AST ADVANCED STRATEGIES PORTFOLIO
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A1
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A2
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A3
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A4
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A5
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A6
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A7
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A8
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A9
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A10
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A11
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A12
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A13
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A14
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A15
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A16
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A17
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A18
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A19
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A20
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A21
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A22
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A23
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A24
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A25
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A26
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A27
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A28
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A29
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A30
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A31
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A32
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A33
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A34
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A35
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A36
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A37
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A38
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
A39
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Forward Commitment Contracts | |||||||||||
Government Agency Obligations | Interest Rate | Maturity Date | Settlement Date | Principal Amount (000)# | Value | ||||||
Federal National Mortgage Assoc. | 2.000% | TBA | 04/13/22 | (143,600) | $(133,295,578) | ||||||
Federal National Mortgage Assoc. | 2.000% | TBA | 04/18/22 | (12,100) | (11,751,652) | ||||||
Federal National Mortgage Assoc. | 2.500% | TBA | 04/13/22 | (40,800) | (38,925,750) | ||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 04/13/22 | (2,300) | (2,249,688) | ||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 05/12/22 | (1,661) | (1,620,914) | ||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 06/13/22 | (14,839) | (14,457,141) | ||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 04/18/22 | (800) | (816,000) | ||||||
TOTAL FORWARD COMMITMENT CONTRACTS (proceeds receivable $208,912,933) | $(203,116,723) |
Options Purchased:
Exchange Traded | |||||||||||||||
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
2 Year Euro Schatz | Call | 05/27/22 | 115.20 | 700 | EUR | 700 | $3,872 | ||||||||
5 Year Euro-Bobl | Call | 05/20/22 | 150.00 | 435 | EUR | 435 | 2,406 | ||||||||
10 Year Euro-Bund Futures | Call | 05/20/22 | 200.00 | 240 | EUR | 240 | 2,655 | ||||||||
10 Year U.K. Gilt | Call | 05/27/22 | 185.00 | 183 | GBP | 183 | — | ||||||||
10 Year Euro-OAT | Call | 05/27/22 | 190.00 | 88 | EUR | 88 | 974 | ||||||||
MSCI EAFE ETF Index (FLEX) | Call | 01/07/27 | $78.00 | 18,100 | 1,810 | 17,506,744 | |||||||||
Russell 2000 Index (FLEX) | Call | 01/07/27 | $2,175.00 | 80 | 8 | 3,230,078 | |||||||||
S&P 500 Index (FLEX) | Call | 01/07/27 | $4,700.00 | 240 | 24 | 20,410,839 | |||||||||
S&P 500 Index (FLEX) | Call | 11/30/27 | $4,650.00 | 240 | 24 | 23,213,548 | |||||||||
2 Year Euro Schatz | Put | 04/22/22 | 109.30 | 309 | EUR | 309 | 1,709 | ||||||||
Total Exchange Traded (cost $67,692,445) | $64,372,825 |
A40
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Options Purchased (continued):
OTC Traded | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||
Currency Option EUR vs CHF | Put | Citibank, N.A. | 05/24/22 | 1.02 | — | EUR | 3,406 | $29,192 | |||||||||
France Government OAT Bond | Put | BNP Paribas S.A. | 05/23/25 | 97.00 | — | EUR | 1,600 | 318,549 | |||||||||
Total OTC Traded (cost $134,798) | $347,741 |
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
1-Year 30 FVA Swaption, 06/16/23(fv) | Call/Put | Bank of America, N.A. | 06/16/23 | 0.00 | 30 Year LIBOR(T) | 30 Year LIBOR(T) | 29 | $495 | |||||||||
1-Year 30 FVA Swaption, 06/16/23(fv) | Call/Put | Morgan Stanley Capital Services LLC | 06/16/23 | 0.00 | 30 Year LIBOR(T) | 30 Year LIBOR(T) | 44 | 719 | |||||||||
2-Year Interest Rate Swap, 01/27/25 | Call | JPMorgan Chase Bank, N.A. | 01/25/23 | 1.71% | 1.71%(A) | 1 Day SOFR(A) | 33,500 | 84,538 | |||||||||
2-Year Interest Rate Swap, 02/02/25 | Call | Morgan Stanley Capital Services LLC | 01/31/23 | 1.43% | 1.43%(A) | 1 Day SOFR(A) | 17,600 | 30,145 | |||||||||
2-Year Interest Rate Swap, 02/06/25 | Call | Barclays Bank PLC | 02/02/23 | 1.41% | 1.41%(A) | 1 Day SOFR(A) | 17,800 | 29,939 | |||||||||
2-Year Interest Rate Swap, 02/27/25 | Call | Citibank, N.A. | 02/23/23 | 1.72% | 1.72%(A) | 1 Day SOFR(A) | 31,400 | 90,395 | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Call | BNP Paribas S.A. | 04/20/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 14,410 | 1 | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Call | Goldman Sachs International | 04/20/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 14,900 | 1 | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Call | Goldman Sachs International | 04/20/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 14,900 | 1 | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | BNP Paribas S.A. | 05/18/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 16,750 | 3 | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Goldman Sachs International | 05/18/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 16,490 | 3 | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | BNP Paribas S.A. | 06/15/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 16,810 | 15 |
A41
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Options Purchased (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Goldman Sachs International | 06/15/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 16,510 | $15 | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Morgan Stanley & Co. International PLC | 06/15/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 33,030 | 30 | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Bank of America, N.A. | 06/15/22 | 0.45% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 17,750 | 767 | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Barclays Bank PLC | 07/20/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 16,490 | 58 | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Citibank, N.A. | 07/20/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 16,490 | 58 | |||||||||
10-Year Interest Rate Swap, 01/16/34 | Put | Bank of America, N.A. | 01/11/24 | 2.18% | 1 Day SOFR(A) | 2.18%(A) | 3,000 | 123,720 | |||||||||
30-Year Interest Rate Swap, 11/04/52 | Put | Morgan Stanley Capital Services LLC | 11/02/22 | 0.19% | 6 Month EURIBOR(S) | 0.19%(A) | EUR | 2,400 | 606,554 | ||||||||
30-Year Interest Rate Swap, 11/04/52 | Put | BNP Paribas S.A. | 11/02/22 | 0.20% | 6 Month EURIBOR(S) | 0.20%(A) | EUR | 2,500 | 628,600 | ||||||||
30-Year Interest Rate Swap, 11/08/52 | Put | Barclays Bank PLC | 11/04/22 | 0.20% | 6 Month EURIBOR(S) | 0.20%(A) | EUR | 1,610 | 404,274 | ||||||||
30-Year Interest Rate Swap, 11/08/52 | Put | BNP Paribas S.A. | 11/04/22 | 0.20% | 6 Month EURIBOR(S) | 0.20%(A) | EUR | 3,190 | 801,015 | ||||||||
30-Year Interest Rate Swap, 11/21/53 | Put | Deutsche Bank AG | 11/17/23 | 2.24% | 3 Month LIBOR(Q) | 2.24%(S) | 7,600 | 699,376 | |||||||||
CDX.NA.HY.37.V1, 12/20/26 | Put | Morgan Stanley & Co. International PLC | 04/20/22 | $96.00 | CDX.NA.HY.37.V1(Q) | 5.00%(Q) | 2,440 | 755 | |||||||||
CDX.NA.HY.37.V1, 12/20/26 | Put | Citibank, N.A. | 04/20/22 | $99.00 | CDX.NA.HY.37.V1(Q) | 5.00%(Q) | 2,440 | 1,166 | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Goldman Sachs International | 04/20/22 | 0.58% | CDX.NA.IG.37.V1(Q) | 1.00%(Q) | 14,900 | 34,227 |
A42
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Options Purchased (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | BNP Paribas S.A. | 04/20/22 | 0.60% | CDX.NA.IG.37.V1(Q) | 1.00%(Q) | 14,410 | $23,309 | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Goldman Sachs International | 04/20/22 | 0.60% | CDX.NA.IG.37.V1(Q) | 1.00%(Q) | 14,900 | 24,101 | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Goldman Sachs International | 05/18/22 | 0.75% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 16,490 | 25,759 | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | BNP Paribas S.A. | 05/18/22 | 0.78% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 16,750 | 22,793 | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Bank of America, N.A. | 06/15/22 | 0.75% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 17,750 | 42,113 | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | BNP Paribas S.A. | 06/15/22 | 0.75% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 16,810 | 39,883 | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Goldman Sachs International | 06/15/22 | 0.75% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 16,510 | 39,171 | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Morgan Stanley & Co. International PLC | 06/15/22 | 0.75% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 33,030 | 78,366 | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Barclays Bank PLC | 07/20/22 | 0.78% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 16,490 | 49,861 | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Citibank, N.A. | 07/20/22 | 0.78% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 16,490 | 49,861 | |||||||||
Total OTC Swaptions (cost $2,349,538) | $3,932,087 | ||||||||||||||||
Total Options Purchased (cost $70,176,781) | $68,652,653 |
Options Written:
Exchange Traded | |||||||||||||||
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
1 Year SOFR Mid-Curve Futures | Call | 04/14/22 | $98.38 | 41 | 103 | $(256) | |||||||||
1 Year SOFR Mid-Curve Futures | Call | 06/10/22 | $98.13 | 60 | 150 | (3,000) | |||||||||
Brent Crude Oil Futures | Call | 04/26/22 | $102.00 | 12 | 12 | (94,680) | |||||||||
Gold Futures | Call | 08/25/22 | $2,400.00 | 10 | 1 | (22,200) | |||||||||
WTI Crude Oil Futures | Call | 04/14/22 | $100.00 | 12 | 12 | (60,720) | |||||||||
1 Year SOFR Mid-Curve Futures | Put | 04/14/22 | $98.38 | 41 | 103 | (128,125) | |||||||||
1 Year SOFR Mid-Curve Futures | Put | 06/10/22 | $97.38 | 60 | 150 | (58,125) | |||||||||
5 Year Euro-Bobl | Put | 04/22/22 | 131.50 | 22 | EUR | 22 | (66,076) | ||||||||
5 Year Euro-Bobl | Put | 04/22/22 | 131.50 | 24 | EUR | 24 | (72,083) | ||||||||
Brent Crude Oil Futures | Put | 04/25/23 | $87.00 | 15 | 15 | (199,500) | |||||||||
Natural Gas Futures | Put | 12/27/22 | $5.00 | 2 | 20 | (12,788) | |||||||||
Natural Gas Futures | Put | 02/23/23 | $4.25 | 2 | 20 | (12,600) | |||||||||
Total Exchange Traded (premiums received $596,811) | $(730,153) |
A43
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Options Written (continued):
OTC Traded | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||
Bloomberg Commodity Index | Call | Morgan Stanley Capital Services LLC | 12/16/22 | $125.93 | — | 1 | $(13,703) | ||||||||||
Bloomberg Commodity Index | Call | UBS AG Stamford | 01/20/23 | $119.90 | — | 34 | (480,983) | ||||||||||
Bloomberg Commodity Index | Call | Morgan Stanley Capital Services LLC | 02/08/23 | $130.56 | — | 39 | (377,837) | ||||||||||
Currency Option EUR vs CHF | Call | Citibank, N.A. | 05/24/22 | 1.05 | — | EUR | 3,406 | (7,118) | |||||||||
FNMA TBA 2.50% | Call | JPMorgan Chase Bank, N.A. | 05/05/22 | $98.39 | — | 300 | (172) | ||||||||||
FNMA TBA 2.50% | Call | JPMorgan Chase Bank, N.A. | 05/05/22 | $98.39 | — | 200 | (115) | ||||||||||
FNMA TBA 2.50% | Call | JPMorgan Chase Bank, N.A. | 05/05/22 | $98.47 | — | 400 | (209) | ||||||||||
FNMA TBA 2.50% | Call | JPMorgan Chase Bank, N.A. | 05/05/22 | $98.47 | — | 300 | (157) | ||||||||||
FNMA TBA 2.50% | Call | JPMorgan Chase Bank, N.A. | 05/05/22 | $98.62 | — | 700 | (303) | ||||||||||
FNMA TBA 2.50% | Call | JPMorgan Chase Bank, N.A. | 05/05/22 | $98.62 | — | 200 | (86) | ||||||||||
FNMA TBA 3.00% | Call | JPMorgan Chase Bank, N.A. | 06/06/22 | $98.41 | — | 1,100 | (7,099) | ||||||||||
FNMA TBA 3.00% | Call | JPMorgan Chase Bank, N.A. | 06/06/22 | $99.62 | — | 500 | (1,371) | ||||||||||
FNMA TBA 3.50% | Call | JPMorgan Chase Bank, N.A. | 06/06/22 | $100.63 | — | 500 | (2,444) | ||||||||||
Inflation Cap Option, Inflation on the CPI Urban Consumer NSA | Call | JPMorgan Chase Bank, N.A. | 05/16/24 | 4.00% | — | 600 | (1) | ||||||||||
Inflation Cap Option, Inflation on the Eurostat Eurozone HICP | Call | Goldman Sachs Bank USA | 06/22/35 | 3.00% | — | EUR | 2,000 | (25,439) | |||||||||
London Gold Market Fixing Ltd. Commodity Index | Call | Goldman Sachs International | 03/28/23 | $2,500.00 | — | —(r) | (22,400) | ||||||||||
Bloomberg Commodity Index | Put | Goldman Sachs International | 06/23/22 | $109.23 | — | 15 | (22,603) | ||||||||||
FNMA TBA 3.00% | Put | JPMorgan Chase Bank, N.A. | 04/06/22 | $100.41 | — | 500 | (12,178) | ||||||||||
FNMA TBA 3.00% | Put | JPMorgan Chase Bank, N.A. | 05/05/22 | $98.77 | — | 200 | (2,882) | ||||||||||
FNMA TBA 3.00% | Put | JPMorgan Chase Bank, N.A. | 05/05/22 | $98.91 | — | 300 | (4,643) | ||||||||||
FNMA TBA 3.00% | Put | JPMorgan Chase Bank, N.A. | 05/05/22 | $99.10 | — | 200 | (3,376) | ||||||||||
FNMA TBA 3.00% | Put | JPMorgan Chase Bank, N.A. | 06/06/22 | $96.41 | — | 1,100 | (6,402) | ||||||||||
FNMA TBA 3.00% | Put | JPMorgan Chase Bank, N.A. | 06/06/22 | $97.62 | — | 500 | (5,301) | ||||||||||
FNMA TBA 3.50% | Put | JPMorgan Chase Bank, N.A. | 06/06/22 | $98.63 | — | 500 | (2,562) | ||||||||||
Inflation Floor Option, Inflation on the CPI Urban Consumer NSA | Put | Morgan Stanley Capital Services LLC | 10/07/22 | 0.00% | — | 18,250 | — | ||||||||||
Inflation Floor Option, Inflation on the CPI Urban Consumer NSA | Put | Morgan Stanley Capital Services LLC | 10/08/22 | 0.00% | — | 9,500 | — | ||||||||||
Total OTC Traded (premiums received $417,752) | $(999,384) |
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
1-Year Interest Rate Swap, 11/14/23 | Call | Goldman Sachs Bank USA | 11/02/22 | 0.87% | 3 Month LIBOR(Q) | 0.87%(S) | 77,800 | $(9,534) |
A44
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
1-Year Interest Rate Swap, 12/16/25 | Call | JPMorgan Chase Bank, N.A. | 12/16/24 | 0.82% | 1 Day SONIA(A) | 0.82%(A) | GBP | 7,200 | $14,489 | ||||||||
2-Year Interest Rate Swap, 06/21/24 | Call | Bank of America, N.A. | 06/16/22 | 1.65% | 1 Day SOFR(A) | 1.65%(A) | 9,300 | (4,058) | |||||||||
2-Year Interest Rate Swap, 08/10/24 | Call | Deutsche Bank AG | 08/08/22 | 0.35% | 6 Month EURIBOR(S) | 0.35%(A) | EUR | 700 | (956) | ||||||||
2-Year Interest Rate Swap, 08/10/24 | Call | Deutsche Bank AG | 08/08/22 | 0.35% | 6 Month EURIBOR(S) | 0.35%(A) | EUR | 200 | (273) | ||||||||
