AST ADVANCED STRATEGIES PORTFOLIO
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A1
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A2
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A3
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A4
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A5
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A6
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A7
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A8
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A9
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A10
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A11
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A12
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A13
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A14
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A15
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A16
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A17
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A18
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A19
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A20
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A21
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A22
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A23
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A24
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A25
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A26
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A27
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A28
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A29
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A30
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A31
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A32
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A33
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A34
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A35
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A36
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A37
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A38
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A39
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
A40
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Forward Commitment Contracts | |||||||||||
Government Agency Obligations | Interest Rate | Maturity Date | Settlement Date | Principal Amount (000)# | Value | ||||||
Canadian Government Bond | 2.750% | 12/01/48 | 04/07/21 | CAD | (4,000) | $(3,716,796) | |||||
Federal National Mortgage Assoc. | 2.000% | TBA | 04/14/21 | (8,100) | (8,084,812) | ||||||
Federal National Mortgage Assoc. | 2.000% | TBA | 05/13/21 | (6,900) | (6,874,395) | ||||||
Federal National Mortgage Assoc. | 2.500% | TBA | 05/13/21 | (800) | (819,219) | ||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 06/14/21 | (53,000) | (55,182,109) | ||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 04/14/21 | (7,400) | (7,817,117) | ||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 04/19/21 | (800) | (853,018) | ||||||
Government National Mortgage Assoc. | 2.500% | TBA | 04/21/21 | (2,900) | (2,992,211) | ||||||
TOTAL FORWARD COMMITMENT CONTRACTS (proceeds receivable $86,073,556) | $(86,339,677) |
Options Purchased:
Exchange Traded | |||||||||||||||
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
2 Year Euro Schatz | Call | 05/21/21 | 112.80 | 500 | EUR | 500 | $2,932 | ||||||||
2 Year Euro Schatz | Call | 05/21/21 | 114.30 | 988 | EUR | 988 | 5,793 | ||||||||
2 Year Euro Schatz | Call | 05/21/21 | 114.50 | 336 | EUR | 336 | 1,970 | ||||||||
5 Year Euro-Bobl | Call | 05/21/21 | 139.50 | 10 | EUR | 10 | 59 | ||||||||
10 Year U.S. Treasury Notes Futures | Call | 05/21/21 | $163.50 | 1 | 1 | — | |||||||||
10 Year Euro-Bund Futures | Put | 05/21/21 | 151.00 | 100 | EUR | 100 | 1,173 | ||||||||
Total Exchange Traded (cost $13,340) | $11,927 |
OTC Traded | ||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
France Government OAT Bond | Put | BNP Paribas S.A. | 05/23/25 | 97.00 | — | EUR | 1,600 | $213,439 | ||||||||
(cost $121,129) |
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 | $(501) | |||||||||
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 | (780) | |||||||||
5-Year Interest Rate Swap, 08/26/26 | Call | Morgan Stanley Capital Services LLC | 08/24/21 | 0.70% | 0.70%(S) | 3 Month LIBOR(Q) | 37,600 | 34,435 | |||||||||
10-Year Interest Rate Swap, 01/27/32 | Put | Goldman Sachs Bank USA | 01/25/22 | 0.20% | 6 Month EURIBOR(S) | 0.20%(A) | EUR | 22,900 | 453,617 | ||||||||
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 | 397,356 |
A41
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Options Purchased (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
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 | $410,926 | ||||||||
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 | 264,219 | ||||||||
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 | 523,515 | ||||||||
Total OTC Swaptions (cost $866,009) | $2,082,787 | ||||||||||||||||
Total Options Purchased (cost $1,000,478) | $2,308,153 |
Options Written:
Exchange Traded | |||||||||||||||
Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
3 Year Euro Dollar Mid-Curve Futures | Call | 04/16/21 | $99.00 | 18 | 45 | $(113) | |||||||||
Brent Crude Oil Futures | Call | 04/27/21 | $69.00 | 24 | 24 | (13,920) | |||||||||
Brent Crude Oil Futures | Call | 04/27/21 | $70.00 | 12 | 12 | (5,160) | |||||||||
Brent Crude Oil Futures | Call | 04/27/21 | $70.50 | 24 | 24 | (8,880) | |||||||||
Brent Crude Oil Futures | Call | 04/27/21 | $71.00 | 24 | 24 | (7,680) | |||||||||
Brent Crude Oil Futures | Call | 04/27/21 | $71.50 | 24 | 24 | (6,480) | |||||||||
Brent Crude Oil Futures | Call | 04/27/21 | $72.00 | 24 | 24 | (5,520) | |||||||||
Brent Crude Oil Futures | Call | 05/25/21 | $68.00 | 12 | 12 | (17,520) | |||||||||
Brent Crude Oil Futures | Call | 05/25/21 | $69.00 | 12 | 12 | (14,520) | |||||||||
Brent Crude Oil Futures | Call | 05/25/21 | $70.00 | 36 | 36 | (35,640) | |||||||||
Natural Gas Futures | Call | 04/26/21 | 18.00 | 2 | EUR | 1 | (2,504) | ||||||||
Natural Gas Futures | Call | 04/26/21 | 19.00 | 2 | EUR | 1 | (1,567) | ||||||||
Natural Gas Futures | Call | 05/26/21 | 18.00 | 2 | EUR | 1 | (2,960) | ||||||||
Natural Gas Futures | Call | 05/26/21 | 19.00 | 2 | EUR | 1 | (2,091) | ||||||||
WTI Crude Oil Futures | Call | 05/17/21 | $67.00 | 12 | 12 | (10,200) | |||||||||
WTI Crude Oil Futures | Call | 05/17/21 | $68.00 | 12 | 12 | (8,400) | |||||||||
WTI Crude Oil Futures | Call | 05/17/21 | $70.00 | 24 | 24 | (11,280) | |||||||||
WTI Crude Oil Futures | Call | 05/17/21 | $71.00 | 12 | 12 | (4,680) | |||||||||
WTI Crude Oil Futures | Call | 11/16/21 | $40.00 | 1 | 1 | (18,110) | |||||||||
3 Year Euro Dollar Mid-Curve Futures | Put | 04/16/21 | $98.50 | 18 | 45 | (5,738) | |||||||||
Natural Gas Futures | Put | 04/26/21 | 12.00 | 2 | EUR | 1 | (2) | ||||||||
Natural Gas Futures | Put | 04/26/21 | 13.00 | 2 | EUR | 1 | (7) | ||||||||
Natural Gas Futures | Put | 05/26/21 | 12.00 | 2 | EUR | 1 | (14) | ||||||||
Natural Gas Futures | Put | 05/26/21 | 13.00 | 2 | EUR | 1 | (35) | ||||||||
Natural Gas Futures | Put | 09/27/21 | $2.50 | 6 | 60 | (7,350) | |||||||||
Total Exchange Traded (premiums received $351,942) | $(190,371) |
OTC Traded | ||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
Bloomberg Commodity Index | Call | Goldman Sachs International | 08/02/21 | $93.96 | — | 5 | $(407) |
A42
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Options Written (continued):
OTC Traded | ||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
Bloomberg Commodity Index | Call | Goldman Sachs International | 08/05/21 | $95.34 | — | 9 | $(754) | |||||||||
Bloomberg Commodity Index | Call | Goldman Sachs International | 01/14/22 | $90.00 | — | 11 | (17,587) | |||||||||
Bloomberg Commodity Index | Call | JP Morgan Chase Bank, N.A. | 01/18/22 | $90.00 | — | 5 | (9,093) | |||||||||
Bloomberg Commodity Index | Call | Morgan Stanley Capital Services LLC | 03/02/22 | $93.94 | — | 5 | (4,991) | |||||||||
Bloomberg Commodity Index | Call | UBS AG Stamford | 03/02/22 | $102.60 | — | 4 | (3,428) | |||||||||
Currency Option EUR vs CNH | Call | HSBC Bank USA, N.A. | 04/28/21 | 7.95 | — | EUR | 3,882 | (1,988) | ||||||||
Currency Option USD vs ILS | Call | HSBC Bank USA, N.A. | 04/14/21 | 3.32 | — | 1,907 | (19,147) | |||||||||
Currency Option USD vs ILS | Call | HSBC Bank USA, N.A. | 05/06/21 | 3.33 | — | 1,691 | (17,903) | |||||||||
Currency Option USD vs ILS | Call | JP Morgan Chase Bank, N.A. | 05/18/21 | 3.34 | — | 980 | (9,898) | |||||||||
Currency Option USD vs ILS | Call | JP Morgan Chase Bank, N.A. | 06/30/21 | 3.42 | — | 1,382 | (8,654) | |||||||||
FNMA TBA 2.00% | Call | JP Morgan Chase Bank, N.A. | 05/06/21 | $100.45 | — | 200 | (916) | |||||||||
FNMA TBA 2.00% | Call | JP Morgan Chase Bank, N.A. | 05/06/21 | $101.39 | — | 200 | (396) | |||||||||
FNMA TBA 2.00% | Call | JP Morgan Chase Bank, N.A. | 05/06/21 | $101.43 | — | 100 | (192) | |||||||||
FNMA TBA 2.00% | Call | JP Morgan Chase Bank, N.A. | 05/06/21 | $101.44 | — | 400 | (753) | |||||||||
FNMA TBA 2.00% | Call | JP Morgan Chase Bank, N.A. | 05/06/21 | $101.89 | — | 200 | (233) | |||||||||
FNMA TBA 2.00% | Call | JP Morgan Chase Bank, N.A. | 05/06/21 | $101.91 | — | 100 | (114) | |||||||||
FNMA TBA 2.00% | Call | JP Morgan Chase Bank, N.A. | 06/07/21 | $100.53 | — | 800 | (4,818) | |||||||||
FNMA TBA 2.50% | Call | JP Morgan Chase Bank, N.A. | 06/07/21 | $103.39 | — | 100 | (380) | |||||||||
