBC Bank USA NA, |
| |||||||||||||||
Sub. Notes, Series A |
| |||||||||||||||
4.875% | 08/24/20 | 2,290 | 2,304,768 | |||||||||||||
HSBC Holdings PLC (United Kingdom), |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
6.500%(ff) | — | (a)(rr) | 4,710 | 4,835,075 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.099%(ff) | 06/04/26 | 2,880 | 2,905,900 | |||||||||||||
2.848%(ff) | 06/04/31 | 2,320 | 2,367,386 | |||||||||||||
3.973%(ff) | 05/22/30 | (a) | 3,570 | 3,965,980 | ||||||||||||
4.583%(ff) | 06/19/29 | 3,330 | 3,838,619 | |||||||||||||
Sub. Notes |
| |||||||||||||||
4.250% | 03/14/24 | 1,600 | 1,725,118 | |||||||||||||
4.250% | 08/18/25 | (a) | 2,710 | 2,951,988 | ||||||||||||
Intesa Sanpaolo SpA (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.125% | 07/14/22 | 1,700 | 1,731,088 | |||||||||||||
3.375% | 01/12/23 | 1,380 | 1,415,035 | |||||||||||||
Sub. Notes, 144A, MTN |
| |||||||||||||||
5.017% | 06/26/24 | 6,800 | 6,985,556 | |||||||||||||
5.710% | 01/15/26 | 300 | 317,574 | |||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.514%(ff) | 06/01/24 | (a) | 3,970 | 4,035,846 | ||||||||||||
2.083%(ff) | 04/22/26 | 2,190 | 2,274,816 | |||||||||||||
2.522%(ff) | 04/22/31 | 1,210 | 1,277,971 | |||||||||||||
2.550% | 03/01/21 | 620 | 627,675 | |||||||||||||
3.109%(ff) | 04/22/51 | 570 | 608,109 | |||||||||||||
3.540%(ff) | 05/01/28 | 1,591 | 1,776,839 | |||||||||||||
3.782%(ff) | 02/01/28 | 1,804 | 2,039,949 | |||||||||||||
4.023%(ff) | 12/05/24 | 430 | 473,754 | |||||||||||||
4.203%(ff) | 07/23/29 | 1,840 | 2,153,078 | |||||||||||||
4.250% | 10/15/20 | 90 | 91,000 | |||||||||||||
4.400% | 07/22/20 | 1,230 | 1,232,790 | |||||||||||||
4.452%(ff) | 12/05/29 | 1,180 | 1,414,345 | |||||||||||||
Sub. Notes |
| |||||||||||||||
3.875% | 09/10/24 | 10 | 11,072 | |||||||||||||
4.250% | 10/01/27 | 690 | 800,447 | |||||||||||||
4.950% | 06/01/45 | (a) | 3,790 | 5,156,659 | ||||||||||||
Lloyds Banking Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.900% | 03/12/24 | 200 | 217,424 | |||||||||||||
4.375% | 03/22/28 | (a) | 1,910 | 2,203,576 |
SEE NOTES TO FINANCIAL STATEMENTS.
A209
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
Morgan Stanley, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.625% | 01/20/27 | 1,456 | $ | 1,639,776 | ||||||||||||
3.737%(ff) | 04/24/24 | (a) | 1,520 | 1,638,394 | ||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
2.699%(ff) | 01/22/31 | 830 | 880,809 | |||||||||||||
3.875% | 01/27/26 | 792 | 899,317 | |||||||||||||
4.000% | 07/23/25 | 1,498 | 1,697,714 | |||||||||||||
5.500% | 07/24/20 | 280 | 280,840 | |||||||||||||
5.597%(ff) | 03/24/51 | 360 | 543,228 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.188%(ff) | 04/28/26 | 3,690 | 3,834,617 | |||||||||||||
3.622%(ff) | 04/01/31 | 3,590 | 4,106,239 | |||||||||||||
National Securities Clearing Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.200% | 04/23/23 | 1,120 | 1,136,410 | |||||||||||||
1.500% | 04/23/25 | 920 | 939,810 | |||||||||||||
Nordea Bank Abp (Finland), |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.875% | 05/13/21 | 3,650 | 3,767,396 | |||||||||||||
Royal Bank of Canada (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
1.600% | 04/17/23 | 2,050 | 2,100,928 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
1.150% | 06/10/25 | 1,420 | 1,423,092 | |||||||||||||
2.150% | 10/26/20 | 1,340 | 1,347,760 | |||||||||||||
Royal Bank of Scotland Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.519%(ff) | 06/25/24 | 200 | 217,296 | |||||||||||||
4.892%(ff) | 05/18/29 | (a) | 2,791 | 3,288,987 | ||||||||||||
Sub. Notes |
| |||||||||||||||
5.125% | 05/28/24 | 3,290 | 3,592,937 | |||||||||||||
6.000% | 12/19/23 | 2,900 | 3,248,317 | |||||||||||||
6.125% | 12/15/22 | 960 | 1,047,142 | |||||||||||||
Santander UK Group Holdings PLC (United Kingdom), |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
5.625% | 09/15/45 | 560 | 700,517 | |||||||||||||
Santander UK PLC (United Kingdom), |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
7.950% | 10/26/29 | 3,368 | 4,513,094 | |||||||||||||
Swedbank AB (Sweden), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.300% | 06/02/23 | 1,740 | 1,763,746 | |||||||||||||
Toronto-Dominion Bank (The) (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
0.750% | 06/12/23 | 2,840 | 2,856,803 | |||||||||||||
1.150% | 06/12/25 | (a) | 1,440 | 1,458,313 | ||||||||||||
U.S. Bancorp, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.450% | 05/12/25 | (a) | 2,950 | 3,036,964 | ||||||||||||
UBS AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.750% | 04/21/22 | 1,680 | 1,711,322 | |||||||||||||
Sub. Notes |
| |||||||||||||||
7.625% | 08/17/22 | 3,940 | 4,389,458 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (continued) |
| |||||||||||||||
UBS Group AG (Switzerland), |
| |||||||||||||||
Jr. Sub. Notes, 144A |
| |||||||||||||||
7.000%(ff) | — | (rr) | 6,900 | $ | 7,193,500 | |||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.859%(ff) | 08/15/23 | 460 | 476,528 | |||||||||||||
3.491% | 05/23/23 | 3,760 | 3,931,667 | |||||||||||||
4.125% | 09/24/25 | 600 | 680,886 | |||||||||||||
4.253% | 03/23/28 | 3,497 | 3,980,553 | |||||||||||||
UniCredit SpA (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
6.572% | 01/14/22 | 4,910 | 5,189,778 | |||||||||||||
Wachovia Capital Trust III, |
| |||||||||||||||
Ltd. Gtd. Notes, 3 Month LIBOR + 0.930% (Cap N/A, Floor 5.570%) |
| |||||||||||||||
5.570%(c) | — | (a)(rr) | 7,470 | 7,404,487 | ||||||||||||
Wells Fargo & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.188%(ff) | 04/30/26 | (a) | 2,370 | 2,448,582 | ||||||||||||
3.000% | 10/23/26 | (a) | 2,648 | 2,882,679 | ||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
1.654%(ff) | 06/02/24 | 3,210 | 3,259,263 | |||||||||||||
2.393%(ff) | 06/02/28 | 6,530 | 6,745,777 | |||||||||||||
3.750% | 01/24/24 | 960 | 1,048,968 | |||||||||||||
5.013%(ff) | 04/04/51 | 8,350 | 11,504,503 | |||||||||||||
Sub. Notes |
| |||||||||||||||
5.606% | 01/15/44 | 1,431 | 1,971,524 | |||||||||||||
Sub. Notes, GMTN |
| |||||||||||||||
4.900% | 11/17/45 | 3,660 | 4,686,883 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.400% | 06/14/46 | 520 | 625,872 | |||||||||||||
4.650% | 11/04/44 | 3,180 | 3,921,076 | |||||||||||||
4.750% | 12/07/46 | (a) | 2,050 | 2,624,669 | ||||||||||||
Wells Fargo Bank NA, |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
5.850% | 02/01/37 | 4,193 | 5,770,681 | |||||||||||||
6.600% | 01/15/38 | 2,452 | 3,608,213 | |||||||||||||
|
| |||||||||||||||
416,375,771 | ||||||||||||||||
|
| |||||||||||||||
Beverages — 1.0% |
| |||||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.650% | 02/01/26 | 140 | 157,014 | |||||||||||||
4.700% | 02/01/36 | 4,905 | 5,737,994 | |||||||||||||
4.900% | 02/01/46 | 3,220 | 3,905,720 | |||||||||||||
Anheuser-Busch InBev Finance, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.300% | 02/01/23 | 2,157 | 2,295,856 | |||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.500% | 06/01/30 | 610 | 685,353 | |||||||||||||
4.000% | 04/13/28 | 520 | 599,933 | |||||||||||||
4.350% | 06/01/40 | (a) | 700 | 800,058 | ||||||||||||
4.500% | 06/01/50 | (a) | 1,280 | 1,523,825 | ||||||||||||
Becle SAB de CV (Mexico), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.750% | 05/13/25 | 1,000 | 1,051,228 |
SEE NOTES TO FINANCIAL STATEMENTS.
A210
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Beverages (continued) |
| |||||||||||||||
Coca-Cola Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.450% | 06/01/27 | (a) | 1,460 | $ | 1,496,768 | |||||||||||
2.500% | 06/01/40 | 40 | 41,383 | |||||||||||||
2.600% | 06/01/50 | (a) | 590 | 594,932 | ||||||||||||
2.950% | 03/25/25 | 790 | 868,521 | |||||||||||||
3.375% | 03/25/27 | 2,010 | 2,304,324 | |||||||||||||
4.125% | 03/25/40 | 190 | 241,376 | |||||||||||||
4.200% | 03/25/50 | 2,500 | 3,277,893 | |||||||||||||
Constellation Brands, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.250% | 05/01/23 | 1,270 | 1,390,849 | |||||||||||||
Cott Holdings, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 04/01/25 | (a) | 1,140 | 1,147,926 | ||||||||||||
Diageo Capital PLC (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.828% | 07/15/20 | 2,580 | 2,584,083 | |||||||||||||
PepsiCo, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
0.750% | 05/01/23 | 1,490 | 1,503,377 | |||||||||||||
1.625% | 05/01/30 | 1,240 | 1,262,291 | |||||||||||||
2.250% | 03/19/25 | 140 | 149,629 | |||||||||||||
2.625% | 03/19/27 | 150 | 164,586 | |||||||||||||
2.875% | 10/15/49 | (a) | 390 | 421,271 | ||||||||||||
3.625% | 03/19/50 | 210 | 254,566 | |||||||||||||
3.875% | 03/19/60 | 300 | 379,468 | |||||||||||||
4.000% | 03/05/42 | 610 | 758,709 | |||||||||||||
|
| |||||||||||||||
35,598,933 | ||||||||||||||||
|
| |||||||||||||||
Biotechnology — 0.1% |
| |||||||||||||||
Amgen, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.625% | 05/22/24 | 360 | 394,740 | |||||||||||||
4.663% | 06/15/51 | 301 | 400,538 | |||||||||||||
Gilead Sciences, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.550% | 09/01/20 | 430 | 431,517 | |||||||||||||
4.750% | 03/01/46 | 910 | 1,227,151 | |||||||||||||
|
| |||||||||||||||
2,453,946 | ||||||||||||||||
|
| |||||||||||||||
Building Materials — 0.2% |
| |||||||||||||||
Carrier Global Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.923% | 02/15/23 | 500 | 510,203 | |||||||||||||
2.242% | 02/15/25 | (a) | 1,240 | 1,271,942 | ||||||||||||
2.493% | 02/15/27 | 230 | 234,025 | |||||||||||||
2.700% | 02/15/31 | 660 | 657,222 | |||||||||||||
2.722% | 02/15/30 | 2,280 | 2,284,245 | |||||||||||||
3.377% | 04/05/40 | 800 | 777,776 | |||||||||||||
3.577% | 04/05/50 | (a) | 870 | 847,886 | ||||||||||||
|
| |||||||||||||||
6,583,299 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 0.3% |
| |||||||||||||||
CNAC HK Finbridge Co. Ltd. (China), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.500% | 07/19/22 | 1,420 | 1,456,099 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Chemicals (continued) |
| |||||||||||||||
Equate Petrochemical BV (Kuwait), |
| |||||||||||||||
Gtd. Notes, 144A, MTN |
| |||||||||||||||
4.250% | 11/03/26 | 1,930 | $ | 2,046,170 | ||||||||||||
LyondellBasell Industries NV, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 04/15/24 | 780 | 895,740 | |||||||||||||
6.000% | 11/15/21 | 980 | 1,033,898 | |||||||||||||
OCP SA (Morocco), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.500% | 10/22/25 | 1,510 | 1,575,368 | |||||||||||||
Syngenta Finance NV (Switzerland), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.933% | 04/23/21 | 2,230 | 2,243,617 | |||||||||||||
4.441% | 04/24/23 | 575 | 602,679 | |||||||||||||
|
| |||||||||||||||
9,853,571 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 0.4% |
| |||||||||||||||
Adani Ports & Special Economic Zone Ltd. (India), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.000% | 07/30/27 | 1,033 | 1,002,243 | |||||||||||||
Cintas Corp. No. 2, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.700% | 04/01/27 | 1,300 | 1,475,663 | |||||||||||||
DP World PLC (United Arab Emirates), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
5.625% | 09/25/48 | 3,600 | 3,911,803 | |||||||||||||
PayPal Holdings, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.350% | 06/01/23 | 1,130 | 1,151,429 | |||||||||||||
1.650% | 06/01/25 | (a) | 1,180 | 1,220,348 | ||||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.750% | 04/15/26 | (a) | 1,100 | 1,140,215 | ||||||||||||
Service Corp. International, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.500% | 04/01/27 | 460 | 524,249 | |||||||||||||
United Rentals North America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 01/15/28 | (a) | 1,380 | 1,414,040 | ||||||||||||
5.500% | 07/15/25 | 370 | 379,515 | |||||||||||||
6.500% | 12/15/26 | 640 | 672,127 | |||||||||||||
Sec’d. Notes |
| |||||||||||||||
3.875% | 11/15/27 | 860 | 859,954 | |||||||||||||
|
| |||||||||||||||
13,751,586 | ||||||||||||||||
|
| |||||||||||||||
Computers — 0.3% |
| |||||||||||||||
Apple, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.125% | 05/11/25 | 3,240 | 3,303,537 | |||||||||||||
2.000% | 11/13/20 | 1,110 | 1,116,941 | |||||||||||||
2.450% | 08/04/26 | 2,720 | 2,954,615 | |||||||||||||
International Business Machines Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.000% | 05/15/24 | (a) | 1,260 | 1,362,749 | ||||||||||||
|
| |||||||||||||||
8,737,842 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A211
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Cosmetics/Personal Care — 0.1% |
| |||||||||||||||
Procter & Gamble Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.450% | 03/25/25 | 550 | $ | 596,945 | ||||||||||||
2.800% | 03/25/27 | 230 | 256,206 | |||||||||||||
3.550% | 03/25/40 | (a) | 460 | 551,961 | ||||||||||||
3.600% | 03/25/50 | 700 | 877,464 | |||||||||||||
|
| |||||||||||||||
2,282,576 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.5% |
| |||||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 05/15/21 | 320 | 321,872 | |||||||||||||
4.625% | 10/30/20 | 800 | 803,430 | |||||||||||||
5.000% | 10/01/21 | 570 | 576,439 | |||||||||||||
Air Lease Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 07/01/25 | 970 | 969,117 | |||||||||||||
GE Capital International Funding Co. Unlimited Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.418% | 11/15/35 | 5,032 | 5,102,802 | |||||||||||||
International Lease Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.875% | 08/15/22 | 491 | 515,330 | |||||||||||||
8.625% | 01/15/22 | 670 | 719,903 | |||||||||||||
KKR Group Finance Co. II LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 02/01/43 | 260 | 322,714 | |||||||||||||
Mastercard, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 03/26/50 | 200 | 249,199 | |||||||||||||
Park Aerospace Holdings Ltd. (Ireland), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.500% | 03/15/23 | 200 | 182,668 | |||||||||||||
5.250% | 08/15/22 | 1,512 | 1,416,567 | |||||||||||||
5.500% | 02/15/24 | 460 | 420,937 | |||||||||||||
SURA Asset Management SA (Colombia), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 04/17/24 | 1,950 | 2,078,644 | |||||||||||||
USAA Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
1.500% | 05/01/23 | 150 | 153,829 | |||||||||||||
Visa, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.150% | 12/14/25 | 760 | 847,716 | |||||||||||||
4.300% | 12/14/45 | (a) | 2,710 | 3,569,728 | ||||||||||||
|
| |||||||||||||||
18,250,895 | ||||||||||||||||
|
| |||||||||||||||
Electric — 1.3% |
| |||||||||||||||
Berkshire Hathaway Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.800% | 07/15/48 | 1,017 | 1,185,100 | |||||||||||||
Cleveland Electric Illuminating Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.500% | 04/01/28 | 1,320 | 1,441,368 | |||||||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 04/01/30 | (a) | 400 | 454,619 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (continued) |
| |||||||||||||||
Consolidated Edison Co. of New York, Inc., (continued) |
| |||||||||||||||
3.950% | 04/01/50 | 310 | $ | 373,049 | ||||||||||||
Dominion Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.000% | 06/15/38 | 1,216 | 1,747,733 | |||||||||||||
Duke Energy Progress LLC, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
2.800% | 05/15/22 | 50 | 51,911 | |||||||||||||
FirstEnergy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series A |
| |||||||||||||||
1.600% | 01/15/26 | 580 | 586,370 | |||||||||||||
Sr. Unsec’d. Notes, Series B |
| |||||||||||||||
3.900% | 07/15/27 | 2,880 | 3,265,911 | |||||||||||||
4.250% | 03/15/23 | 3,540 | 3,826,550 | |||||||||||||
Sr. Unsec’d. Notes, Series C |
| |||||||||||||||
4.850% | 07/15/47 | (a) | 1,100 | 1,399,316 | ||||||||||||
7.375% | 11/15/31 | 10,860 | 15,872,479 | |||||||||||||
Minejesa Capital BV (Indonesia), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.625% | 08/10/30 | 1,050 | 1,068,701 | |||||||||||||
Ohio Edison Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
8.250% | 10/15/38 | 978 | 1,552,501 | |||||||||||||
Pacific Gas & Electric Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
1.750% | 06/16/22 | 2,170 | 2,173,349 | |||||||||||||
2.100% | 08/01/27 | 660 | 651,835 | |||||||||||||
2.500% | 02/01/31 | 840 | 821,254 | |||||||||||||
3.300% | 08/01/40 | 250 | 243,575 | |||||||||||||
3.500% | 08/01/50 | (a) | 590 | 570,355 | ||||||||||||
Progress Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.400% | 01/15/21 | 220 | 222,625 | |||||||||||||
7.750% | 03/01/31 | 4,405 | 6,411,347 | |||||||||||||
|
| |||||||||||||||
43,919,948 | ||||||||||||||||
|
| |||||||||||||||
Electronics — 0.0% |
| |||||||||||||||
Honeywell International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.350% | 06/01/25 | 930 | 952,103 | |||||||||||||
|
| |||||||||||||||
Environmental Control — 0.2% |
| |||||||||||||||
GFL Environmental, Inc. (Canada), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.250% | 06/01/25 | 710 | 714,918 | |||||||||||||
Republic Services, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 08/15/24 | 1,420 | 1,510,284 | |||||||||||||
Waste Management, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.200% | 06/15/26 | (a) | 820 | 839,062 | ||||||||||||
3.450% | 06/15/29 | 600 | 622,560 | |||||||||||||
3.500% | 05/15/24 | 290 | 309,662 | |||||||||||||
4.000% | 07/15/39 | 500 | 516,869 | |||||||||||||
4.150% | 07/15/49 | (a) | 1,180 | 1,475,304 | ||||||||||||
4.600% | 03/01/21 | 440 | 447,431 | |||||||||||||
|
| |||||||||||||||
6,436,090 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A212
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Foods — 0.5% |
| |||||||||||||||
Danone SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.589% | 11/02/23 | (a) | 3,710 | $ | 3,908,932 | |||||||||||
Hershey Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
0.900% | 06/01/25 | 400 | 402,257 | |||||||||||||
Kraft Heinz Foods Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.000% | 06/01/26 | 510 | 516,927 | |||||||||||||
3.950% | 07/15/25 | (a) | 526 | 560,064 | ||||||||||||
4.375% | 06/01/46 | 440 | 431,702 | |||||||||||||
5.000% | 07/15/35 | 270 | 296,890 | |||||||||||||
5.000% | 06/04/42 | 420 | 438,101 | |||||||||||||
5.200% | 07/15/45 | 990 | 1,069,430 | |||||||||||||
6.750% | 03/15/32 | 40 | 49,786 | |||||||||||||
6.875% | 01/26/39 | 100 | 124,383 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.250% | 03/01/31 | 320 | 339,066 | |||||||||||||
4.625% | 10/01/39 | 20 | 20,045 | |||||||||||||
4.875% | 10/01/49 | 710 | 735,074 | |||||||||||||
5.500% | 06/01/50 | 810 | 871,379 | |||||||||||||
7.125% | 08/01/39 | 20 | 25,565 | |||||||||||||
Kroger Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.300% | 01/15/21 | (a) | 800 | 809,954 | ||||||||||||
Lamb Weston Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.875% | 11/01/26 | (a) | 1,130 | 1,170,749 | ||||||||||||
4.875% | 05/15/28 | 70 | 74,111 | |||||||||||||
Mars, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.700% | 04/01/25 | 490 | 525,101 | |||||||||||||
3.200% | 04/01/30 | (a) | 810 | 920,014 | ||||||||||||
Mondelez International Holdings Netherlands BV, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.125% | 09/19/22 | 750 | 772,910 | |||||||||||||
Mondelez International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.500% | 05/04/25 | 2,280 | 2,322,976 | |||||||||||||
2.125% | 04/13/23 | 400 | 414,239 | |||||||||||||
Wm Wrigley Jr Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.375% | 10/21/20 | 70 | 70,377 | |||||||||||||
|
| |||||||||||||||
16,870,032 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.2% |
| |||||||||||||||
Abbott Laboratories, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 11/30/26 | 1,138 | 1,323,839 | |||||||||||||
4.750% | 11/30/36 | (a) | 1,050 | 1,407,967 | ||||||||||||
4.900% | 11/30/46 | 1,730 | 2,472,164 | |||||||||||||
Medtronic, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.500% | 03/15/25 | (a) | 1,226 | 1,382,897 | ||||||||||||
|
| |||||||||||||||
6,586,867 | ||||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Services — 0.9% |
| |||||||||||||||
Aetna, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.800% | 06/15/23 | 470 | $ | 495,205 | ||||||||||||
Anthem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 12/01/24 | 470 | 516,557 | |||||||||||||
3.650% | 12/01/27 | 1,120 | 1,274,041 | |||||||||||||
Centene Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 02/15/30 | (a) | 310 | 312,778 | ||||||||||||
4.625% | 12/15/29 | 320 | 338,060 | |||||||||||||
4.750% | 05/15/22 | (a) | 1,080 | 1,094,112 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.375% | 06/01/26 | 160 | 166,514 | |||||||||||||
CommonSpirit Health, |
| |||||||||||||||
Sec’d. Notes |
| |||||||||||||||
4.350% | 11/01/42 | 440 | 454,905 | |||||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.125% | 10/15/20 | 250 | 250,112 | |||||||||||||
5.875% | 01/31/22 | 990 | 1,050,579 | |||||||||||||
HCA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.500% | 09/01/30 | (a) | 630 | 603,909 | ||||||||||||
5.375% | 02/01/25 | 330 | 355,093 | |||||||||||||
5.375% | 09/01/26 | (a) | 1,440 | 1,566,112 | ||||||||||||
5.625% | 09/01/28 | 100 | 111,527 | |||||||||||||
5.875% | 02/01/29 | (a) | 410 | 463,517 | ||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.500% | 02/15/27 | 90 | 100,214 | |||||||||||||
5.000% | 03/15/24 | 230 | 255,698 | |||||||||||||
5.250% | 06/15/26 | 180 | 207,012 | |||||||||||||
5.500% | 06/15/47 | 3,504 | 4,275,931 | |||||||||||||
Humana, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.150% | 12/01/22 | 1,050 | 1,104,519 | |||||||||||||
3.950% | 03/15/27 | 860 | 976,926 | |||||||||||||
4.500% | 04/01/25 | 240 | 274,335 | |||||||||||||
4.625% | 12/01/42 | 570 | 695,277 | |||||||||||||
4.800% | 03/15/47 | 100 | 128,816 | |||||||||||||
4.950% | 10/01/44 | (a) | 450 | 586,254 | ||||||||||||
Kaiser Foundation Hospitals, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.150% | 05/01/47 | 1,367 | 1,785,703 | |||||||||||||
New York and Presbyterian Hospital (The), |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
4.063% | 08/01/56 | 1,870 | 2,269,384 | |||||||||||||
NYU Langone Hospitals, |
| |||||||||||||||
Sec’d. Notes |
| |||||||||||||||
4.368% | 07/01/47 | 317 | 346,617 | |||||||||||||
UnitedHealth Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.250% | 01/15/26 | 450 | 458,023 | |||||||||||||
2.000% | 05/15/30 | 440 | 460,431 | |||||||||||||
2.375% | 10/15/22 | 180 | 187,633 | |||||||||||||
2.700% | 07/15/20 | 1,390 | 1,391,188 | |||||||||||||
3.125% | 05/15/60 | (a) | 430 | 458,494 |
SEE NOTES TO FINANCIAL STATEMENTS.
A213
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Services (continued) |
| |||||||||||||||
UnitedHealth Group, Inc., (continued) |
| |||||||||||||||
3.500% | 06/15/23 | 410 | $ | 445,606 | ||||||||||||
3.750% | 07/15/25 | 780 | 888,708 | |||||||||||||
3.875% | 08/15/59 | 1,050 | 1,282,957 | |||||||||||||
4.250% | 06/15/48 | 310 | 396,258 | |||||||||||||
4.450% | 12/15/48 | 240 | 317,175 | |||||||||||||
5.700% | 10/15/40 | 1,500 | 2,182,345 | |||||||||||||
|
| |||||||||||||||
30,528,525 | ||||||||||||||||
|
| |||||||||||||||
Home Builders — 0.1% |
| |||||||||||||||
Lennar Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 04/30/24 | 880 | 917,362 | |||||||||||||
4.750% | 05/30/25 | 160 | 170,998 | |||||||||||||
4.750% | 11/29/27 | 1,730 | 1,876,361 | |||||||||||||
5.000% | 06/15/27 | 60 | 64,806 | |||||||||||||
Toll Brothers Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.375% | 04/15/23 | 610 | 633,873 | |||||||||||||
|
| |||||||||||||||
3,663,400 | ||||||||||||||||
|
| |||||||||||||||
Household Products/Wares — 0.0% |
| |||||||||||||||
Spectrum Brands, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 07/15/25 | 710 | 728,369 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 10/01/29 | 100 | 98,757 | |||||||||||||
|
| |||||||||||||||
827,126 | ||||||||||||||||
|
| |||||||||||||||
Housewares — 0.0% |
| |||||||||||||||
Newell Brands, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.350% | 04/01/23 | 956 | 985,108 | |||||||||||||
4.700% | 04/01/26 | (a) | 450 | 471,958 | ||||||||||||
|
| |||||||||||||||
1,457,066 | ||||||||||||||||
|
| |||||||||||||||
Insurance — 0.5% |
| |||||||||||||||
American International Group, Inc., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
6.250% | 03/15/87 | 636 | 636,000 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 06/30/25 | (a) | 770 | 814,596 | ||||||||||||
3.750% | 07/10/25 | 900 | 996,576 | |||||||||||||
Berkshire Hathaway Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.250% | 01/15/49 | 1,670 | 2,137,560 | |||||||||||||
Chubb INA Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.300% | 11/03/20 | 570 | 572,799 | |||||||||||||
3.350% | 05/03/26 | (a) | 1,000 | 1,136,823 | ||||||||||||
Guardian Life Global Funding, |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
1.100% | 06/23/25 | 580 | 582,190 | |||||||||||||
MetLife, Inc., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
6.400% | 12/15/66 | 3,610 | 4,309,434 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Insurance (continued) |
| |||||||||||||||
New York Life Global Funding, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
0.950% | 06/24/25 | 1,080 | $ | 1,081,544 | ||||||||||||
Principal Life Global Funding II, |
| |||||||||||||||
Sec’d. Notes, 144A |
| |||||||||||||||
1.250% | 06/23/25 | 520 | 521,693 | |||||||||||||
Teachers Insurance & Annuity Association of America, |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.900% | 09/15/44 | 3,711 | 4,751,324 | |||||||||||||
|
| |||||||||||||||
17,540,539 | ||||||||||||||||
|
| |||||||||||||||
Internet — 0.7% |
| |||||||||||||||
Alibaba Group Holding Ltd. (China), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 11/28/24 | 1,560 | 1,697,924 | |||||||||||||
4.200% | 12/06/47 | (a) | 1,664 | 2,039,282 | ||||||||||||
Amazon.com, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
0.800% | 06/03/25 | 1,710 | 1,721,451 | |||||||||||||
1.200% | 06/03/27 | (a) | 2,100 | 2,115,709 | ||||||||||||
1.500% | 06/03/30 | 1,970 | 1,997,277 | |||||||||||||
2.500% | 06/03/50 | (a) | 1,680 | 1,703,085 | ||||||||||||
3.150% | 08/22/27 | (a) | 540 | 616,560 | ||||||||||||
3.875% | 08/22/37 | 1,030 | 1,273,473 | |||||||||||||
4.050% | 08/22/47 | 1,280 | 1,665,338 | |||||||||||||
4.250% | 08/22/57 | 300 | 400,130 | |||||||||||||
4.950% | 12/05/44 | 310 | 440,160 | |||||||||||||
Baidu, Inc. (China), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.875% | 09/29/23 | 2,250 | 2,396,032 | |||||||||||||
Netflix, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.375% | 02/01/21 | (a) | 440 | 449,786 | ||||||||||||
Prosus NV (China), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.850% | 07/06/27 | 2,480 | 2,775,835 | |||||||||||||
Tencent Holdings Ltd. (China), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.595% | 01/19/28 | 3,182 | 3,456,476 | |||||||||||||
|
| |||||||||||||||
24,748,518 | ||||||||||||||||
|
| |||||||||||||||
Iron/Steel — 0.2% |
| |||||||||||||||
ArcelorMittal SA (Luxembourg), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 07/16/24 | 1,890 | 1,870,726 | |||||||||||||
4.550% | 03/11/26 | (a) | 1,200 | 1,212,073 | ||||||||||||
6.125% | 06/01/25 | 1,930 | 2,097,508 | |||||||||||||
7.250% | 10/15/39 | 460 | 549,326 | |||||||||||||
Vale Overseas Ltd. (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.875% | 11/21/36 | (a) | 1,197 | 1,563,274 | ||||||||||||
6.875% | 11/10/39 | 844 | 1,100,777 | |||||||||||||
|
| |||||||||||||||
8,393,684 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A214
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Leisure Time — 0.0% |
| |||||||||||||||
VOC Escrow Ltd., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.000% | 02/15/28 | 1,190 | $ | 896,109 | ||||||||||||
|
| |||||||||||||||
Lodging — 0.4% |
| |||||||||||||||
Hilton Domestic Operating Co., Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.125% | 05/01/26 | 360 | 357,644 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 05/01/25 | 610 | 609,997 | |||||||||||||
5.750% | 05/01/28 | 410 | 415,512 | |||||||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 04/01/25 | 80 | 78,186 | |||||||||||||
4.875% | 04/01/27 | (a) | 1,840 | 1,796,256 | ||||||||||||
Las Vegas Sands Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.900% | 06/25/25 | 190 | 184,411 | |||||||||||||
3.200% | 08/08/24 | 2,510 | 2,493,039 | |||||||||||||
Sands China Ltd. (Macau), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.600% | 08/08/23 | 3,210 | 3,375,556 | |||||||||||||
5.125% | 08/08/25 | 1,600 | 1,740,127 | |||||||||||||
5.400% | 08/08/28 | 1,140 | 1,260,365 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.800% | 01/08/26 | 1,280 | 1,314,341 | |||||||||||||
|
| |||||||||||||||
13,625,434 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.1% |
| |||||||||||||||
Deere & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100% | 04/15/30 | 240 | 271,859 | |||||||||||||
3.750% | 04/15/50 | 1,330 | 1,633,992 | |||||||||||||
Otis Worldwide Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.056% | 04/05/25 | 760 | 796,855 | |||||||||||||
2.293% | 04/05/27 | (a) | 790 | 824,919 | ||||||||||||
2.565% | 02/15/30 | 820 | 860,926 | |||||||||||||
|
| |||||||||||||||
4,388,551 | ||||||||||||||||
|
| |||||||||||||||
Media — 1.5% |
| |||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.500% | 08/15/30 | 120 | 122,540 | |||||||||||||
4.500% | 05/01/32 | 1,140 | 1,155,230 | |||||||||||||
5.000% | 02/01/28 | 480 | 495,713 | |||||||||||||
5.125% | 05/01/27 | 2,510 | 2,596,651 | |||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.200% | 03/15/28 | 1,250 | 1,400,006 | |||||||||||||
4.800% | 03/01/50 | 360 | 409,635 | |||||||||||||
4.908% | 07/23/25 | 3,580 | 4,102,159 | |||||||||||||
5.375% | 04/01/38 | 1,490 | 1,807,909 | |||||||||||||
5.750% | 04/01/48 | 60 | 74,464 | |||||||||||||
6.484% | 10/23/45 | 500 | 667,710 | |||||||||||||
6.834% | 10/23/55 | 310 | 423,020 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Media (continued) |
| |||||||||||||||
Comcast Cable Communications Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
9.455% | 11/15/22 | 80 | $ | 96,737 | ||||||||||||
Comcast Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.100% | 04/01/25 | 80 | 87,992 | |||||||||||||
3.150% | 03/01/26 | 630 | 700,274 | |||||||||||||
3.250% | 11/01/39 | 120 | 132,392 | |||||||||||||
3.300% | 04/01/27 | 1,240 | 1,389,301 | |||||||||||||
3.375% | 08/15/25 | 450 | 500,866 | |||||||||||||
3.400% | 04/01/30 | 700 | 799,955 | |||||||||||||
3.400% | 07/15/46 | 110 | 122,168 | |||||||||||||
3.450% | 02/01/50 | 900 | 1,019,003 | |||||||||||||
3.750% | 04/01/40 | 150 | 175,996 | |||||||||||||
3.950% | 10/15/25 | 6,590 | 7,548,844 | |||||||||||||
3.969% | 11/01/47 | 3,250 | 3,907,040 | |||||||||||||
3.999% | 11/01/49 | 377 | 457,741 | |||||||||||||
4.000% | 03/01/48 | 180 | 220,362 | |||||||||||||
4.150% | 10/15/28 | (a) | 1,060 | 1,269,335 | ||||||||||||
4.200% | 08/15/34 | 190 | 234,513 | |||||||||||||
4.250% | 10/15/30 | 500 | 611,699 | |||||||||||||
4.250% | 01/15/33 | 530 | 653,344 | |||||||||||||
4.700% | 10/15/48 | 230 | 307,489 | |||||||||||||
5.650% | 06/15/35 | (a) | 160 | 226,986 | ||||||||||||
DISH DBS Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.875% | 11/15/24 | 2,435 | 2,422,708 | |||||||||||||
Fox Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.476% | 01/25/39 | 2,150 | 2,872,844 | |||||||||||||
Time Warner Cable LLC, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.125% | 02/15/21 | 1,905 | 1,924,603 | |||||||||||||
6.550% | 05/01/37 | 332 | 434,511 | |||||||||||||
7.300% | 07/01/38 | 4,520 | 6,237,391 | |||||||||||||
Time Warner Entertainment Co. LP, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
8.375% | 07/15/33 | 1,400 | 2,098,327 | |||||||||||||
ViacomCBS, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.875% | 04/01/24 | 570 | 615,139 | |||||||||||||
Virgin Media Secured Finance PLC (United Kingdom), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.500% | 08/15/26 | 400 | 410,314 | |||||||||||||
Walt Disney Co. (The), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 02/15/21 | 490 | 502,279 | |||||||||||||
6.650% | 11/15/37 | 130 | 194,423 | |||||||||||||
|
| |||||||||||||||
51,429,613 | ||||||||||||||||
|
| |||||||||||||||
Mining — 1.2% |
| |||||||||||||||
Anglo American Capital PLC (South Africa), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.625% | 09/11/24 | 630 | 662,072 | |||||||||||||
3.750% | 04/10/22 | 2,130 | 2,198,179 | |||||||||||||
4.000% | 09/11/27 | 4,476 | 4,784,124 | |||||||||||||
4.750% | 04/10/27 | 1,070 | 1,192,316 |
SEE NOTES TO FINANCIAL STATEMENTS.
A215
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Mining (continued) |
| |||||||||||||||
Barrick Gold Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 04/01/42 | 200 | $ | 260,975 | ||||||||||||
Barrick North America Finance LLC (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.700% | 05/30/41 | 1,640 | 2,197,976 | |||||||||||||
5.750% | 05/01/43 | 260 | 362,779 | |||||||||||||
BHP Billiton Finance USA Ltd. (Australia), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.875% | 02/24/22 | 175 | 181,457 | |||||||||||||
5.000% | 09/30/43 | 1,000 | 1,377,904 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.750%(ff) | 10/19/75 | 4,980 | 5,739,450 | |||||||||||||
Freeport-McMoRan, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.550% | 03/01/22 | (a) | 109 | 109,124 | ||||||||||||
3.875% | 03/15/23 | 20 | 20,027 | |||||||||||||
4.550% | 11/14/24 | 40 | 40,674 | |||||||||||||
5.400% | 11/14/34 | 120 | 121,053 | |||||||||||||
5.450% | 03/15/43 | 2,046 | 2,011,174 | |||||||||||||
Glencore Finance Canada Ltd. (Switzerland), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.550% | 10/25/42 | 3,697 | 3,986,636 | |||||||||||||
Glencore Funding LLC (Australia), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.000% | 03/27/27 | 4,950 | 5,290,782 | |||||||||||||
4.125% | 05/30/23 | 50 | 53,370 | |||||||||||||
4.125% | 03/12/24 | 2,410 | 2,583,266 | |||||||||||||
Southern Copper Corp. (Peru), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 11/08/42 | 4,480 | 5,313,144 | |||||||||||||
Teck Resources Ltd. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 08/15/40 | 110 | 116,143 | |||||||||||||
Yamana Gold, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 12/15/27 | 1,450 | 1,542,946 | |||||||||||||
|
| |||||||||||||||
40,145,571 | ||||||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.5% |
| |||||||||||||||
3M Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.375% | 08/26/29 | 1,360 | 1,466,284 | |||||||||||||
3.050% | 04/15/30 | 220 | 248,954 | |||||||||||||
3.700% | 04/15/50 | 1,620 | 1,925,819 | |||||||||||||
Eaton Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.150% | 11/02/42 | 510 | 601,585 | |||||||||||||
General Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 05/01/27 | 260 | 266,344 | |||||||||||||
3.625% | 05/01/30 | (a) | 520 | 519,441 | ||||||||||||
4.250% | 05/01/40 | 550 | 539,847 | |||||||||||||
4.350% | 05/01/50 | (a) | 550 | 544,521 | ||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
6.150% | 08/07/37 | 4,245 | 4,902,034 | |||||||||||||
6.875% | 01/10/39 | 4,177 | 5,103,611 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Miscellaneous Manufacturing (continued) |
| |||||||||||||||
General Electric Co., (continued) |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
5.875% | 01/14/38 | 1,010 | $ | 1,131,646 | ||||||||||||
6.750% | 03/15/32 | (a) | 440 | 535,629 | ||||||||||||
|
| |||||||||||||||
17,785,715 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas — 4.1% |
| |||||||||||||||
Apache Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 04/15/22 | 1,041 | 1,008,523 | |||||||||||||
4.250% | 01/15/44 | (a) | 3,370 | 2,534,528 | ||||||||||||
4.375% | 10/15/28 | (a) | 1,500 | 1,327,899 | ||||||||||||
4.750% | 04/15/43 | (a) | 545 | 436,301 | ||||||||||||
5.100% | 09/01/40 | 1,990 | 1,644,761 | |||||||||||||
6.000% | 01/15/37 | (a) | 578 | 519,062 | ||||||||||||
BP Capital Markets America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.937% | 04/06/23 | 110 | 116,404 | |||||||||||||
3.000% | 02/24/50 | 3,900 | 3,839,515 | |||||||||||||
3.119% | 05/04/26 | 1,030 | 1,123,195 | |||||||||||||
3.216% | 11/28/23 | 2,330 | 2,500,410 | |||||||||||||
3.410% | 02/11/26 | (a) | 2,160 | 2,389,155 | ||||||||||||
3.633% | 04/06/30 | 790 | 893,767 | |||||||||||||
3.790% | 02/06/24 | 250 | 273,658 | |||||||||||||
BP Capital Markets PLC (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.506% | 03/17/25 | 3,320 | 3,673,256 | |||||||||||||
3.535% | 11/04/24 | 300 | 329,921 | |||||||||||||
3.561% | 11/01/21 | 170 | 176,505 | |||||||||||||
Chevron Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.554% | 05/11/25 | 1,520 | 1,563,499 | |||||||||||||
1.995% | 05/11/27 | 530 | 554,130 | |||||||||||||
3.078% | 05/11/50 | 170 | 180,376 | |||||||||||||
Cimarex Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.900% | 05/15/27 | 4,760 | 4,829,813 | |||||||||||||
4.375% | 03/15/29 | 910 | 933,560 | |||||||||||||
CNOOC Finance 2015 USA LLC (China), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.500% | 05/05/25 | 2,920 | 3,191,168 | |||||||||||||
Concho Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.750% | 10/01/27 | (a) | 560 | 597,355 | ||||||||||||
4.300% | 08/15/28 | 4,470 | 4,904,099 | |||||||||||||
4.375% | 01/15/25 | (a) | 840 | 868,521 | ||||||||||||
Continental Resources, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.800% | 06/01/24 | (a) | 1,060 | 997,628 | ||||||||||||
4.375% | 01/15/28 | (a) | 2,910 | 2,569,318 | ||||||||||||
4.500% | 04/15/23 | (a) | 1,620 | 1,547,546 | ||||||||||||
Devon Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.750% | 05/15/42 | 90 | 78,095 | |||||||||||||
5.000% | 06/15/45 | (a) | 5,490 | 4,915,479 | ||||||||||||
5.600% | 07/15/41 | 1,040 | 1,016,027 |
SEE NOTES TO FINANCIAL STATEMENTS.
A216
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (continued) |
| |||||||||||||||
Diamondback Energy, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.500% | 12/01/29 | (a) | 890 | $ | 860,422 | |||||||||||
5.375% | 05/31/25 | (a) | 960 | 991,573 | ||||||||||||
Ecopetrol SA (Colombia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.875% | 05/28/45 | 3,420 | 3,584,902 | |||||||||||||
EOG Resources, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.900% | 04/01/35 | 1,280 | 1,494,921 | |||||||||||||
4.150% | 01/15/26 | (a) | 1,210 | 1,392,558 | ||||||||||||
4.375% | 04/15/30 | 300 | 358,105 | |||||||||||||
4.950% | 04/15/50 | (a) | 390 | 502,042 | ||||||||||||
Exxon Mobil Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.571% | 04/15/23 | 210 | 215,489 | |||||||||||||
2.992% | 03/19/25 | 3,320 | 3,606,481 | |||||||||||||
3.043% | 03/01/26 | 1,900 | 2,086,535 | |||||||||||||
3.482% | 03/19/30 | 1,210 | 1,379,282 | |||||||||||||
4.114% | 03/01/46 | 3,170 | 3,813,931 | |||||||||||||
4.327% | 03/19/50 | 150 | 187,693 | |||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.375% | 04/24/30 | 260 | 294,661 | |||||||||||||
6.375% | 10/24/48 | (a) | 940 | 1,187,713 | ||||||||||||
Noble Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 01/15/28 | (a) | 2,000 | 1,926,266 | ||||||||||||
4.950% | 08/15/47 | 460 | 413,514 | |||||||||||||
5.250% | 11/15/43 | 990 | 912,638 | |||||||||||||
6.000% | 03/01/41 | 310 | 301,898 | |||||||||||||
Occidental Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.600% | 08/13/21 | 3,730 | 3,649,911 | |||||||||||||
2.700% | 08/15/22 | (a) | 2,010 | 1,872,685 | ||||||||||||
2.900% | 08/15/24 | (a) | 2,970 | 2,538,967 | ||||||||||||
3.000% | 02/15/27 | 1,030 | 797,837 | |||||||||||||
3.125% | 02/15/22 | 440 | 423,938 | |||||||||||||
3.400% | 04/15/26 | 1,610 | 1,317,442 | |||||||||||||
4.100% | 02/15/47 | 2,030 | 1,368,492 | |||||||||||||
4.200% | 03/15/48 | 790 | 535,731 | |||||||||||||
4.400% | 04/15/46 | 480 | 334,754 | |||||||||||||
4.625% | 06/15/45 | 1,570 | 1,105,058 | |||||||||||||
4.850% | 03/15/21 | 1,346 | 1,346,538 | |||||||||||||
5.550% | 03/15/26 | (a) | 1,280 | 1,165,157 | ||||||||||||
6.450% | 09/15/36 | 1,590 | 1,369,845 | |||||||||||||
6.600% | 03/15/46 | (a) | 1,320 | 1,149,812 | ||||||||||||
7.500% | 05/01/31 | 190 | 176,683 | |||||||||||||
7.875% | 09/15/31 | 4,163 | 3,937,948 | |||||||||||||
Petrobras Global Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.299% | 01/27/25 | 9,469 | 9,859,068 | |||||||||||||
6.125% | 01/17/22 | (a) | 435 | 454,978 | ||||||||||||
6.900% | 03/19/49 | 2,260 | 2,380,163 | |||||||||||||
7.250% | 03/17/44 | (a) | 2,950 | 3,217,535 | ||||||||||||
7.375% | 01/17/27 | 1,060 | 1,179,174 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (continued) |
| |||||||||||||||
Petroleos Mexicanos (Mexico), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 01/23/26 | (a) | 2,424 | $ | 2,128,589 | |||||||||||
5.500% | 06/27/44 | 1,270 | 902,006 | |||||||||||||
6.375% | 01/23/45 | (a) | 1,360 | 1,014,694 | ||||||||||||
6.625% | 06/15/35 | 310 | 252,436 | |||||||||||||
Gtd. Notes, MTN |
| |||||||||||||||
6.875% | 08/04/26 | 1,900 | 1,795,612 | |||||||||||||
QEP Resources, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.875% | 03/01/21 | 520 | 497,772 | |||||||||||||
Range Resources Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 05/15/25 | (a) | 490 | 369,811 | ||||||||||||
5.000% | 03/15/23 | (a) | 1,240 | 1,057,621 | ||||||||||||
5.875% | 07/01/22 | 38 | 35,136 | |||||||||||||
Shell International Finance BV (Netherlands), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.750% | 04/06/30 | (a) | 520 | 564,126 | ||||||||||||
2.875% | 05/10/26 | 1,730 | 1,896,521 | |||||||||||||
3.250% | 04/06/50 | (a) | 2,540 | 2,731,644 | ||||||||||||
4.375% | 05/11/45 | 2,010 | 2,488,426 | |||||||||||||
4.550% | 08/12/43 | 1,010 | 1,265,670 | |||||||||||||
6.375% | 12/15/38 | (a) | 1,363 | 2,038,700 | ||||||||||||
Sinopec Group Overseas Development 2014 Ltd. (China), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.375% | 04/10/24 | 1,880 | 2,073,844 | |||||||||||||
WPX Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 01/15/30 | 240 | 211,938 | |||||||||||||
5.250% | 10/15/27 | 440 | 411,552 | |||||||||||||
|
| |||||||||||||||
138,961,912 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas Services — 0.2% |
| |||||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.337% | 12/15/27 | 1,564 | 1,671,462 | |||||||||||||
Halliburton Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.800% | 11/15/25 | 42 | 45,263 | |||||||||||||
7.450% | 09/15/39 | (a) | 2,413 | 3,051,545 | ||||||||||||
Schlumberger Holdings Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.900% | 05/17/28 | 1,318 | 1,418,113 | |||||||||||||
|
| |||||||||||||||
6,186,383 | ||||||||||||||||
|
| |||||||||||||||
Packaging & Containers — 0.1% |
| |||||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.000% | 02/15/25 | 650 | 665,518 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.250% | 08/15/27 | 430 | 422,024 | |||||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.125% | 07/15/23 | (a) | 610 | 613,584 |
SEE NOTES TO FINANCIAL STATEMENTS.
A217
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Packaging & Containers (continued) |
| |||||||||||||||
WestRock RKT LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 03/01/23 | 370 | $ | 393,871 | ||||||||||||
|
| |||||||||||||||
2,094,997 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 2.7% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 05/14/25 | 1,500 | 1,658,400 | |||||||||||||
3.750% | 11/14/23 | 260 | 284,032 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.300% | 11/21/22 | 6,390 | 6,610,291 | |||||||||||||
2.600% | 11/21/24 | 1,420 | 1,506,336 | |||||||||||||
2.950% | 11/21/26 | 1,340 | 1,455,667 | |||||||||||||
3.200% | 11/21/29 | 4,010 | 4,400,009 | |||||||||||||
3.450% | 03/15/22 | 1,160 | 1,206,725 | |||||||||||||
3.800% | 03/15/25 | (a) | 1,980 | 2,198,769 | ||||||||||||
4.250% | 11/21/49 | 150 | 181,340 | |||||||||||||
Bausch Health Americas, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
9.250% | 04/01/26 | 520 | 563,664 | |||||||||||||
Bausch Health Cos., Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250% | 02/15/29 | 1,190 | 1,196,639 | |||||||||||||
9.000% | 12/15/25 | 680 | 733,382 | |||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
5.500% | 11/01/25 | 50 | 51,228 | |||||||||||||
7.000% | 03/15/24 | 290 | 300,656 | |||||||||||||
Bayer Corp. (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.650% | 02/15/28 | 1,222 | 1,580,481 | |||||||||||||
Becton, Dickinson & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.363% | 06/06/24 | 2,900 | 3,125,267 | |||||||||||||
3.734% | 12/15/24 | 776 | 853,692 | |||||||||||||
4.685% | 12/15/44 | 509 | 625,466 | |||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.250% | 08/15/21 | 1,350 | 1,376,093 | |||||||||||||
2.600% | 05/16/22 | 620 | 643,906 | |||||||||||||
2.900% | 07/26/24 | 1,110 | 1,200,483 | |||||||||||||
3.400% | 07/26/29 | 1,430 | 1,650,517 | |||||||||||||
3.550% | 08/15/22 | 920 | 977,574 | |||||||||||||
3.875% | 08/15/25 | 1,650 | 1,878,142 | |||||||||||||
5.000% | 08/15/45 | 3,520 | 4,901,383 | |||||||||||||
5.250% | 08/15/43 | 130 | 186,856 | |||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.400% | 09/17/21 | 1,160 | 1,198,358 | |||||||||||||
3.750% | 07/15/23 | 2,780 | 3,018,143 | |||||||||||||
4.125% | 11/15/25 | 890 | 1,020,714 | |||||||||||||
4.375% | 10/15/28 | 1,240 | 1,466,990 | |||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 12/01/22 | 2,440 | 2,545,802 | |||||||||||||
3.350% | 03/09/21 | 558 | 568,720 | |||||||||||||
3.625% | 04/01/27 | (a) | 370 | 415,888 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals (continued) |
| |||||||||||||||
CVS Health Corp., (continued) |
| |||||||||||||||
3.700% | 03/09/23 | 4,670 | $ | 5,011,716 | ||||||||||||
3.750% | 04/01/30 | 920 | 1,057,773 | |||||||||||||
3.875% | 07/20/25 | 876 | 983,802 | |||||||||||||
4.100% | 03/25/25 | 4,570 | 5,166,910 | |||||||||||||
4.125% | 04/01/40 | (a) | 380 | 448,171 | ||||||||||||
4.250% | 04/01/50 | 120 | 144,349 | |||||||||||||
4.300% | 03/25/28 | 3,261 | 3,812,484 | |||||||||||||
5.050% | 03/25/48 | 2,210 | 2,886,091 | |||||||||||||
5.125% | 07/20/45 | 820 | 1,057,978 | |||||||||||||
CVS Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
6.036% | 12/10/28 | 617 | 695,952 | |||||||||||||
6.943% | 01/10/30 | 564 | 666,974 | |||||||||||||
GlaxoSmithKline Capital PLC (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.850% | 05/08/22 | 120 | 125,167 | |||||||||||||
Johnson & Johnson, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.625% | 03/03/37 | 1,000 | 1,204,458 | |||||||||||||
Merck & Co., Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
0.750% | 02/24/26 | 1,640 | 1,636,255 | |||||||||||||
1.450% | 06/24/30 | 970 | 969,329 | |||||||||||||
Pfizer, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
0.800% | 05/28/25 | (a) | 1,950 | 1,958,062 | ||||||||||||
1.700% | 05/28/30 | 1,260 | 1,280,995 | |||||||||||||
2.625% | 04/01/30 | (a) | 1,080 | 1,188,069 | ||||||||||||
Teva Pharmaceutical Finance Co. BV (Israel), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.950% | 12/18/22 | 500 | 480,001 | |||||||||||||
3.650% | 11/10/21 | 540 | 536,105 | |||||||||||||
Teva Pharmaceutical Finance IV BV (Israel), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.650% | 11/10/21 | 770 | 767,115 | |||||||||||||
Teva Pharmaceutical Finance Netherlands III BV (Israel), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.200% | 07/21/21 | 3,460 | 3,395,847 | |||||||||||||
2.800% | 07/21/23 | 2,550 | 2,410,171 | |||||||||||||
3.150% | 10/01/26 | 980 | 872,484 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.125% | 01/31/25 | (a) | 2,050 | 2,175,015 | ||||||||||||
|
| |||||||||||||||
92,512,886 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 2.0% |
| |||||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.600% | 11/02/47 | 1,000 | 1,190,038 | |||||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.125% | 11/15/22 | 740 | 735,828 | |||||||||||||
Cameron LNG LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
2.902% | 07/15/31 | (a) | 580 | 619,624 | ||||||||||||
3.302% | 01/15/35 | (a) | 3,090 | 3,401,286 |
SEE NOTES TO FINANCIAL STATEMENTS.
A218
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pipelines (continued) |
| |||||||||||||||
DCP Midstream Operating LP, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.450% | 11/03/36 | 380 | $ | 342,031 | ||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.900% | 05/15/25 | 820 | 838,851 | |||||||||||||
3.750% | 05/15/30 | (a) | 4,520 | 4,475,096 | ||||||||||||
4.950% | 06/15/28 | 580 | 624,258 | |||||||||||||
5.250% | 04/15/29 | (a) | 390 | 425,682 | ||||||||||||
6.250% | 04/15/49 | 270 | 287,702 | |||||||||||||
7.500% | 07/01/38 | 395 | 465,683 | |||||||||||||
Jr. Sub. Notes, Series F |
| |||||||||||||||
6.750%(ff) | — | (rr) | 1,230 | 1,044,661 | ||||||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 11/01/23 | 70 | 74,949 | |||||||||||||
5.875% | 03/01/22 | 750 | 791,019 | |||||||||||||
Enterprise Products Operating LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.800% | 01/31/30 | 1,660 | 1,740,769 | |||||||||||||
3.700% | 01/31/51 | (a) | 890 | 931,280 | ||||||||||||
3.950% | 01/31/60 | 740 | 770,541 | |||||||||||||
4.150% | 10/16/28 | 4,660 | 5,316,143 | |||||||||||||
4.200% | 01/31/50 | 800 | 892,399 | |||||||||||||
4.800% | 02/01/49 | 210 | 250,538 | |||||||||||||
4.850% | 03/15/44 | 310 | 359,947 | |||||||||||||
7.550% | 04/15/38 | 310 | 430,773 | |||||||||||||
Kinder Morgan, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.300% | 06/01/25 | 560 | 624,461 | |||||||||||||
4.300% | 03/01/28 | (a) | 690 | 781,620 | ||||||||||||
5.550% | 06/01/45 | 440 | 534,279 | |||||||||||||
Gtd. Notes, GMTN |
| |||||||||||||||
7.750% | 01/15/32 | (a) | 2,663 | 3,740,837 | ||||||||||||
MPLX LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 04/15/38 | 2,090 | 2,089,113 | |||||||||||||
4.700% | 04/15/48 | 250 | 250,614 | |||||||||||||
4.800% | 02/15/29 | (a) | 1,590 | 1,769,342 | ||||||||||||
4.875% | 12/01/24 | (a) | 1,450 | 1,609,027 | ||||||||||||
4.875% | 06/01/25 | 1,520 | 1,696,291 | |||||||||||||
5.500% | 02/15/49 | (a) | 1,590 | 1,761,282 | ||||||||||||
Peru LNG Srl (Peru), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.375% | 03/22/30 | 530 | 417,359 | |||||||||||||
Southern Natural Gas Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
8.000% | 03/01/32 | (a) | 2,150 | 3,107,465 | ||||||||||||
Sunoco Logistics Partners Operations LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.300% | 04/01/44 | 140 | 135,111 | |||||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.250% | 11/15/23 | 460 | 440,742 | |||||||||||||
5.375% | 02/01/27 | 160 | 154,357 | |||||||||||||
5.875% | 04/15/26 | (a) | 220 | 218,641 | ||||||||||||
6.500% | 07/15/27 | (a) | 420 | 424,758 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pipelines (continued) |
| |||||||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., (continued) |
| |||||||||||||||
6.875% | 01/15/29 | (a) | 1,030 | $ | 1,079,126 | |||||||||||
Tennessee Gas Pipeline Co. LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.900% | 03/01/30 | (a) | 3,620 | 3,716,928 | ||||||||||||
Transcontinental Gas Pipe Line Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.850% | 02/01/26 | 2,670 | 3,482,238 | |||||||||||||
Western Midstream Operating LP, |
| |||||||||||||||
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.850% |
| |||||||||||||||
2.161%(c) | 01/13/23 | 470 | 430,542 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100% | 02/01/25 | 1,320 | 1,255,451 | |||||||||||||
4.050% | 02/01/30 | (a) | 5,580 | 5,367,428 | ||||||||||||
4.500% | 03/01/28 | (a) | 320 | 300,800 | ||||||||||||
5.250% | 02/01/50 | 800 | 692,763 | |||||||||||||
5.500% | 08/15/48 | 130 | 106,005 | |||||||||||||
Williams Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.700% | 01/15/23 | 370 | 391,235 | |||||||||||||
3.750% | 06/15/27 | 170 | 181,332 | |||||||||||||
4.850% | 03/01/48 | (a) | 490 | 534,943 | ||||||||||||
7.750% | 06/15/31 | 1,320 | 1,654,350 | |||||||||||||
7.875% | 09/01/21 | 733 | 787,887 | |||||||||||||
8.750% | 03/15/32 | 210 | 306,313 | |||||||||||||
Sr. Unsec’d. Notes, Series A |
| |||||||||||||||
7.500% | 01/15/31 | 1,711 | 2,187,938 | |||||||||||||
|
| |||||||||||||||
68,239,676 | ||||||||||||||||
|
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.1% |
| |||||||||||||||
GLP Capital LP/GLP Financing II, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.250% | 06/01/25 | 30 | 32,629 | |||||||||||||
5.375% | 04/15/26 | 260 | 284,116 | |||||||||||||
VEREIT Operating Partnership LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 06/01/26 | (a) | 711 | 785,669 | ||||||||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC (France), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.750% | 09/17/24 | 2,750 | 2,824,156 | |||||||||||||
|
| |||||||||||||||
3,926,570 | ||||||||||||||||
|
| |||||||||||||||
Retail — 0.9% | ||||||||||||||||
1011778 BC ULC/New Red Finance, Inc. (Canada), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.250% | 05/15/24 | (a) | 2,250 | 2,251,824 | ||||||||||||
Costco Wholesale Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.375% | 06/20/27 | (a) | 2,200 | 2,251,457 | ||||||||||||
1.600% | 04/20/30 | (a) | 1,280 | 1,292,998 | ||||||||||||
Dollar General Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 04/15/23 | 140 | 149,411 | |||||||||||||
Home Depot, Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 04/15/27 | 1,630 | 1,783,983 |
SEE NOTES TO FINANCIAL STATEMENTS.
A219
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Retail (continued) |
| |||||||||||||||
Home Depot, Inc. (The), (continued) |
| |||||||||||||||
2.700% | 04/15/30 | 740 | $ | 813,063 | ||||||||||||
3.300% | 04/15/40 | 850 | 959,740 | |||||||||||||
3.350% | 04/15/50 | 2,470 | 2,839,808 | |||||||||||||
3.900% | 12/06/28 | 150 | 178,805 | |||||||||||||
3.900% | 06/15/47 | 140 | 170,283 | |||||||||||||
Lowe’s Cos., Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 04/15/30 | 490 | 601,359 | |||||||||||||
5.000% | 04/15/40 | (a) | 430 | 558,218 | ||||||||||||
5.125% | 04/15/50 | 1,610 | 2,222,267 | |||||||||||||
McDonald’s Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
1.450% | 09/01/25 | 200 | 205,147 | |||||||||||||
3.300% | 07/01/25 | (a) | 840 | 934,057 | ||||||||||||
3.375% | 05/26/25 | (a) | 610 | 676,566 | ||||||||||||
3.500% | 03/01/27 | 2,020 | 2,282,640 | |||||||||||||
3.500% | 07/01/27 | 340 | 386,201 | |||||||||||||
3.600% | 07/01/30 | 690 | 794,700 | |||||||||||||
3.625% | 09/01/49 | 150 | 165,718 | |||||||||||||
3.700% | 01/30/26 | (a) | 1,110 | 1,260,699 | ||||||||||||
3.800% | 04/01/28 | 680 | 797,774 | |||||||||||||
4.200% | 04/01/50 | 1,270 | 1,537,097 | |||||||||||||
Target Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.250% | 04/15/25 | (a) | 1,410 | 1,508,202 | ||||||||||||
TJX Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 04/15/25 | 820 | 911,481 | |||||||||||||
3.750% | 04/15/27 | 270 | 308,779 | |||||||||||||
Walmart, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 06/26/23 | 440 | 477,694 | |||||||||||||
3.550% | 06/26/25 | (a) | 420 | 475,511 | ||||||||||||
3.700% | 06/26/28 | 1,040 | 1,227,677 | |||||||||||||
|
| |||||||||||||||
30,023,159 | ||||||||||||||||
|
| |||||||||||||||
Semiconductors — 0.7% |
| |||||||||||||||
Broadcom, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.250% | 11/15/23 | 2,050 | 2,117,813 | |||||||||||||
3.150% | 11/15/25 | 2,480 | 2,636,275 | |||||||||||||
4.700% | 04/15/25 | 2,850 | 3,209,132 | |||||||||||||
Intel Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.700% | 07/29/25 | 750 | 853,338 | |||||||||||||
4.600% | 03/25/40 | 210 | 278,702 | |||||||||||||
4.750% | 03/25/50 | 3,560 | 5,012,471 | |||||||||||||
4.950% | 03/25/60 | 950 | 1,394,834 | |||||||||||||
Micron Technology, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.497% | 04/24/23 | 1,210 | 1,257,477 | |||||||||||||
NVIDIA Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.850% | 04/01/30 | 540 | 600,548 | |||||||||||||
3.500% | 04/01/40 | (a) | 1,020 | 1,188,681 | ||||||||||||
3.500% | 04/01/50 | (a) | 2,910 | 3,329,254 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Semiconductors (continued) |
| |||||||||||||||
NVIDIA Corp., (continued) |
| |||||||||||||||
3.700% | 04/01/60 | 750 | $ | 890,069 | ||||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. (Netherlands), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.700% | 05/01/25 | 800 | 840,473 | |||||||||||||
Texas Instruments, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.750% | 05/04/30 | 800 | 813,054 | |||||||||||||
|
| |||||||||||||||
24,422,121 | ||||||||||||||||
|
| |||||||||||||||
Software — 0.5% |
| |||||||||||||||
Microsoft Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.400% | 08/08/26 | (a) | 7,380 | 8,051,671 | ||||||||||||
2.525% | 06/01/50 | 130 | 134,458 | |||||||||||||
2.675% | 06/01/60 | 104 | 108,496 | |||||||||||||
2.700% | 02/12/25 | 800 | 872,388 | |||||||||||||
2.875% | 02/06/24 | 3,240 | 3,496,468 | |||||||||||||
3.300% | 02/06/27 | 670 | 764,950 | |||||||||||||
3.450% | 08/08/36 | 130 | 156,750 | |||||||||||||
3.950% | 08/08/56 | 496 | 639,834 | |||||||||||||
4.100% | 02/06/37 | (a) | 220 | 283,621 | ||||||||||||
salesforce.com, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 04/11/23 | 1,490 | 1,598,641 | |||||||||||||
|
| |||||||||||||||
16,107,277 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 1.6% |
| |||||||||||||||
Altice France SA (France), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
7.375% | 05/01/26 | 5,170 | 5,383,814 | |||||||||||||
AT&T, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.300% | 06/01/27 | 2,250 | 2,329,494 | |||||||||||||
3.000% | 02/15/22 | 910 | 947,549 | |||||||||||||
3.400% | 05/15/25 | 2,850 | 3,127,733 | |||||||||||||
4.350% | 06/15/45 | 1,690 | 1,890,454 | |||||||||||||
6.000% | 08/15/40 | 1,104 | 1,478,175 | |||||||||||||
6.250% | 03/29/41 | 770 | 1,044,717 | |||||||||||||
Sprint Capital Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
8.750% | 03/15/32 | 470 | 672,245 | |||||||||||||
Sprint Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.625% | 02/15/25 | 880 | 1,015,089 | |||||||||||||
7.875% | 09/15/23 | 590 | 665,170 | |||||||||||||
Telecom Italia SpA (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.303% | 05/30/24 | (a) | 530 | 554,656 | ||||||||||||
Telefonica Emisiones SA (Spain), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.895% | 03/06/48 | 2,000 | 2,418,858 | |||||||||||||
5.213% | 03/08/47 | 170 | 213,515 | |||||||||||||
T-Mobile USA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.000% | 03/01/23 | 40 | 40,241 | |||||||||||||
6.000% | 04/15/24 | 30 | 30,610 |
SEE NOTES TO FINANCIAL STATEMENTS.
A220
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Telecommunications (continued) |
| |||||||||||||||
T-Mobile USA, Inc., (continued) |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.500% | 04/15/25 | 5,380 | $ | 5,867,768 | ||||||||||||
3.750% | 04/15/27 | 250 | 277,020 | |||||||||||||
3.875% | 04/15/30 | 2,760 | 3,065,631 | |||||||||||||
Verizon Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.625% | 08/15/26 | 730 | 794,249 | |||||||||||||
3.376% | 02/15/25 | 2,351 | 2,616,400 | |||||||||||||
3.500% | 11/01/24 | 240 | 265,342 | |||||||||||||
3.850% | 11/01/42 | 550 | 652,561 | |||||||||||||
3.875% | 02/08/29 | (a) | 360 | 425,194 | ||||||||||||
4.000% | 03/22/50 | 380 | 483,877 | |||||||||||||
4.125% | 03/16/27 | (a) | 2,490 | 2,922,522 | ||||||||||||
4.125% | 08/15/46 | 650 | 805,702 | |||||||||||||
4.329% | 09/21/28 | 944 | 1,136,214 | |||||||||||||
4.400% | 11/01/34 | 340 | 421,343 | |||||||||||||
4.500% | 08/10/33 | 2,100 | 2,630,940 | |||||||||||||
4.522% | 09/15/48 | 570 | 753,734 | |||||||||||||
4.862% | 08/21/46 | 1,391 | 1,885,335 | |||||||||||||
5.250% | 03/16/37 | 2,590 | 3,516,340 | |||||||||||||
5.500% | 03/16/47 | 200 | 294,929 | |||||||||||||
Vodafone Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.375% | 05/30/28 | (a) | 3,095 | 3,675,067 | ||||||||||||
|
| |||||||||||||||
54,302,488 | ||||||||||||||||
|
| |||||||||||||||
Transportation — 0.2% |
| |||||||||||||||
Union Pacific Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.150% | 02/05/27 | 1,200 | 1,271,642 | |||||||||||||
2.400% | 02/05/30 | 1,690 | 1,798,730 | |||||||||||||
3.750% | 07/15/25 | 1,050 | 1,187,065 | |||||||||||||
3.750% | 02/05/70 | 1,700 | 1,906,948 | |||||||||||||
3.950% | 09/10/28 | 250 | 296,628 | |||||||||||||
XPO Logistics, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.500% | 06/15/22 | (a) | 710 | 710,884 | ||||||||||||
|
| |||||||||||||||
7,171,897 | ||||||||||||||||
|
| |||||||||||||||
Trucking & Leasing — 0.0% |
| |||||||||||||||
DAE Funding LLC (United Arab Emirates), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.750% | 11/15/23 | (a) | 390 | 374,915 | ||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 1,362,790,583 | ||||||||||||||
|
| |||||||||||||||
MUNICIPAL BOND — 0.0% |
| |||||||||||||||
Missouri | ||||||||||||||||
Health & Educational Facilities Authority of the State of Missouri, |
| |||||||||||||||
Revenue Bonds, Series A |
| |||||||||||||||
3.229% | 05/15/50 | 1,000 | 1,171,500 | |||||||||||||
|
| |||||||||||||||
(cost $1,000,000) |
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 7.5% |
| |||||||||||||||
Adjustable Rate Mortgage Trust, |
| |||||||||||||||
Series 2005-05, Class 1A1 |
| |||||||||||||||
3.394%(cc) | 09/25/35 | 200 | 158,412 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Alternative Loan Trust, |
| |||||||||||||||
Series 2005-J04, Class M2, 1 Month LIBOR + 0.640% (Cap 11.000%, Floor 0.640%) |
| |||||||||||||||
0.825%(c) | 07/25/35 | 2,477 | $ | 2,438,975 | ||||||||||||
Banc of America Funding Trust, |
| |||||||||||||||
Series 2015-R02, Class 4A1, 144A, 1 Month LIBOR + 0.165% (Cap N/A, Floor 0.165%) |
| |||||||||||||||
0.350%(c) | 09/29/36 | 2,624 | 2,597,701 | |||||||||||||
Banc of America Mortgage Trust, |
| |||||||||||||||
Series 2003-H, Class 3A1 |
| |||||||||||||||
4.257%(cc) | 09/25/33 | 89 | 83,233 | |||||||||||||
Series 2005-H, Class 2A1 |
| |||||||||||||||
4.089%(cc) | 09/25/35 | 56 | 50,967 | |||||||||||||
Bear Stearns ALT-A Trust, |
| |||||||||||||||
Series 2004-11, Class 1M1, 1 Month LIBOR + 0.900% (Cap 11.500%, Floor 0.600%) |
| |||||||||||||||
1.085%(c) | 11/25/34 | 10,169 | 10,000,177 | |||||||||||||
Bear Stearns Asset-Backed Securities Trust, |
| |||||||||||||||
Series 2003-AC05, Class A3, 1 Month LIBOR + 1.100% (Cap 8.500%, Floor 0.600%) |
| |||||||||||||||
1.285%(c) | 10/25/33 | 133 | 126,958 | |||||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||||||||
Series 2004-HYB06, Class A1 |
| |||||||||||||||
3.885%(cc) | 11/20/34 | 64 | 61,694 | |||||||||||||
Credit Suisse Commercial Mortgage Trust, |
| |||||||||||||||
Series 2019-RIO, Class A |
| |||||||||||||||
4.764% | 12/15/21 | 16,150 | 14,727,745 | |||||||||||||
Credit Suisse Mortgage Trust, |
| |||||||||||||||
Series 2015-02R, Class 3A1, 144A |
| |||||||||||||||
0.588%(cc) | 04/27/36 | 2,123 | 2,105,246 | |||||||||||||
Series 2015-02R, Class 7A1, 144A |
| |||||||||||||||
3.482%(cc) | 08/27/36 | 2,174 | 2,144,547 | |||||||||||||
Series 2018-J01, Class A2, 144A |
| |||||||||||||||
3.500%(cc) | 02/25/48 | 19,654 | 20,359,799 | |||||||||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, |
| |||||||||||||||
Series 2006-PR01, Class 5AS4, IO, 144A |
| |||||||||||||||
6.665%(cc) | 04/15/36 | 26,343 | 5,509,443 | |||||||||||||
Fannie Mae Connecticut Avenue Securities, |
| |||||||||||||||
Series 2013-C01, Class M2, 1 Month LIBOR + 5.250% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
5.435%(c) | 10/25/23 | 5,529 | 4,986,476 | |||||||||||||
Series 2014-C01, Class M2, 1 Month LIBOR + 4.400% (Cap N/A, Floor 0.000%) |
| |||||||||||||||
4.585%(c) | 01/25/24 | 10,540 | 9,279,198 | |||||||||||||
Series 2014-C02, Class 1M2, 1 Month LIBOR + 2.600% (Cap N/A, Floor 2.600%) |
| |||||||||||||||
2.785%(c) | 05/25/24 | 9,575 | 8,373,023 | |||||||||||||
Fannie Mae Interest Strip, |
| |||||||||||||||
Series 409, Class C01, IO |
| |||||||||||||||
3.000% | 11/25/26 | 1,212 | 68,480 | |||||||||||||
Series 409, Class C02, IO |
| |||||||||||||||
3.000% | 04/25/27 | 1,383 | 77,677 | |||||||||||||
Series 409, Class C13, IO |
| |||||||||||||||
3.500% | 11/25/41 | 1,302 | 153,529 | |||||||||||||
Series 409, Class C22, IO |
| |||||||||||||||
4.500% | 11/25/39 | 1,171 | 175,272 |
SEE NOTES TO FINANCIAL STATEMENTS.