5-Year Interest Rate Swap, 04/11/27 | Call | BNP Paribas S.A. | 04/07/22 | 0.50% | 6 Month EURIBOR(S) | 0.50%(A) | EUR | 1,100 | — | ||||||||
5-Year Interest Rate Swap, 04/11/27 | Call | BNP Paribas S.A. | 04/07/22 | 0.50% | 6 Month EURIBOR(S) | 0.50%(A) | EUR | 1,200 | — | ||||||||
5-Year Interest Rate Swap, 04/12/27 | Call | JPMorgan Chase Bank, N.A. | 04/08/22 | 0.45% | 6 Month EURIBOR(S) | 0.45%(A) | EUR | 2,100 | — | ||||||||
5-Year Interest Rate Swap, 04/12/27 | Call | JPMorgan Chase Bank, N.A. | 04/08/22 | 0.45% | 6 Month EURIBOR(S) | 0.45%(A) | EUR | 2,600 | — | ||||||||
5-Year Interest Rate Swap, 04/18/27 | Call | Bank of America, N.A. | 04/13/22 | 1.17% | 1 Day SOFR(A) | 1.17%(A) | 7,000 | — | |||||||||
5-Year Interest Rate Swap, 05/11/27 | Call | Barclays Bank PLC | 05/09/22 | 0.45% | 6 Month EURIBOR(S) | 0.45%(A) | EUR | 1,400 | (314) | ||||||||
5-Year Interest Rate Swap, 05/11/27 | Call | Barclays Bank PLC | 05/09/22 | 0.45% | 6 Month EURIBOR(S) | 0.45%(A) | EUR | 1,400 | (314) |
A45
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
5-Year Interest Rate Swap, 05/13/27 | Call | Goldman Sachs Bank USA | 05/11/22 | 0.50% | 6 Month EURIBOR(S) | 0.50%(A) | EUR | 2,400 | $(878) | ||||||||
5-Year Interest Rate Swap, 05/13/27 | Call | Goldman Sachs Bank USA | 05/11/22 | 0.50% | 6 Month EURIBOR(S) | 0.50%(A) | EUR | 2,600 | (951) | ||||||||
5-Year Interest Rate Swap, 05/18/27 | Call | Citibank, N.A. | 05/16/22 | 0.50% | 6 Month EURIBOR(S) | 0.50%(A) | EUR | 1,100 | (507) | ||||||||
5-Year Interest Rate Swap, 05/18/27 | Call | Citibank, N.A. | 05/16/22 | 0.50% | 6 Month EURIBOR(S) | 0.50%(A) | EUR | 1,200 | (553) | ||||||||
5-Year Interest Rate Swap, 06/21/27 | Call | Morgan Stanley Capital Services LLC | 06/16/22 | 1.67% | 1 Day SOFR(A) | 1.67%(A) | 4,800 | (9,052) | |||||||||
5-Year Interest Rate Swap, 07/14/27 | Call | Morgan Stanley Capital Services LLC | 07/12/22 | 0.15% | 6 Month EURIBOR(S) | 0.15%(A) | EUR | 3,700 | (1,430) | ||||||||
7-Year Interest Rate Swap, 04/21/29 | Call | BNP Paribas S.A. | 04/19/22 | 1.78% | 1 Day SOFR(A) | 1.78%(A) | 5,100 | (2,832) | |||||||||
7-Year Interest Rate Swap, 05/26/29 | Call | Deutsche Bank AG | 05/24/22 | 1.90% | 1 Day SOFR(A) | 1.90%(A) | 3,800 | (17,116) | |||||||||
10-Year Interest Rate Swap, 04/05/32 | Call | Goldman Sachs Bank USA | 04/01/22 | 1.42% | 1 Day SOFR(A) | 1.42%(A) | 6,000 | — | |||||||||
10-Year Interest Rate Swap, 01/27/33 | Call | JPMorgan Chase Bank, N.A. | 01/25/23 | 1.79% | 1 Day SOFR(A) | 1.79%(A) | 7,400 | (136,125) | |||||||||
10-Year Interest Rate Swap, 02/02/33 | Call | Morgan Stanley Capital Services LLC | 01/31/23 | 1.58% | 1 Day SOFR(A) | 1.58%(A) | 3,900 | (51,454) |
A46
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
10-Year Interest Rate Swap, 02/06/33 | Call | Barclays Bank PLC | 02/02/23 | 1.56% | 1 Day SOFR(A) | 1.56%(A) | 3,900 | $(49,890) | |||||||||
10-Year Interest Rate Swap, 02/27/33 | Call | Citibank, N.A. | 02/23/23 | 1.74% | 1 Day SOFR(A) | 1.74%(A) | 7,000 | (127,315) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Call | BNP Paribas S.A. | 04/20/22 | 0.53% | CDX.NA.IG.37.V1(Q) | 1.00%(Q) | 14,410 | (890) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Call | Goldman Sachs International | 04/20/22 | 0.53% | CDX.NA.IG.37.V1(Q) | 1.00%(Q) | 14,900 | (920) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Call | Goldman Sachs International | 04/20/22 | 0.53% | CDX.NA.IG.37.V1(Q) | 1.00%(Q) | 14,900 | (920) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | BNP Paribas S.A. | 05/18/22 | 0.68% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 16,750 | (31,594) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Goldman Sachs International | 05/18/22 | 0.68% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 16,490 | (31,104) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Bank of America, N.A. | 06/15/22 | 0.65% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 17,750 | (25,985) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | BNP Paribas S.A. | 06/15/22 | 0.68% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 16,810 | (37,289) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Goldman Sachs International | 06/15/22 | 0.68% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 16,510 | (36,623) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Morgan Stanley & Co. International PLC | 06/15/22 | 0.68% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 33,030 | (73,269) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Barclays Bank PLC | 07/20/22 | 0.68% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 16,490 | (41,626) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Citibank, N.A. | 07/20/22 | 0.68% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 16,490 | (41,626) | |||||||||
1-Year Interest Rate Swap, 11/14/23 | Put | Goldman Sachs Bank USA | 11/02/22 | 1.27% | 1.27%(S) | 3 Month LIBOR(Q) | 77,800 | (1,265,243) | |||||||||
1-Year Interest Rate Swap, 01/16/25 | Put | Bank of America, N.A. | 01/11/24 | 2.31% | 2.31%(A) | 1 Day SOFR(A) | 26,200 | (215,222) | |||||||||
2-Year Interest Rate Swap, 06/21/24 | Put | Bank of America, N.A. | 06/16/22 | 2.40% | 2.40%(A) | 1 Day SOFR(A) | 9,300 | (47,205) |
A47
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
2-Year Interest Rate Swap, 08/10/24 | Put | Deutsche Bank AG | 08/08/22 | 0.55% | 0.55%(A) | 6 Month EURIBOR(S) | EUR | 700 | $(6,284) | ||||||||
2-Year Interest Rate Swap, 08/10/24 | Put | Deutsche Bank AG | 08/08/22 | 0.55% | 0.55%(A) | 6 Month EURIBOR(S) | EUR | 200 | (1,795) | ||||||||
5-Year Interest Rate Swap, 04/11/27 | Put | BNP Paribas S.A. | 04/07/22 | 0.70% | 0.70%(A) | 6 Month EURIBOR(S) | EUR | 1,100 | (17,356) | ||||||||
5-Year Interest Rate Swap, 04/11/27 | Put | BNP Paribas S.A. | 04/07/22 | 0.70% | 0.70%(A) | 6 Month EURIBOR(S) | EUR | 1,200 | (18,934) | ||||||||
5-Year Interest Rate Swap, 04/12/27 | Put | JPMorgan Chase Bank, N.A. | 04/08/22 | 0.65% | 0.65%(A) | 6 Month EURIBOR(S) | EUR | 2,100 | (38,876) | ||||||||
5-Year Interest Rate Swap, 04/12/27 | Put | JPMorgan Chase Bank, N.A. | 04/08/22 | 0.65% | 0.65%(A) | 6 Month EURIBOR(S) | EUR | 2,600 | (48,133) | ||||||||
5-Year Interest Rate Swap, 04/18/27 | Put | Bank of America, N.A. | 04/13/22 | 1.62% | 1.62%(A) | 1 Day SOFR(A) | 7,000 | (196,798) | |||||||||
5-Year Interest Rate Swap, 05/11/27 | Put | Barclays Bank PLC | 05/09/22 | 0.65% | 0.65%(A) | 6 Month EURIBOR(S) | EUR | 1,400 | (29,256) | ||||||||
5-Year Interest Rate Swap, 05/11/27 | Put | Barclays Bank PLC | 05/09/22 | 0.65% | 0.65%(A) | 6 Month EURIBOR(S) | EUR | 1,400 | (29,256) | ||||||||
5-Year Interest Rate Swap, 05/13/27 | Put | Goldman Sachs Bank USA | 05/11/22 | 1.00% | 1.00%(Q) | 6 Month EURIBOR(S) | EUR | 2,400 | (19,244) | ||||||||
5-Year Interest Rate Swap, 05/13/27 | Put | Goldman Sachs Bank USA | 05/11/22 | 1.00% | 1.00%(Q) | 6 Month EURIBOR(S) | EUR | 2,600 | (20,847) |
A48
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
5-Year Interest Rate Swap, 05/18/27 | Put | Citibank, N.A. | 05/16/22 | 1.00% | 1.00%(Q) | 6 Month EURIBOR(S) | EUR | 1,100 | $(9,408) | ||||||||
5-Year Interest Rate Swap, 05/18/27 | Put | Citibank, N.A. | 05/16/22 | 1.00% | 1.00%(Q) | 6 Month EURIBOR(S) | EUR | 1,200 | (10,263) | ||||||||
5-Year Interest Rate Swap, 06/21/27 | Put | Morgan Stanley Capital Services LLC | 06/16/22 | 2.37% | 2.37%(A) | 1 Day SOFR(A) | 4,800 | (38,652) | |||||||||
5-Year Interest Rate Swap, 11/21/28 | Put | Deutsche Bank AG | 11/17/23 | 2.34% | 2.34%(S) | 3 Month LIBOR(Q) | 37,400 | (1,062,741) | |||||||||
7-Year Interest Rate Swap, 04/21/29 | Put | BNP Paribas S.A. | 04/19/22 | 2.18% | 2.18%(A) | 1 Day SOFR(A) | 5,100 | (28,639) | |||||||||
7-Year Interest Rate Swap, 05/26/29 | Put | Deutsche Bank AG | 05/24/22 | 2.50% | 2.50%(A) | 1 Day SOFR(A) | 3,800 | (15,018) | |||||||||
10-Year Interest Rate Swap, 04/05/32 | Put | Goldman Sachs Bank USA | 04/01/22 | 1.82% | 1.82%(A) | 1 Day SOFR(A) | 6,000 | (152,031) | |||||||||
10-Year Interest Rate Swap, 11/04/32 | Put | BNP Paribas S.A. | 11/02/22 | 0.00% | 0.00%(A) | 6 Month EURIBOR(S) | EUR | 7,500 | (1,037,374) | ||||||||
10-Year Interest Rate Swap, 11/04/32 | Put | Morgan Stanley Capital Services LLC | 11/02/22 | 0.00% | 0.00%(A) | 6 Month EURIBOR(S) | EUR | 7,200 | (995,879) | ||||||||
10-Year Interest Rate Swap, 11/08/32 | Put | Barclays Bank PLC | 11/04/22 | 0.00% | 0.00%(A) | 6 Month EURIBOR(S) | EUR | 4,810 | (666,164) | ||||||||
10-Year Interest Rate Swap, 11/08/32 | Put | BNP Paribas S.A. | 11/04/22 | 0.00% | 0.00%(A) | 6 Month EURIBOR(S) | EUR | 9,590 | (1,328,173) |
A49
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
25-Year Interest Rate Swap, 05/27/50 | Put | BNP Paribas S.A. | 05/23/25 | 0.45% | 0.45%(A) | 6 Month EURIBOR(S) | EUR | 1,600 | $(340,859) | ||||||||
CDX.NA.HY.37.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 04/20/22 | $100.00 | 5.00%(Q) | CDX.NA.HY.37.V1(Q) | 400 | (226) | |||||||||
CDX.NA.HY.37.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 04/20/22 | $101.00 | 5.00%(Q) | CDX.NA.HY.37.V1(Q) | 2,600 | (1,784) | |||||||||
CDX.NA.HY.37.V1, 12/20/26 | Put | Morgan Stanley & Co. International PLC | 04/20/22 | $103.50 | 5.00%(Q) | CDX.NA.HY.37.V1(Q) | 2,440 | (3,747) | |||||||||
CDX.NA.HY.37.V1, 12/20/26 | Put | Morgan Stanley & Co. International PLC | 06/15/22 | $100.00 | 5.00%(Q) | CDX.NA.HY.37.V1(Q) | 2,440 | (10,255) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Goldman Sachs International | 04/20/22 | 0.73% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 14,900 | (5,943) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | BNP Paribas S.A. | 04/20/22 | 0.75% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 14,410 | (4,706) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Goldman Sachs International | 04/20/22 | 0.78% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 14,900 | (4,086) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Goldman Sachs International | 04/20/22 | 0.85% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,200 | (218) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Bank of America, N.A. | 04/20/22 | 0.90% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 2,700 | (396) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Bank of America, N.A. | 04/20/22 | 0.90% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,500 | (220) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Barclays Bank PLC | 04/20/22 | 0.90% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 3,700 | (543) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Barclays Bank PLC | 04/20/22 | 0.90% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 900 | (132) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Goldman Sachs International | 04/20/22 | 0.90% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,100 | (162) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Goldman Sachs International | 04/20/22 | 0.90% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,300 | (191) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | JPMorgan Chase Bank, N.A. | 04/20/22 | 0.90% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,600 | (235) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | JPMorgan Chase Bank, N.A. | 04/20/22 | 0.90% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,300 | (191) |
A50
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 04/20/22 | 0.90% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,200 | $(176) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 04/20/22 | 0.90% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,200 | (176) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Deutsche Bank AG | 04/20/22 | 0.95% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,800 | (220) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Goldman Sachs International | 04/20/22 | 0.95% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,700 | (207) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | JPMorgan Chase Bank, N.A. | 04/20/22 | 0.95% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 800 | (98) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 04/20/22 | 0.95% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 700 | (85) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Citibank, N.A. | 05/18/22 | 0.85% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,000 | (628) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | JPMorgan Chase Bank, N.A. | 05/18/22 | 0.85% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,300 | (816) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Bank of America, N.A. | 05/18/22 | 0.90% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 2,600 | (1,327) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Barclays Bank PLC | 05/18/22 | 0.90% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,000 | (510) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Deutsche Bank AG | 05/18/22 | 0.95% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,500 | (632) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Goldman Sachs International | 05/18/22 | 1.05% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,400 | (416) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Barclays Bank PLC | 06/15/22 | 1.00% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,700 | (1,206) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Barclays Bank PLC | 06/15/22 | 1.00% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,800 | (1,277) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | JPMorgan Chase Bank, N.A. | 06/15/22 | 1.00% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,200 | (851) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | JPMorgan Chase Bank, N.A. | 06/15/22 | 1.00% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,600 | (1,135) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Deutsche Bank AG | 06/15/22 | 1.10% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,600 | (856) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Deutsche Bank AG | 06/15/22 | 1.10% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,800 | (963) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 06/15/22 | 1.10% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,300 | (695) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 06/15/22 | 1.10% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,800 | (963) |
A51
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 06/15/22 | 1.20% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 2,500 | $(1,032) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 06/15/22 | 1.20% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 2,500 | (1,032) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | BNP Paribas S.A. | 07/20/22 | 1.20% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 600 | (464) | |||||||||