Inflation Cap Option, Inflation on the CPI Urban Consumer NSA | Call | JP Morgan 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 | (3,825) | ||||||||
Margin Eurobob Gasoline vs Brent | Call | Goldman Sachs International | 06/30/21 | $8.00 | 3 | 3 | (7,566) | |||||||||
Margin Eurobob Gasoline vs Brent | Call | Goldman Sachs International | 09/30/21 | $8.00 | 3 | 3 | (7,327) | |||||||||
Margin Eurobob Gasoline vs Brent | Call | Goldman Sachs International | 12/31/21 | $4.00 | 3 | 3 | (6,305) | |||||||||
S&P GSCI Energy | Call | Goldman Sachs International | 06/14/21 | $1.77 | — | 23,165 | (96,922) | |||||||||
Bloomberg Commodity Index | Put | Goldman Sachs International | 08/11/21 | $74.14 | — | 10 | (295) | |||||||||
Bloomberg Commodity Index | Put | Goldman Sachs International | 08/25/21 | $74.14 | — | 10 | (185) | |||||||||
Currency Option EUR vs CNH | Put | HSBC Bank USA, N.A. | 04/28/21 | 7.70 | — | EUR | 3,882 | (21,120) | ||||||||
Currency Option USD vs ILS | Put | HSBC Bank USA, N.A. | 04/14/21 | 3.20 | — | 1,907 | (110) | |||||||||
Currency Option USD vs ILS | Put | HSBC Bank USA, N.A. | 05/06/21 | 3.17 | — | 1,691 | (311) | |||||||||
Currency Option USD vs ILS | Put | JP Morgan Chase Bank, N.A. | 05/18/21 | 3.18 | — | 980 | (404) | |||||||||
Currency Option USD vs ILS | Put | JP Morgan Chase Bank, N.A. | 06/30/21 | 3.26 | — | 1,382 | (6,305) | |||||||||
FNMA TBA 2.00% | Put | JP Morgan Chase Bank, N.A. | 04/07/21 | $99.88 | — | 200 | (814) |
A43
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Options Written (continued):
OTC Traded | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||
FNMA TBA 2.00% | Put | JP Morgan Chase Bank, N.A. | 04/07/21 | $100.08 | — | 200 | $(1,047) | ||||||||||
FNMA TBA 2.00% | Put | JP Morgan Chase Bank, N.A. | 04/07/21 | $101.48 | — | 200 | (3,421) | ||||||||||
FNMA TBA 2.00% | Put | JP Morgan Chase Bank, N.A. | 04/07/21 | $102.38 | — | 800 | (20,752) | ||||||||||
FNMA TBA 2.00% | Put | JP Morgan Chase Bank, N.A. | 04/07/21 | $102.38 | — | 600 | (15,564) | ||||||||||
FNMA TBA 2.00% | Put | JP Morgan Chase Bank, N.A. | 05/06/21 | $98.45 | — | 200 | (790) | ||||||||||
FNMA TBA 2.00% | Put | JP Morgan Chase Bank, N.A. | 05/06/21 | $99.39 | — | 200 | (1,456) | ||||||||||
FNMA TBA 2.00% | Put | JP Morgan Chase Bank, N.A. | 05/06/21 | $99.43 | — | 400 | (2,991) | ||||||||||
FNMA TBA 2.00% | Put | JP Morgan Chase Bank, N.A. | 05/06/21 | $99.89 | — | 200 | (1,948) | ||||||||||
FNMA TBA 2.00% | Put | JP Morgan Chase Bank, N.A. | 05/06/21 | $99.91 | — | 200 | (1,973) | ||||||||||
FNMA TBA 2.00% | Put | JP Morgan Chase Bank, N.A. | 05/06/21 | $100.75 | — | 800 | (12,034) | ||||||||||
FNMA TBA 2.00% | Put | JP Morgan Chase Bank, N.A. | 06/07/21 | $98.53 | — | 800 | (5,768) | ||||||||||
FNMA TBA 2.50% | Put | JP Morgan Chase Bank, N.A. | 05/06/21 | $101.79 | — | 400 | (1,643) | ||||||||||
FNMA TBA 2.50% | Put | JP Morgan Chase Bank, N.A. | 06/07/21 | $101.39 | — | 100 | (607) | ||||||||||
FNMA TBA 3.00% | Put | JP Morgan Chase Bank, N.A. | 05/06/21 | $103.98 | — | 200 | (691) | ||||||||||
FNMA TBA 3.00% | Put | JP Morgan Chase Bank, N.A. | 06/07/21 | $103.74 | — | 400 | (1,788) | ||||||||||
FNMA TBA 3.00% | Put | JP Morgan Chase Bank, N.A. | 06/07/21 | $103.88 | — | 400 | (1,998) | ||||||||||
FNMA TBA 3.00% | Put | JP Morgan Chase Bank, N.A. | 06/07/21 | $104.05 | — | 200 | (1,143) | ||||||||||
GNMA II TBA 2.00% | Put | JP Morgan Chase Bank, N.A. | 05/13/21 | $100.05 | — | 500 | (5,265) | ||||||||||
GNMA II TBA 2.50% | Put | JP Morgan Chase Bank, N.A. | 04/14/21 | $103.78 | — | 1,100 | (8,993) | ||||||||||
GNMA II TBA 2.50% | Put | JP Morgan Chase Bank, N.A. | 04/14/21 | $103.78 | — | 800 | (6,540) | ||||||||||
GNMA II TBA 2.50% | Put | JP Morgan Chase Bank, N.A. | 04/14/21 | $104.13 | — | 700 | (7,662) | ||||||||||
GNMA II TBA 2.50% | Put | JP Morgan Chase Bank, N.A. | 04/14/21 | $104.13 | — | 400 | (4,378) | ||||||||||
GNMA II TBA 2.50% | Put | JP Morgan Chase Bank, N.A. | 04/14/21 | $104.27 | — | 1,100 | (13,382) | ||||||||||
GNMA II TBA 2.50% | Put | JP Morgan Chase Bank, N.A. | 04/14/21 | $104.27 | — | 800 | (9,732) | ||||||||||
Inflation Floor Option, Inflation on the CPI Urban Consumer NSA | Put | Morgan Stanley Capital Services LLC | 10/07/22 | 0.00% | — | 18,250 | (1) | ||||||||||
Inflation Floor Option, Inflation on the CPI Urban Consumer NSA | Put | Morgan Stanley Capital Services LLC | 10/08/22 | 0.00% | — | 9,500 | — | ||||||||||
Margin Eurobob Gasoline vs Brent | Put | Goldman Sachs International | 06/30/21 | $4.50 | 3 | 3 | (1) | ||||||||||
Margin Eurobob Gasoline vs Brent | Put | Goldman Sachs International | 09/30/21 | $4.50 | 3 | 3 | (93) | ||||||||||
Margin Eurobob Gasoline vs Brent | Put | Goldman Sachs International | 12/31/21 | $1.00 | 3 | 3 | (347) | ||||||||||
Total OTC Traded (premiums received $475,269) | $(385,150) |
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
1-Year Interest Rate Swap, 02/07/23 | Call | Barclays Bank PLC | 02/07/22 | 0.01% | 1 Day SONIA(A) | 0.01%(A) | GBP | 9,100 | $(7,221) | ||||||||
1-Year Interest Rate Swap, 02/07/23 | Call | Goldman Sachs Bank USA | 02/07/22 | 0.01% | 1 Day SONIA(A) | 0.01%(A) | GBP | 9,200 | (7,300) |
A44
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
1-Year Interest Rate Swap, 02/07/23 | Call | NatWest Markets PLC | 02/07/22 | 0.01% | 1 Day SONIA(A) | 0.01%(A) | GBP | 47,800 | $(37,930) | ||||||||
1-Year Interest Rate Swap, 11/21/23 | Call | Goldman Sachs Bank USA | 11/17/22 | (0.53)% | 3 Month EURIBOR(Q) | (0.53)%(A) | EUR | 53,800 | (60,742) | ||||||||
5-Year Interest Rate Swap, 04/19/26 | Call | Morgan Stanley Capital Services LLC | 04/15/21 | 0.82% | 3 Month LIBOR(Q) | 0.82%(S) | 4,800 | (172) | |||||||||
5-Year Interest Rate Swap, 04/21/26 | Call | Goldman Sachs Bank USA | 04/19/21 | 0.84% | 3 Month LIBOR(Q) | 0.84%(S) | 2,700 | (296) | |||||||||
5-Year Interest Rate Swap, 04/21/26 | Call | Bank of America, N.A. | 04/19/21 | 0.87% | 3 Month LIBOR(Q) | 0.87%(S) | 7,700 | (1,354) | |||||||||
5-Year Interest Rate Swap, 06/16/26 | Call | Citibank, N.A. | 06/14/21 | 0.75% | 3 Month LIBOR(Q) | 0.75%(S) | 3,900 | (1,985) | |||||||||
5-Year Interest Rate Swap, 08/26/26 | Call | Morgan Stanley Capital Services LLC | 08/24/21 | 0.55% | 3 Month LIBOR(Q) | 0.55%(S) | 75,200 | (33,113) | |||||||||
10-Year Interest Rate Swap, 04/14/31 | Call | Citibank, N.A. | 04/12/21 | 1.52% | 3 Month LIBOR(Q) | 1.52%(S) | 2,000 | (328) | |||||||||
10-Year Interest Rate Swap, 04/21/31 | Call | Deutsche Bank AG | 04/19/21 | 1.54% | 3 Month LIBOR(Q) | 1.54%(S) | 4,000 | (2,390) | |||||||||
10-Year Interest Rate Swap, 06/17/31 | Call | Bank of America, N.A. | 06/15/21 | 1.50% | 3 Month LIBOR(Q) | 1.50%(S) | 2,400 | (8,137) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Call | Bank of America, N.A. | 04/21/21 | 0.45% | CDX.NA.IG.35.V1(Q) | 1.00%(Q) | 1,500 | (170) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Call | Bank of America, N.A. | 04/21/21 | 0.45% | CDX.NA.IG.35.V1(Q) | 1.00%(Q) | 1,600 | (181) |
A45
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Call | BNP Paribas S.A. | 04/21/21 | 0.45% | CDX.NA.IG.35.V1(Q) | 1.00%(Q) | 2,500 | $(283) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Call | BNP Paribas S.A. | 04/21/21 | 0.45% | CDX.NA.IG.35.V1(Q) | 1.00%(Q) | 1,300 | (147) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Call | Deutsche Bank AG | 04/21/21 | 0.45% | CDX.NA.IG.35.V1(Q) | 1.00%(Q) | 900 | (102) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Call | Deutsche Bank AG | 04/21/21 | 0.45% | CDX.NA.IG.35.V1(Q) | 1.00%(Q) | 700 | (79) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Call | Goldman Sachs International | 04/21/21 | 0.45% | CDX.NA.IG.35.V1(Q) | 1.00%(Q) | 1,600 | (181) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Call | Goldman Sachs International | 04/21/21 | 0.45% | CDX.NA.IG.35.V1(Q) | 1.00%(Q) | 1,500 | (170) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Call | Credit Suisse International | 06/16/21 | 0.45% | CDX.NA.IG.35.V1(Q) | 1.00%(Q) | 1,800 | (865) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Call | Credit Suisse International | 06/16/21 | 0.45% | CDX.NA.IG.35.V1(Q) | 1.00%(Q) | 1,000 | (481) | |||||||||
iTraxx.EU.34.V1, 12/20/25 | Call | BNP Paribas S.A. | 04/21/21 | 0.38% | iTraxx.EU.34.V1(Q) | 1.00%(Q) | EUR | 2,000 | (18) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Call | BNP Paribas S.A. | 04/21/21 | 0.38% | iTraxx.EU.34.V1(Q) | 1.00%(Q) | EUR | 1,600 | (14) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Call | BNP Paribas S.A. | 05/19/21 | 0.40% | iTraxx.EU.34.V1(Q) | 1.00%(Q) | EUR | 2,700 | (755) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Call | Deutsche Bank AG | 05/19/21 | 0.40% | iTraxx.EU.34.V1(Q) | 1.00%(Q) | EUR | 2,300 | (643) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Call | Goldman Sachs International | 05/19/21 | 0.40% | iTraxx.EU.34.V1(Q) | 1.00%(Q) | EUR | 1,100 | (308) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Call | Barclays Bank PLC | 07/21/21 | 0.40% | iTraxx.EU.34.V1(Q) | 1.00%(Q) | EUR | 4,200 | (2,597) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Call | Barclays Bank PLC | 07/21/21 | 0.40% | iTraxx.EU.34.V1(Q) | 1.00%(Q) | EUR | 1,600 | (989) | ||||||||
1-Year Interest Rate Swap, 02/07/23 | Put | Barclays Bank PLC | 02/07/22 | 0.01% | 0.01%(A) | 1 Day SONIA(A) | GBP | 9,100 | (23,928) | ||||||||
1-Year Interest Rate Swap, 02/07/23 | Put | Goldman Sachs Bank USA | 02/07/22 | 0.01% | 0.01%(A) | 1 Day SONIA(A) | GBP | 9,200 | (24,191) | ||||||||