A221
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Fannie Mae REMICS, |
| |||||||||||||||
Series 2004-038, Class FK, 1 Month LIBOR + 0.350% (Cap 8.000%, Floor 0.350%) |
| |||||||||||||||
0.535%(c) | 05/25/34 | 315 | $ | 314,795 | ||||||||||||
Series 2010-027, Class AS, IO, 1 Month LIBOR x (1) + 6.480% (Cap 6.480%, Floor 0.000%) |
| |||||||||||||||
6.296%(c) | 04/25/40 | 903 | 174,867 | |||||||||||||
Series 2010-123, Class PM |
| |||||||||||||||
4.000% | 07/25/40 | 5,325 | 5,680,656 | |||||||||||||
Series 2010-150, Class SK, IO, 1 Month LIBOR x (1) + 6.530% (Cap 6.530%, Floor 0.000%) |
| |||||||||||||||
6.346%(c) | 01/25/41 | 867 | 215,487 | |||||||||||||
Series 2011-099, Class KS, IO, 1 Month LIBOR x (1) + 6.700% (Cap 6.700%, Floor 0.000%) |
| |||||||||||||||
6.516%(c) | 10/25/26 | 823 | 103,212 | |||||||||||||
Series 2012-028, Class B |
| |||||||||||||||
6.500% | 06/25/39 | 91 | �� | 100,139 | ||||||||||||
Series 2012-046, Class BA |
| |||||||||||||||
6.000% | 05/25/42 | 757 | 889,518 | |||||||||||||
Series 2012-051, Class B |
| |||||||||||||||
7.000% | 05/25/42 | 301 | 372,006 | |||||||||||||
Series 2012-070, Class YS, IO, 1 Month LIBOR x (1) + 6.650% (Cap 6.650%, Floor 0.000%) |
| |||||||||||||||
6.466%(c) | 02/25/41 | 85 | 7,026 | |||||||||||||
Series 2012-074, Class OA, PO |
| |||||||||||||||
0.314%(s) | 03/25/42 | 81 | 77,170 | |||||||||||||
Series 2012-074, Class SA, IO, 1 Month LIBOR x (1) + 6.650% (Cap 6.650%, Floor 0.000%) |
| |||||||||||||||
6.466%(c) | 03/25/42 | 932 | 181,430 | |||||||||||||
Series 2012-075, Class AO, PO |
| |||||||||||||||
0.314%(s) | 03/25/42 | 122 | 115,656 | |||||||||||||
Series 2012-075, Class NS, IO, 1 Month LIBOR x (1) + 6.600% (Cap 6.600%, Floor 0.000%) |
| |||||||||||||||
6.416%(c) | 07/25/42 | 67 | 13,818 | |||||||||||||
Series 2012-118, Class CI, IO |
| |||||||||||||||
3.500% | 12/25/39 | 1,086 | 38,329 | |||||||||||||
Series 2012-133, Class CS, IO, 1 Month LIBOR x (1) + 6.150% (Cap 6.150%, Floor 0.000%) |
| |||||||||||||||
5.966%(c) | 12/25/42 | 481 | 92,537 | |||||||||||||
Series 2012-134, Class MS, IO, 1 Month LIBOR x (1) + 6.150% (Cap 6.150%, Floor 0.000%) |
| |||||||||||||||
5.966%(c) | 12/25/42 | 595 | 112,466 | |||||||||||||
Series 2013-009, Class BC |
| |||||||||||||||
6.500% | 07/25/42 | 1,004 | 1,221,060 | |||||||||||||
Series 2013-009, Class CB |
| |||||||||||||||
5.500% | 04/25/42 | 2,624 | 3,031,722 | |||||||||||||
Series 2013-009, Class SA, IO, 1 Month LIBOR x (1) + 6.150% (Cap 6.150%, Floor 0.000%) |
| |||||||||||||||
5.966%(c) | 03/25/42 | 3,932 | 708,972 | |||||||||||||
Series 2013-026, Class HI, IO |
| |||||||||||||||
3.000% | 04/25/32 | 1,438 | 54,321 | |||||||||||||
Series 2013-073, Class IA, IO |
| |||||||||||||||
3.000% | 09/25/32 | 6,638 | 497,981 | |||||||||||||
Series 2013-126, Class CS, IO, 1 Month LIBOR x (1) + 6.150% (Cap 6.150%, Floor 0.000%) |
| |||||||||||||||
5.966%(c) | 09/25/41 | 3,136 | 460,425 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2015-055, Class IO, IO |
| |||||||||||||||
2.834%(cc) | 08/25/55 | 1,381 | $ | 69,306 | ||||||||||||
Series 2015-056, Class AS, IO, 1 Month LIBOR x (1) + 6.150% (Cap 6.150%, Floor 0.000%) |
| |||||||||||||||
5.966%(c) | 08/25/45 | 644 | 165,240 | |||||||||||||
Series 2020-047, Class GZ |
| |||||||||||||||
2.000% | 07/25/50^ | 1,300 | 1,310,143 | |||||||||||||
Flagstar Mortgage Trust, |
| |||||||||||||||
Series 2018-02, Class A4, 144A |
| |||||||||||||||
3.500%(cc) | 04/25/48 | 4,800 | 4,933,738 | |||||||||||||
Freddie Mac Reference REMIC, |
| |||||||||||||||
Series R007, Class ZA |
| |||||||||||||||
6.000% | 05/15/36 | 1,433 | 1,711,508 | |||||||||||||
Freddie Mac REMICS, |
| |||||||||||||||
Series 2957, Class ZA |
| |||||||||||||||
5.000% | 03/15/35 | 2,854 | 3,254,653 | |||||||||||||
Series 3242, Class SC, IO, 1 Month LIBOR x (1) + 6.290% (Cap 6.290%, Floor 0.000%) |
| |||||||||||||||
6.105%(c) | 11/15/36 | 324 | 67,280 | |||||||||||||
Series 3368, Class AI, IO, 1 Month LIBOR x (1) + 6.030% (Cap 6.030%, Floor 0.000%) |
| |||||||||||||||
5.845%(c) | 09/15/37 | 873 | 191,220 | |||||||||||||
Series 3621, Class SB, IO, 1 Month LIBOR x (1) + 6.230% (Cap 6.230%, Floor 0.000%) |
| |||||||||||||||
6.045%(c) | 01/15/40 | 152 | 35,271 | |||||||||||||
Series 3639, Class EY |
| |||||||||||||||
5.000% | 02/15/30 | 1,062 | 1,176,395 | |||||||||||||
Series 3768, Class MB |
| |||||||||||||||
4.000% | 12/15/39 | 4,806 | 5,019,296 | |||||||||||||
Series 3947, Class SG, IO, 1 Month LIBOR x (1) + 5.950% (Cap 5.950%, Floor 0.000%) |
| |||||||||||||||
5.765%(c) | 10/15/41 | 2,997 | 520,410 | |||||||||||||
Series 4054, Class SA, IO, 1 Month LIBOR x (1) + 6.050% (Cap 6.050%, Floor 0.000%) |
| |||||||||||||||
5.865%(c) | 08/15/39 | 771 | 159,375 | |||||||||||||
Series 4119, Class IN, IO |
| |||||||||||||||
3.500% | 10/15/32 | 932 | 95,885 | |||||||||||||
Series 4146, Class DI, IO |
| |||||||||||||||
3.000% | 12/15/31 | 3,750 | 235,086 | |||||||||||||
Series 4174, Class SA, IO, 1 Month LIBOR x (1) + 6.200% (Cap 6.200%, Floor 0.000%) |
| |||||||||||||||
6.015%(c) | 05/15/39 | 566 | 34,995 | |||||||||||||
Series 4194, Class BI, IO |
| |||||||||||||||
3.500% | 04/15/43 | 1,164 | 116,592 | |||||||||||||
Series 4210, Class Z |
| |||||||||||||||
3.000% | 05/15/43 | 3,027 | 3,123,510 | |||||||||||||
Series 4239, Class IO, IO |
| |||||||||||||||
3.500% | 06/15/27 | 3,762 | 248,518 | |||||||||||||
Series 4415, Class IO, IO |
| |||||||||||||||
3.371%(cc) | 04/15/41 | 1,033 | 62,701 | |||||||||||||
Series 4813, Class CJ |
| |||||||||||||||
3.000% | 08/15/48 | 2,028 | 2,101,013 | |||||||||||||
Freddie Mac Strips, |
| |||||||||||||||
Series 283, Class IO, IO |
| |||||||||||||||
3.500% | 10/15/27 | 606 | 45,586 |
SEE NOTES TO FINANCIAL STATEMENTS.
A222
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, |
| |||||||||||||||
Series 2017-DNA1, Class M2, 1 Month LIBOR + 3.250% (Cap N/A, Floor 3.250%) |
| |||||||||||||||
3.435%(c) | 07/25/29 | 16,650 | $ | 16,795,423 | ||||||||||||
Freddie Mac Structured Agency Credit Risk REMIC Trust, |
| |||||||||||||||
Series 2020-DNA02, Class M2, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 1.850%) |
| |||||||||||||||
2.035%(c) | 02/25/50 | 12,380 | 11,737,531 | |||||||||||||
Government National Mortgage Assoc., |
| |||||||||||||||
Series 2010-31, Class GS, IO, 1 Month LIBOR x (1) + 6.500% (Cap 6.500%, Floor 0.000%) |
| |||||||||||||||
6.310%(c) | 03/20/39 | 50 | 1,013 | |||||||||||||
Series 2010-42, Class BS, IO, 1 Month LIBOR x (1) + 6.480% (Cap 6.480%, Floor 0.000%) |
| |||||||||||||||
6.290%(c) | 04/20/40 | 131 | 27,462 | |||||||||||||
Series 2010-76, Class CS, IO, 1 Month LIBOR x (1) + 6.550% (Cap 6.550%, Floor 0.000%) |
| |||||||||||||||
6.360%(c) | 06/20/40 | 2,339 | 557,203 | |||||||||||||
Series 2010-85, Class HS, IO, 1 Month LIBOR x (1) + 6.650% (Cap 6.650%, Floor 0.000%) |
| |||||||||||||||
6.460%(c) | 01/20/40 | 161 | 14,869 | |||||||||||||
Series 2010-H11, Class FA, 1 Month LIBOR + 1.000% (Cap 11.000%, Floor 1.000%) |
| |||||||||||||||
1.174%(c) | 06/20/60 | 5,056 | 5,122,270 | |||||||||||||
Series 2010-H26, Class LF, 1 Month LIBOR + 0.350% (Cap 13.898%, Floor 0.350%) |
| |||||||||||||||
0.653%(c) | 08/20/58 | 485 | 482,619 | |||||||||||||
Series 2012-034, Class SA, IO, 1 Month LIBOR x (1) + 6.050% (Cap 6.050%, Floor 0.000%) |
| |||||||||||||||
5.860%(c) | 03/20/42 | 1,802 | 429,758 | |||||||||||||
Series 2012-066, Class CI, IO |
| |||||||||||||||
3.500% | 02/20/38 | 969 | 32,433 | |||||||||||||
Series 2012-124, Class AS, IO, 1 Month LIBOR x (1) + 6.200% (Cap 6.200%, Floor 0.000%) |
| |||||||||||||||
6.005%(c) | 10/16/42 | 1,363 | 310,750 | |||||||||||||
Series 2012-43, Class SN, IO, 1 Month LIBOR x (1) + 6.600% (Cap 6.600%, Floor 0.000%) |
| |||||||||||||||
6.405%(c) | 04/16/42 | 929 | 237,663 | |||||||||||||
Series 2012-98, Class SA, IO, 1 Month LIBOR x (1) + 6.100% (Cap 6.100%, Floor 0.000%) |
| |||||||||||||||
5.905%(c) | 08/16/42 | 849 | 178,742 | |||||||||||||
Series 2013-069, Class AI, IO |
| |||||||||||||||
3.500% | 05/20/43 | 1,098 | 144,381 | |||||||||||||
Series 2014-05, Class SP, IO, 1 Month LIBOR x (1) + 6.150% (Cap 6.150%, Floor 0.000%) |
| |||||||||||||||
5.955%(c) | 06/16/43 | 1,177 | 153,220 | |||||||||||||
Series 2018-37, Class QA |
| |||||||||||||||
2.750% | 03/20/48 | 1,096 | 1,151,952 | |||||||||||||
Series 2018-H06, Class PF, 1 Month LIBOR + 0.300% (Cap 11.000%, Floor 0.300%) |
| |||||||||||||||
0.603%(c) | 02/20/68 | 984 | 977,770 | |||||||||||||
Series 2018-H07, Class FD, 1 Month LIBOR + 0.300% (Cap 11.000%, Floor 0.300%) |
| |||||||||||||||
0.603%(c) | 05/20/68 | 1,630 | 1,620,049 | |||||||||||||
Series 2018-H08, Class KF, 1 Month LIBOR + 0.300% (Cap 11.000%, Floor 0.300%) |
| |||||||||||||||
0.603%(c) | 05/20/68 | 751 | 745,322 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2018-H13, Class FC, 1 Month LIBOR + 0.300% (Cap 11.000%, Floor 0.300%) |
| |||||||||||||||
0.603%(c) | 07/20/68 | 1,152 | $ | 1,143,216 | ||||||||||||
Series 2018-H17, Class FG, 12 Month LIBOR + 0.250% (Cap 7.500%, Floor 0.250%) |
| |||||||||||||||
2.224%(c) | 10/20/68 | 6,590 | 6,573,847 | |||||||||||||
Series 2019-090, Class AB |
| |||||||||||||||
3.000% | 07/20/49 | 4,285 | 4,488,155 | |||||||||||||
Series 2019-123, Class A |
| |||||||||||||||
3.000% | 10/20/49 | 1,955 | 2,101,652 | |||||||||||||
Series 2020-47, Class MI, IO |
| |||||||||||||||
3.500% | 04/20/50 | 2,286 | 384,091 | |||||||||||||
Series 2020-47, Class NI, IO |
| |||||||||||||||
3.500% | 04/20/50 | 796 | 140,030 | |||||||||||||
Series 2020-H09, Class NF, 1 Month LIBOR + 1.250% (Cap 11.000%, Floor 1.250%) |
| |||||||||||||||
1.440%(c) | 04/20/70 | 2,454 | 2,520,130 | |||||||||||||
GreenPoint Mortgage Funding Trust, |
| |||||||||||||||
Series 2005-AR04, Class G41B, 1 Month LIBOR + 0.200% (Cap 10.500%, Floor 0.200%) |
| |||||||||||||||
0.385%(c) | 10/25/45 | 148 | 127,158 | |||||||||||||
Series 2006-AR03, Class 3A1, 1 Month LIBOR + 0.230% (Cap 10.500%, Floor 0.230%) |
| |||||||||||||||
0.415%(c) | 04/25/36 | 76 | 80,958 | |||||||||||||
GSR Mortgage Loan Trust, |
| |||||||||||||||
Series 2005-08F, Class 2A1 |
| |||||||||||||||
5.500% | 11/25/35 | 153 | 159,336 | |||||||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||||||
Series 2004-11, Class 3A3, 1 Month LIBOR + 0.760% (Cap 10.500%, Floor 0.380%) |
| |||||||||||||||
0.954%(c) | 01/19/35 | 111 | 98,506 | |||||||||||||
IndyMac INDX Mortgage Loan Trust, |
| |||||||||||||||
Series 2006-AR27, Class 2A2, 1 Month LIBOR + 0.200% (Cap 10.500%, Floor 0.200%) |
| |||||||||||||||
0.385%(c) | 10/25/36 | 680 | 606,949 | |||||||||||||
JPMorgan Mortgage Trust, |
| |||||||||||||||
Series 2005-A06, Class 2A4 |
| |||||||||||||||
4.466%(cc) | 08/25/35 | 327 | 316,357 | |||||||||||||
Series 2005-S03, Class 1A1 |
| |||||||||||||||
6.500% | 01/25/36 | 1,669 | 1,353,790 | |||||||||||||
Series 2018-05, Class A1, 144A |
| |||||||||||||||
3.500%(cc) | 10/25/48 | 12,094 | 12,333,800 | |||||||||||||
MASTR Alternative Loan Trust, |
| |||||||||||||||
Series 2004-10, Class 5A1, 1 Month LIBOR + 0.450% (Cap 8.000%, Floor 0.450%) |
| |||||||||||||||
0.635%(c) | 09/25/34 | 310 | 303,980 | |||||||||||||
Merrill Lynch Mortgage Investors Trust Series MLCC, |
| |||||||||||||||
Series 2006-01, Class 2A1 |
| |||||||||||||||
3.339%(cc) | 02/25/36 | 149 | 141,574 | |||||||||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||||||||
Series 2004-5AR, Class 2A |
| |||||||||||||||
3.186%(cc) | 07/25/34 | 208 | 200,380 | |||||||||||||
Series 2005-10, Class 1A1, 1 Month LIBOR + 0.700% (Cap 5.750%, Floor 0.700%) |
| |||||||||||||||
0.885%(c) | 12/25/35 | 838 | 624,168 |
SEE NOTES TO FINANCIAL STATEMENTS.
A223
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
NAAC Reperforming Loan REMIC Trust Certificates, |
| |||||||||||||||
Series 2004-R03, Class A1, 144A |
| |||||||||||||||
6.500% | 02/25/35 | 1,488 | $ | 1,475,642 | ||||||||||||
New Residential Mortgage Loan Trust, |
| |||||||||||||||
Series 2019-03A, Class A1A, 144A |
| |||||||||||||||
3.750%(cc) | 11/25/58 | 8,176 | 8,799,284 | |||||||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, |
| |||||||||||||||
Series 2005-AR01, Class M1, 1 Month LIBOR + 1.070% (Cap 11.000%, Floor 0.570%) |
| |||||||||||||||
1.255%(c) | 02/25/35 | 3,499 | 3,493,928 | |||||||||||||
Series 2006-AF01, Class 2A |
| |||||||||||||||
4.173%(cc) | 06/25/36 | 681 | 563,644 | |||||||||||||
PMT Credit Risk Transfer Trust, |
| |||||||||||||||
Series 2019-02R, Class A, 144A, 1 Month LIBOR + 2.750% (Cap N/A, Floor 2.750%) |
| |||||||||||||||
2.934%(c) | 05/27/23 | 13,773 | 11,989,225 | |||||||||||||
RAMP Trust, |
| |||||||||||||||
Series 2005-SL01, Class A7 |
| |||||||||||||||
8.000% | 05/25/32 | 81 | 65,043 | |||||||||||||
RBSGC Mortgage Loan Trust, |
| |||||||||||||||
Series 2007-B, Class 1A4, 1 Month LIBOR + 0.450% (Cap 6.500%, Floor 0.450%) |
| |||||||||||||||
0.635%(c) | 01/25/37 | 558 | 199,013 | |||||||||||||
Residential Asset Securitization Trust, |
| |||||||||||||||
Series 2007-A07, Class A3 |
| |||||||||||||||
6.000% | 07/25/37 | 1,721 | 979,250 | |||||||||||||
SACO I Trust, |
| |||||||||||||||
Series 2007-VA01, Class A, 144A |
| |||||||||||||||
8.913%(cc) | 06/25/21 | 113 | 105,009 | |||||||||||||
Seasoned Credit Risk Transfer Trust, |
| |||||||||||||||
Series 2017-02, Class M1, 144A |
| |||||||||||||||
4.000%(cc) | 08/25/56 | 8,495 | 8,365,855 | |||||||||||||
Series 2017-02, Class M2, 144A |
| |||||||||||||||
4.000%(cc) | 08/25/56 | 12,160 | 10,954,032 | |||||||||||||
Series 2017-03, Class M2, 144A |
| |||||||||||||||
4.750%(cc) | 07/25/56 | 8,140 | 7,636,384 | |||||||||||||
Sequoia Mortgage Trust, |
| |||||||||||||||
Series 2012-04, Class A3 |
| |||||||||||||||
2.069%(cc) | 09/25/42 | 456 | 464,952 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||||||||
Series 2004-13, Class A2, 1 Month LIBOR + 0.300% (Cap N/A, Floor 0.300%) |
| |||||||||||||||
0.485%(c) | 09/25/34 | 260 | 235,824 | |||||||||||||
Wachovia Mortgage Loan Trust LLC, |
| |||||||||||||||
Series 2005-A, Class 1A1 |
| |||||||||||||||
3.948%(cc) | 08/20/35 | 35 | 33,072 | |||||||||||||
WaMu Mortgage Pass-Through Certificates Trust, |
| |||||||||||||||
Series 2003-AR09, Class 1A7 |
| |||||||||||||||
4.275%(cc) | 09/25/33 | 108 | 103,139 | |||||||||||||
Series 2005-AR13, Class A1C3, 1 Month LIBOR + 0.490% (Cap 10.500%, Floor 0.490%) |
| |||||||||||||||
0.675%(c) | 10/25/45 | 1,985 | 1,861,504 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Wells Fargo Mortgage Backed Securities Trust, |
| |||||||||||||||
Series 2006-AR04, Class 2A1 |
| |||||||||||||||
4.018%(cc) | 04/25/36 | 32 | $ | 29,294 | ||||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 254,392,467 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 7.5% |
| |||||||||||||||
Abu Dhabi Government International Bond (United Arab Emirates), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.500% | 10/11/22 | 3,560 | 3,679,774 | |||||||||||||
3.125% | 09/30/49 | 8,960 | 9,349,048 | |||||||||||||
Argentine Bonos del Tesoro (Argentina), |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
18.200% | 10/03/21 | ARS | 105,350 | 760,681 | ||||||||||||
Argentine Republic Government International Bond (Argentina), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 12/31/38 | 9,380 | 3,672,499 | |||||||||||||
6.875% | 01/11/48 | 6,090 | 2,363,064 | |||||||||||||
7.125% | 07/06/36 | 5,650 | 2,199,105 | |||||||||||||
Bahamas Government International Bond (Bahamas), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.950% | 11/20/29 | 800 | 712,363 | |||||||||||||
Bermuda Government International Bond (Bermuda), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.717% | 01/25/27 | 2,100 | 2,227,267 | |||||||||||||
Brazil Notas do Tesouro Nacional (Brazil), |
| |||||||||||||||
Notes, Series F |
| |||||||||||||||
10.000% | 01/01/21 | BRL | 69,334 | 13,236,538 | ||||||||||||
10.000% | 01/01/23 | BRL | 38,299 | 7,996,065 | ||||||||||||
10.000% | 01/01/27 | BRL | 5,694 | 1,238,191 | ||||||||||||
Brazilian Government International Bond (Brazil), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.625% | 01/05/23 | 670 | 684,138 | |||||||||||||
4.625% | 01/13/28 | (a) | 2,340 | 2,455,688 | ||||||||||||
5.000% | 01/27/45 | 5,190 | 4,989,741 | |||||||||||||
5.625% | 01/07/41 | (a) | 3,850 | 3,999,985 | ||||||||||||
5.625% | 02/21/47 | 6,910 | 7,206,754 | |||||||||||||
China Government Bond (China), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.310% | 11/30/25 | CNH | 12,500 | 1,832,377 | ||||||||||||
Colombia Government International Bond (Colombia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 02/26/44 | 2,540 | 3,049,121 | |||||||||||||
Indonesia Government International Bond (Indonesia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 01/11/28 | 410 | 436,287 | |||||||||||||
4.350% | 01/11/48 | 3,430 | 3,860,393 | |||||||||||||
4.875% | 05/05/21 | 1,067 | 1,099,006 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.250% | 01/08/47 | 2,720 | 3,402,974 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.750% | 04/25/22 | 270 | 280,469 | |||||||||||||
4.750% | 07/18/47 | (a) | 400 | 470,527 | ||||||||||||
5.125% | 01/15/45 | 2,520 | 3,093,630 | |||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
3.750% | 04/25/22 | 4,030 | 4,186,253 |
SEE NOTES TO FINANCIAL STATEMENTS.
A224
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Israel Government International Bond (Israel), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 07/03/30 | 1,150 | $ | 1,266,296 | ||||||||||||
3.875% | 07/03/50 | 630 | 749,355 | |||||||||||||
Kenya Government International Bond (Kenya), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.875% | 06/24/24 | 1,050 | 1,066,388 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.250% | 02/28/28 | 670 | 660,987 | |||||||||||||
Kuwait International Government Bond (Kuwait), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.500% | 03/20/27 | 3,290 | 3,673,876 | |||||||||||||
Mexican Bonos (Mexico), |
| |||||||||||||||
Bonds, Series M |
| |||||||||||||||
8.000% | 11/07/47 | MXN | 824,650 | 40,337,407 | ||||||||||||
Sr. Unsec’d. Notes, Series M |
| |||||||||||||||
7.750% | 11/23/34 | MXN | 144,520 | 7,164,712 | ||||||||||||
7.750% | 11/13/42 | MXN | 329,844 | 15,738,202 | ||||||||||||
8.500% | 05/31/29 | MXN | 230,730 | 11,901,022 | ||||||||||||
Mexico Government International Bond (Mexico), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.600% | 02/10/48 | 520 | 537,275 | |||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
5.750% | 10/12/10 | 1,070 | 1,186,341 | |||||||||||||
Nigeria Government International Bond (Nigeria), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.143% | 02/23/30 | 1,280 | 1,196,415 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
6.500% | 11/28/27 | 1,140 | 1,080,202 | |||||||||||||
Panama Government International Bond (Panama), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 04/01/56 | 1,270 | 1,557,635 | |||||||||||||
Peruvian Government International Bond (Peru), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.783% | 01/23/31 | 1,360 | 1,450,093 | |||||||||||||
5.625% | 11/18/50 | (a) | 1,880 | 2,966,944 | ||||||||||||
6.550% | 03/14/37 | 150 | 227,961 | |||||||||||||
Provincia de Buenos Aires (Argentina), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.500% | 02/15/23 | 1,520 | 624,251 | |||||||||||||
7.875% | 06/15/27 | 1,310 | 539,748 | |||||||||||||
9.125% | 03/16/24 | 160 | 66,152 | |||||||||||||
Qatar Government International Bond (Qatar), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.000% | 03/14/29 | 3,460 | 3,980,828 | |||||||||||||
4.400% | 04/16/50 | 390 | 485,113 | |||||||||||||
4.817% | 03/14/49 | 3,050 | 4,030,390 | |||||||||||||
5.103% | 04/23/48 | 525 | 716,882 | |||||||||||||
Republic of Poland Government International Bond (Poland), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 01/22/24 | 4,060 | 4,510,231 | |||||||||||||
Russian Federal Bond — OFZ (Russia), |
| |||||||||||||||
Bonds, Series 6207 |
| |||||||||||||||
8.150% | 02/03/27 | RUB | 458,000 | 7,424,814 | ||||||||||||
Bonds, Series 6211 |
| |||||||||||||||
7.000% | 01/25/23 | RUB | 170,630 | 2,530,346 | ||||||||||||
Bonds, Series 6212 |
| |||||||||||||||
7.050% | 01/19/28 | RUB | 593,212 | 9,095,686 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Bonds, Series 6215 |
| |||||||||||||||
7.000% | 08/16/23 | RUB | 465,330 | $ | 6,967,924 | |||||||||||
Bonds, Series 6219 |
| |||||||||||||||
7.750% | 09/16/26 | RUB | 79,640 | 1,261,681 | ||||||||||||
Bonds, Series 6224 |
| |||||||||||||||
6.900% | 05/23/29 | RUB | 782,770 | 11,908,564 | ||||||||||||
Bonds, Series 6225 |
| |||||||||||||||
7.250% | 05/10/34 | RUB | 43,690 | 681,721 | ||||||||||||
Bonds, Series 6228 |
| |||||||||||||||
7.650% | 04/10/30 | RUB | 731,870 | 11,668,372 | ||||||||||||
Bonds, Series 6230 |
| |||||||||||||||
7.700% | 03/16/39 | RUB | 406,810 | 6,690,038 | ||||||||||||
Uruguay Government International Bond (Uruguay), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.975% | 04/20/55 | (a) | 970 | 1,242,415 | ||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 255,668,205 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 16.5% |
| |||||||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||||||
3.000% | 02/01/38 | 279 | 293,507 | |||||||||||||
3.000% | 04/01/38 | 210 | 221,048 | |||||||||||||
3.000% | 01/01/47 | 1,589 | 1,717,332 | |||||||||||||
3.000% | 01/01/47 | 2,684 | 2,869,241 | |||||||||||||
3.000% | 09/01/48 | 165 | 178,416 | |||||||||||||
3.000% | 09/01/49 | 4,619 | 4,990,237 | |||||||||||||
3.000% | 01/01/50 | 297 | 317,375 | |||||||||||||
3.000% | 01/01/50 | 878 | 937,480 | |||||||||||||
3.000% | 03/01/50 | 193 | 203,597 | |||||||||||||
3.000% | 03/01/50 | 391 | 414,343 | |||||||||||||
3.500% | 10/01/42 | 1,923 | 2,076,272 | |||||||||||||
3.500% | 11/01/42 | 36 | 39,198 | |||||||||||||
3.500% | 03/01/43 | 2,057 | 2,221,364 | |||||||||||||
3.500% | 02/01/44 | 806 | 870,542 | |||||||||||||
3.500% | 06/01/46 | 61 | 66,541 | |||||||||||||
3.500% | 07/01/47 | 678 | 740,633 | |||||||||||||
3.500% | 12/01/47 | 897 | 980,594 | |||||||||||||
4.000% | 03/01/42 | 1,270 | 1,395,647 | |||||||||||||
4.000% | 10/01/42 | 2,718 | 2,964,157 | |||||||||||||
4.000% | 04/01/43 | 1,170 | 1,275,864 | |||||||||||||
4.000% | 05/01/43 | 87 | 98,679 | |||||||||||||
4.000% | 06/01/43 | 72 | 78,327 | |||||||||||||
4.000% | 06/01/43 | 81 | 90,983 | |||||||||||||
4.000% | 06/01/43 | 84 | 93,831 | |||||||||||||
4.000% | 06/01/43 | 104 | 117,221 | |||||||||||||
4.000% | 06/01/43 | 117 | 129,062 | |||||||||||||
4.000% | 07/01/43 | 449 | 503,251 | |||||||||||||
4.000% | 07/01/43 | 484 | 547,970 | |||||||||||||
4.000% | 08/01/43 | 598 | 651,111 | |||||||||||||
4.000% | 03/01/44 | 1,229 | 1,349,913 | |||||||||||||
4.000% | 07/01/44 | 400 | 438,712 | |||||||||||||
4.000% | 02/01/45 | 630 | 675,794 | |||||||||||||
4.000% | 05/01/45 | 205 | 221,321 | |||||||||||||
4.000% | 01/01/46 | 1,177 | 1,270,359 | |||||||||||||
4.000% | 03/01/46 | 1,055 | 1,136,612 | |||||||||||||
4.000% | 05/01/46 | 1,304 | 1,407,232 | |||||||||||||
4.000% | 07/01/46 | 1,050 | 1,121,887 | |||||||||||||
4.000% | 12/01/47 | 3,882 | 4,130,099 |
SEE NOTES TO FINANCIAL STATEMENTS.
A225
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
4.000% | 06/01/48 | 4,570 | $ | 4,877,889 | ||||||||||||
4.500% | 09/01/23 | 70 | 74,747 | |||||||||||||
4.500% | 08/01/24 | 69 | 73,885 | |||||||||||||
4.500% | 12/01/43 | 1,623 | 1,801,867 | |||||||||||||
4.500% | 03/01/44 | 1,549 | 1,718,436 | |||||||||||||
4.500% | 04/01/44 | 94 | 101,308 | |||||||||||||
4.500% | 04/01/44 | 465 | 503,957 | |||||||||||||
4.500% | 04/01/44 | 585 | 648,546 | |||||||||||||
4.500% | 04/01/44 | 611 | 689,827 | |||||||||||||
4.500% | 04/01/44 | 643 | 711,979 | |||||||||||||
4.500% | 04/01/44 | 678 | 754,290 | |||||||||||||
4.500% | 04/01/44 | 992 | 1,141,802 | |||||||||||||
4.500% | 04/01/44 | 1,006 | 1,143,214 | |||||||||||||
4.500% | 04/01/44 | 3,533 | 4,002,370 | |||||||||||||
4.500% | 09/01/46 | 410 | 446,202 | |||||||||||||
4.500% | 02/01/47 | 92 | 99,498 | |||||||||||||
4.500% | 03/01/47 | 98 | 106,411 | |||||||||||||
4.500% | 05/01/47 | 157 | 169,252 | |||||||||||||
4.500% | 04/01/48 | 1,635 | 1,789,052 | |||||||||||||
4.500% | 08/01/48 | 827 | 889,385 | |||||||||||||
4.500% | 09/01/48 | 2,553 | 2,744,041 | |||||||||||||
4.500% | 01/01/49 | 3,433 | 3,731,350 | |||||||||||||
4.500% | 03/01/49 | 708 | 767,599 | |||||||||||||
4.500% | 04/01/49 | 1,098 | 1,201,671 | |||||||||||||
4.500% | 07/01/49 | 1,652 | 1,790,187 | |||||||||||||
4.500% | 02/01/50 | 464 | 502,333 | |||||||||||||
4.500% | 03/01/50 | 897 | 966,494 | |||||||||||||
5.000% | 09/01/20 | 30 | 31,049 | |||||||||||||
5.000% | 05/01/23 | 116 | 122,011 | |||||||||||||
5.000% | 07/01/25 | 57 | 62,624 | |||||||||||||
5.000% | 06/01/26 | 505 | 530,473 | |||||||||||||
5.000% | 05/01/36 | 25 | 29,081 | |||||||||||||
5.000% | 03/01/38 | 333 | 381,366 | |||||||||||||
5.000% | 06/01/41 | 189 | 216,443 | |||||||||||||
5.000% | 05/01/48 | 467 | 510,852 | |||||||||||||
5.000% | 06/01/48 | 38 | 43,558 | |||||||||||||
5.000% | 10/01/48 | 305 | 333,573 | |||||||||||||
5.000% | 10/01/48 | 1,259 | 1,376,456 | |||||||||||||
5.000% | 11/01/48 | 1,246 | 1,361,365 | |||||||||||||
5.000% | 01/01/49 | 4,776 | 5,214,294 | |||||||||||||
5.000% | 03/01/50 | 4,611 | 5,033,910 | |||||||||||||
5.500% | 12/01/38 | 239 | 274,051 | |||||||||||||
5.500% | 12/01/38 | 572 | 656,036 | |||||||||||||
6.500% | 09/01/39 | 218 | 253,790 | |||||||||||||
6.500% | 09/01/39 | 586 | 668,887 | |||||||||||||
7.000% | 03/01/39 | 209 | 244,744 | |||||||||||||
Federal National Mortgage Assoc. |
| |||||||||||||||
1.850% | 04/01/32 | 500 | 527,716 | |||||||||||||
1.950% | 04/01/32 | 400 | 422,075 | |||||||||||||
2.000% | TBA | 22,000 | 22,502,734 | |||||||||||||
2.000% | TBA | 52,900 | 54,712,239 | |||||||||||||
2.060% | 03/01/30 | 500 | 538,811 | |||||||||||||
2.060% | 03/01/30 | 598 | 643,003 | |||||||||||||
2.240% | 10/01/31 | 500 | 541,805 | |||||||||||||
2.260% | 02/01/30 | 600 | 650,693 | |||||||||||||
2.300% | 02/01/30 | 400 | 434,065 | |||||||||||||
2.320% | 02/01/32 | 500 | 546,615 | |||||||||||||
2.500% | TBA | 31,400 | 32,721,008 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
2.765% | 08/01/31 | 443 | $ | 497,008 | ||||||||||||
2.765% | 08/01/31 | 600 | 673,149 | |||||||||||||
2.765% | 08/01/31 | 800 | 897,532 | |||||||||||||
2.765% | 08/01/31 | 900 | 1,009,723 | |||||||||||||
2.770% | 08/01/31 | 1,400 | 1,571,342 | |||||||||||||
2.790% | 08/01/29 | 4,700 | 5,272,592 | |||||||||||||
2.850% | 08/01/31 | 1,530 | 1,729,568 | |||||||||||||
2.870% | 07/01/31 | 300 | 340,586 | |||||||||||||
2.870% | 08/01/31 | 800 | 905,241 | |||||||||||||
3.000% | 12/01/37 | 268 | 283,444 | |||||||||||||
3.000% | 09/01/42 | 3,390 | 3,685,926 | |||||||||||||
3.000% | 12/01/42 | 42 | 45,081 | |||||||||||||
3.000% | 12/01/42 | 58 | 61,684 | |||||||||||||
3.000% | 01/01/43 | 24 | 26,097 | |||||||||||||
3.000% | 01/01/43 | 43 | 45,922 | |||||||||||||
3.000% | 01/01/43 | 85 | 91,048 | |||||||||||||
3.000% | 01/01/43 | 165 | 175,755 | |||||||||||||
3.000% | 01/01/43 | 241 | 257,895 | |||||||||||||
3.000% | 01/01/43 | 611 | 652,341 | |||||||||||||
3.000% | 01/01/43 | 788 | 841,841 | |||||||||||||
3.000% | 02/01/43 | 97 | 103,520 | |||||||||||||
3.000% | 07/01/46 | 3,939 | 4,209,080 | |||||||||||||
3.000% | 08/01/46 | 68 | 71,743 | |||||||||||||
3.000% | 09/01/46 | 66 | 70,028 | |||||||||||||
3.000% | 09/01/46 | 133 | 140,277 | |||||||||||||
3.000% | 10/01/46 | 70 | 74,057 | |||||||||||||
3.000% | 08/01/49 | 96 | 104,446 | |||||||||||||
3.000% | 08/01/49 | 560 | 609,080 | |||||||||||||
3.000% | 01/01/50 | 388 | 417,146 | |||||||||||||
3.000% | 01/01/50 | 595 | 638,639 | |||||||||||||
3.000% | 06/01/50 | 2,497 | 2,644,306 | |||||||||||||
3.000% | 06/01/50 | 3,749 | 3,978,230 | |||||||||||||
3.040% | 06/01/29 | 1,000 | 1,137,205 | |||||||||||||
3.070% | 01/01/29 | 660 | 749,282 | |||||||||||||
3.160% | 05/01/29 | 957 | 1,094,278 | |||||||||||||
3.240% | 05/01/29 | 400 | 461,074 | |||||||||||||
3.260% | 05/01/29 | 730 | 843,354 | |||||||||||||
3.500% | 09/01/42 | 1,032 | 1,114,100 | |||||||||||||
3.500% | 12/01/42 | 479 | 518,279 | |||||||||||||
3.500% | 01/01/43 | 5,089 | 5,494,043 | |||||||||||||
3.500% | 03/01/43 | 3,386 | 3,661,357 | |||||||||||||
3.500% | 04/01/43 | 2,376 | 2,598,012 | |||||||||||||
3.500% | 04/01/43 | 2,467 | 2,739,424 | |||||||||||||
3.500% | 06/01/43 | 2,649 | 2,941,795 | |||||||||||||
3.500% | 06/01/43 | 2,674 | 2,969,508 | |||||||||||||
3.500% | 07/01/43 | 3,623 | 4,023,680 | |||||||||||||
3.500% | 02/01/45 | 475 | 513,142 | |||||||||||||
3.500% | 12/01/45 | 900 | 977,841 | |||||||||||||
3.500% | 01/01/46 | 869 | 944,092 | |||||||||||||
3.500% | 01/01/46 | 895 | 978,387 | |||||||||||||
3.500% | 12/01/46 | 4,449 | 4,771,387 | |||||||||||||
3.500% | 01/01/47 | 18 | 19,170 | |||||||||||||
3.500% | 09/01/47 | 2,172 | 2,302,160 | |||||||||||||
3.500% | 11/01/47 | 3,525 | 3,850,289 | |||||||||||||
3.500% | 01/01/48 | 1,910 | 2,022,055 | |||||||||||||
3.500% | 12/01/49 | 759 | 805,724 | |||||||||||||
3.500% | 02/01/50 | 11,978 | 12,733,337 | |||||||||||||
3.500% | 04/01/50 | 12,417 | 13,220,020 |
SEE NOTES TO FINANCIAL STATEMENTS.
A226
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
3.500% | 03/01/57 | 13,796 | $ | 15,005,505 | ||||||||||||
4.000% | 10/01/40 | 2,225 | 2,441,235 | |||||||||||||
4.000% | 01/01/42 | 2,983 | 3,263,741 | |||||||||||||
4.000% | 04/01/42 | 158 | 173,292 | |||||||||||||
4.000% | 07/01/42 | 2,045 | 2,245,686 | |||||||||||||
4.000% | 10/01/42 | 1,210 | 1,317,585 | |||||||||||||
4.000% | 11/01/42 | 2,382 | 2,594,636 | |||||||||||||
4.000% | 12/01/42 | 126 | 138,035 | |||||||||||||
4.000% | 12/01/42 | 188 | 206,951 | |||||||||||||
4.000% | 12/01/42 | 974 | 1,070,348 | |||||||||||||
4.000% | 04/01/43 | 185 | 206,889 | |||||||||||||
4.000% | 06/01/43 | 44 | 48,937 | |||||||||||||
4.000% | 06/01/43 | 46 | 51,524 | |||||||||||||
4.000% | 06/01/43 | 75 | 83,797 | |||||||||||||
4.000% | 06/01/43 | 76 | 83,394 | |||||||||||||
4.000% | 06/01/43 | 97 | 108,887 | |||||||||||||
4.000% | 06/01/43 | 125 | 140,571 | |||||||||||||
4.000% | 06/01/43 | 131 | 145,977 | |||||||||||||
4.000% | 06/01/43 | 153 | 171,941 | |||||||||||||
4.000% | 06/01/43 | 192 | 212,570 | |||||||||||||
4.000% | 06/01/43 | 204 | 230,239 | |||||||||||||
4.000% | 06/01/43 | 213 | 238,558 | |||||||||||||
4.000% | 06/01/43 | 233 | 257,846 | |||||||||||||
4.000% | 06/01/43 | 417 | 467,489 | |||||||||||||
4.000% | 06/01/43 | 507 | 556,422 | |||||||||||||
4.000% | 07/01/43 | 53 | 58,333 | |||||||||||||
4.000% | 07/01/43 | 440 | 483,480 | |||||||||||||
4.000% | 07/01/43 | 633 | 709,611 | |||||||||||||
4.000% | 07/01/43 | 753 | 833,086 | |||||||||||||
4.000% | 01/01/45 | 1,368 | 1,512,818 | |||||||||||||
4.000% | 02/01/45 | 3,039 | 3,436,404 | |||||||||||||
4.000% | 02/01/56 | 10,398 | 11,501,625 | |||||||||||||
4.000% | 06/01/57 | 1,191 | 1,313,234 | |||||||||||||
4.500% | 04/01/31 | 328 | 358,460 | |||||||||||||
4.500% | 05/01/31 | 1,025 | 1,118,653 | |||||||||||||
4.500% | 06/01/31 | 357 | 389,268 | |||||||||||||
4.500% | 11/01/31 | 460 | 504,770 | |||||||||||||
4.500% | 12/01/31 | 108 | 118,608 | |||||||||||||
4.500% | 12/01/31 | 517 | 566,823 | |||||||||||||
4.500% | 12/01/39 | 4 | 4,633 | |||||||||||||
4.500% | 09/01/41 | 418 | 463,128 | |||||||||||||
4.500% | 10/01/41 | 201 | 223,351 | |||||||||||||
4.500% | 10/01/41 | 227 | 246,526 | |||||||||||||
4.500% | 10/01/41 | 628 | 698,623 | |||||||||||||
4.500% | 09/01/42 | 63 | 69,512 | |||||||||||||
4.500% | 09/01/43 | 53 | 58,100 | |||||||||||||
4.500% | 09/01/43 | 87 | 95,149 | |||||||||||||
4.500% | 09/01/43 | 706 | 783,749 | |||||||||||||
4.500% | 10/01/43 | 1 | 1,586 | |||||||||||||
4.500% | 10/01/43 | 18 | 19,505 | |||||||||||||
4.500% | 10/01/43 | 58 | 63,530 | |||||||||||||
4.500% | 10/01/43 | 124 | 138,422 | |||||||||||||
4.500% | 10/01/43 | 449 | 499,743 | |||||||||||||
4.500% | 10/01/43 | 586 | 649,752 | |||||||||||||
4.500% | 11/01/43 | 42 | 46,447 | |||||||||||||
4.500% | 11/01/43 | 210 | 233,972 | |||||||||||||
4.500% | 11/01/43 | 420 | 465,648 | |||||||||||||
4.500% | 12/01/43 | 7 | 7,814 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
4.500% | 12/01/43 | 337 | $ | 375,246 | ||||||||||||
4.500% | 12/01/43 | 508 | 563,458 | |||||||||||||
4.500% | 01/01/44 | 256 | 285,149 | |||||||||||||
4.500% | 01/01/44 | 339 | 376,626 | |||||||||||||
4.500% | 01/01/44 | 350 | 397,973 | |||||||||||||
4.500% | 01/01/44 | 386 | 438,319 | |||||||||||||
4.500% | 01/01/44 | 2,027 | 2,301,654 | |||||||||||||
4.500% | 02/01/44 | 46 | 51,518 | |||||||||||||
4.500% | 02/01/44 | 66 | 70,585 | |||||||||||||
4.500% | 02/01/44 | 160 | 175,444 | |||||||||||||
4.500% | 02/01/44 | 188 | 208,902 | |||||||||||||
4.500% | 02/01/44 | 647 | 734,753 | |||||||||||||
4.500% | 02/01/44 | 1,226 | 1,384,940 | |||||||||||||
4.500% | 03/01/44 | 119 | 132,238 | |||||||||||||
4.500% | 03/01/44 | 315 | 350,312 | |||||||||||||
4.500% | 04/01/44 | 16 | 17,632 | |||||||||||||
4.500% | 04/01/44 | 78 | 86,190 | |||||||||||||
4.500% | 04/01/44 | 311 | 348,655 | |||||||||||||
4.500% | 04/01/44 | 347 | 391,716 | |||||||||||||
4.500% | 04/01/44 | 570 | 647,034 | |||||||||||||
4.500% | 04/01/44 | 671 | 746,990 | |||||||||||||
4.500% | 04/01/44 | 928 | 1,067,633 | |||||||||||||
4.500% | 05/01/44 | 40 | 44,437 | |||||||||||||
4.500% | 05/01/44 | 117 | 126,546 | |||||||||||||
4.500% | 05/01/44 | 121 | 134,534 | |||||||||||||
4.500% | 05/01/44 | 811 | 885,690 | |||||||||||||
4.500% | 06/01/44 | 119 | 131,268 | |||||||||||||
4.500% | 08/01/44 | 27 | 29,576 | |||||||||||||
4.500% | 01/01/45 | 176 | 202,648 | |||||||||||||
4.500% | 04/01/48 | 3,636 | 3,904,117 | |||||||||||||
4.500% | 05/01/48 | 156 | 170,425 | |||||||||||||
4.500% | 06/01/48 | 1,643 | 1,815,111 | |||||||||||||
4.500% | 07/01/48 | 2,022 | 2,219,311 | |||||||||||||
4.500% | 07/01/48 | 2,925 | 3,189,878 | |||||||||||||
4.500% | 08/01/48 | 1,453 | 1,561,260 | |||||||||||||
4.500% | 08/01/48 | 3,576 | 3,946,487 | |||||||||||||
4.500% | 09/01/48 | 1,104 | 1,186,230 | |||||||||||||
4.500% | 10/01/48 | 1,781 | 1,914,140 | |||||||||||||
4.500% | 10/01/48 | 2,594 | 2,848,204 | |||||||||||||
4.500% | 11/01/48 | 1,674 | 1,850,316 | |||||||||||||
4.500% | 12/01/48 | 746 | 812,604 | |||||||||||||
4.500% | 12/01/48 | 1,222 | 1,324,038 | |||||||||||||
4.500% | 12/01/48 | 1,458 | 1,582,803 | |||||||||||||
4.500% | 01/01/49 | 1,162 | 1,262,295 | |||||||||||||
4.500% | 02/01/49 | 778 | 847,788 | |||||||||||||
4.500% | 02/01/49 | 6,859 | 7,451,389 | |||||||||||||
4.500% | 05/01/49 | 2,845 | 3,062,126 | |||||||||||||
4.500% | 10/01/49 | 2,015 | 2,186,616 | |||||||||||||
4.500% | 11/01/49 | 96 | 103,532 | |||||||||||||
4.500% | 03/01/50 | 758 | 817,464 | |||||||||||||
4.500% | 04/01/56 | 2,674 | 2,982,424 | |||||||||||||
4.500% | 09/01/57 | 3,939 | 4,405,651 | |||||||||||||
5.000% | 07/01/33 | 152 | 173,880 | |||||||||||||
5.000% | 09/01/33 | 176 | 201,229 | |||||||||||||
5.000% | 10/01/35 | 509 | 583,468 | |||||||||||||
5.000% | 08/01/38 | 2,485 | 2,849,462 | |||||||||||||
5.000% | 01/01/39 | 13 | 14,891 | |||||||||||||
5.000% | 12/01/39 | 13 | 14,476 |
SEE NOTES TO FINANCIAL STATEMENTS.
A227
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
5.000% | 05/01/40 | 20 | $ | 22,608 | ||||||||||||
5.000% | 05/01/40 | 32 | 35,922 | |||||||||||||
5.000% | 06/01/40 | 88 | 100,653 | |||||||||||||
5.000% | 07/01/40 | 27 | 30,551 | |||||||||||||
5.000% | 11/01/40 | 805 | 924,961 | |||||||||||||
5.000% | 01/01/41 | 94 | 106,361 | |||||||||||||
5.000% | 02/01/41 | 28 | 30,336 | |||||||||||||
5.000% | 04/01/41 | 129 | 146,702 | |||||||||||||
5.000% | 05/01/41 | 159 | 182,662 | |||||||||||||
5.000% | 05/01/41 | 219 | 251,185 | |||||||||||||
5.000% | 05/01/41 | 258 | 296,679 | |||||||||||||
5.000% | 05/01/41 | 332 | 378,508 | |||||||||||||
5.000% | 05/01/41 | 1,179 | 1,355,501 | |||||||||||||
5.000% | 06/01/41 | 166 | 190,289 | |||||||||||||
5.000% | 05/01/48 | 775 | 847,828 | |||||||||||||
5.000% | 08/01/48 | 593 | 647,539 | |||||||||||||
5.000% | 11/01/48 | 2,163 | 2,365,508 | |||||||||||||
5.000% | 11/01/48 | 2,837 | 3,100,121 | |||||||||||||
5.000% | 09/01/49 | 183 | 199,786 | |||||||||||||
5.000% | 12/01/49 | 83 | 91,242 | |||||||||||||
5.000% | 12/01/49 | 275 | 299,608 | |||||||||||||
5.500% | 11/01/28 | 26 | 28,461 | |||||||||||||
5.500% | 09/01/36 | 595 | 682,090 | |||||||||||||
5.500% | 03/01/37 | 11 | 12,715 | |||||||||||||
5.500% | 04/01/37 | 4 | 4,483 | |||||||||||||
5.500% | 05/01/37 | 278 | 319,256 | |||||||||||||
5.500% | 03/01/38 | 14 | 15,789 | |||||||||||||
5.500% | 06/01/38 | 226 | 249,035 | |||||||||||||
5.500% | 08/01/38 | 361 | 412,974 | |||||||||||||
5.500% | 05/01/40 | 24 | 27,791 | |||||||||||||
5.500% | 09/01/56 | 4,218 | 4,706,533 | |||||||||||||
6.000% | 04/01/33 | 100 | 115,866 | |||||||||||||
6.000% | 02/01/34 | 16 | 18,755 | |||||||||||||
6.000% | 11/01/35 | 185 | 215,580 | |||||||||||||
6.000% | 08/01/37 | 20 | 23,000 | |||||||||||||
6.000% | 08/01/37 | 382 | 445,764 | |||||||||||||
6.000% | 09/01/37 | 84 | 97,550 | |||||||||||||
6.500% | 05/01/40 | 3,483 | 4,037,738 | |||||||||||||
7.000% | 04/01/37 | 205 | 245,668 | |||||||||||||
7.000% | 02/01/39 | 453 | 524,356 | |||||||||||||
7.000% | 02/01/39 | 777 | 900,043 | |||||||||||||
Government National Mortgage Assoc. |
| |||||||||||||||
2.500% | TBA | 23,300 | 24,516,879 | |||||||||||||
3.000% | 09/15/42 | 1,688 | 1,801,485 | |||||||||||||
3.000% | 10/15/42 | 2,084 | 2,211,772 | |||||||||||||
3.000% | 10/15/42 | 5,338 | 5,665,593 | |||||||||||||
3.000% | 11/15/42 | 3 | 3,216 | |||||||||||||
3.000% | 11/15/42 | 2,745 | 2,913,732 | |||||||||||||
3.000% | 11/20/46 | 1,345 | 1,429,347 | |||||||||||||
3.500% | 06/20/44 | 416 | 446,311 | |||||||||||||
3.500% | 03/20/45 | 355 | 380,585 | |||||||||||||
3.500% | 09/20/46 | 1,466 | 1,570,337 | |||||||||||||
3.500% | 06/15/48 | 1,040 | 1,108,153 | |||||||||||||
3.500% | 05/15/50 | 1,198 | 1,288,985 | |||||||||||||
4.000% | 04/20/39 | 11 | 11,689 | |||||||||||||
4.000% | 10/20/49 | 692 | 744,979 | |||||||||||||
4.000% | 11/20/49 | 4,357 | 4,713,602 | |||||||||||||
4.000% | 01/20/50 | 497 | 533,984 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||||||
4.000% | 02/20/50 | 497 | $ | 539,289 | ||||||||||||
4.500% | 01/20/40 | 583 | 640,057 | |||||||||||||
4.500% | 05/20/40 | 742 | 814,117 | |||||||||||||
4.500% | 09/20/40 | 12 | 13,651 | |||||||||||||
4.500% | 01/20/41 | 128 | 142,570 | |||||||||||||
4.500% | 07/20/41 | 876 | 961,466 | |||||||||||||
4.500% | 05/20/48 | 91 | 97,689 | |||||||||||||
4.500% | 06/20/48 | 2,560 | 2,759,206 | |||||||||||||
4.500% | 07/20/48 | 1,136 | 1,222,885 | |||||||||||||
4.500% | 08/20/48 | 8,979 | 9,606,028 | |||||||||||||
4.500% | 09/20/48 | 824 | 887,405 | |||||||||||||
4.500% | 10/20/48 | 2,872 | 3,091,010 | |||||||||||||
4.500% | 12/20/48 | 1,367 | 1,467,279 | |||||||||||||
4.500% | 01/20/49 | 987 | 1,053,632 | |||||||||||||
4.500% | 04/20/49 | 334 | 357,037 | |||||||||||||
4.500% | 02/20/50 | 2,155 | 2,301,654 | |||||||||||||
4.500% | 03/20/50 | 1,285 | 1,373,195 | |||||||||||||
5.000% | 04/15/40 | 4,191 | 4,686,178 | |||||||||||||
5.000% | 05/15/40 | 217 | 246,159 | |||||||||||||
5.000% | 07/20/40 | 59 | 66,597 | |||||||||||||
5.000% | 07/20/40 | 562 | 627,083 | |||||||||||||
5.000% | 09/20/40 | 332 | 374,985 | |||||||||||||
5.000% | 11/20/40 | 246 | 277,408 | |||||||||||||
5.000% | 10/20/47 | 1,058 | 1,169,547 | |||||||||||||
5.000% | 10/20/48 | 260 | 283,844 | |||||||||||||
5.000% | 01/20/49 | 4,609 | 5,009,698 | |||||||||||||
5.500% | 06/15/36 | 489 | 569,683 | |||||||||||||
6.000% | 08/20/40 | 39 | 45,342 | |||||||||||||
6.000% | 01/20/41 | 22 | 25,187 | |||||||||||||
6.000% | 04/20/41 | 3 | 3,401 | |||||||||||||
6.000% | 06/20/41 | 94 | 108,244 | |||||||||||||
6.000% | 07/20/41 | 51 | 58,811 | |||||||||||||
6.000% | 12/20/41 | 26 | 30,224 | |||||||||||||
6.000% | 02/20/42 | 28 | 31,938 | |||||||||||||
6.500% | 10/20/37 | 442 | 512,366 | |||||||||||||
Government National Mortgage Assoc., 1 Month LIBOR + 1.669% (Cap 11.921%, Floor 1.669%) |
| |||||||||||||||
2.674%(c) | 11/20/60 | 1,666 | 1,727,168 | |||||||||||||
Government National Mortgage Assoc., 1 Month LIBOR + 1.735% (Cap 12.051%, Floor 1.735%) |
| |||||||||||||||
2.724%(c) | 07/20/60 | 2,440 | 2,538,680 | |||||||||||||
Government National Mortgage Assoc., 1 Month LIBOR + 1.791% (Cap 12.084%, Floor 1.791%) |
| |||||||||||||||
2.780%(c) | 09/20/60 | 3,300 | 3,428,387 | |||||||||||||
Government National Mortgage Assoc., 1 Month LIBOR + 2.400% (Cap 12.647%, Floor 2.400%) |
| |||||||||||||||
3.389%(c) | 04/20/60 | 3,183 | 3,336,403 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 563,115,841 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 12.1% |
| |||||||||||||||
U.S. Treasury Bonds |
| |||||||||||||||
1.250% | 05/15/50 | (a) | 129,340 | 124,186,609 | ||||||||||||
2.000% | 02/15/50 | (a) | 14,730 | 16,858,945 | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS |
| |||||||||||||||
0.250% | 02/15/50 | 7,479 | 8,402,015 | |||||||||||||
1.000% | 02/15/46 | 8,786 | 11,392,028 | |||||||||||||
1.000% | 02/15/48 | 4,055 | 5,365,634 |
SEE NOTES TO FINANCIAL STATEMENTS.
A228
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||||||||||
1.000% | 02/15/49 | (k) | 38,290 | $ | 51,151,625 | |||||||||||
1.375% | 02/15/44 | (k) | 16,986 | 23,185,831 | ||||||||||||
2.125% | 02/15/40 | 4,638 | 6,837,886 | |||||||||||||
2.125% | 02/15/41 | 2,775 | 4,142,862 | |||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
0.250% | 06/30/25 | 58,670 | 58,559,994 | |||||||||||||
0.375% | 03/31/22 | (a) | 15,000 | 15,055,664 | ||||||||||||
0.375% | 04/30/25 | 40 | 40,175 | |||||||||||||
0.500% | 06/30/27 | 49,730 | 49,753,311 | |||||||||||||
0.625% | 05/15/30 | (a) | 18,920 | 18,860,875 | ||||||||||||
2.250% | 11/15/25 | (a) | 18,970 | 20,898,123 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 414,691,577 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,261,398,737 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 16.6% |
| |||||||||||||||
AFFILIATED MUTUAL FUNDS — 15.2% |
| |||||||||||||||
PGIM Core Ultra Short Bond |
| 162,421,760 | 162,421,760 | |||||||||||||
PGIM Institutional Money Market Fund |
| 354,848,871 | 354,848,871 | |||||||||||||
|
| |||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 517,270,631 | ||||||||||||||
|
| |||||||||||||||
Interest | Maturity Date | Principal Amount (000)# | ||||||||||||||
U.S. TREASURY OBLIGATIONS(n) — 1.4% |
| |||||||||||||||
U.S. Cash Management Bill |
| |||||||||||||||
0.155% | 11/10/20 | 11,810 | 11,802,422 | |||||||||||||
0.160% | 10/13/20 | 11,810 | 11,805,048 | |||||||||||||
U.S. Treasury Bills |
| |||||||||||||||
0.135% | 08/18/20 | 23,800 | 23,796,054 | |||||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 47,403,524 | ||||||||||||||
|
| |||||||||||||||
OPTIONS PURCHASED*~ — 0.0% |
| 1,292,971 | ||||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 565,967,126 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 112.1% |
| 3,827,365,863 | ||||||||||||||
|
|
Value | ||||
OPTIONS WRITTEN*~ — (0.2)% | $ | (4,828,259 | ) | |
|
| |||
TOTAL INVESTMENTS, NET OF OPTIONS | 3,822,537,604 | |||
Liabilities in excess of other assets(z) — (11.9)% | (406,697,199 | ) | ||
|
| |||
NET ASSETS — 100.0% | $ | 3,415,840,405 | ||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
~ | See tables subsequent to the Schedule of Investments for options detail. |
^ | Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $12,724,473 and 0.4% of net assets. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $347,332,744; cash collateral of $354,734,167 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of June 30, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(n) | Rate shown is the effective yield at purchase date. |
(p) | Interest rate not available as of June 30, 2020. |
(rr) | Perpetual security with no stated maturity date. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
SEE NOTES TO FINANCIAL STATEMENTS.
A229
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Unfunded loan commitment outstanding at June 30, 2020:
Borrower | Principal Amount (000)# | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
Eyecare Partners LLC, First Lien Initial Delayed Draw Term Loan, 3 Month LIBOR + 3.750%, 3.750%, Maturity Date 2/18/2027 (cost $31,412) | 36 | $ | 32,246 | $ | 834 | $ | — | |||||||||
|
|
|
|
|
|
Options Purchased:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||||
10 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $ | 137.50 | 21 | 21 | $ | 37,078 | ||||||||||||||||
20 Year U.S. Treasury Bonds Futures | Call | 07/24/20 | $ | 172.00 | 21 | 21 | 140,766 | |||||||||||||||||
20 Year U.S. Treasury Bonds Futures | Call | 07/24/20 | $ | 177.00 | 52 | 52 | 132,438 | |||||||||||||||||
Australian Dollar Currency | Call | 08/07/20 | 70.00 | 14 | 14 | 7,420 | ||||||||||||||||||
Canadian Dollar Futures | Call | 08/07/20 | 74.00 | 15 | 15 | 7,200 | ||||||||||||||||||
Euro Futures | Call | 08/07/20 | 1.14 | 43 | 5,375 | 26,875 | ||||||||||||||||||
5 Year U.S. Treasury Notes Futures | Put | 07/24/20 | $ | 116.50 | 1,259 | 1,259 | — | |||||||||||||||||
5 Year U.S. Treasury Notes Futures | Put | 08/21/20 | $ | 119.00 | 12,719 | 12,719 | 198,734 | |||||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/24/20 | $ | 137.00 | 21 | 21 | 1,313 | |||||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/24/20 | $ | 138.50 | 21 | 21 | 5,578 | |||||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/24/20 | $ | 139.00 | 175 | 175 | 73,828 | |||||||||||||||||
20 Year U.S. Treasury Bonds Futures | Put | 07/24/20 | $ | 179.00 | 21 | 21 | 39,703 | |||||||||||||||||
Euro Futures | Put | 07/02/20 | 1.13 | 30 | 3,750 | 21,375 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Exchange Traded | $ | 692,308 | ||||||||||||||||||||||
|
|
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||||
Currency Option USD vs EUR | Put | Morgan Stanley Capital Services LLC | 09/10/20 | 1.14 | — | 37,500 | $ | 296,070 | ||||||||||||||||||||
Currency Option USD vs EUR | Put | Goldman Sachs Bank USA, Inc. | 09/11/20 | 1.14 | — | 38,280 | 300,033 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total OTC Traded | $ | 596,103 | ||||||||||||||||||||||||||
|
|
OTC Swaptions
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | ||||||||||||||||||||
30- Year Interest Rate Swap, 08/03/50 | Put | Morgan Stanley Capital Services LLC | 07/30/20 | 1.88 | % | 3 Month LIBOR(Q) | 1.88 | %(S) | 3,110 | $ | 104 | |||||||||||||||||
30- Year Interest Rate Swap, 08/03/50 | Put | Morgan Stanley Capital Services LLC | 07/30/20 | 1.88 | % | 3 Month LIBOR(Q) | 1.88 | %(S) | 9,310 | 310 | ||||||||||||||||||
30- Year Interest Rate Swap, 08/03/50 | Put | Morgan Stanley Capital Services LLC | 07/30/20 | 1.92 | % | 3 Month LIBOR(Q) | 1.92 | %(S) | 9,900 | 281 | ||||||||||||||||||
30- Year Interest Rate Swap, 08/21/50 | Put | Morgan Stanley Capital Services LLC | 08/19/20 | 1.91 | % | 3 Month LIBOR(Q) | 1.91 | %(S) | 13,910 | 3,865 | ||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total OTC Swaptions |
| $ | 4,560 | |||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Options Purchased |
| $ | 1,292,971 | |||||||||||||||||||||||||
|
|
Options Written:
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||||
5 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $ | 125.25 | 105 | 105 | $ | (59,063 | ) | |||||||||||||||
5 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $ | 125.50 | 104 | 104 | (38,188 | ) | ||||||||||||||||
10 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $ | 138.50 | 61 | 61 | (57,188 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A230
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Options Written (continued):
Exchange Traded
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||||||||||
10 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $ | 139.00 | 100 | 100 | $ | (59,375 | ) | |||||||||||||||
10 Year U.S. Treasury Notes Futures | Call | 07/24/20 | $ | 139.50 | 433 | 433 | (155,609 | ) | ||||||||||||||||
10 Year U.S. Treasury Notes Futures | Call | 08/21/20 | $ | 139.50 | 82 | 82 | (51,250 | ) | ||||||||||||||||
20 Year U.S. Treasury Bonds Futures | Call | 07/24/20 | $ | 178.00 | 19 | 19 | (37,109 | ) | ||||||||||||||||
20 Year U.S. Treasury Bonds Futures | Call | 07/24/20 | $ | 179.00 | 63 | 63 | (91,547 | ) | ||||||||||||||||
20 Year U.S. Treasury Bonds Futures | Call | 07/24/20 | $ | 180.00 | 87 | 87 | (92,438 | ) | ||||||||||||||||
20 Year U.S. Treasury Bonds Futures | Call | 07/24/20 | $ | 181.00 | 145 | 145 | (111,016 | ) | ||||||||||||||||
20 Year U.S. Treasury Bonds Futures | Call | 08/21/20 | $ | 180.00 | 31 | 31 | (60,063 | ) | ||||||||||||||||
20 Year U.S. Treasury Bonds Futures | Call | 08/21/20 | $ | 186.00 | 21 | 21 | (13,125 | ) | ||||||||||||||||
Australian Dollar Currency | Call | 07/02/20 | 65.00 | 35 | 35 | (140,000 | ) | |||||||||||||||||
Australian Dollar Currency | Call | 07/02/20 | 66.00 | 9 | 9 | (27,000 | ) | |||||||||||||||||
Canadian Dollar Futures | Call | 07/02/20 | 75.00 | 42 | 42 | (210 | ) | |||||||||||||||||
Euro Futures | Call | 07/02/20 | 1.13 | 11 | 1,375 | (3,850 | ) | |||||||||||||||||
5 Year U.S. Treasury Notes Futures | Put | 07/24/20 | $ | 124.50 | 96 | 96 | (2,250 | ) | ||||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/24/20 | $ | 138.00 | 211 | 211 | (32,969 | ) | ||||||||||||||||
10 Year U.S. Treasury Notes Futures | Put | 07/24/20 | $ | 138.75 | 206 | 206 | (67,594 | ) | ||||||||||||||||
20 Year U.S. Treasury Bonds Futures | Put | 07/24/20 | $ | 175.00 | 141 | 141 | (63,891 | ) | ||||||||||||||||
20 Year U.S. Treasury Bonds Futures | Put | 07/24/20 | $ | 176.00 | 69 | 69 | (47,438 | ) | ||||||||||||||||
20 Year U.S. Treasury Bonds Futures | Put | 07/24/20 | $ | 177.00 | 83 | 83 | (81,703 | ) | ||||||||||||||||
20 Year U.S. Treasury Bonds Futures | Put | 07/24/20 | $ | 178.00 | 51 | 51 | (70,922 | ) | ||||||||||||||||
20 Year U.S. Treasury Bonds Futures | Put | 08/21/20 | $ | 175.00 | 20 | 20 | (22,188 | ) | ||||||||||||||||
20 Year U.S. Treasury Bonds Futures | Put | 08/21/20 | $ | 176.00 | 103 | 103 | (146,453 | ) | ||||||||||||||||
30 Year U.S. Ultra Treasury Bonds | Put | 07/02/20 | $ | 178.00 | 31 | 31 | (12,594 | ) | ||||||||||||||||
30 Year U.S. Ultra Treasury Bonds | Put | 07/02/20 | $ | 178.50 | 31 | 31 | (19,375 | ) | ||||||||||||||||
Australian Dollar Currency | Put | 08/07/20 | 69.00 | 7 | 7 | (6,860 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Total Exchange Traded | $ | (1,571,268 | ) | |||||||||||||||||||||
|
|
OTC Traded
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||||||||||||||
Currency Option USD vs MXN | Put | Goldman Sachs Bank USA, Inc. | 07/24/20 | 25.52 | — | 30,190 | $ | (3,256,985 | ) | |||||||||||||||||||
|
|
OTC Swaptions
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | ||||||||||||||||||||||
5- Year Interest Rate Swap, 08/03/25 | Put | Morgan Stanley Capital Services LLC | 07/30/20 | 1.55 | % | 1.55%(S) | 3 Month LIBOR | (Q) | 17,080 | $ | — | |||||||||||||||||||
5- Year Interest Rate Swap, 08/03/25 | Put | Morgan Stanley Capital Services LLC | 07/30/20 | 1.55 | % | 1.55%(S) | 3 Month LIBOR | (Q) | 51,230 | — | ||||||||||||||||||||
5- Year Interest Rate Swap, 08/03/25 | Put | Morgan Stanley Capital Services LLC | 07/30/20 | 1.60 | % | 1.60%(S) | 3 Month LIBOR | (Q) | 49,480 | — | ||||||||||||||||||||
5- Year Interest Rate Swap, 08/21/25 | Put | Morgan Stanley Capital Services LLC | 08/19/20 | 1.60 | % | 1.60%(S) | 3 Month LIBOR | (Q) | 69,540 | (6 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total OTC Swaptions |
| $ | (6 | ) | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Options Written |
| $ | (4,828,259 | ) | ||||||||||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A231
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
1,268 | 90 Day Euro Dollar | Dec. 2020 | $ | 316,080,700 | $ | 3,803,914 | ||||||||||
450 | 2 Year U.S. Treasury Notes | Sep. 2020 | 99,372,657 | 11,953 | ||||||||||||
41 | 5 Year Euro-Bobl | Sep. 2020 | 6,217,651 | 31,268 | ||||||||||||
16,693 | 5 Year U.S. Treasury Notes | Sep. 2020 | 2,099,014,378 | 5,445,359 | ||||||||||||
260 | 10 Year U.S. Ultra Treasury Notes | Sep. 2020 | 40,945,939 | 157,989 | ||||||||||||
368 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 65,711,000 | 259,835 | ||||||||||||
1,190 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 259,605,937 | 2,765,889 | ||||||||||||
801 | Australian Dollar Currency | Sep. 2020 | 55,269,000 | (503,854 | ) | |||||||||||
539 | British Pound Currency | Sep. 2020 | 41,762,394 | (1,190,119 | ) | |||||||||||
795 | Canadian Dollar Currency | Sep. 2020 | 58,527,900 | (731,671 | ) | |||||||||||
117 | Euro Currency | Sep. 2020 | 16,458,244 | (122,501 | ) | |||||||||||
629 | Euro-BTP Italian Government Bond | Sep. 2020 | 101,677,334 | 2,228,401 | ||||||||||||
132 | Euro-OAT | Sep. 2020 | 24,862,830 | 268,181 | ||||||||||||
1,197 | Mexican Peso | Sep. 2020 | 25,783,380 | (1,127,287 | ) | |||||||||||
181 | Russian Ruble Currency | Sep. 2020 | 6,298,800 | (219,852 | ) | |||||||||||
44 | Swiss Franc Currency | Sep. 2020 | 5,819,000 | (16,885 | ) | |||||||||||
|
| |||||||||||||||
11,060,620 | ||||||||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
491 | 90 Day Euro Dollar | Mar. 2021 | 122,504,500 | (181,281 | ) | |||||||||||
1,870 | 90 Day Euro Dollar | Jun. 2021 | 466,658,500 | (5,782,538 | ) | |||||||||||
2,113 | 90 Day Euro Dollar | Dec. 2021 | 527,193,500 | (3,348,412 | ) | |||||||||||
44 | 10 Year Australian Treasury Bonds | Sep. 2020 | 4,517,870 | (11,063 | ) | |||||||||||
1,603 | 10 Year Euro-Bund | Sep. 2020 | 317,907,313 | (2,215,423 | ) | |||||||||||
71 | 10 Year Japanese Bonds | Sep. 2020 | 99,916,184 | 188,129 | ||||||||||||
547 | 10 Year U.K. Gilt | Sep. 2020 | 93,290,699 | (113,954 | ) | |||||||||||
5,102 | 10 Year U.S. Treasury Notes | Sep. 2020 | 710,054,932 | (3,669,232 | ) | |||||||||||
99 | 30 Year Euro Buxl | Sep. 2020 | 24,465,381 | (480,452 | ) | |||||||||||
71 | Japanese Yen Currency | Sep. 2020 | 8,228,012 | 59,697 | ||||||||||||
|
| |||||||||||||||
(15,554,529 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (4,493,909 | ) | ||||||||||||||
|
|
Forward foreign currency exchange contracts outstanding at June 30, 2020:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||||||||
Brazilian Real, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | BRL | 108,346 | $ | 20,629,071 | $ | 19,907,744 | $ | — | $ | (721,327 | ) | ||||||||||||||||
Expiring 07/16/20 | Goldman Sachs Bank USA, Inc. | BRL | 45,450 | 8,576,281 | 8,351,124 | — | (225,157 | ) | ||||||||||||||||||||
Expiring 07/16/20 | Goldman Sachs Bank USA, Inc. | BRL | 10,940 | 2,064,346 | 2,010,150 | — | (54,196 | ) | ||||||||||||||||||||
Expiring 07/16/20 | JPMorgan Chase Bank, N.A. | BRL | 71,730 | 13,567,497 | 13,179,893 | — | (387,604 | ) | ||||||||||||||||||||
British Pound, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | GBP | 6,684 | 8,298,410 | 8,282,961 | — | (15,449 | ) | ||||||||||||||||||||
Canadian Dollar, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | BNP Paribas | CAD | 34,510 | 24,736,933 | 25,421,053 | 684,120 | — | |||||||||||||||||||||
Expiring 07/16/20 | Morgan Stanley Capital Services LLC | CAD | 11,085 | 7,863,442 | 8,165,742 | 302,300 | — | |||||||||||||||||||||
Expiring 07/16/20 | Morgan Stanley Capital Services LLC | CAD | 1,180 | 837,043 | 869,222 | 32,179 | — | |||||||||||||||||||||
Expiring 10/16/20 | BNP Paribas | CAD | 21,310 | 15,569,395 | 15,700,237 | 130,842 | — | |||||||||||||||||||||
Expiring 10/16/20 | BNP Paribas | CAD | 7,850 | 5,735,324 | 5,783,522 | 48,198 | — | |||||||||||||||||||||
Chinese Renminbi, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | BNP Paribas | CNH | 95,797 | 13,515,733 | 13,537,091 | 21,358 | — | |||||||||||||||||||||
Expiring 07/16/20 | JPMorgan Chase Bank, N.A. | CNH | 284,476 | 40,143,371 | 40,199,353 | 55,982 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A232
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2020 (continued):
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts (continued): |
| |||||||||||||||||||||||||||
Euro, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | BNP Paribas | EUR | 151,875 | $ | 171,741,146 | $ | 170,691,161 | $ | — | $ | (1,049,985 | ) | ||||||||||||||||
Expiring 07/16/20 | BNP Paribas | EUR | 31,900 | 35,836,460 | 35,852,168 | 15,708 | — | |||||||||||||||||||||
Expiring 07/16/20 | BNP Paribas | EUR | 31,310 | 35,123,558 | 35,189,071 | 65,513 | — | |||||||||||||||||||||
Indian Rupee, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | JPMorgan Chase Bank, N.A. | INR | 624,544 | 7,976,301 | 8,251,864 | 275,563 | — | |||||||||||||||||||||
Indonesian Rupiah, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | IDR | 816,637,176 | 49,403,338 | 56,109,347 | 6,706,009 | — | |||||||||||||||||||||
Japanese Yen, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | JPY | 53,052 | 495,020 | 491,428 | — | (3,592 | ) | ||||||||||||||||||||
Expiring 07/16/20 | Goldman Sachs Bank USA, Inc. | JPY | 371,277 | 3,449,058 | 3,439,213 | — | (9,845 | ) | ||||||||||||||||||||
Mexican Peso, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | MXN | 937,000 | 41,072,352 | 40,678,510 | — | (393,842 | ) | ||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | MXN | 295,804 | 11,648,816 | 12,841,915 | 1,193,099 | — | |||||||||||||||||||||
Expiring 07/16/20 | Goldman Sachs Bank USA, Inc. | MXN | 440,333 | 20,174,885 | 19,116,426 | — | (1,058,459 | ) | ||||||||||||||||||||
Expiring 07/16/20 | Goldman Sachs Bank USA, Inc. | MXN | 110,000 | 4,368,876 | 4,775,492 | 406,616 | — | |||||||||||||||||||||
Philippine Peso, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | PHP | 557,700 | 10,959,405 | 11,204,842 | 245,437 | — | |||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | PHP | 435,460 | 8,562,076 | 8,748,898 | 186,822 | — | |||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | PHP | 141,542 | 2,796,118 | 2,843,744 | 47,626 | — | |||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | PHP | 111,210 | 2,179,733 | 2,234,338 | 54,605 | — | |||||||||||||||||||||
Expiring 07/16/20 | JPMorgan Chase Bank, N.A. | PHP | 123,210 | 2,422,008 | 2,475,432 | 53,424 | — | |||||||||||||||||||||
Russian Ruble, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | Goldman Sachs Bank USA, Inc. | RUB | 210,000 | 2,961,857 | 2,944,571 | — | (17,286 | ) | ||||||||||||||||||||
Expiring 07/16/20 | Goldman Sachs Bank USA, Inc. | RUB | 210,000 | 2,956,583 | 2,944,571 | — | (12,012 | ) | ||||||||||||||||||||
South African Rand, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | ZAR | 92,330 | 5,079,776 | 5,311,199 | 231,423 | — | |||||||||||||||||||||
Expiring 10/16/20 | Citibank, N.A. | ZAR | 92,330 | 5,260,699 | 5,263,508 | 2,809 | — | |||||||||||||||||||||
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|
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|
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|
|
| |||||||||||||||||||||
$ | 586,004,911 | $ | 592,815,790 | 10,759,633 | (3,948,754 | ) | ||||||||||||||||||||||
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|
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||||||||
Australian Dollar, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | JPMorgan Chase Bank, N.A. | AUD | 22,494 | $ | 14,016,138 | $ | 15,524,394 | $ | — | $ | (1,508,256 | ) | ||||||||||||||||
Brazilian Real, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | Goldman Sachs Bank USA, Inc. | BRL | 59,405 | 10,877,341 | 10,915,259 | — | (37,918 | ) | ||||||||||||||||||||
Expiring 07/16/20 | Goldman Sachs Bank USA, Inc. | BRL | 20,741 | 3,896,341 | 3,811,016 | 85,325 | — | |||||||||||||||||||||
Canadian Dollar, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | BNP Paribas | CAD | 21,310 | 15,567,006 | 15,697,555 | — | (130,549 | ) | ||||||||||||||||||||
Expiring 07/16/20 | BNP Paribas | CAD | 7,850 | 5,734,444 | 5,782,534 | — | (48,090 | ) | ||||||||||||||||||||
Chinese Renminbi, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | BNP Paribas | CNH | 126,408 | 17,797,730 | 17,862,790 | — | (65,060 | ) | ||||||||||||||||||||
Expiring 07/16/20 | BNP Paribas | CNH | 108,720 | 15,300,823 | 15,363,242 | — | (62,419 | ) | ||||||||||||||||||||
Expiring 07/16/20 | JPMorgan Chase Bank, N.A. | CNH | 175,756 | 24,712,591 | 24,836,104 | — | (123,513 | ) | ||||||||||||||||||||
Euro, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | BNP Paribas | EUR | 93,037 | 101,710,374 | 104,563,579 | — | (2,853,205 | ) | ||||||||||||||||||||
Expiring 07/16/20 | BNP Paribas | EUR | 45,770 | 49,866,186 | 51,440,556 | — | (1,574,370 | ) | ||||||||||||||||||||
Expiring 07/16/20 | BNP Paribas | EUR | 1,350 | 1,475,854 | 1,517,255 | — | (41,401 | ) | ||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | EUR | 65,118 | 71,235,160 | 73,185,133 | — | (1,949,973 | ) | ||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | EUR | 25,821 | 27,936,580 | 29,020,067 | — | (1,083,487 | ) | ||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | EUR | 25,779 | 27,968,843 | 28,972,576 | — | (1,003,733 | ) | ||||||||||||||||||||
Expiring 07/16/20 | Goldman Sachs Bank USA, Inc. | EUR | 4,450 | 4,807,215 | 5,001,321 | — | (194,106 | ) | ||||||||||||||||||||
Expiring 07/16/20 | JPMorgan Chase Bank, N.A. | EUR | 32,861 | 36,054,965 | 36,931,765 | — | (876,800 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A233
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2020 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts (continued): |
| |||||||||||||||||||||||||||
Euro (continued), | ||||||||||||||||||||||||||||
Expiring 09/14/20 | Morgan Stanley Capital Services LLC | EUR | 16,670 | $ | 18,970,460 | $ | 18,760,071 | $ | 210,389 | $ | — | |||||||||||||||||
Expiring 09/15/20 | Goldman Sachs Bank USA, Inc. | EUR | 16,740 | 19,058,490 | 18,839,277 | 219,213 | — | |||||||||||||||||||||
Expiring 10/16/20 | BNP Paribas | EUR | 31,900 | 35,910,309 | 35,928,093 | — | (17,784 | ) | ||||||||||||||||||||
Expiring 10/16/20 | BNP Paribas | EUR | 31,310 | 35,196,103 | 35,263,592 | — | (67,489 | ) | ||||||||||||||||||||
Japanese Yen, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | Goldman Sachs Bank USA, Inc. | JPY | 71,619 | 659,292 | 663,420 | — | (4,128 | ) | ||||||||||||||||||||
Mexican Peso, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | MXN | 295,804 | 11,839,273 | 12,841,916 | — | (1,002,643 | ) | ||||||||||||||||||||
Expiring 07/16/20 | Goldman Sachs Bank USA, Inc. | MXN | 630,854 | 25,627,263 | 27,387,600 | — | (1,760,337 | ) | ||||||||||||||||||||
Philippine Peso, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | JPMorgan Chase Bank, N.A. | PHP | 1,369,122 | 26,420,726 | 27,507,255 | — | (1,086,529 | ) | ||||||||||||||||||||
Russian Ruble, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | Goldman Sachs Bank USA, Inc. | RUB | 940,287 | 11,720,256 | 13,184,483 | — | (1,464,227 | ) | ||||||||||||||||||||
South African Rand, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | ZAR | 92,330 | 5,308,091 | 5,311,198 | — | (3,107 | ) | ||||||||||||||||||||
Swiss Franc, | ||||||||||||||||||||||||||||
Expiring 07/16/20 | Citibank, N.A. | CHF | 5,500 | 5,651,633 | 5,807,829 | — | (156,196 | ) | ||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||
$ | 625,319,487 | $ | 641,919,880 | 514,927 | (17,115,320 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 11,274,560 | $ | (21,064,074 | ) | ||||||||||||||||||||||||
|
|
|
|
Credit default swap agreements outstanding at June 30, 2020:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2020(4) | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Centrally Cleared Credit Default Swap Agreements on credit indices—Sell Protection(2): |
| |||||||||||||||||||||||||||
CDX.NA.HY.34 | 06/20/25 | 5.000 | %(Q) | 49,752 | 5.157 | % | $ | (2,451,812 | ) | $ | (262,342 | ) | $ | 2,189,470 | ||||||||||||||
CDX.NA.IG.34 | 06/20/25 | 1.000 | %(Q) | 292,869 | 0.757 | % | (1,298,455 | ) | 3,530,801 | 4,829,256 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (3,750,267 | ) | $ | 3,268,459 | $ | 7,018,726 | ||||||||||||||||||||||
|
|
|
|
|
|
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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 or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) 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 or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling |
SEE NOTES TO FINANCIAL STATEMENTS.