CDX.NA.IG.37.V1, 12/20/26 | Put | BNP Paribas S.A. | 07/20/22 | 1.20% | 1.00%(Q) | CDX.NA.IG.37.V1(Q) | 1,200 | (929) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Goldman Sachs International | 05/18/22 | 0.93% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 16,490 | (11,060) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | BNP Paribas S.A. | 05/18/22 | 1.00% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 16,750 | (8,363) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Bank of America, N.A. | 06/15/22 | 0.95% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 17,750 | (20,364) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | BNP Paribas S.A. | 06/15/22 | 0.95% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 16,810 | (19,286) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Goldman Sachs International | 06/15/22 | 0.95% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 16,510 | (18,941) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Morgan Stanley & Co. International PLC | 06/15/22 | 0.95% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 33,030 | (37,894) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Barclays Bank PLC | 07/20/22 | 1.05% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 16,490 | (23,652) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Citibank, N.A. | 07/20/22 | 1.05% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 16,490 | (23,652) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Bank of America, N.A. | 07/20/22 | 1.20% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 1,200 | (1,234) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Bank of America, N.A. | 07/20/22 | 1.20% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 1,300 | (1,337) | |||||||||
GS_21-PJ2A^ | Put | Goldman Sachs International | 11/15/24 | 0.50% | 0.50%(M) | GS_21-PJ2A(M) | 5,330 | (213) | |||||||||
GS_21-PJA^ | Put | Goldman Sachs International | 06/17/24 | 0.25% | 0.25%(M) | GS_21-PJA(M) | 10,270 | (377) | |||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Bank of America, N.A. | 04/20/22 | 0.85% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 900 | (287) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Bank of America, N.A. | 04/20/22 | 0.85% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 1,100 | (351) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 04/20/22 | 0.85% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 700 | (223) |
A52
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 04/20/22 | 0.85% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 1,200 | $(383) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 04/20/22 | 0.90% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 1,900 | (455) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 04/20/22 | 0.90% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 900 | (215) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Barclays Bank PLC | 05/18/22 | 0.85% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 1,700 | (1,910) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Barclays Bank PLC | 05/18/22 | 0.85% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 800 | (899) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Citibank, N.A. | 05/18/22 | 0.85% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 1,500 | (1,686) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Citibank, N.A. | 05/18/22 | 0.85% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 900 | (1,011) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Barclays Bank PLC | 05/18/22 | 0.90% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 1,600 | (1,463) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Barclays Bank PLC | 05/18/22 | 0.90% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 800 | (732) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 05/18/22 | 0.90% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 1,500 | (1,372) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 05/18/22 | 0.90% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 800 | (732) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Goldman Sachs International | 05/18/22 | 0.95% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 2,000 | (1,516) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Goldman Sachs International | 05/18/22 | 0.95% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 900 | (682) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Barclays Bank PLC | 05/18/22 | 1.00% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 2,000 | (1,277) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Barclays Bank PLC | 05/18/22 | 1.00% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 800 | (511) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Barclays Bank PLC | 05/18/22 | 1.00% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 1,900 | (1,213) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Barclays Bank PLC | 05/18/22 | 1.00% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 900 | (574) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 05/18/22 | 1.05% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 2,100 | (1,145) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 05/18/22 | 1.05% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 800 | (436) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Goldman Sachs International | 06/15/22 | 0.95% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 1,900 | (2,704) |
A53
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Goldman Sachs International | 06/15/22 | 0.95% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 800 | $(1,138) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Bank of America, N.A. | 06/15/22 | 1.00% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 1,400 | (1,738) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Bank of America, N.A. | 06/15/22 | 1.00% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 800 | (993) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Barclays Bank PLC | 06/15/22 | 1.00% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 5,800 | (7,199) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Barclays Bank PLC | 06/15/22 | 1.00% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 2,300 | (2,855) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Bank of America, N.A. | 06/15/22 | 1.10% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 4,800 | (4,640) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Bank of America, N.A. | 06/15/22 | 1.10% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 500 | (483) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Barclays Bank PLC | 06/15/22 | 1.10% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 1,200 | (1,160) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Bank of America, N.A. | 06/15/22 | 1.20% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 1,800 | (1,390) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Bank of America, N.A. | 06/15/22 | 1.20% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 2,100 | (1,622) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | JPMorgan Chase Bank, N.A. | 07/20/22 | 1.10% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 1,100 | (1,802) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Bank of America, N.A. | 07/20/22 | 1.20% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 2,200 | (2,992) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Bank of America, N.A. | 07/20/22 | 1.20% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 1,000 | (1,360) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Barclays Bank PLC | 07/20/22 | 1.20% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 2,600 | (3,536) | ||||||||
iTraxx.EU.36.V1, 12/20/26 | Put | Barclays Bank PLC | 07/20/22 | 1.20% | 1.00%(Q) | iTraxx.EU.36.V1(Q) | EUR | 1,200 | (1,632) | ||||||||
iTraxx.EU.37.V1, 06/20/27 | Put | JPMorgan Chase Bank, N.A. | 07/20/22 | 1.20% | 1.00%(Q) | iTraxx.EU.37.V1(Q) | EUR | 1,200 | (2,229) | ||||||||
iTraxx.XO.36.V1, 12/20/26 | Put | JPMorgan Chase Bank, N.A. | 04/20/22 | 4.00% | 5.00%(Q) | iTraxx.XO.36.V1(Q) | EUR | 200 | (269) | ||||||||
iTraxx.XO.36.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 04/20/22 | 4.00% | 5.00%(Q) | iTraxx.XO.36.V1(Q) | EUR | 1,800 | (2,424) | ||||||||
iTraxx.XO.36.V1, 12/20/26 | Put | Morgan Stanley Capital Services LLC | 04/20/22 | 4.00% | 5.00%(Q) | iTraxx.XO.36.V1(Q) | EUR | 100 | (135) | ||||||||
iTraxx.XO.36.V1, 12/20/26 | Put | Bank of America, N.A. | 04/20/22 | 4.25% | 5.00%(Q) | iTraxx.XO.36.V1(Q) | EUR | 100 | (99) |
A54
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
iTraxx.XO.36.V1, 12/20/26 | Put | Barclays Bank PLC | 04/20/22 | 4.25% | 5.00%(Q) | iTraxx.XO.36.V1(Q) | EUR | 800 | $(791) | ||||||||
iTraxx.XO.36.V1, 12/20/26 | Put | Barclays Bank PLC | 04/20/22 | 4.25% | 5.00%(Q) | iTraxx.XO.36.V1(Q) | EUR | 100 | (99) | ||||||||
iTraxx.XO.36.V1, 12/20/26 | Put | Barclays Bank PLC | 05/18/22 | 4.25% | 5.00%(Q) | iTraxx.XO.36.V1(Q) | EUR | 800 | (3,059) | ||||||||
iTraxx.XO.36.V1, 12/20/26 | Put | BNP Paribas S.A. | 05/18/22 | 4.25% | 5.00%(Q) | iTraxx.XO.36.V1(Q) | EUR | 800 | (3,059) | ||||||||
iTraxx.XO.36.V1, 12/20/26 | Put | Barclays Bank PLC | 05/18/22 | 4.50% | 5.00%(Q) | iTraxx.XO.36.V1(Q) | EUR | 200 | (619) | ||||||||
iTraxx.XO.36.V1, 12/20/26 | Put | Goldman Sachs International | 05/18/22 | 4.50% | 5.00%(Q) | iTraxx.XO.36.V1(Q) | EUR | 600 | (1,856) | ||||||||
iTraxx.XO.36.V1, 12/20/26 | Put | Goldman Sachs International | 05/18/22 | 4.50% | 5.00%(Q) | iTraxx.XO.36.V1(Q) | EUR | 200 | (619) | ||||||||
iTraxx.XO.36.V1, 12/20/26 | Put | JPMorgan Chase Bank, N.A. | 06/15/22 | 5.00% | 5.00%(Q) | iTraxx.XO.36.V1(Q) | EUR | 700 | (3,056) | ||||||||
iTraxx.XO.36.V1, 12/20/26 | Put | JPMorgan Chase Bank, N.A. | 06/15/22 | 5.25% | 5.00%(Q) | iTraxx.XO.36.V1(Q) | EUR | 900 | (3,424) | ||||||||
iTraxx.XO.36.V1, 12/20/26^ | Put | Barclays Bank PLC | 09/21/22 | 9.00% | 5.00%(Q) | iTraxx.XO.36.V1(Q) | EUR | 3,830 | (13,278) | ||||||||
Total OTC Swaptions (premiums received $3,378,068) | $(8,667,994) | ||||||||||||||||
Total Options Written (premiums received $4,392,631) | $(10,397,531) |
(fv) | Forward Volatility Agreement on a 1 year-30 year straddle swaption effective 6/16/2020. The strike price will be determined based on the swaption rate as of 6/16/2023. |
Financial Futures contracts outstanding at March 31, 2022: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
314 | 90 Day Euro EURIBOR | Mar. 2023 | $86,228,399 | $(848,706) | ||||
272 | 2 Year U.S. Treasury Notes | Jun. 2022 | 57,642,750 | (798,113) | ||||
200 | 3 Year Australian Treasury Bonds | Jun. 2022 | 16,445,868 | (293,268) | ||||
1,877 | 5 Year U.S. Treasury Notes | Jun. 2022 | 215,268,437 | (5,008,327) | ||||
60 | 10 Year Australian Treasury Bonds | Jun. 2022 | 5,690,509 | (258,527) | ||||
85 | 10 Year Japanese Bonds | Jun. 2022 | 104,521,932 | (745,594) | ||||
47 | 10 Year U.K. Gilt | Jun. 2022 | 7,484,928 | (20,412) | ||||
972 | 10 Year U.S. Treasury Notes | Jun. 2022 | 119,434,500 | (2,479,536) | ||||
7 | 10 Year U.S. Ultra Treasury Notes | Jun. 2022 | 948,281 | (30,142) | ||||
265 | 20 Year U.S. Treasury Bonds | Jun. 2022 | 39,766,562 | (1,146,659) | ||||
344 | 30 Year U.S. Ultra Treasury Bonds | Jun. 2022 | 60,931,000 | (1,669,572) | ||||
309 | Euro Schatz Index | Jun. 2022 | 37,852,683 | (332,751) | ||||
228 | FTSE Bursa Malaysia KLCI Index | Jun. 2022 | 34,885,240 | (1,633,664) | ||||
2,568 | Mini MSCI EAFE Index | Jun. 2022 | 275,340,960 | 14,804,171 | ||||
415 | Russell 2000 E-Mini Index | Jun. 2022 | 42,877,800 | 1,913,204 | ||||
1,916 | S&P 500 E-Mini Index | Jun. 2022 | 434,045,850 | 32,365,325 | ||||
33,817,429 | ||||||||
Short Positions: | ||||||||
41 | 3 Month CME SOFR | Jun. 2023 | 9,955,313 | 56,748 |
A55
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Financial Futures contracts outstanding at March 31, 2022 (continued): | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Short Positions (cont’d): | ||||||||
1,275 | 2 Year U.S. Treasury Notes | Jun. 2022 | $270,200,392 | $3,154,351 | ||||
36 | 3 Year Australian Treasury Bonds | Jun. 2022 | 2,960,256 | 48,808 | ||||
745 | 5 Year Euro-Bobl | Jun. 2022 | 106,200,774 | 2,910,761 | ||||
94 | 5 Year U.S. Treasury Notes | Jun. 2022 | 10,780,625 | 289,419 | ||||
15 | 10 Year Australian Treasury Bonds | Jun. 2022 | 1,422,627 | 59,026 | ||||
41 | 10 Year Canadian Government Bonds | Jun. 2022 | 4,281,854 | 163,500 | ||||
386 | 10 Year Euro-Bund | Jun. 2022 | 67,749,803 | 2,468,316 | ||||
183 | 10 Year U.K. Gilt | Jun. 2022 | 29,143,443 | 277,524 | ||||
645 | 10 Year U.S. Treasury Notes | Jun. 2022 | 79,254,375 | 636,350 | ||||
333 | 10 Year U.S. Ultra Treasury Notes | Jun. 2022 | 45,111,093 | 1,591,199 | ||||
22 | 20 Year U.S. Treasury Bonds | Jun. 2022 | 3,301,375 | 161,847 | ||||
69 | 30 Year Euro Buxl | Jun. 2022 | 14,212,879 | 596,837 | ||||
18 | 30 Year U.S. Ultra Treasury Bonds | Jun. 2022 | 3,188,250 | 127,661 | ||||
1,120 | Euro Schatz Index | Jun. 2022 | 137,200,665 | 1,028,103 | ||||
208 | Euro-OAT | Jun. 2022 | 34,862,451 | 1,164,740 | ||||
145 | FTSE Bursa Malaysia KLCI Index | Jun. 2022 | 22,185,788 | 971,908 | ||||
136 | Short Euro-BTP | Jun. 2022 | 16,695,436 | 126,377 | ||||
15,833,475 | ||||||||
$49,650,904 |
Commodity Futures contracts outstanding at March 31, 2022: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value/ Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
2 | Brent 1st Line vs. Dubai 1st Line | Jan. 2023 | $6,700 | $4,319 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Feb. 2023 | 6,360 | 3,979 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Mar. 2023 | 6,220 | 3,839 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Apr. 2023 | 6,000 | 3,619 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | May 2023 | 5,780 | 3,399 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Jun. 2023 | 5,680 | 3,299 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Jul. 2023 | 5,680 | 3,299 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Aug. 2023 | 5,680 | 3,299 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Sep. 2023 | 5,680 | 3,299 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Oct. 2023 | 5,680 | 3,299 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Nov. 2023 | 5,680 | 3,299 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Dec. 2023 | 5,620 | 3,239 | ||||
8 | Brent Crude | Jun. 2022 | 837,680 | 49,758 | ||||
13 | Brent Crude | Jun. 2023 | 1,176,110 | 70,559 | ||||
8 | Brent Crude | Dec. 2023 | 694,560 | 5,039 | ||||
3 | Brent Crude | Jun. 2024 | 251,010 | (1,254) | ||||
263 | California Carbon Allowance Vintage | Dec. 2022 | 8,260,830 | 948,977 | ||||
21 | Cocoa | Jul. 2022 | 564,270 | 21,387 | ||||
5 | Coffee ’C’ | Sep. 2022 | 423,188 | (40,141) | ||||
9 | Copper | Jul. 2022 | 1,069,988 | 22,238 | ||||
12 | Corn | Sep. 2022 | 417,750 | 26,871 | ||||
9 | Cotton No. 2 | Dec. 2022 | 500,760 | 29,489 | ||||
3 | Gasoline RBOB | Sep. 2022 | 361,935 | 43,158 | ||||
5 | Hard Red Winter Wheat | Sep. 2022 | 256,313 | (458) | ||||
3 | Henry Hub LD1 Fixed Price | Apr. 2023 | 29,775 | 6,422 | ||||
3 | Henry Hub LD1 Fixed Price | May 2023 | 28,928 | 5,574 | ||||
3 | Henry Hub LD1 Fixed Price | Jun. 2023 | 29,183 | 5,829 | ||||
3 | Henry Hub LD1 Fixed Price | Jul. 2023 | 29,498 | 6,144 |
A56
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Commodity Futures contracts outstanding at March 31, 2022 (continued): | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value/ Unrealized Appreciation (Depreciation) | ||||
Long Positions (cont’d): | ||||||||
3 | Henry Hub LD1 Fixed Price | Aug. 2023 | $29,573 | $6,219 | ||||
3 | Henry Hub LD1 Fixed Price | Sep. 2023 | 29,453 | 6,099 | ||||
3 | Henry Hub LD1 Fixed Price | Oct. 2023 | 29,685 | 6,332 | ||||
5 | ICE ECX EMISSION | Dec. 2022 | 423,030 | (46,016) | ||||
37 | Live Cattle | Jun. 2022 | 2,029,450 | (57,590) | ||||
8 | LME Lead | May 2022 | 484,400 | 23,044 | ||||
4 | LME Lead | Jul. 2022 | 241,725 | 8,863 | ||||
6 | LME Nickel | May 2022 | 1,155,420 | 374,628 | ||||
1 | LME Nickel | Jul. 2022 | 192,672 | 43,344 | ||||
11 | LME PRI Aluminum | May 2022 | 958,955 | 33,877 | ||||
4 | LME Zinc | May 2022 | 420,250 | 64,106 | ||||
4 | LME Zinc | Jul. 2022 | 417,150 | 30,700 | ||||