1-Year Interest Rate Swap, 02/07/23 | Put | NatWest Markets PLC | 02/07/22 | 0.01% | 0.01%(A) | 1 Day SONIA(A) | GBP | 47,800 | (125,686) | ||||||||
3-Year Interest Rate Swap, 08/25/24 | Put | Morgan Stanley Capital Services LLC | 08/23/21 | 1.45% | 1.45%(S) | 3 Month LIBOR(Q) | 26,600 | (9,436) |
A46
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
3-Year Interest Rate Swap, 08/31/24 | Put | Credit Suisse International | 08/26/21 | 1.40% | 1.40%(S) | 3 Month LIBOR(Q) | 32,400 | $(13,665) | |||||||||
3-Year Interest Rate Swap, 09/17/24 | Put | Bank of America, N.A. | 09/15/21 | 1.88% | 1.88%(S) | 3 Month LIBOR(Q) | 27,500 | (5,549) | |||||||||
3-Year Interest Rate Swap, 12/23/24 | Put | Deutsche Bank AG | 12/21/21 | 2.02% | 2.02%(S) | 3 Month LIBOR(Q) | 14,400 | (8,416) | |||||||||
3-Year Interest Rate Swap, 12/23/24 | Put | Morgan Stanley Capital Services LLC | 12/21/21 | 2.02% | 2.02%(S) | 3 Month LIBOR(Q) | 21,300 | (12,449) | |||||||||
5-Year Interest Rate Swap, 04/19/26 | Put | Morgan Stanley Capital Services LLC | 04/15/21 | 1.12% | 1.12%(S) | 3 Month LIBOR(Q) | 4,800 | (7,525) | |||||||||
5-Year Interest Rate Swap, 04/21/26 | Put | Goldman Sachs Bank USA | 04/19/21 | 1.12% | 1.12%(S) | 3 Month LIBOR(Q) | 2,700 | (5,154) | |||||||||
5-Year Interest Rate Swap, 04/21/26 | Put | Bank of America, N.A. | 04/19/21 | 1.15% | 1.15%(S) | 3 Month LIBOR(Q) | 8,300 | (12,726) | |||||||||
5-Year Interest Rate Swap, 06/16/26 | Put | Citibank, N.A. | 06/14/21 | 1.20% | 1.20%(S) | 3 Month LIBOR(Q) | 3,900 | (18,611) | |||||||||
10-Year Interest Rate Swap, 04/14/31 | Put | Citibank, N.A. | 04/12/21 | 1.86% | 1.86%(S) | 3 Month LIBOR(Q) | 2,000 | (5,218) | |||||||||
10-Year Interest Rate Swap, 04/21/31 | Put | Deutsche Bank AG | 04/19/21 | 1.86% | 1.86%(S) | 3 Month LIBOR(Q) | 4,000 | (16,789) | |||||||||
10-Year Interest Rate Swap, 06/17/31 | Put | Bank of America, N.A. | 06/15/21 | 2.00% | 2.00%(S) | 3 Month LIBOR(Q) | 2,400 | (19,086) |
A47
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
10-Year Interest Rate Swap, 10/01/31 | Put | Deutsche Bank AG | 09/29/21 | 2.30% | 2.30%(S) | 3 Month LIBOR(Q) | 8,280 | $(98,936) | |||||||||
10-Year Interest Rate Swap, 10/01/31 | Put | JP Morgan Chase Bank, N.A. | 09/29/21 | 2.30% | 2.30%(S) | 3 Month LIBOR(Q) | 100 | (895) | |||||||||
10-Year Interest Rate Swap, 10/01/31 | Put | Morgan Stanley Capital Services LLC | 09/29/21 | 2.30% | 2.30%(S) | 3 Month LIBOR(Q) | 10,220 | (91,479) | |||||||||
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 | (374,139) | ||||||||
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 | (359,173) | ||||||||
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 | (240,770) | ||||||||
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 | (480,037) | ||||||||
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 | (247,672) | ||||||||
30-Year Interest Rate Swap, 01/27/52 | Put | Goldman Sachs Bank USA | 01/25/22 | 2.32% | 2.32%(S) | 3 Month LIBOR(Q) | 4,500 | (260,094) | |||||||||
30-Year Interest Rate Swap, 01/27/32 | Put | Morgan Stanley Capital Services LLC | 01/25/22 | 2.32% | 2.32%(S) | 3 Month LIBOR(Q) | 5,000 | (288,993) | |||||||||
CDX.NA.HY.35.V1, 12/20/25 | Put | Citibank, N.A. | 04/21/21 | $100.00 | 5.00%(Q) | CDX.NA.HY.35.V1(Q) | 400 | (119) | |||||||||
CDX.NA.HY.35.V1, 12/20/25 | Put | Citibank, N.A. | 04/21/21 | $100.00 | 5.00%(Q) | CDX.NA.HY.35.V1(Q) | 300 | (89) | |||||||||
CDX.NA.HY.35.V1, 12/20/25 | Put | JP Morgan Chase Bank, N.A. | 05/19/21 | $103.00 | 5.00%(Q) | CDX.NA.HY.35.V1(Q) | 400 | (713) |
A48
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
CDX.NA.HY.35.V1, 12/20/25 | Put | JP Morgan Chase Bank, N.A. | 05/19/21 | $103.00 | 5.00%(Q) | CDX.NA.HY.35.V1(Q) | 300 | $(535) | |||||||||
CDX.NA.HY.35.V1, 12/20/25 | Put | Credit Suisse International | 06/16/21 | $100.00 | 5.00%(Q) | CDX.NA.HY.35.V1(Q) | 300 | (661) | |||||||||
CDX.NA.HY.35.V1, 12/20/25 | Put | Credit Suisse International | 06/16/21 | $100.00 | 5.00%(Q) | CDX.NA.HY.35.V1(Q) | 300 | (661) | |||||||||
CDX.NA.HY.35.V1, 12/20/25 | Put | Goldman Sachs International | 06/16/21 | $102.00 | 5.00%(Q) | CDX.NA.HY.35.V1(Q) | 400 | (1,196) | |||||||||
CDX.NA.HY.35.V1, 12/20/25 | Put | Goldman Sachs International | 06/16/21 | $102.00 | 5.00%(Q) | CDX.NA.HY.35.V1(Q) | 400 | (1,196) | |||||||||
CDX.NA.HY.35.V1, 12/20/25 | Put | BNP Paribas S.A. | 07/21/21 | $100.00 | 5.00%(Q) | CDX.NA.HY.35.V1(Q) | 300 | (1,175) | |||||||||
CDX.NA.HY.35.V1, 12/20/25 | Put | BNP Paribas S.A. | 07/21/21 | $100.00 | 5.00%(Q) | CDX.NA.HY.35.V1(Q) | 300 | (1,175) | |||||||||
CDX.NA.HY.36.V1, 06/20/26 | Put | Bank of America, N.A. | 06/16/21 | $100.00 | 5.00%(Q) | CDX.NA.HY.36.V1(Q) | 500 | (1,475) | |||||||||
CDX.NA.HY.36.V1, 06/20/26 | Put | Bank of America, N.A. | 06/16/21 | $100.00 | 5.00%(Q) | CDX.NA.HY.36.V1(Q) | 500 | (1,475) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | BNP Paribas S.A. | 04/21/21 | 0.80% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,600 | (96) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | BNP Paribas S.A. | 04/21/21 | 0.80% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,200 | (72) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Credit Suisse International | 04/21/21 | 0.80% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,600 | (96) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Goldman Sachs International | 04/21/21 | 0.80% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 600 | (36) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Goldman Sachs International | 04/21/21 | 0.80% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 600 | (36) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | BNP Paribas S.A. | 04/21/21 | 0.85% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 2,800 | (149) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | BNP Paribas S.A. | 04/21/21 | 0.85% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 2,500 | (133) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Goldman Sachs International | 04/21/21 | 0.85% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 3,200 | (170) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Goldman Sachs International | 04/21/21 | 0.85% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,500 | (80) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | BNP Paribas S.A. | 04/21/21 | 0.95% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,100 | (46) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | BNP Paribas S.A. | 04/21/21 | 1.00% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 400 | (15) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Deutsche Bank AG | 04/21/21 | 1.00% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 600 | (23) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Deutsche Bank AG | 05/19/21 | 0.75% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 2,100 | (459) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Deutsche Bank AG | 05/19/21 | 0.75% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,900 | (415) |
A49
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Goldman Sachs International | 05/19/21 | 0.75% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 2,400 | $(525) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Goldman Sachs International | 05/19/21 | 0.75% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 2,600 | (568) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | JP Morgan Chase Bank, N.A. | 05/19/21 | 0.75% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,400 | (306) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | JP Morgan Chase Bank, N.A. | 05/19/21 | 0.75% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,300 | (284) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Bank of America, N.A. | 05/19/21 | 0.80% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 800 | (143) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Citibank, N.A. | 05/19/21 | 0.80% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,400 | (250) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Citibank, N.A. | 05/19/21 | 0.80% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,400 | (250) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Morgan Stanley Capital Services LLC | 05/19/21 | 0.80% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,400 | (250) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Morgan Stanley Capital Services LLC | 05/19/21 | 0.80% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,500 | (268) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Bank of America, N.A. | 05/19/21 | 0.85% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,500 | (225) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Bank of America, N.A. | 05/19/21 | 0.85% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,600 | (240) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Bank of America, N.A. | 05/19/21 | 0.90% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,900 | (246) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Bank of America, N.A. | 05/19/21 | 0.90% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 2,500 | (324) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | BNP Paribas S.A. | 05/19/21 | 0.90% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,500 | (194) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | BNP Paribas S.A. | 05/19/21 | 0.90% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,200 | (155) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Goldman Sachs International | 05/19/21 | 0.90% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,300 | (168) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Goldman Sachs International | 05/19/21 | 0.90% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,200 | (155) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | JP Morgan Chase Bank, N.A. | 05/19/21 | 0.90% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,600 | (207) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | JP Morgan Chase Bank, N.A. | 05/19/21 | 0.90% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,300 | (168) |