A234
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||||||||||||||
JPY | 2,200,700 | 05/09/46 | 0.641%(S) | 6 Month JPY LIBOR(1)(S) | $ | — | $ | (1,710,560 | ) | $ | (1,710,560 | ) | ||||||||||||||
MXN | 529,900 | 07/18/29 | 7.450%(M) | 28 Day Mexican Interbank Rate(2)(M) | 207,839 | 3,295,709 | 3,087,870 | |||||||||||||||||||
MXN | 457,440 | 07/20/29 | 7.440%(M) | 28 Day Mexican Interbank Rate(2)(M) | 217,301 | 2,827,842 | 2,610,541 | |||||||||||||||||||
124,356 | 03/23/22 | 0.600%(S) | 3 Month LIBOR(2)(Q) | 16,701 | 997,096 | 980,395 | ||||||||||||||||||||
353,015 | 08/31/24 | 0.380%(S) | 3 Month LIBOR(2)(Q) | 98,833 | 1,590,356 | 1,491,523 | ||||||||||||||||||||
89,356 | 11/30/24 | 0.100%(A) | 1 Day USOIS(2)(A) | 55,874 | 184,073 | 128,199 | ||||||||||||||||||||
72,440 | 03/23/25 | 0.700%(S) | 3 Month LIBOR(2)(Q) | (55,177 | ) | 1,487,296 | 1,542,473 | |||||||||||||||||||
277,639 | 06/30/26 | 1.550%(S) | 3 Month LIBOR(1)(Q) | 999,867 | (19,142,066 | ) | (20,141,933 | ) | ||||||||||||||||||
93,014 | 07/31/26 | 1.520%(S) | 3 Month LIBOR(1)(Q) | 405,029 | (6,732,521 | ) | (7,137,550 | ) | ||||||||||||||||||
46,320 | 11/15/26 | 1.600%(S) | 3 Month LIBOR(1)(Q) | 11,502 | (3,526,835 | ) | (3,538,337 | ) | ||||||||||||||||||
18,001 | 11/15/26 | 1.650%(S) | 3 Month LIBOR(1)(Q) | (68,108 | ) | (1,429,000 | ) | (1,360,892 | ) | |||||||||||||||||
167,196 | 02/15/27 | 0.750%(S) | 3 Month LIBOR(1)(Q) | (143,358 | ) | (3,425,648 | ) | (3,282,290 | ) | |||||||||||||||||
82,970 | 03/24/27 | 0.770%(S) | 3 Month LIBOR(2)(Q) | 603,667 | 1,962,719 | 1,359,052 | ||||||||||||||||||||
147,007 | 05/15/27 | 0.260%(A) | 1 Day USOIS(1)(A) | (493,461 | ) | (328,254 | ) | 165,207 | ||||||||||||||||||
72,748 | 11/15/44 | 1.850%(S) | 3 Month LIBOR(1)(Q) | 139,434 | (15,753,821 | ) | (15,893,255 | ) | ||||||||||||||||||
12,711 | 03/17/50 | 0.900%(S) | 3 Month LIBOR(1)(Q) | 215,635 | 24,241 | (191,394 | ) | |||||||||||||||||||
5,942 | 03/18/50 | 0.792%(S) | 3 Month LIBOR(1)(Q) | — | 188,407 | 188,407 | ||||||||||||||||||||
5,890 | 03/19/50 | 0.818%(S) | 3 Month LIBOR(1)(Q) | — | 144,373 | 144,373 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 2,211,578 | $ | (39,346,593 | ) | $ | (41,558,171 | ) | |||||||||||||||||||
|
|
|
|
|
|
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||||||||
OTC Interest Rate Swap Agreements: | ||||||||||||||||||||||||||||||||
BRL | 58,256 | 01/04/27 | 7.024 | %(T) | 1 Day BROIS(2)(T) | $ | 455,798 | $ | 33,058 | $ | 422,740 | Citibank, N.A. | ||||||||||||||||||||
BRL | 54,700 | 01/04/27 | 7.024 | %(T) | 1 Day BROIS(2)(T) | 427,976 | 26,617 | 401,359 | Citibank, N.A. | |||||||||||||||||||||||
BRL | 46,100 | 01/04/27 | 7.024 | %(T) | 1 Day BROIS(2)(T) | 360,689 | — | 360,689 | Citibank, N.A. | |||||||||||||||||||||||
BRL | 37,900 | 01/04/27 | 7.044 | %(T) | 1 Day BROIS(2)(T) | 302,991 | — | 302,991 | JPMorgan Chase Bank, N.A. | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 1,547,454 | $ | 59,675 | $ | 1,487,779 | |||||||||||||||||||||||||||
|
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|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
Premiums Paid | Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
OTC Swap Agreements | $ | 59,675 | $ | — | $ | 1,487,779 | $ | — | ||||||||
|
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|
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|
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||
Goldman Sachs & Co. LLC | $ | 8,074,976 | $ | 36,899,512 | ||||
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|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A235
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | $ | — | $ | 11,355,143 | $ | — | ||||||
Collateralized Loan Obligations | — | 28,322,548 | — | |||||||||
Home Equity Loans | — | 13,688,267 | — | |||||||||
Other | — | 7,805,577 | — | |||||||||
Residential Mortgage-Backed Securities | — | 36,071,291 | — | |||||||||
Small Business Loan | — | 5,189,264 | — | |||||||||
Student Loans | — | 27,334,496 | — | |||||||||
Bank Loans | — | 157,499,509 | 6,535,371 | |||||||||
Commercial Mortgage-Backed Securities | — | 110,888,139 | 4,878,959 | |||||||||
Corporate Bonds | — | 1,362,790,583 | — | |||||||||
Municipal Bond | — | 1,171,500 | — | |||||||||
Residential Mortgage-Backed Securities | — | 253,082,324 | 1,310,143 | |||||||||
Sovereign Bonds | — | 255,668,205 | — | |||||||||
U.S. Government Agency Obligations | — | 563,115,841 | — | |||||||||
U.S. Treasury Obligations | — | 462,095,101 | — | |||||||||
Affiliated Mutual Funds | 517,270,631 | — | — | |||||||||
Options Purchased | 692,308 | 600,663 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 517,962,939 | $ | 3,296,678,451 | $ | 12,724,473 | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Options Written | $ | (1,571,268 | ) | $ | (3,256,991 | ) | $ | — | ||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Unfunded Loan Commitment | $ | — | $ | 834 | $ | — | ||||||
Futures Contracts | 15,220,615 | — | — | |||||||||
OTC Forward Foreign Currency Exchange Contracts | — | 11,274,560 | — | |||||||||
Centrally Cleared Credit Default Swap Agreements | — | 7,018,726 | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | 11,698,040 | — | |||||||||
OTC Interest Rate Swap Agreements | — | 1,547,454 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 15,220,615 | $ | 31,539,614 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (19,714,524 | ) | $ | — | $ | — | |||||
OTC Forward Foreign Currency Exchange Contracts | — | (21,064,074 | ) | — | ||||||||
Centrally Cleared Interest Rate Swap Agreements | — | (53,256,211 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (19,714,524 | ) | $ | (74,320,285 | ) | $ | — | ||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments, with the exception of unfunded loan commitments, and are not reflected in the Schedule of Investments. Futures, forwards, centrally cleared swap contracts and unfunded loan commitments are recorded at unrealized appreciation (depreciation) and OTC swap contracts are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
A236
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (cont.):
U.S. Government Agency Obligations | 16.5 | % | ||
Affiliated Mutual Funds (10.4% represents investments purchased with collateral from securities on loan) | 15.2 | |||
U.S. Treasury Obligations | 13.5 | |||
Banks | 12.2 | |||
Residential Mortgage-Backed Securities | 8.6 | |||
Sovereign Bonds | 7.5 | |||
Oil & Gas | 4.1 | |||
Commercial Mortgage-Backed Securities | 3.4 | |||
Pharmaceuticals | 3.1 | |||
Pipelines | 2.0 | |||
Media | 2.0 | |||
Telecommunications | 1.7 | |||
Electric | 1.3 | |||
Healthcare-Services | 1.3 | |||
Mining | 1.2 | |||
Aerospace & Defense | 1.2 | |||
Retail | 1.1 | |||
Agriculture | 1.0 | |||
Beverages | 1.0 | |||
Lodging | 0.9 | |||
Diversified Financial Services | 0.9 | |||
Commercial Services | 0.9 | |||
Collateralized Loan Obligations | 0.8 | |||
Student Loans | 0.8 | |||
Internet | 0.7 | |||
Semiconductors | 0.7 | |||
Insurance | 0.6 | |||
Software | 0.6 | |||
Foods | 0.6 | |||
Airlines | 0.6 | |||
Miscellaneous Manufacturing | 0.5 | |||
Healthcare-Products | 0.5 | |||
Computers | 0.5 | |||
Home Equity Loans | 0.4 | |||
Auto Manufacturers | 0.3 |
Automobiles | 0.3 | % | ||
Transportation | 0.3 | |||
Chemicals | 0.3 | |||
Entertainment | 0.3 | |||
Apparel | 0.3 | |||
Building Materials | 0.3 | |||
Iron/Steel | 0.2 | |||
Other | 0.2 | |||
Environmental Control | 0.2 | |||
Oil & Gas Services | 0.2 | |||
Small Business Loan | 0.2 | |||
Auto Parts & Equipment | 0.2 | |||
Real Estate Investment Trusts (REITs) | 0.1 | |||
Household Products/Wares | 0.1 | |||
Machinery-Diversified | 0.1 | |||
Packaging & Containers | 0.1 | |||
Home Builders | 0.1 | |||
Biotechnology | 0.1 | |||
Cosmetics/Personal Care | 0.1 | |||
Holding Companies-Diversified | 0.1 | |||
Advertising | 0.1 | |||
Leisure Time | 0.0 | * | ||
Food Service | 0.0 | * | ||
Housewares | 0.0 | * | ||
Investment Companies | 0.0 | * | ||
Options Purchased | 0.0 | * | ||
Municipal Bond | 0.0 | * | ||
Electronics | 0.0 | * | ||
Trucking & Leasing | 0.0 | * | ||
|
| |||
112.1 | ||||
Options Written | (0.2 | ) | ||
Liabilities in excess of other assets | (11.9 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | |||||||||
Credit contracts | Due from/to broker — variation margin swaps | $ | 7,018,726 | * | — | $ | — | |||||
Foreign exchange contracts | Due from/to broker — variation margin futures | 59,697 | * | Due from/to broker — variation margin futures | 3,912,169 | * | ||||||
Foreign exchange contracts | Unaffiliated investments | 658,973 | Options written outstanding, at value | 3,434,905 | ||||||||
Foreign exchange contracts | Unrealized appreciation on OTC forward foreign currency exchange contracts | 11,274,560 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 21,064,074 |
SEE NOTES TO FINANCIAL STATEMENTS.
A237
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | |||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 15,160,918 | * | Due from/to broker — variation margin futures | $ | 15,802,355 | * | ||||
Interest rate contracts | Due from/to broker — variation margin swaps | 11,698,040 | * | Due from/to broker — variation margin swaps | 53,256,211 | * | ||||||
Interest rate contracts | Premiums paid for OTC swap agreements | 59,675 | — | — | ||||||||
Interest rate contracts | Unaffiliated investments | 633,998 | Options written outstanding, at value | 1,393,354 | ||||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 1,487,779 | — | — | ||||||||
|
|
|
| |||||||||
$ | 48,052,366 | $ | 98,863,068 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(1) | Options Written | Futures | Forward Currency Exchange Contracts | Swaps | |||||||||||||||
Credit contracts | $ | (188,500 | ) | $ | 537,140 | $ | — | �� | $ | — | $ | 2,956,582 | ||||||||
Foreign exchange contracts | (881,691 | ) | 862,984 | (10,382,946 | ) | (9,077,373 | ) | — | ||||||||||||
Interest rate contracts | (4,677,428 | ) | 19,145,116 | 127,873,652 | — | (37,957,968 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (5,747,619 | ) | $ | 20,545,240 | $ | 117,490,706 | $ | (9,077,373 | ) | $ | (35,001,386 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(2) | Options Written | Futures | Forward Currency Exchange Contracts | Swaps | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 5,905,120 | ||||||||||
Foreign exchange contracts | (785,038 | ) | (2,210,947 | ) | (9,733,795 | ) | (7,942,016 | ) | — | |||||||||||
Interest rate contracts | (455,722 | ) | (216,887 | ) | 15,752,993 | — | (58,081,736 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (1,240,760 | ) | $ | (2,427,834 | ) | $ | 6,019,198 | $ | (7,942,016 | ) | $ | (52,176,616 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options | Options | Futures | Futures | Forward Foreign | ||||||||
$2,560,442 | $231,539,008 | $4,854,871,728 | $2,777,871,109 | $436,281,750 |
SEE NOTES TO FINANCIAL STATEMENTS.
A238
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Forward Foreign Currency Exchange Contracts—Sold(3) | Interest Rate Swap Agreements(2) | Credit Default Swap Agreements— Buy Protection(2) | ||||||
$538,211,106 | $1,499,788,420 | $7,655,340 |
Credit Default Swap Agreements— Sell Protection(2) | ||||
$300,865,167 |
(1) | Cost. |
(2) | Notional Amount in USD. |
(3) | Value at Settlement Date. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||
Securities on Loan | $ | 347,332,744 | $ | (347,332,744 | ) | $ | — | |||||
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts of Recognized Liabilities(1) | Net Amounts of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||||||||
BNP Paribas | $ | 965,739 | $ | (5,910,352 | ) | $ | (4,944,613 | ) | $ | 60,000 | $ | (4,884,613 | ) | |||||||
Citibank, N.A. | 9,912,293 | (6,333,349 | ) | 3,578,944 | (3,578,944 | ) | — | |||||||||||||
Goldman Sachs Bank USA, Inc. | 1,011,187 | (8,094,656 | ) | (7,083,469 | ) | 4,660,000 | (2,423,469 | ) | ||||||||||||
JPMorgan Chase Bank, N.A. | 687,960 | (3,982,702 | ) | (3,294,742 | ) | 940,000 | (2,354,742 | ) | ||||||||||||
Morgan Stanley Capital Services LLC | 845,498 | (6 | ) | 845,492 | (287,120 | ) | 558,372 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 13,422,677 | $ | (24,321,065 | ) | $ | (10,898,388 | ) | $ | 1,793,936 | $ | (9,104,452 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A239
AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $347,332,744: | ||||
Unaffiliated investments (cost $3,228,630,033) | $ | 3,310,095,232 | ||
Affiliated investments (cost $517,265,700) | 517,270,631 | |||
Foreign currency, at value (cost $37,386,476) | 37,737,118 | |||
Cash segregated for counterparty — OTC | 5,660,000 | |||
Cash | 310,104 | |||
Receivable for investments sold | 71,168,034 | |||
Dividends and interest receivable | 21,903,289 | |||
Due from broker-variation margin futures | 13,915,862 | |||
Unrealized appreciation on OTC forward foreign currency exchange contracts | 11,274,560 | |||
Deposit with broker for centrally cleared/exchange-traded derivatives | 8,074,976 | |||
Receivable for Portfolio shares sold | 7,291,992 | |||
Due from broker-variation margin swaps | 2,318,663 | |||
Unrealized appreciation on OTC swap agreements | 1,487,779 | |||
Tax reclaim receivable | 587,247 | |||
Premiums paid for OTC swap agreements | 59,675 | |||
Unrealized appreciation on unfunded loan commitments | 834 | |||
Prepaid expenses and other assets | 16,945 | |||
|
| |||
Total Assets | 4,009,172,941 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 354,734,167 | |||
Payable for investments purchased | 208,682,088 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 21,064,074 | |||
Options written outstanding, at value (proceeds received $3,558,181) | 4,828,259 | |||
Payable for Portfolio shares repurchased | 2,499,568 | |||
Payable to affiliate | 587,247 | |||
Management fee payable | 584,480 | |||
Accrued expenses and other liabilities | 212,503 | |||
Distribution fee payable | 139,772 | |||
Affiliated transfer agent fee payable | 378 | |||
|
| |||
Total Liabilities | 593,332,536 | |||
|
| |||
NET ASSETS | $ | 3,415,840,405 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 3,415,840,405 | ||
|
| |||
Net asset value and redemption price per share, $3,415,840,405 / 236,506,429 outstanding shares of beneficial interest | $ | 14.44 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 58,947,218 | ||
Affiliated dividend income | 995,895 | |||
Income from securities lending, net (including affiliated income of $327,930) | 332,192 | |||
|
| |||
Total income | 60,275,305 | |||
|
| |||
EXPENSES | ||||
Management fee | 8,377,752 | |||
Distribution fee | 4,131,504 | |||
Custodian and accounting fees | 204,377 | |||
Audit fee | 28,498 | |||
Trustees’ fees | 26,620 | |||
Legal fees and expenses | 12,049 | |||
Shareholders’ reports | 10,031 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,460 | |||
Miscellaneous | 50,815 | |||
|
| |||
Total expenses | 12,845,106 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 47,430,199 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(7,919)) | 12,224,473 | |||
Futures transactions | 117,490,706 | |||
Forward currency contract transactions | (9,077,373 | ) | ||
Options written transactions | 20,545,240 | |||
Swap agreements transactions | (35,001,386 | ) | ||
Foreign currency transactions | (9,700,151 | ) | ||
|
| |||
96,481,509 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(1,181)) | (42,111,602 | ) | ||
Futures | 6,019,198 | |||
Forward currency contracts | (7,942,016 | ) | ||
Options written | (2,427,834 | ) | ||
Swap agreements | (52,176,616 | ) | ||
Foreign currencies | (673,255 | ) | ||
Unfunded loan commitment | 834 | |||
|
| |||
(99,311,291 | ) | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (2,829,782 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 44,600,417 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 47,430,199 | $ | 128,646,806 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 96,481,509 | 113,451,750 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (99,311,291 | ) | 227,905,850 | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 44,600,417 | 470,004,406 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [74,647,670 and 42,121,245 shares, respectively] | 1,022,402,802 | 550,926,038 | ||||||
Portfolio shares repurchased [104,671,275 and 76,758,007 shares, respectively] | (1,398,383,503 | ) | (1,043,344,493 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | (375,980,701 | ) | (492,418,455 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 3,173 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (331,380,284 | ) | (22,410,876 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 3,747,220,689 | 3,769,631,565 | ||||||
|
|
|
| |||||
End of period | $ | 3,415,840,405 | $ | 3,747,220,689 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A240
AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 97.5% |
| |||||||||||||||
CORPORATE BONDS — 42.0% |
| |||||||||||||||
Brazil — 3.4% |
| |||||||||||||||
Itau Unibanco Holding SA, |
| |||||||||||||||
Jr. Sub. Notes, 144A, MTN |
| |||||||||||||||
6.125%(ff) | — | (rr) | 430 | $ | 402,090 | |||||||||||
Petrobras Global Finance BV, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.299% | 01/27/25 | 544 | 566,410 | |||||||||||||
6.850% | 06/05/2115 | (a) | 1,285 | 1,284,207 | ||||||||||||
7.375% | 01/17/27 | 340 | 378,226 | |||||||||||||
Vale Overseas Ltd., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.875% | 11/21/36 | 189 | 246,833 | |||||||||||||
|
| |||||||||||||||
2,877,766 | ||||||||||||||||
|
| |||||||||||||||
Chile — 2.1% |
| |||||||||||||||
Banco del Estado de Chile, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.704% | 01/09/25 | 360 | 370,656 | |||||||||||||
Empresa de Transporte de Pasajeros Metro SA, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.700% | 05/07/50 | 300 | 341,671 | |||||||||||||
Enel Chile SA, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 06/12/28 | 660 | 739,461 | |||||||||||||
Sociedad Quimica y Minera de Chile SA, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.250% | 01/22/50 | 300 | 296,305 | |||||||||||||
|
| |||||||||||||||
1,748,093 | ||||||||||||||||
|
| |||||||||||||||
China — 6.0% |
| |||||||||||||||
China Overseas Finance Cayman V Ltd., |
| |||||||||||||||
Gtd. Notes, Series A |
| |||||||||||||||
3.950% | 11/15/22 | 200 | 209,300 | |||||||||||||
CNAC HK Finbridge Co. Ltd., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.125% | 07/19/27 | 1,220 | 1,322,263 | |||||||||||||
Country Garden Holdings Co. Ltd., |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.750% | 09/28/23 | 200 | 202,378 | |||||||||||||
7.250% | 04/04/21 | 300 | 301,850 | |||||||||||||
CRCC Yuxiang Ltd., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.500% | 05/16/23 | 300 | 315,441 | |||||||||||||
Prosus NV, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.850% | 07/06/27 | 560 | 626,801 | |||||||||||||
Sinopec Group Overseas Development 2016 Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.750% | 09/29/26 | 575 | 610,112 | |||||||||||||
Sinopec Group Overseas Development 2017 Ltd., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 09/13/47 | 520 | 612,043 | |||||||||||||
Three Gorges Finance I Cayman Islands Ltd., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.150% | 06/02/26 | (a) | 630 | 679,554 | ||||||||||||
3.700% | 06/10/25 | 200 | 219,168 | |||||||||||||
|
| |||||||||||||||
5,098,910 | ||||||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Colombia — 3.1% |
| |||||||||||||||
Banco Bilbao Vizcaya Argentaria SA, |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.875% | 04/21/25 | 190 | $ | 200,127 | ||||||||||||
Bancolombia SA, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.000% | 01/29/25 | 360 | 352,842 | |||||||||||||
Ecopetrol SA, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.875% | 05/28/45 | 440 | 461,215 | |||||||||||||
6.875% | 04/29/30 | (a) | 480 | 552,365 | ||||||||||||
Grupo Energia Bogota SA ESP, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 05/15/30 | 300 | 317,344 | |||||||||||||
Millicom International Cellular SA, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.125% | 01/15/28 | 200 | 200,924 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.250% | 03/25/29 | 200 | 213,454 | |||||||||||||
Transportadora de Gas Internacional SA ESP, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.550% | 11/01/28 | (a) | 320 | 347,917 | ||||||||||||
|
| |||||||||||||||
2,646,188 | ||||||||||||||||
|
| |||||||||||||||
Hong Kong — 0.7% |
| |||||||||||||||
Radiant Access Ltd., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.600% | — | (rr) | 600 | 595,180 | ||||||||||||
|
| |||||||||||||||
India — 0.4% | ||||||||||||||||
REC Ltd., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 05/19/23 | 300 | 309,543 | |||||||||||||
|
| |||||||||||||||
Indonesia — 4.4% |
| |||||||||||||||
Hutama Karya Persero PT, |
| |||||||||||||||
Gov’t. Gtd. Notes, 144A, MTN |
| |||||||||||||||
3.750% | 05/11/30 | 550 | 578,784 | |||||||||||||
Indonesia Asahan Aluminium Persero PT, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.757% | 11/15/48 | 990 | 1,212,276 | |||||||||||||
Pertamina Persero PT, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 05/03/42 | 730 | 869,013 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.500% | 05/27/41 | 200 | 247,744 | |||||||||||||
Perusahaan Listrik Negara PT, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 07/17/49 | 300 | 325,982 | |||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
5.250% | 10/24/42 | 430 | 486,897 | |||||||||||||
|
| |||||||||||||||
3,720,696 | ||||||||||||||||
|
| |||||||||||||||
Israel — 0.4% |
| |||||||||||||||
Bank Leumi Le-Israel BM, |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
3.275%(ff) | 01/29/31 | 360 | 350,520 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A241
AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Kazakhstan — 2.0% |
| |||||||||||||||
KazMunayGas National Co. JSC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 04/19/47 | 480 | $ | 559,847 | ||||||||||||
6.375% | 10/24/48 | 300 | 379,057 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.750% | 04/19/47 | 350 | 408,222 | |||||||||||||
KazTransGas JSC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.375% | 09/26/27 | 300 | 323,587 | |||||||||||||
|
| |||||||||||||||
1,670,713 | ||||||||||||||||
|
| |||||||||||||||
Kuwait — 0.8% |
| |||||||||||||||
Equate Petrochemical BV, |
| |||||||||||||||
Gtd. Notes, EMTN |
| |||||||||||||||
4.250% | 11/03/26 | 600 | 636,115 | |||||||||||||
|
| |||||||||||||||
Malaysia — 1.1% |
| |||||||||||||||
Petronas Capital Ltd., |
| |||||||||||||||
Gtd. Notes, 144A, MTN |
| |||||||||||||||
4.800% | 04/21/60 | (a) | 700 | 951,466 | ||||||||||||
|
| |||||||||||||||
Mexico — 5.6% |
| |||||||||||||||
Banco Mercantil del Norte SA, |
| |||||||||||||||
Jr. Sub. Notes, 144A |
| |||||||||||||||
7.625%(ff) | — | (rr) | 700 | 666,654 | ||||||||||||
Banco Nacional de Comercio Exterior SNC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 10/14/25 | 320 | 330,271 | |||||||||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.375% | 04/17/25 | 280 | 306,462 | |||||||||||||
BBVA Bancomer SA, |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
5.125%(ff) | 01/18/33 | 200 | 187,188 | |||||||||||||
Comision Federal de Electricidad, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 01/15/24 | 230 | 242,646 | |||||||||||||
Fomento Economico Mexicano SAB de CV, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 01/16/50 | 600 | 617,921 | |||||||||||||
Orbia Advance Corp. SAB de CV, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.875% | 09/17/44 | 650 | 715,843 | |||||||||||||
Petroleos Mexicanos, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 06/27/44 | 938 | 666,206 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
7.690% | 01/23/50 | 390 | 323,127 | |||||||||||||
Gtd. Notes, MTN |
| |||||||||||||||
4.625% | 09/21/23 | 710 | 686,814 | |||||||||||||
|
| |||||||||||||||
4,743,132 | ||||||||||||||||
|
| |||||||||||||||
Morocco — 0.8% |
| |||||||||||||||
OCP SA, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.500% | 10/22/25 | 620 | 646,840 | |||||||||||||
|
|
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Panama — 0.6% |
| |||||||||||||||
Cable Onda SA, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.500% | 01/30/30 | 240 | $ | 243,366 | ||||||||||||
Empresa de Transmision Electrica SA, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.125% | 05/02/49 | 233 | 271,988 | |||||||||||||
|
| |||||||||||||||
515,354 | ||||||||||||||||
|
| |||||||||||||||
Peru — 1.6% |
| |||||||||||||||
Banco de Credito del Peru, |
| |||||||||||||||
Sub. Notes, 144A, MTN |
| |||||||||||||||
3.125%(ff) | 07/01/30 | 210 | 208,215 | |||||||||||||
Corp Financiera de Desarrollo SA, |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
5.250%(ff) | 07/15/29 | 400 | 420,073 | |||||||||||||
Kallpa Generacion SA, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.125% | 08/16/27 | 200 | 204,230 | |||||||||||||
Petroleos del Peru SA, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 06/19/32 | 280 | 310,312 | |||||||||||||
Southern Copper Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.500% | 07/27/35 | 150 | 209,272 | |||||||||||||
|
| |||||||||||||||
1,352,102 | ||||||||||||||||
|
| |||||||||||||||
Philippines — 0.5% |
| |||||||||||||||
Power Sector Assets & Liabilities Management Corp., |
| |||||||||||||||
Gov’t. Gtd. Notes |
| |||||||||||||||
7.390% | 12/02/24 | 352 | 432,768 | |||||||||||||
|
| |||||||||||||||
Qatar — 0.6% | ||||||||||||||||
ABQ Finance Ltd., |
| |||||||||||||||
Gtd. Notes, EMTN |
| |||||||||||||||
3.500% | 02/22/22 | 500 | 511,531 | |||||||||||||
|
| |||||||||||||||
Russia — 2.0% | ||||||||||||||||
Russian Agricultural Bank OJSC Via RSHB Capital SA, |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
8.500% | 10/16/23 | 1,540 | 1,729,930 | |||||||||||||
|
| |||||||||||||||
Singapore — 0.3% |
| |||||||||||||||
United Overseas Bank Ltd., |
| |||||||||||||||
Sub. Notes, 144A, MTN |
| |||||||||||||||
3.750%(ff) | 04/15/29 | 280 | 296,257 | |||||||||||||
|
| |||||||||||||||
South Africa — 0.9% |
| |||||||||||||||
Eskom Holdings SOC Ltd., |
| |||||||||||||||
Gov’t. Gtd. Notes, MTN |
| |||||||||||||||
6.350% | 08/10/28 | 800 | 801,677 | |||||||||||||
|
| |||||||||||||||
Supranational Bank — 0.2% |
| |||||||||||||||
European Bank for Reconstruction & Development, |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
6.450% | 12/13/22 | IDR | 2,303,200 | 158,401 | ||||||||||||
|
| |||||||||||||||
Turkey — 2.3% | ||||||||||||||||
TC Ziraat Bankasi A/S, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
4.750% | 04/29/21 | 1,110 | 1,110,463 | |||||||||||||
5.125% | 05/03/22 | 380 | 372,502 |
SEE NOTES TO FINANCIAL STATEMENTS.
A242
AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Turkey (continued) |
| |||||||||||||||
Turk Telekomunikasyon A/S, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.875% | 02/28/25(a) | 460 | $ | 484,306 | ||||||||||||
|
| |||||||||||||||
1,967,271 | ||||||||||||||||
|
| |||||||||||||||
United Arab Emirates — 2.2% |
| |||||||||||||||
Abu Dhabi Crude Oil Pipeline LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.600% | 11/02/47 | 520 | 618,820 | |||||||||||||
Abu Dhabi National Energy Co. PJSC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 04/23/30 | 434 | 520,364 | |||||||||||||
DAE Funding LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 08/01/24 | 510 | 478,010 | |||||||||||||
DP World PLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
5.625% | 09/25/48 | 200 | 217,322 | |||||||||||||
|
| |||||||||||||||
1,834,516 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 35,594,969 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS — 55.5% |
| |||||||||||||||
Angola — 0.5% |
| |||||||||||||||
Angolan Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
8.250% | 05/09/28 | 450 | 372,813 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
8.250% | 05/09/28 | 100 | 82,847 | |||||||||||||
|
| |||||||||||||||
455,660 | ||||||||||||||||
|
| |||||||||||||||
Argentina — 1.5% |
| |||||||||||||||
Argentine Republic Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.125% | 07/06/36 | 560 | 217,965 | |||||||||||||
7.125% | 06/28/2117 | 320 | 124,135 | |||||||||||||
7.500% | 04/22/26 | 230 | 93,150 | |||||||||||||
Ciudad Autonoma De Buenos Aires, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.500% | 06/01/27 | 400 | 308,431 | |||||||||||||
Provincia de Buenos Aires, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
9.125% | 03/16/24 | 890 | 367,973 | |||||||||||||
Provincia de Cordoba, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.450% | 09/01/24 | 250 | 146,698 | |||||||||||||
|
| |||||||||||||||
1,258,352 | ||||||||||||||||
|
| |||||||||||||||
Bahrain — 1.2% |
| |||||||||||||||
Bahrain Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 09/30/31 | 400 | 403,799 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.500% | 09/20/47 | 580 | 648,487 | |||||||||||||
|
| |||||||||||||||
1,052,286 | ||||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Belarus — 0.2% |
| |||||||||||||||
Republic of Belarus Ministry of Finance, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.875% | 02/24/26 | 200 | $ | 193,903 | ||||||||||||
|
| |||||||||||||||
Brazil — 1.0% |
| |||||||||||||||
Brazil Notas do Tesouro Nacional, |
| |||||||||||||||
Notes, Series F |
| |||||||||||||||
10.000% | 01/01/25 | BRL | 2,920 | 627,075 | ||||||||||||
Brazilian Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.875% | 06/06/25 | 200 | 197,482 | |||||||||||||
|
| |||||||||||||||
824,557 | ||||||||||||||||
|
| |||||||||||||||
China — 0.7% |
| |||||||||||||||
Avi Funding Co. Ltd., |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
3.800% | 09/16/25 | 510 | 568,118 | |||||||||||||
|
| |||||||||||||||
Colombia — 0.6% |
| |||||||||||||||
Colombia Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.000% | 06/15/45 | 475 | 535,736 | |||||||||||||
|
| |||||||||||||||
Costa Rica — 0.3% |
| |||||||||||||||
Costa Rica Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 04/30/25 | 300 | 268,408 | |||||||||||||
|
| |||||||||||||||
Dominican Republic — 2.6% |
| |||||||||||||||
Dominican Republic International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.500% | 01/27/25 | 1,300 | 1,316,463 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.500% | 01/27/25 | 340 | 344,306 | |||||||||||||
6.000% | 07/19/28 | 400 | 402,942 | |||||||||||||
6.850% | 01/27/45 | 150 | 144,370 | |||||||||||||
|
| |||||||||||||||
2,208,081 | ||||||||||||||||
|
| |||||||||||||||
Ecuador — 0.8% |
| |||||||||||||||
Ecuador Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.775% | 01/23/28 | 1,570 | 647,981 | |||||||||||||
|
| |||||||||||||||
Egypt — 3.4% | ||||||||||||||||
Egypt Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.903% | 02/21/48 | 200 | 184,984 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.875% | 04/30/40 | 290 | 259,608 | |||||||||||||
7.625% | 05/29/32 | 500 | 488,273 | |||||||||||||
8.875% | 05/29/50 | 600 | 593,617 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
7.500% | 01/31/27 | 1,280 | 1,341,280 | |||||||||||||
|
| |||||||||||||||
2,867,762 | ||||||||||||||||
|
| |||||||||||||||
El Salvador — 0.5% |
| |||||||||||||||
El Salvador Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.375% | 01/18/27 | 190 | 164,169 |
SEE NOTES TO FINANCIAL STATEMENTS.
A243
AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
El Salvador (continued) |
| |||||||||||||||
7.125% | 01/20/50 | 320 | $ | 262,113 | ||||||||||||
|
| |||||||||||||||
426,282 | ||||||||||||||||
|
| |||||||||||||||
Ethiopia — 0.2% |
| |||||||||||||||
Ethiopia International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.625% | 12/11/24 | 200 | 200,235 | |||||||||||||
|
| |||||||||||||||
Ghana — 1.4% |
| |||||||||||||||
Ghana Government International Bond, |
| |||||||||||||||
Bank Gtd. Notes |
| |||||||||||||||
10.750% | 10/14/30 | 800 | 959,021 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.375% | 02/11/27 | 200 | 187,134 | |||||||||||||
|
| |||||||||||||||
1,146,155 | ||||||||||||||||
|
| |||||||||||||||
Guatemala — 0.9% |
| |||||||||||||||
Guatemala Government Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.375% | 04/24/32 | 650 | 718,614 | |||||||||||||
|
| |||||||||||||||
Indonesia — 4.6% |
| |||||||||||||||
Indonesia Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
5.125% | 01/15/45 | 1,140 | 1,399,499 | |||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
5.250% | 01/17/42 | 971 | 1,199,335 | |||||||||||||
Indonesia Treasury Bond, |
| |||||||||||||||
Bonds, Series 068 |
| |||||||||||||||
8.375% | 03/15/34 | IDR | 8,078,000 | 596,762 | ||||||||||||
Bonds, Series 072 |
| |||||||||||||||
8.250% | 05/15/36 | IDR | 6,981,000 | 509,583 | ||||||||||||
Bonds, Series 082 |
| |||||||||||||||
7.000% | 09/15/30 | IDR | 2,215,000 | 152,887 | ||||||||||||
|
| |||||||||||||||
3,858,066 | ||||||||||||||||
|
| |||||||||||||||
Israel — 1.2% |
| |||||||||||||||
Israel Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.875% | 07/03/50 | 300 | 356,835 | |||||||||||||
4.500% | 04/03/2120 | 500 | 647,764 | |||||||||||||
|
| |||||||||||||||
1,004,599 | ||||||||||||||||
|
| |||||||||||||||
Ivory Coast — 0.5% |
| |||||||||||||||
Ivory Coast Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 12/31/32 | 166 | 163,176 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.125% | 06/15/33 | 250 | 249,992 | |||||||||||||
|
| |||||||||||||||
413,168 | ||||||||||||||||
|
| |||||||||||||||
Jamaica — 1.2% |
| |||||||||||||||
Jamaica Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 04/28/28 | (a) | 530 | 595,593 | ||||||||||||
7.875% | 07/28/45 | 350 | 428,482 | |||||||||||||
|
| |||||||||||||||
1,024,075 | ||||||||||||||||
|
|
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Jordan — 0.7% |
| |||||||||||||||
Jordan Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.375% | 10/10/47 | 200 | $ | 206,293 | ||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.375% | 10/10/47 | 390 | 402,271 | |||||||||||||
|
| |||||||||||||||
608,564 | ||||||||||||||||
|
| |||||||||||||||
Mexico — 3.6% |
| |||||||||||||||
Mexican Bonos, |
| |||||||||||||||
Sr. Unsec’d. Notes, Series M |
| |||||||||||||||
7.750% | 11/23/34 | MXN | 8,860 | 439,243 | ||||||||||||
Mexico Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.900% | 04/27/25 | 400 | 428,464 | |||||||||||||
4.600% | 01/23/46 | (a) | 2,140 | 2,210,954 | ||||||||||||
|
| |||||||||||||||
3,078,661 | ||||||||||||||||
|
| |||||||||||||||
Nigeria — 1.0% |
| |||||||||||||||
Nigeria Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
7.625% | 11/21/25 | 490 | 499,885 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
7.625% | 11/28/47 | 420 | 374,387 | |||||||||||||
|
| |||||||||||||||
874,272 | ||||||||||||||||
|
| |||||||||||||||
Oman — 1.4% |
| |||||||||||||||
Oman Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 01/17/48 | 400 | 346,375 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.625% | 01/17/28 | 420 | 392,688 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
6.000% | 08/01/29 | 450 | 419,713 | |||||||||||||
|
| |||||||||||||||
1,158,776 | ||||||||||||||||
|
| |||||||||||||||
Panama — 1.9% |
| |||||||||||||||
Panama Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.870% | 07/23/60 | 530 | 601,604 | |||||||||||||
4.500% | 04/01/56 | 800 | 981,188 | |||||||||||||
|
| |||||||||||||||
1,582,792 | ||||||||||||||||
|
| |||||||||||||||
Paraguay — 0.5% |
| |||||||||||||||
Paraguay Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.950% | 04/28/31 | 200 | 222,333 | |||||||||||||
5.400% | 03/30/50 | 200 | 229,960 | |||||||||||||
|
| |||||||||||||||
452,293 | ||||||||||||||||
|
| |||||||||||||||
Peru — 3.8% |
| |||||||||||||||
Peruvian Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.392% | 01/23/26 | 480 | 498,967 | |||||||||||||
2.783% | 01/23/31 | 1,740 | 1,855,266 | |||||||||||||
5.625% | 11/18/50 | (a) | 270 | 426,104 |
SEE NOTES TO FINANCIAL STATEMENTS.
A244
AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Peru (continued) |
| |||||||||||||||
6.550% | 03/14/37 | 260 | $ | 395,132 | ||||||||||||
|
| |||||||||||||||
3,175,469 | ||||||||||||||||
|
| |||||||||||||||
Philippines — 1.5% |
| |||||||||||||||
Philippine Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.700% | 03/01/41 | (a) | 340 | 387,893 | ||||||||||||
3.700% | 02/02/42 | 750 | 859,956 | |||||||||||||
|
| |||||||||||||||
1,247,849 | ||||||||||||||||
|
| |||||||||||||||
Qatar — 3.4% | ||||||||||||||||
Qatar Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.400% | 04/16/25 | 850 | 925,140 | |||||||||||||
4.400% | 04/16/50 | 200 | 248,776 | |||||||||||||
4.817% | 03/14/49 | 980 | 1,295,011 | |||||||||||||
5.103% | 04/23/48 | 330 | 450,612 | |||||||||||||
|
| |||||||||||||||
2,919,539 | ||||||||||||||||
|
| |||||||||||||||
Russia — 4.1% | ||||||||||||||||
Russian Federal Bond - OFZ, |
| |||||||||||||||
Bonds, Series 6209 |
| |||||||||||||||
7.600% | 07/20/22 | RUB | 19,820 | 295,443 | ||||||||||||
Bonds, Series 6212 |
| |||||||||||||||
7.050% | 01/19/28 | RUB | 36,736 | 563,271 | ||||||||||||
Bonds, Series 6230 |
| |||||||||||||||
7.700% | 03/16/39 | RUB | 76,110 | 1,251,638 | ||||||||||||
Russian Foreign Bond - Eurobond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 04/04/42 | 1,000 | 1,358,139 | |||||||||||||
|
| |||||||||||||||
3,468,491 | ||||||||||||||||
|
| |||||||||||||||
Saudi Arabia — 1.1% |
| |||||||||||||||
Saudi Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
4.625% | 10/04/47 | 800 | 937,474 | |||||||||||||
|
| |||||||||||||||
Senegal — 0.9% |
| |||||||||||||||
Senegal Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.250% | 07/30/24 | 200 | 210,500 | |||||||||||||
Unsec’d. Notes, 144A |
| |||||||||||||||
6.250% | 05/23/33 | 550 | 560,265 | |||||||||||||
|
| |||||||||||||||
770,765 | ||||||||||||||||
|
| |||||||||||||||
South Africa — 0.2% |
| |||||||||||||||
Republic of South Africa Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.750% | 09/30/49 | 200 | 173,646 | |||||||||||||
|
| |||||||||||||||
Sri Lanka — 0.9% |
| |||||||||||||||
Sri Lanka Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
6.200% | 05/11/27 | 510 | 336,096 | |||||||||||||
6.825% | 07/18/26 | 400 | 263,937 | |||||||||||||
7.550% | 03/28/30 | 250 | 163,434 | |||||||||||||
|
| |||||||||||||||
763,467 | ||||||||||||||||
|
|
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000)# | Value | |||||||||||||
SOVEREIGN BONDS (continued) |
| |||||||||||||||
Turkey — 2.4% |
| |||||||||||||||
Turkey Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 04/14/26 | 1,760 | $ | 1,604,192 | ||||||||||||
5.750% | 05/11/47 | 550 | 450,893 | |||||||||||||
|
| |||||||||||||||
2,055,085 | ||||||||||||||||
|
| |||||||||||||||
Ukraine — 2.1% |
| |||||||||||||||
Ukraine Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.375% | 09/25/32 | 500 | 503,478 | |||||||||||||
9.750% | 11/01/28 | 740 | 845,825 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.375% | 01/27/30 | EUR | 460 | 445,083 | ||||||||||||
|
| |||||||||||||||
1,794,386 | ||||||||||||||||
|
| |||||||||||||||
United Arab Emirates — 1.5% |
| |||||||||||||||
Abu Dhabi Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.125% | 09/30/49 | 350 | 365,197 | |||||||||||||
4.125% | 10/11/47 | 420 | 513,547 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.500% | 04/16/25 | 400 | 420,802 | |||||||||||||
|
| |||||||||||||||
1,299,546 | ||||||||||||||||
|
| |||||||||||||||
Uruguay — 1.2% |
| |||||||||||||||
Uruguay Government International Bond, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.375% | 01/23/31 | 390 | 456,460 | |||||||||||||
5.100% | 06/18/50 | (a) | 429 | 554,017 | ||||||||||||
|
| |||||||||||||||
1,010,477 | ||||||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 47,043,590 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 82,638,559 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 5.0% |
| |||||||||||||||
AFFILIATED MUTUAL FUNDS — 5.0% |
| |||||||||||||||
PGIM Core Ultra Short Bond Fund(w) |
| 1,322,343 | 1,322,343 | |||||||||||||
PGIM Institutional Money Market Fund |
| 2,921,047 | 2,921,047 | |||||||||||||
|
| |||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 4,243,390 | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A245
AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
FOREIGN TREASURY OBLIGATION(n) — 0.0% |
| |||||||||||||||
Brazil | ||||||||||||||||
Brazil Letras do Tesouro Nacional |
| |||||||||||||||
6.345% | 01/01/24 | BRL | 75 | $ | 11,593 | |||||||||||
|
| |||||||||||||||
(cost $12,046) |
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 4,254,983 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS — 102.5% |
| 86,893,542 | ||||||||||||||
Liabilities in excess of other assets(z) — (2.5)% |
| (2,089,564 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 84,803,978 | |||||||||||||
|
|
See the Glossary for a list of the abbreviation(s) used in the semiannual report.
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $2,874,768; cash collateral of $2,920,260 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(n) | Rate shown reflects yield to maturity at purchased date. |
(rr) | Perpetual security with no stated maturity date. |
(w) | PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Position: | ||||||||||||||||
7 | 10 Year U.S. Treasury Notes | Sep. 2020 | $ | 974,203 | $ | 3,363 | ||||||||||
|
|
Forward foreign currency exchange contracts outstanding at June 30, 2020:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||||
Brazilian Real, | ||||||||||||||||||||||||
Expiring 07/15/20 | JPMorgan Chase Bank, N.A. | BRL | 2,174 | $ | 397,259 | $ | 399,479 | $ | 2,220 | $ | — | |||||||||||||
Indian Rupee, | ||||||||||||||||||||||||
Expiring 07/15/20 | Barclays Bank PLC | INR | 25,781 | 329,347 | 340,666 | 11,319 | — | |||||||||||||||||
Expiring 07/15/20 | Barclays Bank PLC | INR | 4,931 | 65,225 | 65,157 | — | (68 | ) | ||||||||||||||||
Indonesian Rupiah, | ||||||||||||||||||||||||
Expiring 07/15/20 | Barclays Bank PLC | IDR | 8,787,523 | 592,071 | 603,910 | 11,839 | — | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 1,383,902 | $ | 1,409,212 | 25,378 | (68 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A246
AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2020 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: |
| |||||||||||||||||||||||
Brazilian Real, | ||||||||||||||||||||||||
Expiring 07/15/20 | Bank of America, N.A. | BRL | 621 | $ | 125,252 | $ | 114,111 | $ | 11,141 | $ | — | |||||||||||||
Expiring 07/15/20 | JPMorgan Chase Bank, N.A. | BRL | 4,562 | 867,383 | 838,282 | 29,101 | — | |||||||||||||||||
Expiring 07/15/20 | JPMorgan Chase Bank, N.A. | BRL | 632 | 109,559 | 116,132 | — | (6,573 | ) | ||||||||||||||||
Euro, | ||||||||||||||||||||||||
Expiring 07/16/20 | JPMorgan Chase Bank, N.A. | EUR | 391 | 423,337 | 439,559 | — | (16,222 | ) | ||||||||||||||||
Indian Rupee, | ||||||||||||||||||||||||
Expiring 07/15/20 | Barclays Bank PLC | INR | 31,681 | 418,118 | 418,621 | — | (503 | ) | ||||||||||||||||
Indonesian Rupiah, | ||||||||||||||||||||||||
Expiring 07/15/20 | Barclays Bank PLC | IDR | 10,164,070 | 598,062 | 698,511 | — | (100,449 | ) | ||||||||||||||||
Expiring 07/15/20 | Barclays Bank PLC | IDR | 5,008,032 | 312,807 | 344,170 | — | (31,363 | ) | ||||||||||||||||
Expiring 07/15/20 | Barclays Bank PLC | IDR | 1,161,755 | 82,534 | 79,840 | 2,694 | — | |||||||||||||||||
Mexican Peso, | ||||||||||||||||||||||||
Expiring 07/15/20 | Barclays Bank PLC | MXN | 1,600 | 73,428 | 69,471 | 3,957 | — | |||||||||||||||||
Expiring 07/15/20 | JPMorgan Chase Bank, N.A. | MXN | 7,486 | 306,778 | 325,040 | — | (18,262 | ) | ||||||||||||||||
Russian Ruble, | ||||||||||||||||||||||||
Expiring 07/15/20 | Bank of America, N.A. | RUB | 61,896 | 802,142 | 868,011 | — | (65,869 | ) | ||||||||||||||||
Expiring 07/15/20 | Bank of America, N.A. | RUB | 12,435 | 180,873 | 174,386 | 6,487 | — | |||||||||||||||||
Saudi Arabian Riyal, | ||||||||||||||||||||||||
Expiring 08/13/20 | Bank of America, N.A. | SAR | 6,537 | 1,738,633 | 1,741,620 | — | (2,987 | ) | ||||||||||||||||
Expiring 09/15/20 | Goldman Sachs Bank USA | SAR | 5,191 | 1,380,218 | 1,382,773 | — | (2,555 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 7,419,124 | $ | 7,610,527 | 53,380 | (244,783 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 78,758 | $ | (244,851 | ) | ||||||||||||||||||||
|
|
|
|
Credit default swap agreements outstanding at June 30, 2020:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally Cleared Credit Default Swap Agreements on corporate and/or sovereign issues—Buy Protection(1): |
| |||||||||||||||||||||||
Republic of Chile | 12/20/24 | 1.000%(Q) | 950 | $ | 28,108 | $ | (10,002 | ) | $ | (38,110 | ) | |||||||||||||
State of Qatar | 12/20/24 | 1.000%(Q) | 950 | 28,893 | (13,913 | ) | (42,806 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 57,001 | $ | (23,915 | ) | $ | (80,916 | ) | |||||||||||||||||
|
|
|
|
|
|
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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 or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) 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 or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio |
SEE NOTES TO FINANCIAL STATEMENTS.
A247
AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||
Goldman Sachs & Co. LLC | $ | 77,012 | $ | — | ||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Corporate Bonds | ||||||||||||
Brazil | $ | — | $ | 2,877,766 | $ | — | ||||||
Chile | — | 1,748,093 | — | |||||||||
China | — | 5,098,910 | — | |||||||||
Colombia | — | 2,646,188 | — | |||||||||
Hong Kong | — | 595,180 | — | |||||||||
India | — | 309,543 | — | |||||||||
Indonesia | — | 3,720,696 | — | |||||||||
Israel | — | 350,520 | — | |||||||||
Kazakhstan | — | 1,670,713 | — | |||||||||
Kuwait | — | 636,115 | — | |||||||||
Malaysia | — | 951,466 | — | |||||||||
Mexico | — | 4,743,132 | — | |||||||||
Morocco | — | 646,840 | — | |||||||||
Panama | — | 515,354 | — | |||||||||
Peru | — | 1,352,102 | — | |||||||||
Philippines | — | 432,768 | — | |||||||||
Qatar | — | 511,531 | — | |||||||||
Russia | — | 1,729,930 | — | |||||||||
Singapore | — | 296,257 | — | |||||||||
South Africa | — | 801,677 | — | |||||||||
Supranational Bank | — | 158,401 | — | |||||||||
Turkey | — | 1,967,271 | — | |||||||||
United Arab Emirates | — | 1,834,516 | — | |||||||||
Sovereign Bonds | ||||||||||||
Angola | — | 455,660 | — | |||||||||
Argentina | — | 1,258,352 | — | |||||||||
Bahrain | — | 1,052,286 | — | |||||||||
Belarus | — | 193,903 | — | |||||||||
Brazil | — | 824,557 | — | |||||||||
China | — | 568,118 | — | |||||||||
Colombia | — | 535,736 | — | |||||||||
Costa Rica | — | 268,408 | — | |||||||||
Dominican Republic | — | 2,208,081 | — | |||||||||
Ecuador | — | 647,981 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A248
AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Assets (continued) | ||||||||||||
Sovereign Bonds (continued) | ||||||||||||
Egypt | $ | — | $ | 2,867,762 | $ | — | ||||||
El Salvador | — | 426,282 | — | |||||||||
Ethiopia | — | 200,235 | — | |||||||||
Ghana | — | 1,146,155 | — | |||||||||
Guatemala | — | 718,614 | — | |||||||||
Indonesia | — | 3,858,066 | — | |||||||||
Israel | — | 1,004,599 | — | |||||||||
Ivory Coast | — | 413,168 | — | |||||||||
Jamaica | — | 1,024,075 | — | |||||||||
Jordan | — | 608,564 | — | |||||||||
Mexico | — | 3,078,661 | — | |||||||||
Nigeria | — | 874,272 | — | |||||||||
Oman | — | 1,158,776 | — | |||||||||
Panama | — | 1,582,792 | — | |||||||||
Paraguay | — | 452,293 | — | |||||||||
Peru | — | 3,175,469 | — | |||||||||
Philippines | — | 1,247,849 | — | |||||||||
Qatar | — | 2,919,539 | — | |||||||||
Russia | — | 3,468,491 | — | |||||||||
Saudi Arabia | — | 937,474 | — | |||||||||
Senegal | — | 770,765 | — | |||||||||
South Africa | — | 173,646 | — | |||||||||
Sri Lanka | — | 763,467 | — | |||||||||
Turkey | — | 2,055,085 | — | |||||||||
Ukraine | — | 1,794,386 | — | |||||||||
United Arab Emirates | — | 1,299,546 | — | |||||||||
Uruguay | — | 1,010,477 | — | |||||||||
Affiliated Mutual Funds | 4,243,390 | — | — | |||||||||
Foreign Treasury Obligation | ||||||||||||
Brazil | — | 11,593 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 4,243,390 | $ | 82,650,152 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 3,363 | $ | — | $ | — | ||||||
OTC Forward Foreign Currency Exchange Contracts | — | 78,758 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 3,363 | $ | 78,758 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
OTC Forward Foreign Currency Exchange Contracts | $ | — | $ | (244,851 | ) | $ | — | |||||
Centrally Cleared Credit Default Swap Agreements | — | (80,916 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | — | $ | (325,767 | ) | $ | — | |||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Country Allocation:
The country classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
Mexico | 9.2 | % | ||
Indonesia | 9.0 | |||
China | 6.7 |
Russia | 6.1 | % | ||
Peru | 5.4 |
SEE NOTES TO FINANCIAL STATEMENTS.
A249
AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Country Allocation (cont.):
United States (including 3.4% of collateral for securities on loan) | 5.0 | % | ||
Turkey | 4.7 | |||
Brazil | 4.4 | |||
Qatar | 4.0 | |||
Colombia | 3.7 | |||
United Arab Emirates | 3.7 | |||
Egypt | 3.4 | |||
Dominican Republic | 2.6 | |||
Panama | 2.5 | |||
Ukraine | 2.1 | |||
Chile | 2.1 | |||
Philippines | 2.0 | |||
Kazakhstan | 2.0 | |||
Israel | 1.6 | |||
Argentina | 1.5 | |||
Oman | 1.4 | |||
Ghana | 1.4 | |||
Bahrain | 1.2 | |||
Jamaica | 1.2 | |||
Uruguay | 1.2 | |||
South Africa | 1.1 | |||
Malaysia | 1.1 | |||
Saudi Arabia | 1.1 |
Nigeria | 1.0 | % | ||
Senegal | 0.9 | |||
Sri Lanka | 0.9 | |||
Guatemala | 0.9 | |||
Ecuador | 0.8 | |||
Morocco | 0.8 | |||
Kuwait | 0.8 | |||
Jordan | 0.7 | |||
Hong Kong | 0.7 | |||
Angola | 0.5 | |||
Paraguay | 0.5 | |||
El Salvador | 0.5 | |||
Ivory Coast | 0.5 | |||
India | 0.4 | |||
Singapore | 0.3 | |||
Costa Rica | 0.3 | |||
Ethiopia | 0.2 | |||
Belarus | 0.2 | |||
Supranational Bank | 0.2 | |||
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102.5 | ||||
Liabilities in excess of other assets | (2.5 | ) | ||
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100.0 | % | |||
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Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging | Statement of Assets and | Fair Value | Statement of Assets and | Fair Value | ||||||||
Credit contracts | — | $ | — | Due from/to broker — variation margin swaps | $ | 80,916 | * | |||||
Foreign exchange contracts | Unrealized appreciation on OTC forward foreign currency exchange contracts | 78,758 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 244,851 | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | 3,363 | * | — | — | |||||||
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$ | 82,121 | $ | 325,767 | |||||||||
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* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A250
AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Options Purchased(1) | Options Written | Futures | Forward Currency Exchange Contracts | Swaps | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (8,719 | ) | |||||||||
Foreign exchange contracts | (61,120 | ) | 63,280 | — | 163,403 | — | ||||||||||||||
Interest rate contracts | — | — | 120,277 | — | — | |||||||||||||||
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Total | $ | (61,120 | ) | $ | 63,280 | $ | 120,277 | $ | 163,403 | $ | (8,719 | ) | ||||||||
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(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Options Purchased(2) | Options Written | Futures | Forward Currency Exchange Contracts | Swaps | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (80,916 | ) | |||||||||
Foreign exchange contracts | 20,063 | (38,943 | ) | — | (62,138 | ) | — | |||||||||||||
Interest rate contracts | — | — | 18,471 | — | — | |||||||||||||||
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Total | $ | 20,063 | $ | (38,943 | ) | $ | 18,471 | $ | (62,138 | ) | $ | (80,916 | ) | |||||||
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(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— Long Positions(2) | Forward Foreign Currency Exchange Contracts— Purchased(3) | |||||||
$24,165 | $2,815,582 | $1,482,208 | $1,994,301 |
Forward Foreign Currency Exchange Contracts—Sold(3) | Credit Default Swap Agreements— Buy Protection(2) | |||||
$7,324,384 | $1,266,667 |
(1) | Cost. |
(2) | Notional Amount in USD. |
(3) | Value at Settlement Date. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||
Securities on Loan | $ | 2,874,768 | $ | (2,874,768 | ) | $ | — | |||||
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SEE NOTES TO FINANCIAL STATEMENTS.
A251
AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts of Recognized Liabilities(1) | Net Amounts of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||||||||
Bank of America, N.A. | $ | 17,628 | $ | (68,856 | ) | $ | (51,228 | ) | $ | 51,228 | $ | — | ||||||||
Barclays Bank PLC | 29,809 | (132,383 | ) | (102,574 | ) | 102,574 | — | |||||||||||||
Goldman Sachs Bank USA | — | (2,555 | ) | (2,555 | ) | — | (2,555 | ) | ||||||||||||
JPMorgan Chase Bank, N.A. | 31,321 | (41,057 | ) | (9,736 | ) | — | (9,736 | ) | ||||||||||||
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$ | 78,758 | $ | (244,851 | ) | $ | (166,093 | ) | $ | 153,802 | $ | (12,291 | ) | ||||||||
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(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A252
AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $2,874,768: | ||||
Unaffiliated investments (cost $81,311,558) | $ | 82,650,152 | ||
Affiliated investments (cost $4,243,584) | 4,243,390 | |||
Cash segregated for counterparty — OTC | 190,000 | |||
Foreign currency, at value (cost $62,980) | 62,111 | |||
Dividends and interest receivable | 1,089,518 | |||
Unrealized appreciation on OTC forward foreign currency exchange contracts | 78,758 | |||
Deposit with broker for centrally cleared/exchange-traded derivatives | 77,012 | |||
Receivable for Portfolio shares sold | 1,976 | |||
Prepaid expenses | 155 | |||
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Total Assets | 88,393,072 | |||
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LIABILITIES | ||||
Payable to broker for collateral for securities on loan . | 2,920,260 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 244,851 | |||
Payable for investments purchased | 208,433 | |||
Payable for Portfolio shares repurchased | 114,064 | |||
Accrued expenses and other liabilities | 64,418 | |||
Management fee payable | 29,964 | |||
Distribution fee payable | 3,482 | |||
Due to broker-variation margin swaps | 2,150 | |||
Due to broker-variation margin futures | 1,094 | |||
Affiliated transfer agent fee payable | 378 | |||
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Total Liabilities | 3,589,094 | |||
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NET ASSETS | $ | 84,803,978 | ||
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Net assets were comprised of: | ||||
Partners’ Equity | $ | 84,803,978 | ||
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Net asset value and redemption price per share, $84,803,978 / 7,006,266 outstanding shares of beneficial interest | $ | 12.10 | ||
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STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income (net of $7,135 foreign withholding tax, of which $3,557 is reimbursable by an affiliate) | $ | 1,755,698 | ||
Affiliated dividend income | 28,563 | |||
Income from securities lending, net (including affiliated income of $8,877) | 9,358 | |||
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Total income | 1,793,619 | |||
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EXPENSES | ||||
Management fee | 240,178 | |||
Distribution fee | 87,977 | |||
Custodian and accounting fees | 34,425 | |||
Audit fee | 22,974 | |||
Legal fees and expenses | 5,929 | |||
Trustees’ fees | 5,296 | |||
Shareholders’ reports | 3,723 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,459 | |||
Miscellaneous. | 9,198 | |||
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Total expenses | 413,159 | |||
Less: Fee waiver and/or expense reimbursement | (36,616 | ) | ||
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Net expenses | 376,543 | |||
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NET INVESTMENT INCOME (LOSS) | 1,417,076 | |||
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REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(9,783)) | (3,216,331 | ) | ||
Futures transactions | 120,277 | |||
Forward currency contract transactions | 163,403 | |||
Options written transactions | 63,280 | |||
Swap agreements transactions | (8,719 | ) | ||
Foreign currency transactions | (758,580 | ) | ||
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(3,636,670 | ) | |||
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Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(670)) | (576,352 | ) | ||
Futures | 18,471 | |||
Forward currency contracts | (62,138 | ) | ||
Options written | (38,943 | ) | ||
Swap agreements | (80,916 | ) | ||
Foreign currencies | 478 | |||
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(739,400 | ) | |||
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NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (4,376,070 | ) | ||
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NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (2,958,994 | ) | |
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STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 1,417,076 | $ | 5,305,629 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (3,636,670 | ) | (156,217 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (739,400 | ) | 6,937,076 | |||||
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NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (2,958,994 | ) | 12,086,488 | |||||
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PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [3,421,333 and 14,637,902 shares, respectively] | 40,790,362 | 165,495,108 | ||||||
Portfolio shares repurchased [2,274,016 and 13,514,840 shares, respectively] | (24,623,573 | ) | (156,371,056 | ) | ||||
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NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 16,166,789 | 9,124,052 | ||||||
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TOTAL INCREASE (DECREASE) | 13,207,795 | 21,210,540 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 71,596,183 | 50,385,643 | ||||||
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End of period | $ | 84,803,978 | $ | 71,596,183 | ||||
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SEE NOTES TO FINANCIAL STATEMENTS.
A253
NOTES TO FINANCIAL STATEMENTS OF
ADVANCED SERIES TRUST
(Unaudited)
Advanced Series Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Trust operates as a series company and at June 30, 2020 consisted of 86 separate Portfolios (each, a “Portfolio” and collectively, the “Portfolios”). The information presented in these financial statements pertains only to the 20 Portfolios listed below together with their investment objective(s). Each Portfolio is a diversified portfolio for purposes of the 1940 Act, except for AST Cohen & Steers Global Realty Portfolio and AST Western Asset Emerging Markets Debt Portfolio, each of which are non-diversified portfolios for purposes of the 1940 Act, and therefore, may invest a greater percentage of their assets in the securities of a single company or other issuer than a diversified portfolio.