2 | Low Sulphur Gas Oil | Sep. 2022 | 179,400 | 34,296 | ||||
4 | Low Sulphur Gas Oil | Dec. 2022 | 344,400 | (1,810) | ||||
4 | Low Sulphur Gas Oil | Dec. 2023 | 312,300 | (7,288) | ||||
18 | Milling Wheat No. 2 | Sep. 2022 | 331,294 | 32,420 | ||||
20 | Milling Wheat No. 2 | Dec. 2022 | 358,978 | 50,420 | ||||
5 | Natural Gas | Sep. 2022 | 286,550 | 46,553 | ||||
13 | Natural Gas | Mar. 2023 | 683,800 | 47,323 | ||||
2 | NY Harbor ULSD | Sep. 2022 | 251,168 | 39,757 | ||||
1 | Palladium | Jun. 2022 | 225,560 | (25,602) | ||||
5 | Platinum | Jul. 2022 | 248,950 | (9,534) | ||||
76 | SGX Iron Ore 62% | Jul. 2022 | 1,215,164 | 68,536 | ||||
15 | Soybean | Jul. 2022 | 1,198,500 | (33,728) | ||||
19 | Soybean | Nov. 2022 | 1,349,475 | (14,056) | ||||
96 | Soybean Meal | Jul. 2022 | 4,410,240 | (17,530) | ||||
12 | Soybean Meal | Dec. 2022 | 493,800 | (807) | ||||
4 | Soybean Oil | Oct. 2022 | 29,550 | (22,355) | ||||
4 | Soybean Oil | Nov. 2022 | 28,646 | (21,451) | ||||
8 | Soybean Oil | Dec. 2022 | 304,992 | (7,538) | ||||
4 | Soybean Oil | Dec. 2022 | 29,074 | (21,879) | ||||
8 | WTI Crude | May 2022 | 802,240 | (69,986) | ||||
9 | WTI Crude | Jun. 2022 | 886,680 | (8,386) | ||||
2 | WTI Crude | Sep. 2022 | 186,640 | (3,371) | ||||
38 | WTI Crude | Dec. 2022 | 3,404,800 | 80,909 | ||||
17 | WTI Crude | Jun. 2023 | 1,438,370 | (17,556) | ||||
7 | WTI Crude | Dec. 2023 | 567,700 | 3,227 | ||||
119 | WTI Light Sweet Crude Oil | Dec. 2022 | 10,662,400 | 1,123,124 | ||||
2,979,074 | ||||||||
Short Positions: | ||||||||
10 | Brent 1st Line vs. Dubai 1st Line | May 2022 | 47,400 | (1,745) | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Jun. 2022 | 9,600 | (4,681) | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Jul. 2022 | 8,760 | (3,841) | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Aug. 2022 | 7,900 | (2,981) | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Sep. 2022 | 7,340 | (2,421) | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Oct. 2022 | 7,080 | (2,161) | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Nov. 2022 | 7,060 | (2,141) | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Dec. 2022 | 7,000 | (2,081) | ||||
3 | Brent Crude | Sep. 2022 | 298,290 | (15,000) | ||||
126 | Brent Crude | Dec. 2022 | 12,034,260 | (349,164) | ||||
12 | Brent Crude | Dec. 2024 | 976,920 | (20,286) | ||||
9 | Coffee ’C’ | Jul. 2022 | 764,269 | (12,329) | ||||
132 | Corn | Jul. 2022 | 4,837,800 | (200,326) | ||||
36 | Gold 100 OZ | Jun. 2022 | 7,034,400 | (76,881) | ||||
11 | Hard Red Winter Wheat | Jul. 2022 | 566,363 | 13,861 | ||||
5 | ICE Endex Dutch TTF Natural Gas | Jun. 2022 | 499,246 | (74,017) |
A57
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Commodity Futures contracts outstanding at March 31, 2022 (continued): | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value/ Unrealized Appreciation (Depreciation) | ||||
Short Positions (cont’d): | ||||||||
5 | ICE Natural Gas | Jun. 2022 | $598,689 | $(55,416) | ||||
33 | Lean Hogs | Jun. 2022 | 1,592,250 | (101,554) | ||||
8 | LME Lead | May 2022 | 484,400 | (28,705) | ||||
3 | LME Lead | Jul. 2022 | 181,294 | (10,537) | ||||
6 | LME Nickel | May 2022 | 1,155,420 | (86,335) | ||||
11 | LME PRI Aluminum | May 2022 | 958,955 | (152,218) | ||||
7 | LME PRI Aluminum | Jul. 2022 | 611,275 | (14,965) | ||||
4 | LME Zinc | May 2022 | 420,250 | (32,250) | ||||
15 | Natural Gas | Jul. 2022 | 863,400 | (108,705) | ||||
6 | Natural Gas | Oct. 2022 | 344,400 | (45,555) | ||||
9 | Natural Gas | Jan. 2023 | 543,960 | (28,439) | ||||
23 | No. 2 Soft Red Winter Wheat | Jul. 2022 | 1,152,300 | 99,592 | ||||
2 | No. 2 Soft Red Winter Wheat | Sep. 2022 | 98,900 | 3,377 | ||||
8 | No. 2 Soft Red Winter Wheat | Dec. 2022 | 389,100 | (41,503) | ||||
2 | Silver | Jul. 2022 | 252,020 | (3,730) | ||||
10 | Soybean Oil | Jul. 2022 | 411,840 | 16,302 | ||||
15 | Sugar #11 (World) | Oct. 2022 | 324,912 | (23,715) | ||||
23 | WTI Crude | Jun. 2024 | 1,794,460 | 11,707 | ||||
41 | WTI Light Sweet Crude Oil | Jun. 2022 | 4,039,320 | (1,408,963) | ||||
4 | WTI Light Sweet Crude Oil | Dec. 2023 | 324,400 | 2,535 | ||||
(2,765,271) | ||||||||
$213,803 |
Forward foreign currency exchange contracts outstanding at March 31, 2022:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
Australian Dollar, | |||||||||||||
Expiring 04/04/22 | BNP Paribas S.A. | AUD | 1,709 | $1,243,462 | $1,278,898 | $35,436 | $— | ||||||
Expiring 04/04/22 | UBS AG Stamford | AUD | 12,211 | 9,175,358 | 9,137,868 | — | (37,490) | ||||||
Brazilian Real, | |||||||||||||
Expiring 04/04/22 | JPMorgan Chase Bank, N.A. | BRL | 3,889 | 761,892 | 815,876 | 53,984 | — | ||||||
Expiring 04/04/22 | Morgan Stanley & Co. International PLC | BRL | 9,485 | 1,922,103 | 1,989,668 | 67,565 | — | ||||||
British Pound, | |||||||||||||
Expiring 04/04/22 | BNP Paribas S.A. | GBP | 941 | 1,261,567 | 1,236,099 | — | (25,468) | ||||||
Expiring 04/04/22 | Deutsche Bank AG | GBP | 737 | 967,311 | 968,125 | 814 | — | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | GBP | 1,139 | 1,522,191 | 1,496,192 | — | (25,999) | ||||||
Expiring 04/04/22 | Morgan Stanley & Co. International PLC | GBP | 9,589 | 12,652,272 | 12,596,673 | — | (55,599) | ||||||
Expiring 04/04/22 | Morgan Stanley & Co. International PLC | GBP | 1,003 | 1,306,738 | 1,317,543 | 10,805 | — | ||||||
Expiring 04/04/22 | Morgan Stanley & Co. International PLC | GBP | 910 | 1,186,145 | 1,195,378 | 9,233 | — | ||||||
Expiring 04/04/22 | Standard Chartered Bank, London | GBP | 715 | 933,578 | 939,226 | 5,648 | — | ||||||
Canadian Dollar, | |||||||||||||
Expiring 04/04/22 | BNP Paribas S.A. | CAD | 5,693 | 4,561,688 | 4,553,820 | — | (7,868) | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | CAD | 1,836 | 1,442,874 | 1,468,613 | 25,739 | — | ||||||
Expiring 04/04/22 | Morgan Stanley & Co. International PLC | CAD | 1,495 | 1,196,896 | 1,195,848 | — | (1,048) | ||||||
Expiring 04/19/22 | HSBC Bank PLC | CAD | 583 | 463,991 | 466,046 | 2,055 | — | ||||||
Chilean Peso, | |||||||||||||
Expiring 04/29/22 | Citibank, N.A. | CLP | 1,008,264 | 1,289,000 | 1,274,747 | — | (14,253) | ||||||
Expiring 04/29/22 | Citibank, N.A. | CLP | 123,209 | 156,000 | 155,773 | — | (227) | ||||||
Expiring 05/18/22 | HSBC Bank USA, N.A. | CLP | 182,640 | 231,000 | 230,179 | — | (821) | ||||||
Expiring 05/18/22 | Standard Chartered Bank, London | CLP | 174,214 | 221,000 | 219,560 | — | (1,440) | ||||||
Chinese Renminbi, | |||||||||||||
Expiring 05/20/22 | BNP Paribas S.A. | CNH | 102,580 | 16,045,675 | 16,092,055 | 46,380 | — |
A58
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Forward foreign currency exchange contracts outstanding at March 31, 2022 (continued):
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Chinese Renminbi (cont’d.), | |||||||||||||
Expiring 05/20/22 | Citibank, N.A. | CNH | 31,583 | $4,938,000 | $4,954,597 | $16,597 | $— | ||||||
Expiring 05/20/22 | JPMorgan Chase Bank, N.A. | CNH | 66,357 | 10,371,456 | 10,409,637 | 38,181 | — | ||||||
Expiring 05/20/22 | JPMorgan Chase Bank, N.A. | CNH | 85 | 13,224 | 13,335 | 111 | — | ||||||
Expiring 05/20/22 | JPMorgan Chase Bank, N.A. | CNH | 20 | 3,212 | 3,200 | — | (12) | ||||||
Danish Krone, | |||||||||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 13,860 | 2,084,632 | 2,061,296 | — | (23,336) | ||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 5,155 | 792,506 | 766,665 | — | (25,841) | ||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 3,870 | 589,293 | 575,557 | — | (13,736) | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 4,175 | 633,221 | 620,918 | — | (12,303) | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 4,065 | 621,744 | 604,558 | — | (17,186) | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 3,185 | 484,847 | 473,682 | — | (11,165) | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 2,850 | 445,569 | 423,859 | — | (21,710) | ||||||
Expiring 04/01/22 | Deutsche Bank AG | DKK | 43,041 | 6,337,204 | 6,401,232 | 64,028 | — | ||||||
Expiring 04/01/22 | Deutsche Bank AG | DKK | 34,515 | 5,081,796 | 5,133,140 | 51,344 | — | ||||||
Expiring 04/01/22 | Deutsche Bank AG | DKK | 13,151 | 1,952,820 | 1,955,920 | 3,100 | — | ||||||
Expiring 04/01/22 | Deutsche Bank AG | DKK | 10,546 | 1,565,963 | 1,568,449 | 2,486 | — | ||||||
Expiring 04/01/22 | HSBC Bank USA, N.A. | DKK | 8,095 | 1,264,583 | 1,203,910 | — | (60,673) | ||||||
Expiring 04/01/22 | HSBC Bank USA, N.A. | DKK | 7,375 | 1,152,106 | 1,096,830 | — | (55,276) | ||||||
Expiring 04/01/22 | HSBC Bank USA, N.A. | DKK | 3,830 | 599,246 | 569,608 | — | (29,638) | ||||||
Expiring 04/01/22 | HSBC Bank USA, N.A. | DKK | 3,075 | 454,351 | 457,322 | 2,971 | — | ||||||
Expiring 04/01/22 | HSBC Bank USA, N.A. | DKK | 2,590 | 384,069 | 385,192 | 1,123 | — | ||||||
Expiring 04/01/22 | Morgan Stanley & Co. International PLC | DKK | 118,795 | 17,573,179 | 17,667,463 | 94,284 | — | ||||||
Expiring 04/01/22 | Morgan Stanley & Co. International PLC | DKK | 95,261 | 14,091,910 | 14,167,516 | 75,606 | — | ||||||
Expiring 04/01/22 | Morgan Stanley & Co. International PLC | DKK | 70,067 | 10,336,444 | 10,420,494 | 84,050 | — | ||||||
Expiring 04/01/22 | Morgan Stanley & Co. International PLC | DKK | 56,186 | 8,288,782 | 8,356,182 | 67,400 | — | ||||||
Expiring 04/01/22 | NatWest Markets PLC | DKK | 2,850 | 434,546 | 423,859 | — | (10,687) | ||||||
Euro, | |||||||||||||
Expiring 04/04/22 | BNP Paribas S.A. | EUR | 34,229 | 37,705,577 | 37,869,738 | 164,161 | — | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | EUR | 4,660 | 5,205,905 | 5,155,684 | — | (50,221) | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | EUR | 1,944 | 2,119,574 | 2,150,784 | 31,210 | — | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | EUR | 1,765 | 1,957,999 | 1,952,743 | — | (5,256) | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | EUR | 686 | 761,013 | 758,970 | — | (2,043) | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | EUR | 499 | 549,130 | 552,079 | 2,949 | — | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | EUR | 1,287 | 1,428,150 | 1,423,899 | — | (4,251) | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | EUR | 1,242 | 1,363,008 | 1,374,111 | 11,103 | — | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | EUR | 1,187 | 1,310,551 | 1,313,261 | 2,710 | — | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | EUR | 929 | 1,022,139 | 1,027,818 | 5,679 | — | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | EUR | 751 | 824,170 | 830,884 | 6,714 | — | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | EUR | 713 | 784,965 | 788,842 | 3,877 | — | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | EUR | 631 | 693,726 | 698,120 | 4,394 | — | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | EUR | 515 | 569,628 | 569,781 | 153 | — | ||||||
Expiring 04/04/22 | JPMorgan Chase Bank, N.A. | EUR | 591 | 665,755 | 654,342 | — | (11,413) | ||||||
Expiring 04/04/22 | Morgan Stanley & Co. International PLC | EUR | 60,217 | 67,054,580 | 66,622,282 | — | (432,298) | ||||||
Expiring 04/04/22 | Morgan Stanley & Co. International PLC | EUR | 47,286 | 52,654,844 | 52,315,380 | — | (339,464) | ||||||
Expiring 04/04/22 | Morgan Stanley & Co. International PLC | EUR | 674 | 763,714 | 745,342 | — | (18,372) | ||||||
Expiring 04/19/22 | Barclays Bank PLC | EUR | 897 | 988,042 | 993,376 | 5,334 | — | ||||||
Expiring 05/03/22 | HSBC Bank USA, N.A. | EUR | 1,000 | 1,110,921 | 1,107,374 | — | (3,547) | ||||||
Expiring 07/01/22 | BNP Paribas S.A. | EUR | 254 | 306,648 | 281,824 | — | (24,824) | ||||||
Expiring 07/01/22 | Goldman Sachs Bank USA | EUR | 113 | 138,224 | 125,477 | — | (12,747) | ||||||
Expiring 07/01/22 | Goldman Sachs Bank USA | EUR | 85 | 103,833 | 94,386 | — | (9,447) | ||||||
Expiring 07/01/22 | HSBC Bank USA, N.A. | EUR | 279 | 338,592 | 309,715 | — | (28,877) | ||||||
Expiring 07/01/22 | HSBC Bank USA, N.A. | EUR | 58 | 70,879 | 64,457 | — | (6,422) | ||||||
Expiring 07/01/22 | JPMorgan Chase Bank, N.A. | EUR | 127 | 150,534 | 141,023 | — | (9,511) | ||||||
Expiring 09/09/22 | Deutsche Bank AG | EUR | 49 | 54,416 | 54,931 | 515 | — | ||||||
Expiring 09/09/22 | Deutsche Bank AG | EUR | 39 | 44,660 | 43,147 | — | (1,513) |
A59
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Forward foreign currency exchange contracts outstanding at March 31, 2022 (continued):
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Euro (cont’d.), | |||||||||||||
Expiring 09/09/22 | HSBC Bank USA, N.A. | EUR | 41 | $46,557 | $45,712 | $— | $(845) | ||||||
Expiring 09/09/22 | HSBC Bank USA, N.A. | EUR | 33 | 36,496 | 36,901 | 405 | — | ||||||
Expiring 09/09/22 | JPMorgan Chase Bank, N.A. | EUR | 16 | 17,618 | 17,865 | 247 | — | ||||||
Expiring 09/09/22 | Standard Chartered Bank, London | EUR | 92 | 102,240 | 102,304 | 64 | — | ||||||
Expiring 12/09/22 | HSBC Bank USA, N.A. | EUR | 205 | 233,155 | 230,208 | — | (2,947) | ||||||
Expiring 12/09/22 | HSBC Bank USA, N.A. | EUR | 136 | 156,114 | 152,988 | — | (3,126) | ||||||
Hungarian Forint, | |||||||||||||
Expiring 04/19/22 | BNP Paribas S.A. | HUF | 161,630 | 511,342 | 485,431 | — | (25,911) | ||||||
Indonesian Rupiah, | |||||||||||||
Expiring 05/20/22 | HSBC Bank USA, N.A. | IDR | 28,749,221 | 2,010,435 | 2,001,219 | — | (9,216) | ||||||
Expiring 05/20/22 | HSBC Bank USA, N.A. | IDR | 9,193,095 | 635,321 | 639,927 | 4,606 | — | ||||||
Expiring 05/20/22 | HSBC Bank USA, N.A. | IDR | 8,761,640 | 611,828 | 609,893 | — | (1,935) | ||||||
Expiring 05/20/22 | JPMorgan Chase Bank, N.A. | IDR | 9,245,365 | 644,411 | 643,565 | — | (846) | ||||||
Malaysian Ringgit, | |||||||||||||
Expiring 06/15/22 | Barclays Bank PLC | MYR | 1,587 | 376,000 | 375,695 | — | (305) | ||||||
Expiring 06/22/22 | BNP Paribas S.A. | MYR | 31,480 | 7,424,644 | 7,451,480 | 26,836 | — | ||||||
Expiring 06/22/22 | BNP Paribas S.A. | MYR | 6,444 | 1,527,482 | 1,525,338 | — | (2,144) | ||||||
Expiring 06/22/22 | BNP Paribas S.A. | MYR | 4,712 | 1,115,468 | 1,115,222 | — | (246) | ||||||
Mexican Peso, | |||||||||||||
Expiring 05/18/22 | HSBC Bank USA, N.A. | MXN | 15,623 | 751,568 | 778,680 | 27,112 | — | ||||||
Expiring 06/15/22 | Citibank, N.A. | MXN | 3,074 | 146,626 | 152,438 | 5,812 | — | ||||||
Expiring 06/15/22 | JPMorgan Chase Bank, N.A. | MXN | 17,819 | 853,380 | 883,637 | 30,257 | — | ||||||
Expiring 06/15/22 | Morgan Stanley & Co. International PLC | MXN | 10,617 | 503,352 | 526,515 | 23,163 | — | ||||||
Expiring 07/01/22 | BNP Paribas S.A. | MXN | 54,896 | 2,624,416 | 2,714,654 | 90,238 | — | ||||||
New Zealand Dollar, | |||||||||||||
Expiring 04/04/22 | BNP Paribas S.A. | NZD | 1,593 | 1,089,614 | 1,103,991 | 14,377 | — | ||||||
Expiring 04/04/22 | HSBC Bank PLC | NZD | 1,211 | 819,946 | 839,403 | 19,457 | — | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | NZD | 15,568 | 10,858,330 | 10,789,029 | — | (69,301) | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | NZD | 4,252 | 2,956,354 | 2,946,747 | — | (9,607) | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | NZD | 1,249 | 858,080 | 865,589 | 7,509 | — | ||||||
Expiring 05/03/22 | HSBC Bank USA, N.A. | NZD | 6,695 | 4,643,838 | 4,637,556 | — | (6,282) | ||||||
Expiring 05/06/22 | HSBC Bank PLC | NZD | 1,211 | 843,331 | 838,945 | — | (4,386) | ||||||
Norwegian Krone, | |||||||||||||
Expiring 04/04/22 | Citibank, N.A. | NOK | 50,788 | 5,692,741 | 5,768,621 | 75,880 | — | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | NOK | 10,745 | 1,245,620 | 1,220,436 | — | (25,184) | ||||||
Expiring 05/03/22 | Standard Chartered Bank, London | NOK | 61,562 | 7,126,282 | 6,989,933 | — | (136,349) | ||||||