A50
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Goldman Sachs International | 05/19/21 | 0.95% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,500 | $(170) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Goldman Sachs International | 05/19/21 | 0.95% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,200 | (136) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Goldman Sachs International | 05/19/21 | 1.05% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,200 | (108) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Goldman Sachs International | 05/19/21 | 1.05% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,000 | (90) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Bank of America, N.A. | 06/16/21 | 0.80% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 2,500 | (930) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Bank of America, N.A. | 06/16/21 | 0.80% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,700 | (632) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Credit Suisse International | 06/16/21 | 0.80% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,800 | (669) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Credit Suisse International | 06/16/21 | 0.80% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,000 | (372) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Bank of America, N.A. | 06/16/21 | 0.90% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,500 | (395) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Credit Suisse International | 06/16/21 | 0.90% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 1,500 | (395) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Credit Suisse International | 06/16/21 | 0.90% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 400 | (105) | |||||||||
CDX.NA.IG.35.V1, 12/20/25 | Put | Deutsche Bank AG | 06/16/21 | 0.90% | 1.00%(Q) | CDX.NA.IG.35.V1(Q) | 900 | (237) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | Credit Suisse International | 06/16/21 | 0.85% | 1.00%(Q) | CDX.NA.IG.36.V1(Q) | 1,600 | (821) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | Goldman Sachs International | 06/16/21 | 0.85% | 1.00%(Q) | CDX.NA.IG.36.V1(Q) | 1,400 | (718) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | Goldman Sachs International | 07/21/21 | 0.90% | 1.00%(Q) | CDX.NA.IG.36.V1(Q) | 2,200 | (1,749) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | Goldman Sachs International | 07/21/21 | 0.90% | 1.00%(Q) | CDX.NA.IG.36.V1(Q) | 800 | (636) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | JP Morgan Chase Bank, N.A. | 07/21/21 | 0.90% | 1.00%(Q) | CDX.NA.IG.36.V1(Q) | 200 | (159) | |||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Bank of America, N.A. | 04/21/21 | 0.75% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 1,900 | (154) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Barclays Bank PLC | 04/21/21 | 0.75% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 3,900 | (315) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | BNP Paribas S.A. | 04/21/21 | 0.75% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 2,000 | (162) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | BNP Paribas S.A. | 04/21/21 | 0.75% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 1,600 | (129) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Deutsche Bank AG | 04/21/21 | 0.75% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 3,900 | (315) |
A51
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Morgan Stanley Capital Services LLC | 04/21/21 | 0.75% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 5,600 | $(453) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Bank of America, N.A. | 04/21/21 | 0.80% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 1,900 | (139) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Barclays Bank PLC | 04/21/21 | 0.80% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 1,800 | (132) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Barclays Bank PLC | 04/21/21 | 0.80% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 600 | (44) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | BNP Paribas S.A. | 04/21/21 | 0.80% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 4,900 | (360) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Barclays Bank PLC | 05/19/21 | 0.70% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 5,600 | (1,603) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | BNP Paribas S.A. | 05/19/21 | 0.70% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 2,700 | (773) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Deutsche Bank AG | 05/19/21 | 0.70% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 2,300 | (658) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Goldman Sachs International | 05/19/21 | 0.70% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 1,100 | (315) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Barclays Bank PLC | 05/19/21 | 0.75% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 2,400 | (576) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | BNP Paribas S.A. | 05/19/21 | 0.75% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 4,400 | (1,056) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Deutsche Bank AG | 05/19/21 | 0.75% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 1,800 | (432) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Barclays Bank PLC | 05/19/21 | 0.80% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 2,900 | (601) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | BNP Paribas S.A. | 05/19/21 | 0.80% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 1,000 | (207) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Deutsche Bank AG | 05/19/21 | 0.80% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 1,700 | (352) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Goldman Sachs International | 05/19/21 | 0.80% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 1,700 | (352) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Bank of America, N.A. | 06/16/21 | 0.80% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 1,100 | (452) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Barclays Bank PLC | 06/16/21 | 0.80% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 4,000 | (1,644) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Barclays Bank PLC | 06/16/21 | 0.80% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 1,200 | (493) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Goldman Sachs International | 06/16/21 | 0.80% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 2,200 | (904) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Goldman Sachs International | 06/16/21 | 0.80% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 1,200 | (493) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Barclays Bank PLC | 06/16/21 | 0.85% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 2,300 | (827) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Barclays Bank PLC | 06/16/21 | 0.85% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 1,500 | (539) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Deutsche Bank AG | 06/16/21 | 0.85% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 800 | (288) |
A52
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Goldman Sachs International | 06/16/21 | 0.85% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 800 | $(288) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Barclays Bank PLC | 07/21/21 | 0.75% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 4,200 | (3,493) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Barclays Bank PLC | 07/21/21 | 0.75% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 1,600 | (1,331) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Goldman Sachs International | 07/21/21 | 0.75% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 500 | (416) | ||||||||
iTraxx.EU.34.V1, 12/20/25 | Put | Goldman Sachs International | 07/21/21 | 0.75% | 1.00%(Q) | iTraxx.EU.34.V1(Q) | EUR | 1,200 | (998) | ||||||||
Total OTC Swaptions (premiums received $2,525,904) | $(2,966,406) | ||||||||||||||||
Total Options Written (premiums received $3,353,115) | $(3,541,927) |
(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, 2021: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
22 | 90 Day Euro Dollar | Mar. 2022 | $5,487,075 | $(2,784) | ||||
463 | 2 Year U.S. Treasury Notes | Jun. 2021 | 102,196,398 | (101,643) | ||||
200 | 3 Year Australian Treasury Bonds | Jun. 2021 | 17,780,061 | 1,618 | ||||
47 | 5 Year Euro-Bobl | Jun. 2021 | 7,445,191 | 2,292 | ||||
4,401 | 5 Year U.S. Treasury Notes | Jun. 2021 | 543,076,534 | (5,372,470) | ||||
134 | 10 Year Euro-Bund | Jun. 2021 | 26,915,247 | 161,705 | ||||
98 | 10 Year Japanese Bonds | Jun. 2021 | 133,788,033 | 248,568 | ||||
1,116 | 10 Year U.S. Treasury Notes | Jun. 2021 | 146,126,249 | (3,107,318) | ||||
231 | 10 Year U.S. Ultra Treasury Notes | Jun. 2021 | 33,191,812 | (1,074,259) | ||||
358 | 20 Year U.S. Treasury Bonds | Jun. 2021 | 55,344,562 | (2,141,997) | ||||
219 | 30 Year U.S. Ultra Treasury Bonds | Jun. 2021 | 39,686,906 | (2,377,547) | ||||
264 | Euro-BTP Italian Government Bond | Jun. 2021 | 46,225,301 | 261,238 | ||||