Shares of each Portfolio may only be purchased by separate accounts of participating insurance companies for investing assets which are attributable to variable annuity contracts and variable life insurance policies. These separate accounts place orders to purchase and redeem shares of the Portfolios primarily based upon the amount of premium payments to be invested, and the amount of surrender and transfer requests to be effected on a specific day under the variable annuity contracts and variable life insurance policies. Shares of the Portfolios may also be sold directly to certain qualified retirement plans.
The Portfolios have the following investment objective(s) and subadviser(s):
Portfolio | Objective(s) | Subadviser(s) | ||
AST Bond Portfolio 2020 | Highest total return for a specific period of time, consistent with the preservation of capital and liquidity needs. Total return is comprised of current income and capital appreciation. | PGIM Fixed Income (a business unit of PGIM, Inc.) / PGIM Limited (effective April 27, 2020) | ||
AST Bond Portfolio 2021 | ||||
AST Bond Portfolio 2022 | ||||
AST Bond Portfolio 2023 | ||||
AST Bond Portfolio 2024 | ||||
AST Bond Portfolio 2025 | ||||
AST Bond Portfolio 2026 | ||||
AST Bond Portfolio 2027 | ||||
AST Bond Portfolio 2028 | ||||
AST Bond Portfolio 2029 | ||||
AST Bond Portfolio 2030 | ||||
AST Bond Portfolio 2031 | ||||
AST Cohen & Steers Global Realty Portfolio (“Cohen & Steers Global Realty”) | Capital appreciation and income. | Cohen & Steers Capital Management, Inc. / Cohen & Steers Asia Limited / Cohen & Steers UK Limited. | ||
AST High Yield Portfolio (“High Yield”) | Maximum total return, consistent with preservation of capital and prudent investment management. | PGIM Fixed Income (a business unit of PGIM, Inc.) / J.P. Morgan Investment Management, Inc. |
B1
Portfolio | Objective(s) | Subadviser(s) | ||
AST High Yield Portfolio (“High Yield”) | Maximum total return, consistent with preservation of capital and prudent investment management. | PGIM Fixed Income (a business unit of PGIM, Inc.) / J.P. Morgan Investment Management, Inc. | ||
AST Investment Grade Bond Portfolio (“Investment Grade Bond”) | Maximize total return, consistent with the preservation of capital and liquidity needs. Total return is comprised of current income and capital appreciation. | PGIM Fixed Income (a business unit of PGIM, Inc.) / PGIM Limited (effective April 27, 2020) | ||
AST Prudential Core Bond Portfolio (“Prudential Core Bond”) | Maximize total return, consistent with the long-term preservation of capital. | PGIM Fixed Income (a business unit of PGIM, Inc.) | ||
AST QMA US Equity Alpha Portfolio (“QMA US Equity Alpha”) | Long-term capital appreciation. | QMA LLC (“QMA”) (a wholly-owned subsidiary of PGIM, Inc.) | ||
AST Quantitative Modeling Portfolio (“Quantitative Modeling”) | High potential return while attempting to mitigate downside risk during adverse market cycles. | QMA (a wholly-owned subsidiary of PGIM, Inc.) | ||
AST Western Asset Core Plus Bond Portfolio (“Western Asset Core Plus Bond”) | Maximize total return, consistent with prudent investment management and liquidity needs, by investing to obtain the average duration specified for the Western Asset Core Plus Bond Portfolio. | Western Asset Management Company / Western Asset Management Company Limited | ||
AST Western Asset Emerging Markets Debt Portfolio (“Western Asset Emerging Markets Debt”) | Maximize total return. | Western Asset Management Company / Western Asset Management Company Limited |
1. | Accounting Policies |
The Trust follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Trust and the Portfolios consistently follow such policies in the preparation of their financial statements.
Securities Valuation: Each Portfolio holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Trust’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to AST
B2
Investment Services, Inc. and PGIM Investments LLC (“PGIM Investments”), as applicable, the co-managers of the Trust (collectively, the “Investment Manager”). Pursuant to the Board’s delegation, the Investment Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.
For the fiscal reporting period-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Portfolios’ foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.
Various inputs determine how the Portfolios’ investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820—Fair Value Measurements and Disclosures.
Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Foreign equities traded on foreign securities exchanges are generally valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements up to the time each Portfolio is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on evaluating observable inputs, including but not limited to, yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations and reported trades. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing transaction prices for identical securities that have been used in excess of five business days. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy. Bank loans valued based on a single broker quote or at the original transaction price in excess of five business days are classified as Level 3 in the fair value hierarchy.
OTC and centrally cleared derivative instruments are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize
B3
the market approach when quoted prices in broker-dealer markets are available but also include consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing unobservable inputs in the income approach. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the Investment Manager regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other unaffiliated mutual funds to calculate their net asset values.
Illiquid Securities: Pursuant to Rule 22e-4 under the 1940 Act, the Trust has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that each Portfolio limit their illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser(s) and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable.
Restricted Securities: Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Trust’s LRMP because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Portfolios’ investments in restricted securities could be impaired if trading does not develop or declines.
Connecticut Avenue Securities (CAS) and Structured Agency Credit Risk (STACR): Certain Portfolios purchased government controlled Fannie Mae and Freddie Mac securities that transfer most of the cost of defaults to private investors including the Portfolios. These are insurance-like products that are called CAS by Fannie Mae and STACR securities by Freddie Mac. Payments on the securities are based primarily on the performance of a reference pool of underlying mortgages. With such securities, the Portfolios could lose some or all of their principal if the underlying mortgages experience credit defaults.
Foreign Currency Translation: The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not generally isolate that portion of the results of operations arising as a result
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of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.
Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on investment transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) arise from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates.
Forward and Cross Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios entered into forward currency contracts, as defined in the prospectus, in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation (depreciation) on forward and cross currency contracts. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on forward and cross currency contract transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Portfolios’ maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.
Options: Certain Portfolios purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns or intends to purchase. The Portfolios may also use options to gain additional market exposure. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain (loss). The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on options written transactions.
The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial instruments may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security or financial instrument underlying the written option. The Portfolio, as purchaser of an OTC option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options and guarantees the options contracts against default.
When a Portfolio writes an option on a swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio
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becomes obligated to pay a variable interest rate and receive a fixed interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.
Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolios are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolios each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions. The cash amounts pledged for futures contracts are considered restricted cash and are included in due from broker-varation margin futures in the Statement of Assets and Liabilities.
Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in prevailing interest rates. Should interest rates move unexpectedly, the Portfolios may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Since futures contracts are exchange-traded, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.
Short Sales: Certain Portfolios sold a security they do not own in anticipation of a decline in the market value of that security (short sale). When the Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to return any interest or dividends received on such borrowed securities. Dividends declared on open short positions are recorded on the ex-date and the interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The cash amounts pledged for securities sold short are considered restricted cash and are included in deposit with broker for securities sold short in the Statement of Assets and Liabilities.
Bank Loans: Certain Portfolios invested in bank loans. Bank loans include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. The Portfolios acquired interests in loans directly (by way of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, the Portfolios generally will succeed to all the rights and obligations of an assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under a bank loan participation, the Portfolios generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, the Portfolios generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Portfolios may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, the Portfolios will assume the credit risk of both the borrower and the institution selling the participation to the Portfolios.
Swap Agreements: Certain Portfolios entered into certain types of swap agreements detailed in the disclosures below. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount known as “variation margin”, based on daily changes in the valuation of the swap contract. For
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OTC-traded, upfront premiums paid and received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.
Interest Rate Swaps: Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objective. Certain Portfolios used interest rate swaps to maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments. The Portfolios’ maximum risk of loss from counterparty credit risk is the discounted net present value of the cash flows to be received from the counterparty over the contract’s remaining life.
Credit Default Swaps (“CDS”): CDS involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.
Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives, and as such, have entered into CDS contracts to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolio’s maximum risk of loss from counterparty credit risk for purchased CDS is the inability of the counterparty to honor the contract up to the notional value due to a credit event.
As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.
The maximum amount of the payment that the Portfolio, as a seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements where the Portfolio is the seller of protection as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
Total Return Swaps: In a total return swap, one party receives payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pays a defined amount. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered into total return swaps to manage their exposure to a security or an index. The Portfolios’ maximum risk of loss from counterparty credit risk is the change in the value of the security, in favor of the Portfolio, from the point of entering into the contract.
Master Netting Arrangements: The Trust, on behalf of the Portfolios, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of all or a portion of a Portfolio. For multi-sleeve Portfolios, different subadvisers who
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manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolios to cover the Portfolios’ exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
The Trust, on behalf of certain Portfolios, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.
In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in the portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/insolvency of either party. Such OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.
As of June 30, 2020, the Portfolios have not met conditions under such agreements which give the counterparty the right to call for an early termination.
Forward currency contracts, forward rate agreements, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.
Warrants and Rights: Certain Portfolios held warrants and rights acquired either through a direct purchase or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolios until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.
Payment-In-Kind: Certain Portfolios invested in the open market or receive pursuant to debt restructuring, securities that pay-in-kind (PIK) the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded
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as interest income.
Delayed-Delivery Transactions: Certain Portfolios purchased or sold securities on a when-issued or delayed-delivery and forward commitment basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a realized gain (loss). When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains (losses) with respect to the security.
Securities Lending: Certain Portfolios lend their portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral.
The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed in the Statement of Operations.
Mortgage Dollar Rolls: Certain Portfolios entered into mortgage dollar rolls in which the Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls. The Portfolios are subject to the risk that the market value of the securities the Portfolios are obligated to repurchase under the agreement may decline below the repurchase price.
Equity and Mortgage Real Estate Investment Trusts (collectively equity REITs): Certain Portfolios invested in equity REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from equity REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. When material, these estimates are adjusted periodically when the actual source of distributions is disclosed by the equity REITs.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual.
Taxes: For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. Each Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolio is the responsibility of the Portfolio’s shareholders (participating insurance companies). Each Portfolio is not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items. Withholding
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taxes on foreign dividends, interest and capital gains are accrued in accordance with each Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded taking into account any agreements in place with Prudential Financial, Inc. (“Prudential”) as referenced below. Each Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
2. | Agreements |
The Trust, on behalf of the Portfolios, has entered into investment management agreements with the Investment Manager which provide that the Investment Manager will furnish each Portfolio with investment advice, investment management and administrative services. The Investment Manager has engaged the firms referenced in the introductory paragraphs of the Notes to Financial Statements as subadvisers for their respective Portfolios.
Management Fees and Expense Limitations: The Investment Manager receives a management fee, accrued daily and payable monthly, based on the annual rates specified below, using the value of each Portfolio’s average daily net assets, at the respective annual rate specified below. The Investment Manager pays each subadviser a fee as compensation for advisory services provided to the Portfolios. All amounts paid or payable by the Portfolios to the Investment Manager, under the agreements, are reflected in the Statement of Operations.
The Investment Manager has contractually agreed to waive a portion of its management fee and/or reimburse certain Portfolios so that management fees plus other annual ordinary operating expenses, excluding taxes (such as income and foreign withholdings taxes, stamp duty and deferred tax expenses), interest, brokerage, extraordinary and certain other expenses such as dividend, broker charges and interest expense on short sales, do not exceed the percentage stated below, of the Portfolio’s average daily net assets unless otherwise noted. Expenses waived/reimbursed by the Investment Manager in accordance with these agreements may be recouped by the Investment Manager within the same fiscal year during which such waiver/reimbursement is made if such recoupment can be realized without exceeding the expense limit in effect at the time of the recoupment for that fiscal year.
Each voluntary waiver/reimbursement, if any, may be modified or terminated by the Investment Manager at any time without notice.
Portfolio | Management Fee | Effective Management Fees, Net of Waiver, if Applicable | ||||
Bond Portfolio 2020* | 0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion | 0.47 | % | |||
Bond Portfolio 2021* | 0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion | 0.47 | % | |||
Bond Portfolio 2022* | 0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion | 0.33 | % | |||
Bond Portfolio 2023* | 0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion | 0.16 | % |
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Portfolio | Management Fee | Effective Management Fees, Net of Waiver, if Applicable | ||||
Bond Portfolio 2024* | 0.4925% first $500 million; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion | 0.15 | % | |||
Bond Portfolio 2025* | 0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion | 0.22 | % | |||
Bond Portfolio 2026* | 0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion | 0.47 | % | |||
Bond Portfolio 2027* | 0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion | 0.42 | % | |||
Bond Portfolio 2028* | 0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion | — | # | |||
Bond Portfolio 2029* | 0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion | — | # | |||
Bond Portfolio 2030* | 0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion | 0.47 | % | |||
Bond Portfolio 2031* | 0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion | 0.18 | % | |||
Cohen & Steers Global Realty | 0.8325% first $300 million; 0.8225% on next $200 million; 0.8125% on next $250 million; 0.8025% on next $2.5 billion; 0.7925% on next $2.75 billion; 0.7625% on next $4 billion; 0.7425% in excess of $10 billion | 0.78 | % | |||
High Yield | 0.5825% first $300 million; 0.5725% on next $200 million; 0.5625% on next $250 million; 0.5525% on next $2.5 billion; 0.5425% on next $2.75 billion; 0.5125% on next $4 billion; 0.4925% in excess of $10 billion | 0.58 | % | |||
Investment Grade Bond* | 0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion | 0.45 | % | |||
Prudential Core Bond | 0.5325% first $300 million; 0.5225% on next $200 million; 0.4875% on next $250 million; 0.4775% on next $250 million; 0.4525% on next $2.25 billion; 0.4425% on next $2.75 billion; 0.4125% on next $4 billion; 0.3925% in excess of $10 billion | 0.46 | % |
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Portfolio | Management Fee | Effective Management Fees, Net of Waiver, if Applicable | ||||
QMA US Equity Alpha | 0.8325% first $ 300 million; 0.8225% on next $ 200 million; 0.8125% on next $ 250 million; 0.8025% on next $2.5 billion; 0.7925% on next $ 2.75 billion; 0.7625% on next $ 4 billion; 0.7425% in excess of $10 billion | 0.83 | % | |||
Quantitative Modeling(1) | 0.25% | 0.25 | % | |||
Western Asset Core Plus Bond | 0.5325% first $ 300 million; 0.5225% on next $ 200 million; 0.5125% on next $ 250 million; 0.5025% on next $2.5 billion; 0.4925% on next $ 2.75 billion; 0.4625% on next $ 4 billion; 0.4425% in excess of $10 billion | 0.51 | % | |||
Western Asset Emerging Markets Debt | 0.6825% first $ 300 million; 0.6725% on next $ 200 million; 0.6625% on next $ 250 million; 0.6525% on next $2.5 billion; 0.6425% on next $ 2.75 billion; 0.6125% on next $ 4 billion; 0.5925% in excess of $10 billion | 0.58 | % |
Portfolio | Fee Waivers and/or Expense Limitations | |
Bond Portfolio 2020, Bond Portfolio 2021, Bond Portfolio 2022, Bond Portfolio 2023, Bond Portfolio 2024, Bond Portfolio 2025, Bond Portfolio 2026, Bond Portfolio 2027, Bond Portfolio 2028, Bond Portfolio 2029, Bond Portfolio 2030 and Bond Portfolio 2031 | contractually limit expenses to 0.93% through June 30, 2021 | |
Cohen & Steers Global Realty | contractually waive 0.051% through June 30, 2021 | |
Investment Grade Bond | contractually limit expenses to 0.99% through June 30, 2021(a) | |
Western Asset Emerging Markets Debt | contractually limit expenses to 1.07% through June 30, 2021 |
* | Management fees are calculated based on an aggregation of net assets of Bond Portfolio 2020, Bond Portfolio 2021, Bond Portfolio 2022, Bond Portfolio 2023, Bond Portfolio 2024, Bond Portfolio 2025, Bond Portfolio 2026, Bond Portfolio 2027, Bond Portfolio 2028, Bond Portfolio 2029, Bond Portfolio 2030, Bond Portfolio 2031 and Investment Grade Bond. |
# | The waivers and/or expense reimbursements exceeded the effective management fee rate for the current period due to expense limitations described above. |
(a) | The Investment Manager and Prudential Annuities Distributors, Inc. (“PAD”) have agreed to waive a portion of their investment management fee and distribution fee, respectively, equal to the amount of the management and distribution fee they receive from other portfolios of the Trust and Funds of other affiliated investment companies due to the Portfolio’s investment in any such portfolios/funds. The Investment Manager has also agreed to waive a portion of its investment management fee equal to the amount of the management fee received by the subadviser due to the Portfolio’s investment in any fund managed or subadvised by the Subadviser. |
(1) | Fund of Funds Discount: The Investment Manager has voluntarily agreed to waive a portion of the Portfolio’s investment management fee based on the aggregate assets across each of the following Portfolios: AST Academic Strategies Asset Allocation Portfolio (Fund of Funds sleeve), AST Balanced Asset Allocation Portfolio, AST Capital Growth Asset Allocation Portfolio, AST Preservation Asset Allocation Portfolio, and AST Quantitative Modeling Portfolio. This voluntary fee waiver arrangement may be terminated by the Investment Manager at any |
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time. As described below, this voluntary fee waiver will be applied to the effective gross management fee rates and will be based upon the combined average daily net assets of the Fund of Funds Portfolios. |
Combined assets up to $10 billion: No fee reduction.
Combined assets between $10 billion and $25 billion: 1% reduction to effective fee rate.
Combined assets between $25 billion and $45 billion: 2.5% reduction to effective fee rate.
Combined assets between $45 billion and $65 billion: 5.0% reduction to effective fee rate.
Combined assets between $65 billion and $85 billion: 7.5% reduction to effective fee rate.
Combined assets between $85 billion and $105 billion: 10.0% reduction to effective fee rate.
Combined assets between $105 billion and $125 billion: 12.5% reduction to effective fee rate.
Combined assets above $125 billion: 15% reduction to effective fee rate.
The Trust, on behalf of the Portfolios, has entered into an agreement with PAD, which serves as the distributor for the shares of each Portfolio. The Trust, on behalf of the Portfolios, has adopted a Shareholder Services and Distribution Plan pursuant to Rule 12b-1 under the 1940 Act (the 12b-1 Plan) for the shares of each Portfolio, with the exception of Quantitative Modeling Portfolio. Under the 12b-1 Plan, the shares of each covered Portfolio are charged an annual fee, primarily to compensate PAD and its affiliates for providing various administrative and distribution services to each covered Portfolio. The annual shareholder services and distribution (12b-1) fee for each covered Portfolio’s shares is 0.25% of the average daily net assets of the Portfolios.
PAD has contractually agreed to reduce its 12b-1 fees for each of the Bond Portfolio 2020, Bond Portfolio 2021, Bond Portfolio 2022, Bond Portfolio 2023, Bond Portfolio 2024, Bond Portfolio 2025, Bond Portfolio 2026, Bond Portfolio 2027, Bond Portfolio 2028, Bond Portfolio 2029, Bond Portfolio 2030, Bond Portfolio 2031 and Investment Grade Bond Portfolio (collectively, the Bond Portfolios), so that the effective distribution and service fee rate paid by each Bond Portfolio is reduced based on the average daily net assets of each Bond Portfolio. The contractual waiver does not include an expiration or termination date as it is contractually guaranteed by PAD on a permanent basis, and the Investment Manager and PAD cannot terminate or otherwise modify the waiver. The contractual waiver is calculated as follows for each Bond Portfolio:
Average Daily Net Assets of Portfolio | Distribution and Service Fee Rate Including Waiver | |
Up to and including $ 300 million | 0.25% (no waiver) | |
Over $ 300 million up to and including $ 500 million | 0.23% | |
Over $ 500 million up to and including $ 750 million | 0.22% | |
Over $ 750 million | 0.21% |
The Trust, on behalf of certain Portfolios, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the reporting period ended June 30, 2020, brokerage commission recaptured under these agreements was as follows:
Portfolio | Amount | |||
Cohen & Steers Global Realty | $ | 6,148 |
AST Investment Services, Inc., PGIM Investments, PAD, PGIM, Inc., PGIM Limited and QMA are indirect,
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wholly-owned subsidiaries of Prudential.
3. | Other Transactions with Affiliates |
a.) Related Parties
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolios. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
Certain officers and a Trustee of the Trust are officers, employees or directors of the Investment Manager. The Trust pays no compensation directly to its officers, employees or interested Trustees. The Investment Manager also pays for occupancy and certain clerical and administrative expenses. The Portfolios bear all other costs and expenses.
The Portfolios may invest their overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and their securities lending cash collateral in the PGIM Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. The Portfolios may also invest in the PGIM Core Short-Term Bond Fund, pursuant to an exemptive order received from the Securities Exchange Commission (“SEC”), a series of Prudential Investment Portfolios 2 (together with PGIM Core Ultra Short Bond Fund, the “Core Funds”) registered under the 1940 Act and managed by PGIM Investments. Through the Portfolios’ investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or reimbursed for providing their services. In addition to the realized and unrealized gains on investments in the Core Funds and Money Market Fund, earnings from such investments are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
Certain Portfolios may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the SEC, the Trust’s Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such 17a-7 transactions were effected in accordance with the Trust’s Rule 17a-7 procedures.
For the reporting period ended June 30, 2020, the Portfolios’ purchase and sales transactions under Rule 17a-7 and realized gain as a result of 17a-7 sales transactions were as follows:
Portfolio | Purchases | Sales | Realized Gain/(Loss) | |||||||||
Investment Grade Bond | $ | 1,613,667,840 | $ | 2,193,796,650 | $ | 353,574,157 | ||||||
Prudential Core Bond | 89,590,864 | 156,793,794 | (17,917,550 | ) |
In March 2019, the following Portfolios were reimbursed by the Investment Manager for costs incurred due to a portfolio allocation error. The reimbursement amount for each affected Portfolio is disclosed below and such amount is also disclosed in the Portfolio’s “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the year ended December 31, 2019.
Portfolio | Capital Contributions | |||
Bond Portfolio 2028 | $ | 135,042 | ||
Cohen & Steers Global Realty | 132 | |||
High Yield | 48 | |||
Prudential Core Bond | 155 | |||
QMA US Equity Alpha | 1,328 | |||
Western Asset Core Plus Bond | 2,424 |
b.) Securities Lending and Foreign Withholding Tax Reclaim Matters
In September 2019, the Investment Manager reached a settlement with the SEC relating to the securities lending and foreign withholding tax reclaim matters described below. Under the settlement, the Investment Manager
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agreed to pay to the SEC disgorgement of fees and a civil penalty. The settlement does not affect the Investment Manager’s ability to manage the Portfolios.
In February 2016, Prudential, the parent company of the Investment Manager, self-reported to the SEC and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of the Trust due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction.At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Trust. The per share amount of opportunity loss payment to the Portfolios is disclosed in the Portfolios’ “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2016.
In March 2018, Prudential further notified the SEC that it failed to timely reimburse certain Portfolios for amounts due under protocols established to ensure that the Portfolios were not harmed as a result of their tax status as partnerships instead of regulated investment companies (RICs). Specifically, as a result of their partnership status, the Portfolios are subject to higher foreign withholding tax rates on dividend and interest income in certain foreign jurisdictions and/or are subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”). Prudential’s protocols were intended to protect the Portfolios from these differences and delays. In consultation with the Trust’s independent trustees, Prudential paid each of the affected Portfolios an amount equal to the excess withholding tax in addition to an amount equal to the applicable Portfolio’s rate of return (“opportunity loss”) applied to these excess withholding tax amounts for periods from the various transaction dates, beginning January 2, 2006 (the date when the Portfolios were converted to partnerships for tax purposes), through February 28, 2018 (the date through which the previously established protocols were not uniformly implemented). The amount due to each Portfolio was calculated by Prudential with the help of a third-party consultant. Those amounts and the methodology used by Prudential to derive them, were evaluated and confirmed by a consultant retained by the Trust’s independent trustees. The excess withholding tax analysis considered detriments to the Portfolios due to their tax status as partnerships arising from both timing differences (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is reclaimable) as described above as well as permanent tax detriments (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is not reclaimable). Further, the opportunity loss due to each Portfolio also was calculated by a third-party consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the Trust’s independent trustees. In May 2019, Prudential made an additional payment to the Portfolios relating to the opportunity loss upon the final review of the methodology used for the Portfolios’ rate of return calculation. The aggregate previously unreimbursed excess withholding tax and/or opportunity loss payments for each affected Portfolio are disclosed in the Portfolios’ “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the fiscal years ended December 31, 2018 and December 31, 2019.
In addition to the above, Prudential committed to the Trust’s independent trustees that it would pay all consulting, legal, audit, and other charges, fees and expenses incurred with the matters described above. Prudential has made and continues to make these payments.
Prudential instituted a process in consultation with the Trust’s independent trustees to reimburse the affected Portfolios for any future excess withholding tax on the first business day following the pay-date of the applicable dividend or interest income event regardless of whether the excess withholding tax is due to timing differences or permanent detriments resulting from the Portfolios’ partnership tax status.
In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the affected Portfolios have the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid a Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by an applicable Portfolio from a foreign tax authority for reclaims for which a Portfolio previously received reimbursement from Prudential will be payable to Prudential. Pending tax reclaim amounts due to Prudential for excess withholding tax which Prudential previously paid to the Portfolios are reported as “Payable to affiliate” on the “Statement of Assets and Liabilities” and any amounts accrued but not yet reimbursed by Prudential for excess withholding tax is recorded as “Receivable from affiliate” on the Statement of Assets and Liabilities. The full amount of tax reclaims due to a Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolios do not incur an excess withholding tax is included as “Tax reclaim receivable” on the “Statement of Assets and Liabilities.” To the extent that there are costs associated with the filing of any reclaim attributable to excess withholding tax, those costs are borne by Prudential.
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The following amounts have been paid by Prudential for excess withholding taxes related to permanent tax detriments as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.
Portfolio | 2020 Payments | |||
Cohen & Steers Global Realty | $ | 28,637 | ||
Western Asset Emerging Markets Debt | 3,557 |
The following amounts have been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.
Portfolio | 2020 Payments | |||
Cohen & Steers Global Realty | $ | 21,206 | ||
Prudential Core Bond | 2,328 |
The following capital contributions, as described above, have been paid in 2019 by Prudential for the opportunity loss associated with excess withholding taxes related to permanent tax detriments and timing differences for certain countries due to the Portfolios’ status as partnerships for tax purposes.
Portfolio | Capital Contributions | |||
Cohen & Steers Global Realty | $ | 8,009 | ||
Western Asset Core Plus Bond | 749 |
4. | Portfolio Securities |
The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments, securities sold short and U.S. Government securities) for the reporting period ended June 30, 2020, were as follows:
Portfolio | Cost of Purchases | Proceeds from Sales | ||||||
Bond Portfolio 2020 | $ | 13,612,323 | $ | 15,929,547 | ||||
Bond Portfolio 2021 | 31,915,206 | 13,671,363 | ||||||
Bond Portfolio 2022 | 4,838,627 | 6,493,440 | ||||||
Bond Portfolio 2023 | 4,496,647 | 4,314,532 | ||||||
Bond Portfolio 2024 | 5,339,444 | 8,742,236 | ||||||
Bond Portfolio 2025 | 13,004,761 | 21,995,035 | ||||||
Bond Portfolio 2026 | 25,515,802 | 52,189,374 | ||||||
Bond Portfolio 2027 | 10,108,212 | 67,999,897 | ||||||
Bond Portfolio 2028 | 1,286,833 | 19,344,821 | ||||||
Bond Portfolio 2029 | 2,484,007 | 24,586,225 | ||||||
Bond Portfolio 2030 | 217,020,042 | 39,072,344 | ||||||
Bond Portfolio 2031 | 21,623,914 | 4,400,626 | ||||||
Cohen & Steers Global Realty | 200,370,956 | 250,471,872 | ||||||
High Yield | 267,344,418 | 299,651,309 | ||||||
Investment Grade Bond | 19,923,800,647 | 19,122,747,477 | ||||||
Prudential Core Bond | 1,555,282,163 | 2,076,348,663 | ||||||
QMA US Equity Alpha | 452,020,598 | 650,511,844 | ||||||
Quantitative Modeling | 1,752,371,831 | 1,796,719,893 | ||||||
Western Asset Core Plus Bond | 4,760,391,662 | 5,521,390,499 | ||||||
Western Asset Emerging Markets Debt | 75,458,737 | 54,177,964 |
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A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended June 30, 2020, is presented as follows:
Bond Portfolio 2020
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Short-Term Bond Fund* | ||||||||||||||||||||||||||||||
$ | 8,631,755 | $ | 75,499 | $ | 2,200,000 | $ | (6,326 | ) | $ | (14,332 | ) | $ | 6,486,596 | 706,601 | $ | 75,499 | ||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
14,102,838 | 55,623,736 | 68,492,398 | — | — | 1,234,176 | 1,234,176 | 19,056 | |||||||||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
797,721 | 27,536,281 | 27,347,165 | 78 | 9,442 | 996,357 | 996,357 | 4,901 | ** | ||||||||||||||||||||||
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$ | 23,532,314 | $ | 83,235,516 | $ | 98,039,563 | $ | (6,248 | ) | $ | (4,890 | ) | $ | 8,717,129 | $ | 99,456 | |||||||||||||||
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Bond Portfolio 2021
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Short-Term Bond Fund* | ||||||||||||||||||||||||||||||
$ | 9,750,041 | $ | 7,060,580 | $ | 5,000,000 | $ | 32,601 | $ | (32,573 | ) | $ | 11,810,649 | 1,286,563 | $ | 60,580 | |||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
52,614 | 87,931,826 | 78,953,008 | — | — | 9,031,432 | 9,031,432 | 25,160 | |||||||||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
1,192,472 | 48,030,568 | 26,116,187 | 7,430 | 4,871 | 23,119,154 | 23,119,154 | 11,573 | ** | ||||||||||||||||||||||
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$ | 10,995,127 | $ | 143,022,974 | $ | 110,069,195 | $ | 40,031 | $ | (27,702 | ) | $ | 43,961,235 | $ | 97,313 | ||||||||||||||||
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Bond Portfolio 2022
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 880,069 | $ | 18,067,105 | $ | 17,456,472 | $ | — | $ | — | $ | 1,490,702 | 1,490,702 | $ | 4,163 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
908,183 | 22,526,144 | 16,686,838 | 3,557 | 1,623 | 6,752,669 | 6,752,669 | 5,152 | ** | ||||||||||||||||||||||
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$ | 1,788,252 | $ | 40,593,249 | $ | 34,143,310 | $ | 3,557 | $ | 1,623 | $ | 8,243,371 | $ | 9,315 | |||||||||||||||||
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Bond Portfolio 2023
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 133,436 | $ | 17,037,342 | $ | 16,091,844 | $ | — | $ | — | $ | 1,078,934 | 1,078,934 | $ | 4,526 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
304,756 | 9,378,845 | 9,188,115 | 347 | 3,086 | 498,919 | 498,919 | 1,690 | ** | ||||||||||||||||||||||
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$ | 438,192 | $ | 26,416,187 | $ | 25,279,959 | $ | 347 | $ | 3,086 | $ | 1,577,853 | $ | 6,216 | |||||||||||||||||
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Bond Portfolio 2024
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 238 | $ | 45,709,502 | $ | 42,848,703 | $ | — | $ | — | $ | 2,861,037 | 2,861,037 | $ | 10,345 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
120,304 | 11,151,318 | 10,826,211 | 213 | 5,021 | 450,645 | 450,645 | 2,395 | ** | ||||||||||||||||||||||
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$ | 120,542 | $ | 56,860,820 | $ | 53,674,914 | $ | 213 | $ | 5,021 | $ | 3,311,682 | $ | 12,740 | |||||||||||||||||
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Bond Portfolio 2025
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 443,403 | $ | 65,834,178 | $ | 64,452,715 | $ | — | $ | — | $ | 1,824,866 | 1,824,866 | $ | 14,044 | ||||||||||||||||
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Bond Portfolio 2026
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Short-Term Bond Fund* | ||||||||||||||||||||||||||||||
$ | 2,614,584 | $ | 9,741,175 | $ | 4,000,000 | $ | 5,808 | $ | (7,180 | ) | $ | 8,354,387 | 910,064 | $ | 41,175 | |||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
4,513,090 | 60,410,130 | 62,191,353 | — | — | 2,731,867 | 2,731,867 | 11,241 | |||||||||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
2,882,120 | 29,968,415 | 28,206,370 | 1,765 | 6,793 | 4,652,723 | 4,652,723 | 5,312 | ** | ||||||||||||||||||||||
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$ | 10,009,794 | $ | 100,119,720 | $ | 94,397,723 | $ | 7,573 | $ | (387 | ) | $ | 15,738,977 | $ | 57,728 | ||||||||||||||||
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Bond Portfolio 2027
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Short-Term Bond Fund* | ||||||||||||||||||||||||||||||
$ | 5,827,949 | $ | 3,035,385 | $ | 8,832,019 | $ | 36,135 | $ | (67,450 | ) | $ | — | — | $ | 35,385 | |||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
123,880 | 59,406,583 | 58,751,686 | — | — | 778,777 | 778,777 | 32,782 | |||||||||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
2,352,870 | 22,758,776 | 17,647,466 | 32 | 5,100 | 7,469,312 | 7,469,312 | 3,596 | ** | ||||||||||||||||||||||
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$ | 8,304,699 | $ | 85,200,744 | $ | 85,231,171 | $ | 36,167 | $ | (62,350 | ) | $ | 8,248,089 | $ | 71,763 | ||||||||||||||||
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Bond Portfolio 2028
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 948,139 | $ | 6,123,482 | $ | 6,317,088 | $ | — | $ | — | $ | 754,533 | 754,533 | $ | 6,946 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
662,465 | 594,364 | 1,257,047 | (67 | ) | 285 | — | — | 273 | ** | |||||||||||||||||||||
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$ | 1,610,604 | $ | 6,717,846 | $ | 7,574,135 | $ | (67 | ) | $ | 285 | $ | 754,533 | $ | 7,219 | ||||||||||||||||
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Bond Portfolio 2029
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 349 | $ | 5,688,568 | $ | 5,624,313 | $ | — | $ | — | $ | 64,604 | 64,604 | $ | 1,182 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
192,324 | 484,812 | 677,023 | (8 | ) | (105 | ) | — | — | 239 | ** | ||||||||||||||||||||
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$ | 192,673 | $ | 6,173,380 | $ | 6,301,336 | $ | (8 | ) | $ | (105 | ) | $ | 64,604 | $ | 1,421 | |||||||||||||||
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Bond Portfolio 2030
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Short-Term Bond Fund* | ||||||||||||||||||||||||||||||
$ | — | $ | 26,925,461 | $ | — | $ | 25,098 | $ | — | $ | 26,950,559 | 2,935,791 | $ | 87,238 | ||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
879,257 | 420,442,179 | 418,040,325 | — | — | 3,281,111 | 3,281,111 | 196,098 | |||||||||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
125,764 | 235,551,177 | 226,500,689 | 10,368 | 44,107 | 9,230,727 | 9,230,727 | 77,413 | ** | ||||||||||||||||||||||
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$ | 1,005,021 | $ | 682,918,817 | $ | 644,541,014 | $ | 35,466 | $ | 44,107 | $ | 39,462,397 | $ | 360,749 | |||||||||||||||||
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Bond Portfolio 2031
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | — | $ | 62,731,935 | $ | 58,951,832 | $ | — | $ | — | $ | 3,780,103 | 3,780,103 | $ | 28,092 | ||||||||||||||||
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Cohen & Steers Global Realty
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 5,014,053 | $ | 145,340,798 | $ | 147,725,565 | $ | — | $ | — | $ | 2,629,286 | 2,629,286 | $ | 34,947 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
32,258,051 | 94,456,084 | 106,510,465 | (808 | ) | (36,015 | ) | 20,166,847 | 20,166,847 | 38,102 | ** | ||||||||||||||||||||
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$ | 37,272,104 | $ | 239,796,882 | $ | 254,236,030 | $ | (808 | ) | $ | (36,015 | ) | $ | 22,796,133 | $ | 73,049 | |||||||||||||||
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B19
High Yield
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 29,527,064 | $ | 358,379,100 | $ | 341,371,177 | $ | — | $ | — | $ | 46,534,987 | 46,534,987 | $ | 174,660 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
128,893,781 | 166,694,091 | 202,733,881 | 3,408 | (184,930 | ) | 92,672,469 | 92,672,469 | 168,784 | ** | |||||||||||||||||||||
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$ | 158,420,845 | $ | 525,073,191 | $ | 544,105,058 | $ | 3,408 | $ | (184,930 | ) | $ | 139,207,456 | $ | 343,444 | ||||||||||||||||
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Investment Grade Bond
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
AST Prudential Core Bond Portfolio* | ||||||||||||||||||||||||||||||
$ | — | $ | 85,000,000 | $ | 90,984,000 | $ | — | $ | 5,984,000 | $ | — | — | $ | — | ||||||||||||||||
PGIM Absolute Return Bond Fund* | ||||||||||||||||||||||||||||||
— | 45,584,440 | 5,221 | 4,830,860 | (5 | ) | 50,410,074 | 5,734,934 | 579,761 | ||||||||||||||||||||||
PGIM Core Short-Term Bond Fund* | ||||||||||||||||||||||||||||||
— | 899,464,473 | 816,500,000 | 2,070,151 | 1,508,217 | 86,542,841 | 9,427,325 | 3,521,455 | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
11,067 | 27,315,670,678 | 27,157,329,864 | — | — | 158,351,881 | 158,351,881 | 4,524,727 | |||||||||||||||||||||||
PGIM Global Total Return Fund* | ||||||||||||||||||||||||||||||
— | 86,014,750 | 453 | 10,768,747 | — | 96,783,044 | 14,108,315 | 1,015,158 | |||||||||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
131,991,799 | 9,080,416,164 | 8,581,221,073 | 326,321 | 7,382,564 | 638,895,775 | 638,895,775 | 2,852,841 | ** | ||||||||||||||||||||||
PGIM Total Return Bond Fund* | ||||||||||||||||||||||||||||||
— | 1,405,828,451 | 1,500,788,221 | — | 94,959,770 | — | — | 5,926,111 | |||||||||||||||||||||||
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$ | 132,002,866 | $ | 38,917,978,956 | $ | 38,146,828,832 | $ | 17,996,079 | $ | 109,834,546 | $ | 1,030,983,615 | $ | 18,420,053 | |||||||||||||||||
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Prudential Core Bond
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 34,507,733 | $ | 1,609,390,707 | $ | 1,643,233,437 | $ | — | $ | — | $ | 665,003 | 665,003 | $ | 555,222 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
93,452,361 | 944,187,318 | 530,723,980 | 251,982 | (66,402 | ) | 507,101,279 | 507,101,279 | 348,972 | ** | |||||||||||||||||||||
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$ | 127,960,094 | $ | 2,553,578,025 | $ | 2,173,957,417 | $ | 251,982 | $ | (66,402 | ) | $ | 507,766,282 | $ | 904,194 | ||||||||||||||||
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QMA US Equity Alpha
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 8,969,501 | $ | 286,880,590 | $ | 275,939,258 | $ | — | $ | — | $ | 19,910,833 | 19,910,833 | $ | 83,420 | ||||||||||||||||
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B20
Quantitative Modeling
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
AST AB Global Bond Portfolio* | ||||||||||||||||||||||||||||||
$30,153,775 | $ | 20,759,367 | $ | 21,324,121 | $ | (813,191 | ) | $ | 1,079,408 | $ | 29,855,238 | 2,513,067 | $ | — | ||||||||||||||||
AST AQR Emerging Markets Equity Portfolio* | ||||||||||||||||||||||||||||||
2,017,881 | 905,413 | 2,376,536 | (130,077 | ) | (416,681 | ) | — | — | — | |||||||||||||||||||||
AST AQR Large Cap Core Portfolio* | ||||||||||||||||||||||||||||||
123,917,365 | 33,923,255 | 136,838,600 | (20,702,270 | ) | (299,750 | ) | — | — | — | |||||||||||||||||||||
AST BlackRock/Loomis Sayles Bond Portfolio* | ||||||||||||||||||||||||||||||
27,180,039 | 18,591,679 | 19,692,561 | (980,556 | ) | 1,818,768 | 26,917,369 | 1,751,293 | — | ||||||||||||||||||||||
AST ClearBridge Dividend Growth Portfolio* | ||||||||||||||||||||||||||||||
124,291,080 | 106,749,391 | 75,218,179 | (19,739,844 | ) | 637,002 | 136,719,450 | 7,032,894 | — | ||||||||||||||||||||||
AST Emerging Markets Equity Portfolio* | ||||||||||||||||||||||||||||||
1,089,087 | 2,207,455 | 925,614 | 77,153 | (295,922 | ) | 2,152,159 | 279,139 | — | ||||||||||||||||||||||
AST Goldman Sachs Global Income Portfolio* | ||||||||||||||||||||||||||||||
15,076,893 | 10,292,707 | 10,851,080 | (478,499 | ) | 914,070 | 14,954,091 | 1,221,740 | — | ||||||||||||||||||||||
AST Goldman Sachs Small-Cap Value Portfolio* | ||||||||||||||||||||||||||||||
16,626,875 | 642,927 | 5,857,843 | (3,921,273 | ) | (1,550,465 | ) | 5,940,221 | 313,138 | — | |||||||||||||||||||||
AST High Yield Portfolio* | ||||||||||||||||||||||||||||||
1,402,377 | 1,861,546 | 1,231,498 | (93,483 | ) | (43,324 | ) | 1,895,618 | 179,509 | — | |||||||||||||||||||||
AST Hotchkis & Wiley Large-Cap Value Portfolio* | ||||||||||||||||||||||||||||||
38,731,285 | 25,892,568 | 22,701,902 | (3,347,634 | ) | (6,569,009 | ) | 32,005,308 | 1,264,532 | — | |||||||||||||||||||||
AST International Growth Portfolio* | ||||||||||||||||||||||||||||||
76,126,746 | 38,618,624 | 47,994,288 | (5,117,417 | ) | 1,244,441 | 62,878,106 | 2,975,774 | — | ||||||||||||||||||||||
AST International Value Portfolio* | ||||||||||||||||||||||||||||||
75,710,481 | 43,773,886 | 42,326,980 | (4,671,020 | ) | (10,844,888 | ) | 61,641,479 | 3,492,435 | — | |||||||||||||||||||||
AST Investment Grade Bond Portfolio* | ||||||||||||||||||||||||||||||
— | 833,875,928 | 801,126,975 | 212,497 | 45,767,700 | 78,729,150 | 8,447,334 | — | |||||||||||||||||||||||
AST Jennison Large-Cap Growth Portfolio* | ||||||||||||||||||||||||||||||
45,091,404 | 24,926,137 | 35,660,911 | (2,624,823 | ) | 5,981,179 | 37,712,986 | 790,463 | — | ||||||||||||||||||||||
AST Large-Cap Core Portfolio* | ||||||||||||||||||||||||||||||
123,855,988 | 149,214,851 | 91,933,187 | (9,878,280 | ) | (47,032 | ) | 171,212,340 | 8,539,269 | — | |||||||||||||||||||||
AST Loomis Sayles Large-Cap Growth Portfolio* | ||||||||||||||||||||||||||||||
78,739,788 | 44,206,960 | 58,700,473 | (8,114,549 | ) | 9,275,374 | 65,407,100 | 935,590 | — | ||||||||||||||||||||||
AST MFS Growth Portfolio* | ||||||||||||||||||||||||||||||
44,996,469 | 25,564,327 | 33,684,920 | (6,085,042 | ) | 6,868,645 | 37,659,479 | 1,034,601 | — | ||||||||||||||||||||||
AST MFS Large-Cap Value Portfolio* | ||||||||||||||||||||||||||||||
90,574,102 | 51,972,989 | 53,078,423 | (12,948,505 | ) | (1,837,815 | ) | 74,682,348 | 3,660,899 | — | |||||||||||||||||||||
AST Mid-Cap Growth Portfolio* | ||||||||||||||||||||||||||||||
6,937,783 | 4,122,575 | 5,069,034 | (548,114 | ) | 376,472 | 5,819,682 | 471,994 | — | ||||||||||||||||||||||
AST Neuberger Berman/LSV Mid-Cap Value Portfolio* | ||||||||||||||||||||||||||||||
3,327,966 | 2,293,387 | 2,003,257 | (42,579 | ) | (831,515 | ) | 2,744,002 | 103,042 | — | |||||||||||||||||||||
AST PIMCO Dynamic Bond Portfolio* | ||||||||||||||||||||||||||||||
6,066,038 | 4,143,803 | 4,191,458 | (103,383 | ) | 66,639 | 5,981,639 | 592,241 | — | ||||||||||||||||||||||
AST Prudential Core Bond Portfolio* | ||||||||||||||||||||||||||||||
105,707,420 | 71,993,882 | 75,473,515 | (3,286,071 | ) | 5,656,025 | 104,597,741 | 7,618,189 | — |
B21
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
AST QMA International Core Equity Portfolio* | ||||||||||||||||||||||||||||||
$ | 64,970,779 | $ | 36,481,997 | $ | 37,609,327 | $ | (2,320,818 | ) | $ | (8,145,376 | ) | $ | 53,377,255 | 4,761,575 | $ | — | ||||||||||||||
AST Small-Cap Growth Opportunities Portfolio* | ||||||||||||||||||||||||||||||
14,647,921 | 8,639,500 | 10,642,821 | (961,933 | ) | (583,689 | ) | 11,098,978 | 469,500 | — | |||||||||||||||||||||
AST Small-Cap Growth Portfolio* | ||||||||||||||||||||||||||||||
14,614,158 | 8,513,002 | 10,889,648 | (225,170 | ) | (909,486 | ) | 11,102,856 | 202,238 | — | |||||||||||||||||||||
AST Small-Cap Value Portfolio* | ||||||||||||||||||||||||||||||
12,413,506 | 12,561,558 | 10,496,250 | (475,002 | ) | (1,650,961 | ) | 12,352,851 | 570,570 | — | |||||||||||||||||||||
AST T. Rowe Price Large-Cap Growth Portfolio* | ||||||||||||||||||||||||||||||
56,437,522 | 31,411,014 | 41,842,626 | (5,279,106 | ) | 6,197,773 | 46,924,577 | 912,042 | — | ||||||||||||||||||||||
AST T. Rowe Price Large-Cap Value Portfolio* | ||||||||||||||||||||||||||||||
86,123,714 | 52,762,216 | 49,227,050 | (9,636,082 | ) | (8,924,703 | ) | 71,098,095 | 5,092,987 | — | |||||||||||||||||||||
AST WEDGE Capital Mid-Cap Value Portfolio* | ||||||||||||||||||||||||||||||
3,346,739 | 2,408,842 | 2,110,579 | 50,802 | (950,975 | ) | 2,744,829 | 149,827 | — | ||||||||||||||||||||||
AST Wellington Management Global Bond Portfolio* | ||||||||||||||||||||||||||||||
75,322,102 | 53,099,821 | 55,463,685 | (3,301,178 | ) | 5,049,233 | 74,706,293 | 6,148,666 | — | ||||||||||||||||||||||
AST Western Asset Core Plus Bond Portfolio* | ||||||||||||||||||||||||||||||
42,432,164 | 28,134,929 | 29,040,773 | (2,158,349 | ) | 2,534,239 | 41,902,210 | 2,901,815 | — | ||||||||||||||||||||||
AST Western Asset Emerging Markets Debt Portfolio* | ||||||||||||||||||||||||||||||
1,237,955 | 1,825,296 | 1,135,780 | (34,745 | ) | 4,553 | 1,897,279 | 156,670 | — | ||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
8,448,537 | 41,713,268 | 49,055,565 | — | — | 1,106,240 | 1,106,240 | 37,211 | |||||||||||||||||||||||
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$ | 1,417,615,939 | $ | 1,794,085,100 | $ | 1,845,775,459 | $ | (127,678,541 | ) | $ | 49,569,930 | $ | 1,287,816,969 | $ | 37,211 | ||||||||||||||||
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Western Asset Core Plus Bond
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 25,098,395 | $ | 1,436,149,601 | $ | 1,298,826,236 | $ | — | $ | — | $ | 162,421,760 | 162,421,760 | $ | 995,895 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
141,702,748 | 610,182,297 | 397,027,074 | (1,181 | ) | (7,919 | ) | 354,848,871 | 354,848,871 | 327,930 | ** | ||||||||||||||||||||
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$ | 166,801,143 | $ | 2,046,331,898 | $ | 1,695,853,310 | $ | (1,181 | ) | $ | (7,919 | ) | $ | 517,270,631 | $ | 1,323,825 | |||||||||||||||
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Western Asset Emerging Markets Debt
Value, Beginning of Period | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* | ||||||||||||||||||||||||||||||
$ | 4,191,524 | $ | 63,789,383 | $ | 66,658,564 | $ | — | $ | — | $ | 1,322,343 | 1,322,343 | $ | 28,563 | ||||||||||||||||
PGIM Institutional Money Market Fund* | ||||||||||||||||||||||||||||||
7,820,967 | 21,553,898 | 26,443,365 | (670 | ) | (9,783 | ) | 2,921,047 | 2,921,047 | 8,877 | ** | ||||||||||||||||||||
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$ | 12,012,491 | $ | 85,343,281 | $ | 93,101,929 | $ | (670 | ) | $ | (9,783 | ) | $ | 4,243,390 | $ | 37,440 | |||||||||||||||
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* | The Fund did not have any capital gain distributions during the reporting period. |
B22
** | The amount, or a portion thereof, represents the affiliated securities lending income shown on the Statement of Operations. |
5. | Tax Information |
All Portfolios are treated as partnerships for federal income tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.
With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.
The Investment Manager has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current reporting period. Since tax authorities can examine previously filed tax returns, the Portfolios’ U.S. federal and state tax returns for each of the four fiscal years up to the most recent fiscal year ended December 31, 2019 are subject to such review.
6. | Borrowings |
The Trust, on behalf of the Portfolios, along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The table below provides details of the current SCA in effect at the reporting period-end.
SCA | ||
Term of Commitment | 10/3/2019 – 10/1/2020 | |
Total Commitment | $ 1,222,500,000* | |
Annualized Commitment Fee on the Unused Portion of the SCA | 0.15% | |
Annualized Interest Rate on Borrowings | 1.20% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent | |
* Effective March 31, 2020, the SCA’s total commitment was increased from $900,000,000 to $1,162,500,000 and subsequently, effective April 7, 2020 was increased to $1,222,500,000. |
Certain affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Investment Manager to allocate available funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.
B23
The following Portfolios utilized the SCA during the reporting period ended June 30, 2020. The average balance outstanding is for the number of days the Portfolios utilized the credit facility.
Portfolio | Average Balance Outstanding | Weighted Average Interest Rates | Number of Days Outstanding | Maximum Balance Outstanding | Balance Outstanding at June 30, 2020 | |||||||||||||||
Bond Portfolio 2020 | $ | 780,983 | 2.10 | % | 60 | $ | 2,663,000 | $ | — | |||||||||||
Bond Portfolio 2021 | 316,750 | 2.45 | 12 | 652,000 | — | |||||||||||||||
Bond Portfolio 2022 | 266,353 | 2.34 | 17 | 400,000 | — | |||||||||||||||
Bond Portfolio 2023 | 210,125 | 1.80 | 8 | 513,000 | — | |||||||||||||||
Bond Portfolio 2024 | 552,742 | 2.31 | 31 | 2,338,000 | — | |||||||||||||||
Bond Portfolio 2025 | 653,765 | 2.48 | 51 | 1,892,000 | — | |||||||||||||||
Bond Portfolio 2026 | 2,682,235 | 2.67 | 34 | 21,139,000 | — | |||||||||||||||
Bond Portfolio 2027 | 3,122,583 | 2.72 | 24 | 17,115,000 | — | |||||||||||||||
Bond Portfolio 2028 | 797,500 | 2.79 | 6 | 1,928,000 | — | |||||||||||||||
Bond Portfolio 2029 | 896,050 | 2.78 | 20 | 5,486,000 | — | |||||||||||||||
Bond Portfolio 2030 | 2,684,733 | 1.47 | 15 | 6,113,000 | — | |||||||||||||||
Cohen & Steers Global Realty | 5,240,231 | 2.40 | 13 | 10,495,000 | — | |||||||||||||||
High Yield | 6,776,875 | 2.29 | 8 | 15,574,000 | — | |||||||||||||||
Investment Grade Bond | 73,386,955 | 1.58 | 44 | 610,239,000 | — | |||||||||||||||
Prudential Core Bond | 12,432,000 | 2.15 | 1 | 12,432,000 | — | |||||||||||||||
QMA US Equity Alpha | 9,486,700 | 2.21 | 10 | 38,355,000 | — | |||||||||||||||
Western Asset Core Plus Bond | 24,284,500 | 2.27 | 6 | 25,115,000 | — |
7. | Capital and Ownership |
The Agreement and Declaration of Trust permits the Trust’s Board of Trustees to issue multiple classes of shares, and within each class, an unlimited number of shares of beneficial interest of the Portfolios with a par value of $0.001 per share. As of June 30, 2020, all Portfolios offer only a single share class to investors.
As of June 30, 2020, all shares of the Portfolios were owned of record directly or by other Portfolios as part of their investments by insurance affiliates of Prudential.
The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares, on behalf of multiple beneficial owners:
Portfolio | Number of Shareholders | Percentage of Outstanding Shares | ||||||
Bond Portfolio 2020 | 3 | 100.0 | % | |||||
Bond Portfolio 2021 | 3 | 100.0 | ||||||
Bond Portfolio 2022 | 3 | 98.8 | ||||||
Bond Portfolio 2023 | 2 | 97.7 | ||||||
Bond Portfolio 2024 | 2 | 95.7 | ||||||
Bond Portfolio 2025 | 2 | 98.3 | ||||||
Bond Portfolio 2026 | 2 | 95.7 | ||||||
Bond Portfolio 2027 | 2 | 98.0 | ||||||
Bond Portfolio 2028 | 1 | 97.5 | ||||||
Bond Portfolio 2029 | 1 | 94.8 | ||||||
Bond Portfolio 2030 | 3 | 99.9 | ||||||
Bond Portfolio 2031 | 3 | 99.9 | ||||||
Cohen & Steers Global Realty | 3 | 96.8 | ||||||
High Yield | 4 | 88.7 | ||||||
Investment Grade Bond | 2 | 93.9 | ||||||
Prudential Core Bond | 4 | 90.0 | ||||||
QMA US Equity Alpha | 4 | 95.4 | ||||||
Quantitative Modeling | 3 | 100.0 | ||||||
Western Asset Core Plus Bond | 5 | 91.2 |
B24
Portfolio | Number of Shareholders | Percentage of Outstanding Shares | ||||||
Western Asset Emerging Markets Debt | 5 | 92.4 | % |
8. | Risks of Investing in the Portfolios |
The Portfolios’ risks include, but are not limited to, some or all of the risks discussed below. For further information on the risks applicable to any given Portfolio, please refer to the Prospectus and Statement of Additional Information of that Portfolio.
Bond Obligations Risk: The Portfolios’ holdings, share price, yield and total return may fluctuate in response to bond market movements. The value of bonds may decline for issuer-related reasons, including management performance, financial leverage and reduced demand for the issuer’s goods and services. Certain types of fixed-income obligations also may be subject to “call and redemption risk,” which is the risk that the issuer may call a bond held by the Portfolios for redemption before it matures and the Portfolios may not be able to reinvest at the same level and therefore would earn less income.
Derivatives Risk: Derivatives involve special risks and costs and may result in losses to the Portfolios. The successful use of derivatives requires sophisticated management, and, to the extent that derivatives are used, the Portfolios will depend on the subadviser’s ability to analyze and manage derivative transactions. The prices of derivatives may move in unexpected ways, especially in abnormal market conditions. Some derivatives are “leveraged” and therefore may magnify or otherwise increase investment losses to the Portfolios. Other risks arise from the potential inability to terminate or sell derivatives positions. A liquid secondary market may not always exist for the Portfolios’ derivatives positions. In fact, many OTC derivative instruments will not have liquidity beyond the counterparty to the instrument. OTC derivative instruments also involve the risk that the other party will not meet its obligations to the Portfolios.
Emerging Markets Risk: The risks of foreign investments are greater for investments in or exposed to emerging markets. Emerging market countries typically have economic and political systems that are less fully developed, and can be expected to be less stable, than those of more developed countries. For example, the economies of such countries can be subject to rapid and unpredictable rates of inflation or deflation. Low trading volumes may result in a lack of liquidity and price volatility.
Equity and Equity-Related Securities Risks: The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the Portfolios invest could go down. The Portfolios’ holdings can vary significantly from broad market indexes and the performance of the Portfolios can deviate from the performance of these indexes. Different parts of a market can react differently to adverse issuer, market, regulatory, political and economic developments.
Foreign Market Disruption and Geopolitical Risks: International wars or conflicts and geopolitical developments in foreign countries, along with instability in regions such as Asia, Eastern Europe, and the Middle East, possible terrorist attacks in the United States or around the world, public health epidemics such as the outbreak of infectious diseases like the recent outbreak of coronavirus globally or the 2014–2016 outbreak in West Africa of the Ebola virus, and other similar events could adversely affect the U.S. and foreign financial markets, and may cause further long-term economic uncertainties in the United States and worldwide generally.
Foreign Securities Risk: The Portfolios’ investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Portfolios may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the Portfolios’ investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.
Fund of Funds Risk: The value of an investment in the Portfolios will be related, to a substantial degree, to the investment performance of the underlying funds in which it invests. Therefore, the principal risks of investing in the Portfolios are closely related to the principal risks associated with these underlying funds and their investments. Because the Portfolios’ allocation among different underlying funds and direct investments in securities and derivatives will vary, an investment in the Portfolios may be subject to any and all of these risks at different times and to different degrees. Investing in an underlying fund will also expose the Portfolios to a pro rata portion of the underlying fund’s fees and expenses. In addition, one underlying fund may buy the same securities that another underlying fund sells. Therefore, the Portfolios would indirectly bear the costs of these trades without accomplishing the investment purpose.
B25
Geographic Concentration Risk: The Portfolios’ performance may be closely tied to the market, economic, political, regulatory or other conditions in the countries or regions in which the Portfolios invest. This can result in more pronounced risks based upon conditions that impact one or more countries or regions more or less than other countries or regions.
Interest Rate Risk: The value of an investment may go down when interest rates rise. A rise in rates tends to have a greater impact on the prices of longer term or duration securities. When interest rates fall, the issuers of debt obligations may prepay principal more quickly than expected, and the Portfolios may be required to reinvest the proceeds at a lower interest rate. This is referred to as “prepayment risk.” When interest rates rise, debt obligations may be repaid more slowly than expected, and the value of the Portfolios’ holdings may fall sharply. This is referred to as “extension risk”. The Portfolios may face a heightened level of interest rate risk as a result of the U.S. Federal Reserve Board’s policies. The Portfolios’ investments may lose value if short-term or long-term interest rates rise sharply or in a manner not anticipated by the subadviser.
LIBOR Risk: Many financial instruments use or may use a floating rate based on the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. On July 27, 2017, the Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. As such, the potential impact of a transition away from LIBOR on the Portfolios or the financial instruments in which the Portfolios invest cannot yet be determined. 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 Portfolios’ performance and/or net asset value. 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.
Liquidity Risk: The Portfolios may invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk exists when particular investments made by the Portfolios are difficult to purchase or sell. Liquidity risk includes the risk that the Portfolios may make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. If the Portfolios are forced to sell these investments to pay redemption proceeds or for other reasons, the Portfolios may lose money. In addition, when there is no willing buyer and investments may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment, the Portfolios may incur higher transaction costs when executing trade orders of a given size. The reduction in dealer market-making capacity in the fixed-income markets that has occurred in recent years also has the potential to reduce liquidity. An inability to sell a portfolio position can adversely affect the Portfolios’ value or prevent the Portfolios from being able to take advantage of other investment opportunities.
Market and Credit Risk: Securities markets may be volatile and the market prices of the Portfolios’ securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Portfolios fall, the value of an investment in the Portfolios will decline. Additionally, the Portfolios may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolios has unsettled or open transactions defaults.
Non-diversification Risk: A non-diversified Portfolio may invest a greater percentage of its assets in the securities of a single company or industry than a diversified portfolio. Investing in a non-diversified portfolio involves greater risk than investing in a diversified portfolio because a loss resulting from the decline in value of any one security may represent a greater portion of the total assets of a non-diversified portfolio.
Risks of Investing in equity REITs: Real estate securities are subject to similar risks as direct investments in real estate and mortgages, and their value will depend on the value of the underlying properties or the underlying loans or interests. The underlying loans may be subject to the risks of default or of payments that occur earlier or later than expected, and such loans may also include so-called “subprime” mortgages. The value of these securities will rise and fall in response to many factors, including economic conditions, the demand for rental property and interest rates. In particular, the value of these securities may decline when interest rates rise and will also be affected by the real estate market and by the management of the underlying properties.
B26
In addition, investing in equity REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the equity REITs, while mortgage REITs may be affected by the quality of any credit extended. Equity REITs are dependent upon management skills, may not be diversified geographically or by property/mortgage asset type, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Since equity REITs are relatively smaller in size when compared to the broader market, and smaller companies tend to be more volatile than larger companies, they may be more volatile and/or more illiquid than other types of equity securities. Equity REITs are subject to interest rate risks. Equity REITs may incur significant amounts of leverage. The Portfolios will indirectly bear a portion of the expenses, including management fees, paid by each equity REIT in which they invest, in addition to the expenses of the Portfolios. Since certain Portfolios concentrate in the real estate industry, the holdings of such Portfolios can vary significantly from broad market indexes. As a result, the performance of such Portfolios can deviate from the performance of such indexes.
Short Sales Risk: Short sales involve costs and risks. The Portfolios must pay the lender interest on the security they borrow, and the Portfolios will lose money to the extent that the price of the security increases between the time of the short sale and the date when the Portfolios replace the borrowed security. Although the Portfolios’ gain is limited to the price at which it sold the securities short, its potential loss is limited only by the maximum attainable price of the securities, less the price at which the security was sold and may, theoretically, be unlimited. When selling short against the box (i.e. short selling securities which the Portfolios already own), the Portfolios give up the opportunity for capital appreciation in the security.
U.S. Government and Agency Securities Risk: U.S. Government and agency securities are subject to market risk, interest rate risk and credit risk. Not all U.S. Government securities are insured or guaranteed by the full faith and credit of the U.S. Government; some are only insured or guaranteed by the issuing agency, which must rely on its own resources to repay the debt. In addition, the value of U.S. Government securities may be affected by changes in the credit rating of the U.S. Government.