Expiring 05/18/22 | JPMorgan Chase Bank, N.A. | NOK | 40,155 | 4,509,428 | 4,559,063 | 49,635 | — | ||||||
Peruvian Nuevo Sol, | |||||||||||||
Expiring 04/11/22 | Citibank, N.A. | PEN | 11,280 | 3,010,536 | 3,063,907 | 53,371 | — | ||||||
Expiring 04/11/22 | Goldman Sachs Bank USA | PEN | 53,785 | 14,239,987 | 14,608,716 | 368,729 | — | ||||||
Expiring 04/11/22 | Goldman Sachs Bank USA | PEN | 2,362 | 625,273 | 641,464 | 16,191 | — | ||||||
Expiring 04/18/22 | Citibank, N.A. | PEN | 1,058 | 283,567 | 287,319 | 3,752 | — | ||||||
Expiring 04/18/22 | HSBC Bank USA, N.A. | PEN | 53,785 | 14,302,713 | 14,599,483 | 296,770 | — | ||||||
Expiring 04/18/22 | HSBC Bank USA, N.A. | PEN | 1,303 | 346,549 | 353,740 | 7,191 | — | ||||||
Expiring 04/25/22 | Standard Chartered Bank, London | PEN | 99 | 26,006 | 26,721 | 715 | — | ||||||
Expiring 04/29/22 | Citibank, N.A. | PEN | 97 | 26,090 | 26,398 | 308 | — | ||||||
Expiring 05/04/22 | Citibank, N.A. | PEN | 98 | 26,414 | 26,553 | 139 | — | ||||||
Expiring 08/08/22 | Goldman Sachs Bank USA | PEN | 1,194 | 311,000 | 320,535 | 9,535 | — | ||||||
Expiring 08/08/22 | Goldman Sachs Bank USA | PEN | 868 | 227,000 | 233,002 | 6,002 | — | ||||||
Expiring 08/08/22 | HSBC Bank USA, N.A. | PEN | 1,141 | 303,000 | 306,440 | 3,440 | — | ||||||
Expiring 12/06/22 | Citibank, N.A. | PEN | 11,621 | 2,770,788 | 3,085,442 | 314,654 | — | ||||||
Polish Zloty, | |||||||||||||
Expiring 04/19/22 | HSBC Bank PLC | PLN | 2,062 | 519,243 | 489,923 | — | (29,320) | ||||||
Russian Ruble, | |||||||||||||
Expiring 04/21/22 | JPMorgan Chase Bank, N.A. | RUB | 25,355 | 231,024 | 301,577 | 70,553 | — |
A60
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Forward foreign currency exchange contracts outstanding at March 31, 2022 (continued):
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Russian Ruble (cont’d.), | |||||||||||||
Expiring 05/23/22 | JPMorgan Chase Bank, N.A. | RUB | 25,884 | $230,076 | $295,490 | $65,414 | $— | ||||||
South African Rand, | |||||||||||||
Expiring 06/15/22 | Citibank, N.A. | ZAR | 3,941 | 252,888 | 267,074 | 14,186 | — | ||||||
Expiring 06/15/22 | Goldman Sachs Bank USA | ZAR | 12,951 | 842,747 | 877,663 | 34,916 | — | ||||||
Expiring 06/15/22 | Goldman Sachs Bank USA | ZAR | 9,340 | 609,490 | 632,941 | 23,451 | — | ||||||
South Korean Won, | |||||||||||||
Expiring 05/20/22 | Barclays Bank PLC | KRW | 363,136 | 299,000 | 298,689 | — | (311) | ||||||
Expiring 05/20/22 | Goldman Sachs Bank USA | KRW | 192,056 | 155,648 | 157,971 | 2,323 | — | ||||||
Swiss Franc, | |||||||||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | CHF | 623 | 679,787 | 674,289 | — | (5,498) | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | CHF | 515 | 561,065 | 557,398 | — | (3,667) | ||||||
Expiring 04/04/22 | Standard Chartered Bank, London | CHF | 424 | 458,446 | 458,907 | 461 | — | ||||||
$432,086,975 | $433,003,005 | 2,665,438 | (1,749,408) |
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 04/04/22 | BNP Paribas S.A. | AUD | 3,900 | $2,837,625 | $2,918,490 | $— | $(80,865) | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | AUD | 2,647 | 1,958,082 | 1,980,832 | — | (22,750) | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | AUD | 1,471 | 1,083,281 | 1,100,795 | — | (17,514) | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | AUD | 284 | 212,210 | 212,526 | — | (316) | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | AUD | 6,494 | 4,882,605 | 4,859,661 | 22,944 | — | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | AUD | 3,909 | 2,930,243 | 2,925,226 | 5,017 | — | ||||||
Expiring 05/03/22 | UBS AG Stamford | AUD | 12,211 | 9,178,105 | 9,141,320 | 36,785 | — | ||||||
Brazilian Real, | |||||||||||||
Expiring 04/04/22 | HSBC Bank PLC | BRL | 3,889 | 762,071 | 815,876 | — | (53,805) | ||||||
Expiring 04/04/22 | Morgan Stanley & Co. International PLC | BRL | 7,932 | 1,513,282 | 1,663,918 | — | (150,636) | ||||||
Expiring 04/04/22 | NatWest Markets PLC | BRL | 1,553 | 308,000 | 325,750 | — | (17,750) | ||||||
Expiring 05/03/22 | Morgan Stanley & Co. International PLC | BRL | 9,485 | 1,907,319 | 1,973,842 | — | (66,523) | ||||||
British Pound, | |||||||||||||
Expiring 04/04/22 | BNP Paribas S.A. | GBP | 9,589 | 12,990,240 | 12,596,673 | 393,567 | — | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | GBP | 223 | 291,174 | 292,933 | — | (1,759) | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | GBP | 900 | 1,203,709 | 1,182,242 | 21,467 | — | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | GBP | 456 | 607,204 | 599,003 | 8,201 | — | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | GBP | 247 | 324,251 | 324,460 | — | (209) | ||||||
Expiring 04/04/22 | Morgan Stanley & Co. International PLC | GBP | 227 | 299,888 | 298,188 | 1,700 | — | ||||||
Expiring 04/04/22 | Standard Chartered Bank, London | GBP | 42,086 | 56,483,623 | 55,283,751 | 1,199,872 | — | ||||||
Expiring 04/04/22 | Standard Chartered Bank, London | GBP | 24,352 | 32,683,118 | 31,988,836 | 694,282 | — | ||||||
Expiring 05/04/22 | Standard Chartered Bank, London | GBP | 38,945 | 51,266,516 | 51,149,122 | 117,394 | — | ||||||
Expiring 05/04/22 | Standard Chartered Bank, London | GBP | 24,101 | 31,726,447 | 31,653,797 | 72,650 | — | ||||||
Expiring 05/06/22 | Morgan Stanley & Co. International PLC | GBP | 9,589 | 12,650,479 | 12,594,468 | 56,011 | — | ||||||
Canadian Dollar, | |||||||||||||
Expiring 04/04/22 | BNP Paribas S.A. | CAD | 3,316 | 2,616,031 | 2,652,463 | — | (36,432) | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | CAD | 538 | 430,634 | 430,345 | 289 | — | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | CAD | 460 | 358,573 | 367,954 | — | (9,381) | ||||||
Expiring 04/04/22 | Citibank, N.A. | CAD | 564 | 438,730 | 451,142 | — | (12,412) | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | CAD | 421 | 333,816 | 336,757 | — | (2,941) | ||||||
Expiring 04/04/22 | JPMorgan Chase Bank, N.A. | CAD | 8,099 | 6,347,328 | 6,478,664 | — | (131,336) | ||||||
Chinese Renminbi, | |||||||||||||
Expiring 05/20/22 | Barclays Bank PLC | CNH | 20 | 3,210 | 3,200 | 10 | — | ||||||
Expiring 05/20/22 | Goldman Sachs Bank USA | CNH | 30,643 | 4,789,000 | 4,807,080 | — | (18,080) | ||||||
Expiring 05/20/22 | HSBC Bank USA, N.A. | CNH | 93,138 | 14,658,885 | 14,610,883 | 48,002 | — |
A61
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Forward foreign currency exchange contracts outstanding at March 31, 2022 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Chinese Renminbi (cont’d.), | |||||||||||||
Expiring 05/20/22 | JPMorgan Chase Bank, N.A. | CNH | 89,794 | $14,138,063 | $14,086,222 | $51,841 | $— | ||||||
Expiring 05/20/22 | JPMorgan Chase Bank, N.A. | CNH | 54,664 | 8,580,594 | 8,575,379 | 5,215 | — | ||||||
Expiring 05/20/22 | JPMorgan Chase Bank, N.A. | CNH | 1,408 | 221,682 | 220,897 | 785 | — | ||||||
Expiring 05/20/22 | Standard Chartered Bank, London | CNH | 92,918 | 14,612,350 | 14,576,374 | 35,976 | — | ||||||
Expiring 05/20/22 | Standard Chartered Bank, London | CNH | 955 | 150,242 | 149,828 | 414 | — | ||||||
Expiring 03/15/23 | BNP Paribas S.A. | CNH | 10,781 | 1,670,000 | 1,676,826 | — | (6,826) | ||||||
Expiring 03/15/23 | Goldman Sachs Bank USA | CNH | 5,579 | 864,000 | 867,791 | — | (3,791) | ||||||
Expiring 05/19/23 | Citibank, N.A. | CNH | 31,937 | 4,938,000 | 4,962,112 | — | (24,112) | ||||||
Czech Koruna, | |||||||||||||
Expiring 06/15/22 | Citibank, N.A. | CZK | 515 | 22,221 | 23,113 | — | (892) | ||||||
Expiring 06/15/22 | JPMorgan Chase Bank, N.A. | CZK | 663 | 28,729 | 29,788 | — | (1,059) | ||||||
Danish Krone, | |||||||||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 10,105 | 1,559,933 | 1,502,843 | 57,090 | — | ||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 9,360 | 1,424,999 | 1,392,044 | 32,955 | — | ||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 8,405 | 1,279,606 | 1,250,014 | 29,592 | — | ||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 5,815 | 897,675 | 864,822 | 32,853 | — | ||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 5,155 | 788,333 | 766,666 | 21,667 | — | ||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 4,680 | 697,653 | 696,022 | 1,631 | — | ||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 4,585 | 699,061 | 681,893 | 17,168 | — | ||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 3,185 | 486,570 | 473,681 | 12,889 | — | ||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 3,080 | 459,139 | 458,066 | 1,073 | — | ||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 2,765 | 433,861 | 411,218 | 22,643 | — | ||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 2,135 | 325,391 | 317,523 | 7,868 | — | ||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 1,685 | 255,931 | 250,598 | 5,333 | — | ||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 1,675 | 262,275 | 249,111 | 13,164 | — | ||||||
Expiring 04/01/22 | BNP Paribas S.A. | DKK | 670 | 102,505 | 99,644 | 2,861 | — | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 19,735 | 3,117,244 | 2,935,082 | 182,162 | — | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 19,555 | 3,088,755 | 2,908,258 | 180,497 | — | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 8,170 | 1,271,355 | 1,215,064 | 56,291 | — | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 7,765 | 1,200,596 | 1,154,831 | 45,765 | — | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 6,775 | 1,056,956 | 1,007,596 | 49,360 | — | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 5,725 | 871,425 | 851,438 | 19,987 | — | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 3,910 | 609,676 | 581,506 | 28,170 | — | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 3,910 | 609,992 | 581,505 | 28,487 | — | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 3,730 | 583,396 | 554,735 | 28,661 | — | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 3,120 | 486,836 | 464,015 | 22,821 | — | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 2,455 | 371,474 | 365,114 | 6,360 | — | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 2,110 | 328,751 | 313,804 | 14,947 | — | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 1,930 | 294,943 | 287,035 | 7,908 | — | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 1,140 | 177,550 | 169,544 | 8,006 | — | ||||||
Expiring 04/01/22 | Citibank, N.A. | DKK | 975 | 151,975 | 145,004 | 6,971 | — | ||||||
Expiring 04/01/22 | HSBC Bank USA, N.A. | DKK | 4,370 | 681,444 | 649,918 | 31,526 | — | ||||||
Expiring 04/01/22 | HSBC Bank USA, N.A. | DKK | 3,380 | 528,618 | 502,683 | 25,935 | — | ||||||
Expiring 04/01/22 | HSBC Bank USA, N.A. | DKK | 3,355 | 524,708 | 498,965 | 25,743 | — | ||||||
Expiring 04/01/22 | HSBC Bank USA, N.A. | DKK | 2,615 | 409,947 | 388,910 | 21,037 | — | ||||||
Expiring 04/01/22 | JPMorgan Chase Bank, N.A. | DKK | 6,945 | 1,064,573 | 1,032,879 | 31,694 | — | ||||||
Expiring 04/01/22 | JPMorgan Chase Bank, N.A. | DKK | 2,360 | 359,152 | 350,986 | 8,166 | — | ||||||
Expiring 04/01/22 | JPMorgan Chase Bank, N.A. | DKK | 660 | 103,668 | 98,157 | 5,511 | — | ||||||
Expiring 04/01/22 | Morgan Stanley & Co. International PLC | DKK | 112,239 | 17,695,040 | 16,692,499 | 1,002,541 | — | ||||||
Expiring 04/01/22 | Morgan Stanley & Co. International PLC | DKK | 111,213 | 17,533,324 | 16,539,945 | 993,379 | — | ||||||
Expiring 04/01/22 | Morgan Stanley & Co. International PLC | DKK | 61,697 | 9,749,596 | 9,175,685 | 573,911 | — | ||||||
Expiring 04/01/22 | Morgan Stanley & Co. International PLC | DKK | 61,133 | 9,660,493 | 9,091,827 | 568,666 | — | ||||||
Expiring 07/01/22 | Deutsche Bank AG | DKK | 42,880 | 6,337,204 | 6,400,563 | — | (63,359) | ||||||
Expiring 07/01/22 | Deutsche Bank AG | DKK | 34,385 | 5,081,796 | 5,132,604 | — | (50,808) | ||||||
Expiring 07/01/22 | Deutsche Bank AG | DKK | 13,103 | 1,952,820 | 1,955,798 | — | (2,978) |
A62
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Forward foreign currency exchange contracts outstanding at March 31, 2022 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Danish Krone (cont’d.), | |||||||||||||
Expiring 07/01/22 | Deutsche Bank AG | DKK | 10,507 | $1,565,963 | $1,568,351 | $— | $(2,388) | ||||||
Expiring 07/01/22 | Morgan Stanley & Co. International PLC | DKK | 118,353 | 17,573,179 | 17,666,221 | — | (93,042) | ||||||
Expiring 07/01/22 | Morgan Stanley & Co. International PLC | DKK | 94,907 | 14,091,910 | 14,166,520 | — | (74,610) | ||||||
Expiring 07/01/22 | Morgan Stanley & Co. International PLC | DKK | 69,804 | 10,336,444 | 10,419,444 | — | (83,000) | ||||||
Expiring 07/01/22 | Morgan Stanley & Co. International PLC | DKK | 55,976 | 8,288,782 | 8,355,340 | — | (66,558) | ||||||
Expiring 07/01/22 | Morgan Stanley & Co. International PLC | DKK | 6,680 | 1,000,337 | 997,108 | 3,229 | — | ||||||
Expiring 07/01/22 | Morgan Stanley & Co. International PLC | DKK | 455 | 68,137 | 67,917 | 220 | — | ||||||
Euro, | |||||||||||||
Expiring 04/04/22 | Barclays Bank PLC | EUR | 2,151 | 2,366,500 | 2,379,802 | — | (13,302) | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | EUR | 2,193 | 2,453,952 | 2,426,270 | 27,682 | — | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | EUR | 1,619 | 1,755,318 | 1,791,213 | — | (35,895) | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | EUR | 1,264 | 1,370,427 | 1,398,451 | — | (28,024) | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | EUR | 748 | 823,145 | 827,565 | — | (4,420) | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | EUR | 4,686 | 5,135,058 | 5,184,449 | — | (49,391) | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | EUR | 2,750 | 3,051,602 | 3,042,518 | 9,084 | — | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | EUR | 1,340 | 1,468,412 | 1,482,536 | — | (14,124) | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | EUR | 1,015 | 1,116,761 | 1,122,966 | — | (6,205) | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | EUR | 842 | 929,807 | 931,564 | — | (1,757) | ||||||
Expiring 04/04/22 | HSBC Bank USA, N.A. | EUR | 826 | 909,370 | 913,861 | — | (4,491) | ||||||
Expiring 04/04/22 | Morgan Stanley & Co. International PLC | EUR | 35,494 | 40,285,613 | 39,269,421 | 1,016,192 | — | ||||||
Expiring 04/04/22 | Standard Chartered Bank, London | EUR | 58,650 | 65,960,268 | 64,888,600 | 1,071,668 | — | ||||||
Expiring 04/04/22 | Standard Chartered Bank, London | EUR | 46,228 | 51,989,523 | 51,144,840 | 844,683 | — | ||||||
Expiring 04/19/22 | HSBC Bank PLC | EUR | 160 | 183,136 | 176,840 | 6,296 | — | ||||||
Expiring 04/19/22 | Morgan Stanley & Co. International PLC | EUR | 109 | 123,709 | 120,805 | 2,904 | — | ||||||
Expiring 05/03/22 | Morgan Stanley & Co. International PLC | EUR | 60,217 | 67,112,973 | 66,682,732 | 430,241 | — | ||||||
Expiring 05/03/22 | Morgan Stanley & Co. International PLC | EUR | 47,286 | 52,700,697 | 52,362,849 | 337,848 | — | ||||||
Expiring 05/06/22 | BNP Paribas S.A. | EUR | 34,229 | 37,744,427 | 37,909,093 | — | (164,666) | ||||||
Expiring 07/01/22 | Goldman Sachs Bank USA | EUR | 282 | 349,578 | 313,138 | 36,440 | — | ||||||
Expiring 07/01/22 | HSBC Bank USA, N.A. | EUR | 22 | 27,327 | 24,429 | 2,898 | — | ||||||
Expiring 07/01/22 | JPMorgan Chase Bank, N.A. | EUR | 211 | 243,474 | 234,421 | 9,053 | — | ||||||
Expiring 07/01/22 | JPMorgan Chase Bank, N.A. | EUR | 131 | 157,512 | 145,743 | 11,769 | — | ||||||
Expiring 11/01/22 | Goldman Sachs Bank USA | EUR | 252 | 311,166 | 281,971 | 29,195 | — | ||||||
Expiring 12/01/22 | Goldman Sachs Bank USA | EUR | 132 | 164,360 | 148,029 | 16,331 | — | ||||||
Israeli Shekel, | |||||||||||||