25 | Euro-OAT | Jun. 2021 | 4,747,969 | (5,458) | ||||
2,685 | Mini MSCI EAFE Index | Jun. 2021 | 294,276,000 | (1,349,374) | ||||
484 | Russell 2000 E-Mini Index | Jun. 2021 | 53,784,500 | (3,064,644) | ||||
2,724 | S&P 500 E-Mini Index | Jun. 2021 | 540,359,880 | 4,695,655 | ||||
(13,226,418) | ||||||||
Short Positions: | ||||||||
9 | 90 Day Euro Dollar | Jun. 2024 | 2,215,012 | (66) | ||||
1,687 | 2 Year U.S. Treasury Notes | Jun. 2021 | 372,365,711 | 318,753 | ||||
36 | 3 Year Australian Treasury Bonds | Jun. 2021 | 3,200,411 | (1,205) | ||||
131 | 5 Year Euro-Bobl | Jun. 2021 | 20,751,489 | (43,124) | ||||
56 | 10 Year Australian Treasury Bonds | Jun. 2021 | 5,874,666 | 17,066 | ||||
31 | 10 Year Canadian Government Bonds | Jun. 2021 | 3,423,148 | (15,859) | ||||
315 | 10 Year Euro-Bund | Jun. 2021 | 63,270,918 | 25,506 | ||||
54 | 10 Year U.K. Gilt | Jun. 2021 | 9,498,361 | 127,129 | ||||
31 | 10 Year U.S. Treasury Notes | Jun. 2021 | 4,059,062 | 35,821 | ||||
196 | 10 Year U.S. Ultra Treasury Notes | Jun. 2021 | 28,162,750 | 841,328 | ||||
222 | 20 Year U.S. Treasury Bonds | Jun. 2021 | 34,319,812 | 1,383,713 | ||||
107 | 30 Year Euro Buxl | Jun. 2021 | 25,853,673 | 7,878 |
A53
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Financial Futures contracts outstanding at March 31, 2021 (continued): | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Short Positions (cont’d): | ||||||||
31 | 30 Year U.S. Ultra Treasury Bonds | Jun. 2021 | $5,617,781 | $217,250 | ||||
1,975 | Euro Schatz Index | Jun. 2021 | 259,632,849 | (18,848) | ||||
70 | Euro-BTP Italian Government Bond | Jun. 2021 | 12,256,709 | 36,485 | ||||
5 | Euro-OAT | Jun. 2021 | 949,594 | 1,988 | ||||
46 | Short Euro-BTP | Jun. 2021 | 6,104,326 | (9,504) | ||||
2,924,311 | ||||||||
$(10,302,107) |
Commodity Futures contracts outstanding at March 31, 2021: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value/ Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
1 | Brent 1st Line vs. Dubai 1st Line | Jan. 2022 | $1,830 | $667 | ||||
1 | Brent 1st Line vs. Dubai 1st Line | Feb. 2022 | 1,780 | 617 | ||||
1 | Brent 1st Line vs. Dubai 1st Line | Mar. 2022 | 1,760 | 597 | ||||
1 | Brent 1st Line vs. Dubai 1st Line | Apr. 2022 | 1,700 | 537 | ||||
1 | Brent 1st Line vs. Dubai 1st Line | May 2022 | 1,680 | 517 | ||||
1 | Brent 1st Line vs. Dubai 1st Line | Jun. 2022 | 1,670 | 507 | ||||
1 | Brent 1st Line vs. Dubai 1st Line | Jul. 2022 | 1,640 | 477 | ||||
1 | Brent 1st Line vs. Dubai 1st Line | Aug. 2022 | 1,620 | 457 | ||||
1 | Brent 1st Line vs. Dubai 1st Line | Sep. 2022 | 1,600 | 437 | ||||
1 | Brent 1st Line vs. Dubai 1st Line | Oct. 2022 | 1,570 | 407 | ||||
1 | Brent 1st Line vs. Dubai 1st Line | Nov. 2022 | 1,550 | 387 | ||||
1 | Brent 1st Line vs. Dubai 1st Line | Dec. 2022 | 1,560 | 397 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Jan. 2023 | 3,160 | 779 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Feb. 2023 | 3,140 | 759 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Mar. 2023 | 3,200 | 819 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Apr. 2023 | 3,260 | 879 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | May 2023 | 3,200 | 819 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Jun. 2023 | 3,100 | 719 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Jul. 2023 | 2,980 | 599 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Aug. 2023 | 2,880 | 499 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Sep. 2023 | 2,780 | 399 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Oct. 2023 | 2,720 | 339 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Nov. 2023 | 2,740 | 359 | ||||
2 | Brent 1st Line vs. Dubai 1st Line | Dec. 2023 | 2,780 | 399 | ||||
24 | Brent Crude | Jun. 2021 | 1,505,760 | (86,653) | ||||
6 | Brent Crude | Nov. 2021 | 363,780 | (8,168) | ||||
78 | Brent Crude | Dec. 2021 | 4,697,160 | (79,360) | ||||
46 | Brent Crude | Mar. 2022 | 2,723,200 | 589,646 | ||||
8 | Brent Crude | Dec. 2023 | 442,960 | (12,246) | ||||
9 | Brent Crude | Dec. 2024 | 487,620 | 33,736 | ||||
158 | California Carbon Allowance Vintage | Dec. 2021 | 2,923,000 | 70,973 | ||||
3 | Chicago Ethanol (Platts) Swap | May 2021 | 240,975 | 17,844 | ||||
3 | Chicago Ethanol (Platts) Swap | Jun. 2021 | 237,195 | 31,179 | ||||
2 | Chicago Ethanol (Platts) Swap | Jul. 2021 | 155,400 | 15,266 | ||||
29 | Cocoa | Jul. 2021 | 691,650 | (34,968) | ||||
1 | Coffee ’C’ | Sep. 2021 | 47,738 | (3,567) | ||||
21 | Copper | Jul. 2021 | 2,100,262 | (28,557) | ||||
24 | Corn | Dec. 2021 | 573,000 | 30,790 | ||||
10 | Cotton No. 2 | Dec. 2021 | 400,500 | (25,669) | ||||
2 | Dated Brent vs. Brent 1st Line | Apr. 2021 | 1,540 | (1) |
A54
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Commodity Futures contracts outstanding at March 31, 2021 (continued): | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value/ Unrealized Appreciation (Depreciation) | ||||
Long Positions (cont’d): | ||||||||
23 | Gasoline RBOB | Sep. 2021 | $1,820,330 | $115,800 | ||||
55 | Hard Red Winter Wheat | May 2021 | 1,583,313 | (95,579) | ||||
13 | Hard Red Winter Wheat | Sep. 2021 | 382,525 | (38,469) | ||||
2 | Henry Hub LD1 Fixed Price | Oct. 2021 | 13,775 | (300) | ||||
2 | Henry Hub LD1 Fixed Price | Nov. 2021 | 14,150 | 473 | ||||
2 | Henry Hub LD1 Fixed Price | Dec. 2021 | 14,805 | 1,128 | ||||
8 | Henry Hub LD1 Fixed Price | Jan. 2022 | 60,980 | 8,929 | ||||
7 | Henry Hub LD1 Fixed Price | Feb. 2022 | 52,360 | 6,798 | ||||
8 | Henry Hub LD1 Fixed Price | Mar. 2022 | 56,360 | 4,309 | ||||
8 | Henry Hub LD1 Fixed Price | Apr. 2022 | 49,660 | (1,620) | ||||
8 | Henry Hub LD1 Fixed Price | May 2022 | 48,840 | (2,440) | ||||
8 | Henry Hub LD1 Fixed Price | Jun. 2022 | 49,460 | (1,820) | ||||
8 | Henry Hub LD1 Fixed Price | Jul. 2022 | 50,160 | (1,120) | ||||
8 | Henry Hub LD1 Fixed Price | Aug. 2022 | 50,280 | (1,000) | ||||
8 | Henry Hub LD1 Fixed Price | Sep. 2022 | 49,960 | (1,320) | ||||
8 | Henry Hub LD1 Fixed Price | Oct. 2022 | 50,460 | (820) | ||||
8 | Henry Hub LD1 Fixed Price | Nov. 2022 | 51,820 | (231) | ||||
8 | Henry Hub LD1 Fixed Price | Dec. 2022 | 55,180 | 3,129 | ||||
23 | ICE ECX EMISSION | Dec. 2021 | 1,147,663 | 175,103 | ||||
2 | ICE Endex Dutch TTF Natural Gas | May 2021 | 33,144 | 668 | ||||
2 | ICE Endex Dutch TTF Natural Gas | Apr. 2022 | 30,180 | 781 | ||||
2 | ICE Endex Dutch TTF Natural Gas | May 2022 | 29,255 | (1,124) | ||||
2 | ICE Endex Dutch TTF Natural Gas | Jun. 2022 | 27,399 | (2,000) | ||||
2 | ICE Endex Dutch TTF Natural Gas | Jul. 2022 | 28,956 | (1,423) | ||||
2 | ICE Endex Dutch TTF Natural Gas | Aug. 2022 | 29,115 | (1,264) | ||||
2 | ICE Endex Dutch TTF Natural Gas | Sep. 2022 | 28,458 | (941) | ||||
6 | Lean Hogs | Oct. 2021 | 203,880 | 5,612 | ||||
7 | Live Cattle | Jun. 2021 | 344,120 | 9,168 | ||||
2 | Live Cattle | Oct. 2021 | 100,180 | 219 | ||||
28 | LME Lead | May 2021 | 1,376,025 | (48,849) | ||||
5 | LME Lead | Jul. 2021 | 247,094 | (7,756) | ||||
24 | LME Nickel | May 2021 | 2,310,696 | (249,633) | ||||
13 | LME Nickel | Jul. 2021 | 1,253,694 | (47,682) | ||||
31 | LME PRI Aluminum | May 2021 | 1,705,194 | 81,236 | ||||
22 | LME Zinc | May 2021 | 1,546,738 | (8,511) | ||||
36 | Low Sulphur Gas Oil | Jun. 2021 | 1,835,100 | 44,266 | ||||
42 | Low Sulphur Gas Oil | Dec. 2021 | 2,156,700 | 465,083 | ||||
12 | Natural Gas | Sep. 2021 | 328,800 | (24,376) | ||||
6 | Natural Gas | Jan. 2022 | 182,940 | (8,692) | ||||
11 | No. 2 Soft Red Winter Wheat | Sep. 2021 | 339,488 | (18,284) | ||||
12 | NY Harbor ULSD | Sep. 2021 | 898,834 | (22,379) | ||||
3 | NY Harbor ULSD | Dec. 2021 | 225,729 | (8,682) | ||||
19 | Platinum | Jul. 2021 | 1,131,925 | (31,333) | ||||
119 | SGX Iron Ore 62% | Jul. 2021 | 1,756,559 | 5,598 | ||||
1 | Silver | Jul. 2021 | 122,860 | (5,567) | ||||
42 | Soybean | Jul. 2021 | 2,998,275 | 62,635 | ||||
12 | Soybean | Nov. 2021 | 753,750 | 17,172 | ||||
109 | Soybean Meal | Jul. 2021 | 4,630,320 | 186,911 | ||||
15 | Soybean Meal | Dec. 2021 | 596,250 | 36,478 | ||||
3 | Soybean Oil | Jul. 2021 | 91,368 | 1,414 | ||||
18 | Soybean Oil | Dec. 2021 | 497,232 | 35,227 | ||||
23 | Sugar #11 (World) | Oct. 2021 | 380,733 | (20,242) | ||||
1 | White Sugar | May 2021 | 21,000 | (480) | ||||
14 | White Sugar | Aug. 2021 | 291,900 | (17,566) | ||||
24 | WTI Crude | Oct. 2021 | 1,386,240 | 161,729 | ||||
28 | WTI Crude | Nov. 2021 | 1,604,120 | 71,137 |
A55
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Commodity Futures contracts outstanding at March 31, 2021 (continued): | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value/ Unrealized Appreciation (Depreciation) | ||||
Long Positions (cont’d): | ||||||||
116 | WTI Crude | Jun. 2022 | $6,347,520 | $408,917 | ||||
39 | WTI Crude | Jun. 2023 | 2,020,980 | (93,985) | ||||
1 | WTI Houston (Argus) vs. WTI Trade Month | May 2021 | 1,100 | (1,402) | ||||
1 | WTI Houston (Argus) vs. WTI Trade Month | Jun. 2021 | 1,230 | (1,272) | ||||
1 | WTI Houston (Argus) vs. WTI Trade Month | Jul. 2021 | 1,300 | (1,202) | ||||
1 | WTI Houston (Argus) vs. WTI Trade Month | Aug. 2021 | 1,300 | (1,202) | ||||
1 | WTI Houston (Argus) vs. WTI Trade Month | Sep. 2021 | 1,300 | (1,202) | ||||
1 | WTI Houston (Argus) vs. WTI Trade Month | Oct. 2021 | 1,300 | (1,202) | ||||
1 | WTI Houston (Argus) vs. WTI Trade Month | Nov. 2021 | 1,330 | (1,172) | ||||
1 | WTI Houston (Argus) vs. WTI Trade Month | Dec. 2021 | 1,350 | (1,152) | ||||
8 | WTI Light Sweet Crude Oil | Jun. 2021 | 473,440 | 131,335 | ||||
12 | WTI Light Sweet Crude Oil | Dec. 2021 | 682,200 | (712) | ||||