B27
Financial Highlights
(unaudited)
AST Bond Portfolio 2020 | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 7.10 | $ | 6.86 | $ | 6.84 | $ | 6.78 | $ | 6.65 | $ | 6.55 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.05 | 0.12 | 0.11 | 0.08 | 0.06 | 0.04 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 0.08 | 0.12 | (0.09 | ) | (0.02 | ) | 0.07 | 0.06 | ||||||||||||||||
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Total from investment operations | 0.13 | 0.24 | 0.02 | 0.06 | 0.13 | 0.10 | ||||||||||||||||||
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Capital Contributions | — | — | — | (b)(c) | — | — | — | |||||||||||||||||
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Net Asset Value, end of period | $ | 7.23 | $ | 7.10 | $ | 6.86 | $ | 6.84 | $ | 6.78 | $ | 6.65 | ||||||||||||
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Total Return(d) | 1.83 | % | 3.50 | % | 0.29 | %(e) | 0.88 | % | 1.95 | % | 1.53 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 64 | $ | 126 | $ | 53 | $ | 58 | $ | 120 | $ | 157 | ||||||||||||
Average net assets (in millions) | $ | 97 | $ | 90 | $ | 52 | $ | 92 | $ | 136 | $ | 145 | ||||||||||||
Ratios to average net assets(f): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.83 | %(g) | 0.90 | % | 0.93 | % | 0.91 | % | 0.84 | % | 0.85 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.83 | %(g) | 0.90 | % | 1.03 | % | 0.91 | % | 0.84 | % | 0.85 | % | ||||||||||||
Net investment income (loss) | 1.32 | %(g) | 1.69 | % | 1.61 | % | 1.11 | % | 0.89 | % | 0.54 | % | ||||||||||||
Portfolio turnover rate(h)(i) | 56 | % | 88 | % | 86 | % | 57 | % | 111 | % | 157 | % | ||||||||||||
AST Bond Portfolio 2021 | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 15.55 | $ | 14.80 | $ | 14.79 | $ | 14.56 | $ | 14.27 | $ | 14.02 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.11 | 0.29 | 0.27 | 0.20 | 0.16 | 0.14 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 0.30 | 0.46 | (0.26 | ) | 0.03 | 0.13 | 0.11 | |||||||||||||||||
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Total from investment operations | 0.41 | 0.75 | 0.01 | 0.23 | 0.29 | 0.25 | ||||||||||||||||||
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Capital Contributions | — | — | — | (b)(c) | — | — | — | |||||||||||||||||
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Net Asset Value, end of period | $ | 15.96 | $ | 15.55 | $ | 14.80 | $ | 14.79 | $ | 14.56 | $ | 14.27 | ||||||||||||
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Total Return(d) | 2.64 | % | 5.07 | % | 0.07 | %(e) | 1.58 | % | 2.03 | % | 1.78 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 123 | $ | 59 | $ | 96 | $ | 112 | $ | 206 | $ | 272 | ||||||||||||
Average net assets (in millions) | $ | 99 | $ | 76 | $ | 98 | $ | 150 | $ | 232 | $ | 242 | ||||||||||||
Ratios to average net assets(f): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.89 | %(g) | 0.93 | % | 0.88 | % | 0.84 | % | 0.79 | % | 0.80 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.89 | %(g) | 0.94 | % | 0.88 | % | 0.84 | % | 0.79 | % | 0.80 | % | ||||||||||||
Net investment income (loss) | 1.38 | %(g) | 1.93 | % | 1.83 | % | 1.34 | % | 1.08 | % | 0.97 | % | ||||||||||||
Portfolio turnover rate(h)(i) | 49 | % | 65 | % | 72 | % | 62 | % | 137 | % | 169 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
(c) | Less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(e) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(f) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(g) | Annualized. |
(h) | The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(i) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
(unaudited)
AST Bond Portfolio 2022 | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 14.38 | $ | 13.58 | $ | 13.60 | $ | 13.39 | $ | 13.15 | $ | 12.88 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.13 | 0.26 | 0.23 | 0.16 | 0.14 | 0.11 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 0.44 | 0.54 | (0.25 | ) | 0.05 | 0.10 | 0.16 | |||||||||||||||||
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Total from investment operations | 0.57 | 0.80 | (0.02 | ) | 0.21 | 0.24 | 0.27 | |||||||||||||||||
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Capital Contributions | — | — | — | (b)(c) | — | — | — | |||||||||||||||||
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Net Asset Value, end of period | $ | 14.95 | $ | 14.38 | $ | 13.58 | $ | 13.60 | $ | 13.39 | $ | 13.15 | ||||||||||||
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Total Return(d) | 3.96 | % | 5.89 | % | (0.15 | )%(e) | 1.57 | % | 1.83 | % | 2.10 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 44 | $ | 47 | $ | 68 | $ | 88 | $ | 176 | $ | 195 | ||||||||||||
Average net assets (in millions) | $ | 46 | $ | 56 | $ | 72 | $ | 120 | $ | 194 | $ | 130 | ||||||||||||
Ratios to average net assets(f): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.93 | %(g) | 0.93 | % | 0.93 | % | 0.88 | % | 0.80 | % | 0.85 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.07 | %(g) | 1.01 | % | 0.94 | % | 0.88 | % | 0.80 | % | 0.85 | % | ||||||||||||
Net investment income (loss) | 1.75 | %(g) | 1.83 | % | 1.71 | % | 1.18 | % | 0.98 | % | 0.85 | % | ||||||||||||
Portfolio turnover rate(h)(i) | 28 | % | 60 | % | 57 | % | 54 | % | 186 | % | 178 | % | ||||||||||||
AST Bond Portfolio 2023 | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 12.11 | $ | 11.37 | $ | 11.40 | $ | 11.21 | $ | 11.01 | $ | 10.70 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.10 | 0.20 | 0.18 | 0.11 | 0.03 | — | (c) | |||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 0.59 | 0.54 | (0.21 | ) | 0.08 | 0.17 | 0.31 | |||||||||||||||||
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Total from investment operations | 0.69 | 0.74 | (0.03 | ) | 0.19 | 0.20 | 0.31 | |||||||||||||||||
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Capital Contributions | — | — | — | (b)(c) | — | — | — | |||||||||||||||||
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Net Asset Value, end of period | $ | 12.80 | $ | 12.11 | $ | 11.37 | $ | 11.40 | $ | 11.21 | $ | 11.01 | ||||||||||||
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Total Return(d) | 5.70 | % | 6.51 | % | (0.26 | )%(e) | 1.69 | % | 1.82 | % | 2.90 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 30 | $ | 29 | $ | 39 | $ | 35 | $ | 60 | $ | 37 | ||||||||||||
Average net assets (in millions) | $ | 31 | $ | 34 | $ | 36 | $ | 44 | $ | 43 | $ | 89 | ||||||||||||
Ratios to average net assets(f): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.93 | %(g) | 0.93 | % | 0.93 | % | 0.93 | % | 0.93 | % | 0.91 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.24 | %(g) | 1.21 | % | 1.14 | % | 1.07 | % | 1.07 | % | 0.97 | % | ||||||||||||
Net investment income (loss) | 1.55 | %(g) | 1.71 | % | 1.60 | % | 0.97 | % | 0.27 | % | 0.04 | % | ||||||||||||
Portfolio turnover rate(h)(i) | 41 | % | 45 | % | 45 | % | 54 | % | 153 | % | 323 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
(c) | Less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(e) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(f) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(g) | Annualized. |
(h) | The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(i) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
(unaudited)
AST Bond Portfolio 2024 | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 11.67 | $ | 10.81 | $ | 10.88 | $ | 10.70 | $ | 10.49 | $ | 10.21 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.08 | 0.24 | 0.18 | 0.11 | 0.09 | 0.02 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 0.77 | 0.62 | (0.25 | ) | 0.07 | 0.12 | 0.26 | |||||||||||||||||
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Total from investment operations | 0.85 | 0.86 | (0.07 | ) | 0.18 | 0.21 | 0.28 | |||||||||||||||||
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Capital Contributions | — | — | — | (b)(c) | — | — | (c)(d) | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 12.52 | $ | 11.67 | $ | 10.81 | $ | 10.88 | $ | 10.70 | $ | 10.49 | ||||||||||||
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Total Return(e) | 7.28 | % | 7.96 | % | (0.64 | )%(f) | 1.68 | % | 2.00 | %(f) | 2.74 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 32 | $ | 23 | $ | 94 | $ | 79 | $ | 8 | $ | 13 | ||||||||||||
Average net assets (in millions) | $ | 32 | $ | 52 | $ | 86 | $ | 31 | $ | 11 | $ | 64 | ||||||||||||
Ratios to average net assets(g): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.93 | %(h) | 0.95 | % | 0.91 | % | 0.93 | % | 0.93 | % | 0.93 | % | ||||||||||||
Expenses before waivers and/or expense | 1.25 | %(h) | 1.09 | % | 0.91 | % | 1.18 | % | 1.80 | % | 1.05 | % | ||||||||||||
Net investment income (loss) | 1.32 | %(h) | 2.12 | % | 1.72 | % | 1.05 | % | 0.80 | % | 0.22 | % | ||||||||||||
Portfolio turnover rate(i)(j) | 119 | % | 53 | % | 89 | % | 113 | % | 119 | % | 270 | % | ||||||||||||
AST Bond Portfolio 2025 | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 13.22 | $ | 12.16 | $ | 12.25 | $ | 12.03 | $ | 11.74 | $ | 11.51 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.11 | 0.28 | 0.23 | 0.16 | 0.14 | 0.14 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.24 | 0.78 | (0.32 | ) | 0.06 | 0.15 | 0.09 | |||||||||||||||||
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Total from investment operations | 1.35 | 1.06 | (0.09 | ) | 0.22 | 0.29 | 0.23 | |||||||||||||||||
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Capital Contributions | — | — | — | (b)(c) | — | — | (c) | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 14.57 | $ | 13.22 | $ | 12.16 | $ | 12.25 | $ | 12.03 | $ | 11.74 | ||||||||||||
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Total Return(e) | 10.21 | % | 8.72 | % | (0.73 | )%(f) | 1.83 | % | 2.47 | % | 2.00 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 34 | $ | 35 | $ | 123 | $ | 13 | $ | 33 | $ | 568 | ||||||||||||
Average net assets (in millions) | $ | 38 | $ | 68 | $ | 70 | $ | 19 | $ | 315 | $ | 425 | ||||||||||||
Ratios to average net assets(g): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.93 | %(h) | 0.95 | % | 0.93 | % | 0.93 | % | 0.79 | % | 0.77 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.18 | %(h) | 1.02 | % | 0.94 | % | 1.64 | % | 0.79 | % | 0.77 | % | ||||||||||||
Net investment income (loss) | 1.57 | %(h) | 2.18 | % | 1.94 | % | 1.27 | % | 1.08 | % | 1.19 | % | ||||||||||||
Portfolio turnover rate(i)(j) | 161 | % | 77 | % | 95 | % | 97 | % | 131 | % | 313 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
(c) | Less than $0.005 per share. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(e) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(f) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(g) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(h) | Annualized. |
(i) | The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(j) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
(unaudited)
AST Bond Portfolio 2026 | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | January 02, 2015(a) through December 31, 2015 | ||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||
Per Share Operating Performance(b): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 11.52 | $ | 10.47 | $ | 10.58 | $ | 10.33 | $ | 10.12 | $ | 10.00 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.10 | 0.23 | 0.19 | 0.13 | 0.11 | 0.10 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.03 | 0.82 | (0.30 | ) | 0.12 | 0.10 | 0.02 | |||||||||||||||||
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Total from investment operations | 1.13 | 1.05 | (0.11 | ) | 0.25 | 0.21 | 0.12 | |||||||||||||||||
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Net Asset Value, end of period | $ | 12.65 | $ | 11.52 | $ | 10.47 | $ | 10.58 | $ | 10.33 | $ | 10.12 | ||||||||||||
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Total Return(c) | 9.81 | % | 10.03 | % | (1.04 | )% | 2.42 | % | 2.08 | % | 1.20 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 90 | $ | 134 | $ | 195 | $ | 215 | $ | 341 | $ | 115 | ||||||||||||
Average net assets (in millions) | $ | 110 | $ | 148 | $ | 220 | $ | 263 | $ | 170 | $ | 77 | ||||||||||||
Ratios to average net assets(d): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.89 | %(e) | 0.85 | % | 0.81 | % | 0.81 | % | 0.81 | % | 0.89 | %(e) | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.89 | %(e) | 0.85 | % | 0.81 | % | 0.81 | % | 0.81 | % | 0.91 | %(e) | ||||||||||||
Net investment income (loss) | 1.70 | %(e) | 2.03 | % | 1.90 | % | 1.28 | % | 0.99 | % | 1.03 | %(e) | ||||||||||||
Portfolio turnover rate(f)(g) | 58 | % | 65 | % | 101 | % | 67 | % | 203 | % | 283 | % |
AST Bond Portfolio 2027 | ||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | January 04, 2016(a) through December 31, 2016 | ||||||||||||||||||
2019 | 2018 | 2017 | ||||||||||||||||||
Per Share Operating Performance(b): | ||||||||||||||||||||
Net Asset Value, beginning of period | $ | 11.29 | $ | 10.20 | $ | 10.32 | $ | 10.06 | $ | 10.00 | ||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | 0.10 | 0.23 | 0.19 | 0.14 | 0.08 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.19 | 0.86 | (0.31 | ) | 0.12 | (0.02 | ) | |||||||||||||
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Total from investment operations | 1.29 | 1.09 | (0.12 | ) | 0.26 | 0.06 | ||||||||||||||
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Capital Contributions | — | — | — | (h)(i) | — | — | ||||||||||||||
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Net Asset Value, end of period | $ | 12.58 | $ | 11.29 | $ | 10.20 | $ | 10.32 | $ | 10.06 | ||||||||||
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Total Return(c) | 11.51 | % | 10.69 | % | (1.16 | )%(j) | 2.58 | % | 0.60 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in millions) | $ | 48 | $ | 101 | $ | 236 | $ | 257 | $ | 399 | ||||||||||
Average net assets (in millions) | $ | 73 | $ | 149 | $ | 258 | $ | 311 | $ | 103 | ||||||||||
Ratios to average net assets(d): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.93 | %(e) | 0.87 | % | 0.80 | % | 0.80 | % | 0.84 | %(e) | ||||||||||
Expenses before waivers and/or expense reimbursement | 0.97 | %(e) | 0.87 | % | 0.80 | % | 0.80 | % | 0.84 | %(e) | ||||||||||
Net investment income (loss) | 1.64 | %(e) | 2.14 | % | 1.90 | % | 1.34 | % | 0.77 | %(e) | ||||||||||
Portfolio turnover rate(f)(g) | 81 | % | 66 | % | 102 | % | 65 | % | 175 | % |
(a) | Commencement of operations. |
(b) | Calculated based on average shares outstanding during the period. |
(c) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(d) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(g) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
(h) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
(i) | Less than $0.005 per share. |
(j) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
Financial Highlights
(unaudited)
AST Bond Portfolio 2028 | ||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | January 03, 2017(a) through December 31, 2017 | ||||||||||||||
2019 | 2018 | |||||||||||||||
Per Share Operating Performance(b): | ||||||||||||||||
Net Asset Value, beginning of period | $ | 11.17 | $ | 10.01 | $ | 10.22 | $ | 10.00 | ||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||
Net investment income (loss) | 0.10 | 0.21 | 0.18 | 0.12 | ||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.64 | 0.91 | (0.39 | ) | 0.10 | |||||||||||
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Total from investment operations | 1.74 | 1.12 | (0.21 | ) | 0.22 | |||||||||||
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Capital Contributions | — | 0.04 | (c) | — | (d)(e) | — | ||||||||||
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Net Asset Value, end of period | $ | 12.91 | $ | 11.17 | $ | 10.01 | $ | 10.22 | ||||||||
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Total Return(f) | 15.58 | % | 11.59 | %(g) | (2.05 | )%(h) | 2.20 | % | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net assets, end of period (in millions) | $ | 4 | $ | 22 | $ | 76 | $ | 13 | ||||||||
Average net assets (in millions) | $ | 9 | $ | 37 | $ | 70 | $ | 7 | ||||||||
Ratios to average net assets(i): | ||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.93 | %(j) | 0.94 | % | 0.93 | % | 0.93 | %(j) | ||||||||
Expenses before waivers and/or expense reimbursement | 2.48 | %(j) | 1.25 | % | 0.96 | % | 2.42 | %(j) | ||||||||
Net investment income (loss) | 1.76 | %(j) | 1.99 | % | 1.88 | % | 1.23 | %(j) | ||||||||
Portfolio turnover rate(k)(l) | 123 | % | 179 | % | 138 | % | 140 | % |
AST Bond Portfolio 2029 | ||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | January 02, 2018(a) through December 31, 2018 | ||||||||||
Per Share Operating Performance(b): | ||||||||||||
Net Asset Value, beginning of period | $ | 11.05 | $ | 9.84 | $ | 10.00 | ||||||
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Income (Loss) From Investment Operations: | ||||||||||||
Net investment income (loss) | 0.08 | 0.16 | 0.17 | |||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.86 | 1.05 | (0.33 | ) | ||||||||
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Total from investment operations | 1.94 | 1.21 | (0.16 | ) | ||||||||
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Net Asset Value, end of period | $ | 12.99 | $ | 11.05 | $ | 9.84 | ||||||
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Total Return(f) | 17.56 | % | 12.30 | % | (1.60 | )% | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net assets, end of period (in millions) | $ | 4 | $ | 48 | $ | 16 | ||||||
Average net assets (in millions) | $ | 17 | $ | 34 | $ | 7 | ||||||
Ratios to average net assets(i): | ||||||||||||
Expenses after waivers and/or expense reimbursement | 0.93 | %(j) | 0.93 | % | 0.93 | %(j) | ||||||
Expenses before waivers and/or expense reimbursement | 1.65 | %(j) | 1.18 | % | 2.49 | %(j) | ||||||
Net investment income (loss) | 1.51 | %(j) | 1.45 | % | 1.82 | %(j) | ||||||
Portfolio turnover rate(k)(l) | 114 | % | 177 | % | 171 | % |
(a) | Commencement of operations. |
(b) | Calculated based on average shares outstanding during the period. |
(c) | Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
(e) | Less than $0.005 per share. |
(f) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(g) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 11.19%. |
(h) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(i) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(j) | Annualized. |
(k) | The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(l) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C5
Financial Highlights
(unaudited)
AST Bond Portfolio 2030 | ||||||||
Six Months Ended June 30, 2020 | January 02, 2019(a) through December 31, 2019 | |||||||
Per Share Operating Performance(b): | ||||||||
Net Asset Value, beginning of period | $ | 11.44 | $ | 10.00 | ||||
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Income (Loss) From Investment Operations: | ||||||||
Net investment income (loss) | 0.07 | 0.15 | ||||||
Net realized and unrealized gain (loss) on investment transactions | 1.72 | 1.29 | ||||||
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Total from investment operations | 1.79 | 1.44 | ||||||
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Net Asset Value, end of period | $ | 13.23 | $ | 11.44 | ||||
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Total Return(c) | 15.65 | % | 14.40 | % | ||||
Ratios/Supplemental Data: | ||||||||
Net assets, end of period (in millions) | $ | 267 | $ | 34 | ||||
Average net assets (in millions) | $ | 230 | $ | 19 | ||||
Ratios to average net assets(d): | ||||||||
Expenses after waivers and/or expense reimbursement | 0.78 | %(e) | 0.93 | %(e) | ||||
Expenses before waivers and/or expense reimbursement | 0.78 | %(e) | 1.44 | %(e) | ||||
Net investment income (loss) | 1.02 | %(e) | 1.28 | %(e) | ||||
Portfolio turnover rate(f)(g) | 159 | % | 384 | % |
AST Bond Portfolio 2031 | ||||
January 02, 2020(a) through June 30, 2020 | ||||
Per Share Operating Performance(b): | ||||
Net Asset Value, beginning of period | $ | 10.00 | ||
|
| |||
Income (Loss) From Investment Operations: | ||||
Net investment income (loss) | 0.04 | |||
Net realized and unrealized gain (loss) on investment transactions | 1.52 | |||
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| |||
Total from investment operations | 1.56 | |||
|
| |||
Net Asset Value, end of period | $ | 11.56 | ||
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| |||
Total Return(c) | 15.60 | % | ||
Ratios/Supplemental Data: | ||||
Net assets, end of period (in millions) | $ | 44 | ||
Average net assets (in millions) | $ | 26 | ||
Ratios to average net assets(d): | ||||
Expenses after waivers and/or expense reimbursement | 0.93 | %(e) | ||
Expenses before waivers and/or expense reimbursement | 1.22 | %(e) | ||
Net investment income (loss) | 0.65 | %(e) | ||
Portfolio turnover rate(g) | 99 | % |
(a) | Commencement of operations. |
(b) | Calculated based on average shares outstanding during the period. |
(c) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(d) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(g) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C6
Financial Highlights
(unaudited)
AST Cohen & Steers Global Realty Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 14.94 | $ | 11.94 | $ | 12.53 | $ | 11.30 | $ | 11.20 | $ | 11.21 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.10 | 0.21 | 0.24 | 0.24 | 0.18 | 0.16 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (2.79 | ) | 2.79 | (0.84 | ) | 0.99 | (0.10 | ) | (0.17 | ) | ||||||||||||||
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Total from investment operations | (2.69 | ) | 3.00 | (0.60 | ) | 1.23 | 0.08 | (0.01 | ) | |||||||||||||||
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Capital Contributions | — | — | (b)(c)(d) | 0.01 | (c) | — | 0.02 | (e) | — | |||||||||||||||
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Net Asset Value, end of period | $ | 12.25 | $ | 14.94 | $ | 11.94 | $ | 12.53 | $ | 11.30 | $ | 11.20 | ||||||||||||
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Total Return(f) | (18.01 | )% | 25.13 | %(g) | (4.71 | )%(h) | 10.88 | % | 0.89 | %(i) | (0.09 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 233 | $ | 357 | $ | 336 | $ | 430 | $ | 416 | $ | 536 | ||||||||||||
Average net assets (in millions) | $ | 259 | $ | 351 | $ | 392 | $ | 411 | $ | 466 | $ | 617 | ||||||||||||
Ratios to average net assets(j): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.13 | %(k) | 1.11 | % | 1.14 | % | 1.14 | % | 1.14 | % | 1.14 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.18 | %(k) | 1.16 | % | 1.14 | % | 1.14 | % | 1.14 | % | 1.14 | % | ||||||||||||
Net investment income (loss) | 1.57 | %(k) | 1.52 | % | 1.98 | % | 1.99 | % | 1.61 | % | 1.44 | % | ||||||||||||
Portfolio turnover rate(l) | 78 | % | 140 | % | 67 | % | 68 | % | 84 | % | 69 | % | ||||||||||||
AST High Yield Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 11.38 | $ | 9.87 | $ | 10.07 | $ | 9.37 | $ | 8.12 | $ | 8.42 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.30 | 0.64 | 0.60 | 0.56 | 0.55 | 0.48 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (1.13 | ) | 0.87 | (0.80 | ) | 0.14 | 0.70 | (0.78 | ) | |||||||||||||||
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Total from investment operations | (0.83 | ) | 1.51 | (0.20 | ) | 0.70 | 1.25 | (0.30 | ) | |||||||||||||||
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Capital Contributions | — | — | (b)(d) | — | (c)(d) | — | — | (d)(e) | — | |||||||||||||||
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Net Asset Value, end of period | $ | 10.55 | $ | 11.38 | $ | 9.87 | $ | 10.07 | $ | 9.37 | $ | 8.12 | ||||||||||||
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Total Return(f) | (7.21 | )% | 15.30 | %(g) | (1.99 | )%(g) | 7.47 | % | 15.39 | %(g) | (3.56 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 549 | $ | 654 | $ | 727 | $ | 958 | $ | 1,192 | $ | 1,372 | ||||||||||||
Average net assets (in millions) | $ | 538 | $ | 672 | $ | 875 | $ | 1,217 | $ | 1,346 | $ | 1,498 | ||||||||||||
Ratios to average net assets(j): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.89 | %(k) | 0.88 | % | 0.86 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.89 | %(k) | 0.88 | % | 0.86 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||||
Net investment income (loss) | 5.56 | %(k) | 5.92 | % | 5.92 | % | 5.69 | % | 6.30 | % | 5.63 | % | ||||||||||||
Portfolio turnover rate(l)(m) | 53 | % | 59 | % | 44 | % | 52 | % | 47 | % | 49 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
(c) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
(d) | Less than $0.005 per share. |
(e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(f) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(g) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(h) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (4.79)%. |
(i) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 0.71%. |
(j) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(k) | Annualized. |
(l) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
(m) | The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
C7
Financial Highlights
(unaudited)
AST Investment Grade Bond Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 8.32 | $ | 7.48 | $ | 7.50 | $ | 7.19 | $ | 6.90 | $ | 6.82 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.09 | 0.23 | 0.20 | 0.18 | 0.14 | 0.16 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 0.91 | 0.61 | (0.22 | ) | 0.13 | 0.15 | (0.08 | ) | ||||||||||||||||
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Total from investment operations | 1.00 | 0.84 | (0.02 | ) | 0.31 | 0.29 | 0.08 | |||||||||||||||||
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Capital Contributions | — | — | — | — | — | (b)(c) | — | |||||||||||||||||
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Net Asset Value, end of period | $ | 9.32 | $ | 8.32 | $ | 7.48 | $ | 7.50 | $ | 7.19 | $ | 6.90 | ||||||||||||
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Total Return(d) | 12.02 | % | 11.23 | % | (0.27 | )% | 4.31 | % | 4.20 | %(e) | 1.17 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 5,449 | $ | 2,724 | $ | 11,090 | $ | 2,406 | $ | 5,110 | $ | 4,550 | ||||||||||||
Average net assets (in millions) | $ | 10,855 | $ | 4,296 | $ | 3,733 | $ | 3,345 | $ | 6,515 | $ | 2,221 | ||||||||||||
Ratios to average net assets(f): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.67 | %(g) | 0.73 | % | 0.70 | % | 0.70 | % | 0.70 | % | 0.71 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.73 | %(g) | 0.77 | % | 0.74 | % | 0.74 | % | 0.74 | % | 0.74 | % | ||||||||||||
Net investment income (loss) | 2.10 | %(g) | 2.89 | % | 2.75 | % | 2.41 | % | 1.95 | % | 2.28 | % | ||||||||||||
Portfolio turnover rate(h)(i) | 484 | % | 130 | % | 177 | % | 96 | % | 551 | % | 401 | % | ||||||||||||
AST Prudential Core Bond Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 13.39 | $ | 12.20 | $ | 12.30 | $ | 11.64 | $ | 11.17 | $ | 11.20 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.16 | 0.36 | 0.34 | 0.29 | 0.28 | 0.25 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 0.18 | 0.83 | (0.44 | ) | 0.37 | 0.19 | (0.28 | ) | ||||||||||||||||
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Total from investment operations | 0.34 | 1.19 | (0.10 | ) | 0.66 | 0.47 | (0.03 | ) | ||||||||||||||||
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Capital Contributions | — | — | (c)(j) | — | — | — | (b)(c) | — | ||||||||||||||||
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Net Asset Value, end of period | $ | 13.73 | $ | 13.39 | $ | 12.20 | $ | 12.30 | $ | 11.64 | $ | 11.17 | ||||||||||||
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Total Return(d) | 2.54 | % | 9.75 | %(e) | (0.81 | )% | 5.67 | % | 4.21 | %(e) | (0.27 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 4,030 | $ | 4,298 | $ | 2,767 | $ | 3,008 | $ | 3,139 | $ | 3,410 | ||||||||||||
Average net assets (in millions) | $ | 3,956 | $ | 3,557 | $ | 2,955 | $ | 2,950 | $ | 3,232 | $ | 3,846 | ||||||||||||
Ratios to average net assets(f): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.73 | %(g) | 0.73 | % | 0.74 | % | 0.74 | % | 0.74 | % | 0.74 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.73 | %(g) | 0.73 | % | 0.74 | % | 0.74 | % | 0.76 | % | 0.78 | % | ||||||||||||
Net investment income (loss) | 2.43 | %(g) | 2.79 | % | 2.80 | % | 2.41 | % | 2.37 | % | 2.19 | % | ||||||||||||
Portfolio turnover rate(h)(i) | 61 | % | 152 | % | 176 | % | 188 | % | 172 | % | 310 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(c) | Less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(e) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(f) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(g) | Annualized. |
(h) | The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(i) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
(j) | Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
SEE NOTES TO FINANCIAL STATEMENTS.
C8
Financial Highlights
(unaudited)
AST QMA US Equity Alpha Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 34.90 | $ | 28.04 | $ | 30.55 | $ | 24.99 | $ | 21.76 | $ | 21.11 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.12 | 0.23 | 0.18 | 0.13 | 0.22 | 0.22 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (4.52 | ) | 6.63 | (2.69 | ) | 5.43 | 3.00 | 0.43 | ||||||||||||||||
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Total from investment operations | (4.40 | ) | 6.86 | (2.51 | ) | 5.56 | 3.22 | 0.65 | ||||||||||||||||
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Capital Contributions | — | — | (b)(c) | — | (c)(d) | — | 0.01 | (e) | — | |||||||||||||||
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Net Asset Value, end of period | $ | 30.50 | $ | 34.90 | $ | 28.04 | $ | 30.55 | $ | 24.99 | $ | 21.76 | ||||||||||||
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Total Return(f) | (12.58 | )% | 24.47 | %(g) | (8.22 | )%(g) | 22.25 | % | 14.84 | %(h) | 3.08 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 455 | $ | 619 | $ | 584 | $ | 738 | $ | 655 | $ | 583 | ||||||||||||
Average net assets (in millions) | $ | 456 | $ | 632 | $ | 713 | $ | 681 | $ | 589 | $ | 610 | ||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.47 | %(j)(k) | 1.54 | %(k) | 1.57 | %(k) | 1.61 | %(k) | 1.67 | %(k) | 1.54 | %(k) | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.47 | %(j)(k) | 1.54 | %(k) | 1.57 | %(k) | 1.61 | %(k) | 1.67 | %(k) | 1.54 | %(k) | ||||||||||||
Net investment income (loss) | 0.81 | %(j) | 0.74 | % | 0.59 | % | 0.49 | % | 0.97 | % | 1.01 | % | ||||||||||||
Portfolio turnover rate(l) | 71 | % | 105 | % | 83 | % | 89 | % | 94 | % | 105 | % | ||||||||||||
AST Quantitative Modeling Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 18.92 | $ | 15.61 | $ | 16.69 | $ | 14.13 | $ | 13.29 | $ | 13.27 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | (0.02 | ) | (0.04 | ) | (0.04 | ) | (0.04 | ) | (0.04 | ) | (0.04 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.04 | ) | 3.35 | (1.04 | ) | 2.60 | 0.88 | 0.06 | ||||||||||||||||
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Total from investment operations | (1.06 | ) | 3.31 | (1.08 | ) | 2.56 | 0.84 | 0.02 | ||||||||||||||||
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Net Asset Value, end of period | $ | 17.86 | $ | 18.92 | $ | 15.61 | $ | 16.69 | $ | 14.13 | $ | 13.29 | ||||||||||||
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Total Return(f) | (5.60 | )% | 21.20 | % | (6.47 | )% | 18.12 | % | 6.32 | % | 0.15 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,292 | $ | 1,416 | $ | 1,228 | $ | 1,282 | $ | 1,026 | $ | 894 | ||||||||||||
Average net assets (in millions) | $ | 1,302 | $ | 1,343 | $ | 1,318 | $ | 1,154 | $ | 946 | $ | 791 | ||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.26 | %(j) | 0.26 | % | 0.26 | % | 0.26 | % | 0.26 | % | 0.27 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.26 | %(j) | 0.26 | % | 0.26 | % | 0.26 | % | 0.27 | % | 0.27 | % | ||||||||||||
Net investment income (loss) | (0.26 | )%(j) | (0.25 | )% | (0.25 | )% | (0.26 | )% | (0.26 | )% | (0.27 | )% | ||||||||||||
Portfolio turnover rate(l) . | 135 | % | 42 | % | 96 | % | 20 | % | 64 | % | 63 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
(c) | Less than $0.005 per share. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
(e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(f) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(g) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(h) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 14.79%. |
(i) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(j) | Annualized. |
(k) | The expense ratio includes dividend expenses and broker fees and expenses on short sales of 0.35%, 0.43%, 0.47%, 0.51%, 0.56%, and 0.42% for the six months ended June 30, 2020 and the years ended December 31, 2019, 2018, 2017, 2016, and 2015, respectively. |
(l) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C9
Financial Highlights
(unaudited)
AST Western Asset Core Plus Bond Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 14.06 | $ | 12.52 | $ | 12.81 | $ | 12.05 | $ | 11.45 | $ | 11.33 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.20 | 0.43 | 0.41 | 0.39 | 0.38 | 0.34 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 0.18 | (b) | 1.11 | (0.70 | ) | 0.37 | 0.22 | (0.22 | ) | |||||||||||||||
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Total from investment operations | 0.38 | 1.54 | (0.29 | ) | 0.76 | 0.60 | 0.12 | |||||||||||||||||
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Capital Contributions | — | — | (c)(d)(e) | — | (d)(e) | — | — | (e)(f) | — | |||||||||||||||
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Net Asset Value, end of period | $ | 14.44 | $ | 14.06 | $ | 12.52 | $ | 12.81 | $ | 12.05 | $ | 11.45 | ||||||||||||
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Total Return(g) | 2.70 | % | 12.30 | %(h) | (2.26 | )%(h) | 6.31 | % | 5.24 | %(h) | 1.06 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 3,416 | $ | 3,747 | $ | 3,770 | $ | 3,071 | $ | 3,054 | $ | 3,359 | ||||||||||||
Average net assets (in millions) | $ | 3,323 | $ | 3,960 | $ | 3,308 | $ | 2,986 | $ | 3,117 | $ | 3,707 | ||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.78 | %(j) | 0.75 | % | 0.75 | % | 0.74 | % | 0.66 | % | 0.58 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.78 | %(j) | 0.77 | % | 0.77 | % | 0.78 | % | 0.78 | % | 0.78 | % | ||||||||||||
Net investment income (loss) | 2.87 | %(j) | 3.25 | % | 3.33 | % | 3.13 | % | 3.15 | % | 2.95 | % | ||||||||||||
Portfolio turnover rate(k)(l) | 160 | % | 235 | % | 251 | % | 214 | % | 155 | % | 170 | % | ||||||||||||
AST Western Asset Emerging Markets Debt Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 12.22 | $ | 10.64 | $ | 11.40 | $ | 10.43 | $ | 9.43 | $ | 9.73 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.24 | 0.58 | 0.47 | 0.55 | 0.51 | 0.44 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (0.36 | ) | 1.00 | (1.23 | ) | 0.42 | 0.49 | (0.74 | ) | |||||||||||||||
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Total from investment operations | (0.12 | ) | 1.58 | (0.76 | ) | 0.97 | 1.00 | (0.30 | ) | |||||||||||||||
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Net Asset Value, end of period | $ | 12.10 | $ | 12.22 | $ | 10.64 | $ | 11.40 | $ | 10.43 | $ | 9.43 | ||||||||||||
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Total Return(g) | (0.90 | )% | 14.85 | % | (6.67 | )% | 9.30 | % | 10.60 | % | (3.08 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 85 | $ | 72 | $ | 50 | $ | 98 | $ | 163 | $ | 149 | ||||||||||||
Average net assets (in millions) | $ | 71 | $ | 105 | $ | 76 | $ | 96 | $ | 161 | $ | 164 | ||||||||||||
Ratios to average net assets(i): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.07 | %(j) | 1.03 | % | 1.11 | % | 1.05 | % | 0.99 | % | 0.99 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.17 | %(j) | 1.10 | % | 1.16 | % | 1.10 | % | 1.04 | % | 1.04 | % | ||||||||||||
Net investment income (loss) | 4.03 | %(j) | 5.06 | % | 4.30 | % | 4.94 | % | 4.94 | % | 4.57 | % | ||||||||||||
Portfolio turnover rate(k)(l) | 80 | % | 186 | % | 35 | % | 42 | % | 42 | % | 51 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | The per share amount of realized and unrealized gain (loss) on investments does not directly correlate to the amounts reported in the Statement of Operations due to the timing of portfolio share transactions in relation to fluctuating market values. |
(c) | Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
(e) | Less than $0.005 per share. |
(f) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(g) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of dividends and distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(h) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(i) | Does not include expenses of the underlying funds in which the Portfolio invests. |
(j) | Annualized. |
(k) | The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(l) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C10
Advanced Series Trust
Portfolio Liquidity Risk Management Program — unaudited | June 30, 2020 |
Consistent with Rule 22e-4 under the 1940 Act (the “Liquidity Rule”), each Portfolio has adopted and implemented a liquidity risk management program (the “LRMP”). Each Portfolio’s LRMP seeks to assess and manage the Portfolio’s liquidity risk, which is defined as the risk that the Portfolio is unable to meet investor redemption requests without significantly diluting the remaining investors’ interests in the Portfolio. The Trust’s Board of Trustees (the “Board”) has approved PGIM Investments LLC (“PGIM Investments”), the Portfolios’ investment manager, to serve as the administrator of each Portfolio’s LRMP. As part of its responsibilities as administrator, PGIM Investments has retained a third party to perform certain functions, including providing market data and liquidity classification model information.
Each Portfolio’s LRMP includes a number of processes designed to support the assessment and management of its liquidity risk. In particular, each Portfolio’s LRMP includes no less than annual assessments of factors that influence the Portfolio’s liquidity risk; no less than monthly classifications of the Portfolio’s investments into one of four liquidity classifications provided for in the Liquidity Rule; a 15% of net assets limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); establishment of a minimum percentage of the Portfolio’s assets to be invested in investments classified as “highly liquid” (as defined under the Liquidity Rule) if the Portfolio does not invest primarily in highly liquid investments; and regular reporting to the Board.
At a meeting of the Board on March 10-11, 2020, PGIM Investments provided a written report (“LRMP Report”) to the Board addressing the operation, adequacy, and effectiveness of each Portfolio’s LRMP, including any material changes to the LRMP for the period from the inception of the LRMP on December 1, 2018 through December 31, 2019 (“Reporting Period”). The LRMP Report concluded that each Portfolio’s LRMP was reasonably designed to assess and manage that Portfolio’s liquidity risk and was adequately and effectively implemented during the Reporting Period. There were no material changes to the LRMP during the Reporting Period. The LRMP Report further concluded that each Portfolio’s investment strategies continue to be appropriate given each Portfolio’s status as an open-end fund.
There can be no assurance that the LRMP will achieve its objectives in the future. Additional information regarding risks of investing in a Portfolio, including liquidity risks presented by each Portfolio’s investment portfolio, is found in a Portfolio’s Prospectus and Statement of Additional Information.
SEE NOTES TO FINANCIAL STATEMENTS.
C11
Approval of Advisory Agreements
Renewal of Management and Subadvisory Agreements
The Trust’s Board of Trustees
The Board of Trustees (the Board) of Advanced Series Trust (the Trust, and the series thereof, the Portfolios) consists of nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios and their operations, and performs the various duties imposed on the directors or trustees of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee, and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreements with PGIM Investments LLC (PGIM Investments) and AST Investment Services, Inc. (ASTIS), as applicable,1 and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 15-16, 2020 (the Meeting) and approved the renewal of the agreements through July 31, 2021, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and each Portfolio’s beneficial shareholders.2
In advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.
In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of each Portfolio, the profitability of the Manager and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with each Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting, as well as information provided throughout the year at regular and special Board meetings, including presentations from the Manager and subadviser personnel such as portfolio managers.
The Board determined that the overall arrangements between the Trust and the Manager, which serves as the Trust’s investment manager pursuant to a management agreement, and between the Manager and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with the Manager, are in the best interests of the Trust, each Portfolio and each Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for each Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.
1 | PGIM Investments serves as the sole investment manager for the following portfolios: AST Bond Portfolio 2026, AST Bond Portfolio 2027, AST Bond Portfolio 2028, AST Bond Portfolio 2029, AST Bond Portfolio 2030, AST Bond Portfolio 2031. |
When used herein, the term “Manager” refers to (1) PGIM Investments with respect to each Portfolio solely managed by PGIM Investments; and (2) PGIM Investments and ASTIS collectively with respect to each Portfolio jointly managed by PGIM Investments and ASTIS. |
2 | The Board did not consider or renew the management or subadvisory agreements at the Meeting with respect to the AST Bond Portfolio 2031 because the Portfolio recently commenced operations and the sole shareholders of the Portfolio and the Board had previously approved the management and subadvisory agreements for the Portfolios for an initial period of two years. The Board noted that it would consider the renewal of the Portfolio’s agreements as part of its annual review of the Trust’s advisory agreements in 2021. |
The material factors and conclusions that formed the basis for the Board’s determinations to approve the renewal of the agreements are discussed separately below.
Nature, Quality and Extent of Services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by the Manager and each subadviser. The Board noted that the PGIM Fixed Income unit of PGIM, Inc., the PGIM Real Estate unit of PGIM, Inc., PGIM Limited, QMA LLC (formerly, Quantitative Management Associates LLC) (QMA), and Jennison Associates LLC (Jennison), which serve as subadvisers to certain of the Portfolios, are each affiliated with the Manager. The Board considered the services provided by the Manager, including but not limited to the oversight of the subadvisers, the provision of recordkeeping, compliance and other services to the Trust, and the Manager’s role as administrator of the Trust’s liquidity risk management program. With respect to the Manager’s oversight of the subadvisers, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that the Manager pays the salaries of all of the officers and the interested Trustee of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with each Portfolio’s investment restrictions, policies and procedures. The Board considered the Manager’s evaluation of the subadvisers, as well as the Manager’s recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.
The Board reviewed the qualifications, backgrounds and responsibilities of the Manager’s senior management personnel responsible for the oversight of each Portfolio and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio managers who are responsible for the day-to-day management of each Portfolio. The Board was provided with information pertaining to the Manager’s and each subadviser’s organizational structure, senior management, investment operations, and other relevant information pertaining to the Manager and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to both the Manager and each subadviser.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by the Manager and the subadvisory services provided to the Portfolios by each subadviser, and that there was a reasonable basis on which to conclude that each Portfolio benefits from the services provided by the Manager and each subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by the Manager
The Board was provided with information on the profitability of the Manager and its affiliates from serving as the Trust’s investment manager. The Board discussed with the Manager the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations of direct and indirect costs, and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of PGIM, Inc., Jennison and QMA, each of which are affiliates of the Manager, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of the Manager and its affiliates in relation to the services rendered was not unreasonable.
The Board concluded that the level of profitability of a subadviser not affiliated with the Manager may not be as significant as the Manager’s profitability given the arm’s length nature of the process by which the subadvisory fee rates were negotiated by the Manager and the unaffiliated subadvisers, as well as the fact that the Manager compensates the subadvisers out of its management fee.
Economies of Scale
The Board received and discussed information concerning whether the Manager realizes economies of scale as each Portfolio’s assets grow beyond current levels. The Board noted that the management fee schedules for most of the Portfolios of the Trust contain breakpoints, which have the effect of decreasing the fee rate as assets increase, and that at current asset levels the effective fee rates for many of the Portfolios reflected some of these rate reductions. The Board took note that the fee structure for those Portfolios currently results in benefits to Portfolio shareholders whether or not the Manager realizes any economies of scale. The Board considered that economies of scale can be shared with the Portfolios in other ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment.
The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of the Manager’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to the Manager and the Subadvisers
The Board considered potential ancillary benefits that might be received by the Manager, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by the Manager included compensation received by insurance company affiliates of the Manager from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from the Manager’s association with the Trust. The Board also considered information provided by the Manager regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of the Manager at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by the Manager and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolios / Fees and Expenses / Other Factors
With respect to each Portfolio, the Board also considered certain additional factors and made related conclusions relating to the historical performance of the Portfolios (depending on each Portfolio’s inception date) for the one-, three-, five- and ten-year periods (as applicable) ended December 31, 2019, except as otherwise noted below. The Board compared the historical performance of each Portfolio to the comparable performance of the Portfolio’s benchmark index, and to a universe of mutual funds that were determined by Broadridge, Inc. (Broadridge), an independent provider of mutual fund data, to be similar to the Portfolio (the Peer Universe).
The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2019. The Board considered the management fee for each Portfolio as compared to the management fee charged by the Manager to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Broadridge. To the extent that the Manager deemed appropriate, and for reasons addressed in detail with the Board, the Manager may have provided, and the Board may have considered, supplemental data compiled by Broadridge for the Board’s consideration. Further, to the extent that it deemed appropriate, and for the reasons summarized below, for certain Portfolios the Board considered information provided by a different, independent third-party provider, JDL Consultants, Inc. (JDL Consultants). The comparisons used by the Board placed the Portfolios in various quartiles over various time periods, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).
The sections below summarize certain key factors considered by the Board and the Board’s conclusions regarding each Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of portfolio expenses, or any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
AST Bond Portfolio 2020 | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 4th Quartile | 4th Quartile | 3rd Quartile | |||||
Actual Management Fees: 2nd Quartile | ||||||||
Net Total Expenses: 3rd Quartile |
• | The Board noted that the Portfolio outperformed its primary benchmark index, the Bloomberg Barclays US Government/Credit Bond Index, over the ten-year period, although it underperformed its primary benchmark index over the remaining periods. |
• | The Board considered that the Portfolio outperformed the Bloomberg Barclays Fixed Maturity Zero Coupon Swaps 2020 Index (Bloomberg Barclays 2020 Index) over the one- and three-year periods, although it underperformed this benchmark index over the remaining periods. The Board noted the Manager’s belief that the Bloomberg Barclays 2020 Index, which appears in the Portfolio’s prospectus as a secondary benchmark index, provides a more appropriate basis for performance comparisons than the Portfolio’s primary benchmark index or the Peer Universe, because it more accurately represents the duration and credit profile of the Portfolio’s assets. |
• | The Board also noted that the Manager contractually agreed to waive a portion of its investment management fee and/or reimburse certain expenses of the Portfolio so that the Portfolio’s investment management fee and other expenses (subject to certain exclusions) do not exceed 0.93% of the Portfolio’s average daily net assets through June 30, 2021. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
AST Bond Portfolio 2021 | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 4th Quartile | 4th Quartile | N/A | |||||
Actual Management Fees: 2nd Quartile | ||||||||
Net Total Expenses: 3rd Quartile |
• | The Board noted that the Portfolio underperformed its primary benchmark index, the Bloomberg Barclays US Government/Credit Bond Index, over all periods. |
• | The Board considered that the Portfolio outperformed the Bloomberg Barclays Fixed Maturity Zero Coupon Swaps 2021 Index (Bloomberg Barclays 2021 Index) over the one- and three-year periods, though it underperformed this benchmark index over the five-year period. The Board noted the Manager’s belief that the Bloomberg Barclays 2021 Index, which appears in the Portfolio’s prospectus as a secondary benchmark index, provides a more appropriate basis for performance comparisons than the Portfolio’s primary benchmark index or the Peer Universe, because it more accurately represents the duration and credit profile of the Portfolio’s assets. |
• | The Board also noted that the Manager contractually agreed to waive a portion of its investment management fee and/or reimburse certain expenses of the Portfolio so that the Portfolio’s investment management fee and other expenses (subject to certain exclusions) do not exceed 0.93% of the Portfolio’s average daily net assets through June 30, 2021. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
AST Bond Portfolio 2022 | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 4th Quartile | 4th Quartile | N/A | |||||
Actual Management Fees: 2nd Quartile | ||||||||
Net Total Expenses: 3rd Quartile |
• | The Board noted that the Portfolio underperformed its primary benchmark index, the Bloomberg Barclays US Government/Credit Bond Index, over all periods. |
• | The Board considered that the Portfolio outperformed the Bloomberg Barclays Fixed Maturity Zero Coupon Swaps 2022 Index (Bloomberg Barclays 2022 Index) over the one- and three-year periods, though it underperformed this benchmark index over the five-year period. The Board noted the Manager’s belief that the Bloomberg Barclays 2022 Index, which appears in the Portfolio’s prospectus as a secondary benchmark index, provides a more appropriate basis for performance comparisons than the Portfolio’s primary benchmark index or Peer Universe, because it more accurately represents the duration and credit profile of the Portfolio’s assets. |
• | The Board also noted that the Manager contractually agreed to waive a portion of its investment management fee and/or reimburse certain expenses of the Portfolio so that the Portfolio’s investment management fee and other expenses (subject to certain exclusions) do not exceed 0.93% of the Portfolio’s average daily net assets through June 30, 2021. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
AST Bond Portfolio 2023 | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 4th Quartile | 4th Quartile | N/A | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 3rd Quartile |
• | The Board noted that the Portfolio outperformed its primary benchmark index, the Bloomberg Barclays US Government/Credit Bond Index, over the five-year period, although it underperformed its primary benchmark index over the remaining periods. |
• | The Board considered that the Portfolio outperformed the Bloomberg Barclays Fixed Maturity Zero Coupon Swaps 2023 Index (Bloomberg Barclays 2023 Index) over the one- and three-year periods, though it underperformed this benchmark index over the five-year period. The Board noted the Manager’s belief that the Bloomberg Barclays 2023 Index, which appears in the Portfolio’s prospectus as a secondary benchmark index, provides a more appropriate basis for performance comparisons than the Portfolio’s primary benchmark index or Peer Universe, because it more accurately represents the duration and credit profile of the Portfolio’s assets. |
• | The Board also noted that the Manager contractually agreed to waive a portion of its investment management fee and/or reimburse certain expenses of the Portfolio so that the Portfolio’s investment management fee and other expenses (subject to certain exclusions) do not exceed 0.93% of the Portfolio’s average daily net assets through June 30, 2021. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
AST Bond Portfolio 2024 | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 4th Quartile | 4th Quartile | N/A | |||||
Actual Management Fees: 2nd Quartile | ||||||||
Net Total Expenses: 3rd Quartile |
• | The Board noted that the Portfolio outperformed its primary benchmark index, the Bloomberg Barclays US Government/Credit Bond Index, over the five-year period, although it underperformed its primary benchmark index over the remaining periods. |
• | The Board considered that the Portfolio outperformed the Bloomberg Barclays Fixed Maturity Zero Coupon Swaps 2024 Index (Bloomberg Barclays 2024 Index) over the one- and three-year periods, though it underperformed this benchmark index over the five-year period. The Board noted the Manager’s belief that the Bloomberg Barclays 2024 Index, which appears in the Portfolio’s prospectus as a secondary benchmark index, provides a more appropriate basis for performance comparisons than the Portfolio’s primary benchmark index or Peer Universe, because it more accurately represents the duration and credit profile of the Portfolio’s assets. |
• | The Board also noted that the Manager contractually agreed to waive a portion of its investment management fee and/or reimburse certain expenses of the Portfolio so that the Portfolio’s investment management fee and other expenses (subject to certain exclusions) do not exceed 0.93% of the Portfolio’s average daily net assets through June 30, 2021. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
AST Bond Portfolio 2025 | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 4th Quartile | 4th Quartile | N/A | |||||
Actual Management Fees: 2nd Quartile | ||||||||
Net Total Expenses: 3rd Quartile |
• | The Board noted that the Portfolio outperformed its primary benchmark index, the Bloomberg Barclays US Government/Credit Bond Index, over the one- and the five-year periods, though it underperformed over the three-year period. |
• | The Board considered that the Portfolio outperformed the Bloomberg Barclays Fixed Maturity Zero Coupon Swaps 2025 Index (Bloomberg Barclays 2025 Index) over the one- and three-year periods, though it underperformed this benchmark index over the five-year period. The Board noted the Manager’s belief that the Bloomberg Barclays 2025 Index, which appears in the Portfolio’s prospectus as a secondary benchmark index, provides a more appropriate basis for performance comparisons than the Portfolio’s primary benchmark index or Peer Universe, because it more accurately represents the duration and credit profile of the Portfolio’s assets. |
• | The Board also noted that the Manager contractually agreed to waive a portion of its investment management fee and/or reimburse certain expenses of the Portfolio so that the Portfolio’s investment management fee and other expenses (subject to certain exclusions) do not exceed 0.93% of the Portfolio’s average daily net assets through June 30, 2021. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
AST Bond Portfolio 2026 | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 4th Quartile | N/A | N/A | |||||
Actual Management Fees: 2nd Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its primary benchmark index, the Bloomberg Barclays US Government/ Credit Bond Index, over all periods. |
• | The Board considered that the Portfolio outperformed the Bloomberg Barclays Fixed Maturity Zero Coupon Swaps 2026 Index (Bloomberg Barclays 2026 Index) over all periods. The Board noted the Manager’s belief that the Bloomberg Barclays 2026 Index, which appears in the Portfolio’s prospectus as a secondary benchmark index, provides a more appropriate basis for performance comparisons than the Portfolio’s primary benchmark index or Peer Universe, because it more accurately represents the duration and credit profile of the Portfolio’s assets. |
• | The Board noted that the Portfolio does not yet have a five-year performance record and that, therefore, it would be prudent to allow the subadviser more time to develop its longer-term performance record. |
• | The Board also noted that the Manager contractually agreed to waive a portion of its investment management fee and/or reimburse certain expenses of the Portfolio so that the Portfolio’s investment management fee and other expenses (subject to certain exclusions) do not exceed 0.93% of the Portfolio’s average daily net assets through June 30, 2021. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
AST Bond Portfolio 2027 | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 4th Quartile | N/A | N/A | |||||
Actual Management Fees: 2nd Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its primary benchmark index, the Bloomberg Barclays US Government/Credit Bond Index, over all periods. |
• | The Board considered that the Portfolio underperformed the Bloomberg Barclays Fixed Maturity Zero Coupon Swaps 2027 Index (Bloomberg Barclays 2027 Index) over all periods. The Board noted the Manager’s belief that the Bloomberg Barclays 2027 Index, which appears in the Portfolio’s prospectus as a secondary benchmark index, provides a more appropriate basis for performance comparisons than the Portfolio’s primary benchmark index or Peer Universe, because it more accurately represents the duration and credit profile of the Portfolio’s assets. |
• | The Board noted that the Portfolio does not yet have a five-year performance record and that, therefore, it would be prudent to allow the subadviser more time to develop its longer-term performance record. |
• | The Board also noted that the Manager contractually agreed to waive a portion of its investment management fee and/or reimburse certain expenses of the Portfolio so that the Portfolio’s investment management fee and other expenses (subject to certain exclusions) do not exceed 0.93% of the Portfolio’s average daily net assets through June 30, 2021. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
AST Bond Portfolio 2028 | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | N/A | N/A | N/A | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 3rd Quartile |
• | The Board noted that the Portfolio outperformed its primary benchmark index, the Bloomberg Barclays US Government/Credit Bond Index, over the one-year period. |
• | The Board considered that the Portfolio outperformed the Bloomberg Barclays Fixed Maturity Zero Coupon Swaps 2028 Index (Bloomberg Barclays 2028 Index) over the one-year period. The Board noted the Manager’s belief that the Bloomberg Barclays 2028 Index, which appears in the Portfolio’s prospectus as a secondary benchmark index, provides a more appropriate basis for performance comparisons than the Portfolio’s primary benchmark index or Peer Universe, because it more accurately represents the duration and credit profile of the Portfolio’s assets. |
• | The Board noted that the Portfolio does not yet have a three-year performance record and that, therefore, it would be prudent to allow the subadviser more time to develop its longer-term performance record. |
• | The Board also noted that the Manager contractually agreed to waive a portion of its investment management fee and/or reimburse certain expenses of the Portfolio so that the Portfolio’s investment management fee and other expenses (subject to certain exclusions) do not exceed 0.93% of the Portfolio’s average daily net assets through June 30, 2021. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
AST Bond Portfolio 2029 | ||||||||||
Gross Performance | Q4 2019 | 1 Year | 3 Years | 5 Years | 10 Years | |||||
4th Quartile | 1st Quartile | N/A | N/A | N/A | ||||||
Actual Management Fees: 2nd Quartile | ||||||||||
Net Total Expenses: 3rd Quartile |
• | The Board noted that the Portfolio outperformed its primary benchmark index, the Bloomberg Barclays US Government Bond/Credit Index, over the one-year period. |
• | The Board considered that the Portfolio outperformed the Bloomberg Barclays Fixed Maturity Zero Coupon Swaps 2029 Index (Bloomberg Barclays 2029 Index) over the one-year period. The Board noted the Manager’s belief that the Bloomberg Barclays 2029 Index, which appears in the Portfolio’s prospectus as a secondary benchmark index, provides a more appropriate basis for performance comparisons than the Portfolio’s primary benchmark index or Peer Universe, because it more accurately represents the duration and credit profile of the Portfolio’s assets. |
• | The Board noted that the Portfolio does not yet have a three-year performance record and that, therefore, it would be prudent to allow the subadviser more time to develop its longer-term performance record. |
• | The Board also noted that the Manager contractually agreed to waive a portion of its investment management fee and/or reimburse certain expenses of the Portfolio so that the Portfolio’s investment management fee and other expenses (subject to certain exclusions) do not exceed 0.93% of the Portfolio’s average daily net assets through June 30, 2021. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
AST Bond Portfolio 2030 | ||||||||||
Gross Performance | Q4 2019 | 1 Year | 3 Years | 5 Years | 10 Years | |||||
4th Quartile | N/A | N/A | N/A | N/A | ||||||
Actual Management Fees: 1st Quartile | ||||||||||
Net Total Expenses: 3rd Quartile |
• | The Board noted that the Portfolio underperformed its primary benchmark index, the Bloomberg Barclays US Government Bond/Credit Index, over the 4th quarter of 2019. |
• | The Board noted that the Portfolio commenced operations in January 2019, and therefore does not yet have a sufficient performance record against which to evaluate the subadviser’s performance record. The Board determined that it would be prudent to allow the subadviser more time to develop its longer-term performance record. |
• | The Board also noted that the Manager contractually agreed to waive a portion of its investment management fee and/or reimburse certain expenses of the Portfolio so that the Portfolio’s investment management fee and other expenses (subject to certain exclusions) do not exceed 0.93% of the Portfolio’s average daily net assets through June 30, 2021. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
AST Cohen & Steers Global Realty Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees: 3rd Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board noted that in January 2019 the Board approved the appointment of a new subadviser to replace the Portfolio’s prior subadvisers, and that as a result, the Portfolio’s performance prior to January 2019 was not attributable to the Portfolio’s current subadviser. |
• | The Board noted that the Manager had contractually agreed to waive 0.051% of its investment management fee through June 30, 2021. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the management agreement, and that the management fees and total expenses were reasonable in light of the services provided. |
AST High Yield Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
AST Investment Grade Bond Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 2nd Quartile | 2nd Quartile | 2nd Quartile | |||||
Actual Management Fees: 2nd Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board also noted that the Manager contractually agreed to waive a portion of its investment management fee and/or reimburse certain expenses of the Portfolio so that the Portfolio’s investment management fee and other expenses (subject to certain exclusions) do not exceed 0.99% of the Portfolio’s average daily net assets through June 30, 2021. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
AST Prudential Core Bond Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 1st Quartile | 1st Quartile | N/A | |||||
Actual Management Fees: 2nd Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
AST QMA US Equity Alpha Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 4th Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees: 4th Quartile | ||||||||
Net Total Expenses: 4th Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the five- and ten-year periods, though it underperformed its benchmark index over the remaining periods. |
• | The Board considered the Manager’s assertion that it believes the Portfolio’s more recent underperformance to be temporary, and primarily attributable to underperformance in 2018 and 2019. In that regard, the Board noted that when it considered the performance of the Portfolio one year before, the Portfolio ranked in the first quartile of its Peer Universe over the three-, five- and ten year periods ended December 31, 2018. |
• | The Board considered information provided by the Manager indicating that the Portfolio outperformed both its benchmark and Peer Universe median in each of the four calendar years between 2014 and 2017. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
AST Quantitative Modeling Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 1st Quartile | 1st Quartile | N/A | |||||
Actual Management Fees: N/A | ||||||||
Net Total Expenses: N/A |
• | The Board noted that the Portfolio underperformed its custom benchmark index over all periods. |
• | The Board noted that the Portfolio outperformed its peer median over all measured periods through December 31, 2019. |
• | The Board noted that the Manager agreed to a voluntary management fee waiver with breakpoints based on the aggregate assets of each Portfolio (or Portfolio sleeve) managed as a fund-of-funds. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
AST Western Asset Core Plus Bond Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 1st Quartile | 1st Quartile | 2nd Quartile | |||||
Actual Management Fees: 2nd Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided |
AST Western Asset Emerging Markets Debt Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 2nd Quartile | 4th Quartile | N/A | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the one- and three-year periods, though it underperformed its benchmark index over the five-year period. |
• | The Board noted the Manager’s recommendation that the Subadviser be retained given its substantial resource base, enhanced risk management approach, experienced investment team, and competitive long-term performance record within the emerging market debt space. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
* * *
After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.
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The prospectuses for the Advanced Series Trust portfolios and the applicable variable annuity or variable life prospectuses contain information on the investment objectives, risks, charges and expenses of the portfolios and on the contracts and should be read carefully.
Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Trust’s website at www.prudential.com/variableinsuranceportfolios.
The Trust files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-PORT. Form N-PORT is available on the Commission’s website at www.sec.gov or call (800) SEC-0330.
The Trust’s Statement of Additional Information contains additional information about the Trust’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888. Owners of Individual Life Insurance contracts should call (800) 778-2255.
Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
The Prudential Insurance Company of America
751 Broad Street
Newark, NJ 07102-3714
The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation and The Prudential Insurance Company of America are available upon request. You may call (888) 778-2888 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 248-4019, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2020 Prudential Financial, Inc. and its related entities. PGIM Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
AST-SAR-B
Advanced Series Trust
SEMIANNUAL REPORT | June 30, 2020 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports for other portfolios. Please refer to your variable annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about each portfolio’s holdings are for the period covered by this report and are subject to change thereafter.
The accompanying financial statements as of June 30, 2020, were not audited; and accordingly, no auditor’s opinion is expressed on them.
Please note that this report may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
AST Multi-Sector Fixed Income Portfolio
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Advanced Series Trust
Table of Contents | Semiannual Report | June 30, 2020 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |
Section B | Notes to Financial Statements | |
Section C | Financial Highlights |
∎ | APPROVAL OF ADVISORY AGREEMENTS |
Advanced Series Trust
Letter to Contract Owners | Semiannual Report | June 30, 2020 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and ready to serve and support you. This Advanced Series Trust semiannual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 145 years. You can count on our history of financial stability. We are diversified for endurance. Our balanced mix of risks and businesses positions us well to manage through any economic environment. We’ve applied the lessons from decades of challenges to be stronger, because we are committed to keeping our promises to you.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. A strong sense of social responsibility for our clients, our employees, and our communities has been embedded in the company since our founding. It guides our efforts to help our customers achieve peace of mind through financial wellness.
We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin President, Advanced Series Trust |
July 31, 2020 |
Advanced Series Trust
Presentation of Portfolio Holdings — unaudited | June 30, 2020 |
AST Multi-Sector Fixed Income | ||
Credit Quality | (% of Net Assets) | |
AAA | 8.7% | |
AA | 5.1% | |
A | 25.2% | |
BBB | 54.4% | |
BB | 5.7% | |
B | 0.3% | |
NR | 0.1% | |
Cash & Equivalents | 0.5% | |
Total | 100.0% |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
Advanced Series Trust
Fees and Expenses — unaudited | June 30, 2020 |
As a contract owner investing in Portfolios of the Trust through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Trust and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2020 through June 30, 2020.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fees and charges were included, your costs would have been higher.
Advanced Series Trust Portfolio | Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Annualized Expense Ratio based on the Six-Month Period | Expenses Paid During the Six-Month Period* | ||||||||||||||
AST Multi-Sector Fixed Income | Actual | $ | 1,000.00 | $ | 1,052.80 | 0.72 | % | $ | 3.67 | |||||||||
Portfolio | Hypothetical | $ | 1,000.00 | $ | 1,021.28 | 0.72 | % | $ | 3.62 |
* Portfolio expenses (net of fee waivers or subsidies, if any) are equal to the annualized expense ratio (provided in the table), multiplied by the average account value over the period, multiplied by the 182 days in the six-month period ended June 30, 2020, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2020 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
AST MULTI-SECTOR FIXED INCOME PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
LONG-TERM INVESTMENTS — 98.6% |
| |||||||||||||||
ASSET-BACKED SECURITIES — 0.5% |
| |||||||||||||||
Collateralized Loan Obligations |
| |||||||||||||||
Madison Park Funding Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2018-30A, Class A, 144A, 3 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) |
| |||||||||||||||
1.969%(c) | 04/15/29 | 20,000 | $ | 19,414,108 | ||||||||||||
Octagon Investment Partners 44 Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.300% (Cap N/A, Floor 1.300%) |
| |||||||||||||||
2.435%(c) | 07/20/32 | 40,000 | 39,252,156 | |||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), |
| |||||||||||||||
Series 2015-01A, Class AR3, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%) |
| |||||||||||||||
2.415%(c) | 07/20/29 | 29,870 | 29,564,448 | |||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 88,230,712 | ||||||||||||||
|
| |||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 6.0% |
| |||||||||||||||
BANK, | ||||||||||||||||
Series 2018-BN15, Class A3 |
| |||||||||||||||
4.138% | 11/15/61 | 13,000 | 15,221,687 | |||||||||||||
Benchmark Mortgage Trust, |
| |||||||||||||||
Series 2018-B07, Class A3 |
| |||||||||||||||
4.241% | 05/15/53 | 13,000 | 15,416,781 | |||||||||||||
CD Mortgage Trust, |
| |||||||||||||||
Series 2018-CD07, Class A3 |
| |||||||||||||||
4.013% | 08/15/51 | 25,000 | 28,903,930 | |||||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-GC21, Class A4 |
| |||||||||||||||
3.575% | 05/10/47 | 3,435 | 3,660,719 | |||||||||||||
Series 2014-GC23, Class A3 |
| |||||||||||||||
3.356% | 07/10/47 | 15,666 | 16,669,486 | |||||||||||||
Series 2015-GC29, Class A3 |
| |||||||||||||||
2.935% | 04/10/48 | 15,000 | 15,663,182 | |||||||||||||
Series 2015-GC31, Class A3 |
| |||||||||||||||
3.497% | 06/10/48 | 14,781 | 16,053,360 | |||||||||||||
Series 2015-GC33, Class A3 |
| |||||||||||||||
3.515% | 09/10/58 | 20,000 | 21,792,344 | |||||||||||||
Series 2016-C01, Class A3 |
| |||||||||||||||
2.944% | 05/10/49 | 20,000 | 21,362,068 | |||||||||||||
Series 2016-C02, Class A3 |
| |||||||||||||||
2.575% | 08/10/49 | 17,500 | 18,375,023 | |||||||||||||
Series 2016-P04, Class A3 |
| |||||||||||||||
2.646% | 07/10/49 | 35,000 | 36,251,145 | |||||||||||||
Series 2016-P06, Class A4 |
| |||||||||||||||
3.458% | 12/10/49 | 5,500 | 6,085,632 | |||||||||||||
Series 2017-P07, Class A3 |
| |||||||||||||||
3.442% | 04/14/50 | 20,000 | 22,040,334 | |||||||||||||
Series 2018-C06, Class A3 |
| |||||||||||||||
4.145% | 11/10/51 | 16,375 | 18,785,672 | |||||||||||||
Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-CR15, Class A3 |
| |||||||||||||||
3.796% | 02/10/47 | 8,000 | 8,626,682 | |||||||||||||
Series 2014-CR18, Class A4 |
| |||||||||||||||
3.550% | 07/15/47 | 9,940 | 10,636,852 | |||||||||||||
Series 2014-UBS04, Class A4 |
| |||||||||||||||
3.420% | 08/10/47 | 10,000 | 10,648,724 | |||||||||||||
Series 2014-UBS06, Class A4 |
| |||||||||||||||
3.378% | 12/10/47 | 2,000 | 2,140,577 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Series 2015-CR22, Class A4 |
| |||||||||||||||
3.048% | 03/10/48 | 15,000 | $ | 15,994,591 | ||||||||||||
Series 2015-CR26, Class A3 |
| |||||||||||||||
3.359% | 10/10/48 | 17,000 | 18,435,295 | |||||||||||||
Series 2015-DC01, Class A4 |
| |||||||||||||||
3.078% | 02/10/48 | 10,000 | 10,601,666 | |||||||||||||
Series 2015-LC21, Class A3 |
| |||||||||||||||
3.445% | 07/10/48 | 17,000 | 18,453,814 | |||||||||||||
Series 2015-PC01, Class A4 |
| |||||||||||||||
3.620% | 07/10/50 | 13,500 | 14,256,312 | |||||||||||||
Series 2016-COR01, Class A3 |
| |||||||||||||||
2.826% | 10/10/49 | 25,000 | 26,436,032 | |||||||||||||
Series 2016-DC02, Class A4 |
| |||||||||||||||
3.497% | 02/10/49 | 18,000 | 19,830,899 | |||||||||||||
Series 2017-COR02, Class A2 |
| |||||||||||||||
3.239% | 09/10/50 | 45,000 | 49,000,833 | |||||||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||||||
Series 2015-C03, Class A3 |
| |||||||||||||||
3.447% | 08/15/48 | 19,000 | 20,403,701 | |||||||||||||
Series 2015-C04, Class A3 |
| |||||||||||||||
3.544% | 11/15/48 | 29,500 | 32,053,175 | |||||||||||||
Series 2018-CX11, Class A4 |
| |||||||||||||||
3.766% | 04/15/51 | 15,000 | 16,810,899 | |||||||||||||
DBJPM Mortgage Trust, |
| |||||||||||||||
Series 2016-C01, Class A3A |
| |||||||||||||||
3.015% | 05/10/49 | 10,000 | 10,712,053 | |||||||||||||
Series 2016-C03, Class A4 |
| |||||||||||||||
2.632% | 08/10/49 | 15,000 | 15,842,775 | |||||||||||||
Series 2017-C06, Class A3 |
| |||||||||||||||
3.269% | 06/10/50 | 45,800 | 48,835,395 | |||||||||||||
GS Mortgage Securities Trust, |
| |||||||||||||||
Series 2014-GC22, Class A4 |
| |||||||||||||||
3.587% | 06/10/47 | 3,000 | 3,186,482 | |||||||||||||
Series 2016-GS02, Class A3 |
| |||||||||||||||
2.791% | 05/10/49 | 20,000 | 21,257,216 | |||||||||||||
Series 2016-GS03, Class A3 |
| |||||||||||||||
2.592% | 10/10/49 | 25,000 | 26,079,827 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-C17, Class A3 |
| |||||||||||||||
3.928% | 01/15/47 | 3,677 | 3,947,600 | |||||||||||||
Series 2014-C22, Class A3A1 |
| |||||||||||||||
3.538% | 09/15/47 | 13,277 | 14,291,399 | |||||||||||||
Series 2015-C30, Class A4 |
| |||||||||||||||
3.551% | 07/15/48 | 18,000 | 19,531,715 | |||||||||||||
JPMCC Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2019-COR04, Class A4 |
| |||||||||||||||
3.758% | 03/10/52 | 50,750 | 57,930,450 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||||||
Series 2013-LC11, Class A4 |
| |||||||||||||||
2.694% | 04/15/46 | 906 | 931,835 | |||||||||||||
Series 2016-JP02, Class A3 |
| |||||||||||||||
2.559% | 08/15/49 | 17,500 | 18,334,983 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||||||
Series 2015-C27, Class A3 |
| |||||||||||||||
3.473% | 12/15/47 | 22,000 | 23,697,872 |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||||||
Series 2016-UB11, Class A3 |
| |||||||||||||||
2.531% | 08/15/49 | 10,000 | $ | 10,521,039 | ||||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||||||
Series 2017-C05, Class A4 |
| |||||||||||||||
3.212% | 11/15/50 | 10,000 | 10,837,424 | |||||||||||||
Series 2018-C12, Class A4 |
| |||||||||||||||
4.030% | 08/15/51 | 25,000 | 29,169,275 | |||||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||||||
Series 2014-LC16, Class A4 |
| |||||||||||||||
3.548% | 08/15/50 | 14,409 | 15,308,532 | |||||||||||||
Series 2015-C29, Class A3 |
| |||||||||||||||
3.368% | 06/15/48 | 12,987 | 13,952,490 | |||||||||||||
Series 2015-LC20, Class A4 |
| |||||||||||||||
2.925% | 04/15/50 | 15,000 | 15,785,498 | |||||||||||||
Series 2016-C35, Class A3 |
| |||||||||||||||
2.674% | 07/15/48 | 25,000 | 26,380,952 | |||||||||||||
Series 2016-LC24, Class A3 |
| |||||||||||||||
2.684% | 10/15/49 | 35,000 | 36,905,379 | |||||||||||||
Series 2016-NXS06, Class A3 |
| |||||||||||||||
2.642% | 11/15/49 | 20,000 | 20,961,164 | |||||||||||||
Series 2017-C42, Class A3 |
| |||||||||||||||
3.330% | 12/15/50 | 15,000 | 16,598,703 | |||||||||||||
Series 2019-C49, Class A4 |
| |||||||||||||||
3.760% | 03/15/52 | 28,500 | 32,633,261 | |||||||||||||
Series 2019-C51, Class A3 |
| |||||||||||||||
3.055% | 06/15/52 | 35,000 | 38,554,848 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 1,062,799,582 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 90.0% |
| |||||||||||||||
Aerospace & Defense — 1.6% |
| |||||||||||||||
Boeing Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 05/01/34 | 15,951 | 15,065,212 | |||||||||||||
3.750% | 02/01/50 | (a) | 5,925 | 5,376,410 | ||||||||||||
3.825% | 03/01/59 | 1,500 | 1,272,907 | |||||||||||||
3.900% | 05/01/49 | 17,990 | 16,202,092 | |||||||||||||
3.950% | 08/01/59 | 32,040 | 27,381,465 | |||||||||||||
5.805% | 05/01/50 | 45,415 | 53,548,672 | |||||||||||||
5.930% | 05/01/60 | 72,550 | 85,213,368 | |||||||||||||
7.875% | 04/15/43 | (a) | 13,929 | 18,251,477 | ||||||||||||
General Dynamics Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.250% | 04/01/50 | 8,105 | 10,471,633 | |||||||||||||
L3Harris Technologies, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 06/15/23 | (a) | 5,675 | 6,172,947 | ||||||||||||
Lockheed Martin Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.800% | 03/01/45 | 6,183 | 7,514,216 | |||||||||||||
Northrop Grumman Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.750% | 06/01/43 | (a) | 500 | 648,809 | ||||||||||||
5.250% | 05/01/50 | (a) | 12,500 | 18,022,523 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Aerospace & Defense (cont’d.) |
| |||||||||||||||
Northrop Grumman Systems Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
7.875% | 03/01/26 | 2,000 | $ | 2,636,419 | ||||||||||||
Raytheon Technologies Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.150% | 05/15/45 | (a) | 1,150 | 1,373,831 | ||||||||||||
4.500% | 06/01/42 | 5,668 | 7,038,131 | |||||||||||||
6.050% | 06/01/36 | 5,000 | 7,048,913 | |||||||||||||
6.125% | 07/15/38 | 5,804 | 8,406,245 | |||||||||||||
|
| |||||||||||||||
291,645,270 | ||||||||||||||||
|
| |||||||||||||||
Agriculture — 0.8% |
| |||||||||||||||
Altria Group, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
2.850% | 08/09/22 | 8,580 | 8,937,329 | |||||||||||||
9.950% | 11/10/38 | 501 | 791,332 | |||||||||||||
Archer-Daniels-Midland Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 03/27/30 | 5,670 | 6,422,229 | |||||||||||||
BAT Capital Corp. (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.222% | 08/15/24 | (a) | 30,093 | 32,162,039 | ||||||||||||
4.390% | 08/15/37 | 39,700 | 43,282,597 | |||||||||||||
Imperial Brands Finance PLC (United Kingdom), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.950% | 07/21/20 | 9,900 | 9,900,680 | |||||||||||||
3.500% | 02/11/23 | 15,483 | 16,077,633 | |||||||||||||
Reynolds American, Inc. (United Kingdom), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.450% | 06/12/25 | 7,837 | 8,828,372 | |||||||||||||
5.700% | 08/15/35 | 2,240 | 2,740,102 | |||||||||||||
5.850% | 08/15/45 | 6,490 | 8,083,418 | |||||||||||||
7.000% | 08/04/41 | 3,275 | 4,086,077 | |||||||||||||
8.125% | 05/01/40 | 650 | 920,183 | |||||||||||||
|
| |||||||||||||||
142,231,991 | ||||||||||||||||
|
| |||||||||||||||
Airlines — 1.0% |
| |||||||||||||||
American Airlines 2013-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.000% | 01/15/27 | 3,324 | 2,537,682 | |||||||||||||
American Airlines 2015-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
3.375% | 11/01/28 | 9,153 | 7,658,481 | |||||||||||||
American Airlines 2015-2 Class AA Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
3.600% | 03/22/29 | 3,429 | 3,169,281 | |||||||||||||
American Airlines 2016-1 Class AA Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
3.575% | 07/15/29 | 4,491 | 4,344,547 | |||||||||||||
Continental Airlines 2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
5.983% | 10/19/23 | 273 | 256,252 | |||||||||||||
Delta Air Lines 2007-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
6.821% | 02/10/24 | 396 | 388,696 |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Airlines (cont’d.) |
| |||||||||||||||
Delta Air Lines, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.600% | 12/04/20 | (a) | 7,800 | $ | 7,654,775 | |||||||||||
3.625% | 03/15/22 | (a) | 68,197 | 64,551,582 | ||||||||||||
3.750% | 10/28/29 | (a) | 16,034 | 12,837,540 | ||||||||||||
7.375% | 01/15/26 | 9,485 | 9,176,922 | |||||||||||||
Southwest Airlines Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.125% | 06/15/27 | (a) | 7,520 | 7,806,359 | ||||||||||||
5.250% | 05/04/25 | (a) | 24,390 | 25,684,928 | ||||||||||||
United Airlines 2014-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
4.000% | 10/11/27 | (a) | 1,244 | 1,141,341 | ||||||||||||
United Airlines 2014-2 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
3.750% | 03/03/28 | 4,102 | 3,741,823 | |||||||||||||
United Airlines 2016-2 Class AA Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
2.875% | 04/07/30 | (a) | 19,960 | 18,639,218 | ||||||||||||
US Airways 2013-1 Class A Pass-Through Trust, |
| |||||||||||||||
Pass-Through Certificates |
| |||||||||||||||
3.950% | 05/15/27 | 185 | 153,062 | |||||||||||||
|
| |||||||||||||||
169,742,489 | ||||||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 1.8% |
| |||||||||||||||
Daimler Finance North America LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.850% | 01/06/22 | 1,300 | 1,329,092 | |||||||||||||
2.875% | 03/10/21 | 3,500 | 3,535,011 | |||||||||||||
Ford Holdings LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
9.300% | 03/01/30 | 968 | 1,088,161 | |||||||||||||
Ford Motor Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.750% | 01/15/43 | 6,670 | 5,260,569 | |||||||||||||
6.375% | 02/01/29 | 2,870 | 2,804,037 | |||||||||||||
7.450% | 07/16/31 | (a) | 9,116 | 9,571,177 | ||||||||||||
7.750% | 06/15/43 | 1,510 | 1,457,296 | |||||||||||||
8.900% | 01/15/32 | (a) | 891 | 1,004,786 | ||||||||||||
9.980% | 02/15/47 | (a) | 5,300 | 6,183,037 | ||||||||||||
Ford Motor Credit Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.219% | 01/09/22 | (a) | 7,350 | 7,149,686 | ||||||||||||
3.339% | 03/28/22 | 20,000 | 19,450,717 | |||||||||||||
3.350% | 11/01/22 | 35,700 | 34,295,016 | |||||||||||||
3.813% | 10/12/21 | (a) | 1,835 | 1,818,214 | ||||||||||||
4.271% | 01/09/27 | 1,775 | 1,658,750 | |||||||||||||
4.687% | 06/09/25 | 34,740 | 33,952,737 | |||||||||||||
5.085% | 01/07/21 | 4,900 | 4,908,038 | |||||||||||||
General Motors Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.000% | 04/01/35 | (a) | 3,785 | 3,749,269 | ||||||||||||
6.250% | 10/02/43 | (a) | 45,675 | 48,047,721 | ||||||||||||
6.600% | 04/01/36 | 4,580 | 4,931,376 | |||||||||||||
General Motors Financial Co., Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.200% | 07/06/21 | 8,500 | 8,594,645 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Auto Manufacturers (cont’d.) |
| |||||||||||||||
General Motors Financial Co., Inc., (cont’d.) |
| |||||||||||||||
3.450% | 01/14/22 | 11,580 | $ | 11,772,891 | ||||||||||||
3.700% | 11/24/20 | 7,450 | 7,488,833 | |||||||||||||
3.950% | 04/13/24 | 3,525 | 3,640,714 | |||||||||||||
4.000% | 01/15/25 | 372 | 386,084 | |||||||||||||
4.000% | 10/06/26 | (a) | 6,525 | 6,727,662 | ||||||||||||
4.300% | 07/13/25 | 440 | 461,329 | |||||||||||||
4.350% | 01/17/27 | 4,835 | 5,027,014 | |||||||||||||
5.250% | 03/01/26 | (a) | 11,130 | 12,129,560 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.550% | 07/08/22 | 23,300 | 23,927,765 | |||||||||||||
4.200% | 11/06/21 | (a) | 20,500 | 21,054,772 | ||||||||||||
Volkswagen Group of America Finance LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.875% | 11/13/20 | 6,225 | 6,292,047 | |||||||||||||
4.000% | 11/12/21 | 3,860 | 4,018,195 | |||||||||||||
Volkswagen International Finance NV (Germany), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.875% | 03/30/27 | EUR 15,000 | 17,257,691 | |||||||||||||
|
| |||||||||||||||
320,973,892 | ||||||||||||||||
|
| |||||||||||||||
Auto Parts & Equipment — 0.0% |
| |||||||||||||||
ZF North America Capital, Inc. (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.500% | 04/29/22 | (a) | 7,747 | 7,962,879 | ||||||||||||
Banks — 10.1% |
| |||||||||||||||
Banco Santander SA (Spain), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.125% | 02/23/23 | 6,600 | 6,868,574 | |||||||||||||
3.500% | 04/11/22 | 5,000 | 5,185,147 | |||||||||||||
3.800% | 02/23/28 | 4,400 | 4,753,785 | |||||||||||||
4.379% | 04/12/28 | (a) | 8,200 | 9,176,738 | ||||||||||||
Bank of America Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series AA |
| |||||||||||||||
6.100%(ff) | –(rr) | 6,300 | 6,692,657 | |||||||||||||
Jr. Sub. Notes, Series DD |
| |||||||||||||||
6.300%(ff) | –(rr) | 3,075 | 3,403,105 | |||||||||||||
Jr. Sub. Notes, Series FF |
| |||||||||||||||
5.875%(ff) | –(rr) | 3,315 | 3,381,823 | |||||||||||||
Jr. Sub. Notes, Series JJ |
| |||||||||||||||
5.125%(ff) | –(rr)(a) | 22,000 | 21,736,493 | |||||||||||||
Jr. Sub. Notes, Series MM |
| |||||||||||||||
4.300%(ff) | –(rr)(a) | 24,515 | 21,912,434 | |||||||||||||
Jr. Sub. Notes, Series X |
| |||||||||||||||
6.250%(ff) | –(rr) | 5,075 | 5,240,648 | |||||||||||||
Jr. Sub. Notes, Series Z |
| |||||||||||||||
6.500%(ff) | –(rr) | 2,000 | 2,142,642 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.419%(ff) | 12/20/28 | 24,217 | 26,960,436 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.884%(ff) | 10/22/30 | 11,865 | 12,821,718 | |||||||||||||
3.194%(ff) | 07/23/30 | 5,180 | 5,713,716 | |||||||||||||
3.824%(ff) | 01/20/28 | 67,232 | 75,948,799 | |||||||||||||
4.083%(ff) | 03/20/51 | (a) | 36,140 | 44,840,444 | ||||||||||||
4.271%(ff) | 07/23/29 | 3,600 | 4,235,982 | |||||||||||||
4.330%(ff) | 03/15/50 | 10,295 | 13,182,494 | |||||||||||||
4.443%(ff) | 01/20/48 | 2,000 | 2,581,349 |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (cont’d.) |
| |||||||||||||||
Bank of America Corp., (cont’d.) |
| |||||||||||||||
5.000% | 01/21/44 | 30,900 | $ | 42,268,799 | ||||||||||||
Sub. Notes |
| |||||||||||||||
6.110% | 01/29/37 | 1,000 | 1,417,157 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.000% | 01/22/25 | 12,425 | 13,740,159 | |||||||||||||
4.450% | 03/03/26 | 33,340 | 38,297,472 | |||||||||||||
Sub. Notes, Series L, MTN |
| |||||||||||||||
3.950% | 04/21/25 | 10,185 | 11,272,239 | |||||||||||||
Bank of New York Mellon Corp. (The), |
| |||||||||||||||
Jr. Sub. Notes, Series F |
| |||||||||||||||
4.625%(ff) | – | (rr) | 11,245 | 11,134,375 | ||||||||||||
Barclays PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 03/16/25 | 775 | 839,450 | |||||||||||||
3.932%(ff) | 05/07/25 | (a) | 22,715 | 24,520,419 | ||||||||||||
4.375% | 01/12/26 | 16,550 | 18,682,644 | |||||||||||||
4.610%(ff) | 02/15/23 | 30,520 | 32,129,529 | |||||||||||||
4.950% | 01/10/47 | (a) | 9,452 | 12,358,598 | ||||||||||||
Sub. Notes |
| |||||||||||||||
5.088%(ff) | 06/20/30 | (a) | 12,000 | 13,631,304 | ||||||||||||
5.200% | 05/12/26 | 5,100 | 5,707,797 | |||||||||||||
BNP Paribas SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.400% | 08/14/28 | (a) | 21,190 | 24,531,384 | ||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.052%(ff) | 01/13/31 | (a) | 12,605 | 13,255,739 | ||||||||||||
BPCE SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.250% | 01/11/28 | (a) | 4,000 | 4,359,939 | ||||||||||||
Citigroup, Inc., |
| |||||||||||||||
Jr. Sub. Notes, Series R |
| |||||||||||||||
6.125%(ff) | –(rr)(a) | 7,500 | 7,332,208 | |||||||||||||
Jr. Sub. Notes, Series T |
| |||||||||||||||
6.250%(ff) | –(rr)(a) | 3,960 | 4,203,341 | |||||||||||||
Jr. Sub. Notes, Series U |
| |||||||||||||||
5.000%(ff) | –(rr) | 35,500 | 33,322,608 | |||||||||||||
Jr. Sub. Notes, Series V |
| |||||||||||||||
4.700%(ff) | –(rr)(a) | 15,485 | 13,827,915 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.668%(ff) | 07/24/28 | 34,800 | 38,910,511 | |||||||||||||
3.700% | 01/12/26 | (a) | 1,800 | 2,011,292 | ||||||||||||
3.887%(ff) | 01/10/28 | (a) | 385 | 433,343 | ||||||||||||
4.650% | 07/23/48 | (a) | 24,735 | 32,326,100 | ||||||||||||
5.875% | 01/30/42 | 8,365 | 12,075,872 | |||||||||||||
6.875% | 02/15/98 | 2,825 | 4,338,232 | |||||||||||||
8.125% | 07/15/39 | (a) | 2,000 | 3,462,152 | ||||||||||||
Sub. Notes |
| |||||||||||||||
4.400% | 06/10/25 | 5,400 | 6,037,246 | |||||||||||||
4.450% | 09/29/27 | 6,760 | 7,693,199 | |||||||||||||
4.600% | 03/09/26 | 425 | 485,621 | |||||||||||||
4.750% | 05/18/46 | (a) | 1,045 | 1,321,748 | ||||||||||||
5.500% | 09/13/25 | 6,146 | 7,287,926 | |||||||||||||
6.000% | 10/31/33 | 2,155 | 2,822,739 | |||||||||||||
Credit Suisse AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
3.625% | 09/09/24 | (a) | 1,000 | 1,104,157 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (cont’d.) |
| |||||||||||||||
Credit Suisse Group AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.997%(ff) | 12/14/23 | 4,840 | $ | 5,035,905 | ||||||||||||
3.869%(ff) | 01/12/29 | (a) | 12,455 | 13,724,080 | ||||||||||||
4.207%(ff) | 06/12/24 | (a) | 4,560 | 4,917,050 | ||||||||||||
4.282% | 01/09/28 | 7,135 | 7,980,725 | |||||||||||||
Credit Suisse Group Funding Guernsey Ltd. (Switzerland), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.750% | 03/26/25 | (a) | 1,665 | 1,828,005 | ||||||||||||
3.800% | 06/09/23 | 16,907 | 18,181,948 | |||||||||||||
Danske Bank A/S (Denmark), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.244%(ff) | 12/20/25 | 4,815 | 4,992,653 | |||||||||||||
5.000%(ff) | 01/12/23 | 6,353 | 6,712,355 | |||||||||||||
5.375% | 01/12/24 | 14,400 | 16,053,772 | |||||||||||||
Deutsche Bank AG (Germany), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.150% | 01/22/21 | 11,390 | 11,448,056 | |||||||||||||
3.950% | 02/27/23 | 1,500 | 1,557,168 | |||||||||||||
4.250% | 02/04/21 | 29,170 | 29,558,933 | |||||||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||||||
5.000% | 02/14/22 | 40,200 | 42,098,149 | |||||||||||||
Discover Bank, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 07/27/26 | 2,205 | 2,383,585 | |||||||||||||
4.200% | 08/08/23 | (a) | 725 | 791,970 | ||||||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||||||
Jr. Sub. Notes, Series M, 3 Month LIBOR + 3.922% |
| |||||||||||||||
4.370%(c) | –(a)(rr) | 8,100 | 7,409,887 | |||||||||||||
Jr. Sub. Notes, Series O |
| |||||||||||||||
5.300%(ff) | –(rr) | 5,250 | 5,307,560 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 01/23/25 | 10,540 | 11,495,714 | |||||||||||||
3.500% | 11/16/26 | 9,640 | 10,594,414 | |||||||||||||
3.750% | 05/22/25 | 2,700 | 2,986,255 | |||||||||||||
3.750% | 02/25/26 | 1,500 | 1,678,389 | |||||||||||||
3.850% | 01/26/27 | 42,400 | 47,673,820 | |||||||||||||
5.750% | 01/24/22 | 700 | 755,049 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
4.800% | 07/08/44 | (a) | 2,375 | 3,094,850 | ||||||||||||
Sub. Notes |
| |||||||||||||||
5.150% | 05/22/45 | 8,275 | 10,808,481 | |||||||||||||
HSBC Holdings PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.803%(ff) | 03/11/25 | 1,300 | 1,403,863 | |||||||||||||
Sub. Notes |
| |||||||||||||||
4.250% | 03/14/24 | 3,700 | 3,989,336 | |||||||||||||
4.250% | 08/18/25 | (a) | 1,560 | 1,699,299 | ||||||||||||
ING Groep NV (Netherlands), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 03/29/27 | 6,800 | 7,810,552 | |||||||||||||
Intesa Sanpaolo SpA (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes, Series XR, 144A |
| |||||||||||||||
4.000% | 09/23/29 | (a) | 15,500 | 16,361,136 | ||||||||||||
JPMorgan Chase & Co., |
| |||||||||||||||
Jr. Sub. Notes, Series CC |
| |||||||||||||||
4.625%(ff) | – | (rr)(a) | 4,400 | 4,146,316 |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (cont’d.) |
| |||||||||||||||
JPMorgan Chase & Co., (cont’d.) |
| |||||||||||||||
Jr. Sub. Notes, Series FF |
| |||||||||||||||
5.000%(ff) | –(rr)(a) | 32,730 | $ | 31,403,267 | ||||||||||||
Jr. Sub. Notes, Series HH |
| |||||||||||||||
4.600%(ff) | –(rr) | 7,575 | 6,751,200 | |||||||||||||
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% |
| |||||||||||||||
4.230%(c) | –(a)(rr) | 2,151 | 1,967,588 | |||||||||||||
Jr. Sub. Notes, Series II |
| |||||||||||||||
4.000%(ff) | –(rr)(a) | 26,715 | 23,343,183 | |||||||||||||
Jr. Sub. Notes, Series Q |
| |||||||||||||||
5.150%(ff) | –(rr) | 1,800 | 1,757,193 | |||||||||||||
Jr. Sub. Notes, Series V, 3 Month LIBOR + 3.320% |
| |||||||||||||||
4.753%(c) | –(rr) | 26,100 | 23,172,291 | |||||||||||||
Jr. Sub. Notes, Series X |
| |||||||||||||||
6.100%(ff) | –(rr) | 6,000 | 6,149,303 | |||||||||||||
Jr. Sub. Notes, Series Z, 3 Month LIBOR + 3.800% |
| |||||||||||||||
4.487%(c) | –(a)(rr) | 6,990 | 6,577,853 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.739%(ff) | 10/15/30 | 1,630 | 1,746,110 | |||||||||||||
3.782%(ff) | 02/01/28 | 5,000 | 5,653,960 | |||||||||||||
3.882%(ff) | 07/24/38 | 42,267 | 49,927,070 | |||||||||||||
3.897%(ff) | 01/23/49 | (a) | 3,000 | 3,616,584 | ||||||||||||
3.964%(ff) | 11/15/48 | 57,900 | 69,785,598 | |||||||||||||
4.005%(ff) | 04/23/29 | 11,035 | 12,748,257 | |||||||||||||
4.032%(ff) | 07/24/48 | 3,525 | 4,326,664 | |||||||||||||
4.260%(ff) | 02/22/48 | 34,470 | 43,318,732 | |||||||||||||
4.452%(ff) | 12/05/29 | 1,500 | 1,797,896 | |||||||||||||
5.400% | 01/06/42 | (a) | 250 | 355,026 | ||||||||||||
5.600% | 07/15/41 | (a) | 1,100 | 1,600,283 | ||||||||||||
Sub. Notes |
| |||||||||||||||
4.125% | 12/15/26 | 9,450 | 10,999,287 | |||||||||||||
Lloyds Banking Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 01/11/27 | (a) | 10,000 | 11,056,491 | ||||||||||||
Morgan Stanley, |
| |||||||||||||||
Jr. Sub. Notes, Series H, 3 Month LIBOR + 3.610% |
| |||||||||||||||
4.829%(c) | –(a)(rr) | 3,675 | 3,261,948 | |||||||||||||
Jr. Sub. Notes, Series J |
| |||||||||||||||
5.550%(ff) | –(rr) | 5,215 | 4,781,295 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.625% | 01/20/27 | 2,600 | 2,928,171 | |||||||||||||
4.375% | 01/22/47 | (a) | 3,800 | 4,906,494 | ||||||||||||
4.457%(ff) | 04/22/39 | 8,035 | 10,107,818 | |||||||||||||
Sr. Unsec’d. Notes, GMTN |
| |||||||||||||||
3.875% | 01/27/26 | 589 | 668,810 | |||||||||||||
4.000% | 07/23/25 | 12,793 | 14,498,565 | |||||||||||||
4.431%(ff) | 01/23/30 | 27,100 | 32,278,090 | |||||||||||||
5.597%(ff) | 03/24/51 | 33,500 | 50,550,346 | |||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
2.720%(ff) | 07/22/25 | 11,680 | 12,347,810 | |||||||||||||
3.971%(ff) | 07/22/38 | (a) | 17,130 | 20,386,060 | ||||||||||||
6.375% | 07/24/42 | (a) | 5,875 | 9,232,340 | ||||||||||||
Sr. Unsec’d. Notes, Series F, MTN |
| |||||||||||||||
3.875% | 04/29/24 | 1,190 | 1,314,904 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.100% | 05/22/23 | 60 | 64,846 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Banks (cont’d.) |
| |||||||||||||||
NatWest Markets PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.625% | 09/29/22 | 13,300 | $ | 13,933,616 | ||||||||||||
Nordea Bank Abp (Finland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.750% | 08/30/23 | 4,535 | 4,873,194 | |||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.250% | 09/21/22 | 2,000 | 2,127,018 | |||||||||||||
People’s United Bank NA, |
| |||||||||||||||
Sub. Notes |
| |||||||||||||||
4.000% | 07/15/24 | 510 | 538,477 | |||||||||||||
Royal Bank of Scotland Group PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.875% | 09/12/23 | 5,900 | 6,366,479 | |||||||||||||
4.269%(ff) | 03/22/25 | (a) | 22,710 | 24,688,770 | ||||||||||||
4.445%(ff) | 05/08/30 | (a) | 37,500 | 43,457,299 | ||||||||||||
Santander UK Group Holdings PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.796%(ff) | 11/15/24 | (a) | 450 | 497,373 | ||||||||||||
Societe Generale SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
2.625% | 01/22/25 | 20,000 | 20,389,559 | |||||||||||||
State Street Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series F |
| |||||||||||||||
5.250%(ff) | –(rr) | 5,005 | 4,761,610 | |||||||||||||
Truist Financial Corp., |
| |||||||||||||||
Jr. Sub. Notes, Series N |
| |||||||||||||||
4.800%(ff) | –(rr) | 41,460 | 38,220,621 | |||||||||||||
Jr. Sub. Notes, Series P |
| |||||||||||||||
4.950%(ff) | –(rr) | 3,000 | 3,066,288 | |||||||||||||
UBS Group AG (Switzerland), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
2.859%(ff) | 08/15/23 | 15,000 | 15,538,963 | |||||||||||||
3.126%(ff) | 08/13/30 | (a) | 15,000 | 16,185,023 | ||||||||||||
4.125% | 09/24/25 | 3,999 | 4,538,107 | |||||||||||||
UniCredit SpA (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
6.572% | 01/14/22 | 14,525 | 15,352,652 | |||||||||||||
Wells Fargo & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
5.013%(ff) | 04/04/51 | 15,200 | 20,942,328 | |||||||||||||
Sub. Notes, GMTN |
| |||||||||||||||
4.900% | 11/17/45 | 8,905 | 11,403,468 | |||||||||||||
Sub. Notes, MTN |
| |||||||||||||||
4.650% | 11/04/44 | 3,135 | 3,865,590 | |||||||||||||
4.750% | 12/07/46 | (a) | 13,680 | 17,514,863 | ||||||||||||
|
| |||||||||||||||
1,782,044,104 | ||||||||||||||||
|
| |||||||||||||||
Beverages — 2.5% |
| |||||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||||||
(Belgium), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.700% | 02/01/36 | 31,770 | 37,165,359 | |||||||||||||
4.900% | 02/01/46 | 84,108 | 102,019,334 | |||||||||||||
Anheuser-Busch InBev Finance, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.000% | 01/17/43 | 13,125 | 14,125,568 |
SEE NOTES TO FINANCIAL STATEMENTS.