Expiring 04/06/22 | Citibank, N.A. | ILS | 1,500 | 462,089 | 470,045 | — | (7,956) | ||||||
Expiring 06/08/22 | Citibank, N.A. | ILS | 2,894 | 893,294 | 908,889 | — | (15,595) | ||||||
Expiring 06/08/22 | Citibank, N.A. | ILS | 2,400 | 740,907 | 753,574 | — | (12,667) | ||||||
Expiring 06/15/22 | BNP Paribas S.A. | ILS | 3,162 | 972,578 | 993,275 | — | (20,697) | ||||||
Expiring 06/15/22 | BNP Paribas S.A. | ILS | 2,167 | 661,413 | 680,686 | — | (19,273) | ||||||
Expiring 08/01/22 | Citibank, N.A. | ILS | 1,014 | 306,789 | 319,192 | — | (12,403) | ||||||
Expiring 08/03/22 | Citibank, N.A. | ILS | 2,900 | 905,121 | 913,007 | — | (7,886) | ||||||
Expiring 11/02/22 | Goldman Sachs Bank USA | ILS | 1,500 | 484,222 | 474,310 | 9,912 | — | ||||||
Expiring 11/02/22 | Goldman Sachs Bank USA | ILS | 1,400 | 452,306 | 442,690 | 9,616 | — | ||||||
Japanese Yen, | |||||||||||||
Expiring 04/04/22 | BNP Paribas S.A. | JPY | 188,900 | 1,528,464 | 1,551,767 | — | (23,303) | ||||||
Expiring 04/04/22 | Standard Chartered Bank, London | JPY | 185,500 | 1,609,013 | 1,523,837 | 85,176 | — | ||||||
Malaysian Ringgit, | |||||||||||||
Expiring 06/15/22 | Barclays Bank PLC | MYR | 949 | 227,000 | 224,613 | 2,387 | — | ||||||
Expiring 09/28/22 | Standard Chartered Bank, London | MYR | 61,496 | 14,603,412 | 14,577,760 | 25,652 | — | ||||||
Mexican Peso, | |||||||||||||
Expiring 04/18/22 | Citibank, N.A. | MXN | 1,289 | 59,399 | 64,603 | — | (5,204) | ||||||
Expiring 05/04/22 | BNP Paribas S.A. | MXN | 768 | 36,877 | 38,380 | — | (1,503) | ||||||
Expiring 06/15/22 | Citibank, N.A. | MXN | 623 | 29,198 | 30,895 | — | (1,697) | ||||||
Expiring 07/01/22 | BNP Paribas S.A. | MXN | 9,972 | 476,732 | 493,124 | — | (16,392) | ||||||
Expiring 08/09/22 | BNP Paribas S.A. | MXN | 50,032 | 2,277,692 | 2,455,744 | — | (178,052) |
A63
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Forward foreign currency exchange contracts outstanding at March 31, 2022 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
New Zealand Dollar, | |||||||||||||
Expiring 04/04/22 | HSBC Bank PLC | NZD | 1,211 | $843,822 | $839,403 | $4,419 | $— | ||||||
Expiring 04/04/22 | Morgan Stanley & Co. International PLC | NZD | 15,568 | 10,447,140 | 10,789,029 | — | (341,889) | ||||||
Expiring 04/04/22 | Morgan Stanley & Co. International PLC | NZD | 8,542 | 5,732,237 | 5,919,828 | — | (187,591) | ||||||
Expiring 05/03/22 | HSBC Bank USA, N.A. | NZD | 15,568 | 10,852,258 | 10,783,790 | 68,468 | — | ||||||
Norwegian Krone, | |||||||||||||
Expiring 04/04/22 | Standard Chartered Bank, London | NOK | 61,539 | 7,126,282 | 6,989,679 | 136,603 | — | ||||||
Expiring 05/18/22 | BNP Paribas S.A. | NOK | 40,355 | 4,652,944 | 4,581,771 | 71,173 | — | ||||||
Peruvian Nuevo Sol, | |||||||||||||
Expiring 04/11/22 | Citibank, N.A. | PEN | 53,785 | 14,368,049 | 14,608,716 | — | (240,667) | ||||||
Expiring 04/11/22 | Citibank, N.A. | PEN | 2,362 | 630,896 | 641,464 | — | (10,568) | ||||||
Expiring 04/11/22 | Goldman Sachs Bank USA | PEN | 11,280 | 2,834,718 | 3,063,906 | — | (229,188) | ||||||
Expiring 04/18/22 | Goldman Sachs Bank USA | PEN | 53,785 | 14,236,897 | 14,599,483 | — | (362,586) | ||||||
Expiring 04/18/22 | Goldman Sachs Bank USA | PEN | 2,362 | 625,138 | 641,059 | — | (15,921) | ||||||
Expiring 04/27/22 | HSBC Bank USA, N.A. | PEN | 53,785 | 14,287,516 | 14,587,630 | — | (300,114) | ||||||
Expiring 04/27/22 | HSBC Bank USA, N.A. | PEN | 1,303 | 346,181 | 353,453 | — | (7,272) | ||||||
Expiring 10/05/22 | BNP Paribas S.A. | PEN | 2,711 | 664,148 | 723,891 | — | (59,743) | ||||||
Expiring 11/29/22 | Standard Chartered Bank, London | PEN | 1,206 | 290,866 | 320,331 | — | (29,465) | ||||||
Expiring 12/06/22 | Citibank, N.A. | PEN | 6,375 | 1,519,923 | 1,692,528 | — | (172,605) | ||||||
Expiring 12/12/22 | Citibank, N.A. | PEN | 11,280 | 2,929,614 | 2,993,491 | — | (63,877) | ||||||
Russian Ruble, | |||||||||||||
Expiring 04/01/22 | JPMorgan Chase Bank, N.A. | RUB | 25,884 | 239,662 | 318,373 | — | (78,711) | ||||||
Expiring 04/01/22 | JPMorgan Chase Bank, N.A. | RUB | 25,355 | 234,768 | 311,871 | — | (77,103) | ||||||
Expiring 04/21/22 | Citibank, N.A. | RUB | 1,816 | 23,681 | 21,599 | 2,082 | — | ||||||
Expiring 04/21/22 | Deutsche Bank AG | RUB | 1,833 | 23,664 | 21,806 | 1,858 | — | ||||||
Expiring 04/21/22 | Deutsche Bank AG | RUB | 1,376 | 17,748 | 16,362 | 1,386 | — | ||||||
Expiring 04/21/22 | Goldman Sachs Bank USA | RUB | 2,696 | 35,303 | 32,063 | 3,240 | — | ||||||
Expiring 04/21/22 | Goldman Sachs Bank USA | RUB | 1,792 | 23,474 | 21,313 | 2,161 | — | ||||||
Expiring 04/21/22 | Goldman Sachs Bank USA | RUB | 1,791 | 23,474 | 21,305 | 2,169 | — | ||||||
Expiring 04/21/22 | Goldman Sachs Bank USA | RUB | 1,714 | 22,277 | 20,392 | 1,885 | — | ||||||
Expiring 04/21/22 | Goldman Sachs Bank USA | RUB | 1,712 | 22,276 | 20,366 | 1,910 | — | ||||||
Expiring 04/21/22 | HSBC Bank USA, N.A. | RUB | 2,626 | 33,544 | 31,234 | 2,310 | — | ||||||
Expiring 04/21/22 | Standard Chartered Bank, London | RUB | 2,546 | 33,353 | 30,277 | 3,076 | — | ||||||
Expiring 04/21/22 | UBS AG Stamford | RUB | 5,453 | 69,705 | 64,860 | 4,845 | — | ||||||
Expiring 05/23/22 | Citibank, N.A. | RUB | 2,426 | 30,958 | 27,700 | 3,258 | — | ||||||
Expiring 05/23/22 | Deutsche Bank AG | RUB | 2,644 | 33,579 | 30,184 | 3,395 | — | ||||||
Expiring 05/23/22 | Goldman Sachs Bank USA | RUB | 3,224 | 42,039 | 36,802 | 5,237 | — | ||||||
Expiring 05/23/22 | Goldman Sachs Bank USA | RUB | 2,414 | 30,744 | 27,553 | 3,191 | — | ||||||
Expiring 05/23/22 | Goldman Sachs Bank USA | RUB | 2,164 | 28,051 | 24,706 | 3,345 | — | ||||||
Expiring 05/23/22 | Morgan Stanley & Co. International PLC | RUB | 2,325 | 29,968 | 26,541 | 3,427 | — | ||||||
Expiring 05/23/22 | UBS AG Stamford | RUB | 5,766 | 72,680 | 65,830 | 6,850 | — | ||||||
Expiring 05/23/22 | UBS AG Stamford | RUB | 2,475 | 31,671 | 28,257 | 3,414 | — | ||||||
Expiring 05/23/22 | UBS AG Stamford | RUB | 2,445 | 31,342 | 27,916 | 3,426 | — | ||||||
Singapore Dollar, | |||||||||||||
Expiring 06/15/22 | Barclays Bank PLC | SGD | 1,279 | 944,003 | 943,670 | 333 | — | ||||||
Expiring 06/15/22 | BNP Paribas S.A. | SGD | 7,434 | 5,450,477 | 5,484,991 | — | (34,514) | ||||||
Expiring 06/15/22 | Citibank, N.A. | SGD | 797 | 585,760 | 588,041 | — | (2,281) | ||||||
Expiring 06/15/22 | HSBC Bank USA, N.A. | SGD | 2,392 | 1,763,406 | 1,764,861 | — | (1,455) | ||||||
Expiring 06/15/22 | JPMorgan Chase Bank, N.A. | SGD | 405 | 297,669 | 298,816 | — | (1,147) | ||||||
Expiring 06/15/22 | Morgan Stanley & Co. International PLC | SGD | 5,189 | 3,811,204 | 3,828,195 | — | (16,991) | ||||||
Expiring 06/15/22 | Standard Chartered Bank, London | SGD | 5,059 | 3,721,510 | 3,732,827 | — | (11,317) | ||||||
South African Rand, | |||||||||||||
Expiring 06/15/22 | Barclays Bank PLC | ZAR | 3,559 | 234,594 | 241,179 | — | (6,585) | ||||||
Expiring 06/15/22 | Barclays Bank PLC | ZAR | 2,335 | 150,958 | 158,223 | — | (7,265) | ||||||
Expiring 06/15/22 | Citibank, N.A. | ZAR | 3,559 | 233,906 | 241,178 | — | (7,272) |
A64
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Forward foreign currency exchange contracts outstanding at March 31, 2022 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Swiss Franc, | |||||||||||||
Expiring 04/04/22 | BNP Paribas S.A. | CHF | 555 | $599,373 | $600,692 | $— | $(1,319) | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | CHF | 465 | 505,409 | 503,282 | 2,127 | — | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | CHF | 375 | 399,717 | 405,873 | — | (6,156) | ||||||
Expiring 04/04/22 | BNP Paribas S.A. | CHF | 297 | 322,965 | 321,451 | 1,514 | — | ||||||
Thai Baht, | |||||||||||||
Expiring 06/15/22 | Goldman Sachs Bank USA | THB | 2,218 | 66,983 | 66,796 | 187 | — | ||||||
$929,873,696 | $922,546,857 | 11,341,476 | (4,014,637) | ||||||||||
$14,006,914 | $(5,764,045) |
Credit default swap agreements outstanding at March 31, 2022:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2022(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on asset-backed and/or mortgage-backed securities - Sell Protection(2)^: | |||||||||||||||||
GS_21-PJ2A | 04/14/22 | 0.500%(M) | 4,402 | 0.500% | $3,790 | $(411) | $4,201 | Goldman Sachs International | |||||||||
GS_21-PJA | 04/14/22 | 0.250%(M) | 8,482 | * | 5,478 | (792) | 6,270 | Goldman Sachs International | |||||||||
$9,268 | $(1,203) | $10,471 |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2022(4) | Value at Trade Date | Value at March 31, 2022 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2): | |||||||||||||||
Barclays Bank PLC | 12/20/22 | 1.000%(Q) | EUR | 1,100 | 0.296% | $5,184 | $6,659 | $1,475 | |||||||
Barclays Bank PLC | 12/20/22 | 1.000%(Q) | EUR | 300 | 0.296% | 1,414 | 1,816 | 402 | |||||||
British Telecommunications PLC | 12/20/27 | 1.000%(Q) | EUR | 2,000 | 1.138% | (6,738) | (16,160) | (9,422) | |||||||
Enbridge, Inc. | 12/20/22 | 1.000%(Q) | 2,600 | 0.246% | 1,311 | 15,069 | 13,758 | ||||||||
Ford Motor Credit Co. LLC | 06/20/22 | 5.000%(Q) | 600 | 0.950% | 8,099 | 6,366 | (1,733) | ||||||||
General Electric Co. | 12/20/23 | 1.000%(Q) | 1,800 | 0.363% | (32,413) | 20,138 | 52,551 | ||||||||
General Electric Co. | 12/20/23 | 1.000%(Q) | 300 | 0.363% | (6,722) | 3,356 | 10,078 | ||||||||
Jaguar Land Rover Automotive | 06/20/26 | 5.000%(Q) | EUR | 800 | 5.110% | 44,027 | (2,190) | (46,217) | |||||||
Rolls-Royce PLC | 12/20/24 | 1.000%(Q) | EUR | 1,000 | 1.378% | (2,096) | (10,912) | (8,816) | |||||||
Stellantis NV | 12/20/26 | 5.000%(Q) | EUR | 700 | 1.365% | 146,847 | 129,722 | (17,125) | |||||||
Tesco PLC | 06/20/25 | 1.000%(Q) | EUR | 1,700 | 0.466% | (32,325) | 32,918 | 65,243 | |||||||
$126,588 | $186,782 | $60,194 |
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): | ||||||||||||||||
Japan Govt. | 06/20/22 | (1.000)%(Q) | 4,300 | $(10,698) | $(12,000) | $1,302 | BNP Paribas S.A. | |||||||||
Japan Govt. | 06/20/22 | (1.000)%(Q) | 3,800 | (9,453) | (10,387) | 934 | Citibank, N.A. | |||||||||
Japan Govt. | 06/20/22 | (1.000)%(Q) | 3,800 | (9,453) | (10,354) | 901 | Goldman Sachs International | |||||||||
Japan Govt. | 06/20/22 | (1.000)%(Q) | 700 | (1,742) | (1,887) | 145 | Bank of America, N.A. | |||||||||
People’s Republic of China | 06/20/23 | (1.000)%(Q) | 4,900 | (49,917) | (30,265) | (19,652) | Goldman Sachs International | |||||||||
South Korea Govt. | 06/20/23 | (1.000)%(Q) | 6,800 | (72,287) | (52,687) | (19,600) | BNP Paribas S.A. |
A65
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Credit default swap agreements outstanding at March 31, 2022 (continued):
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)(cont’d.): | ||||||||||||||||
South Korea Govt. | 06/20/23 | (1.000)%(Q) | 1,700 | $(18,071) | $(13,566) | $(4,505) | HSBC Bank USA, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 575 | (5,361) | 1,155 | (6,516) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 565 | (5,269) | 2,870 | (8,139) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 190 | (1,772) | 1,073 | (2,845) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 190 | (1,772) | 992 | (2,764) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 190 | (1,772) | 359 | (2,131) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 100 | (932) | 201 | (1,133) | Citibank, N.A. | |||||||||
United Mexican States | 12/20/24 | 1.000%(Q) | 140 | (1,910) | 537 | (2,447) | Citibank, N.A. | |||||||||
$(190,409) | $(123,959) | $(66,450) |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2022(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): | |||||||||||||||||
Federative Republic of Brazil | 12/20/22 | 1.000%(Q) | 3,100 | 0.537% | $11,400 | $(13,554) | $24,954 | Morgan Stanley Capital Services LLC | |||||||||
Federative Republic of Brazil | 12/20/23 | 1.000%(Q) | 200 | 0.916% | 349 | (2,753) | 3,102 | HSBC Bank USA, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 480 | 1.672% | (3,758) | (8,498) | 4,740 | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 470 | 1.672% | (3,679) | (9,995) | 6,316 | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 160 | 1.672% | (1,253) | (3,487) | 2,234 | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 160 | 1.672% | (1,253) | (3,424) | 2,171 | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 160 | 1.672% | (1,253) | (2,846) | 1,593 | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 80 | 1.672% | (627) | (1,416) | 789 | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 12/20/24 | 1.000%(Q) | 140 | 2.509% | (5,414) | (7,194) | 1,780 | Citibank, N.A. | |||||||||
Republic of Colombia | 06/20/27 | 1.000%(Q) | 1,300 | 1.919% | (56,434) | (62,041) | 5,607 | BNP Paribas S.A. | |||||||||
Republic of Columbia | 12/20/26 | 1.000%(Q) | 6,700 | 1.767% | (222,006) | (173,404) | (48,602) | BNP Paribas S.A. | |||||||||
Republic of Italy | 09/20/22 | 1.000%(Q) | 305 | 0.132% | 1,368 | 1,342 | 26 | Bank of America, N.A. | |||||||||
Republic of South Africa | 12/20/25 | 1.000%(Q) | 1,100 | 1.626% | (23,859) | (46,847) | 22,988 | Goldman Sachs International | |||||||||
Republic of Turkey | 12/20/23 | 1.000%(Q) | 1,600 | 5.205% | (108,635) | (109,160) | 525 | Bank of America, N.A. | |||||||||
Republic of Turkey | 12/20/23 | 1.000%(Q) | 400 | 5.205% | (27,159) | (24,057) | (3,102) | Barclays Bank PLC | |||||||||
Republic of Turkey | 12/20/23 | 1.000%(Q) | 200 | 5.205% | (13,580) | (11,618) | (1,962) | Barclays Bank PLC | |||||||||
$(455,793) | $(478,952) | $23,159 |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at March 31, 2022 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swap Agreements on credit indices - Buy Protection(1): | ||||||||||||||
CDX.NA.HY.35 | 12/20/25 | 5.000%(Q) | 1,000 | $(59,442) | $(64,777) | $(5,335) | ||||||||
CDX.NA.HY.36 | 06/20/26 | 5.000%(Q) | 2,100 | (163,680) | (137,775) | 25,905 | ||||||||
CDX.NA.IG.35 | 12/20/30 | 1.000%(Q) | 17,200 | (87,290) | (111,982) | (24,692) | ||||||||
CDX.NA.IG.37 | 12/20/31 | 1.000%(Q) | 23,500 | (129,206) | 6,504 | 135,710 | ||||||||
CDX.NA.IG.38 | 06/20/32 | 1.000%(Q) | 4,300 | 25,670 | 12,930 | (12,740) | ||||||||
CDX.NA.IG.38.V1 | 06/20/27 | 1.000%(Q) | 80,305 | (1,119,942) | (1,313,791) | (193,849) | ||||||||
iTraxx Europe Series 31.V2 | 06/20/29 | 1.000%(Q) | EUR | 19,700 | (107,623) | (161,484) | (53,861) | |||||||
iTraxx Europe Series 32.V1 | 12/20/29 | 1.000%(Q) | EUR | 3,100 | (41,081) | (12,741) | 28,340 | |||||||
$(1,682,594) | $(1,783,116) | $(100,522) |
A66
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Credit default swap agreements outstanding at March 31, 2022 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2022(4) | Value at Trade Date | Value at March 31, 2022 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swap Agreements on credit indices - Sell Protection(2): | |||||||||||||||
CDX.NA.IG.36.V1 | 06/20/26 | 1.000%(Q) | 1,600 | 0.546% | $33,934 | $29,518 | $(4,416) | ||||||||
CDX.NA.IG.37 | 12/20/26 | 1.000%(Q) | 38,600 | 0.613% | 511,528 | 672,911 | 161,383 | ||||||||
CDX.NA.IG.38 | 06/20/27 | 1.000%(Q) | 52,600 | 0.669% | 748,237 | 860,537 | 112,300 | ||||||||
iTraxx Europe Crossover Series 37.V1 | 06/20/27 | 5.000%(Q) | EUR | 400 | 3.386% | 26,115 | 32,940 | 6,825 | |||||||
$1,319,814 | $1,595,906 | $276,092 |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2022(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||
OTC Credit Default Swap Agreements on credit indices - Sell Protection(2): | ||||||||||||||||
CMBX.NA.8.AAA | 10/17/57 | 0.500%(M) | 3,300 | * | $18,351 | $(160,368) | $178,719 | Deutsche Bank AG | ||||||||