50 | WTI Light Sweet Crude Oil | Dec. 2022 | 2,656,000 | 167,313 | ||||
1,956,179 | ||||||||
Short Positions: | ||||||||
15 | Brent Crude | Sep. 2021 | 922,350 | 20,627 | ||||
60 | Brent Crude | Jun. 2022 | 3,505,200 | 195,340 | ||||
82 | Brent Crude | Dec. 2022 | 4,687,120 | 14,971 | ||||
47 | Brent Crude | Jun. 2023 | 2,644,220 | (222,296) | ||||
2 | California Carbon Allowance Current Auction Clearing Price | Nov. 2021 | — | (11) | ||||
22 | Coffee ’C’ | Jul. 2021 | 1,034,550 | 52,327 | ||||
5 | Corn | May 2021 | 141,063 | (5,281) | ||||
185 | Corn | Jul. 2021 | 5,064,375 | (151,056) | ||||
5 | Corn | Sep. 2021 | 124,000 | (410) | ||||
8 | Gasoline RBOB | Dec. 2021 | 569,453 | 11,417 | ||||
30 | Gold 100 OZ | Jun. 2021 | 5,146,800 | 21,102 | ||||
42 | Hard Red Winter Wheat | Jul. 2021 | 1,221,675 | 51,545 | ||||
18 | ICE Endex Dutch TTF Natural Gas | Jun. 2021 | 287,793 | (20,611) | ||||
2 | ICE Endex Dutch TTF Natural Gas | Jul. 2021 | 32,956 | (1,039) | ||||
2 | ICE Endex Dutch TTF Natural Gas | Aug. 2021 | 32,985 | (1,069) | ||||
2 | ICE Endex Dutch TTF Natural Gas | Sep. 2021 | 32,090 | (1,203) | ||||
8 | ICE Endex Dutch TTF Natural Gas | Oct. 2021 | 135,592 | (10,502) | ||||
8 | ICE Endex Dutch TTF Natural Gas | Nov. 2021 | 135,588 | (14,696) | ||||
8 | ICE Endex Dutch TTF Natural Gas | Dec. 2021 | 142,237 | (17,315) | ||||
8 | ICE Endex Dutch TTF Natural Gas | Jan. 2022 | 143,598 | (15,694) | ||||
8 | ICE Endex Dutch TTF Natural Gas | Feb. 2022 | 130,010 | (14,485) | ||||
8 | ICE Endex Dutch TTF Natural Gas | Mar. 2022 | 139,912 | (12,181) | ||||
4 | ICE Endex Dutch TTF Natural Gas | Oct. 2022 | 61,565 | (6,212) | ||||
4 | ICE Endex Dutch TTF Natural Gas | Nov. 2022 | 62,100 | (8,604) | ||||
4 | ICE Endex Dutch TTF Natural Gas | Dec. 2022 | 65,321 | (10,043) | ||||
5 | ICE Natural Gas | Jun. 2021 | 96,902 | (2,704) | ||||
39 | Lean Hogs | Jun. 2021 | 1,642,680 | (221,031) | ||||
28 | LME Lead | May 2021 | 1,376,025 | (9,761) | ||||
12 | LME Lead | Jul. 2021 | 593,025 | (5,934) | ||||
24 | LME Nickel | May 2021 | 2,310,696 | 85,101 | ||||
31 | LME PRI Aluminum | May 2021 | 1,705,194 | (152,235) | ||||
17 | LME PRI Aluminum | Jul. 2021 | 941,694 | (3,588) | ||||
22 | LME Zinc | May 2021 | 1,546,738 | (58,799) | ||||
5 | LME Zinc | Jul. 2021 | 352,719 | (1,788) | ||||
11 | Low Sulphur Gas Oil | Sep. 2021 | 565,400 | 10,503 | ||||
19 | Low Sulphur Gas Oil | Mar. 2022 | 975,175 | (236,748) | ||||
16 | Natural Gas | Jul. 2021 | 437,120 | 13,757 | ||||
6 | Natural Gas | Oct. 2021 | 165,300 | 10,828 | ||||
32 | No. 2 Soft Red Winter Wheat | May 2021 | 988,800 | 47,037 | ||||
60 | No. 2 Soft Red Winter Wheat | Jul. 2021 | 1,847,250 | 28,945 | ||||
3 | NY Harbor ULSD | Jun. 2021 | 223,373 | 11,806 |
A56
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Commodity Futures contracts outstanding at March 31, 2021 (continued): | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value/ Unrealized Appreciation (Depreciation) | ||||
Short Positions (cont’d): | ||||||||
1 | Sugar #11 (World) | May 2021 | $16,542 | $1,510 | ||||
43 | Sugar #11 (World) | Jul. 2021 | 711,323 | 33,534 | ||||
8 | WTI Crude | Jun. 2021 | 473,440 | 31,418 | ||||
14 | WTI Crude | Jul. 2021 | 826,420 | (31,208) | ||||
11 | WTI Crude | Sep. 2021 | 640,640 | 28,708 | ||||
96 | WTI Crude | Dec. 2021 | 5,457,600 | (62,490) | ||||
12 | WTI Crude | Feb. 2022 | 672,240 | (74,167) | ||||
22 | WTI Crude | Mar. 2022 | 1,224,300 | (87,903) | ||||
10 | WTI Crude | Dec. 2022 | 531,200 | (1,662) | ||||
7 | WTI Crude | Dec. 2023 | 355,880 | 9,352 | ||||
9 | WTI Crude | Dec. 2024 | 444,690 | (27,568) | ||||
1 | WTI Midland (Argus) vs. WTI Financial | May 2021 | 540 | 758 | ||||
1 | WTI Midland (Argus) vs. WTI Financial | Jun. 2021 | 650 | 648 | ||||
1 | WTI Midland (Argus) vs. WTI Financial | Jul. 2021 | 780 | 518 | ||||
1 | WTI Midland (Argus) vs. WTI Financial | Aug. 2021 | 780 | 518 | ||||
1 | WTI Midland (Argus) vs. WTI Financial | Sep. 2021 | 780 | 518 | ||||
1 | WTI Midland (Argus) vs. WTI Financial | Oct. 2021 | 800 | 498 | ||||
1 | WTI Midland (Argus) vs. WTI Financial | Nov. 2021 | 800 | 498 | ||||
1 | WTI Midland (Argus) vs. WTI Financial | Dec. 2021 | 800 | 498 | ||||
(806,012) | ||||||||
$1,150,167 |
Forward foreign currency exchange contracts outstanding at March 31, 2021:
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 04/07/21 | Goldman Sachs Bank USA | AUD | 12,094 | $9,224,994 | $9,186,402 | $— | $(38,592) | ||||||
Expiring 04/07/21 | Goldman Sachs Bank USA | AUD | 7,934 | 6,052,129 | 6,026,811 | — | (25,318) | ||||||
Expiring 04/07/21 | HSBC Bank USA, N.A. | AUD | 1,715 | 1,341,381 | 1,302,697 | — | (38,684) | ||||||
Brazilian Real, | |||||||||||||
Expiring 04/05/21 | Deutsche Bank AG | BRL | 19,165 | 3,461,174 | 3,403,737 | — | (57,437) | ||||||
British Pound, | |||||||||||||
Expiring 04/06/21 | Morgan Stanley & Co. International PLC | GBP | 11,997 | 16,446,147 | 16,538,829 | 92,682 | — | ||||||
Expiring 04/06/21 | Morgan Stanley & Co. International PLC | GBP | 1,744 | 2,420,357 | 2,404,664 | — | (15,693) | ||||||
Expiring 04/07/21 | HSBC Bank USA, N.A. | GBP | 1,881 | 2,623,199 | 2,593,203 | — | (29,996) | ||||||
Expiring 04/07/21 | Standard Chartered Bank, London | GBP | 34,625 | 47,635,094 | 47,734,536 | 99,442 | — | ||||||
Expiring 04/07/21 | Standard Chartered Bank, London | GBP | 16,780 | 23,085,219 | 23,133,411 | 48,192 | — | ||||||
Canadian Dollar, | |||||||||||||
Expiring 04/07/21 | BNP Paribas S.A. | CAD | 225 | 178,926 | 179,044 | 118 | — | ||||||
Expiring 04/07/21 | Citibank, N.A. | CAD | 4,682 | 3,714,548 | 3,725,720 | 11,172 | — | ||||||
Expiring 04/07/21 | Citibank, N.A. | CAD | 2,292 | 1,818,399 | 1,823,868 | 5,469 | — | ||||||
Expiring 04/07/21 | HSBC Bank USA, N.A. | CAD | 2,991 | 2,361,677 | 2,380,099 | 18,422 | — | ||||||
Expiring 04/20/21 | Citibank, N.A. | CAD | 578 | 454,377 | 459,619 | 5,242 | — | ||||||
Chinese Renminbi, | |||||||||||||
Expiring 06/16/21 | JPMorgan Chase Bank, N.A. | CNH | 9,030 | 1,379,042 | 1,367,518 | — | (11,524) | ||||||
Danish Krone, | |||||||||||||
Expiring 04/09/21 | Citibank, N.A. | DKK | 94,532 | 14,969,672 | 14,904,843 | — | (64,829) | ||||||
Expiring 04/09/21 | Citibank, N.A. | DKK | 81,644 | 12,928,766 | 12,872,775 | — | (55,991) | ||||||
Expiring 04/09/21 | HSBC Bank USA, N.A. | DKK | 5,780 | 937,342 | 911,331 | — | (26,011) | ||||||
Expiring 04/09/21 | JPMorgan Chase Bank, N.A. | DKK | 105,390 | 16,690,888 | 16,616,820 | — | (74,068) | ||||||
Expiring 04/09/21 | JPMorgan Chase Bank, N.A. | DKK | 91,022 | 14,415,318 | 14,351,348 | — | (63,970) | ||||||
Expiring 04/09/21 | JPMorgan Chase Bank, N.A. | DKK | 3,675 | 599,939 | 579,435 | — | (20,504) |
A57
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Forward foreign currency exchange contracts outstanding at March 31, 2021 (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.): | |||||||||||||
Danish Krone (cont’d.), | |||||||||||||
Expiring 04/09/21 | NatWest Markets Plc | DKK | 3,240 | $526,987 | $510,849 | $— | $(16,138) | ||||||
Euro, | |||||||||||||
Expiring 04/06/21 | Barclays Bank PLC | EUR | 540 | 654,841 | 633,338 | — | (21,503) | ||||||
Expiring 04/06/21 | Citibank, N.A. | EUR | 39,152 | 46,239,047 | 45,919,787 | — | (319,260) | ||||||
Expiring 04/06/21 | The Toronto-Dominion Bank | EUR | 13,862 | 16,540,157 | 16,257,985 | — | (282,172) | ||||||
Expiring 04/07/21 | HSBC Bank USA, N.A. | EUR | 1,300 | 1,568,282 | 1,524,731 | — | (43,551) | ||||||
Expiring 04/07/21 | JPMorgan Chase Bank, N.A. | EUR | 8,427 | 9,888,108 | 9,883,776 | — | (4,332) | ||||||
Expiring 04/07/21 | JPMorgan Chase Bank, N.A. | EUR | 230 | 271,007 | 269,760 | — | (1,247) | ||||||
Expiring 05/05/21 | UBS AG Stamford | EUR | 2,118 | 2,495,560 | 2,485,241 | — | (10,319) | ||||||
Expiring 06/28/21 | Morgan Stanley & Co. International PLC | EUR | 59 | 75,432 | 69,321 | — | (6,111) | ||||||
Expiring 07/01/21 | BNP Paribas S.A. | EUR | 111 | 129,791 | 130,425 | 634 | — | ||||||
Expiring 07/01/21 | Goldman Sachs Bank USA | EUR | 58 | 69,078 | 68,068 | — | (1,010) | ||||||
Expiring 07/01/21 | Goldman Sachs Bank USA | EUR | 53 | 63,186 | 62,276 | — | (910) | ||||||
Expiring 07/01/22 | BNP Paribas S.A. | EUR | 254 | 306,648 | 300,976 | — | (5,672) | ||||||
Expiring 07/01/22 | Goldman Sachs Bank USA | EUR | 113 | 138,224 | 134,004 | — | (4,220) | ||||||
Expiring 07/01/22 | Goldman Sachs Bank USA | EUR | 85 | 103,833 | 100,800 | — | (3,033) | ||||||
Expiring 07/01/22 | JPMorgan Chase Bank, N.A. | EUR | 127 | 150,534 | 150,606 | 72 | — | ||||||
Indonesian Rupiah, | |||||||||||||
Expiring 06/16/21 | Standard Chartered Bank, London | IDR | 38,158,010 | 2,621,463 | 2,591,388 | — | (30,075) | ||||||
Japanese Yen, | |||||||||||||
Expiring 04/07/21 | HSBC Bank USA, N.A. | JPY | 149,700 | 1,400,318 | 1,352,102 | — | (48,216) | ||||||
Expiring 04/07/21 | Morgan Stanley & Co. International PLC | JPY | 69,907 | 633,721 | 631,406 | — | (2,315) | ||||||
Expiring 04/07/21 | Morgan Stanley & Co. International PLC | JPY | 62,038 | 563,303 | 560,329 | — | (2,974) | ||||||
Mexican Peso, | |||||||||||||
Expiring 05/04/21 | Barclays Bank PLC | MXN | 309 | 15,143 | 15,059 | — | (84) | ||||||
Expiring 09/03/21 | HSBC Bank USA, N.A. | MXN | 50,745 | 2,413,050 | 2,439,572 | 26,522 | — | ||||||
Expiring 10/05/21 | HSBC Bank USA, N.A. | MXN | 309 | 14,675 | 14,797 | 122 | — | ||||||
New Taiwanese Dollar, | |||||||||||||
Expiring 04/14/21 | Goldman Sachs Bank USA | TWD | 24,513 | 872,726 | 862,522 | — | (10,204) | ||||||
Expiring 04/14/21 | Standard Chartered Bank, London | TWD | 73,317 | 2,596,484 | 2,579,739 | — | (16,745) | ||||||
Expiring 06/16/21 | BNP Paribas S.A. | TWD | 17,656 | 635,000 | 625,270 | — | (9,730) | ||||||