A5
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Beverages (cont’d.) |
| |||||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.750% | 07/15/42 | 5,770 | $ | 6,136,866 | ||||||||||||
4.000% | 04/13/28 | 8,950 | 10,325,770 | |||||||||||||
4.375% | 04/15/38 | 32,950 | 37,794,861 | |||||||||||||
4.439% | 10/06/48 | 15,865 | 18,260,900 | |||||||||||||
4.600% | 04/15/48 | 5,245 | 6,125,995 | |||||||||||||
4.750% | 04/15/58 | 5,940 | 7,157,797 | |||||||||||||
5.450% | 01/23/39 | 6,345 | 8,005,534 | |||||||||||||
5.550% | 01/23/49 | (a) | 63,944 | 85,499,784 | ||||||||||||
Bacardi Ltd. (Bermuda), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.450% | 05/15/25 | 21,850 | 24,045,771 | |||||||||||||
Coca-Cola Femsa SAB de CV (Mexico), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.250% | 11/26/43 | 2,400 | 3,248,804 | |||||||||||||
Constellation Brands, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.100% | 02/15/48 | 4,600 | 5,205,823 | |||||||||||||
4.250% | 05/01/23 | (a) | 5,824 | 6,378,194 | ||||||||||||
5.250% | 11/15/48 | 23,729 | 31,060,844 | |||||||||||||
Keurig Dr. Pepper, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 11/15/45 | 17,400 | 21,032,355 | |||||||||||||
PepsiCo, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.450% | 04/14/46 | 6,706 | 8,890,051 | |||||||||||||
4.600% | 07/17/45 | 6,445 | 8,686,029 | |||||||||||||
|
| |||||||||||||||
441,165,639 | ||||||||||||||||
|
| |||||||||||||||
Biotechnology — 0.7% |
| |||||||||||||||
Amgen, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.600% | 08/19/26 | (a) | 800 | 871,451 | ||||||||||||
3.625% | 05/22/24 | 4,830 | 5,296,101 | |||||||||||||
4.400% | 05/01/45 | 18,243 | 22,735,068 | |||||||||||||
4.663% | 06/15/51 | 21,773 | 28,973,141 | |||||||||||||
5.150% | 11/15/41 | 12,360 | 16,343,203 | |||||||||||||
Gilead Sciences, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 02/01/25 | 1,177 | 1,310,019 | |||||||||||||
3.650% | 03/01/26 | (a) | 12,295 | 14,060,796 | ||||||||||||
4.500% | 02/01/45 | 9,770 | 12,684,903 | |||||||||||||
4.750% | 03/01/46 | 6,095 | 8,219,214 | |||||||||||||
4.800% | 04/01/44 | 10,125 | 13,526,858 | |||||||||||||
|
| |||||||||||||||
124,020,754 | ||||||||||||||||
|
| |||||||||||||||
Building Materials — 1.0% |
| |||||||||||||||
Fortune Brands Home & Security, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 06/15/25 | (a) | 6,850 | 7,617,578 | ||||||||||||
Johnson Controls International PLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.625% | 07/02/44 | 5,204 | 5,929,384 | |||||||||||||
4.950% | 07/02/64 | 8,582 | 10,290,743 | |||||||||||||
5.125% | 09/14/45 | 1,158 | 1,394,920 |
Interest Rate | Maturity Date | �� | Principal Amount (000)# | Value | ||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Building Materials (cont’d.) |
| |||||||||||||||
Macmillan Bloedel Pembroke LP (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.700% | 02/15/26 | 1,500 | $ | 1,845,015 | ||||||||||||
Martin Marietta Materials, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 07/02/24 | 1,125 | 1,226,286 | |||||||||||||
4.250% | 12/15/47 | 3,150 | 3,471,908 | |||||||||||||
Masco Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 05/15/47 | (a) | 8,500 | 8,954,057 | ||||||||||||
Owens Corning, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 08/15/29 | (a) | 2,700 | 2,935,923 | ||||||||||||
4.200% | 12/01/24 | 4,868 | 5,278,496 | |||||||||||||
4.300% | 07/15/47 | (a) | 36,900 | 37,390,317 | ||||||||||||
4.400% | 01/30/48 | 12,540 | 12,954,113 | |||||||||||||
7.000% | 12/01/36 | 11,650 | 15,003,920 | |||||||||||||
Standard Industries, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.375% | 11/15/24 | 6,150 | 6,319,095 | |||||||||||||
6.000% | 10/15/25 | (a) | 7,400 | 7,605,478 | ||||||||||||
Vulcan Materials Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 06/01/30 | 5,000 | 5,429,444 | |||||||||||||
4.500% | 06/15/47 | 35,588 | 39,988,034 | |||||||||||||
4.700% | 03/01/48 | 2,117 | 2,416,585 | |||||||||||||
|
| |||||||||||||||
176,051,296 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 2.8% |
| |||||||||||||||
Albemarle Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.150% | 12/01/24 | 16,129 | 17,263,417 | |||||||||||||
Ashland LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 08/15/22 | (a) | 676 | 711,187 | ||||||||||||
Celanese US Holdings LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.625% | 11/15/22 | 16,313 | 17,335,148 | |||||||||||||
CF Industries, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.950% | 06/01/43 | (a) | 12,248 | 13,214,789 | ||||||||||||
5.150% | 03/15/34 | 9,996 | 10,700,678 | |||||||||||||
5.375% | 03/15/44 | (a) | 14,350 | 15,533,443 | ||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.500% | 12/01/26 | 21,044 | 23,243,218 | |||||||||||||
Dow Chemical Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 10/01/34 | (a) | 19,790 | 22,074,905 | ||||||||||||
4.375% | 11/15/42 | (a) | 41,030 | 45,521,008 | ||||||||||||
4.800% | 05/15/49 | (a) | 3,769 | 4,473,744 | ||||||||||||
5.250% | 11/15/41 | 2,271 | 2,725,933 | |||||||||||||
5.550% | 11/30/48 | (a) | 35,338 | 46,068,087 | ||||||||||||
7.375% | 11/01/29 | (a) | 17,388 | 24,582,993 | ||||||||||||
9.400% | 05/15/39 | 800 | 1,328,127 | |||||||||||||
.DuPont de Nemours, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.319% | 11/15/38 | 4,268 | 5,398,106 |
SEE NOTES TO FINANCIAL STATEMENTS.
A6
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Chemicals (cont’d.) |
| |||||||||||||||
DuPont de Nemours, Inc., (cont’d.) |
| |||||||||||||||
5.419% | 11/15/48 | (a) | 2,989 | $ | 3,926,062 | |||||||||||
Eastman Chemical Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.800% | 03/15/25 | (a) | 6,847 | 7,423,936 | ||||||||||||
4.650% | 10/15/44 | (a) | 2,530 | 2,909,457 | ||||||||||||
4.800% | 09/01/42 | 4,057 | 4,736,050 | |||||||||||||
Ecolab, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.500% | 12/08/41 | 333 | 469,796 | |||||||||||||
LYB International Finance BV, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 03/15/44 | (a) | 8,447 | 9,908,179 | ||||||||||||
5.250% | 07/15/43 | 19,805 | 23,832,957 | |||||||||||||
LYB International Finance III LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.200% | 10/15/49 | (a) | 10,523 | 11,303,030 | ||||||||||||
4.200% | 05/01/50 | (a) | 5,000 | 5,381,500 | ||||||||||||
LyondellBasell Industries NV, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.625% | 02/26/55 | (a) | 6,254 | 6,964,436 | ||||||||||||
5.750% | 04/15/24 | 7,500 | 8,612,885 | |||||||||||||
6.000% | 11/15/21 | 5,450 | 5,749,739 | |||||||||||||
Methanex Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 03/01/22 | 11,100 | 11,006,233 | |||||||||||||
Mosaic Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.625% | 11/15/43 | (a) | 10,056 | 10,820,089 | ||||||||||||
Nutrien Ltd. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.000% | 04/01/25 | 800 | 853,603 | |||||||||||||
3.150% | 10/01/22 | 6,430 | 6,709,821 | |||||||||||||
3.625% | 03/15/24 | 6,045 | 6,538,093 | |||||||||||||
4.125% | 03/15/35 | 7,241 | 8,064,638 | |||||||||||||
4.200% | 04/01/29 | (a) | 735 | 848,542 | ||||||||||||
4.900% | 06/01/43 | 1,200 | 1,405,570 | |||||||||||||
5.000% | 04/01/49 | (a) | 5,145 | 6,591,962 | ||||||||||||
5.250% | 01/15/45 | 5,070 | 6,323,496 | |||||||||||||
6.125% | 01/15/41 | 8,436 | 10,764,235 | |||||||||||||
7.125% | 05/23/36 | 19,134 | 25,763,102 | |||||||||||||
Orbia Advance Corp. SAB de CV (Mexico), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 01/15/48 | 2,445 | 2,569,924 | |||||||||||||
5.875% | 09/17/44 | 2,100 | 2,312,725 | |||||||||||||
Sasol Financing International Ltd. (South Africa), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.500% | 11/14/22 | 5,761 | 5,226,994 | |||||||||||||
Sherwin-Williams Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.800% | 08/15/49 | 12,950 | 14,258,389 | |||||||||||||
Syngenta Finance NV (Switzerland), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.375% | 03/28/42 | 4,440 | 4,211,556 | |||||||||||||
Union Carbide Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.750% | 10/01/96 | 500 | 649,265 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Chemicals (cont’d.) |
| |||||||||||||||
W.R. Grace & Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.125% | 10/01/21 | (a) | 1,400 | $ | 1,476,128 | |||||||||||
Yara International ASA (Norway), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.750% | 06/01/28 | 19,450 | 22,261,164 | |||||||||||||
|
| |||||||||||||||
490,048,339 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 1.5% |
| |||||||||||||||
Block Financial LLC, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.125% | 10/01/20 | 7,100 | 7,124,614 | |||||||||||||
California Institute of Technology, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 09/01/2119 | 3,235 | 3,578,945 | |||||||||||||
Cleveland Clinic Foundation (The), |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
4.858% | 01/01/2114 | 2,875 | 3,971,988 | |||||||||||||
ERAC USA Finance LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.300% | 10/15/22 | 13,000 | 13,347,298 | |||||||||||||
3.300% | 12/01/26 | 4,800 | 4,864,704 | |||||||||||||
4.200% | 11/01/46 | (a) | 32,800 | 31,677,434 | ||||||||||||
4.500% | 02/15/45 | 8,460 | 8,468,583 | |||||||||||||
5.625% | 03/15/42 | 1,000 | 1,130,653 | |||||||||||||
6.700% | 06/01/34 | 1,000 | 1,278,935 | |||||||||||||
7.000% | 10/15/37 | (a) | 3,623 | 4,644,761 | ||||||||||||
Experian Finance PLC (United Kingdom), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.750% | 03/08/30 | 4,050 | 4,306,077 | |||||||||||||
Ford Foundation (The), |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
2.815% | 06/01/70 | 7,500 | 7,736,400 | |||||||||||||
Georgetown University (The), |
| |||||||||||||||
Unsec’d. Notes, Series A |
| |||||||||||||||
5.215% | 10/01/2118 | 2,980 | 4,111,950 | |||||||||||||
Global Payments, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.650% | 02/15/25 | 1,050 | 1,115,064 | |||||||||||||
3.750% | 06/01/23 | 3,425 | 3,687,469 | |||||||||||||
4.000% | 06/01/23 | 6,920 | 7,497,729 | |||||||||||||
Leland Stanford Junior University (The), |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
3.647% | 05/01/48 | 12,125 | 15,362,684 | |||||||||||||
Massachusetts Institute of Technology, |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
3.885% | 07/01/2116 | 370 | 460,104 | |||||||||||||
4.678% | 07/01/2114 | 12,715 | 18,795,610 | |||||||||||||
5.600% | 07/01/2111 | 160 | 284,055 | |||||||||||||
Nielsen Finance LLC/Nielsen Finance Co., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 04/15/22 | (a) | 2,025 | 2,017,738 | ||||||||||||
Northwestern University, |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
2.640% | 12/01/50 | 3,765 | 3,865,703 | |||||||||||||
3.662% | 12/01/57 | 17,262 | 21,635,329 | |||||||||||||
4.643% | 12/01/44 | 2,800 | 3,769,893 |
SEE NOTES TO FINANCIAL STATEMENTS.
A7
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Commercial Services (cont’d.) |
| |||||||||||||||
Novant Health, Inc., |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
4.371% | 11/01/43 | 2,150 | $ | 2,645,052 | ||||||||||||
PayPal Holdings, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.850% | 10/01/29 | (a) | 9,200 | 10,062,157 | ||||||||||||
President & Fellows of Harvard College, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/15/40 | 960 | 1,337,572 | |||||||||||||
Unsec’d. Notes |
| |||||||||||||||
5.625% | 10/01/38 | 17,500 | 26,745,113 | |||||||||||||
Trustees of Boston College, |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
3.129% | 07/01/52 | 3,007 | 3,407,022 | |||||||||||||
Trustees of Boston University, |
| |||||||||||||||
Sec’d. Notes, Series CC |
| |||||||||||||||
4.061% | 10/01/48 | 4,345 | 5,510,317 | |||||||||||||
Trustees of Princeton University (The), |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
5.700% | 03/01/39 | 3,000 | 4,656,372 | |||||||||||||
Trustees of the University of Pennsylvania (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.674% | 09/01/2112 | 6,976 | 10,162,769 | |||||||||||||
United Rentals North America, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.500% | 07/15/25 | (a) | 5,000 | 5,128,585 | ||||||||||||
5.875% | 09/15/26 | (a) | 4,000 | 4,190,093 | ||||||||||||
University of Notre Dame du Lac, |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
3.394% | 02/15/48 | 6,475 | 7,632,246 | |||||||||||||
William Marsh Rice University, |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
3.774% | 05/15/55 | 4,750 | 5,833,427 | |||||||||||||
|
| |||||||||||||||
262,044,445 | ||||||||||||||||
|
| |||||||||||||||
Computers — 0.6% |
| |||||||||||||||
Apple, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 02/23/26 | 16,175 | 18,156,595 | |||||||||||||
3.750% | 09/12/47 | 6,110 | 7,482,644 | |||||||||||||
3.750% | 11/13/47 | 6,170 | 7,581,923 | |||||||||||||
3.850% | 05/04/43 | 9,378 | 11,623,340 | |||||||||||||
3.850% | 08/04/46 | 10,700 | 13,299,035 | |||||||||||||
4.250% | 02/09/47 | 2,945 | 3,833,831 | |||||||||||||
4.650% | 02/23/46 | 28,906 | 39,517,955 | |||||||||||||
International Business Machines Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.500% | 01/27/22 | 915 | 944,056 | |||||||||||||
Leidos, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.375% | 05/15/30 | 1,875 | 2,113,066 | |||||||||||||
NCR Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.375% | 12/15/23 | (a) | 500 | 508,684 | ||||||||||||
|
| |||||||||||||||
105,061,129 | ||||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Cosmetics/Personal Care — 0.1% |
| |||||||||||||||
Procter & Gamble Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 03/25/50 | (a) | 9,760 | $ | 12,234,359 | |||||||||||
|
| |||||||||||||||
Distribution/Wholesale — 0.0% |
| |||||||||||||||
W.W. Grainger, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 05/15/47 | 4,480 | 5,256,596 | |||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.6% |
| |||||||||||||||
Cantor Fitzgerald LP, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 05/01/24 | (a) | 10,000 | 10,799,448 | ||||||||||||
GE Capital International Funding Co. Unlimited Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.418% | 11/15/35 | (a) | 75,796 | 76,862,479 | ||||||||||||
Jefferies Financial Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.625% | 10/23/43 | 3,500 | 3,980,399 | |||||||||||||
Jefferies Group LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.500% | 01/20/43 | 6,550 | 7,507,149 | |||||||||||||
|
| |||||||||||||||
99,149,475 | ||||||||||||||||
|
| |||||||||||||||
Electric — 13.0% |
| |||||||||||||||
AEP Texas, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.400% | 10/01/22 | (a) | 5,600 | 5,781,031 | ||||||||||||
3.800% | 10/01/47 | 3,250 | 3,686,345 | |||||||||||||
3.950% | 06/01/28 | 6,240 | 7,089,760 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.850% | 10/01/25 | 7,145 | 7,920,615 | |||||||||||||
Sr. Unsec’d. Notes, Series G |
| |||||||||||||||
4.150% | 05/01/49 | 3,465 | 4,139,561 | |||||||||||||
AEP Transmission Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.100% | 12/01/26 | 2,080 | 2,326,727 | |||||||||||||
3.750% | 12/01/47 | (a) | 10,015 | 11,558,952 | ||||||||||||
3.800% | 06/15/49 | 10,675 | 12,574,913 | |||||||||||||
4.000% | 12/01/46 | 5,000 | 5,946,871 | |||||||||||||
Alabama Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 10/01/49 | 10,520 | 11,681,824 | |||||||||||||
4.150% | 08/15/44 | 4,500 | 5,353,416 | |||||||||||||
Ameren Illinois Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.700% | 12/01/47 | 12,200 | 14,224,567 | |||||||||||||
4.500% | 03/15/49 | 8,795 | 11,573,577 | |||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.150% | 03/15/46 | 7,760 | 9,553,019 | |||||||||||||
Appalachian Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.450% | 06/01/45 | 6,600 | 7,843,308 | |||||||||||||
Arizona Public Service Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.700% | 01/15/44 | 2,550 | 3,232,916 | |||||||||||||
Avangrid, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.150% | 12/01/24 | (a) | 11,020 | 11,929,225 |
SEE NOTES TO FINANCIAL STATEMENTS.
A8
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (cont’d.) |
| |||||||||||||||
Avangrid, Inc., (cont’d.) |
| |||||||||||||||
3.800% | 06/01/29 | 9,750 | $ | 11,327,862 | ||||||||||||
Avista Corp., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.350% | 06/01/48 | 14,005 | 17,393,970 | |||||||||||||
Baltimore Gas & Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.900% | 06/15/50 | 2,290 | 2,334,975 | |||||||||||||
3.750% | 08/15/47 | 20,800 | 24,003,964 | |||||||||||||
4.250% | 09/15/48 | 14,575 | 18,036,758 | |||||||||||||
Berkshire Hathaway Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.800% | 07/15/48 | 7,145 | 8,325,996 | |||||||||||||
4.450% | 01/15/49 | 22,700 | 29,141,914 | |||||||||||||
4.500% | 02/01/45 | (a) | 4,465 | 5,622,568 | ||||||||||||
CenterPoint Energy Houston Electric LLC, |
| |||||||||||||||
General Ref. Mortgage |
| |||||||||||||||
4.500% | 04/01/44 | (a) | 10,260 | 13,123,657 | ||||||||||||
CenterPoint Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.700% | 09/01/49 | 14,295 | 15,510,871 | |||||||||||||
4.250% | 11/01/28 | 3,645 | 4,220,454 | |||||||||||||
Cleco Corporate Holdings LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.375% | 09/15/29 | 9,995 | 10,348,709 | |||||||||||||
Cleveland Electric Illuminating Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.550% | 11/15/30 | 9,675 | 11,766,490 | |||||||||||||
CMS Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.875% | 03/01/24 | 9,250 | 9,999,940 | |||||||||||||
4.875% | 03/01/44 | 4,495 | 5,858,180 | |||||||||||||
Commonwealth Edison Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.000% | 03/01/50 | 20,300 | 21,475,554 | |||||||||||||
3.650% | 06/15/46 | 18,950 | 22,080,937 | |||||||||||||
3.700% | 03/01/45 | 6,751 | 7,851,607 | |||||||||||||
3.800% | 10/01/42 | 1,465 | 1,706,545 | |||||||||||||
4.000% | 03/01/48 | 7,045 | 8,699,448 | |||||||||||||
4.350% | 11/15/45 | 4,655 | 5,912,613 | |||||||||||||
4.600% | 08/15/43 | 2,000 | 2,573,911 | |||||||||||||
4.700% | 01/15/44 | 925 | 1,217,501 | |||||||||||||
First Mortgage, Series 123 |
| |||||||||||||||
3.750% | 08/15/47 | 7,610 | 9,023,011 | |||||||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 06/15/46 | 925 | 1,072,202 | |||||||||||||
3.950% | 03/01/43 | 4,905 | 5,600,582 | |||||||||||||
4.450% | 03/15/44 | (a) | 8,000 | 9,802,314 | ||||||||||||
4.500% | 05/15/58 | 17,600 | 22,134,192 | |||||||||||||
5.700% | 06/15/40 | 2,120 | 2,942,517 | |||||||||||||
Sr. Unsec’d. Notes, Series C |
| |||||||||||||||
4.300% | 12/01/56 | 4,285 | 5,179,097 | |||||||||||||
Consumers Energy Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.100% | 08/15/50 | 18,200 | 20,390,457 | |||||||||||||
3.250% | 08/15/46 | 5,075 | 5,674,184 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (cont’d.) |
| |||||||||||||||
Consumers Energy Co., (cont’d.) |
| |||||||||||||||
3.500% | 08/01/51 | 20,500 | $ | 24,326,306 | ||||||||||||
4.350% | 08/31/64 | 6,840 | 8,974,073 | |||||||||||||
Dominion Energy South Carolina, Inc., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
5.450% | 02/01/41 | (a) | 3,000 | 4,130,611 | ||||||||||||
Dominion Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 06/01/28 | 6,160 | 7,093,506 | |||||||||||||
4.700% | 12/01/44 | 1,625 | 2,011,632 | |||||||||||||
Sr. Unsec’d. Notes, Series A |
| |||||||||||||||
4.600% | 03/15/49 | (a) | 3,800 | 4,797,054 | ||||||||||||
Sr. Unsec’d. Notes, Series C |
| |||||||||||||||
4.900% | 08/01/41 | 8,810 | 10,913,831 | |||||||||||||
DTE Electric Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
2.950% | 03/01/50 | 3,500 | 3,661,007 | |||||||||||||
General Ref. Mortgage |
| |||||||||||||||
3.700% | 03/15/45 | 17,700 | 20,507,702 | |||||||||||||
3.700% | 06/01/46 | 1,305 | 1,515,279 | |||||||||||||
3.750% | 08/15/47 | 7,040 | 8,272,642 | |||||||||||||
3.950% | 06/15/42 | 5,800 | 6,548,468 | |||||||||||||
4.300% | 07/01/44 | 3,975 | 4,998,575 | |||||||||||||
General Ref. Mortgage, Series A |
| |||||||||||||||
4.000% | 04/01/43 | 525 | 627,437 | |||||||||||||
DTE Energy Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series C |
| |||||||||||||||
2.529% | 10/01/24 | (a) | 13,330 | 14,032,981 | ||||||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||||||
3.700% | 08/01/23 | (a) | 5,835 | 6,301,189 | ||||||||||||
Sr. Unsec’d. Notes, Series F |
| |||||||||||||||
3.850% | 12/01/23 | 5,000 | 5,430,177 | |||||||||||||
Duke Energy Carolinas LLC, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.200% | 08/15/49 | 40,700 | 45,709,231 | |||||||||||||
3.950% | 03/15/48 | 11,280 | 13,982,832 | |||||||||||||
4.250% | 12/15/41 | 12,900 | 16,062,143 | |||||||||||||
6.050% | 04/15/38 | 2,505 | 3,669,873 | |||||||||||||
First Ref. Mortgage |
| |||||||||||||||
2.950% | 12/01/26 | 14,955 | 16,674,033 | |||||||||||||
3.750% | 06/01/45 | 20,530 | 23,990,997 | |||||||||||||
Duke Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 09/01/46 | 7,695 | 8,711,153 | |||||||||||||
Duke Energy Florida LLC, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.400% | 10/01/46 | 8,280 | 9,337,985 | |||||||||||||
Duke Energy Indiana LLC, |
| |||||||||||||||
First Mortgage, Series WWW |
| |||||||||||||||
4.900% | 07/15/43 | 400 | 535,037 | |||||||||||||
Duke Energy Ohio, Inc., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.800% | 09/01/23 | 1,500 | 1,630,883 | |||||||||||||
Duke Energy Progress LLC, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.700% | 10/15/46 | 20,295 | 23,711,244 | |||||||||||||
4.100% | 03/15/43 | 1,200 | 1,454,136 |
SEE NOTES TO FINANCIAL STATEMENTS.
A9
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (cont’d.) |
| |||||||||||||||
Duke Energy Progress LLC, (cont’d.) |
| |||||||||||||||
4.150% | 12/01/44 | 4,802 | $ | 5,907,711 | ||||||||||||
5.700% | 04/01/35 | 500 | 683,385 | |||||||||||||
6.125% | 09/15/33 | 4,400 | 6,032,504 | |||||||||||||
El Paso Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.000% | 12/01/44 | 4,800 | 5,670,658 | |||||||||||||
Electricite de France SA (France), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.875% | 01/22/44 | 1,000 | 1,195,480 | |||||||||||||
4.950% | 10/13/45 | 10,850 | 13,196,267 | |||||||||||||
6.000% | 01/22/2114 | 1,300 | 1,697,119 | |||||||||||||
Emera US Finance LP (Canada), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.750% | 06/15/46 | (a) | 20,050 | 23,855,777 | ||||||||||||
Enel Finance International NV (Italy), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.500% | 04/06/28 | 26,297 | 28,254,995 | |||||||||||||
3.625% | 05/25/27 | (a) | 9,825 | 10,733,239 | ||||||||||||
4.250% | 09/14/23 | (a) | 14,820 | 16,114,454 | ||||||||||||
4.625% | 09/14/25 | 11,595 | 13,213,194 | |||||||||||||
4.875% | 06/14/29 | 1,205 | 1,425,018 | |||||||||||||
Entergy Louisiana LLC, |
| |||||||||||||||
Collateral Trust |
| |||||||||||||||
3.050% | 06/01/31 | 2,500 | 2,789,080 | |||||||||||||
4.200% | 09/01/48 | 73,370 | 93,615,529 | |||||||||||||
4.200% | 04/01/50 | 14,080 | 17,912,644 | |||||||||||||
Entergy Mississippi LLC, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.850% | 06/01/49 | 3,195 | 3,825,128 | |||||||||||||
Entergy Texas, Inc., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.550% | 09/30/49 | 18,180 | 20,013,521 | |||||||||||||
4.500% | 03/30/39 | 15,760 | 19,109,113 | |||||||||||||
Evergy Kansas Central, Inc., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.250% | 09/01/49 | 12,685 | 13,606,617 | |||||||||||||
4.100% | 04/01/43 | 3,000 | 3,523,539 | |||||||||||||
4.125% | 03/01/42 | 3,010 | 3,559,397 | |||||||||||||
4.250% | 12/01/45 | 4,365 | 5,328,870 | |||||||||||||
4.625% | 09/01/43 | 2,780 | 3,436,175 | |||||||||||||
Evergy Kansas South, Inc., |
| |||||||||||||||
First Mortgage, 144A |
| |||||||||||||||
4.300% | 07/15/44 | 2,000 | 2,373,061 | |||||||||||||
Evergy Metro, Inc., |
| |||||||||||||||
General Ref. Mortgage |
| |||||||||||||||
4.125% | 04/01/49 | 1,220 | 1,502,660 | |||||||||||||
Mortgage |
| |||||||||||||||
4.200% | 03/15/48 | 4,330 | 5,351,041 | |||||||||||||
Eversource Energy, |
| |||||||||||||||
Sr. Unsec’d. Notes, Series M |
| |||||||||||||||
3.300% | 01/15/28 | 4,660 | 5,123,352 | |||||||||||||
Exelon Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.450% | 04/15/46 | (a) | 5,390 | 6,544,823 | ||||||||||||
4.700% | 04/15/50 | 1,670 | 2,133,519 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (cont’d.) |
| |||||||||||||||
Exelon Generation Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 06/01/25 | 14,530 | $ | 15,670,737 | ||||||||||||
5.600% | 06/15/42 | (a) | 7,902 | 8,895,982 | ||||||||||||
5.750% | 10/01/41 | (a) | 17,275 | 19,233,269 | ||||||||||||
6.250% | 10/01/39 | 10,000 | 11,950,611 | |||||||||||||
FirstEnergy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series C |
| |||||||||||||||
4.850% | 07/15/47 | (a) | 12,250 | 15,583,289 | ||||||||||||
FirstEnergy Transmission LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.450% | 07/15/44 | 16,033 | 20,527,516 | |||||||||||||
Florida Power & Light Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.150% | 10/01/49 | (a) | 21,545 | 24,473,122 | ||||||||||||
3.250% | 06/01/24 | 3,575 | 3,886,825 | |||||||||||||
3.700% | 12/01/47 | 3,870 | 4,703,024 | |||||||||||||
3.950% | 03/01/48 | (a) | 19,570 | 24,614,221 | ||||||||||||
3.990% | 03/01/49 | 19,700 | 25,041,844 | |||||||||||||
4.050% | 10/01/44 | 4,104 | 5,142,209 | |||||||||||||
Fortis, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.055% | 10/04/26 | 4,737 | 5,109,364 | |||||||||||||
Georgia Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.300% | 03/15/42 | 2,803 | 3,261,719 | |||||||||||||
5.400% | 06/01/40 | (a) | 3,109 | 3,924,002 | ||||||||||||
Sr. Unsec’d. Notes, Series 10-C |
| |||||||||||||||
4.750% | 09/01/40 | 1,900 | 2,329,923 | |||||||||||||
Sr. Unsec’d. Notes, Series B |
| |||||||||||||||
2.650% | 09/15/29 | 9,290 | 9,809,021 | |||||||||||||
Idaho Power Co., |
| |||||||||||||||
First Mortgage, Series K |
| |||||||||||||||
4.200% | 03/01/48 | 6,300 | 7,822,918 | |||||||||||||
Indiana Michigan Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, Series K |
| |||||||||||||||
4.550% | 03/15/46 | 7,235 | 9,176,702 | |||||||||||||
Indianapolis Power & Light Co., |
| |||||||||||||||
First Mortgage, 144A |
| |||||||||||||||
4.700% | 09/01/45 | 13,200 | 16,697,813 | |||||||||||||
Interstate Power & Light Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.700% | 10/15/43 | (a) | 675 | 824,174 | ||||||||||||
IPALCO Enterprises, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.250% | 05/01/30 | (a) | 4,290 | 4,666,760 | ||||||||||||
ITC Holdings Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 06/30/26 | 10,295 | 11,296,031 | |||||||||||||
5.300% | 07/01/43 | 1,000 | 1,261,832 | |||||||||||||
Jersey Central Power & Light Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.700% | 04/01/24 | 1,000 | 1,124,012 | |||||||||||||
Kentucky Utilities Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.375% | 10/01/45 | 960 | 1,174,944 | |||||||||||||
4.650% | 11/15/43 | 675 | 829,084 |
SEE NOTES TO FINANCIAL STATEMENTS.
A10
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (cont’d.) |
| |||||||||||||||
Louisville Gas & Electric Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.375% | 10/01/45 | 9,500 | $ | 11,280,938 | ||||||||||||
Metropolitan Edison Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.000% | 04/15/25 | 10,000 | 11,183,684 | |||||||||||||
4.300% | 01/15/29 | 6,315 | 7,441,918 | |||||||||||||
MidAmerican Energy Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.650% | 04/15/29 | 12,000 | 14,313,678 | |||||||||||||
3.650% | 08/01/48 | 22,370 | 26,619,201 | |||||||||||||
4.250% | 05/01/46 | 4,500 | 5,624,091 | |||||||||||||
4.250% | 07/15/49 | 10,200 | 13,234,516 | |||||||||||||
4.400% | 10/15/44 | 16,080 | 20,367,715 | |||||||||||||
4.800% | 09/15/43 | 2,900 | 3,829,767 | |||||||||||||
Monongahela Power Co., |
| |||||||||||||||
First Mortgage, 144A |
| |||||||||||||||
4.100% | 04/15/24 | (a) | 2,575 | 2,846,534 | ||||||||||||
Nevada Power Co., |
| |||||||||||||||
General Ref. Mortgage, Series CC |
| |||||||||||||||
3.700% | 05/01/29 | 8,350 | 9,715,104 | |||||||||||||
New England Power Co. (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.800% | 12/05/47 | (a) | 7,320 | 8,315,106 | ||||||||||||
New York State Electric & Gas Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.250% | 12/01/26 | 8,110 | 8,975,736 | |||||||||||||
NextEra Energy Capital Holdings, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.150% | 04/01/24 | 8,075 | 8,768,566 | |||||||||||||
3.625% | 06/15/23 | 1,325 | 1,426,219 | |||||||||||||
Northern States Power Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
2.900% | 03/01/50 | 1,900 | 2,080,151 | |||||||||||||
3.400% | 08/15/42 | 8,450 | 9,574,721 | |||||||||||||
3.600% | 05/15/46 | 17,056 | 19,883,925 | |||||||||||||
3.600% | 09/15/47 | 11,350 | 13,338,853 | |||||||||||||
4.000% | 08/15/45 | 4,830 | 5,916,818 | |||||||||||||
4.125% | 05/15/44 | 8,520 | 10,579,314 | |||||||||||||
NRG Energy, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.625% | 01/15/27 | 2,000 | 2,094,928 | |||||||||||||
7.250% | 05/15/26 | (a) | 6,200 | 6,542,147 | ||||||||||||
Ohio Edison Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
8.250% | 10/15/38 | 2,722 | 4,320,969 | |||||||||||||
Oklahoma Gas & Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 12/15/44 | 9,000 | 9,913,482 | |||||||||||||
4.150% | 04/01/47 | 3,655 | 4,238,457 | |||||||||||||
4.550% | 03/15/44 | 1,325 | 1,546,968 | |||||||||||||
Oncor Electric Delivery Co. LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.700% | 05/15/50 | 30,000 | 36,219,909 | |||||||||||||
PacifiCorp, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.125% | 01/15/49 | 11,020 | 13,699,986 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (cont’d.) |
| |||||||||||||||
PacifiCorp, (cont’d.) |
| |||||||||||||||
4.150% | 02/15/50 | (a) | 26,800 | $ | 33,821,478 | |||||||||||
PECO Energy Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
2.800% | 06/15/50 | (a) | 6,070 | 6,254,614 | ||||||||||||
3.000% | 09/15/49 | 5,155 | 5,519,587 | |||||||||||||
3.700% | 09/15/47 | (a) | 3,840 | 4,550,311 | ||||||||||||
3.900% | 03/01/48 | 9,385 | 11,673,886 | |||||||||||||
First Ref. Mortgage |
| |||||||||||||||
4.800% | 10/15/43 | 1,575 | 2,071,937 | |||||||||||||
Pennsylvania Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.250% | 03/15/28 | 17,260 | 18,805,965 | |||||||||||||
3.600% | 06/01/29 | 10,000 | 11,200,769 | |||||||||||||
PPL Capital Funding, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.700% | 06/01/43 | 800 | 911,911 | |||||||||||||
5.000% | 03/15/44 | 5,865 | 7,028,559 | |||||||||||||
PPL Electric Utilities Corp., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.000% | 10/01/49 | 5,515 | 5,878,791 | |||||||||||||
3.950% | 06/01/47 | 4,460 | 5,363,906 | |||||||||||||
4.125% | 06/15/44 | 4,450 | 5,411,717 | |||||||||||||
6.250% | 05/15/39 | 500 | 742,933 | |||||||||||||
Progress Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.000% | 10/30/31 | 23,950 | 33,203,917 | |||||||||||||
7.750% | 03/01/31 | 8,824 | 12,843,071 | |||||||||||||
Public Service Co. of Colorado, |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.550% | 06/15/46 | 9,880 | 10,938,605 | |||||||||||||
3.700% | 06/15/28 | 2,000 | 2,327,290 | |||||||||||||
4.100% | 06/15/48 | 4,735 | 5,941,530 | |||||||||||||
4.300% | 03/15/44 | 165 | 209,229 | |||||||||||||
Public Service Electric & Gas Co., |
| |||||||||||||||
First Mortgage, Series I, MTN |
| |||||||||||||||
3.750% | 03/15/24 | 2,900 | 3,166,433 | |||||||||||||
4.000% | 06/01/44 | 2,000 | 2,348,843 | |||||||||||||
First Ref. Mortgage, MTN |
| |||||||||||||||
3.950% | 05/01/42 | 2,000 | 2,410,592 | |||||||||||||
Puget Energy, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
3.650% | 05/15/25 | 16,900 | 18,057,620 | |||||||||||||
Puget Sound Energy, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
3.250% | 09/15/49 | 22,510 | 24,486,704 | |||||||||||||
4.434% | 11/15/41 | 1,787 | 2,074,597 | |||||||||||||
Rochester Gas & Electric Corp., |
| |||||||||||||||
First Mortgage, 144A |
| |||||||||||||||
3.100% | 06/01/27 | 6,375 | 6,938,831 | |||||||||||||
San Diego Gas & Electric Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.150% | 05/15/48 | (a) | 37,545 | 45,886,441 | ||||||||||||
5.350% | 05/15/35 | 6,997 | 9,178,380 | |||||||||||||
5.350% | 05/15/40 | 773 | 1,020,722 |
SEE NOTES TO FINANCIAL STATEMENTS.
A11
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (cont’d.) |
| |||||||||||||||
Sempra Energy, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 06/15/27 | 14,765 | $ | 16,212,113 | ||||||||||||
3.400% | 02/01/28 | (a) | 21,790 | 23,953,737 | ||||||||||||
Southern California Edison Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.650% | 02/01/50 | (a) | 16,130 | 17,804,445 | ||||||||||||
First Ref. Mortgage |
| |||||||||||||||
3.900% | 03/15/43 | 5,000 | 5,541,724 | |||||||||||||
4.000% | 04/01/47 | 28,115 | 32,105,609 | |||||||||||||
4.050% | 03/15/42 | (a) | 7,200 | 8,219,526 | ||||||||||||
4.650% | 10/01/43 | 1,950 | 2,387,749 | |||||||||||||
5.500% | 03/15/40 | 11,962 | 15,552,665 | |||||||||||||
First Ref. Mortgage, Series C |
| |||||||||||||||
3.600% | 02/01/45 | 4,330 | 4,690,324 | |||||||||||||
4.125% | 03/01/48 | 15,150 | 17,682,024 | |||||||||||||
Southern Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 07/01/36 | 17,050 | 19,390,283 | |||||||||||||
Southwestern Public Service Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
3.700% | 08/15/47 | 4,470 | 5,097,346 | |||||||||||||
4.500% | 08/15/41 | 550 | 678,610 | |||||||||||||
Tampa Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.350% | 05/15/44 | 7,325 | 8,635,473 | |||||||||||||
4.450% | 06/15/49 | 13,580 | 17,351,620 | |||||||||||||
Toledo Edison Co. (The), |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
6.150% | 05/15/37 | 1,997 | 2,838,694 | |||||||||||||
Tri-State Generation & Transmission Association, Inc., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.250% | 06/01/46 | 11,770 | 13,737,446 | |||||||||||||
Union Electric Co., |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
3.650% | 04/15/45 | 9,175 | 10,552,864 | |||||||||||||
Virginia Electric & Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 01/15/43 | 1,399 | 1,675,365 | |||||||||||||
4.450% | 02/15/44 | 3,835 | 4,805,245 | |||||||||||||
Sr. Unsec’d. Notes, Series A |
| |||||||||||||||
3.500% | 03/15/27 | 7,920 | 8,996,779 | |||||||||||||
3.800% | 04/01/28 | (a) | 1,530 | 1,781,854 | ||||||||||||
Sr. Unsec’d. Notes, Series B |
| |||||||||||||||
3.800% | 09/15/47 | 23,150 | 27,200,916 | |||||||||||||
4.200% | 05/15/45 | 8,500 | 10,317,114 | |||||||||||||
Sr. Unsec’d. Notes, Series C |
| |||||||||||||||
4.000% | 11/15/46 | 1,900 | 2,277,075 | |||||||||||||
Sr. Unsec’d. Notes, Series D |
| |||||||||||||||
4.650% | 08/15/43 | 2,000 | 2,576,409 | |||||||||||||
Vistra Operations Co. LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.550% | 07/15/24 | 5,525 | 5,714,693 | |||||||||||||
3.700% | 01/30/27 | 24,065 | 24,790,276 | |||||||||||||
4.300% | 07/15/29 | 6,970 | 7,342,902 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Electric (cont’d.) |
| |||||||||||||||
Wisconsin Electric Power Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 06/01/44 | 3,850 | $ | 4,367,570 | ||||||||||||
Wisconsin Public Service Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.752% | 11/01/44 | 5,000 | 6,428,981 | |||||||||||||
Xcel Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 12/01/26 | 5,145 | 5,778,951 | |||||||||||||
|
| |||||||||||||||
2,303,789,394 | ||||||||||||||||
|
| |||||||||||||||
Electronics — 0.3% |
| |||||||||||||||
Fortive Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.300% | 06/15/46 | 13,160 | 14,796,914 | |||||||||||||
Roper Technologies, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 09/15/28 | 5,985 | 7,002,878 | |||||||||||||
Sensata Technologies BV, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 10/01/25 | (a) | 2,500 | 2,662,296 | ||||||||||||
Tyco Electronics Group SA (Switzerland), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.500% | 02/03/22 | 8,100 | 8,417,414 | |||||||||||||
7.125% | 10/01/37 | 8,475 | 12,954,310 | |||||||||||||
|
| |||||||||||||||
45,833,812 | ||||||||||||||||
|
| |||||||||||||||
Engineering & Construction — 0.0% |
| |||||||||||||||
Mexico City Airport Trust (Mexico), |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.250% | 10/31/26 | 5,007 | 4,734,912 | |||||||||||||
5.500% | 07/31/47 | 2,500 | 2,205,113 | |||||||||||||
|
| |||||||||||||||
6,940,025 | ||||||||||||||||
|
| |||||||||||||||
Entertainment — 0.0% |
| |||||||||||||||
Cinemark USA, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.875% | 06/01/23 | 375 | 317,328 | |||||||||||||
|
| |||||||||||||||
Environmental Control — 0.1% |
| |||||||||||||||
Republic Services, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 11/15/27 | 7,965 | 8,970,227 | |||||||||||||
Waste Connections, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.050% | 04/01/50 | 3,175 | 3,210,484 | |||||||||||||
|
| |||||||||||||||
12,180,711 | ||||||||||||||||
|
| |||||||||||||||
Foods — 2.7% |
| |||||||||||||||
Ahold Finance USA LLC (Netherlands), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
6.875% | 05/01/29 | 509 | 706,079 | |||||||||||||
Campbell Soup Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.800% | 03/15/48 | (a) | 48,012 | 62,913,141 | ||||||||||||
J M Smucker Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.550% | 03/15/50 | 3,665 | 3,810,156 |
SEE NOTES TO FINANCIAL STATEMENTS.
A12
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Foods (cont’d.) |
| |||||||||||||||
Koninklijke Ahold Delhaize NV (Netherlands), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.700% | 10/01/40 | (a) | 7,739 | $ | 10,412,577 | |||||||||||
Kraft Heinz Foods Co., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.000% | 06/01/26 | 3,370 | 3,415,770 | |||||||||||||
4.375% | 06/01/46 | 8,181 | 8,026,722 | |||||||||||||
5.000% | 07/15/35 | (a) | 4,418 | 4,858,001 | ||||||||||||
5.200% | 07/15/45 | 33,974 | 36,699,827 | |||||||||||||
6.750% | 03/15/32 | 11,513 | 14,329,513 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.625% | 10/01/39 | 3,500 | 3,507,928 | |||||||||||||
7.125% | 08/01/39 | (a) | 5,165 | 6,602,043 | ||||||||||||
Kroger Co. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.875% | 10/15/46 | 8,820 | 9,875,443 | |||||||||||||
4.650% | 01/15/48 | 10,453 | 13,029,231 | |||||||||||||
5.000% | 04/15/42 | 1,150 | 1,437,248 | |||||||||||||
5.150% | 08/01/43 | 450 | 571,768 | |||||||||||||
5.400% | 01/15/49 | (a) | 15,215 | 21,192,650 | ||||||||||||
Sr. Unsec’d. Notes, Series B |
| |||||||||||||||
7.700% | 06/01/29 | 4,400 | 6,297,642 | |||||||||||||
Mars, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.950% | 04/01/44 | 22,980 | 27,754,029 | |||||||||||||
4.125% | 04/01/54 | 11,735 | 14,830,179 | |||||||||||||
4.200% | 04/01/59 | 10,575 | 13,535,052 | |||||||||||||
Nestle Holdings, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.900% | 09/24/38 | (a) | 75,000 | 94,260,897 | ||||||||||||
Sysco Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.750% | 10/01/25 | 7,600 | 8,321,502 | |||||||||||||
4.500% | 04/01/46 | 4,255 | 4,605,824 | |||||||||||||
4.850% | 10/01/45 | (a) | 1,585 | 1,825,401 | ||||||||||||
6.600% | 04/01/50 | 6,245 | 8,627,843 | |||||||||||||
Tyson Foods, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.550% | 06/02/27 | 12,390 | 13,706,806 | |||||||||||||
4.000% | 03/01/26 | (a) | 3,180 | 3,637,585 | ||||||||||||
4.550% | 06/02/47 | 4,660 | 5,598,520 | |||||||||||||
5.100% | 09/28/48 | (a) | 61,305 | 78,716,151 | ||||||||||||
5.150% | 08/15/44 | 1,075 | 1,356,069 | |||||||||||||
|
| |||||||||||||||
484,461,597 | ||||||||||||||||
|
| |||||||||||||||
Forest Products & Paper — 0.5% |
| |||||||||||||||
Georgia-Pacific LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.250% | 06/01/28 | 2,960 | 4,047,695 | |||||||||||||
International Paper Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.800% | 06/15/44 | 28,560 | 33,730,357 | |||||||||||||
5.150% | 05/15/46 | 1,726 | 2,147,235 | |||||||||||||
6.000% | 11/15/41 | 22,149 | 28,869,264 | |||||||||||||
7.300% | 11/15/39 | 2,080 | 2,930,358 | |||||||||||||
8.700% | 06/15/38 | 7,104 | 11,534,963 | |||||||||||||
|
| |||||||||||||||
83,259,872 | ||||||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Gas — 1.2% |
| |||||||||||||||
Atmos Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.375% | 09/15/49 | 15,400 | $ | 17,299,871 | ||||||||||||
4.125% | 10/15/44 | 5,120 | 6,287,327 | |||||||||||||
CenterPoint Energy Resources Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.100% | 09/01/47 | 2,610 | 2,905,333 | |||||||||||||
Dominion Energy Gas Holdings LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.600% | 12/15/44 | 915 | 1,054,015 | |||||||||||||
NiSource, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.375% | 05/15/47 | (a) | 15,000 | 18,271,013 | ||||||||||||
4.800% | 02/15/44 | 10,310 | 12,616,946 | |||||||||||||
5.650% | 02/01/45 | 3,000 | 4,053,844 | |||||||||||||
ONE Gas, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 11/01/48 | (a) | 14,125 | 17,924,583 | ||||||||||||
Piedmont Natural Gas Co., Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 06/01/29 | 12,500 | 14,260,546 | |||||||||||||
4.650% | 08/01/43 | 5,960 | 7,289,682 | |||||||||||||
Southern California Gas Co., |
| |||||||||||||||
First Mortgage |
| |||||||||||||||
4.450% | 03/15/44 | 2,500 | 3,065,899 | |||||||||||||
First Mortgage, Series UU |
| |||||||||||||||
4.125% | 06/01/48 | 9,445 | 11,816,753 | |||||||||||||
First Mortgage, Series VV |
| |||||||||||||||
4.300% | 01/15/49 | 12,650 | 16,003,659 | |||||||||||||
First Mortgage, Series WW |
| |||||||||||||||
3.950% | 02/15/50 | 24,720 | 30,321,748 | |||||||||||||
Southern Co. Gas Capital Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.250% | 06/15/26 | (a) | 9,414 | 10,099,748 | ||||||||||||
3.950% | 10/01/46 | 5,520 | 6,014,805 | |||||||||||||
4.400% | 06/01/43 | 750 | 852,753 | |||||||||||||
4.400% | 05/30/47 | 27,369 | 32,302,503 | |||||||||||||
Southwest Gas Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/01/43 | 5,000 | 6,177,920 | |||||||||||||
|
| |||||||||||||||
218,618,948 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 1.2% |
| |||||||||||||||
Abbott Laboratories, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.900% | 11/30/46 | 2,390 | 3,415,301 | |||||||||||||
Boston Scientific Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 03/01/26 | (a) | 9,780 | 11,099,064 | ||||||||||||
DH Europe Finance II Sarl, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.350% | 09/18/39 | EUR | 44,100 | 47,105,825 | ||||||||||||
1.800% | 09/18/49 | EUR | 7,500 | 8,064,614 | ||||||||||||
Koninklijke Philips NV (Netherlands), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.000% | 03/15/42 | 9,216 | 11,900,777 |
SEE NOTES TO FINANCIAL STATEMENTS.
A13
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Products (cont’d.) |
| |||||||||||||||
Medtronic Global Holdings SCA, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
1.625% | 03/07/31 | EUR | 2,800 | $ | 3,424,551 | |||||||||||
2.250% | 03/07/39 | EUR | 4,120 | 5,195,158 | ||||||||||||
Medtronic, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.375% | 03/15/35 | (a) | 2,360 | 3,086,519 | ||||||||||||
4.625% | 03/15/45 | 1 | 1,341 | |||||||||||||
Thermo Fisher Scientific, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 08/15/27 | 21,853 | 24,336,187 | |||||||||||||
Sr. Unsec’d. Notes, EMTN |
| |||||||||||||||
1.500% | 10/01/39 | EUR | 32,150 | 35,473,530 | ||||||||||||
1.875% | 10/01/49 | EUR | 45,875 | 49,119,997 | ||||||||||||
Zimmer Biomet Holdings, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.550% | 03/20/30 | 11,485 | 12,386,259 | |||||||||||||
|
| |||||||||||||||
214,609,123 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Services — 2.9% |
| |||||||||||||||
Advocate Health & Hospitals Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.829% | 08/15/28 | 7,005 | 7,929,087 | |||||||||||||
4.272% | 08/15/48 | 8,950 | 11,472,401 | |||||||||||||
Aetna, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 11/15/42 | 1,865 | 2,107,757 | |||||||||||||
Allina Health System, |
| |||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
4.805% | 11/15/45 | 4,465 | 5,229,768 | |||||||||||||
Anthem, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.125% | 05/15/50 | (a) | 18,325 | 19,036,165 | ||||||||||||
3.650% | 12/01/27 | (a) | 6,550 | 7,450,866 | ||||||||||||
3.700% | 09/15/49 | 8,819 | 10,060,883 | |||||||||||||
4.101% | 03/01/28 | 4,075 | 4,762,731 | |||||||||||||
4.625% | 05/15/42 | 2,600 | 3,249,317 | |||||||||||||
4.650% | 01/15/43 | 1,000 | 1,263,302 | |||||||||||||
4.850% | 08/15/54 | 510 | 578,154 | |||||||||||||
5.100% | 01/15/44 | 720 | 958,229 | |||||||||||||
Ascension Health, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.945% | 11/15/46 | (a) | 16,165 | 20,250,458 | ||||||||||||
Unsec’d. Notes |
| |||||||||||||||
4.847% | 11/15/53 | (a) | 2,672 | 3,849,871 | ||||||||||||
Baylor Scott & White Holdings, |
| |||||||||||||||
Sec’d. Notes |
| |||||||||||||||
3.967% | 11/15/46 | 17,863 | 21,269,458 | |||||||||||||
Children’s Hospital Corp. (The), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.115% | 01/01/47 | 6,650 | 8,294,974 | |||||||||||||
Dartmouth-Hitchcock Health, |
| |||||||||||||||
Sec’d. Notes, Series B |
| |||||||||||||||
4.178% | 08/01/48 | 12,000 | 13,005,695 | |||||||||||||
Duke University Health System, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.920% | 06/01/47 | 3,265 | 4,039,968 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||
Healthcare-Services (cont’d.) |
| |||||||||||||
HCA, Inc., |
| |||||||||||||
Gtd. Notes |
| |||||||||||||
5.375% | 02/01/25(a) | 1,650 | $ | 1,775,467 | ||||||||||
5.875% | 05/01/23 | 750 | 812,545 | |||||||||||
5.875% | 02/01/29(a) | 5,400 | 6,104,859 | |||||||||||
Sr. Sec’d. Notes |
| |||||||||||||
5.000% | 03/15/24 | 29,115 | 32,367,998 | |||||||||||
5.250% | 04/15/25 | 3,500 | 4,014,711 | |||||||||||
5.250% | 06/15/49 | 33,928 | 40,623,322 | |||||||||||
5.500% | 06/15/47 | 10,000 | 12,202,999 | |||||||||||
Indiana University Health, Inc. Obligated Group, |
| |||||||||||||
Sec’d. Notes |
| |||||||||||||
3.970% | 11/01/48 | 21,125 | 26,531,944 | |||||||||||
Kaiser Foundation Hospitals, |
| |||||||||||||
Gtd. Notes |
| |||||||||||||
4.150% | 05/01/47(a) | 18,105 | 23,650,441 | |||||||||||
4.875% | 04/01/42 | 1,000 | 1,361,521 | |||||||||||
Laboratory Corp. of America Holdings, |
| |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||
4.700% | 02/01/45 | 12,050 | 14,554,810 | |||||||||||
Memorial Sloan-Kettering Cancer Center, |
| |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||
4.125% | 07/01/52 | 2,390 | 3,038,900 | |||||||||||
Unsec’d. Notes |
| |||||||||||||
2.955% | 01/01/50 | 3,405 | 3,665,344 | |||||||||||
New York and Presbyterian Hospital (The), |
| |||||||||||||
Unsec’d. Notes |
| |||||||||||||
3.954% | 08/01/2119 | 2,225 | 2,393,505 | |||||||||||
4.024% | 08/01/45 | 6,529 | 8,019,911 | |||||||||||
4.063% | 08/01/56 | 2,850 | 3,458,686 | |||||||||||
NYU Langone Hospitals, |
| |||||||||||||
Sec’d. Notes |
| |||||||||||||
4.368% | 07/01/47 | 12,075 | 13,203,143 | |||||||||||
4.784% | 07/01/44 | 7,305 | 8,406,541 | |||||||||||
Sr. Sec’d. Notes |
| |||||||||||||
5.750% | 07/01/43 | 700 | 896,831 | |||||||||||
OhioHealth Corp., |
| |||||||||||||
Unsec’d. Notes |
| |||||||||||||
3.042% | 11/15/50 | 2,000 | 2,137,266 | |||||||||||
Orlando Health Obligated Group, |
| |||||||||||||
Unsec’d. Notes |
| |||||||||||||
4.089% | 10/01/48 | 2,208 | 2,478,040 | |||||||||||
Quest Diagnostics, Inc., |
| |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||
2.950% | 06/30/30 | 10,560 | 11,203,026 | |||||||||||
3.450% | 06/01/26(a) | 4,715 | 5,293,285 | |||||||||||
4.250% | 04/01/24 | 1,400 | 1,554,903 | |||||||||||
4.700% | 03/30/45 | 7,800 | 9,484,838 | |||||||||||
5.750% | 01/30/40 | 1,251 | 1,525,046 | |||||||||||
6.950% | 07/01/37 | 1,704 | 2,384,024 | |||||||||||
RWJ Barnabas Health, Inc., |
| |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||
3.949% | 07/01/46 | 8,850 | 9,882,211 | |||||||||||
Unsec’d. Notes |
| |||||||||||||
3.477% | 07/01/49 | 1,745 | 1,846,795 |
SEE NOTES TO FINANCIAL STATEMENTS.
A14
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Healthcare-Services (cont’d.) |
| |||||||||||||||
Southern Baptist Hospital of Florida, Inc., |
| |||||||||||||||
Sec’d. Notes |
| |||||||||||||||
4.857% | 07/15/45 | 4,275 | $ | 5,069,125 | ||||||||||||
Sutter Health, | ||||||||||||||||
Unsec’d. Notes |
| |||||||||||||||
3.695% | 08/15/28 | 2,400 | 2,669,434 | |||||||||||||
Texas Health Resources, |
| |||||||||||||||
Sec’d. Notes |
| |||||||||||||||
4.330% | 11/15/55 | 5,400 | 7,063,321 | |||||||||||||
UnitedHealth Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 07/15/25 | 5,320 | 6,061,445 | |||||||||||||
3.850% | 06/15/28 | 14,150 | 16,740,159 | |||||||||||||
3.950% | 10/15/42 | 2,060 | 2,437,235 | |||||||||||||
4.250% | 04/15/47 | 13,715 | 17,394,316 | |||||||||||||
4.250% | 06/15/48 | (a) | 13,865 | 17,722,941 | ||||||||||||
4.450% | 12/15/48 | (a) | 2,000 | 2,643,126 | ||||||||||||
4.625% | 11/15/41 | 4,601 | 5,975,294 | |||||||||||||
4.750% | 07/15/45 | 6,770 | 9,075,577 | |||||||||||||
5.800% | 03/15/36 | (a) | 3,945 | 5,591,522 | ||||||||||||
Willis-Knighton Medical Center, |
| |||||||||||||||
Sec’d. Notes |
| |||||||||||||||
4.813% | 09/01/48 | 6,480 | 8,098,952 | |||||||||||||
|
| |||||||||||||||
506,224,443 | ||||||||||||||||
|
| |||||||||||||||
Home Builders — 0.1% |
| |||||||||||||||
D.R. Horton, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.750% | 02/15/23 | 8,500 | 9,179,290 | |||||||||||||
Toll Brothers Finance Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.875% | 11/15/25 | (a) | 915 | 979,410 | ||||||||||||
|
| |||||||||||||||
10,158,700 | ||||||||||||||||
|
| |||||||||||||||
Home Furnishings — 0.0% |
| |||||||||||||||
Whirlpool Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
4.850% | 06/15/21 | 700 | 728,824 | |||||||||||||
|
| |||||||||||||||
Household Products/Wares — 0.5% |
| |||||||||||||||
Kimberly-Clark de Mexico SAB de CV (Mexico), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.250% | 03/12/25 | 23,175 | 22,982,290 | |||||||||||||
Reckitt Benckiser Treasury Services PLC (United Kingdom), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
2.375% | 06/24/22 | 44,150 | 45,448,932 | |||||||||||||
2.750% | 06/26/24 | 21,245 | 22,614,017 | |||||||||||||
SC Johnson & Son, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.000% | 05/15/43 | 425 | 488,790 | |||||||||||||
|
| |||||||||||||||
91,534,029 | ||||||||||||||||
|
| |||||||||||||||
Housewares — 0.0% |
| |||||||||||||||
Newell Brands, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 06/15/22 | (a) | 885 | 904,946 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Housewares (cont’d.) |
| |||||||||||||||
Newell Brands, Inc., (cont’d.) |
| |||||||||||||||
4.350% | 04/01/23 | (a) | 4,019 | $ | 4,141,369 | |||||||||||
|
| |||||||||||||||
5,046,315 | ||||||||||||||||
|
| |||||||||||||||
Insurance — 1.7% |
| |||||||||||||||
Allstate Corp. (The), |
| |||||||||||||||
Sub. Notes, Series B |
| |||||||||||||||
5.750%(ff) | 08/15/53 | 800 | 827,983 | |||||||||||||
American International Group, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 02/15/24 | 2,700 | 3,010,186 | |||||||||||||
4.375% | 06/30/50 | (a) | 15,000 | 17,320,385 | ||||||||||||
4.375% | 01/15/55 | 7,500 | 8,521,035 | |||||||||||||
4.500% | 07/16/44 | 3,035 | 3,488,113 | |||||||||||||
Arch Capital Finance LLC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.011% | 12/15/26 | 3,435 | 3,888,098 | |||||||||||||
Arch Capital Group US, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.144% | 11/01/43 | 8,532 | 10,625,973 | |||||||||||||
Berkshire Hathaway Finance Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.250% | 01/15/49 | 10,530 | 13,478,149 | |||||||||||||
4.300% | 05/15/43 | 2,250 | 2,914,380 | |||||||||||||
4.400% | 05/15/42 | 645 | 843,268 | |||||||||||||
CNA Financial Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 03/01/26 | 27,363 | 30,859,258 | |||||||||||||
Everest Reinsurance Holdings, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.868% | 06/01/44 | 14,360 | 16,634,981 | |||||||||||||
Hartford Financial Services Group, Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.600% | 08/19/49 | 180 | 191,442 | |||||||||||||
Liberty Mutual Group, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.950% | 05/15/60 | 10,134 | 10,659,078 | |||||||||||||
3.951% | 10/15/50 | (a) | 34,165 | 36,049,592 | ||||||||||||
4.250% | 06/15/23 | 1,243 | 1,349,745 | |||||||||||||
4.569% | 02/01/29 | 10,467 | 12,254,705 | |||||||||||||
Lincoln National Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.300% | 10/09/37 | 4,385 | 5,822,694 | |||||||||||||
7.000% | 06/15/40 | 6,248 | 8,804,865 | |||||||||||||
Markel Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 11/01/27 | 5,000 | 5,344,083 | |||||||||||||
4.150% | 09/17/50 | 8,815 | 9,780,130 | |||||||||||||
4.300% | 11/01/47 | 4,479 | 5,054,480 | |||||||||||||
5.000% | 03/30/43 | 100 | 115,161 | |||||||||||||
5.000% | 04/05/46 | 3,270 | 4,014,699 | |||||||||||||
5.000% | 05/20/49 | 18,590 | 22,996,833 | |||||||||||||
New York Life Insurance Co., |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.450% | 05/15/69 | 6,880 | 8,538,132 |
SEE NOTES TO FINANCIAL STATEMENTS.