CMBX.NA.8.AAA | 10/17/57 | 0.500%(M) | 1,000 | * | 5,561 | (48,241) | 53,802 | Goldman Sachs International | ||||||||
CMBX.NA.8.AAA | 10/17/57 | 0.500%(M) | 600 | * | 3,336 | (39,038) | 42,374 | Merrill Lynch International | ||||||||
$27,248 | $(247,647) | $274,895 |
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. |
A67
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Currency swap agreements outstanding at March 31, 2022: | ||||||||||||||||||
Notional Amount (000)# | Fund Receives | Notional Amount (000)# | Fund Pays | Counterparty | Termination Date | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||
OTC Currency Swap Agreements: | ||||||||||||||||||
AUD | 8,100 | 3 Month BBSW plus 42.00 bps(Q) | 5,589 | 3 Month LIBOR(Q) | Citibank, N.A. | 07/31/29 | $6,742 | $— | $6,742 | |||||||||
AUD | 8,000 | 3 Month BBSW plus 42.25 bps(Q) | 5,520 | 3 Month LIBOR(Q) | Goldman Sachs Bank USA | 08/01/29 | 7,327 | — | 7,327 | |||||||||
$14,069 | $— | $14,069 |
Inflation swap agreements outstanding at March 31, 2022: | ||||||||||||||
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2022 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Inflation Swap Agreements: | ||||||||||||||
EUR | 2,940 | 03/15/24 | 1.030%(T) | France CPI ex Tobacco Household(1)(T) | $(466) | $219,009 | $219,475 | |||||||
EUR | 440 | 03/15/28 | 1.535%(T) | Eurostat Eurozone HICP ex Tobacco(2)(T) | 27 | (57,764) | (57,791) | |||||||
EUR | 1,710 | 05/15/28 | 1.620%(T) | Eurostat Eurozone HICP ex Tobacco(2)(T) | 76 | (216,214) | (216,290) | |||||||
EUR | 9,500 | 03/15/31 | 1.380%(T) | Eurostat Eurozone HICP ex Tobacco(2)(T) | (60,948) | (1,929,964) | (1,869,016) | |||||||
EUR | 500 | 03/15/33 | 1.710%(T) | Eurostat Eurozone HICP ex Tobacco(1)(T) | (439) | 74,475 | 74,914 | |||||||
EUR | 40 | 01/15/38 | 1.910%(T) | France CPI ex Tobacco Household(2)(T) | 111 | (4,864) | (4,975) | |||||||
EUR | 315 | 03/15/48 | 1.946%(T) | Eurostat Eurozone HICP ex Tobacco(2)(T) | 934 | (82,395) | (83,329) | |||||||
EUR | 100 | 03/15/52 | 2.580%(T) | Eurostat Eurozone HICP ex Tobacco(2)(T) | — | (188) | (188) | |||||||
EUR | 600 | 03/15/52 | 2.590%(T) | Eurostat Eurozone HICP ex Tobacco(2)(T) | (15,648) | 2,042 | 17,690 | |||||||
GBP | 1,400 | 08/15/22 | 4.220%(T) | U.K. Retail Price Index(1)(T) | — | 115,951 | 115,951 | |||||||
GBP | 4,200 | 09/15/22 | 4.180%(T) | U.K. Retail Price Index(1)(T) | — | 335,854 | 335,854 | |||||||
GBP | 1,100 | 09/15/23 | 4.480%(T) | U.K. Retail Price Index(1)(T) | — | 96,586 | 96,586 | |||||||
GBP | 4,100 | 03/15/24 | 6.290%(T) | U.K. Retail Price Index(1)(T) | (2,003) | (2,015) | (12) | |||||||
GBP | 24,500 | 01/15/25 | 3.330%(T) | U.K. Retail Price Index(2)(T) | 412,493 | (3,333,061) | (3,745,554) | |||||||
GBP | 5,800 | 12/15/26 | 4.735%(T) | U.K. Retail Price Index(1)(T) | (62,077) | 306,644 | 368,721 | |||||||
GBP | 1,900 | 02/15/27 | 4.615%(T) | U.K. Retail Price Index(1)(T) | — | 89,520 | 89,520 | |||||||
GBP | 2,200 | 02/15/27 | 4.626%(T) | U.K. Retail Price Index(1)(T) | 2,012 | 101,917 | 99,905 | |||||||
GBP | 1,300 | 12/15/28 | 3.632%(T) | U.K. Retail Price Index(2)(T) | — | (194,234) | (194,234) | |||||||
GBP | 2,100 | 01/15/30 | 3.400%(T) | U.K. Retail Price Index(2)(T) | (693) | (468,179) | (467,486) | |||||||
GBP | 3,100 | 05/15/30 | 3.346%(T) | U.K. Retail Price Index(2)(T) | 6,286 | (750,588) | (756,874) | |||||||
GBP | 2,500 | 06/15/30 | 3.400%(T) | U.K. Retail Price Index(2)(T) | 102,480 | (505,221) | (607,701) | |||||||
GBP | 1,700 | 03/15/31 | 3.740%(T) | U.K. Retail Price Index(2)(T) | 828 | (360,191) | (361,019) | |||||||
GBP | 3,000 | 04/15/31 | 3.700%(T) | U.K. Retail Price Index(2)(T) | 25,075 | (667,640) | (692,715) | |||||||
GBP | 2,080 | 04/15/31 | 3.750%(T) | U.K. Retail Price Index(2)(T) | 345 | (446,541) | (446,886) | |||||||
GBP | 1,400 | 09/15/31 | 4.066%(T) | U.K. Retail Price Index(2)(T) | — | (186,973) | (186,973) | |||||||
GBP | 1,900 | 01/15/32 | 4.300%(T) | U.K. Retail Price Index(1)(T) | 4,240 | 122,098 | 117,858 | |||||||
GBP | 1,000 | 03/15/36 | 3.566%(T) | U.K. Retail Price Index(2)(T) | — | (271,907) | (271,907) | |||||||
GBP | 2,400 | 03/15/36 | 3.580%(T) | U.K. Retail Price Index(2)(T) | (12,196) | (643,875) | (631,679) | |||||||
100 | 05/01/22 | 7.268%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (622) | (622) | ||||||||
1,300 | 07/15/22 | 2.069%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | 97,118 | 97,118 | ||||||||
13,200 | 07/15/22 | 2.500%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | (140,785) | (289,148) | (148,363) | ||||||||
7,200 | 02/05/23 | 2.210%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | 554,224 | 554,224 | ||||||||
500 | 03/03/23 | 5.000%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (3,111) | (3,111) | ||||||||
2,400 | 03/07/23 | 4.950%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (14,998) | (14,998) | ||||||||
10,000 | 03/08/23 | 5.033%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (53,201) | (53,201) | ||||||||
4,700 | 03/21/23 | 5.470%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | 2,296 | 2,296 | ||||||||
4,070 | 04/27/23 | 2.263%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | (233) | 305,366 | 305,599 | ||||||||
1,140 | 05/09/23 | 2.263%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | 86,670 | 86,670 | ||||||||
1,760 | 05/10/23 | 2.281%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | 129,140 | 129,140 | ||||||||
5,200 | 02/26/26 | 2.314%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | 566,979 | 566,979 | ||||||||
5,000 | 03/05/26 | 2.419%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | 519,136 | 519,136 | ||||||||
4,000 | 05/13/26 | 2.768%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | 332,585 | 332,585 | ||||||||
1,600 | 05/14/26 | 2.813%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | 129,221 | 129,221 | ||||||||
2,880 | 05/25/26 | 2.703%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | 441 | 246,450 | 246,009 | ||||||||
300 | 06/01/26 | 2.690%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | 25,649 | 25,649 |
A68
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Inflation swap agreements outstanding at March 31, 2022 (continued): | ||||||||||||||
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2022 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Inflation Swap Agreements (cont’d): | ||||||||||||||
3,660 | 02/05/28 | 2.335%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | $5,504 | $(390,190) | $(395,694) | ||||||||
1,140 | 05/09/28 | 2.353%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (118,109) | (118,109) | ||||||||
1,720 | 05/09/28 | 2.360%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (176,805) | (176,805) | ||||||||
1,760 | 05/10/28 | 2.364%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (180,318) | (180,318) | ||||||||
500 | 06/06/28 | 2.370%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | (67) | (51,809) | (51,742) | ||||||||
200 | 08/26/28 | 2.573%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | 15,345 | 15,345 | ||||||||
900 | 09/10/28 | 2.645%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | 61,940 | 61,940 | ||||||||
2,700 | 07/25/29 | 1.998%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | 1,631 | (402,423) | (404,054) | ||||||||
3,300 | 11/20/29 | 1.883%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | 2,552 | (544,632) | (547,184) | ||||||||
6,000 | 05/19/30 | 1.280%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (1,369,451) | (1,369,451) | ||||||||
7,300 | 02/24/31 | 2.311%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | 3,014 | 974,038 | 971,024 | ||||||||
$272,494 | $(8,206,378) | $(8,478,872) |
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Interest rate swap agreements outstanding at March 31, 2022:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2022 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
AUD | 9,000 | 06/17/30 | 1.250%(S) | 6 Month BBSW(1)(S) | $(139,811) | $875,757 | $1,015,568 | |||||||
BRL | 15,000 | 01/04/27 | 6.280%(T) | 1 Day BROIS(1)(T) | — | 359,235 | 359,235 | |||||||
CAD | 2,300 | 06/17/22 | 1.500%(S) | 3 Month CDOR(2)(S) | 1,920 | 6,884 | 4,964 | |||||||
CAD | 22,300 | 10/28/23 | 2.060%(S) | 3 Month CDOR(2)(S) | 329 | (178,162) | (178,491) | |||||||
CAD | 10,000 | 11/14/23 | 2.000%(S) | 3 Month CDOR(2)(S) | 182 | (86,700) | (86,882) | |||||||
CAD | 3,500 | 03/03/25 | 1.220%(S) | 3 Month CDOR(2)(S) | — | (122,722) | (122,722) | |||||||
CAD | 5,600 | 06/17/25 | 1.500%(S) | 3 Month CDOR(2)(S) | (36,388) | (165,730) | (129,342) | |||||||
CAD | 6,600 | 12/18/29 | 1.900%(S) | 3 Month CDOR(2)(S) | 61,066 | (317,667) | (378,733) | |||||||
CAD | 15,900 | 06/17/30 | 1.500%(S) | 3 Month CDOR(2)(S) | 29,683 | (1,213,670) | (1,243,353) | |||||||
CAD | 1,600 | 06/16/31 | 1.250%(S) | 3 Month CDOR(2)(S) | (169,282) | (164,848) | 4,434 | |||||||
CAD | 4,000 | 12/18/48 | 2.750%(S) | 3 Month CDOR(2)(S) | (29,554) | (80,630) | (51,076) | |||||||
CHF | 21,100 | 09/15/26 | (0.500)%(A) | 3 Month SARON(2)(A) | (48,138) | (933,816) | (885,678) | |||||||
CHF | 1,800 | 02/10/27 | 0.294%(A) | 3 Month SARON(2)(A) | — | (17,703) | (17,703) | |||||||
CHF | 3,200 | 02/14/27 | 0.283%(A) | 3 Month SARON(2)(A) | — | (34,190) | (34,190) | |||||||
CHF | 2,600 | 02/15/27 | 0.300%(A) | 3 Month SARON(2)(A) | — | (25,377) | (25,377) | |||||||
CHF | 1,500 | 02/17/27 | 0.295%(A) | 3 Month SARON(2)(A) | — | (15,200) | (15,200) | |||||||
CHF | 2,000 | 05/16/27 | 0.343%(A) | 3 Month SARON(2)(A) | — | (24,183) | (24,183) | |||||||
CHF | 10,200 | 06/15/27 | 0.368%(A) | 3 Month SARON(2)(A) | (23,777) | (125,201) | (101,424) | |||||||
CNH | 103,700 | 03/16/27 | 2.500%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | 44,347 | 43,438 | (909) | |||||||
CZK | 17,500 | 01/30/29 | 1.913%(A) | 6 Month PRIBOR(2)(S) | — | (110,686) | (110,686) | |||||||
EUR | 26,900 | 11/21/23 | (0.526)%(A) | 3 Month EURIBOR(2)(Q) | — | (400,659) | (400,659) | |||||||
EUR | 38,700 | 09/21/24 | (0.500)%(A) | 6 Month EURIBOR(2)(S) | (860,690) | (1,225,578) | (364,888) | |||||||
EUR | 64,400 | 09/21/27 | (0.250)%(A) | 6 Month EURIBOR(2)(S) | (3,797,786) | (4,841,270) | (1,043,484) | |||||||
EUR | 75,010 | 09/21/32 | 0.250%(A) | 6 Month EURIBOR(2)(S) | (7,088,961) | (8,188,988) | (1,100,027) | |||||||
EUR | 4,000 | 09/21/32 | 0.250%(A) | 6 Month EURIBOR(1)(S) | 375,340 | 436,688 | 61,348 | |||||||
EUR | 300 | 03/17/36 | 0.000%(A) | 6 Month EURIBOR(1)(S) | 13,038 | 55,380 | 42,342 | |||||||
EUR | 450 | 05/27/50 | 0.054%(A) | 6 Month EURIBOR(1)(S) | — | 109,860 | 109,860 | |||||||
EUR | 10,270 | 09/21/52 | 0.500%(A) | 6 Month EURIBOR(1)(S) | 1,276,407 | 1,569,581 | 293,174 | |||||||
EUR | 500 | 09/21/52 | 0.500%(A) | 6 Month EURIBOR(2)(S) | (49,873) | (76,413) | (26,540) | |||||||
EUR | 900 | 11/17/52 | 0.064%(A) | 6 Month EURIBOR(1)(S) | — | 249,900 | 249,900 | |||||||
GBP | 33,050 | 02/07/23 | 0.010%(A) | 1 Day SONIA(2)(A) | 458 | (585,721) | (586,179) | |||||||
GBP | 508 | 05/08/23 | 0.950%(A) | 1 Day SONIA(1)(A) | (11,574) | 3,818 | 15,392 | |||||||
GBP | 565 | 05/08/24 | 0.950%(A) | 1 Day SONIA(1)(A) | (17,910) | 10,841 | 28,751 | |||||||
GBP | 60,400 | 09/21/24 | 0.500%(A) | 1 Day SONIA(2)(A) | (2,210,811) | (2,657,618) | (446,807) | |||||||
GBP | 2,737 | 05/08/26 | 1.000%(A) | 1 Day SONIA(1)(A) | (144,600) | 104,439 | 249,039 |
A69
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Interest rate swap agreements outstanding at March 31, 2022 (continued):
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2022 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
GBP | 6,800 | 09/21/27 | 0.500%(A) | 1 Day SONIA(2)(A) | $(548,746) | $(592,180) | $(43,434) | |||||||
GBP | 977 | 10/22/28 | 0.680%(A) | 1 Day SONIA(1)(A) | — | 83,553 | 83,553 | |||||||
GBP | 1,205 | 05/08/29 | 1.100%(A) | 1 Day SONIA(1)(A) | (94,015) | 53,829 | 147,844 | |||||||
GBP | 247 | 05/08/31 | 1.150%(A) | 1 Day SONIA(1)(A) | (10,753) | 12,792 | 23,545 | |||||||
GBP | 6,300 | 09/21/32 | 0.750%(A) | 1 Day SONIA(1)(A) | 194,410 | 687,440 | 493,030 | |||||||
GBP | 12,600 | 09/21/32 | 0.750%(A) | 1 Day SONIA(2)(A) | (1,209,020) | (1,374,879) | (165,859) | |||||||
GBP | 1,400 | 09/21/52 | 0.750%(A) | 1 Day SONIA(1)(A) | 296,517 | 300,727 | 4,210 | |||||||
INR | 4,951,200 | 03/15/24 | 5.750%(A) | 1 Month MIBOR(2)(A) | 81,326 | (29,117) | (110,443) | |||||||
INR | 1,368,700 | 03/16/27 | 5.750%(S) | 1 Month MIBOR(1)(S) | 52,021 | 170,345 | 118,324 | |||||||
INR | 102,400 | 03/16/32 | 6.250%(S) | 1 Month MIBOR(1)(S) | 8,165 | 3,183 | (4,982) | |||||||
JPY | 90,000 | 06/16/22 | 0.000%(S) | 1 Day TONAR(2)(S) | 82 | (173) | (255) | |||||||
JPY | 90,000 | 06/16/22 | 0.000%(S) | 6 Month JPY LIBOR(1)(S) | — | (188) | (188) | |||||||
JPY | 6,590,000 | 06/17/22 | 0.000%(S) | 1 Day TONAR(2)(S) | 6,050 | (12,644) | (18,694) | |||||||
JPY | 6,590,000 | 06/17/22 | 0.000%(S) | 6 Month JPY LIBOR(1)(S) | 42 | (15,500) | (15,542) | |||||||
JPY | 1,580,000 | 06/19/22 | 0.000%(S) | 6 Month JPY LIBOR(2)(S) | (28) | 3,671 | 3,699 | |||||||
JPY | 1,970,000 | 06/19/22 | 0.000%(S) | 6 Month JPY LIBOR(2)(S) | (37) | 4,577 | 4,614 | |||||||
JPY | 1,580,000 | 06/19/22 | 0.000%(S) | 1 Day TONAR(1)(S) | (1,135) | 3,491 | 4,626 | |||||||
JPY | 490,000 | 06/19/22 | 0.000%(S) | 1 Day TONAR(2)(S) | 352 | (1,083) | (1,435) | |||||||
JPY | 1,970,000 | 06/19/22 | 0.000%(S) | 1 Day TONAR(1)(S) | (1,415) | 4,353 | 5,768 | |||||||
JPY | 490,000 | 06/19/22 | 0.000%(S) | 6 Month JPY LIBOR(1)(S) | 9 | (1,139) | (1,148) | |||||||
JPY | 2,210,000 | 03/16/24 | 0.000%(A) | 1 Day TONAR(1)(A) | 4,791 | 9,681 | 4,890 | |||||||
JPY | 490,000 | 06/19/24 | 0.000%(S) | 1 Day TONAR(1)(S) | (6,674) | 8,913 | 15,587 | |||||||
JPY | 6,590,000 | 06/17/25 | 0.000%(S) | 1 Day TONAR(1)(S) | (86,382) | 205,132 | 291,514 | |||||||
JPY | 2,730,000 | 12/15/26 | 0.000%(A) | 1 Day TONAR(1)(A) | (24,740) | 93,778 | 118,518 | |||||||
JPY | 90,000 | 12/16/30 | 0.000%(S) | 1 Day TONAR(1)(S) | 4,261 | 17,861 | 13,600 | |||||||
JPY | 320,000 | 08/17/31 | 0.000%(A) | 1 Day TONAR(1)(A) | 22,411 | 58,484 | 36,073 | |||||||
JPY | 1,930,000 | 06/19/39 | 0.400%(S) | 1 Day TONAR(2)(S) | 433,876 | (356,104) | (789,980) | |||||||
JPY | 1,500,000 | 06/19/49 | 0.500%(S) | 1 Day TONAR(2)(S) | 1,029 | (730,543) | (731,572) | |||||||
KRW | 718,000 | 12/16/30 | 0.908%(Q) | 3 Month KWCDC(2)(Q) | (4,973) | (83,805) | (78,832) | |||||||
MXN | 20,200 | 02/26/25 | 6.080%(M) | 28 Day Mexican Interbank Rate(2)(M) | — | (65,229) | (65,229) | |||||||
MXN | 25,300 | 07/07/25 | 4.870%(M) | 28 Day Mexican Interbank Rate(2)(M) | 2,600 | (133,482) | (136,082) | |||||||
NOK | 9,200 | 11/12/24 | 1.993%(A) | 6 Month NIBOR(1)(S) | (4,815) | 13,511 | 18,326 | |||||||
NOK | 13,200 | 03/18/25 | 1.635%(A) | 6 Month NIBOR(1)(S) | — | 47,742 | 47,742 | |||||||
NZD | 20,500 | 11/01/23 | 3.000%(S) | 3 Month BBR(2)(Q) | 5,716 | (92,468) | (98,184) | |||||||
NZD | 19,300 | 12/15/23 | 3.000%(S) | 3 Month BBR(2)(Q) | (4,166) | (95,573) | (91,407) | |||||||
NZD | 750 | 03/17/24 | 0.528%(S) | 3 Month BBR(2)(Q) | (25) | (27,340) | (27,315) | |||||||
NZD | 3,300 | 03/21/28 | 3.250%(S) | 3 Month BBR(1)(Q) | 7,197 | 16,741 | 9,544 | |||||||
SEK | 23,000 | 06/19/24 | 0.500%(A) | 3 Month STIBOR(2)(Q) | 23,088 | (41,531) | (64,619) | |||||||
SGD | 41,180 | 03/16/24 | 1.250%(S) | 1 Day SORA(1)(S) | 119,775 | 377,183 | 257,408 | |||||||
SGD | 80 | 09/15/31 | 1.250%(S) | 1 Day SORA(1)(S) | (318) | 4,475 | 4,793 | |||||||
SGD | 600 | 06/15/32 | 2.250%(S) | 1 Day SORA(2)(S) | 397 | 2,475 | 2,078 | |||||||
26,300 | 06/16/22 | 0.250%(S) | 3 Month LIBOR(1)(Q) | (3,757) | 27,232 | 30,989 | ||||||||