Expiring 06/16/21 | BNP Paribas S.A. | TWD | 28 | 1,000 | 986 | — | (14) | ||||||
Expiring 06/16/21 | Citibank, N.A. | TWD | 53,183 | 1,911,000 | 1,883,478 | — | (27,522) | ||||||
Expiring 06/16/21 | Citibank, N.A. | TWD | 14,346 | 517,000 | 508,066 | — | (8,934) | ||||||
Expiring 06/16/21 | HSBC Bank USA, N.A. | TWD | 28 | 1,000 | 985 | — | (15) | ||||||
Expiring 06/16/21 | JPMorgan Chase Bank, N.A. | TWD | 3,392 | 122,000 | 120,113 | — | (1,887) | ||||||
Expiring 06/16/21 | JPMorgan Chase Bank, N.A. | TWD | 28 | 1,000 | 985 | — | (15) | ||||||
Expiring 06/16/21 | Standard Chartered Bank, London | TWD | 111,468 | 4,001,000 | 3,947,628 | — | (53,372) | ||||||
Expiring 06/16/21 | Standard Chartered Bank, London | TWD | 277 | 10,000 | 9,821 | — | (179) | ||||||
New Zealand Dollar, | |||||||||||||
Expiring 04/07/21 | HSBC Bank USA, N.A. | NZD | 4,128 | 2,996,745 | 2,882,995 | — | (113,750) | ||||||
Expiring 04/07/21 | Morgan Stanley & Co. International PLC | NZD | 5,275 | 3,682,885 | 3,683,761 | 876 | — | ||||||
Expiring 04/07/21 | UBS AG Stamford | NZD | 3,727 | 2,615,186 | 2,603,236 | — | (11,950) | ||||||
Norwegian Krone, | |||||||||||||
Expiring 04/07/21 | Goldman Sachs Bank USA | NOK | 41,355 | 4,945,432 | 4,835,117 | — | (110,315) | ||||||
Expiring 05/04/21 | Morgan Stanley & Co. International PLC | NOK | 41,355 | 4,818,929 | 4,835,124 | 16,195 | — | ||||||
Peruvian Nuevo Sol, | |||||||||||||
Expiring 04/06/21 | Citibank, N.A. | PEN | 3,944 | 1,083,000 | 1,053,636 | — | (29,364) | ||||||
Expiring 04/06/21 | HSBC Bank USA, N.A. | PEN | 3,944 | 1,050,241 | 1,053,636 | 3,395 | — | ||||||
Expiring 04/20/21 | Citibank, N.A. | PEN | 12,760 | 3,432,945 | 3,408,643 | — | (24,302) | ||||||
Expiring 04/20/21 | Citibank, N.A. | PEN | 2,362 | 635,377 | 630,879 | — | (4,498) | ||||||
Expiring 12/09/21 | HSBC Bank USA, N.A. | PEN | 3,944 | 1,066,424 | 1,052,267 | — | (14,157) | ||||||
Polish Zloty, | |||||||||||||
Expiring 04/19/21 | HSBC Bank USA, N.A. | PLN | 45 | 11,997 | 11,357 | — | (640) |
A58
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Forward foreign currency exchange contracts outstanding at March 31, 2021 (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, | |||||||||||||
Expiring 04/22/21 | BNP Paribas S.A. | RUB | 245,964 | $3,340,830 | $3,245,263 | $— | $(95,567) | ||||||
Expiring 05/21/21 | UBS AG Stamford | RUB | 166,975 | 2,237,307 | 2,195,945 | — | (41,362) | ||||||
Expiring 06/22/21 | Citibank, N.A. | RUB | 27,726 | 372,007 | 363,129 | — | (8,878) | ||||||
Expiring 06/22/21 | Citibank, N.A. | RUB | 11,619 | 155,409 | 152,176 | — | (3,233) | ||||||
Expiring 06/22/21 | Citibank, N.A. | RUB | 11,317 | 151,804 | 148,217 | — | (3,587) | ||||||
Expiring 06/22/21 | HSBC Bank USA, N.A. | RUB | 12,268 | 164,894 | 160,678 | — | (4,216) | ||||||
Expiring 06/22/21 | UBS AG Stamford | RUB | 12,527 | 167,385 | 164,067 | — | (3,318) | ||||||
Expiring 06/22/21 | UBS AG Stamford | RUB | 12,526 | 167,670 | 164,060 | — | (3,610) | ||||||
South African Rand, | |||||||||||||
Expiring 05/14/21 | HSBC Bank USA, N.A. | ZAR | 7,208 | 481,821 | 485,421 | 3,600 | — | ||||||
Expiring 05/14/21 | UBS AG Stamford | ZAR | 8,851 | 584,812 | 596,064 | 11,252 | — | ||||||
Expiring 05/14/21 | UBS AG Stamford | ZAR | 8,787 | 581,608 | 591,807 | 10,199 | — | ||||||
Expiring 06/15/21 | Goldman Sachs Bank USA | ZAR | 3,882 | 257,441 | 260,361 | 2,920 | — | ||||||
Expiring 06/15/21 | HSBC Bank USA, N.A. | ZAR | 14,767 | 956,961 | 990,414 | 33,453 | — | ||||||
Expiring 06/15/21 | JPMorgan Chase Bank, N.A. | ZAR | 6,393 | 418,314 | 428,769 | 10,455 | — | ||||||
South Korean Won, | |||||||||||||
Expiring 06/16/21 | BNP Paribas S.A. | KRW | 10,205,859 | 9,077,846 | 9,050,470 | — | (27,376) | ||||||
Swedish Krona, | |||||||||||||
Expiring 04/07/21 | Standard Chartered Bank, London | SEK | 39,986 | 4,858,232 | 4,578,801 | — | (279,431) | ||||||
$330,602,688 | $328,769,192 | 400,434 | (2,233,930) |
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 04/07/21 | BNP Paribas S.A. | AUD | 4,121 | $3,263,802 | $3,130,303 | $133,499 | $— | ||||||
Expiring 04/07/21 | Citibank, N.A. | AUD | 4,715 | 3,651,966 | 3,581,467 | 70,499 | — | ||||||
Expiring 04/07/21 | Citibank, N.A. | AUD | 3,305 | 2,559,862 | 2,510,445 | 49,417 | — | ||||||
Expiring 04/07/21 | JPMorgan Chase Bank, N.A. | AUD | 891 | 683,517 | 676,794 | 6,723 | — | ||||||
Expiring 04/07/21 | Morgan Stanley & Co. International PLC | AUD | 5,492 | 4,350,679 | 4,171,557 | 179,122 | — | ||||||
Expiring 04/07/21 | Morgan Stanley & Co. International PLC | AUD | 3,219 | 2,550,345 | 2,445,344 | 105,001 | — | ||||||
Expiring 05/04/21 | Goldman Sachs Bank USA | AUD | 12,094 | 9,226,058 | 9,187,615 | 38,443 | — | ||||||
Expiring 05/04/21 | Goldman Sachs Bank USA | AUD | 7,934 | 6,052,828 | 6,027,607 | 25,221 | — | ||||||
Brazilian Real, | |||||||||||||
Expiring 04/05/21 | Citibank, N.A. | BRL | 3,381 | 613,000 | 600,421 | 12,579 | — | ||||||
Expiring 04/05/21 | Goldman Sachs Bank USA | BRL | 903 | 165,000 | 160,337 | 4,663 | — | ||||||
Expiring 04/05/21 | HSBC Bank USA, N.A. | BRL | 3,136 | 569,000 | 556,955 | 12,045 | — | ||||||
Expiring 04/05/21 | HSBC Bank USA, N.A. | BRL | 2,066 | 378,000 | 367,011 | 10,989 | — | ||||||
Expiring 04/05/21 | Standard Chartered Bank, London | BRL | 9,679 | 1,794,695 | 1,719,013 | 75,682 | — | ||||||
Expiring 05/04/21 | Deutsche Bank AG | BRL | 19,165 | 3,456,788 | 3,397,737 | 59,051 | — | ||||||
British Pound, | |||||||||||||
Expiring 04/06/21 | Barclays Bank PLC | GBP | 8,939 | 12,538,048 | 12,323,624 | 214,424 | — | ||||||
Expiring 04/06/21 | JPMorgan Chase Bank, N.A. | GBP | 4,802 | 6,764,546 | 6,619,867 | 144,679 | — | ||||||
Expiring 04/07/21 | Citibank, N.A. | GBP | 32,691 | 46,278,498 | 45,068,265 | 1,210,233 | — | ||||||
Expiring 04/07/21 | Citibank, N.A. | GBP | 16,780 | 23,754,620 | 23,133,411 | 621,209 | — | ||||||
Expiring 04/07/21 | HSBC Bank USA, N.A. | GBP | 3,243 | 4,503,082 | 4,470,897 | 32,185 | — | ||||||
Expiring 04/07/21 | HSBC Bank USA, N.A. | GBP | 572 | 787,546 | 788,576 | — | (1,030) | ||||||
Expiring 05/05/21 | Morgan Stanley & Co. International PLC | GBP | 11,997 | 16,447,369 | 16,540,412 | — | (93,043) | ||||||
Expiring 05/05/21 | Standard Chartered Bank, London | GBP | 34,625 | 47,639,768 | 47,738,959 | — | (99,191) | ||||||
Expiring 05/05/21 | Standard Chartered Bank, London | GBP | 16,780 | 23,087,485 | 23,135,555 | — | (48,070) | ||||||
Canadian Dollar, | |||||||||||||
Expiring 04/07/21 | BNP Paribas S.A. | CAD | 1,382 | 1,099,505 | 1,099,732 | — | (227) | ||||||
Expiring 04/07/21 | HSBC Bank USA, N.A. | CAD | 3,297 | 2,606,029 | 2,623,601 | — | (17,572) |
A59
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Forward foreign currency exchange contracts outstanding at March 31, 2021 (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.): | |||||||||||||
Canadian Dollar (cont’d.), | |||||||||||||
Expiring 04/07/21 | HSBC Bank USA, N.A. | CAD | 2,426 | $1,941,489 | $1,930,498 | $10,991 | $— | ||||||
Expiring 04/07/21 | HSBC Bank USA, N.A. | CAD | 2,292 | 1,809,751 | 1,823,868 | — | (14,117) | ||||||
Expiring 04/07/21 | HSBC Bank USA, N.A. | CAD | 793 | 636,349 | 631,033 | 5,316 | — | ||||||
Expiring 05/04/21 | Citibank, N.A. | CAD | 4,682 | 3,714,669 | 3,725,868 | — | (11,199) | ||||||
Expiring 05/04/21 | Citibank, N.A. | CAD | 2,292 | 1,818,458 | 1,823,940 | — | (5,482) | ||||||
Chinese Renminbi, | |||||||||||||
Expiring 06/16/21 | BNP Paribas S.A. | CNH | 24,433 | 3,739,621 | 3,700,140 | 39,481 | — | ||||||
Expiring 06/16/21 | Goldman Sachs Bank USA | CNH | 178,090 | 27,028,033 | 26,970,306 | 57,727 | — | ||||||
Expiring 06/16/21 | Goldman Sachs Bank USA | CNH | 4,813 | 732,499 | 728,889 | 3,610 | — | ||||||
Expiring 06/16/21 | JPMorgan Chase Bank, N.A. | CNH | 2,310 | 354,538 | 349,802 | 4,736 | — | ||||||
Expiring 06/16/21 | Morgan Stanley & Co. International PLC | CNH | 230,149 | 35,039,866 | 34,854,121 | 185,745 | — | ||||||
Danish Krone, | |||||||||||||
Expiring 04/09/21 | Citibank, N.A. | DKK | 50,312 | 8,233,986 | 7,932,717 | 301,269 | — | ||||||
Expiring 04/09/21 | Citibank, N.A. | DKK | 34,904 | 5,712,328 | 5,503,323 | 209,005 | — | ||||||
Expiring 04/09/21 | HSBC Bank USA, N.A. | DKK | 19,490 | 3,182,484 | 3,072,981 | 109,503 | — | ||||||
Expiring 04/09/21 | HSBC Bank USA, N.A. | DKK | 19,480 | 3,178,328 | 3,071,404 | 106,924 | — | ||||||
Expiring 04/09/21 | Morgan Stanley & Co. International PLC | DKK | 96,530 | 15,763,114 | 15,219,897 | 543,217 | — | ||||||
Expiring 04/09/21 | Morgan Stanley & Co. International PLC | DKK | 66,968 | 10,935,660 | 10,558,803 | 376,857 | — | ||||||
Expiring 04/09/21 | Morgan Stanley & Co. International PLC | DKK | 2,840 | 455,662 | 447,782 | 7,880 | — | ||||||
Expiring 04/09/21 | UBS AG Stamford | DKK | 57,155 | 9,363,821 | 9,011,551 | 352,270 | — | ||||||
Expiring 04/09/21 | UBS AG Stamford | DKK | 37,604 | 6,160,711 | 5,928,943 | 231,768 | — | ||||||
Expiring 07/01/21 | Citibank, N.A. | DKK | 94,532 | 14,991,912 | 14,927,645 | 64,267 | — | ||||||
Expiring 07/01/21 | Citibank, N.A. | DKK | 81,644 | 12,947,973 | 12,892,468 | 55,505 | — | ||||||
Expiring 07/01/21 | JPMorgan Chase Bank, N.A. | DKK | 105,390 | 16,716,303 | 16,642,241 | 74,062 | — | ||||||
Expiring 07/01/21 | JPMorgan Chase Bank, N.A. | DKK | 91,022 | 14,437,268 | 14,373,303 | 63,965 | — | ||||||
Euro, | |||||||||||||
Expiring 04/06/21 | Bank of America, N.A. | EUR | 307 | 370,142 | 360,212 | 9,930 | — | ||||||
Expiring 04/06/21 | Barclays Bank PLC | EUR | 52,203 | 63,459,709 | 61,226,486 | 2,233,223 | — | ||||||