A15
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Insurance (cont’d.) |
| |||||||||||||||
Progressive Corp. (The), |
| |||||||||||||||
Jr. Sub. Notes, Series B |
| |||||||||||||||
5.375%(ff) | –(rr) | 4,000 | $ | 3,966,812 | ||||||||||||
Sompo International Holdings Ltd. (Bermuda), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.000% | 07/15/34 | 1,700 | 2,321,744 | |||||||||||||
Teachers Insurance & Annuity Association of America, |
| |||||||||||||||
Sub. Notes, 144A |
| |||||||||||||||
4.270% | 05/15/47 | 26,445 | 31,571,942 | |||||||||||||
4.900% | 09/15/44 | 350 | 448,117 | |||||||||||||
Unum Group, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.250% | 03/15/28 | (a) | 2,707 | 3,195,193 | ||||||||||||
W.R. Berkley Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.750% | 08/01/44 | (a) | 2,675 | 3,120,698 | ||||||||||||
XLIT Ltd. (Bermuda), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.250% | 12/15/43 | (a) | 2,962 | 4,044,794 | ||||||||||||
|
| |||||||||||||||
292,056,748 | ||||||||||||||||
|
| |||||||||||||||
Internet — 0.0% |
| |||||||||||||||
Prosus NV (China), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.680% | 01/21/30 | 3,715 | 3,887,533 | |||||||||||||
|
| |||||||||||||||
Iron/Steel — 0.1% |
| |||||||||||||||
Nucor Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.400% | 05/01/48 | (a) | 2,500 | 3,012,503 | ||||||||||||
Steel Dynamics, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.450% | 04/15/30 | (a) | 10,000 | 10,480,048 | ||||||||||||
|
| |||||||||||||||
13,492,551 | ||||||||||||||||
|
| |||||||||||||||
Lodging — 0.2% |
| |||||||||||||||
Choice Hotels International, Inc., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.750% | 07/01/22 | 2,500 | 2,610,630 | |||||||||||||
Marriott International, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 10/01/34 | 13,500 | 13,686,179 | |||||||||||||
Sr. Unsec’d. Notes, Series R |
| |||||||||||||||
3.125% | 06/15/26 | 22,630 | 22,102,715 | |||||||||||||
|
| |||||||||||||||
38,399,524 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Construction & Mining — 0.0% |
| |||||||||||||||
Caterpillar, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.050% | 08/15/36 | 2,200 | 3,151,805 | |||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.4% |
| |||||||||||||||
Deere & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 04/15/50 | 10,185 | 12,512,942 | |||||||||||||
John Deere Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
1.750% | 03/09/27 | (a) | 3,250 | 3,378,918 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Machinery-Diversified (cont’d.) |
| |||||||||||||||
Westinghouse Air Brake Technologies Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.950% | 09/15/28 | 46,281 | $ | 51,551,729 | ||||||||||||
Xylem, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 10/01/21 | 3,000 | 3,156,019 | |||||||||||||
|
| |||||||||||||||
70,599,608 | ||||||||||||||||
|
| |||||||||||||||
Media — 4.9% |
| |||||||||||||||
Belo Corp., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
7.250% | 09/15/27 | 150 | 160,157 | |||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
4.800% | 03/01/50 | (a) | 26,750 | 30,438,174 | ||||||||||||
5.375% | 04/01/38 | (a) | 13,155 | 15,961,778 | ||||||||||||
5.375% | 05/01/47 | (a) | 56,457 | 66,654,876 | ||||||||||||
5.750% | 04/01/48 | (a) | 73,667 | 91,425,071 | ||||||||||||
6.384% | 10/23/35 | 17,423 | 22,990,406 | |||||||||||||
6.484% | 10/23/45 | 10,574 | 14,120,736 | |||||||||||||
6.834% | 10/23/55 | (a) | 10,596 | 14,459,084 | ||||||||||||
Comcast Corp., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
3.150% | 03/01/26 | (a) | 6,030 | 6,702,625 | ||||||||||||
3.250% | 11/01/39 | (a) | 54,500 | 60,127,898 | ||||||||||||
3.300% | 02/01/27 | 3,245 | 3,639,853 | |||||||||||||
3.400% | 07/15/46 | 12,867 | 14,290,354 | |||||||||||||
3.450% | 02/01/50 | (a) | 54,000 | 61,140,169 | ||||||||||||
3.750% | 04/01/40 | (a) | 14,385 | 16,878,022 | ||||||||||||
3.900% | 03/01/38 | 18,880 | 22,407,835 | |||||||||||||
3.969% | 11/01/47 | 13,145 | 15,802,473 | |||||||||||||
3.999% | 11/01/49 | 4,598 | 5,582,745 | |||||||||||||
4.000% | 03/01/48 | 5,843 | 7,153,190 | |||||||||||||
4.049% | 11/01/52 | 6,355 | 7,791,375 | |||||||||||||
4.200% | 08/15/34 | 10,000 | 12,342,800 | |||||||||||||
4.250% | 01/15/33 | 6,090 | 7,507,294 | |||||||||||||
4.600% | 10/15/38 | 27,660 | 35,213,227 | |||||||||||||
4.600% | 08/15/45 | 31,348 | 40,728,584 | |||||||||||||
4.700% | 10/15/48 | 20,520 | 27,433,350 | |||||||||||||
4.950% | 10/15/58 | 15,300 | 21,822,576 | |||||||||||||
6.450% | 03/15/37 | 8,200 | 12,302,458 | |||||||||||||
CSC Holdings LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.500% | 05/15/26 | 6,000 | 6,177,705 | |||||||||||||
Discovery Communications LLC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.950% | 06/15/25 | (a) | 3,800 | 4,180,602 | ||||||||||||
4.125% | 05/15/29 | (a) | 17,100 | 19,411,077 | ||||||||||||
4.650% | 05/15/50 | (a) | 5,455 | 6,193,149 | ||||||||||||
4.950% | 05/15/42 | 2,935 | 3,335,475 | |||||||||||||
5.000% | 09/20/37 | 3,891 | 4,582,110 | |||||||||||||
5.200% | 09/20/47 | (a) | 5,000 | 5,806,511 | ||||||||||||
5.300% | 05/15/49 | (a) | 35,722 | 43,539,089 | ||||||||||||
Grupo Televisa SAB (Mexico), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.000% | 05/13/45 | 600 | 661,860 |
SEE NOTES TO FINANCIAL STATEMENTS.
A16
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Media (cont’d.) |
| |||||||||||||||
Grupo Televisa SAB (Mexico), (cont’d.) |
| |||||||||||||||
6.125% | 01/31/46 | (a) | 5,424 | $ | 6,911,244 | |||||||||||
Time Warner Cable LLC, |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
5.500% | 09/01/41 | (a) | 3,050 | 3,684,021 | ||||||||||||
5.875% | 11/15/40 | 7,590 | 9,355,899 | |||||||||||||
6.550% | 05/01/37 | (a) | 2,785 | 3,644,917 | ||||||||||||
6.750% | 06/15/39 | 4,700 | 6,253,715 | |||||||||||||
ViacomCBS, Inc., |
| |||||||||||||||
Jr. Sub. Notes |
| |||||||||||||||
6.250%(ff) | 02/28/57 | (a) | 2,835 | 2,907,324 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.900% | 01/15/27 | 2,615 | 2,735,362 | |||||||||||||
4.375% | 03/15/43 | 8,820 | 9,098,900 | |||||||||||||
5.250% | 04/01/44 | 28,591 | 31,944,649 | |||||||||||||
5.850% | 09/01/43 | 21,205 | 24,960,633 | |||||||||||||
Videotron Ltd. (Canada), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.000% | 07/15/22 | (a) | 1,100 | 1,136,884 | ||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.375% | 06/15/24 | (a) | 4,600 | 4,909,683 | ||||||||||||
Walt Disney Co. (The), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.800% | 05/13/60 | (a) | 7,170 | 8,275,722 | ||||||||||||
5.400% | 10/01/43 | 9,675 | 13,005,678 | |||||||||||||
6.400% | 12/15/35 | 1,937 | 2,908,567 | |||||||||||||
7.700% | 10/30/25 | (a) | 1,129 | 1,489,174 | ||||||||||||
|
| |||||||||||||||
862,187,060 | ||||||||||||||||
|
| |||||||||||||||
Mining — 1.4% |
| |||||||||||||||
Barrick Gold Corp. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.250% | 04/01/42 | 2,805 | 3,660,171 | |||||||||||||
6.450% | 10/15/35 | 5,000 | 6,643,971 | |||||||||||||
Barrick International Barbados Corp. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.350% | 10/15/36 | 15,000 | 20,567,804 | |||||||||||||
Barrick North America Finance LLC (Canada), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.700% | 05/30/41 | 8,800 | 11,794,015 | |||||||||||||
5.750% | 05/01/43 | (a) | 6,750 | 9,418,292 | ||||||||||||
7.500% | 09/15/38 | 10,946 | 15,916,153 | |||||||||||||
Barrick PD Australia Finance Pty Ltd. (Canada), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.950% | 10/15/39 | 18,386 | 24,769,696 | |||||||||||||
BHP Billiton Finance USA Ltd. (Australia), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
2.875% | 02/24/22 | 935 | 969,501 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.250%(ff) | 10/19/75 | 1,215 | 1,224,723 | |||||||||||||
Kinross Gold Corp. (Canada), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.500% | 07/15/27 | (a) | 27,087 | 29,585,724 | ||||||||||||
5.950% | 03/15/24 | 8,220 | 9,249,657 | |||||||||||||
6.875% | 09/01/41 | 6,250 | 7,543,698 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Mining (cont’d.) |
| |||||||||||||||
Newmont Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.625% | 06/09/21 | 4,085 | $ | 4,169,059 | ||||||||||||
Rio Tinto Finance USA Ltd. (Australia), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.200% | 11/02/40 | 860 | 1,209,000 | |||||||||||||
Rio Tinto Finance USA PLC (Australia), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.750% | 03/22/42 | 6,395 | 8,613,943 | |||||||||||||
Southern Copper Corp. (Peru), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 04/16/40 | 10,177 | 13,805,677 | |||||||||||||
Teck Resources Ltd. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.200% | 03/01/42 | 3,060 | 3,004,495 | |||||||||||||
5.400% | 02/01/43 | 38,580 | 38,304,070 | |||||||||||||
6.000% | 08/15/40 | (a) | 6,976 | 7,365,559 | ||||||||||||
6.125% | 10/01/35 | 3,600 | 4,091,759 | |||||||||||||
6.250% | 07/15/41 | 8,344 | 9,127,920 | |||||||||||||
WMC Finance USA Ltd. (Australia), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.250% | 05/15/33 | 2,000 | 2,925,970 | |||||||||||||
Yamana Gold, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.625% | 12/15/27 | 5,811 | 6,183,489 | |||||||||||||
|
| |||||||||||||||
240,144,346 | ||||||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.3% |
| |||||||||||||||
General Electric Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 10/09/42 | 274 | 260,511 | |||||||||||||
Hillenbrand, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.500% | 09/15/26 | 11,200 | 11,525,320 | |||||||||||||
Parker-Hannifin Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 06/14/29 | (a) | 4,175 | 4,603,882 | ||||||||||||
Siemens Financieringsmaatschappij NV (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.300% | 09/15/46 | 10,185 | 11,644,354 | |||||||||||||
4.400% | 05/27/45 | 8,260 | 11,052,072 | |||||||||||||
Textron, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 03/15/26 | 9,045 | 9,582,681 | |||||||||||||
|
| |||||||||||||||
48,668,820 | ||||||||||||||||
|
| |||||||||||||||
Office/Business Equipment — 0.2% |
| |||||||||||||||
Xerox Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 03/15/23 | (a) | 27,618 | 27,620,328 | ||||||||||||
|
| |||||||||||||||
Oil & Gas — 4.5% |
| |||||||||||||||
Apache Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.100% | 09/01/40 | (a) | 15,688 | 12,966,337 | ||||||||||||
5.250% | 02/01/42 | 7,500 | 6,116,301 |
SEE NOTES TO FINANCIAL STATEMENTS.
A17
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (cont’d.) |
| |||||||||||||||
BP Capital Markets America, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.000% | 02/24/50 | (a) | 10,925 | $ | 10,755,564 | |||||||||||
3.790% | 02/06/24 | 10,135 | 11,094,085 | |||||||||||||
BP Capital Markets PLC (United Kingdom), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.119% | 05/04/26 | (a) | 18,820 | 20,511,274 | ||||||||||||
Burlington Resources LLC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
7.200% | 08/15/31 | 2,285 | 3,274,127 | |||||||||||||
7.400% | 12/01/31 | 2,700 | 3,921,195 | |||||||||||||
Canadian Natural Resources Ltd. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.250% | 03/15/38 | (a) | 17,670 | 20,990,994 | ||||||||||||
6.450% | 06/30/33 | 2,000 | 2,413,741 | |||||||||||||
6.500% | 02/15/37 | 370 | 440,635 | |||||||||||||
Cenovus Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 04/15/27 | 5,000 | 4,547,065 | |||||||||||||
5.250% | 06/15/37 | 34,690 | 30,125,020 | |||||||||||||
5.400% | 06/15/47 | (a) | 30,762 | 26,464,996 | ||||||||||||
6.750% | 11/15/39 | (a) | 12,200 | 11,972,441 | ||||||||||||
Chevron Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.078% | 05/11/50 | 4,030 | 4,275,980 | |||||||||||||
Concho Resources, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.300% | 08/15/28 | (a) | 22,650 | 24,849,627 | ||||||||||||
4.850% | 08/15/48 | (a) | 4,900 | 5,503,995 | ||||||||||||
4.875% | 10/01/47 | (a) | 11,835 | 13,313,681 | ||||||||||||
ConocoPhillips, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.900% | 05/15/38 | (a) | 810 | 1,108,483 | ||||||||||||
6.500% | 02/01/39 | 616 | 893,647 | |||||||||||||
ConocoPhillips Co., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.150% | 11/15/34 | 847 | 945,462 | |||||||||||||
4.300% | 11/15/44 | 3,330 | 4,085,800 | |||||||||||||
4.950% | 03/15/26 | (a) | 14,705 | 17,603,589 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.950% | 04/15/29 | (a) | 3,300 | 4,608,905 | ||||||||||||
Continental Resources, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.800% | 06/01/24 | (a) | 3,525 | 3,317,585 | ||||||||||||
4.375% | 01/15/28 | (a) | 1,900 | 1,677,562 | ||||||||||||
4.500% | 04/15/23 | (a) | 1,500 | 1,432,913 | ||||||||||||
Devon Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.000% | 06/15/45 | (a) | 11,351 | 10,163,134 | ||||||||||||
5.600% | 07/15/41 | 21,825 | 21,321,903 | |||||||||||||
Diamondback Energy, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.500% | 12/01/29 | (a) | 13,500 | 13,051,347 | ||||||||||||
Eni SpA (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.000% | 09/12/23 | 1,635 | 1,769,050 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (cont’d.) |
| |||||||||||||||
EOG Resources, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.900% | 04/01/35 | 4,067 | $ | 4,749,877 | ||||||||||||
4.950% | 04/15/50 | (a) | 900 | 1,158,558 | ||||||||||||
Equinor ASA (Norway), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
2.375% | 05/22/30 | 3,260 | 3,393,643 | |||||||||||||
3.625% | 04/06/40 | 1,380 | 1,555,096 | |||||||||||||
3.700% | 04/06/50 | 8,000 | 9,263,696 | |||||||||||||
3.950% | 05/15/43 | (a) | 2,796 | 3,242,013 | ||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
7.750% | 06/15/23 | 1,200 | 1,432,059 | |||||||||||||
Exxon Mobil Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.452% | 04/15/51 | (a) | 7,815 | 8,665,848 | ||||||||||||
3.567% | 03/06/45 | (a) | 4,370 | 4,878,105 | ||||||||||||
Helmerich & Payne, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.650% | 03/15/25 | (a) | 8,000 | 8,602,170 | ||||||||||||
Hess Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.600% | 02/15/41 | (a) | 3,634 | 3,810,979 | ||||||||||||
5.800% | 04/01/47 | (a) | 3,560 | 3,858,197 | ||||||||||||
Husky Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 04/15/24 | 13,133 | 13,441,612 | |||||||||||||
6.800% | 09/15/37 | (a) | 5,435 | 6,168,977 | ||||||||||||
Marathon Oil Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.850% | 06/01/25 | (a) | 5,000 | 5,064,493 | ||||||||||||
4.400% | 07/15/27 | 21,000 | 20,620,236 | |||||||||||||
5.200% | 06/01/45 | (a) | 10,400 | 9,625,335 | ||||||||||||
Marathon Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.800% | 04/01/28 | 10,000 | 10,602,166 | |||||||||||||
5.000% | 09/15/54 | 9,375 | 9,650,796 | |||||||||||||
5.125% | 12/15/26 | (a) | 13,890 | 16,059,725 | ||||||||||||
5.850% | 12/15/45 | 3,110 | 3,362,735 | |||||||||||||
6.500% | 03/01/41 | 1,515 | 1,879,728 | |||||||||||||
Newfield Exploration Co., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.375% | 01/01/26 | 6,500 | 6,079,579 | |||||||||||||
Noble Energy, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.900% | 11/15/24 | 500 | 503,649 | |||||||||||||
5.050% | 11/15/44 | 3,313 | 3,012,079 | |||||||||||||
5.250% | 11/15/43 | (a) | 12,315 | 11,352,660 | ||||||||||||
6.000% | 03/01/41 | 12,630 | 12,299,925 | |||||||||||||
Occidental Petroleum Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.200% | 03/15/48 | 1,935 | 1,312,201 | |||||||||||||
4.250%(s) | 10/10/36 | 107,612 | 45,635,467 | |||||||||||||
4.400% | 04/15/46 | 32,065 | 22,362,284 | |||||||||||||
4.500% | 07/15/44 | 5,000 | 3,487,101 | |||||||||||||
6.200% | 03/15/40 | 14,766 | 12,358,818 | |||||||||||||
6.450% | 09/15/36 | (a) | 24,652 | 21,238,622 | ||||||||||||
7.500% | 05/01/31 | (a) | 4,290 | 3,989,324 |
SEE NOTES TO FINANCIAL STATEMENTS.
A18
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas (cont’d.) |
| |||||||||||||||
Ovintiv, Inc., | ||||||||||||||||
Gtd. Notes | ||||||||||||||||
6.500% | 08/15/34 | (a) | 18,163 | $ | 16,203,339 | |||||||||||
6.500% | 02/01/38 | 1,875 | 1,589,035 | |||||||||||||
7.375% | 11/01/31 | 1,000 | 927,655 | |||||||||||||
Petrobras Global Finance BV (Brazil), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.900% | 03/19/49 | (a) | 6,005 | 6,324,282 | ||||||||||||
Petroleos Mexicanos (Mexico), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.350% | 02/12/28 | 6,575 | 5,512,320 | |||||||||||||
6.350% | 02/12/48 | 2,025 | 1,503,308 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.490% | 01/23/27 | 1,385 | 1,263,630 | |||||||||||||
6.950% | 01/28/60 | 6,100 | 4,690,665 | |||||||||||||
7.690% | 01/23/50 | 12,200 | 10,108,060 | |||||||||||||
Phillips 66, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.650% | 11/15/34 | (a) | 3,500 | 4,181,682 | ||||||||||||
4.875% | 11/15/44 | (a) | 9,900 | 12,248,726 | ||||||||||||
Pioneer Natural Resources Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.450% | 01/15/26 | (a) | 20,925 | 24,227,513 | ||||||||||||
Range Resources Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.875% | 05/15/25 | 10,000 | 7,547,155 | |||||||||||||
Shell International Finance BV (Netherlands), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.250% | 05/11/25 | (a) | 10,000 | 11,067,633 | ||||||||||||
4.000% | 05/10/46 | (a) | 3,000 | 3,541,178 | ||||||||||||
4.375% | 05/11/45 | 8,430 | 10,436,532 | |||||||||||||
Suncor Energy, Inc. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 11/15/47 | (a) | 7,280 | 7,593,851 | ||||||||||||
5.950% | 12/01/34 | 1,000 | 1,199,072 | |||||||||||||
6.500% | 06/15/38 | 3,900 | 4,951,083 | |||||||||||||
Total Capital International SA (France), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
2.829% | 01/10/30 | (a) | 3,745 | 4,064,999 | ||||||||||||
3.455% | 02/19/29 | 20,000 | 22,710,829 | |||||||||||||
Valero Energy Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 04/01/29 | (a) | 5,029 | 5,605,084 | ||||||||||||
4.350% | 06/01/28 | 37,246 | 42,198,484 | |||||||||||||
|
| |||||||||||||||
799,930,306 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas Services — 0.3% |
| |||||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.080% | 12/15/47 | (a) | 9,810 | 10,209,907 | ||||||||||||
Cameron International Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.125% | 12/15/43 | 2,000 | 2,110,415 | |||||||||||||
7.000% | 07/15/38 | 4,000 | 5,242,152 | |||||||||||||
Halliburton Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.750% | 08/01/43 | 9,350 | 9,246,879 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Oil & Gas Services (cont’d.) |
| |||||||||||||||
Halliburton Co., (cont’d.) |
| |||||||||||||||
5.000% | 11/15/45 | (a) | 1,835 | $ | 1,895,774 | |||||||||||
Schlumberger Holdings Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.900% | 05/17/28 | (a) | 18,479 | 19,882,632 | ||||||||||||
4.000% | 12/21/25 | (a) | 1,210 | 1,328,637 | ||||||||||||
|
| |||||||||||||||
49,916,396 | ||||||||||||||||
|
| |||||||||||||||
Packaging & Containers — 0.2% |
| |||||||||||||||
Ball Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.000% | 11/15/23 | 975 | 1,014,791 | |||||||||||||
Bemis Co., Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
2.630% | 06/19/30 | 2,715 | 2,776,228 | |||||||||||||
Packaging Corp. of America, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.500% | 11/01/23 | 3,059 | 3,381,377 | |||||||||||||
WestRock MWV LLC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
7.550% | 03/01/47 | 4,109 | 5,356,401 | |||||||||||||
7.950% | 02/15/31 | 7,987 | 11,308,388 | |||||||||||||
WRKCo, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.900% | 06/01/28 | 7,810 | 8,633,955 | |||||||||||||
4.900% | 03/15/29 | (a) | 3,190 | 3,796,775 | ||||||||||||
|
| |||||||||||||||
36,267,915 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 8.4% |
| |||||||||||||||
AbbVie, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.300% | 05/14/36 | 2,500 | 2,955,956 | |||||||||||||
4.400% | 11/06/42 | 950 | 1,144,522 | |||||||||||||
4.500% | 05/14/35 | 14,945 | 18,040,302 | |||||||||||||
4.700% | 05/14/45 | 46,155 | 57,517,762 | |||||||||||||
4.875% | 11/14/48 | 12,407 | 16,171,698 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.050% | 11/21/39 | 106,680 | 124,554,889 | |||||||||||||
4.250% | 11/21/49 | 96,475 | 116,631,926 | |||||||||||||
4.550% | 03/15/35 | (a) | 42,638 | 51,630,994 | ||||||||||||
4.875% | 02/15/21 | 3,975 | 4,036,263 | |||||||||||||
AmerisourceBergen Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.300% | 12/15/47 | 10,340 | 11,592,689 | |||||||||||||
Bayer US Finance II LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.500% | 06/25/21 | 4,000 | 4,099,622 | |||||||||||||
3.600% | 07/15/42 | (a) | 1,000 | 1,012,187 | ||||||||||||
4.700% | 07/15/64 | 3,246 | 3,897,862 | |||||||||||||
Bayer US Finance LLC (Germany), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.000% | 10/08/21 | (a) | 11,380 | 11,666,002 | ||||||||||||
Becton, Dickinson & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.000% | 05/15/39 | 2,500 | 3,324,569 |
SEE NOTES TO FINANCIAL STATEMENTS.
A19
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals (cont’d.) |
| |||||||||||||||
Bristol-Myers Squibb Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.400% | 07/26/29 | 16,835 | $ | 19,431,092 | ||||||||||||
4.250% | 10/26/49 | (a) | 15,745 | 20,735,375 | ||||||||||||
4.350% | 11/15/47 | (a) | 22,307 | 29,337,206 | ||||||||||||
4.550% | 02/20/48 | 38,305 | 51,735,395 | |||||||||||||
4.625% | 05/15/44 | 6,837 | 9,026,565 | |||||||||||||
5.000% | 08/15/45 | 8,675 | 12,079,402 | |||||||||||||
5.250% | 08/15/43 | 21,964 | 31,570,068 | |||||||||||||
Cardinal Health, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 11/15/24 | 1,500 | 1,626,543 | |||||||||||||
4.600% | 03/15/43 | 2,700 | 2,975,882 | |||||||||||||
4.900% | 09/15/45 | (a) | 20,000 | 23,233,369 | ||||||||||||
Cigna Corp., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.375% | 10/15/28 | (a) | 25,005 | 29,582,336 | ||||||||||||
4.900% | 12/15/48 | 27,425 | 36,092,082 | |||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.400% | 03/01/27 | 17,240 | 19,029,543 | |||||||||||||
4.500% | 02/25/26 | (a) | 16,905 | 19,663,780 | ||||||||||||
4.800% | 07/15/46 | 42,235 | 53,258,372 | |||||||||||||
5.375% | 02/15/42 | 3,650 | 4,923,734 | |||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.200% | 03/15/40 | (a) | 9,125 | 9,701,531 | ||||||||||||
CVS Health Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 08/15/29 | (a) | 74,910 | 82,637,478 | ||||||||||||
3.700% | 03/09/23 | 2,650 | 2,843,907 | |||||||||||||
3.875% | 07/20/25 | 1,178 | 1,322,966 | |||||||||||||
4.100% | 03/25/25 | 16,235 | 18,355,532 | |||||||||||||
4.300% | 03/25/28 | (a) | 17,690 | 20,681,644 | ||||||||||||
4.780% | 03/25/38 | (a) | 40,326 | 49,855,279 | ||||||||||||
5.050% | 03/25/48 | 34,832 | 45,487,922 | |||||||||||||
5.125% | 07/20/45 | 43,765 | 56,466,334 | |||||||||||||
5.300% | 12/05/43 | (a) | 20,115 | 26,198,370 | ||||||||||||
6.250% | 06/01/27 | 1,000 | 1,266,319 | |||||||||||||
Eli Lilly & Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
1.700% | 11/01/49 | EUR | 12,000 | 13,982,384 | ||||||||||||
3.950% | 03/15/49 | 5,135 | 6,561,166 | |||||||||||||
4.150% | 03/15/59 | 40,430 | 52,772,745 | |||||||||||||
GlaxoSmithKline Capital, Inc. (United Kingdom), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.875% | 05/15/28 | 11,490 | 13,539,780 | |||||||||||||
Johnson & Johnson, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 01/15/38 | (a) | 4,365 | 5,160,114 | ||||||||||||
3.625% | 03/03/37 | 8,185 | 9,858,486 | |||||||||||||
4.375% | 12/05/33 | 4,000 | 5,262,962 | |||||||||||||
McKesson Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.700% | 12/15/22 | 6,200 | 6,457,959 | |||||||||||||
4.750% | 05/30/29 | 4,700 | 5,665,479 | |||||||||||||
Mead Johnson Nutrition Co. (United Kingdom), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.125% | 11/15/25 | 3,175 | 3,675,657 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pharmaceuticals (cont’d.) |
| |||||||||||||||
Merck & Co., Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.400% | 03/07/29 | (a) | 5,595 | $ | 6,469,432 | |||||||||||
Mylan NV, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.250% | 06/15/46 | (a) | 43,168 | 53,173,146 | ||||||||||||
Mylan, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.200% | 04/15/48 | 34,101 | 42,047,071 | |||||||||||||
5.400% | 11/29/43 | 4,169 | 5,109,489 | |||||||||||||
Novartis Capital Corp. (Switzerland), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.000% | 11/20/45 | 4,625 | 5,824,567 | |||||||||||||
Pfizer, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.100% | 09/15/38 | 4,970 | 6,192,150 | |||||||||||||
4.400% | 05/15/44 | (a) | 6,410 | 8,406,992 | ||||||||||||
Shire Acquisitions Investments Ireland DAC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
2.400% | 09/23/21 | 21,060 | 21,480,700 | |||||||||||||
2.875% | 09/23/23 | 77,700 | 82,337,996 | |||||||||||||
3.200% | 09/23/26 | (a) | 4,755 | 5,280,872 | ||||||||||||
Takeda Pharmaceutical Co. Ltd. (Japan), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.025% | 07/09/40 | 2,375 | 2,388,778 | |||||||||||||
4.000% | 11/26/21 | 4,645 | 4,844,858 | |||||||||||||
Teva Pharmaceutical Finance Netherlands III BV (Israel), |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
2.200% | 07/21/21 | (a) | 4,353 | 4,272,290 | ||||||||||||
Upjohn, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.850% | 06/22/40 | (a) | 4,605 | 4,939,295 | ||||||||||||
4.000% | 06/22/50 | (a) | 5,815 | 6,218,377 | ||||||||||||
|
| |||||||||||||||
1,489,318,014 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 5.8% |
| |||||||||||||||
Buckeye Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.125% | 12/01/27 | (a) | 20,000 | 19,283,286 | ||||||||||||
Colonial Pipeline Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.250% | 04/15/48 | 8,381 | 9,064,052 | |||||||||||||
DCP Midstream Operating LP, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.125% | 05/15/29 | (a) | 6,975 | 6,676,658 | ||||||||||||
5.375% | 07/15/25 | (a) | 27,350 | 27,065,109 | ||||||||||||
5.600% | 04/01/44 | 5,579 | 4,455,687 | |||||||||||||
8.125% | 08/16/30 | (a) | 1,000 | 1,080,456 | ||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
6.450% | 11/03/36 | (a) | 10,766 | 9,690,284 | ||||||||||||
Energy Transfer Operating LP, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.200% | 04/15/27 | 5,000 | 5,232,238 | |||||||||||||
4.900% | 03/15/35 | 1,905 | 1,925,243 | |||||||||||||
5.000% | 05/15/50 | (a) | 22,385 | 21,227,715 | ||||||||||||
5.150% | 02/01/43 | 4,450 | 4,156,577 | |||||||||||||
5.150% | 03/15/45 | 6,080 | 5,763,959 |
SEE NOTES TO FINANCIAL STATEMENTS.
A20
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pipelines (cont’d.) |
| |||||||||||||||
Energy Transfer Operating LP, (cont’d.) |
| |||||||||||||||
5.300% | 04/15/47 | 2,500 | $ | 2,469,484 | ||||||||||||
5.800% | 06/15/38 | (a) | 19,814 | 20,339,602 | ||||||||||||
6.000% | 06/15/48 | 2,815 | 2,932,437 | |||||||||||||
6.125% | 12/15/45 | 24,984 | 26,258,522 | |||||||||||||
6.250% | 04/15/49 | (a) | 43,065 | 45,888,445 | ||||||||||||
7.500% | 07/01/38 | (a) | 11,000 | 12,968,398 | ||||||||||||
Jr. Sub. Notes, Series G |
| |||||||||||||||
7.125%(ff) | –(rr) | 23,000 | 19,733,895 | |||||||||||||
EnLink Midstream Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.450% | 06/01/47 | 4,900 | 3,043,735 | |||||||||||||
5.600% | 04/01/44 | 1,651 | 1,000,044 | |||||||||||||
Enterprise Products Operating LLC, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.700% | 01/31/51 | (a) | 680 | 711,539 | ||||||||||||
3.950% | 01/31/60 | (a) | 19,560 | 20,367,261 | ||||||||||||
4.150% | 10/16/28 | 6,750 | 7,700,422 | |||||||||||||
4.200% | 01/31/50 | 6,690 | 7,462,688 | |||||||||||||
4.250% | 02/15/48 | 5,400 | 5,940,511 | |||||||||||||
4.450% | 02/15/43 | 6,965 | 7,694,524 | |||||||||||||
4.800% | 02/01/49 | (a) | 10,698 | 12,763,134 | ||||||||||||
4.850% | 08/15/42 | 1,990 | 2,290,832 | |||||||||||||
4.850% | 03/15/44 | (a) | 5,775 | 6,705,465 | ||||||||||||
4.900% | 05/15/46 | 34,397 | 40,194,726 | |||||||||||||
4.950% | 10/15/54 | 3,110 | 3,477,711 | |||||||||||||
5.100% | 02/15/45 | 6,532 | 7,778,402 | |||||||||||||
5.375%(ff) | 02/15/78 | 7,380 | 6,640,183 | |||||||||||||
6.125% | 10/15/39 | (a) | 3,937 | 4,953,897 | ||||||||||||
Gtd. Notes, Series D |
| |||||||||||||||
4.875%(ff) | 08/16/77 | (a) | 7,490 | 6,541,707 | ||||||||||||
6.875% | 03/01/33 | 55 | 72,290 | |||||||||||||
EQM Midstream Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 08/01/24 | 7,000 | 6,635,665 | |||||||||||||
4.750% | 07/15/23 | (a) | 22,160 | 22,328,962 | ||||||||||||
Gulfstream Natural Gas System LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.950% | 10/15/45 | 19,904 | 24,525,709 | |||||||||||||
Kinder Morgan Energy Partners LP, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.700% | 11/01/42 | 6,190 | 6,685,589 | |||||||||||||
5.000% | 08/15/42 | (a) | 2,010 | 2,260,844 | ||||||||||||
5.000% | 03/01/43 | 1,176 | 1,304,021 | |||||||||||||
5.400% | 09/01/44 | (a) | 878 | 1,034,563 | ||||||||||||
6.500% | 02/01/37 | 1,500 | 1,893,852 | |||||||||||||
6.500% | 09/01/39 | 5,545 | 6,972,294 | |||||||||||||
6.550% | 09/15/40 | 4,370 | 5,645,091 | |||||||||||||
Kinder Morgan, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.050% | 02/15/46 | 3,459 | 3,968,132 | |||||||||||||
5.200% | 03/01/48 | 220 | 265,054 | |||||||||||||
5.550% | 06/01/45 | (a) | 4,080 | 4,954,220 | ||||||||||||
Magellan Midstream Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 03/01/50 | (a) | 8,740 | 8,840,771 | ||||||||||||
4.200% | 03/15/45 | (a) | 4,130 | 3,914,737 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pipelines (cont’d.) |
| |||||||||||||||
Magellan Midstream Partners LP, (cont’d.) |
| |||||||||||||||
4.250% | 09/15/46 | 4,300 | $ | 4,432,438 | ||||||||||||
4.850% | 02/01/49 | 25,700 | 28,747,151 | |||||||||||||
5.150% | 10/15/43 | 5,820 | 6,495,142 | |||||||||||||
Midwest Connector Capital Co. LLC, |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.900% | 04/01/24 | 8,625 | 9,064,110 | |||||||||||||
MPLX LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 02/15/25 | (a) | 5,016 | 5,379,815 | ||||||||||||
4.500% | 04/15/38 | 11,785 | 11,780,000 | |||||||||||||
4.700% | 04/15/48 | 50,615 | 50,739,402 | |||||||||||||
4.875% | 12/01/24 | (a) | 1,566 | 1,737,749 | ||||||||||||
4.900% | 04/15/58 | 9,705 | 9,465,449 | |||||||||||||
5.200% | 03/01/47 | 2,690 | 2,871,184 | |||||||||||||
5.200% | 12/01/47 | 11,990 | 12,386,359 | |||||||||||||
5.500% | 02/15/49 | (a) | 25,915 | 28,706,682 | ||||||||||||
Northwest Pipeline LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 04/01/27 | 8,392 | 9,174,663 | |||||||||||||
ONEOK Partners LP, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
6.125% | 02/01/41 | 1,325 | 1,428,441 | |||||||||||||
6.200% | 09/15/43 | 18,615 | 20,081,316 | |||||||||||||
6.850% | 10/15/37 | 1,742 | 1,951,147 | |||||||||||||
ONEOK, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.100% | 03/15/30 | (a) | 8,745 | 8,369,116 | ||||||||||||
3.400% | 09/01/29 | 4,595 | 4,473,970 | |||||||||||||
4.000% | 07/13/27 | 1,500 | 1,521,952 | |||||||||||||
4.450% | 09/01/49 | 10,085 | 9,394,040 | |||||||||||||
4.500% | 03/15/50 | 11,655 | 10,848,642 | |||||||||||||
4.550% | 07/15/28 | 15,725 | 16,490,946 | |||||||||||||
4.950% | 07/13/47 | 33,818 | 32,635,941 | |||||||||||||
5.200% | 07/15/48 | (a) | 24,560 | 24,475,023 | ||||||||||||
Phillips 66 Partners LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.550% | 10/01/26 | 11,680 | 12,656,323 | |||||||||||||
4.680% | 02/15/45 | (a) | 500 | 532,118 | ||||||||||||
4.900% | 10/01/46 | 6,500 | 7,125,158 | |||||||||||||
Plains All American Pipeline LP/PAA Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.550% | 12/15/29 | (a) | 4,215 | 4,098,122 | ||||||||||||
3.650% | 06/01/22 | 1,261 | 1,287,907 | |||||||||||||
4.900% | 02/15/45 | 13,944 | 12,883,791 | |||||||||||||
5.150% | 06/01/42 | 19,516 | 18,991,285 | |||||||||||||
Southern Natural Gas Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.800% | 03/15/47 | 1,250 | 1,393,725 | |||||||||||||
Spectra Energy Partners LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.950% | 09/25/43 | 525 | 686,340 | |||||||||||||
Sunoco Logistics Partners Operations LP, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
5.300% | 04/01/44 | 6,340 | 6,118,593 | |||||||||||||
5.350% | 05/15/45 | (a) | 2,875 | 2,800,039 | ||||||||||||
5.400% | 10/01/47 | 29,625 | 29,082,082 |
SEE NOTES TO FINANCIAL STATEMENTS.
A21
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Pipelines (cont’d.) |
| |||||||||||||||
Transcontinental Gas Pipe Line Co. LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.400% | 08/15/41 | (a) | 1,560 | $ | 1,857,749 | |||||||||||
Western Midstream Operating LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.950% | 06/01/25 | 4,925 | 4,620,054 | |||||||||||||
4.000% | 07/01/22 | (a) | 1,700 | 1,695,454 | ||||||||||||
5.300% | 03/01/48 | 11,885 | 9,647,471 | |||||||||||||
5.450% | 04/01/44 | (a) | 3,175 | 2,646,793 | ||||||||||||
Williams Cos., Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.350% | 08/15/22 | (a) | 2,389 | 2,487,808 | ||||||||||||
3.500% | 11/15/30 | 16,770 | 17,647,555 | |||||||||||||
3.700% | 01/15/23 | (a) | 5,375 | 5,683,475 | ||||||||||||
3.750% | 06/15/27 | 990 | 1,055,993 | |||||||||||||
4.300% | 03/04/24 | 9,900 | 10,824,871 | |||||||||||||
4.850% | 03/01/48 | (a) | 13,780 | 15,043,917 | ||||||||||||
4.900% | 01/15/45 | 9,062 | 9,648,366 | |||||||||||||
5.100% | 09/15/45 | (a) | 4,464 | 4,881,005 | ||||||||||||
5.400% | 03/04/44 | 14,950 | 16,525,403 | |||||||||||||
5.750% | 06/24/44 | (a) | 7,350 | 8,473,826 | ||||||||||||
5.800% | 11/15/43 | (a) | 3,434 | 3,893,287 | ||||||||||||
|
| |||||||||||||||
1,019,719,810 | ||||||||||||||||
|
| |||||||||||||||
Real Estate — 0.0% |
| |||||||||||||||
Ontario Teachers’ Cadillac Fairview Properties Trust (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.875% | 03/20/27 | 4,600 | 4,962,890 | |||||||||||||
|
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 1.3% |
| |||||||||||||||
Brandywine Operating Partnership LP, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.550% | 10/01/29 | (a) | 1,265 | 1,328,240 | ||||||||||||
Brixmor Operating Partnership LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.650% | 06/15/24 | 4,850 | 5,016,906 | |||||||||||||
3.850% | 02/01/25 | 5,300 | 5,477,867 | |||||||||||||
3.900% | 03/15/27 | 11,645 | 11,909,346 | |||||||||||||
4.125% | 05/15/29 | (a) | 6,449 | 6,682,260 | ||||||||||||
Crown Castle International Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.875% | 04/15/22 | 8,073 | 8,651,148 | |||||||||||||
Healthpeak Properties, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 06/01/25 | 25,936 | 28,735,952 | |||||||||||||
4.200% | 03/01/24 | 2,630 | 2,868,503 | |||||||||||||
4.250% | 11/15/23 | 137 | 149,463 | |||||||||||||
Mack-Cali Realty LP, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.150% | 05/15/23 | (a) | 12,826 | 11,155,490 | ||||||||||||
4.500% | 04/18/22 | 4,311 | 3,987,220 | |||||||||||||
Office Properties Income Trust, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.150% | 02/01/22 | (a) | 8,250 | 8,190,759 | ||||||||||||
Realty Income Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.875% | 07/15/24 | 400 | 436,769 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Real Estate Investment Trusts (REITs) (cont’d.) |
| |||||||||||||||
Service Properties Trust, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.350% | 10/01/24 | 10,000 | $ | 9,010,900 | ||||||||||||
SITE Centers Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.625% | 02/01/25 | 3,719 | 3,747,589 | |||||||||||||
4.700% | 06/01/27 | 2,020 | 2,108,962 | |||||||||||||
Ventas Realty LP, |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
4.000% | 03/01/28 | 11,554 | 12,193,968 | |||||||||||||
4.400% | 01/15/29 | 17,246 | 18,801,097 | |||||||||||||
Welltower, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.750% | 01/15/31 | 6,635 | 6,609,970 | |||||||||||||
3.100% | 01/15/30 | (a) | 7,500 | 7,762,302 | ||||||||||||
4.000% | 06/01/25 | (a) | 22,715 | 25,070,566 | ||||||||||||
4.250% | 04/01/26 | (a) | 3,915 | 4,384,619 | ||||||||||||
4.250% | 04/15/28 | 14,270 | 15,865,761 | |||||||||||||
Weyerhaeuser Co., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.625% | 09/15/23 | 5,000 | 5,576,530 | |||||||||||||
7.375% | 03/15/32 | 14,156 | 19,407,667 | |||||||||||||
8.500% | 01/15/25 | 3,500 | 4,490,894 | |||||||||||||
|
| |||||||||||||||
229,620,748 | ||||||||||||||||
|
| |||||||||||||||
Retail — 2.6% | ||||||||||||||||
Alimentation Couche-Tard, Inc. (Canada), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.550% | 07/26/27 | (a) | 20,000 | 21,465,713 | ||||||||||||
4.500% | 07/26/47 | (a) | 15,758 | 17,647,233 | ||||||||||||
AutoZone, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 04/18/29 | (a) | 22,460 | 25,423,703 | ||||||||||||
Bed Bath & Beyond, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes, (original cost $6,714,872; purchased 07/14/14 - 09/19/16)(f) |
| |||||||||||||||
5.165% | 08/01/44 | 6,800 | 3,844,686 | |||||||||||||
Brinker International, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
5.000% | 10/01/24 | (a) | 17,675 | 16,500,778 | ||||||||||||
Dollar Tree, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 05/15/25 | (a) | 5,000 | 5,623,692 | ||||||||||||
4.200% | 05/15/28 | (a) | 44,165 | 51,288,296 | ||||||||||||
Home Depot, Inc. (The), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 09/15/56 | 1,105 | 1,280,925 | |||||||||||||
3.900% | 06/15/47 | (a) | 20,500 | 24,934,370 | ||||||||||||
4.200% | 04/01/43 | 5,422 | 6,690,343 | |||||||||||||
4.250% | 04/01/46 | (a) | 9,395 | 11,899,224 | ||||||||||||
4.400% | 03/15/45 | 15,945 | 20,275,675 | |||||||||||||
5.875% | 12/16/36 | 8,382 | 12,412,197 | |||||||||||||
L Brands, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.625% | 02/15/22 | 8,575 | 8,443,495 | |||||||||||||
5.625% | 10/15/23 | (a) | 977 | 924,021 |
SEE NOTES TO FINANCIAL STATEMENTS.
A22
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Retail (cont’d.) |
| |||||||||||||||
Lowe’s Cos., Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.250% | 09/15/44 | 4,490 | $ | 5,266,273 | ||||||||||||
4.375% | 09/15/45 | 6,035 | 7,208,927 | |||||||||||||
Macy’s Retail Holdings, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
2.875% | 02/15/23 | (a) | 3,412 | 2,679,803 | ||||||||||||
3.875% | 01/15/22 | 814 | 729,349 | |||||||||||||
4.300% | 02/15/43 | 8,994 | 5,175,538 | |||||||||||||
5.125% | 01/15/42 | 1,875 | 1,109,297 | |||||||||||||
McDonald’s Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, MTN |
| |||||||||||||||
4.200% | 04/01/50 | (a) | 4,675 | 5,658,210 | ||||||||||||
4.450% | 03/01/47 | 14,400 | 17,648,075 | |||||||||||||
4.600% | 05/26/45 | 5,325 | 6,612,228 | |||||||||||||
4.875% | 12/09/45 | 17,900 | 23,104,170 | |||||||||||||
O’Reilly Automotive, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.900% | 06/01/29 | (a) | 7,745 | 8,917,200 | ||||||||||||
Sally Holdings LLC/Sally Capital, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
5.625% | 12/01/25 | (a) | 4,500 | 4,370,333 | ||||||||||||
Target Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.625% | 04/15/46 | (a) | 14,935 | 18,106,640 | ||||||||||||
Walgreens Boots Alliance, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.100% | 04/15/50 | 45,750 | 46,087,998 | |||||||||||||
4.650% | 06/01/46 | 5,500 | 5,869,267 | |||||||||||||
Walmart, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.250% | 07/08/29 | 11,565 | 13,432,594 | |||||||||||||
3.700% | 06/26/28 | 21,660 | 25,568,740 | |||||||||||||
4.050% | 06/29/48 | (a) | 30,950 | 40,591,131 | ||||||||||||
|
| |||||||||||||||
466,790,124 | ||||||||||||||||
|
| |||||||||||||||
Savings & Loans — 0.1% |
| |||||||||||||||
Nationwide Building Society (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.363%(ff) | 08/01/24 | 1,765 | 1,909,535 | |||||||||||||
Sr. Unsec’d. Notes, 144A, MTN |
| |||||||||||||||
3.622%(ff) | 04/26/23 | 8,235 | 8,558,718 | |||||||||||||
|
| |||||||||||||||
10,468,253 | ||||||||||||||||
|
| |||||||||||||||
Semiconductors — 0.8% |
| |||||||||||||||
Applied Materials, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.100% | 10/01/35 | 10,265 | 14,245,111 | |||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.875% | 01/15/27 | 18,350 | 19,821,971 | |||||||||||||
Broadcom, Inc., |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
3.459% | 09/15/26 | 17,323 | 18,595,639 | |||||||||||||
Intel Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.950% | 03/25/60 | 22,800 | 33,476,019 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Semiconductors (cont’d.) |
| |||||||||||||||
Microchip Technology, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes |
| |||||||||||||||
3.922% | 06/01/21 | 3,500 | $ | 3,567,638 | ||||||||||||
4.333% | 06/01/23 | 26,200 | 28,298,019 | |||||||||||||
NXP BV/NXP Funding LLC (Netherlands), |
| |||||||||||||||
Gtd. Notes, 144A |
| |||||||||||||||
4.125% | 06/01/21 | 6,186 | 6,368,789 | |||||||||||||
QUALCOMM, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.300% | 05/20/47 | (a) | 19,495 | 24,416,042 | ||||||||||||
|
| |||||||||||||||
148,789,228 | ||||||||||||||||
|
| |||||||||||||||
Shipbuilding — 0.0% |
| |||||||||||||||
Huntington Ingalls Industries, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
3.483% | 12/01/27 | 3,440 | 3,689,337 | |||||||||||||
|
| |||||||||||||||
Software — 2.1% |
| |||||||||||||||
Fidelity National Information Services, Inc., |
| |||||||||||||||
Gtd. Notes | ||||||||||||||||
0.750% | 05/21/23 | EUR | 25,000 | 28,285,941 | ||||||||||||
Fiserv, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
0.375% | 07/01/23 | EUR | 23,075 | 25,800,412 | ||||||||||||
Microsoft Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.525% | 06/01/50 | (a) | 15,549 | 16,082,241 | ||||||||||||
2.675% | 06/01/60 | (a) | 67,513 | 70,431,473 | ||||||||||||
3.700% | 08/08/46 | 36,755 | 45,950,515 | |||||||||||||
3.950% | 08/08/56 | 45,717 | 58,974,347 | |||||||||||||
Oracle Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.800% | 11/15/37 | (a) | 21,055 | 24,404,423 | ||||||||||||
3.900% | 05/15/35 | (a) | 7,346 | 8,877,179 | ||||||||||||
4.000% | 07/15/46 | (a) | 30,190 | 35,660,711 | ||||||||||||
4.125% | 05/15/45 | 1,300 | 1,553,500 | |||||||||||||
4.300% | 07/08/34 | 12,200 | 15,166,826 | |||||||||||||
4.375% | 05/15/55 | 30,959 | 39,230,506 | |||||||||||||
|
| |||||||||||||||
370,418,074 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 5.1% |
| |||||||||||||||
AT&T, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.500% | 06/01/41 | (a) | 36,400 | 38,133,302 | ||||||||||||
3.950% | 01/15/25 | (a) | 3,085 | 3,441,393 | ||||||||||||
4.350% | 06/15/45 | 54,699 | 61,186,936 | |||||||||||||
4.500% | 05/15/35 | (a) | 22,285 | 26,270,104 | ||||||||||||
4.500% | 03/09/48 | (a) | 2,949 | 3,433,413 | ||||||||||||
4.550% | 03/09/49 | (a) | 43,111 | 50,817,308 | ||||||||||||
4.650% | 06/01/44 | 19,400 | 22,238,726 | |||||||||||||
4.800% | 06/15/44 | 16,235 | 18,799,543 | |||||||||||||
4.850% | 03/01/39 | 17,730 | 21,515,728 | |||||||||||||
4.900% | 06/15/42 | 2,700 | 3,222,574 | |||||||||||||
5.150% | 03/15/42 | (a) | 14,670 | 18,296,511 | ||||||||||||
5.150% | 11/15/46 | 3,985 | 4,898,340 | |||||||||||||
5.150% | 02/15/50 | (a) | 59,918 | 76,422,626 | ||||||||||||
5.250% | 03/01/37 | (a) | 34,020 | 42,150,151 | ||||||||||||
5.350% | 09/01/40 | (a) | 25,693 | 32,298,768 |
SEE NOTES TO FINANCIAL STATEMENTS.
A23
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Telecommunications (cont’d.) |
| |||||||||||||||
AT&T, Inc., (cont’d.) |
| |||||||||||||||
5.350% | 12/15/43 | 5,020 | $ | 6,330,647 | ||||||||||||
5.450% | 03/01/47 | (a) | 12,522 | 16,394,631 | ||||||||||||
6.000% | 08/15/40 | 9,530 | 12,759,974 | |||||||||||||
British Telecommunications PLC (United Kingdom), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
9.625% | 12/15/30 | 1,675 | 2,738,062 | |||||||||||||
Corning, Inc., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
5.450% | 11/15/79 | (a) | 10,520 | 12,566,512 | ||||||||||||
Deutsche Telekom International Finance BV (Germany), |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
8.750% | 06/15/30 | (a) | 1,000 | 1,559,141 | ||||||||||||
Motorola Solutions, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 05/15/22 | 3,934 | 4,132,514 | |||||||||||||
4.600% | 05/23/29 | (a) | 27,700 | 31,972,984 | ||||||||||||
5.500% | 09/01/44 | 7,454 | 8,327,921 | |||||||||||||
Qwest Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
6.750% | 12/01/21 | 5,000 | 5,270,842 | |||||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
3.360% | 03/20/23 | 12,500 | 12,670,596 | |||||||||||||
Telecom Italia SpA (Italy), |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
5.303% | 05/30/24 | (a) | 8,786 | 9,194,737 | ||||||||||||
T-Mobile USA, Inc., |
| |||||||||||||||
Sr. Sec’d. Notes, 144A |
| |||||||||||||||
4.375% | 04/15/40 | 3,205 | 3,705,270 | |||||||||||||
4.500% | 04/15/50 | 4,300 | 5,062,038 | |||||||||||||
Verizon Communications, Inc., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.000% | 03/22/50 | (a) | 19,180 | 24,423,068 | ||||||||||||
4.400% | 11/01/34 | 677 | 838,967 | |||||||||||||
4.500% | 08/10/33 | 37,325 | 46,761,830 | |||||||||||||
4.522% | 09/15/48 | 66,076 | 87,374,915 | |||||||||||||
4.862% | 08/21/46 | 10,803 | 14,642,182 | |||||||||||||
5.012% | 04/15/49 | 87,717 | 122,088,602 | |||||||||||||
5.250% | 03/16/37 | 31,986 | 43,426,122 | |||||||||||||
|
| |||||||||||||||
895,366,978 | ||||||||||||||||
|
| |||||||||||||||
Transportation — 1.7% |
| |||||||||||||||
Burlington Northern Santa Fe LLC, |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.375% | 09/01/42 | 8,705 | 10,933,311 | |||||||||||||
4.400% | 03/15/42 | 10,600 | 13,239,223 | |||||||||||||
4.450% | 03/15/43 | 11,312 | 14,355,667 | |||||||||||||
4.550% | 09/01/44 | 2,455 | 3,173,542 | |||||||||||||
4.700% | 09/01/45 | 6,575 | 8,703,090 | |||||||||||||
5.150% | 09/01/43 | 4,633 | 6,366,562 | |||||||||||||
Canadian National Railway Co. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.450% | 05/01/50 | 5,000 | 4,844,996 | |||||||||||||
4.500% | 11/07/43 | 2,000 | 2,512,502 |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Transportation (cont’d.) |
| |||||||||||||||
Canadian Pacific Railway Co. (Canada), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
4.800% | 09/15/35 | 3,970 | $ | 5,147,275 | ||||||||||||
5.750% | 03/15/33 | 1,775 | 2,290,300 | |||||||||||||
6.125% | 09/15/2115 | 14,400 | 22,274,983 | |||||||||||||
CSX Corp., | ||||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.600% | 11/01/26 | (a) | 5,890 | 6,391,085 | ||||||||||||
3.350% | 11/01/25 | 10,250 | 11,511,408 | |||||||||||||
4.250% | 11/01/66 | 14,175 | 17,099,281 | |||||||||||||
4.500% | 08/01/54 | 10,400 | 13,168,976 | |||||||||||||
4.650% | 03/01/68 | (a) | 5,672 | 7,361,881 | ||||||||||||
4.750% | 05/30/42 | 5,000 | 6,357,037 | |||||||||||||
5.500% | 04/15/41 | 1,682 | 2,283,038 | |||||||||||||
6.150% | 05/01/37 | 1,000 | 1,400,224 | |||||||||||||
6.220% | 04/30/40 | (a) | 531 | 773,042 | ||||||||||||
FedEx Corp., |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
3.100% | 08/05/29 | (a) | 2,400 | 2,555,006 | ||||||||||||
4.050% | 02/15/48 | (a) | 26,350 | 27,017,214 | ||||||||||||
4.100% | 04/15/43 | 825 | 849,190 | |||||||||||||
4.250% | 05/15/30 | (a) | 5,095 | 5,808,311 | ||||||||||||
4.500% | 02/01/65 | 2,115 | 2,148,071 | |||||||||||||
4.550% | 04/01/46 | 6,975 | 7,526,623 | |||||||||||||
4.750% | 11/15/45 | (a) | 2,925 | 3,257,506 | ||||||||||||
5.100% | 01/15/44 | 5,844 | 6,835,207 | |||||||||||||
Kansas City Southern, |
| |||||||||||||||
Gtd. Notes |
| |||||||||||||||
4.300% | 05/15/43 | 2,680 | 3,197,006 | |||||||||||||
4.950% | 08/15/45 | 10,000 | 12,923,978 | |||||||||||||
Norfolk Southern Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.942% | 11/01/47 | 3,667 | 4,337,400 | |||||||||||||
3.950% | 10/01/42 | 1,140 | 1,322,735 | |||||||||||||
4.050% | 08/15/52 | 1,585 | 1,892,626 | |||||||||||||
4.650% | 01/15/46 | 700 | 901,962 | |||||||||||||
4.800% | 08/15/43 | 852 | 1,066,675 | |||||||||||||
4.837% | 10/01/41 | 1,080 | 1,385,038 | |||||||||||||
5.590% | 05/17/25 | 3,000 | 3,567,164 | |||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
3.155% | 05/15/55 | 1,947 | 2,010,953 | |||||||||||||
Union Pacific Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 02/05/70 | 4,585 | 5,143,152 | |||||||||||||
3.839% | 03/20/60 | 9,422 | 11,055,769 | |||||||||||||
3.875% | 02/01/55 | 4,805 | 5,645,635 | |||||||||||||
3.950% | 08/15/59 | 5,100 | 5,991,943 | |||||||||||||
4.050% | 11/15/45 | 6,460 | 7,706,238 | |||||||||||||
4.050% | 03/01/46 | 11,000 | 13,149,926 | |||||||||||||
4.250% | 04/15/43 | 275 | 330,585 | |||||||||||||
4.300% | 06/15/42 | (a) | 1,125 | 1,351,600 | ||||||||||||
4.300% | 03/01/49 | (a) | 3,625 | 4,633,052 | ||||||||||||
4.375% | 11/15/65 | 1,800 | 2,253,459 | |||||||||||||
|
| |||||||||||||||
306,051,447 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A24
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
CORPORATE BONDS (continued) |
| |||||||||||||||
Trucking & Leasing — 0.2% |
| |||||||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.125% | 08/01/23 | 20,000 | $ | 21,351,596 | ||||||||||||
4.200% | 04/01/27 | 7,820 | 8,437,384 | |||||||||||||
|
| |||||||||||||||
29,788,980 | ||||||||||||||||
|
| |||||||||||||||
Water — 0.1% |
| |||||||||||||||
American Water Capital Corp., |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
3.750% | 09/01/47 | 7,370 | 8,568,797 | |||||||||||||
Aquarion Co., |
| |||||||||||||||
Sr. Unsec’d. Notes, 144A |
| |||||||||||||||
4.000% | 08/15/24 | 5,000 | 5,486,709 | |||||||||||||
|
| |||||||||||||||
14,055,506 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 15,888,698,107 | ||||||||||||||
|
| |||||||||||||||
MUNICIPAL BONDS — 1.7% |
| |||||||||||||||
California — 0.2% |
| |||||||||||||||
Bay Area Toll Authority, |
| |||||||||||||||
Revenue Bonds, BABs, Series F2 |
| |||||||||||||||
6.263% | 04/01/49 | 7,300 | 12,591,332 | |||||||||||||
Los Angeles Department of Water, |
| |||||||||||||||
Revenue Bonds, BABs, Series C |
| |||||||||||||||
6.008% | 07/01/39 | 1,050 | 1,442,500 | |||||||||||||
Los Angeles Department of Water & Power, Power System Revenue, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
6.603% | 07/01/50 | 8,000 | 14,040,880 | |||||||||||||
State of California, |
| |||||||||||||||
General Obligation Unlimited, BABs |
| |||||||||||||||
7.500% | 04/01/34 | 1,200 | 1,948,932 | |||||||||||||
|
| |||||||||||||||
30,023,644 | ||||||||||||||||
|
| |||||||||||||||
District of Columbia — 0.0% |
| |||||||||||||||
District of Columbia Water & Sewer Authority, |
| |||||||||||||||
Revenue Bonds, Series A |
| |||||||||||||||
4.814% | 10/01/2114 | 5,000 | 7,307,900 | |||||||||||||
|
| |||||||||||||||
Illinois — 0.3% |
| |||||||||||||||
Chicago O’Hare International Airport, |
| |||||||||||||||
Revenue Bonds, Series C |
| |||||||||||||||
4.472% | 01/01/49 | 5,300 | 6,865,885 | |||||||||||||
4.572% | 01/01/54 | 17,500 | 23,077,425 | |||||||||||||
Illinois State Toll Highway Authority, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
5.851% | 12/01/34 | 600 | 862,116 | |||||||||||||
State of Illinois, |
| |||||||||||||||
General Obligation Unlimited |
| |||||||||||||||
5.100% | 06/01/33 | 12,000 | 12,177,000 | |||||||||||||
|
| |||||||||||||||
42,982,426 | ||||||||||||||||
|
| |||||||||||||||
Michigan — 0.0% |
| |||||||||||||||
University of Michigan, |
| |||||||||||||||
Revenue Bonds, Series B |
| |||||||||||||||
2.437% | 04/01/40 | 4,810 | 4,968,153 | |||||||||||||
|
|
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||||||
Missouri — 0.1% |
| |||||||||||||||
Health & Educational Facilities Authority of the State of Missouri, |
| |||||||||||||||
Revenue Bonds, Series A |
| |||||||||||||||
3.652% | 08/15/57 | 19,000 | $ | 23,494,830 | ||||||||||||
Missouri Highway & Transportation Commission, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
5.445% | 05/01/33 | 325 | 428,285 | |||||||||||||
|
| |||||||||||||||
23,923,115 | ||||||||||||||||
|
| |||||||||||||||
New Jersey — 0.3% |
| |||||||||||||||
New Jersey Turnpike Authority, |
| |||||||||||||||
Revenue Bonds, BABs, Series A |
| |||||||||||||||
7.102% | 01/01/41 | 29,125 | 48,334,976 | |||||||||||||
Revenue Bonds, BABs, Series F |
| |||||||||||||||
7.414% | 01/01/40 | 5,145 | 8,742,281 | |||||||||||||
|
| |||||||||||||||
57,077,257 | ||||||||||||||||
|
| |||||||||||||||
New York — 0.0% |
| |||||||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
5.767% | 08/01/36 | 1,150 | 1,506,431 | |||||||||||||
|
| |||||||||||||||
Ohio — 0.1% |
| |||||||||||||||
Ohio State University (The), |
| |||||||||||||||
Revenue Bonds, Series A |
| |||||||||||||||
4.048% | 12/01/56 | 6,089 | 8,237,077 | |||||||||||||
4.800% | 06/01/2111 | 1,300 | 1,969,981 | |||||||||||||
|
| |||||||||||||||
10,207,058 | ||||||||||||||||
|
| |||||||||||||||
Pennsylvania — 0.1% |
| |||||||||||||||
Pennsylvania Turnpike Commission, |
| |||||||||||||||
Revenue Bonds, BABs |
| |||||||||||||||
6.105% | 12/01/39 | 7,575 | 11,440,371 | |||||||||||||
University of Pittsburgh-of the Commonwealth System of Higher Education, |
| |||||||||||||||
Revenue Bonds |
| |||||||||||||||
3.555% | 09/15/2119 | 5,575 | 6,358,288 | |||||||||||||
|
| |||||||||||||||
17,798,659 | ||||||||||||||||
|
| |||||||||||||||
Puerto Rico — 0.1% |
| |||||||||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, |
| |||||||||||||||
Revenue Bonds, Series A-1 |
| |||||||||||||||
5.000% | 07/01/58 | 20,541 | 21,474,177 | |||||||||||||
|
| |||||||||||||||
South Carolina — 0.0% |
| |||||||||||||||
South Carolina Public Service Authority, |
| |||||||||||||||
Revenue Bonds, Series C |
| |||||||||||||||
5.784% | 12/01/41 | 1,000 | 1,376,450 | |||||||||||||
|
| |||||||||||||||
Texas — 0.4% |
| |||||||||||||||
North Texas Tollway Authority, |
| |||||||||||||||
Revenue Bonds, BABs, Series B |
| |||||||||||||||
6.718% | 01/01/49 | 5,410 | 9,573,969 | |||||||||||||
Permanent University Fund - University of Texas System, |
| |||||||||||||||
Revenue Bonds, Series A |
| |||||||||||||||
3.376% | 07/01/47 | 25,225 | 31,041,885 | |||||||||||||
Texas Private Activity Bond Surface Transportation Corp., |
| |||||||||||||||
Revenue Bonds, Series B |
| |||||||||||||||
3.922% | 12/31/49 | 22,905 | 23,507,172 |
SEE NOTES TO FINANCIAL STATEMENTS.
A25
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest Rate | Maturity Date | Principal Amount (000)# | Value | |||||||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||||||
Texas (cont’d.) |
| |||||||||||||||
University of Texas System (The), |
| |||||||||||||||
Revenue Bonds, Series A |
| |||||||||||||||
3.852% | 08/15/46 | 1,810 | $ | 2,327,877 | ||||||||||||
|
| |||||||||||||||
66,450,903 | ||||||||||||||||
|
| |||||||||||||||
Virginia — 0.1% |
| |||||||||||||||
University of Virginia, |
| |||||||||||||||
Revenue Bonds, Series C |
| |||||||||||||||
4.179% | 09/01/2117 | 10,570 | 14,304,804 | |||||||||||||
|
| |||||||||||||||
TOTAL MUNICIPAL BONDS |
| 299,400,977 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BOND — 0.2% |
| |||||||||||||||
Indonesia Government International Bond (Indonesia), |
| |||||||||||||||
Sr. Unsec’d. Notes |
| |||||||||||||||
2.950% | 01/11/23 | 23,800 | 24,529,131 | |||||||||||||
|
| |||||||||||||||
(cost $23,787,019) |
| |||||||||||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||||||||||
U.S. Treasury Notes |
| |||||||||||||||
0.625% | 05/15/30 | (a)(h)(k) | 22,280 | 22,210,375 | ||||||||||||
|
| |||||||||||||||
(cost $22,144,067) |
| |||||||||||||||
Shares | ||||||||||||||||
PREFERRED STOCKS — 0.1% |
| |||||||||||||||
Capital Markets — 0.0% |
| |||||||||||||||
State Street Corp. 5.350%, Series G |
| 335,000 | 8,777,000 | |||||||||||||
|
| |||||||||||||||
Electric Utilities — 0.1% |
| |||||||||||||||
SCE Trust V, 5.450%, Series K |
| 565,000 | 12,373,500 | |||||||||||||
|
| |||||||||||||||
TOTAL PREFERRED STOCKS |
| 21,150,500 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 17,407,019,384 | ||||||||||||||
|
| |||||||||||||||
SHORT-TERM INVESTMENTS — 6.9% |
| |||||||||||||||
AFFILIATED MUTUAL FUNDS |
| |||||||||||||||
PGIM Core Ultra Short Bond |
| 54,814,790 | 54,814,790 | |||||||||||||
PGIM Institutional Money Market Fund |
| 1,162,658,821 | 1,162,658,821 | |||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 1,217,473,611 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS—105.5% |
| 18,624,492,995 | ||||||||||||||
Liabilities in excess of other assets(z) — (5.5)% |
| (973,384,533 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 17,651,108,462 | |||||||||||||
|
|
Below is a list of the abbreviation(s) used in the semiannual report:
144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. | |
A | Annual payment frequency for swaps | |
BABs | Build America Bonds | |
CDX | Credit Derivative Index | |
CLO | Collateralized Loan Obligation | |
EMTN | Euro Medium Term Note | |
EONIA | Euro Overnight Index Average | |
GMTN | Global Medium Term Note | |
LIBOR | London Interbank Offered Rate | |
LP | Limited Partnership | |
MTN | Medium Term Note | |
OTC | Over-the-counter | |
Q | Quarterly payment frequency for swaps | |
REITs | Real Estate Investment Trust | |
EUR | Euro | |
USD | US Dollar |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $1,140,104,505; cash collateral of $1,161,776,553 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Portfolio may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. |
(f) | Indicates a restricted security; the aggregate original cost of such securities is $6,714,872. The aggregate value of $3,844,686 is 0.0% of net assets. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(h) | Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(rr) | Perpetual security with no stated maturity date. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Futures contracts outstanding at June 30, 2020:
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions: | ||||||||||||||||
1,594 | 2 Year U.S. Treasury Notes | Sep. 2020 | $ | 352,000,033 | $ | 37,686 | ||||||||||
2,237 | 10 Year U.S. Treasury Notes | Sep. 2020 | 311,327,496 | 311,107 | ||||||||||||
43 | 10 Year U.S. Ultra Treasury Notes | Sep. 2020 | 6,771,828 | 30,795 | ||||||||||||
6,056 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 1,081,374,500 | 4,303,103 | ||||||||||||
|
| |||||||||||||||
4,682,691 | ||||||||||||||||
|
| |||||||||||||||
Short Positions: | ||||||||||||||||
269 | 5 Year Euro-Bobl | Sep. 2020 | 40,793,858 | (195,481 | ) | |||||||||||
6 | 5 Year U.S. Treasury Notes | Sep. 2020 | 754,453 | (1,806 | ) | |||||||||||
1,279 | 10 Year Euro-Bund | Sep. 2020 | 253,651,561 | (2,189,646 | ) | |||||||||||
4,430 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 966,432,188 | 2,744,224 | ||||||||||||
17 | Euro Schatz Index | Sep. 2020 | 2,141,818 | (1,301 | ) | |||||||||||
|
| |||||||||||||||
355,990 | ||||||||||||||||
|
| |||||||||||||||
$ | 5,038,681 | |||||||||||||||
|
|
Forward foreign currency exchange contracts outstanding at June 30, 2020:
Purchase | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||||
Euro, | ||||||||||||||||||||||
Expiring 07/02/20 | Morgan Stanley & Co. International PLC | EUR 192,543 | $ | 217,074,530 | $ | 216,330,489 | $ | — | $ | (744,041 | ) | |||||||||||
|
|
|
|
|
|
|
|
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||
OTC Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||||
Euro, | ||||||||||||||||||||||
Expiring 07/02/20 | Morgan Stanley & Co. International PLC | EUR 192,543 | $ | 210,169,950 | $ | 216,330,489 | $ | — | $ | (6,160,539 | ) | |||||||||||
Expiring 08/04/20 | Morgan Stanley & Co. International PLC | EUR 192,543 | 217,233,378 | 216,490,246 | 743,132 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
$ | 427,403,328 | $ | 432,820,735 | 743,132 | (6,160,539 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
$ | 743,132 | $ | (6,904,580 | ) | ||||||||||||||||||
|
|
|
|
Credit default swap agreements outstanding at June 30, 2020:
Reference Entity/ Obligation | Termination | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1): |
| |||||||||||||||||||||
CDX.NA.IG.34.V1 | 06/20/30 | 1.000% | (Q) | 500,000 | $ | 6,604,235 | $ | 4,202,020 | $ | (2,402,215 | ) | |||||||||||
|
|
|
|
|
|
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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 or underlying securities comprising the referenced index. |
SEE NOTES TO FINANCIAL STATEMENTS.