2,400 | 12/16/22 | 0.750%(S) | 3 Month LIBOR(2)(Q) | 9,717 | (9,879) | (19,596) | ||||||||
4,400 | 12/16/22 | 0.750%(S) | 3 Month LIBOR(2)(Q) | 16,069 | (18,113) | (34,182) | ||||||||
5,300 | 03/30/23 | 0.250%(S) | 3 Month LIBOR(2)(Q) | 994 | (87,567) | (88,561) | ||||||||
34,100 | 04/27/23 | —(3) | —(3) | — | 32 | 32 | ||||||||
13,850 | 08/21/23 | 1.305%(S) | 3 Month LIBOR(1)(Q) | — | 156,965 | 156,965 | ||||||||
77,800 | 11/04/23 | 1.270%(S) | 3 Month LIBOR(1)(Q) | 823,294 | 1,244,756 | 421,462 | ||||||||
6,300 | 12/15/23 | 0.250%(A) | 1 Day SOFR(1)(A) | 45,130 | 197,523 | 152,393 | ||||||||
1,200 | 12/15/23 | 0.500%(S) | 3 Month LIBOR(2)(Q) | (3,388) | (36,808) | (33,420) | ||||||||
279,000 | 12/21/23 | 1.320%(A) | 1 Day SOFR(1)(A) | 702,057 | 3,878,993 | 3,176,936 | ||||||||
7,400 | 03/07/24 | —(4) | —(4) | — | 11,484 | 11,484 | ||||||||
200 | 03/31/24 | 1.430%(A) | 1 Day SOFR(1)(A) | 1,768 | 3,530 | 1,762 | ||||||||
15,000 | 03/31/24 | 2.117%(A) | 1 Day SOFR(1)(A) | — | 89,716 | 89,716 | ||||||||
7,900 | 03/31/24 | 2.209%(A) | 1 Day SOFR(1)(A) | — | 34,881 | 34,881 | ||||||||
14,900 | 06/15/24 | 0.500%(A) | 1 Day SOFR(1)(A) | 127,402 | 570,387 | 442,985 | ||||||||
4,400 | 06/15/24 | 0.500%(A) | 1 Day SOFR(2)(A) | (90,062) | (168,436) | (78,374) |
A70
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Interest rate swap agreements outstanding at March 31, 2022 (continued):
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2022 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
11,250 | 08/25/24 | 1.298%(S) | 3 Month LIBOR(1)(Q) | $— | $318,613 | $318,613 | ||||||||
13,700 | 08/31/24 | 1.249%(S) | 3 Month LIBOR(1)(Q) | — | 405,811 | 405,811 | ||||||||
27,600 | 09/06/24 | —(7) | —(7) | 1,417 | 10,949 | 9,532 | ||||||||
17,700 | 09/27/24 | —(5) | —(5) | — | 1,886 | 1,886 | ||||||||
19,500 | 10/04/24 | —(6) | —(6) | — | 42,597 | 42,597 | ||||||||
2,300 | 04/30/25 | 2.710%(A) | 1 Day USOIS(1)(A) | — | (80,718) | (80,718) | ||||||||
56,700 | 12/15/26 | 1.250%(S) | 3 Month LIBOR(1)(Q) | (564,702) | 2,931,493 | 3,496,195 | ||||||||
24,900 | 12/15/26 | 1.250%(S) | 3 Month LIBOR(1)(Q) | (232,394) | 1,287,375 | 1,519,769 | ||||||||
150 | 02/28/27 | 1.573%(A) | 1 Day SOFR(2)(A) | — | (4,220) | (4,220) | ||||||||
12,100 | 06/15/27 | 1.000%(A) | 1 Day SOFR(1)(A) | 451,250 | 718,508 | 267,258 | ||||||||
23,100 | 06/15/27 | 1.750%(A) | 1 Day SOFR(1)(A) | 589,829 | 553,024 | (36,805) | ||||||||
37,200 | 01/15/28 | 0.400%(S) | 3 Month LIBOR(2)(Q) | (294,695) | (4,089,220) | (3,794,525) | ||||||||
4,000 | 06/16/28 | 0.500%(S) | 3 Month LIBOR(2)(Q) | (183,811) | (440,477) | (256,666) | ||||||||
10,200 | 11/21/28 | 1.840%(S) | 3 Month LIBOR(1)(Q) | — | 272,188 | 272,188 | ||||||||
10,700 | 12/15/28 | 1.250%(A) | 1 Day SOFR(2)(A) | 8,377 | (565,419) | (573,796) | ||||||||
17,700 | 12/15/28 | 1.500%(S) | 3 Month LIBOR(2)(Q) | 261,388 | (929,436) | (1,190,824) | ||||||||
2,400 | 01/20/29 | 1.630%(S) | 3 Month LIBOR(2)(Q) | — | (110,961) | (110,961) | ||||||||
2,500 | 02/09/29 | 1.618%(A) | 1 Day SOFR(2)(A) | — | (76,933) | (76,933) | ||||||||
3,900 | 03/22/29 | 1.888%(A) | 1 Day SOFR(2)(A) | — | (59,563) | (59,563) | ||||||||
7,900 | 06/15/29 | 1.000%(A) | 1 Day SOFR(2)(A) | (317,629) | (602,630) | (285,001) | ||||||||
6,145 | 03/30/31 | 0.750%(S) | 3 Month LIBOR(1)(Q) | 57,979 | 815,012 | 757,033 | ||||||||
24,900 | 11/15/31 | 1.695%(A) | 1 Day SOFR(2)(A) | (41,491) | (938,290) | (896,799) | ||||||||
250 | 02/28/32 | 1.750%(A) | 1 Day SOFR(1)(A) | 1,427 | 7,379 | 5,952 | ||||||||
1,200 | 03/16/32 | 1.765%(A) | 1 Day SOFR(2)(A) | — | (34,846) | (34,846) | ||||||||
300 | 06/15/32 | 1.250%(A) | 1 Day SOFR(2)(A) | (16,100) | (23,766) | (7,666) | ||||||||
6,700 | 06/15/32 | 1.750%(A) | 1 Day SOFR(1)(A) | 252,223 | 229,496 | (22,727) | ||||||||
3,100 | 06/09/41 | 1.250%(S) | 3 Month LIBOR(1)(Q) | 46,937 | 531,729 | 484,792 | ||||||||
700 | 01/27/52 | 1.620%(S) | 3 Month LIBOR(1)(Q) | — | 94,639 | 94,639 | ||||||||
5,900 | 06/15/52 | 1.500%(A) | 1 Day SOFR(2)(A) | (201,194) | (624,200) | (423,006) | ||||||||
2,100 | 11/21/53 | 1.888%(S) | 3 Month LIBOR(2)(Q) | — | (142,764) | (142,764) | ||||||||
ZAR | 28,300 | 06/20/23 | 7.250%(Q) | 3 Month JIBAR(2)(Q) | 137 | 41,957 | 41,820 | |||||||
$(12,111,340) | $(13,802,043) | $(1,690,703) |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid(Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||
OTC Interest Rate Swap Agreements: | |||||||||||||||
KRW | 9,000,000 | 03/20/29 | 1.788%(Q) | 3 Month KWCDC(2)(Q) | $(438,079) | $(19,820) | $(418,259) | Bank of America, N.A. | |||||||
MYR | 2,000 | 03/16/27 | 3.250%(Q) | 3 Month KLIBOR(1)(Q) | 1,914 | (849) | 2,763 | Bank of America, N.A. | |||||||
MYR | 12,400 | 03/16/32 | 3.500%(Q) | 3 Month KLIBOR(1)(Q) | 54,175 | 13,598 | 40,577 | Citibank, N.A. | |||||||
$(381,990) | $(7,071) | $(374,919) |
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
(3) | The Portfolio pays the floating rate of 1 Month LIBOR plus 7.25 bps quarterly and receives the floating rate of 3 Month LIBOR quarterly. |
(4) | The Portfolio pays the floating rate of 1 Month LIBOR plus 7.00 bps quarterly and receives the floating rate of 3 Month LIBOR quarterly. |
(5) | The Portfolio pays the floating rate of 1 Month LIBOR plus 10.50 bps quarterly and receives the floating rate of 3 Month LIBOR quarterly. |
(6) | The Portfolio pays the floating rate of 1 Month LIBOR plus 10.20 bps quarterly and receives the floating rate of 3 Month LIBOR quarterly. |
(7) | The Portfolio pays the floating rate of 1 Month LIBOR plus 8.80 bps quarterly and receives the floating rate of 3 Month LIBOR quarterly. |
A71
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Total return swap agreements outstanding at March 31, 2022: | ||||||||||||||
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 Agreements: | ||||||||||||||
Bloomberg Commodity Index 1-Month Forward Total Return(M) | +12bps(M) | BNP Paribas S.A. | 2/15/23 | 3,812 | $12,364 | $— | $12,364 | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +79bps(M) | Societe Generale Paris | 2/15/23 | 4,617 | 94,933 | — | 94,933 | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +79bps(M) | Merrill Lynch International | 2/15/23 | 18,656 | 383,593 | — | 383,593 | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +79bps(M) | BNP Paribas S.A. | 2/15/23 | 24,653 | 506,900 | — | 506,900 | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +79bps(M) | Citibank, N.A. | 2/15/23 | 28,625 | 588,566 | — | 588,566 | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +80bps(M) | JPMorgan Chase Bank, N.A. | 2/15/23 | (5,031) | (103,428) | — | (103,428) | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +80bps(M) | Goldman Sachs International | 2/15/23 | (4,934) | (101,419) | — | (101,419) | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +81bps(M) | BNP Paribas S.A. | 2/15/23 | 6,317 | 147,988 | — | 147,988 | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +81bps(M) | Goldman Sachs International | 2/15/23 | 46,040 | 1,079,175 | — | 1,079,175 | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +81bps(M) | BNP Paribas S.A. | 2/15/23 | 153,307 | 3,150,708 | — | 3,150,708 | |||||||
Bloomberg Commodity Index Total Return(Q) | 3 Month U.S. Treasury Bill(Q) | Bank of America, N.A. | 3/31/23 | 55,399 | — | — | — | |||||||
Bloomberg Commodity Index Total Return(T) | 3 Month U.S. Treasury Bill +80bps(T) | JPMorgan Chase Bank, N.A. | 5/16/22 | (4,060) | (63,998) | — | (63,998) | |||||||
Bloomberg Commodity Index(T) | – | Morgan Stanley Capital Services LLC | 12/16/22 | 115 | 15,686 | — | 15,686 | |||||||
Bloomberg Commodity Index(T) | – | UBS AG Stamford | 1/20/23 | 2,364 | 334,185 | — | 334,185 | |||||||
Bloomberg Commodity Index(T) | – | Morgan Stanley Capital Services LLC | 1/26/23 | 187 | 31,188 | — | 31,188 | |||||||
Bloomberg Commodity Index(T) | – | Morgan Stanley Capital Services LLC | 2/08/23 | 1,448 | 207,719 | — | 207,719 | |||||||
CBOE SKEW Index(M) | +25bps(M) | Goldman Sachs International | 2/15/23 | 7,093 | 654,761 | — | 654,761 | |||||||
Citigroup Civics 3 Total Return Index(M) | 3 Month U.S. Treasury Bill +82bps(M) | Citibank, N.A. | 2/15/23 | 61,903 | 1,272,711 | — | 1,272,711 | |||||||
Dow Jones Wishire REIT Total Return Index(M) | 1 Month LIBOR +31bps(M) | Morgan Stanley & Co. International PLC | 5/04/22 | 1,018 | (22) | — | (22) | |||||||
Dow Jones Wishire REIT Total Return Index(M) | 1 Month LIBOR +36bps(M) | Citibank, N.A. | 5/11/22 | 54,584 | (27,759) | — | (27,759) |
A72
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Total return swap agreements outstanding at March 31, 2022 (continued): | ||||||||||||||
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 Agreements (cont’d.): | ||||||||||||||
Dow Jones Wishire REIT Total Return Index(M) | 1 Month LIBOR +37bps(M) | UBS AG London | 8/24/22 | 1,921 | $(941) | $— | $(941) | |||||||
Dow Jones Wishire REIT Total Return Index(M) | 1 Month LIBOR +36bps(M) | JPMorgan Chase Bank, N.A. | 10/05/22 | 18,950 | 186 | — | 186 | |||||||
Dow Jones Wishire REIT Total Return Index(M) | 1 Day USOIS +48bps(M) | JPMorgan Chase Bank, N.A. | 10/12/22 | 41,770 | (22,550) | — | (22,550) | |||||||
European Refined Margin, fixed price $6.20(T)(3) | – | Morgan Stanley Capital Services LLC | 6/30/22 | 1 | 12,734 | — | 12,734 | |||||||
European Refined Margin, fixed price $6.21(T)(3) | – | Morgan Stanley Capital Services LLC | 6/30/22 | 1 | 16,966 | — | 16,966 | |||||||
European Refined Margin, fixed price $7.94(T)(3) | – | Goldman Sachs International | 12/31/23 | 4 | 7,154 | — | 7,154 | |||||||
European Refined Margin, fixed price $8.00(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/23 | 2 | 4,629 | — | 4,629 | |||||||
European Refined Margin, fixed price $8.03(T)(3) | – | JPMorgan Chase Bank, N.A. | 12/31/23 | 4 | 6,840 | 235 | 6,605 | |||||||
iBoxx USD Investment Grade Index(T) | 3 Month LIBOR(Q) | Goldman Sachs International | 6/20/22 | (18,800) | 1,618,732 | — | 1,618,732 | |||||||
iBoxx USD Investment Grade Index(T) | 3 Month LIBOR(Q) | BNP Paribas S.A. | 9/20/22 | (16,900) | 1,501,306 | — | 1,501,306 | |||||||
JPMorgan Custom Commodity Index(M) | – | JPMorgan Chase Bank, N.A. | 5/16/22 | (1,696) | (19,794) | — | (19,794) | |||||||
JPMorgan Custom Commodity Index(M) | – | JPMorgan Chase Bank, N.A. | 12/30/22 | 6,622 | — | — | — | |||||||
JPMorgan Custom Commodity Index(M) | – | JPMorgan Chase Bank, N.A. | 2/15/23 | 12,841 | (33,654) | — | (33,654) | |||||||
LLSCO, fixed price $(2.10)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/22 | (3) | (1,643) | — | (1,643) | |||||||
LLSCO, fixed price $(2.10)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/22 | (3) | (1,643) | — | (1,643) | |||||||
LLSCO, fixed price $(2.50)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/22 | (2) | (379) | — | (379) | |||||||
LLSMEH, fixed price $1.00(T)(3) | – | Goldman Sachs International | 6/30/22 | (2) | 578 | — | 578 | |||||||
LLSMEH, fixed price $1.00(T)(3) | – | Goldman Sachs International | 12/31/22 | (2) | 676 | — | 676 | |||||||
LLSMEH, fixed price $1.00(T)(3) | – | Goldman Sachs International | 12/31/22 | (1) | 342 | — | 342 | |||||||
LLSMEH, fixed price $1.05(T)(3) | – | JPMorgan Chase Bank, N.A. | 6/30/22 | —(r) | 131 | — | 131 | |||||||
LME Nickel Future, fixed price $32365(T)(3) | – | Canadian Imperial Bank of Commerce | 5/16/22 | —(r) | 3,238 | — | 3,238 | |||||||
LME Nickel Future, fixed price $47481(T)(3) | – | Canadian Imperial Bank of Commerce | 9/19/22 | —(r) | (146,233) | — | (146,233) | |||||||
LME Nickel Future, fixed price $48093(T)(3) | – | Canadian Imperial Bank of Commerce | 5/16/22 | —(r) | (52,447) | — | (52,447) |
A73
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Total return swap agreements outstanding at March 31, 2022 (continued): | ||||||||||||||
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 Agreements (cont’d.): | ||||||||||||||
London Gold Market Fixing Ltd. PM, pay fixed price $1916.43(T)(3) | – | Merrill Lynch International | 5/27/22 | 1 | $37,711 | $— | $37,711 | |||||||
London Gold Market Fixing Ltd. PM, pay fixed price $1978.00(T)(3) | – | Goldman Sachs International | 3/28/23 | —(r) | 579 | — | 579 | |||||||
London Gold Market Fixing Ltd. PM, pay strike 5.153%(T)(4) | – | UBS AG Stamford | 12/05/22 | 441 | 4,769 | — | 4,769 | |||||||
London Gold Market Fixing Ltd. PM, pay strike 6.970%(T)(4) | – | JPMorgan Chase Bank, N.A. | 8/02/24 | 138 | 1,693 | — | 1,693 | |||||||
MEHCO, fixed price $(2.28)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/22 | (3) | (2,821) | — | (2,821) | |||||||
MEHCO, fixed price $(2.30)(T)(3) | – | JPMorgan Chase Bank, N.A. | 12/31/22 | (3) | (2,767) | — | (2,767) | |||||||
MEHCO, fixed price $(2.30)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/22 | (1) | (922) | — | (922) | |||||||
MEHCO, fixed price $(2.33)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/22 | (2) | (1,791) | — | (1,791) | |||||||
MEHCO, fixed price $(2.35)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/22 | (1) | (878) | — | (878) | |||||||
MEHCO, fixed price $(2.36)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/22 | (1) | (869) | — | (869) | |||||||
MEHCO, fixed price $(2.68)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/22 | (1) | (582) | — | (582) | |||||||
MEHCO, fixed price $(2.82)(T)(3) | – | JPMorgan Chase Bank, N.A. | 12/31/22 | (5) | (2,741) | (16) | (2,725) | |||||||
PIMCO Custom Commodity Basket Index(M) | – | Canadian Imperial Bank of Commerce | 2/15/23 | 14,523 | 934,815 | — | 934,815 | |||||||
TTF-NBP Spread, fixed price $(1.44)(T)(3) | – | Morgan Stanley Capital Services LLC | 9/30/22 | GBP 183 | 18,270 | — | 18,270 | |||||||
U.S. Treasury Bond(T) | 1 Day USOIS +5bps(T) | Goldman Sachs International | 5/03/22 | 2,737 | (206,137) | — | (206,137) | |||||||
$11,856,408 | $219 | $11,856,189 |
(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). |
(3) | Commodity Forward Swap. Notional amount represents the number of units of the underlying commodity. Fixed price represents the fixed amount per underlying contract used to determine net settlement amount. |
(4) | Variance Swap. The Portfolio receives the strike and pays the volatility when long on the contract, and pays the strike and receives the volatility when short on the contract. |
A74
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2022 (unaudited) |
Reverse repurchase agreements outstanding at March 31, 2022: | ||||||||||
Broker | Interest Rate | Trade Date | Cost | Maturity Date | Value at March 31, 2022 | |||||
BNP Paribas S.A. | (0.540)% | 02/16/22 | $425,714 | 05/16/22 | $414,401 | |||||
BNP Paribas S.A. | (0.540)% | 02/16/22 | 5,206,890 | 05/16/22 | 5,068,522 | |||||
Merrill Lynch International | (0.520)% | 02/17/22 | 9,161,313 | 05/16/22 | 8,914,722 | |||||
Morgan Stanley & Co. International PLC | (0.640)% | 02/10/22 | 1,082,289 | 08/15/22 | 1,044,066 | |||||
Morgan Stanley & Co. International PLC | (0.580)% | 02/10/22 | 638,354 | 08/15/22 | 615,810 | |||||
Morgan Stanley & Co. International PLC | (0.580)% | 02/10/22 | 628,958 | 08/15/22 | 606,745 | |||||
Morgan Stanley & Co. International PLC | (0.580)% | 02/10/22 | 9,741,583 | 08/15/22 | 9,397,537 | |||||
$26,885,101 | $26,061,803 |
The aggregate value of the Reverse Repurchase Agreements is $26,061,803. Sovereign Bonds with a combined market value of $25,417,548 have been segregated as collateral to cover the requirement for the reverse repurchase agreements outstanding as of March 31, 2022.
Other information regarding the Portfolio is available in the Portfolio’s most recent Report to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).
A75