A27
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) 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 or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Currency swap agreements outstanding at June 30, 2020:
Notional | Fund Receives | Notional Amount (000)# | Fund Pays | Counterparty | Termination Date | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
OTC Currency Swap Agreement: |
| |||||||||||||||||||||||||||
20,495 | 3 Month LIBOR(Q) | EUR 18,000 | 0.641% | (A) | Citibank, N.A. | 12/10/28 | $ | (1,900,262 | ) | $ | — | $ | (1,900,262 | ) | ||||||||||||||
|
|
|
|
|
|
Interest rate swap agreements outstanding at June 30, 2020:
Notional Amount (000)# | Termination | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Centrally Cleared Interest Rate Swap Agreement: | ||||||||||||||||||||||
EUR19,403 | 07/04/44 | 0.203% | (A) | 1 Day EONIA | (1)(A) | $ | — | $ | (307,375 | ) | $ | (307,375 | ) | |||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
Premiums Paid | Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
OTC Swap Agreements | $ | — | $ | — | $ | — | $ | (1,900,262 | ) |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
Broker | Cash and/or Foreign Currency | Securities Market Value | ||||||
Citigroup Global Markets, Inc. | $ | 47,086,000 | $ | 6,974,138 | ||||
|
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A28
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 88,230,712 | $ | — | ||||||
Commercial Mortgage-Backed Securities | — | 1,062,799,582 | — | |||||||||
Corporate Bonds | — | 15,888,698,107 | — | |||||||||
Municipal Bonds | — | 299,400,977 | — | |||||||||
Sovereign Bond | — | 24,529,131 | — | |||||||||
U.S. Treasury Obligation | — | 22,210,375 | — | |||||||||
Preferred Stocks | 21,150,500 | — | — | |||||||||
Affiliated Mutual Funds | 1,217,473,611 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,238,624,111 | $ | 17,385,868,884 | $ | — | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments* | ||||||||||||
Assets | ||||||||||||
Futures Contracts | $ | 7,426,915 | $ | — | $ | — | ||||||
OTC Forward Foreign Currency Exchange Contract | — | 743,132 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 7,426,915 | $ | 743,132 | $ | — | ||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Futures Contracts | $ | (2,388,234 | ) | $ | — | $ | — | |||||
OTC Forward Foreign Currency Exchange Contracts | — | (6,904,580 | ) | — | ||||||||
Centrally Cleared Credit Default Swap Agreement | — | (2,402,215 | ) | — | ||||||||
OTC Currency Swap Agreement | — | (1,900,262 | ) | — | ||||||||
Centrally Cleared Interest Rate Swap Agreement | — | (307,375 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (2,388,234 | ) | $ | (11,514,432 | ) | $ | — | ||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
Electric | 13.0 | % | ||
Banks | 10.1 | |||
Pharmaceuticals | 8.4 | |||
Affiliated Mutual Funds (6.6% represents investments purchased with collateral from securities on loan) | 6.9 | |||
Commercial Mortgage-Backed Securities | 6.0 | |||
Pipelines | 5.8 | |||
Telecommunications | 5.1 | |||
Media | 4.9 | |||
Oil & Gas | 4.5 | |||
Healthcare-Services | 2.9 | |||
Chemicals | 2.8 | |||
Foods | 2.7 | |||
Retail | 2.6 | |||
Beverages | 2.5 | |||
Software | 2.1 | |||
Auto Manufacturers | 1.8 | |||
Transportation | 1.7 | |||
Municipal Bonds | 1.7 | |||
Insurance | 1.7 | |||
Aerospace & Defense | 1.6 | |||
Commercial Services | 1.5 | |||
Mining | 1.4 |
Real Estate Investment Trusts (REITs) | 1.3 | % | ||
Gas | 1.2 | |||
Healthcare-Products | 1.2 | |||
Building Materials | 1.0 | |||
Airlines | 1.0 | |||
Semiconductors | 0.8 | |||
Agriculture | 0.8 | |||
Biotechnology | 0.7 | |||
Computers | 0.6 | |||
Diversified Financial Services | 0.6 | |||
Household Products/Wares | 0.5 | |||
Collateralized Loan Obligations | 0.5 | |||
Forest Products & Paper | 0.5 | |||
Machinery-Diversified | 0.4 | |||
Oil & Gas Services | 0.3 | |||
Miscellaneous Manufacturing | 0.3 | |||
Electronics | 0.3 | |||
Lodging | 0.2 | |||
Packaging & Containers | 0.2 | |||
Trucking & Leasing | 0.2 | |||
Office/Business Equipment | 0.2 | |||
Sovereign Bond | 0.2 | |||
U.S. Treasury Obligation | 0.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A29
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Industry Classification (continued): | ||||
Water | 0.1 | % | ||
Iron/Steel | 0.1 | |||
Electric Utilities | 0.1 | |||
Cosmetics/Personal Care | 0.1 | |||
Environmental Control | 0.1 | |||
Savings & Loans | 0.1 | |||
Home Builders | 0.1 | |||
Capital Markets | 0.0 | * | ||
Auto Parts & Equipment | 0.0 | * | ||
Engineering & Construction | 0.0 | * | ||
Distribution/Wholesale | 0.0 | * | ||
Housewares | 0.0 | * |
Real Estate | 0.0 | *% | ||
Internet | 0.0 | * | ||
Shipbuilding | 0.0 | * | ||
Machinery-Construction & Mining | 0.0 | * | ||
Home Furnishings | 0.0 | * | ||
Entertainment | 0.0 | * | ||
|
| |||
105.5 | ||||
Liabilities in excess of other assets | (5.5 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2020 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging instruments, carried at fair value | Asset Derivatives | Liability Derivatives | ||||||||||
Statement of Assets | Fair Value | Statement of Assets | Fair Value | |||||||||
Credit contracts | — | $ | — | Due from/to broker-variation margin swaps | $ | 2,402,215 | * | |||||
Foreign exchange contracts | Unrealized appreciation on OTC forward foreign currency exchange contracts | 743,132 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 6,904,580 | ||||||||
Interest rate contracts | Due from/to broker-variation margin futures | 7,426,915 | * | Due from/to broker-variation margin futures | 2,388,234 | * | ||||||
Interest rate contracts | — | — | Due from/to broker-variation margin swaps | 307,375 | * | |||||||
Interest rate contracts | — | — | Unrealized depreciation on OTC swap agreements | 1,900,262 | ||||||||
|
|
|
| |||||||||
$ | 8,170,047 | $ | 13,902,666 | |||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | Forward Currency Exchange Contracts | Swaps | |||||||||
Credit contracts | $ | — | $ | — | $ | (63,433 | ) | |||||
Foreign exchange contracts | — | 4,965,753 | — | |||||||||
Interest rate contracts | (46,283,584 | ) | — | 146,125 | ||||||||
|
|
|
|
|
| |||||||
Total | $ | (46,283,584 | ) | $ | 4,965,753 | $ | 82,692 | |||||
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A30
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | Forward Currency Exchange Contracts | Swaps | |||||||||
Credit contracts | $ | — | $ | — | $ | (2,402,215 | ) | |||||
Foreign exchange contracts | — | (3,599,401 | ) | — | ||||||||
Interest rate contracts | (9,087,919 | ) | — | (1,136,027 | ) | |||||||
|
|
|
|
|
| |||||||
Total | $ | (9,087,919 | ) | $ | (3,599,401 | ) | $ | (3,538,242 | ) | |||
|
|
|
|
|
|
For the six months ended June 30, 2020, the Portfolio’s average volume of derivative activities is as follows:
Futures Long Positions(1) | Futures | Forward Foreign | ||||||||||||||
$1,486,878,116 | $1,240,060,296 | $141,006,152 | ||||||||||||||
Forward Foreign | Interest Rate | Credit Default | ||||||||||||||
$345,851,402 | $7,266,423 | $166,666,667 | ||||||||||||||
Currency | ||||||||||||||||
$20,494,800 |
(1) | Notional Amount in USD. |
(2) | Value at Settlement Date. |
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Market Value of Recognized Assets/(Liabilities) | Collateral Pledged/(Received)(2) | Net Amount | |||||||||
Securities on Loan | $ | 1,140,104,505 | $ | (1,140,104,505 | ) | $ | — | |||||
|
|
|
|
|
|
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts of Recognized Liabilities(1) | Net Amounts of Recognized Assets/(Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount | |||||||||||||||
Citibank, N.A. | $ | — | $ | (1,900,262 | ) | $ | (1,900,262 | ) | $ | 1,900,262 | $ | — | ||||||||
Morgan Stanley & Co. International PLC | 743,132 | (6,904,580 | ) | (6,161,448 | ) | 5,693,077 | (468,371 | ) | ||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||
$ | 743,132 | $ | (8,804,842 | ) | $ | (8,061,710 | ) | $ | 7,593,339 | $ | (468,371 | ) | ||||||||
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|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A31
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
(1) | Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A32
AST MULTI-SECTOR FIXED INCOME PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments at value, including securities on loan of $1,140,104,505: | ||||
Unaffiliated investments (cost $15,620,637,463) | $ | 17,407,019,384 | ||
Affiliated investments (cost $1,217,071,464) | 1,217,473,611 | |||
Cash segregated for counterparty — OTC | 5,978,828 | |||
Foreign currency, at value (cost $210,148) | 210,481 | |||
Dividends and interest receivable | 165,213,149 | |||
Deposit with broker for centrally cleared/exchange-traded derivatives | 47,086,000 | |||
Receivable for investments sold | 11,664,329 | |||
Due from broker-variation margin futures | 1,993,256 | |||
Unrealized appreciation on OTC forward foreign currency exchange contracts | 743,132 | |||
Receivable for Portfolio shares sold | 347,593 | |||
Prepaid expenses and other assets | 144,433 | |||
|
| |||
Total Assets | 18,857,874,196 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 1,161,776,553 | |||
Payable for investments purchased | 28,534,019 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 6,904,580 | |||
Management fee payable | 2,726,681 | |||
Due to broker-variation margin swaps | 2,020,924 | |||
Unrealized depreciation on OTC swap agreements | 1,900,262 | |||
Accrued expenses and other liabilities | 1,104,007 | |||
Payable for Portfolio shares repurchased | 1,076,728 | |||
Distribution fee payable | 721,602 | |||
Affiliated transfer agent fee payable | 378 | |||
|
| |||
Total Liabilities | 1,206,765,734 | |||
|
| |||
NET ASSETS | $ | 17,651,108,462 | ||
|
| |||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 17,651,108,462 | ||
|
| |||
Net asset value and redemption price per share, $17,651,108,462 / 1,212,497,418 outstanding shares of beneficial interest | $ | 14.56 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 316,587,888 | ||
Income from securities lending, net (including affiliated income of $1,666,044) | 1,784,999 | |||
Unaffiliated dividend income | 608,884 | |||
Affiliated dividend income | 483,825 | |||
|
| |||
Total income | 319,465,596 | |||
|
| |||
EXPENSES | ||||
Management fee | 38,338,437 | |||
Distribution fee | 20,793,102 | |||
Custodian and accounting fees | 476,654 | |||
Trustees’ fees | 105,887 | |||
Legal fees and expenses | 35,542 | |||
Audit fee | 22,974 | |||
Shareholders’ reports | 10,351 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,092) | 3,461 | |||
Miscellaneous | 114,526 | |||
|
| |||
Total expenses | 59,900,934 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 259,564,662 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(594,666)) | 120,554,801 | |||
Futures transactions | (46,283,584 | ) | ||
Forward currency contract transactions | 4,965,753 | |||
Swap agreements transactions | 82,692 | |||
Foreign currency transactions | 74,212 | |||
|
| |||
79,393,874 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $344,067) | 560,931,914 | |||
Futures | (9,087,919 | ) | ||
Forward currency contracts | (3,599,401 | ) | ||
Swap agreements | (3,538,242 | ) | ||
Foreign currencies | (49,150 | ) | ||
|
| |||
544,657,202 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 624,051,076 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 883,615,738 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 259,564,662 | $ | 469,373,754 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 79,393,874 | 145,265,020 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 544,657,202 | 1,697,787,098 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 883,615,738 | 2,312,425,872 | ||||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [40,571,935 and 217,656,939 shares, respectively] | 557,940,305 | 2,800,096,348 | ||||||
Portfolio shares repurchased [6,869,100 and 3,788,165 shares, respectively] | (95,427,579 | ) | (49,925,604 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 462,512,726 | 2,750,170,744 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 1,346,128,464 | 5,062,596,616 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 16,304,979,998 | 11,242,383,382 | ||||||
|
|
|
| |||||
End of period | $ | 17,651,108,462 | $ | 16,304,979,998 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A33
NOTES TO FINANCIAL STATEMENTS OF
ADVANCED SERIES TRUST
(unaudited)
Advanced Series Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Trust operates as a series company and at June 30, 2020 consisted of 86 separate Portfolios (each, a “Portfolio” and collectively, the “Portfolios”). The information presented in these financial statements pertains only to the AST Multi-Sector Fixed Income Portfolio (the “Portfolio” or “Multi-Sector Fixed Income”). The Portfolio is a diversified portfolio for purposes of the 1940 Act.
The investment objective of the Portfolio is to maximize total return, consistent with preservation of capital.
Shares of the Portfolio may only be purchased by separate accounts of participating insurance companies for investing assets which are attributable to variable annuity contracts and variable life insurance policies. These separate accounts place orders to purchase and redeem shares of the Portfolio primarily based upon the amount of premium payments to be invested, and the amount of surrender and transfer requests to be effected on a specific day under the variable annuity contracts and variable life insurance policies. Shares of the Portfolio may also be sold directly to certain qualified retirement plans.
1. | Accounting Policies |
The Trust follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Trust and the Portfolio consistently follow such policies in the preparation of their financial statements.
Securities Valuation: The Portfolio holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Trust’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to AST Investment Services, Inc. and PGIM Investments LLC (“PGIM Investments”), as applicable, the co-managers of the Trust (collectively, the “Investment Manager”). Pursuant to the Board’s delegation, the Investment Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.
For the fiscal reporting period-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Portfolio’s foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.
Various inputs determine how the Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 — Fair Value Measurements and Disclosures.
Derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
B1
Fixed income securities traded in the OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolio utilizes the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on evaluating observable inputs, including but not limited to, yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations and reported trades. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing transaction prices for identical securities that have been used in excess of five business days. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
OTC and centrally cleared derivative instruments are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolio utilizes the market approach when quoted prices in broker-dealer markets are available but also include consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing unobservable inputs in the income approach. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the Investment Manager regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other unaffiliated mutual funds to calculate their net asset values.
Illiquid Securities: Pursuant to Rule 22e-4 under the 1940 Act, the Trust has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Portfolio limit its illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser(s) and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable.
Restricted Securities: Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Trust’s LRMP because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Portfolio’s investments in restricted securities could be impaired if trading does not develop or declines.
B2
Foreign Currency Translation: The books and records of the Portfolio are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolio does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolio does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.
Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on investment transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) arise from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates.
Forward and Cross Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The Portfolio entered into forward currency contracts, as defined in the prospectus, in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation (depreciation) on forward and cross currency contracts. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on forward and cross currency contract transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.
Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolio is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.
The Portfolio invested in financial futures contracts in order to hedge its existing portfolio securities, or securities the Portfolio intends to purchase, against fluctuations in value caused by changes in prevailing interest rates. Should interest rates move unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Since futures contracts are exchange-traded, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.
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Swap Agreements: The Portfolio entered into certain types of swap agreements detailed in the disclosures below. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount known as “variation margin”, based on daily changes in the valuation of the swap contract. For OTC-traded, upfront premiums paid and received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.
Interest Rate Swaps: Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. The Portfolio is subject to interest rate risk exposure in the normal course of pursuing their investment objective. The Portfolio used interest rate swaps to maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments. The Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net present value of the cash flows to be received from the counterparty over the contract’s remaining life.
Credit Default Swaps (“CDS”): CDS involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.
The Portfolio is subject to credit risk in the normal course of pursuing their investment objectives, and as such, have entered into CDS contracts to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. The Portfolio’s maximum risk of loss from counterparty credit risk for purchased CDS is the inability of the counterparty to honor the contract up to the notional value due to a credit event.
As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.
The maximum amount of the payment that the Portfolio, as a seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements where the Portfolio is the seller of protection as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
Currency Swaps: The Portfolio entered into currency swap agreements primarily to gain yield exposure on foreign bonds. Currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates.
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Master Netting Arrangements: The Trust, on behalf of the Portfolio, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of all or a portion of a Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives. Amaster netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
The Trust, on behalf of the Portfolio, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with respect to those amounts which can be sold or re-pledged, is presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.
In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in the portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/insolvency of either party. Such OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.
As of June 30, 2020, the Portfolio has not met conditions under such agreements which give the counterparty the right to call for an early termination.
Forward currency contracts, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.
Delayed-Delivery Transactions: The Portfolio purchased or sold securities on a when-issued or delayed-delivery and forward commitment basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when
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determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a realized gain (loss). When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains (losses) with respect to the security.
Securities Lending: The Portfolio lends its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral.
The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed in the Statement of Operations.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual.
Taxes: For federal income tax purposes, the Portfolio is treated as a separate taxpaying entity. The Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolio is the responsibility of the Portfolio’s shareholders (participating insurance companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the Portfolio are subject to taxes on their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued in accordance with the Portfolio’s understanding of the applicable country’s tax rules and regulations. The Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
2. | Agreements |
The Trust, on behalf of the Portfolio, has entered into an investment management agreement with the Investment Manager which provides that the Investment Manager will furnish the Portfolio with investment advice, investment management and administrative services. The Investment Manager has engaged PGIM, Inc. (through its business unit PGIM Fixed Income) and PGIM Limited to serve as subadvisers for the Portfolio. PGIM Limited commenced as a subadviser on April 27, 2020.
Management Fees and Expense Limitations: The Investment Manager receives a management fee, accrued daily and payable monthly, based on the annual rate specified below, using the value of the Portfolio’s average daily net
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assets, at the annual rate specified below. The Investment Manager pays the subadviser a fee as compensation for advisory services provided to the Portfolio. All amounts paid or payable by the Portfolio to the Investment Manager, under the agreement, are reflected in the Statement of Operations.
Portfolio | Management Fee | Effective Management Fees, Net of Waiver, if Applicable | ||||
Multi-Sector Fixed Income* | 0.5325% first $300 million; | 0.46 | % | |||
0.5225% on next $200 million; | ||||||
0.5125% on next $250 million; | ||||||
0.5025% on next $2.5 billion; | ||||||
0.4925% on next $2.75 billion; | ||||||
0.4625% on next $4 billion; | ||||||
0.4425% on next $2.5 billion; | ||||||
0.4225% on next $2.5 billion; | ||||||
0.4025% on next $5 billion; | ||||||
0.3825% in excess of $20 billion |
* | Management fees are calculated based on an aggregation of net assets with AST Prudential Corporate Bond Portfolio. |
The Trust, on behalf of the Portfolio, has entered into an agreement with Prudential Annuities Distributors, Inc. (“PAD”), which serves as the distributor for the shares of the Portfolio. The Trust, on behalf of the Portfolio, has adopted a Shareholder Services and Distribution Plan pursuant to Rule 12b-1 under the 1940 Act (the 12b-1 Plan) for the shares of the Portfolio. Under the 12b-1 Plan, the shares of each covered Portfolio are charged an annual fee, primarily to compensate PAD and its affiliates for providing various administrative and distribution services to the Portfolio. The annual shareholder services and distribution (12b-1) fee for the Portfolio’s shares is 0.25% of the average daily net assets of the Portfolio.
AST Investment Services, Inc., PAD, PGIM, Inc., PGIM Limited and PGIM Investments are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
3. | Other Transactions with Affiliates |
a.) Related Parties |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolio. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
Certain officers and a Trustee of the Trust are officers, employees or directors of the Investment Manager. The Trust pays no compensation directly to its officers, employees or interested Trustees. The Investment Manager also pays for occupancy and certain clerical and administrative expenses. The Portfolio bears all other costs and expenses.
The Portfolio may invest its overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and its securities lending cash collateral in the PGIM Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. Through the Portfolio’s investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or reimbursed for providing their services. In addition to the realized and unrealized gains on investments in the Core Fund and Money Market Fund, earnings from such investments are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the Securities Exchange Commission (“SEC”), the Trust’s Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission
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to the Board, together with the CCO’s written representation that all such 17a-7 transactions were effected in accordance with the Trust’s Rule 17a-7 procedures. For the reporting period ended June 30, 2020 no such transactions were entered into by the Portfolio.
4. | Portfolio Securities |
The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Government securities) for the reporting period ended June 30, 2020, were as follows:
Portfolio | Cost of Purchases | Proceeds from Sales | ||||||
Multi-Sector Fixed Income | $ | 1,845,065,426 | $ | 1,154,284,707 |
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended June 30, 2020, is presented as follows:
Value, | Cost of Purchases | Proceeds from Sales | Change in Unrealized Gain (Loss) | Realized Gain (Loss) | Value, End of Period | Shares, End of Period | Income | |||||||||||||||||||||
PGIM Core Ultra Short Bond Fund* |
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$110,784,240 | $ | 919,372,548 | $ | 975,341,998 | $ | — | $ | — | $ | 54,814,790 | 54,814,790 | $ | 483,825 | |||||||||||||||
PGIM Institutional Money Market Fund* |
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836,065,239 | 1,565,578,819 | 1,238,734,638 | 344,067 | (594,666 | ) | 1,162,658,821 | 1,162,658,821 | 1,666,044 | ** | |||||||||||||||||||
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$946,849,479 | $ | 2,484,951,367 | $ | 2,214,076,636 | $ | 344,067 | $ | (594,666 | ) | $ | 1,217,473,611 | $ | 2,149,869 | |||||||||||||||
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* | The Fund did not have any capital gain distributions during the reporting period. |
** | The amount, or a portion thereof, represents the affiliated securities lending income shown on the Statement of Operations. |
5. | Tax Information |
The Portfolio is treated as a partnership for federal income tax purposes. The character of the cash distributions, if any, made by the partnership is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.
With respect to the Portfolio, book cost of assets differs from tax cost of assets as a result of the Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.
The Investment Manager has analyzed the Portfolio’s tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolio’s financial statements for the current reporting period. Since tax authorities can examine previously filed tax returns, the Portfolio’s U.S. federal and state tax returns for each of the four fiscal years up to the most recent fiscal year ended December 31, 2019 are subject to such review.
6. | Borrowings |
The Trust, on behalf of the Portfolio, along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (���SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The table below provides details of the current SCA in effect at the reporting period-end.
SCA | ||
Term of Commitment | 10/3/2019 — 10/1/2020 | |
Total Commitment | $ 1,222,500,000* | |
Annualized Commitment Fee on the Unused Portion of the SCA | 0.15% |
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SCA | ||
Annualized Interest Rate on Borrowings | 1.20% plus the higher of (1) the effective federal rate, funds (2) the one-month LIBOR rate or (3) zero percent | |
* Effective March 31, 2020, the SCA’s total commitment was increased from $900,000,000 to $1,162,500,000 and subsequently, effective April 7, 2020 was increased to $1,222,500,000. |
Certain affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Investment Manager to allocate available funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.
The Portfolio utilized the SCA during the reporting period ended June 30, 2020. The average daily balance for the 2 days that the Portfolio had loans outstanding during the period was approximately $11,354,000, borrowed at a weighted average interest rate of 1.46%. The maximum loan outstanding amount during the period was $11,354,000. At June 30, 2020, the Portfolio did not have an outstanding loan amount.
7. | Capital and Ownership |
The Agreement and Declaration of Trust permits the Trust’s Board of Trustees to issue multiple classes of shares, and within each class, an unlimited number of shares of beneficial interest of the Portfolio with a par value of $0.001 per share. As of June 30, 2020, the Portfolio only offers a single share class to investors.
As of June 30, 2020, all shares of the Portfolio were owned of record directly or by other Portfolios as part of their investments by insurance affiliates of Prudential.
The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares, on behalf of multiple beneficial owners:
Portfolio | Number of Shareholders | Percentage of Outstanding Shares | ||||
Multi-Sector Fixed Income | 2 | 100.0 | % |
8. | Risks of Investing in the Portfolio |
The Portfolio’s risks include, but are not limited to, some or all of the risks discussed below. For further information on the Portfolio’s risks, please refer to the Portfolio’s Prospectus and Statement of Additional Information.
Bond Obligations Risk: The Portfolio’s holdings, share price, yield and total return may fluctuate in response to bond market movements. The value of bonds may decline for issuer-related reasons, including management performance, financial leverage and reduced demand for the issuer’s goods and services. Certain types of fixed-income obligations also may be subject to “call and redemption risk,” which is the risk that the issuer may call a bond held by the Portfolio for redemption before it matures and the Portfolio may not be able to reinvest at the same level and therefore would earn less income.
Derivatives Risk: Derivatives involve special risks and costs and may result in losses to the Portfolio. The successful use of derivatives requires sophisticated management, and, to the extent that derivatives are used, the Portfolio will depend on the subadviser’s ability to analyze and manage derivative transactions. The prices of derivatives may move in unexpected ways, especially in abnormal market conditions. Some derivatives are “leveraged” and therefore may magnify or otherwise increase investment losses to the Portfolio. Other risks arise from the potential inability to terminate or sell derivatives positions. A liquid secondary market may not always exist for the Portfolio’s derivatives positions. In fact, many OTC derivative instruments will not have liquidity beyond the counterparty to the instrument. OTC derivative instruments also involve the risk that the other party will not meet its obligations to the Portfolio.
Foreign Market Disruption and Geopolitical Risks: International wars or conflicts and geopolitical developments in foreign countries, along with instability in regions such as Asia, Eastern Europe, and the Middle East, possible terrorist attacks in the United States or around the world, public health epidemics such as the outbreak of infectious diseases like the recent outbreak of coronavirus globally or the 2014–2016 outbreak in West Africa of the Ebola virus, and other similar events could adversely affect the U.S. and foreign financial markets, and may cause further
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long-term economic uncertainties in the United States and worldwide generally.
Foreign Securities Risk: The Portfolio’s investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Portfolio may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the Portfolio’s investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.
Interest Rate Risk: The value of an investment may go down when interest rates rise. A rise in rates tends to have a greater impact on the prices of longer term or duration securities. When interest rates fall, the issuers of debt obligations may prepay principal more quickly than expected, and the Portfolio may be required to reinvest the proceeds at a lower interest rate. This is referred to as “prepayment risk.” When interest rates rise, debt obligations may be repaid more slowly than expected, and the value of the Portfolio’s holdings may fall sharply. This is referred to as “extension risk”. The Portfolio may face a heightened level of interest rate risk as a result of the U.S. Federal Reserve Board’s policies. The Portfolio’s investments may lose value if short-term or long-term interest rates rise sharply or in a manner not anticipated by the subadviser.
LIBOR Risk: Many financial instruments use or may use a floating rate based on the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. On July 27, 2017, the Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. As such, the potential impact of a transition away from LIBOR on the Portfolio or the financial instruments in which the Portfolio invests cannot yet be determined. 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 Portfolio’s performance and/or net asset value. 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.
Liquidity Risk: The Portfolio may invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk exists when particular investments made by the Portfolio are difficult to purchase or sell. Liquidity risk includes the risk that the Portfolio may make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. If the Portfolio is forced to sell these investments to pay redemption proceeds or for other reasons, the Portfolio may lose money. In addition, when there is no willing buyer and investments may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment, the Portfolio may incur higher transaction costs when executing trade orders of a given size. The reduction in dealer market-making capacity in the fixed-income markets that has occurred in recent years also has the potential to reduce liquidity. An inability to sell a portfolio position can adversely affect the Portfolio’s value or prevent the Portfolio from being able to take advantage of other investment opportunities.
Market and Credit Risk: Securities markets may be volatile and the market prices of the Portfolio’s securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Portfolio fall, the value of an investment in the Portfolio will decline. Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
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Financial Highlights
(unaudited)
AST Multi-Sector Fixed Income Portfolio | ||||||||||||||||||||||||
Six Months Ended | Year Ended December 31, | |||||||||||||||||||||||
June 30, 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 13.83 | $ | 11.65 | $ | 12.34 | $ | 11.35 | $ | 10.42 | $ | 10.75 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.22 | 0.44 | 0.42 | 0.40 | 0.38 | 0.37 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 0.51 | 1.74 | (1.11 | ) | 0.59 | 0.55 | (0.70 | ) | ||||||||||||||||
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Total from investment operations | 0.73 | 2.18 | (0.69 | ) | 0.99 | 0.93 | (0.33 | ) | ||||||||||||||||
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Net Asset Value, end of period | $ | 14.56 | $ | 13.83 | $ | 11.65 | $ | 12.34 | $ | 11.35 | $ | 10.42 | ||||||||||||
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Total Return(b) | 5.28 | % | 18.71 | % | (5.59 | )% | 8.72 | % | 8.93 | % | (3.07 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 17,651 | $ | 16,305 | $ | 11,242 | $ | 9,993 | $ | 7,923 | $ | 4,662 | ||||||||||||
Average net assets (in millions) | $ | 16,726 | $ | 14,016 | $ | 10,301 | $ | 8,906 | $ | 6,579 | $ | 3,690 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.72 | %(d) | 0.73 | % | 0.74 | % | 0.75 | % | 0.76 | % | 0.77 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.72 | %(d) | 0.73 | % | 0.74 | % | 0.75 | % | 0.76 | % | 0.77 | % | ||||||||||||
Net investment income (loss) | 3.12 | %(d) | 3.35 | % | 3.57 | % | 3.36 | % | 3.38 | % | 3.45 | % | ||||||||||||
Portfolio turnover rate(e) | 8 | % | 43 | % | 36 | % | 48 | % | 62 | % | 72 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(c) | Does not include expenses of the underlying funds in which the Portfolio invests. (d) Annualized. |
(e) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Advanced Series Trust
Portfolio Liquidity Risk Management Program — unaudited | June 30, 2020 |
Consistent with Rule 22e-4 under the 1940 Act (the “Liquidity Rule”), the Portfolio has adopted and implemented a liquidity risk management program (the “LRMP”). The Portfolio’s LRMP seeks to assess and manage the Portfolio’s liquidity risk, which is defined as the risk that the Portfolio is unable to meet investor redemption requests without significantly diluting the remaining investors’ interests in the Portfolio. The Trust’s Board of Trustees (the “Board”) has approved PGIM Investments LLC (“PGIM Investments”), the Portfolio’s investment manager, to serve as the administrator of the Portfolio’s LRMP. As part of its responsibilities as administrator, PGIM Investments has retained a third party to perform certain functions, including providing market data and liquidity classification model information.
The Portfolio’s LRMP includes a number of processes designed to support the assessment and management of its liquidity risk. In particular, the Portfolio’s LRMP includes no less than annual assessments of factors that influence the Portfolio’s liquidity risk; no less than monthly classifications of the Portfolio’s investments into one of four liquidity classifications provided for in the Liquidity Rule; a 15% of net assets limit on the acquisition of “illiquid investments” (as defined under the Liquidity Rule); establishment of a minimum percentage of the Portfolio’s assets to be invested in investments classified as “highly liquid” (as defined under the Liquidity Rule) if the Portfolio does not invest primarily in highly liquid investments; and regular reporting to the Board.
At a meeting of the Board on March 10-11, 2020, PGIM Investments provided a written report (“LRMP Report”) to the Board addressing the operation, adequacy, and effectiveness of the Portfolio’s LRMP, including any material changes to the LRMP for the period from the inception of the Portfolio’s LRMP on December 1, 2018 through December 31, 2019 (“Reporting Period”). The LRMP Report concluded that the Portfolio’s LRMP was reasonably designed to assess and manage the Portfolio’s liquidity risk and was adequately and effectively implemented during the Reporting Period. There were no material changes to the LRMP during the Reporting Period. The LRMP Report further concluded that the Portfolio’s investment strategies continue to be appropriate given the Portfolio’s status as an open-end fund.
There can be no assurance that the LRMP will achieve its objectives in the future. Additional information regarding risks of investing in the Portfolio, including liquidity risks presented by the Portfolio’s investment portfolio, is found in the Portfolio’s Prospectus and Statement of Additional Information.
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Approval of Advisory Agreements
Renewal of Management and Subadvisory Agreements
The Trust’s Board of Trustees
The Board of Trustees (the Board) of Advanced Series Trust (the Trust, and the series thereof, the Portfolios) consists of nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios and their operations, and performs the various duties imposed on the directors or trustees of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee, and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreements with PGIM Investments LLC (PGIM Investments) and AST Investment Services, Inc. (ASTIS) (collectively, the Manager) and the AST Multi-Sector Fixed Income Portfolio’s subadvisory agreement. As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 15-16, 2020 (the Meeting) and approved the renewal of the agreements through July 31, 2021, after concluding that the renewal of the agreements was in the best interests of the Trust, the Portfolio and the Portfolio’s beneficial shareholders.
In advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.
In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of the Portfolio, the profitability of the Manager and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with the Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting, as well as information provided throughout the year at regular and special Board meetings, including presentations from the Manager and subadviser personnel such as portfolio managers.
The Board determined that the overall arrangements between the Trust and the Manager, which serves as the Trust’s investment manager pursuant to a management agreement, and between the Manager and the subadviser, which serves pursuant to the terms of a subadvisory agreement with the Manager, are in the best interests of the Trust, the Portfolio and the Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for the Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.
The material factors and conclusions that formed the basis for the Board’s determinations to approve the renewal of the agreements are discussed separately below.
Nature, Quality and Extent of Services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by the Manager and the subadvisers. The Board noted that PGIM Limited and the PGIM Fixed Income unit of PGIM, Inc., which serve as subadvisers to the Portfolio, are affiliated with the Manager. The Board considered the services provided by the Manager, including but not limited to the oversight of the subadvisers, the provision of recordkeeping, compliance and other services to the Trust, and the Manager’s role as administrator of the Trust’s liquidity risk management program. With respect to the Manager’s oversight of the subadvisers, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that the Manager pays the salaries of all of the officers and the interested Trustee of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance
with the Portfolio’s investment restrictions, policies and procedures. The Board considered the Manager’s evaluation of the subadvisers, as well as the Manager’s recommendation, based on its review of the subadvisers, to renew the subadvisory agreement.
The Board reviewed the qualifications, backgrounds and responsibilities of the Manager’s senior management personnel responsible for the oversight of the Portfolio and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio managers who are responsible for the day-to-day management of the Portfolio. The Board was provided with information pertaining to the Manager’s and each subadviser’s organizational structure, senior management, investment operations, and other relevant information pertaining to the Manager and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to both the Manager and each subadviser.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by the Manager and the subadvisory services provided to the Portfolio by each subadviser, and that there was a reasonable basis on which to conclude that each Portfolio benefits from the services provided by the Manager and each subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by the Manager
The Board was provided with information on the profitability of the Manager and its affiliates in serving as the Trust’s investment manager. The Board discussed with the Manager the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations of direct and indirect costs, and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of PGIM, Inc. and PGIM Limited, each of which are affiliates of the Manager, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of the Manager and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether the Manager realizes economies of scale as the Portfolio’s assets grow beyond current levels. The Board noted that the management fee schedules for most of the Portfolios of the Trust contain breakpoints, which have the effect of decreasing the fee rate as assets increase, and that at current asset levels the effective fee rates for many of the Portfolios reflected some of these rate reductions. The Board took note that the fee structure for those Portfolios currently results in benefits to Portfolio shareholders whether or not the Manager realizes any economies of scale. The Board considered that economies of scale can be shared with the Portfolios in other ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment.
The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of the Manager’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to the Manager and the Subadvisers
The Board considered potential ancillary benefits that might be received by the Manager, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by the Manager included compensation received by insurance company affiliates of the Manager from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from the Manager’s association with the Trust. The Board also considered information provided by the Manager regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of the Manager at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by the Manager and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolio / Fees and Expenses / Other Factors
With respect to the Portfolio, the Board also considered certain additional factors and made related conclusions relating to the historical performance of the Portfolio for the one-, three- and five-year periods ended December 31, 2019, except as otherwise noted below. The Board compared the historical performance of the Portfolio to the comparable performance of the Portfolio’s benchmark index, and to a universe of mutual funds that were determined by Broadridge, Inc. (Broadridge) an independent provider of mutual fund data, to be similar to the Portfolio (the Peer Universe).
The Board also considered the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2019. The Board considered the management fee for the Portfolio as compared to the management fee charged by the Manager to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in the Peer Universe and the Peer Group were objectively determined by Broadridge. The comparisons used by the Board placed the Portfolio in various quartiles over various periods, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).
The section below summarizes certain key factors considered by the Board and the Board’s conclusions regarding the Portfolio’s performance, fees and overall expenses. The section sets forth gross performance comparisons (which do not reflect the impact on performance of portfolio expenses, or any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
AST Multi-Sector Fixed Income Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 1st Quartile | 1st Quartile | N/A | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
***
After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.
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The prospectuses for the Advanced Series Trust portfolios and the applicable variable annuity or variable life prospectuses contain information on the investment objectives, risks, charges and expenses of the portfolios and on the contracts and should be read carefully.
Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Trust’s website at www.prudential.com/variableinsuranceportfolios.
The Trust files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-PORT. Form N-PORT is available on the Commission’s website at www.sec.gov or call (800) SEC-0330.
The Trust’s Statement of Additional Information contains additional information about the Trust’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888. Owners of Individual Life Insurance contracts should call (800) 778-2255.
Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
The Prudential Insurance Company of America
751 Broad Street
Newark, NJ 07102-3714
The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation and The Prudential Insurance Company of America are available upon request. You may call (888) 778-2888 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 248-4019, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2020 Prudential Financial, Inc. and its related entities PGIM Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
AST-SAR-E
Advanced Series Trust
SEMIANNUAL REPORT | June 30, 2020 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports for other portfolios. Please refer to your variable annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about each portfolio’s holdings are for the period covered by this report and are subject to change thereafter.
The accompanying financial statements as of June 30, 2020, were not audited; and accordingly, no auditor’s opinion is expressed on them.
Please note that this report may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
AST Government Money Market Portfolio
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Advanced Series Trust
Table of Contents | Semiannual Report | June 30, 2020 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |
Section B | Notes to Financial Statements | |
Section C | Financial Highlights |
∎ | APPROVAL OF ADVISORY AGREEMENTS |
Advanced Series Trust
Letter to Contract Owners | Semiannual Report | June 30, 2020 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. Despite today’s uncertainties, we remain strong and ready to serve and support you. This Advanced Series Trust semiannual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 145 years. You can count on our history of financial stability. We are diversified for endurance. Our balanced mix of risks and businesses positions us well to manage through any economic environment. We’ve applied the lessons from decades of challenges to be stronger, because we are committed to keeping our promises to you.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. A strong sense of social responsibility for our clients, our employees, and our communities has been embedded in the company since our founding. It guides our efforts to help our customers achieve peace of mind through financial wellness.
We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
July 31, 2020 | ||
Timothy S. Cronin President, Advanced Series Trust |
Advanced Series Trust
Presentation of Portfolio Holdings — unaudited | June 30, 2020 |
AST Government Money Market Portfolio |
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Ten Largest Holdings | Interest Rate | Maturity Date | (% of Net Assets | ) | ||||
U.S. Treasury Bills | 0.079% | 10/01/2020 | 3.7% | |||||
U.S. Treasury Bills | 0.113% | 07/07/2020 | 3.1% | |||||
U.S. Treasury Bills | 0.159% | 09/24/2020 | 3.1% | |||||
U.S. Treasury Bills | 0.132% | 08/27/2020 | 3.0% | |||||
U.S. Treasury Bills | 0.144% | 09/03/2020 | 2.4% | |||||
Federal Home Loan Bank | 0.305% | 07/10/2020 | 2.1% | |||||
Federal Home Loan Mortgage Corp. | 0.110% | 01/22/2021 | 2.1% | |||||
U.S. Treasury Bills | 0.104% | 07/21/2020 | 2.0% | |||||
Federal Home Loan Bank | 0.400% | 09/01/2020 | 2.0% | |||||
Federal Home Loan Bank | 0.160% | 03/04/2021 | 1.9% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only short-term investments.
Advanced Series Trust
Fees and Expenses — unaudited | June 30, 2020 |
As a contract owner investing in Portfolios of the Trust through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Trust and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2020 through June 30, 2020.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fees and charges were included, your costs would have been higher.
Advanced Series Trust Portfolio | Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Annualized Expense Ratio based on the Six-Month Period | Expenses Paid During the Six-Month Period* | ||||||||||||||
AST Government Money | Actual | $ | 1,000.00 | $ | 1,002.20 | 0.42 | % | $ | 2.09 | |||||||||
Market Portfolio | Hypothetical | $ | 1,000.00 | $ | 1,022.77 | 0.42 | % | $ | 2.11 |
* Portfolio expenses (net of fee waivers or subsidies, if any) are equal to the annualized expense ratio (provided in the table), multiplied by the average account value over the period, multiplied by the 182 days in the six-month period ended June 30, 2020, and divided by the 366 days in the Portfolio’s fiscal year ending December 31, 2020 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
AST GOVERNMENT MONEY MARKET PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||
REPURCHASE AGREEMENT(m) — 0.5% |
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Bank of America Securities, Inc., 0.09%,dated 06/30/20, due 07/01/20 in the amount of $4,727,012 (amortized cost $4,727,000) |
| 4,727 | $ | 4,727,000 | ||||||||
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U.S. GOVERNMENT AGENCY OBLIGATIONS — 60.5% |
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Federal Farm Credit Bank, 1 Month LIBOR + (0.015)% (Cap N/A, Floor 0.000%) |
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0.156%(c) | 09/01/20 | 9,000 | 9,002,340 | |||||||||
Federal Farm Credit Bank, 1 Month LIBOR + (0.050)% (Cap N/A, Floor 0.000%) |
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0.140%(c) | 07/21/20 | 8,837 | 8,837,020 | |||||||||
Federal Farm Credit Bank, 1 Month LIBOR + (0.055)% (Cap N/A, Floor 0.000%) |
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0.123%(c) | 02/03/21 | 9,000 | 9,000,000 | |||||||||
Federal Farm Credit Bank, 1 Month LIBOR + 0.000% (Cap N/A, Floor 0.000%) |
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0.180%(c) | 07/09/20 | 7,000 | 6,999,993 | |||||||||
0.185%(c) | 09/25/20 | 6,000 | 5,999,767 | |||||||||
Federal Farm Credit Bank, 1 Month LIBOR + 0.010% (Cap N/A, Floor 0.000%) |
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0.195%(c) | 08/24/20 | 1,590 | 1,590,004 | |||||||||
0.201%(c) | 08/12/20 | 8,000 | 7,999,953 | |||||||||
Federal Farm Credit Bank, 1 Month LIBOR + 0.110% (Cap N/A, Floor 0.000%) |
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0.295%(c) | 03/25/21 | 7,500 | 7,499,280 | |||||||||
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.040% (Cap N/A, Floor 0.000%) |
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0.120%(c) | 02/09/21 | 8,000 | 8,000,000 | |||||||||
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.105% (Cap N/A, Floor 0.000%) |
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0.185%(c) | 01/15/21 | 10,000 | 10,000,000 | |||||||||
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.110% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.190%(c) | 05/18/21 | 10,000 | 10,000,000 | |||||||||
Federal Farm Credit Bank, US Federal Funds Effective Rate + 0.030% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.110%(c) | 07/28/20 | 7,500 | 7,500,000 | |||||||||
Federal Home Loan Bank |
| |||||||||||
0.110%(n) | 07/31/20 | 2,700 | 2,699,752 | |||||||||
0.120%(n) | 08/26/20 | 3,000 | 2,999,440 | |||||||||
0.121%(n) | 08/21/20 | 10,000 | 9,998,286 | |||||||||
0.134%(n) | 07/06/20 | 6,000 | 5,999,888 | |||||||||
0.145% | 09/22/20 | 10,000 | 10,000,000 | |||||||||
0.147%(n) | 09/25/20 | 10,000 | 9,996,488 | |||||||||
0.150%(n) | 09/23/20 | 12,000 | 11,995,800 | |||||||||
0.165%(n) | 09/11/20 | 2,750 | 2,749,092 | |||||||||
0.200%(n) | 07/07/20 | 9,000 | 8,999,700 | |||||||||
0.220%(n) | 12/18/20 | 5,025 | 5,019,780 | |||||||||
0.240%(n) | 08/04/20 | 9,000 | 8,997,960 | |||||||||
0.260%(n) | 07/15/20 | 10,000 | 9,998,989 | |||||||||
0.270%(n) | 09/18/20 | 9,000 | 8,994,667 | |||||||||
0.305%(n) | 07/10/20 | 20,000 | 19,998,477 | |||||||||
0.400%(n) | 09/01/20 | 19,000 | 18,986,946 | |||||||||
1.750% | 08/26/20 | 7,000 | 6,999,983 | |||||||||
Federal Home Loan Bank, 1 Month LIBOR + (0.010)% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.164%(c) | 04/05/21 | 8,000 | 8,000,000 | |||||||||
0.174%(c) | 08/28/20 | 16,000 | 16,000,663 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||
Federal Home Loan Bank, 1 Month LIBOR + (0.030)% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.161%(c) | 08/12/20 | 9,500 | $ | 9,499,401 | ||||||||
Federal Home Loan Bank, 1 Month LIBOR + 0.000% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.177%(c) | 05/10/21 | 8,000 | 8,000,000 | |||||||||
Federal Home Loan Bank, 3 Month LIBOR + (0.120)% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.436%(c) | 11/03/20 | 7,000 | 7,000,337 | |||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.030% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.110%(c) | 07/17/20 | 2,000 | 2,000,000 | |||||||||
0.110%(c) | 08/05/20 | 5,000 | 4,999,757 | |||||||||
0.110%(c) | 09/04/20 | 9,000 | 9,000,000 | |||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.040% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.120%(c) | 08/25/20 | 5,500 | 5,500,077 | |||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.045% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.125%(c) | 08/14/20 | 10,000 | 10,000,000 | |||||||||
0.125%(c) | 09/28/20 | 1,000 | 1,000,000 | |||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.050% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.130%(c) | 01/22/21 | 13,300 | 13,298,968 | |||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.075% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.155%(c) | 06/11/21 | 9,000 | 8,987,504 | |||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.080% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.160%(c) | 03/04/21 | 18,000 | 18,000,000 | |||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.085% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.165%(c) | 09/11/20 | 16,000 | 16,000,000 | |||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.090% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.170%(c) | 11/20/20 | 8,000 | 8,000,000 | |||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.100% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.180%(c) | 09/15/20 | 11,000 | 11,000,000 | |||||||||
0.180%(c) | 12/24/20 | 10,500 | 10,500,000 | |||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.120% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.200%(c) | 10/07/20 | 3,000 | 3,000,000 | |||||||||
0.200%(c) | 12/11/20 | 7,000 | 7,000,000 | |||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.160% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.240%(c) | 05/07/21 | 8,000 | 8,003,450 | |||||||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.230% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.310%(c) | 09/25/20 | 12,000 | 12,000,000 | |||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||
0.120%(n) | 08/19/20 | 9,000 | 8,998,530 | |||||||||
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.040% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.120%(c) | 12/04/20 | 5,000 | 4,998,702 | |||||||||
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.020% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.100%(c) | 07/10/20 | 16,500 | 16,499,856 |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
AST GOVERNMENT MONEY MARKET PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||||||
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.025% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.105%(c) | 02/26/21 | 9,000 | $ | 9,000,000 | ||||||||
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.030% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.110%(c) | 01/22/21 | 20,000 | 19,991,510 | |||||||||
0.110%(c) | 02/05/21 | 8,000 | 7,997,101 | |||||||||
0.110%(c) | 02/19/21 | 4,000 | 3,999,224 | |||||||||
0.110%(c) | 02/24/21 | 9,000 | 9,000,000 | |||||||||
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.040% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.120%(c) | 09/10/20 | 8,500 | 8,500,000 | |||||||||
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.045% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.125%(c) | 08/27/21 | 4,000 | 4,000,000 | |||||||||
Federal Home Loan Mortgage Corp., MTN, Secured Overnight Financing Rate + 0.400% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.480%(c) | 10/21/21 | 7,000 | 7,000,000 | |||||||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.060% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.140%(c) | 07/30/20 | 3,000 | 3,000,000 | |||||||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.070% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.150%(c) | 12/11/20 | 9,000 | 8,993,904 | |||||||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.075% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.155%(c) | 10/30/20 | 10,000 | 9,999,665 | |||||||||
0.155%(c) | 06/04/21 | 10,000 | 10,000,000 | |||||||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.120% (Cap N/A, Floor 0.000%) |
| |||||||||||
0.200%(c) | 03/16/21 | 7,000 | 7,000,000 | |||||||||
|
| |||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 572,632,254 | ||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS — 39.9% |
| |||||||||||
U.S. Cash Management Bills |
| |||||||||||
0.144%(n) | 09/08/20 | 16,000 | 15,995,592 | |||||||||
0.165%(n) | 12/01/20 | 11,000 | 10,992,286 | |||||||||
0.170%(n) | 11/03/20 | 10,000 | 9,994,097 | |||||||||
0.180%(n) | 11/10/20 | 10,000 | 9,993,400 | |||||||||
0.190%(n) | 11/17/20 | 7,000 | 6,994,865 | |||||||||
0.245%(n) | 09/15/20 | 9,000 | 8,995,345 | |||||||||
U.S. Treasury Bills |
| |||||||||||
0.079%(n) | 07/02/20 | 17,000 | 16,999,963 |
Interest | Maturity Date | Principal Amount (000)# | Value | |||||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||||||
0.079%(n) | 10/01/20 | 35,000 | $ | 34,988,799 | ||||||||
0.104%(n) | 07/21/20 | 19,000 | 18,998,900 | |||||||||
0.108%(n) | 07/14/20 | 9,000 | 8,999,649 | |||||||||
0.113%(n) | 07/07/20 | 29,000 | 28,999,455 | |||||||||
0.117%(n) | 08/06/20 | 9,000 | 8,998,947 | |||||||||
0.120%(n) | 07/09/20 | 10,000 | 9,999,733 | |||||||||
0.120%(n) | 08/04/20 | 15,000 | 14,998,306 | |||||||||
0.123%(n) | 08/13/20 | 12,000 | 11,998,237 | |||||||||
0.130%(n) | 08/25/20 | 12,000 | 11,997,617 | |||||||||
0.132%(n) | 08/27/20 | 28,000 | 27,994,140 | |||||||||
0.140%(n) | 07/28/20 | 5,000 | 4,999,475 | |||||||||
0.144%(n) | 09/03/20 | 23,000 | 22,994,107 | |||||||||
0.155%(n) | 11/12/20 | 8,000 | 7,995,384 | |||||||||
0.156%(n) | 07/23/20 | 12,000 | 11,998,856 | |||||||||
0.159%(n) | 09/24/20 | 29,000 | 28,989,100 | |||||||||
0.160%(n) | 09/10/20 | 7,000 | 6,997,791 | |||||||||
0.175%(n) | 10/22/20 | 9,000 | 8,995,056 | |||||||||
0.178%(n) | 09/17/20 | 9,000 | 8,996,529 | |||||||||
0.220%(n) | 10/08/20 | 8,000 | 7,995,160 | |||||||||
0.305%(n) | 07/16/20 | 9,000 | 8,998,856 | |||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 376,899,645 | ||||||||||
TOTAL INVESTMENTS—100.9% |
| 954,258,899 | ||||||||||
Liabilities in excess of other assets — (0.9)% |
| (8,544,542) | ||||||||||
NET ASSETS — 100.0% |
| $ | 945,714,357 |
Below is a list of the abbreviation(s) used in the semiannual report:
FHLB | Federal Home Loan Bank | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium Term Note | |
# | Principal amount is shown in U.S. dollars unless otherwise stated. | |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2020. | |
(m) | Repurchase agreement is collateralized by FHLB (coupon rate 3.940%, maturity date 06/18/30), with the aggregate value, including accrued interest, of $4,821,799. | |
(n) | Rate quoted represents yield to maturity as of purchase date. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | unadjusted quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
AST GOVERNMENT MONEY MARKET PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2020 (unaudited) |
The following is a summary of the inputs used as of June 30, 2020 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Assets | ||||||||||||
Repurchase Agreement | $ | — | $ | 4,727,000 | $ | — | ||||||
U.S. Government Agency Obligations | — | 572,632,254 | — | |||||||||
U.S. Treasury Obligations | — | 376,899,645 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | — | $ | 954,258,899 | $ | — | ||||||
|
|
|
|
|
|
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2020 were as follows:
U.S. Government Agency Obligations | 60.5 | % | ||
U.S. Treasury Obligations | 39.9 | |||
Repurchase Agreement | 0.5 | |||
100.9 | ||||
|
| |||
Liabilities in excess of other assets | (0.9 | ) | ||
|
| |||
100.0 | % | |||
|
|
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Counterparty | Gross Market Value of Recognized Assets/ (Liabilities) | Collateral Pledged/(Received)(1) | Net Amount | ||||||||||
Repurchase Agreements. | Bank of America Securities, Inc. | $ | 4,727,000 | $ | (4,727,000 | ) | $ | — | ||||||
|
|
|
|
|
|
(1) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
AST GOVERNMENT MONEY MARKET PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES (unaudited)
as of June 30, 2020
ASSETS | ||||
Investments, at amortized cost which approximates fair value: | $ | 954,258,899 | ||
Cash | 841 | |||
Receivable for Portfolio shares sold | 3,374,205 | |||
Interest receivable | 107,072 | |||
Prepaid expenses | 742 | |||
|
| |||
Total Assets | 957,741,759 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 10,995,829 | |||
Payable for Portfolio shares repurchased | 935,651 | |||
Accrued expenses and other liabilities | 40,273 | |||
Distribution fee payable | 38,640 | |||
Management fee payable | 16,168 | |||
Affiliated transfer agent fee payable | 841 | |||
|
| |||
Total Liabilities | 12,027,402 | |||
|
| |||
NET ASSETS | $ | 945,714,357 | ||
Net assets were comprised of: | ||||
Partners’ Equity | $ | 945,714,357 | ||
Net asset value and redemption price per share, $945,714,357 / 945,035,751 outstanding shares of beneficial interest | $ | 1.00 |
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2020
NET INVESTMENT INCOME (LOSS) | ||||
Interest income | $ | 3,330,489 | ||
|
| |||
EXPENSES | ||||
Management fee | 1,256,538 | |||
Distribution fee | 1,047,115 | |||
Custodian and accounting fees | 43,087 | |||
Audit fee | 13,028 | |||
Trustees’ fees | 9,257 | |||
Legal fees and expenses | 7,669 | |||
Shareholders’ reports | 4,343 | |||
Transfer agent’s fees and expenses (including affiliated expense of $1,829) | 3,460 | |||
Miscellaneous | 9,294 | |||
|
| |||
Total expenses | 2,393,791 | |||
Less: Fee waiver and/or expense reimbursement | (648,483 | ) | ||
|
| |||
Net expenses | 1,745,308 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 1,585,181 | |||
|
| |||
REALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
Net realized gain (loss) on investment transactions | 23,022 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,608,203 | ||
|
|
STATEMENTS OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 1,585,181 | $ | 12,086,576 | ||||
Net realized gain (loss) on investment transactions | 23,022 | 85,076 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 1,608,203 | 12,171,652 | ||||||
|
|
|
| |||||
DISTRIBUTIONS | (1,608,203 | ) | (12,171,647 | ) | ||||
|
|
|
| |||||
PORTFOLIO SHARE TRANSACTIONS | ||||||||
Portfolio shares sold [493,598,241 and 537,112,565 shares, respectively] | 493,598,241 | 537,112,565 | ||||||
Portfolio shares issued in reinvestment of distributions [1,608,203 and 12,171,647 shares, respectively] | 1,608,203 | 12,171,647 | ||||||
Portfolio shares repurchased [270,838,066 and 584,927,729 shares, respectively] | (270,838,066 | ) | (584,927,729 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS | 224,368,378 | (35,643,517 | ) | |||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 61 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 224,368,378 | (35,643,451 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 721,345,979 | 756,989,430 | ||||||
|
|
|
| |||||
End of period | $ | 945,714,357 | $ | 721,345,979 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A4
NOTES TO FINANCIAL STATEMENTS OF
ADVANCED SERIES TRUST
(Unaudited)
Advanced Series Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Trust operates as a series company and at June 30, 2020 consisted of 86 separate Portfolios (each, a “Portfolio” and collectively, the “Portfolios”). The information presented in these financial statements pertains only to the AST Government Money Market Portfolio (the “Portfolio” or “Government Money Market”). The Portfolio is a diversified portfolio for purposes of the 1940 Act.
The investment objective of the Portfolio is high current income and to maintain high levels of liquidity.
Shares of the Portfolio may only be purchased by separate accounts of participating insurance companies for investing assets which are attributable to variable annuity contracts and variable life insurance policies. These separate accounts place orders to purchase and redeem shares of the Portfolio primarily based upon the amount of premium payments to be invested, and the amount of surrender and transfer requests to be effected on a specific day under the variable annuity contracts and variable life insurance policies. Shares of the Portfolio may also be sold directly to certain qualified retirement plans.
As a government money market fund, the Portfolio seeks to maintain a stable $1.00 net asset value (“NAV”) and will not implement redemption gates and liquidity fees.
1. | Accounting Policies |
The Trust follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Trust and the Portfolio consistently follows such policies in the preparation of their financial statements.
Securities Valuation: The Portfolio holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Trust’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to AST Investment Services, Inc. and PGIM Investments LLC (“PGIM Investments”), as applicable, the co-managers of the Trust (collectively, the “Investment Manager”). Pursuant to the Board’s delegation, the Investment Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.
For the fiscal reporting period-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Portfolio’s foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.
Various inputs determine how the Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 — Fair Value Measurements and Disclosures.
The Portfolio’s securities of sufficient credit quality are valued using amortized cost method, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 in the fair value hierarchy.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
B1
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the Investment Manager regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other unaffiliated mutual funds to calculate their net asset values.
Illiquid Securities: Subject to guidelines adopted by the Board, the Portfolio may invest up to 5% of its net assets in illiquid securities. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable.
Restricted Securities: Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be deemed liquid by the Portfolio’s subadviser under the guidelines adopted by the Trustees. However, the liquidity of the Portfolio’s investments in restricted securities could be impaired if trading does not develop or declines.
Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Portfolio’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transactions, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market on a daily basis to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines or, if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Portfolio may be delayed or limited.
Master Netting Arrangements: The Trust, on behalf of the Portfolio, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of all or a portion of the Portfolio. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
Delayed-Delivery Transactions: The Portfolio purchased or sold securities on a when-issued or delayed-delivery and forward commitment basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a realized gain (loss). When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains (losses) with respect to the security.
B2
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual.
Taxes: For federal income tax purposes, the Portfolio is treated as a separate taxpaying entity. The Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolio is the responsibility of the Portfolio’s shareholders (participating insurance companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the Portfolio are subject to taxes on their distributive share of partnership items. The Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
2. | Agreements |
The Trust, on behalf of the Portfolio, has entered into an investment management agreement with the Investment Manager which provides that the Investment Manager will furnish the Portfolio with investment advice, investment management and administrative services. The Investment Manager has engaged PGIM, Inc. to serve as subadviser for the Portfolio through its PGIM Fixed Income business unit.
Management Fees and Expense Limitations: The Investment Manager receives a management fee, accrued daily and payable monthly, based on the annual rate specified below, using the value of the Portfolio’s average daily net assets. The Investment Manager pays the subadviser a fee as compensation for advisory services provided to the Portfolio. All amounts paid or payable by the Portfolio to the Investment Manager, under the agreement, are reflected in the Statement of Operations.
Portfolio | Management Fee | Net Effective Management Fee | ||||
Government Money Market | 0.3000% first $3.25 billion; | 0.15 | %* | |||
0.2925% on next $2.75 billion; | ||||||
0.2625% on next $4 billion; | ||||||
0.2425% in excess of $10 billion |
* The Investment Manager has voluntarily agreed to limit the management fee of the Government Money Market Portfolio such that the 1-day yield of the Portfolio, excluding realized gain (loss) on investment transactions, does not fall below 0.00%. The waiver/reimbursement is voluntary and may be modified or terminated by the Investment Manager at any time without notice. During the period ended June 30, 2020, the Investment Manager has reimbursed the Portfolio as a result of this voluntary agreement in the amount of $648,483, 0.15% of the Government Money Market Portfolio’s average daily net assets.
The Trust, on behalf of the Portfolio, has entered into an agreement with Prudential Annuities Distributors, Inc. (“PAD”), which serves as the distributor for the shares of the Portfolio. The Trust, on behalf of the Portfolio, has adopted a Shareholder Services and Distribution Plan pursuant to Rule 12b-1 under the 1940 Act (the 12b-1 Plan) for the shares of the Portfolio. Under the 12b-1 Plan, the shares of each covered Portfolio are charged an annual fee, primarily to compensate PAD and its affiliates for providing various administrative and distribution services to the Portfolio. The annual shareholder services and distribution (12b-1) fee for the Portfolio’s shares is 0.25% of the average daily net assets of the Portfolio.
AST Investment Services, Inc., PGIM Investments, PAD and PGIM, Inc. are indirect, wholly-owned subsidiaries of Prudential Financial, Inc (“Prudential”).
B3
3. | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolio. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
Certain officers and a Trustee of the Trust are officers, employees or directors of the Investment Manager. The Trust pays no compensation directly to its officers, employees or interested Trustees. The Investment Manager also pays for occupancy and certain clerical and administrative expenses. The Portfolio bears all other costs and expenses.
The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the Securities and Exchange Commission (“SEC”), the Trust’s Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such 17a-7 transactions were effected in accordance with the Trust’s Rule 17a-7 procedures. For the reporting period ended June 30, 2020 no such transactions were entered into by the Portfolio.
In March 2019, the following Portfolio was reimbursed by the Investment Manager for costs incurred due to a portfolio allocation error. The reimbursement amount for the affected Portfolio is disclosed below and such amount is also disclosed in the Portfolio’s “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the year ended December 31, 2019.
Portfolio | Capital Contributions | |||
Government Money Market | $ | 61 |
4. | Tax Information |
The Portfolio is treated as a partnership for federal income tax purposes. The character of the cash distributions, if any, made by the partnership is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.
With respect to the Portfolio, book cost of assets differs from tax cost of assets as a result of the Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.
The Investment Manager has analyzed the Portfolio’s tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolio’s financial statements for the current reporting period. Since tax authorities can examine previously filed tax returns, the Portfolio’s U.S. federal and state tax returns for each of the four fiscal years up to the most recent fiscal year ended December 31, 2019 are subject to such review.
5. | Capital and Ownership |
The Agreement and Declaration of Trust permits the Trust’s Board of Trustees to issue multiple classes of shares, and within each class, an unlimited number of shares of beneficial interest of the Portfolio with a par value of $0.001 per share. As of June 30, 2020, the Portfolio offers only a single share class to investors.
As of June 30, 2020, all shares of the Portfolio were owned of record directly or by other Portfolios as part of their investments by insurance affiliates of Prudential.
The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares, on behalf of multiple beneficial owners:
Portfolio | Number of Shareholders | Percentage of Outstanding Shares | ||||||
Government Money Market | 3 | 99.9 | % |
B4
6. | Risks of Investing in the Portfolio |
The Portfolio’s risks include, but are not limited to, some or all of the risks discussed below. For further information on the Portfolio’s risks, please refer to the Portfolio’s Prospectus and Statement of Additional Information.
Foreign Market Disruption and Geopolitical Risks: International wars or conflicts and geopolitical developments in foreign countries, along with instability in regions such as Asia, Eastern Europe, and the Middle East, possible terrorist attacks in the United States or around the world, public health epidemics such as the outbreak of infectious diseases like the recent outbreak of coronavirus globally or the 2014–2016 outbreak in West Africa of the Ebola virus, and other similar events could adversely affect the U.S. and foreign financial markets, and may cause further long-term economic uncertainties in the United States and worldwide generally.
Market and Credit Risk: Securities markets may be volatile and the market prices of the Portfolio’s securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Portfolio fall, the value of an investment in the Portfolio will decline. Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
U.S. Government and Agency Securities Risk: U.S. Government and agency securities are subject to market risk, interest rate risk and credit risk. Not all U.S. Government securities are insured or guaranteed by the full faith and credit of the U.S. Government; some are only insured or guaranteed by the issuing agency, which must rely on its own resources to repay the debt. In addition, the value of U.S. Government securities may be affected by changes in the credit rating of the U.S. Government.
B5
Financial Highlights
(unaudited)
AST Government Money Market Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) and realized gains (losses) | — | (b) | 0.02 | 0.01 | — | (b) | — | (b) | — | (b) | ||||||||||||||
Less Dividends and Distributions | — | (b) | (0.02 | ) | (0.01 | ) | — | (b) | — | — | ||||||||||||||
Capital Contributions | — | — | (b)(c) | — | — | — | — | |||||||||||||||||
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Net Asset Value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
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Total Return(d) | 0.22 | % | 1.69 | %(e) | 1.30 | % | 0.34 | % | — | %(f) | — | %(f) | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 946 | $ | 721 | $ | 757 | $ | 866 | $ | 997 | $ | 1,075 | ||||||||||||
Average net assets (in millions) | $ | 842 | $ | 727 | $ | 744 | $ | 933 | $ | 1,084 | $ | 1,078 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 0.42 | %(g) | 0.58 | % | 0.57 | % | 0.57 | % | 0.45 | % | 0.19 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 0.57 | %(g) | 0.58 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | ||||||||||||
Net investment income (loss) | 0.38 | %(g) | 1.66 | % | 1.28 | % | 0.33 | % | 0.00 | %(f) | 0.00 | %(f) |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Less than $0.005 per share. |
(c) | Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
(d) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. |
Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(e) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(f) | Less than 0.005%. |
(g) | Annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Approval of Advisory Agreements
Renewal of Management and Subadvisory Agreements
The Trust’s Board of Trustees
The Board of Trustees (the Board) of Advanced Series Trust (the Trust, and the series thereof, the Portfolios) consists of nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios and their operations, and performs the various duties imposed on the directors or trustees of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee, and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreements with PGIM Investments LLC (PGIM Investments) and AST Investment Services, Inc. (ASTIS) (collectively, the Manager) and the AST Government Money Market Portfolio’s subadvisory agreement. As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 15-16, 2020 (the Meeting) and approved the renewal of the agreements through July 31, 2021, after concluding that the renewal of the agreements was in the best interests of the Trust, the Portfolio and the Portfolio’s beneficial shareholders.
In advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.
In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of the Portfolio, the profitability of the Manager and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with the Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting, as well as information provided throughout the year at regular and special Board meetings, including presentations from the Manager and subadviser personnel such as portfolio managers.
The Board determined that the overall arrangements between the Trust and the Manager, which serves as the Trust’s investment manager pursuant to a management agreement, and between the Manager and the subadviser, which serves pursuant to the terms of a subadvisory agreement with the Manager, are in the best interests of the Trust, the Portfolio and the Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for the Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.
The material factors and conclusions that formed the basis for the Board’s determinations to approve the renewal of the agreements are discussed separately below.
Nature, Quality and Extent of Services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by the Manager and the subadviser. The Board noted that the PGIM Fixed Income unit of PGIM, Inc., which serves as subadviser to the Portfolio, is affiliated with the Manager. The Board considered the services provided by the Manager, including but not limited to the oversight of the subadviser, the provision of recordkeeping, compliance and other services to the Trust, and the Manager’s role as administrator of the Trust’s liquidity risk management program. With respect to the Manager’s oversight of the subadviser, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadviser. The Board also considered that the Manager pays the salaries of all of the officers and the interested Trustee of the Trust. The Board also considered the investment subadvisory services provided by the subadviser, as well as compliance with the
Portfolio’s investment restrictions, policies and procedures. The Board considered the Manager’s evaluation of the subadviser, as well as the Manager’s recommendation, based on its review of the subadviser, to renew the subadvisory agreement.
The Board reviewed the qualifications, backgrounds and responsibilities of the Manager’s senior management personnel responsible for the oversight of the Portfolio and the subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio managers who are responsible for the day-to-day management of the Portfolio. The Board was provided with information pertaining to the Manager’s and the subadviser’s organizational structure, senior management, investment operations, and other relevant information pertaining to the Manager and the subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to both the Manager and the subadviser.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by the Manager and the subadvisory services provided to the Portfolio by the subadviser, and that there was a reasonable basis on which to conclude that each Portfolio benefits from the services provided by the Manager and the subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by the Manager
The Board was provided with information on the profitability of the Manager and its affiliates in serving as the Trust’s investment manager. The Board discussed with the Manager the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations of direct and indirect costs, and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of PGIM, Inc, which is an affiliate of the Manager, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of the Manager and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether the Manager realizes economies of scale as the Portfolio’s assets grow beyond current levels. The Board noted that the management fee schedules for most of the Portfolios of the Trust contain breakpoints, which have the effect of decreasing the fee rate as assets increase, and that at current asset levels the effective fee rates for many of the Portfolios reflected some of these rate reductions. The Board took note that the fee structure for those Portfolios currently results in benefits to Portfolio shareholders whether or not the Manager realizes any economies of scale. The Board considered that economies of scale can be shared with the Portfolios in other ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment.
The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of the Manager’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to the Manager and the Subadviser
The Board considered potential ancillary benefits that might be received by the Manager, the subadviser, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by the Manager included compensation received by insurance company affiliates of the Manager from the subadviser, as well as benefits to its reputation or other intangible benefits resulting from the Manager’s association with the Trust. The Board also considered information provided by the Manager regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of the Manager at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadviser included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadviser, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by the Manager and the subadviser were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolio / Fees and Expenses / Other Factors
With respect to the Portfolio, the Board also considered certain additional factors and made related conclusions relating to the historical performance of the Portfolio for the one-, three-, five- and ten-year periods ended December 31, 2019, except as otherwise noted below. The Board compared the historical performance of the Portfolio to the comparable performance of the Portfolio’s benchmark index, and to a universe of mutual funds that were determined by Broadridge, Inc. (Broadridge) an independent provider of mutual fund data, to be similar to the Portfolio (the Peer Universe).
The Board also considered the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2019. The Board considered the management fee for the Portfolio as compared to the management fee charged by the Manager to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in the Peer Universe and the Peer Group were objectively determined by Broadridge. The comparisons used by the Board placed the Portfolio in various quartiles over various periods, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).
The section below summarizes certain key factors considered by the Board and the Board’s conclusions regarding the Portfolio’s performance, fees and overall expenses. The section sets forth gross performance comparisons (which do not reflect the impact on performance of portfolio expenses, or any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
AST Government Money Market Portfolio | ||||||||
Gross Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 3rd Quartile | 3rd Quartile | 3rd Quartile | |||||
Actual Management Fees: 2nd Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board noted that the Manager had agreed to voluntarily waive a portion of its management fee to ensure that the 1-day annualized yield for the Portfolio (excluding capital gain or loss) does not fall below 0.00%. |
• | The Board concluded that, after considering a variety of information, including the factors set forth above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
***
After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.
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The prospectuses for the Advanced Series Trust portfolios and the applicable variable annuity or variable life prospectuses contain information on the investment objectives, risks, charges and expenses of the portfolios and on the contracts and should be read carefully.
Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Trust’s website at www.prudential.com/variableinsuranceportfolios.
The Trust files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-PORT. Form N-PORT is available on the Commission’s website at www.sec.gov or call (800) SEC-0330.
The Trust’s Statement of Additional Information contains additional information about the Trust’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888. Owners of Individual Life Insurance contracts should call (800) 778-2255.
Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3714 | ||||
The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation and The Prudential Insurance Company of America are available upon request. You may call (888)778-2888 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 248-4019, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2020 Prudential Financial, Inc. and its related entities. PGIM Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
AST-SAR-F
Item 2 – Code of Ethics — Not required, as this is not an annual filing.
Item 3 – Audit Committee Financial Expert – Not required, as this is not an annual filing.
Item 4 – Principal Accountant Fees and Services – Not required, as this is not an annual filing.
Item 5 – Audit Committee of Listed Registrants – Not required, as this is not an annual filing.
Item 6 – Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.
Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not applicable.
Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.
Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 – Controls and Procedures
(a) | It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. | |||
(b) | There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12 – Controls and Procedures – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not applicable.
Item 13 – Exhibits
(a) | (1) | Code of Ethics – Not required, as this is not an annual filing. | ||||
(2) | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT. | |||||
(3) | Any written solicitation to purchase securities under Rule 23c-1 – Not applicable. | |||||
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT. |
APPENDIX A:
Advanced Series Trust (1 of 2 AST Filings)-
AST Bond Portfolio 2020
AST Bond Portfolio 2021
AST Bond Portfolio 2022
AST Bond Portfolio 2023
AST Bond Portfolio 2024
AST Bond Portfolio 2025
AST Bond Portfolio 2026
AST Bond Portfolio 2027
AST Bond Portfolio 2028
AST Bond Portfolio 2029
AST Bond Portfolio 2030
AST Bond Portfolio 2031
AST Cohen & Steers Global Realty Portfolio
AST Government Money Market Portfolio
AST High Yield Portfolio
AST Investment Grade Bond Portfolio
AST Multi-Sector Fixed Income Portfolio
AST Prudential Core Bond Portfolio
AST QMA US Equity Alpha Portfolio
AST Quantitative Modeling Portfolio
AST Western Asset Core Plus Bond Portfolio
AST Western Asset Emerging Markets Debt Portfolio
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | Advanced Series Trust |
By: | /s/ Andrew R. French | |
Andrew R. French | ||
Secretary | ||
Date: | August 17, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Timothy S. Cronin | |
Timothy S. Cronin | ||
Principal Executive Officer | ||
Date: | August 17, 2020 | |
By: | /s/ Christian J. Kelly | |
Christian J. Kelly | ||
Treasurer and Principal Financial and Accounting Officer | ||
Date: | August 17, 2020 |