Expiring 04/06/21 | Morgan Stanley & Co. International PLC | EUR | 1,044 | 1,246,188 | 1,224,407 | 21,781 | — | ||||||
Expiring 04/06/21 | Standard Chartered Bank, London | EUR | 78,624 | 95,511,293 | 92,213,364 | 3,297,929 | — | ||||||
Expiring 04/06/21 | Standard Chartered Bank, London | EUR | 49,625 | 60,284,028 | 58,202,468 | 2,081,560 | — | ||||||
Expiring 04/07/21 | BNP Paribas S.A. | EUR | 2,252 | 2,683,546 | 2,641,303 | 42,243 | — | ||||||
Expiring 04/07/21 | BNP Paribas S.A. | EUR | 1,445 | 1,704,472 | 1,694,798 | 9,674 | — | ||||||
Expiring 04/07/21 | HSBC Bank USA, N.A. | EUR | 3,502 | 4,143,877 | 4,107,390 | 36,487 | — | ||||||
Expiring 04/07/21 | HSBC Bank USA, N.A. | EUR | 3,480 | 4,112,920 | 4,081,588 | 31,332 | — | ||||||
Expiring 05/04/21 | JPMorgan Chase Bank, N.A. | EUR | 8,427 | 9,893,692 | 9,889,354 | 4,338 | — | ||||||
Expiring 05/04/21 | Standard Chartered Bank, London | EUR | 78,624 | 92,459,250 | 92,267,312 | 191,938 | — | ||||||
Expiring 05/04/21 | Standard Chartered Bank, London | EUR | 49,625 | 58,357,665 | 58,236,519 | 121,146 | — | ||||||
Expiring 05/05/21 | Citibank, N.A. | EUR | 39,152 | 46,266,961 | 45,947,647 | 319,314 | — | ||||||
Expiring 07/01/21 | Goldman Sachs Bank USA | EUR | 56 | 66,835 | 65,979 | 856 | — | ||||||
Expiring 07/01/21 | JPMorgan Chase Bank, N.A. | EUR | 135 | 152,652 | 158,267 | — | (5,615) | ||||||
Expiring 07/01/21 | Morgan Stanley & Co. International PLC | EUR | 113 | 134,473 | 132,553 | 1,920 | — | ||||||
Expiring 07/01/21 | Morgan Stanley & Co. International PLC | EUR | 50 | 59,817 | 58,751 | 1,066 | — | ||||||
Expiring 07/01/22 | Goldman Sachs Bank USA | EUR | 282 | 349,578 | 334,418 | 15,160 | — | ||||||
Expiring 07/01/22 | HSBC Bank USA, N.A. | EUR | 22 | 27,327 | 26,089 | 1,238 | — | ||||||
Expiring 07/01/22 | JPMorgan Chase Bank, N.A. | EUR | 211 | 243,474 | 250,352 | — | (6,878) | ||||||
Expiring 07/01/22 | JPMorgan Chase Bank, N.A. | EUR | 131 | 157,512 | 155,647 | 1,865 | — | ||||||
Expiring 11/01/22 | Goldman Sachs Bank USA | EUR | 252 | 311,166 | 299,851 | 11,315 | — | ||||||
Expiring 12/01/22 | Goldman Sachs Bank USA | EUR | 132 | 164,360 | 157,194 | 7,166 | — | ||||||
Israeli Shekel, | |||||||||||||
Expiring 05/13/21 | HSBC Bank USA, N.A. | ILS | 2,097 | 645,585 | 627,674 | 17,911 | — | ||||||
Expiring 05/13/21 | HSBC Bank USA, N.A. | ILS | 1,859 | 571,619 | 556,399 | 15,220 | — | ||||||
Expiring 05/13/21 | HSBC Bank USA, N.A. | ILS | 1,385 | 422,636 | 414,340 | 8,296 | — | ||||||
Expiring 11/30/21 | Citibank, N.A. | ILS | 15,304 | 4,702,792 | 4,598,328 | 104,464 | — | ||||||
Expiring 11/30/21 | Citibank, N.A. | ILS | 9,302 | 2,874,005 | 2,794,923 | 79,082 | — |
A60
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Forward foreign currency exchange contracts outstanding at March 31, 2021 (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.): | |||||||||||||
Israeli Shekel (cont’d.), | |||||||||||||
Expiring 11/30/21 | Citibank, N.A. | ILS | 8,801 | $2,698,330 | $2,644,472 | $53,858 | $— | ||||||
Expiring 11/30/21 | Citibank, N.A. | ILS | 7,302 | 2,228,520 | 2,194,083 | 34,437 | — | ||||||
Expiring 11/30/21 | Citibank, N.A. | ILS | 6,102 | 1,863,744 | 1,833,320 | 30,424 | — | ||||||
Expiring 11/30/21 | Citibank, N.A. | ILS | 3,701 | 1,120,077 | 1,112,125 | 7,952 | — | ||||||
Expiring 01/31/22 | HSBC Bank USA, N.A. | ILS | 6,121 | 1,896,026 | 1,841,568 | 54,458 | — | ||||||
Expiring 02/02/22 | Citibank, N.A. | ILS | 8,803 | 2,722,662 | 2,648,340 | 74,322 | — | ||||||
Expiring 02/02/22 | Citibank, N.A. | ILS | 8,503 | 2,627,001 | 2,558,056 | 68,945 | — | ||||||
Japanese Yen, | |||||||||||||
Expiring 04/07/21 | Morgan Stanley & Co. International PLC | JPY | 281,645 | 2,654,815 | 2,543,838 | 110,977 | — | ||||||
Expiring 05/07/21 | Morgan Stanley & Co. International PLC | JPY | 69,907 | 633,911 | 631,596 | 2,315 | — | ||||||
Expiring 05/07/21 | Morgan Stanley & Co. International PLC | JPY | 62,038 | 563,466 | 560,498 | 2,968 | — | ||||||
Malaysian Ringgit, | |||||||||||||
Expiring 06/23/21 | Deutsche Bank AG | MYR | 14,133 | 3,473,620 | 3,407,938 | 65,682 | — | ||||||
Mexican Peso, | |||||||||||||
Expiring 04/14/21 | Morgan Stanley & Co. International PLC | MXN | 768 | 36,720 | 37,517 | — | (797) | ||||||
Expiring 05/04/21 | HSBC Bank USA, N.A. | MXN | 309 | 14,940 | 15,060 | — | (120) | ||||||
Expiring 08/05/21 | Barclays Bank PLC | MXN | 9,972 | 481,153 | 481,022 | 131 | — | ||||||
New Taiwanese Dollar, | |||||||||||||
Expiring 04/14/21 | BNP Paribas S.A. | TWD | 97,830 | 3,551,000 | 3,442,262 | 108,738 | — | ||||||
Expiring 06/16/21 | Standard Chartered Bank, London | TWD | 200,587 | 7,296,451 | 7,103,768 | 192,683 | — | ||||||
New Zealand Dollar, | |||||||||||||
Expiring 04/07/21 | BNP Paribas S.A. | NZD | 9,002 | 6,700,971 | 6,286,997 | 413,974 | — | ||||||
Expiring 05/04/21 | Morgan Stanley & Co. International PLC | NZD | 5,275 | 3,682,727 | 3,683,509 | — | (782) | ||||||
Expiring 05/04/21 | UBS AG Stamford | NZD | 3,727 | 2,615,056 | 2,603,058 | 11,998 | — | ||||||
Peruvian Nuevo Sol, | |||||||||||||
Expiring 04/06/21 | Citibank, N.A. | PEN | 3,944 | 1,050,241 | 1,053,636 | — | (3,395) | ||||||
Expiring 04/06/21 | HSBC Bank USA, N.A. | PEN | 3,944 | 1,068,044 | 1,053,636 | 14,408 | — | ||||||
Expiring 04/20/21 | Citibank, N.A. | PEN | 12,760 | 3,512,126 | 3,408,643 | 103,483 | — | ||||||
Expiring 04/20/21 | Citibank, N.A. | PEN | 2,362 | 650,032 | 630,879 | 19,153 | — | ||||||
Expiring 04/29/21 | HSBC Bank USA, N.A. | PEN | 31,220 | 8,497,987 | 8,339,764 | 158,223 | — | ||||||
Expiring 05/10/21 | HSBC Bank USA, N.A. | PEN | 9,805 | 2,665,455 | 2,619,011 | 46,444 | — | ||||||
Expiring 05/10/21 | HSBC Bank USA, N.A. | PEN | 6,375 | 1,732,867 | 1,702,673 | 30,194 | — | ||||||
Expiring 07/08/21 | Citibank, N.A. | PEN | 4,117 | 1,134,229 | 1,099,258 | 34,971 | — | ||||||
Expiring 09/07/21 | Goldman Sachs Bank USA | PEN | 11,280 | 3,066,889 | 3,010,938 | 55,951 | — | ||||||
Expiring 12/09/21 | Citibank, N.A. | PEN | 6,655 | 1,810,551 | 1,775,546 | 35,005 | — | ||||||
Expiring 12/09/21 | Citibank, N.A. | PEN | 1,206 | 328,001 | 321,660 | 6,341 | — | ||||||
Expiring 03/25/22 | Citibank, N.A. | PEN | 12,760 | 3,425,664 | 3,400,015 | 25,649 | — | ||||||
Expiring 03/25/22 | Citibank, N.A. | PEN | 2,362 | 634,030 | 629,283 | 4,747 | — | ||||||
Romanian Leu, | |||||||||||||
Expiring 06/18/21 | HSBC Bank USA, N.A. | RON | 25 | 6,117 | 5,861 | 256 | — | ||||||
Russian Ruble, | |||||||||||||
Expiring 04/22/21 | UBS AG Stamford | RUB | 157,980 | 2,133,592 | 2,084,397 | 49,195 | — | ||||||
Expiring 05/21/21 | Goldman Sachs Bank USA | RUB | 16,021 | 215,046 | 210,700 | 4,346 | — | ||||||
Expiring 05/21/21 | HSBC Bank USA, N.A. | RUB | 29,998 | 399,841 | 394,514 | 5,327 | — | ||||||
Expiring 05/21/21 | HSBC Bank USA, N.A. | RUB | 16,474 | 220,766 | 216,653 | 4,113 | — | ||||||
Expiring 05/21/21 | UBS AG Stamford | RUB | 16,498 | 220,936 | 216,972 | 3,964 | — | ||||||
South African Rand, | |||||||||||||
Expiring 05/14/21 | NatWest Markets Plc | ZAR | 24,846 | 1,612,497 | 1,673,292 | — | (60,795) | ||||||
Expiring 06/15/21 | HSBC Bank USA, N.A. | ZAR | 7,208 | 479,869 | 483,417 | — | (3,548) | ||||||
Expiring 06/15/21 | UBS AG Stamford | ZAR | 8,851 | 582,462 | 593,605 | — | (11,143) | ||||||
Expiring 06/15/21 | UBS AG Stamford | ZAR | 8,787 | 579,268 | 589,365 | — | (10,097) | ||||||
Expiring 06/17/21 | Barclays Bank PLC | ZAR | 2,647 | 173,442 | 177,467 | — | (4,025) | ||||||
Expiring 06/17/21 | JPMorgan Chase Bank, N.A. | ZAR | 6,806 | 445,304 | 456,343 | — | (11,039) | ||||||
South Korean Won, | |||||||||||||
Expiring 06/16/21 | BNP Paribas S.A. | KRW | 1,127 | 1,000 | 999 | 1 | — |
A61
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Forward foreign currency exchange contracts outstanding at March 31, 2021 (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.): | |||||||||||||
South Korean Won (cont’d.), | |||||||||||||
Expiring 06/16/21 | Citibank, N.A. | KRW | 1,032,820 | $914,000 | $915,896 | $— | $(1,896) | ||||||
Expiring 06/16/21 | Standard Chartered Bank, London | KRW | 1,079,091 | 958,000 | 956,929 | 1,071 | — | ||||||
Expiring 06/16/21 | Standard Chartered Bank, London | KRW | 507,060 | 450,000 | 449,657 | 343 | — | ||||||
Expiring 06/16/21 | Standard Chartered Bank, London | KRW | 2,253 | 2,000 | 1,998 | 2 | — | ||||||
Swedish Krona, | |||||||||||||
Expiring 04/07/21 | HSBC Bank USA, N.A. | SEK | 37,695 | 4,399,084 | 4,316,446 | 82,638 | — | ||||||
Expiring 04/07/21 | HSBC Bank USA, N.A. | SEK | 1,075 | 124,640 | 123,098 | 1,542 | — | ||||||
Swiss Franc, | |||||||||||||
Expiring 04/07/21 | Barclays Bank PLC | CHF | 265 | 290,116 | 280,432 | 9,684 | — | ||||||
Expiring 04/07/21 | Citibank, N.A. | CHF | 238 | 262,902 | 251,860 | 11,042 | — | ||||||
Thai Baht, | |||||||||||||
Expiring 06/16/21 | HSBC Bank USA, N.A. | THB | 1,632 | 53,308 | 52,225 | 1,083 | — | ||||||
Expiring 06/16/21 | JPMorgan Chase Bank, N.A. | THB | 2,107 | 68,322 | 67,403 | 919 | — | ||||||
$966,124,251 | $950,114,139 | 16,420,173 | (410,061) | ||||||||||
$16,820,607 | $(2,643,991) |
Credit default swap agreements outstanding at March 31, 2021:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2021(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)**: | |||||||||||||||||
Emirate of Abu Dhabi | 12/20/25 | 1.000%(Q) | 1,200 | 0.449% | $31,301 | $(2,669) | $33,970 | Morgan Stanley & Co. International PLC | |||||||||
Federal Republic of Brazil | 12/20/25 | 1.000%(Q) | 7,200 | 2.100% | (352,920) | (16,014) | (336,906) | Morgan Stanley & Co. International PLC | |||||||||
Government of Malaysia | 12/20/25 | 1.000%(Q) | 1,800 | 0.408% | 50,347 | (4,004) | 54,351 | Morgan Stanley & Co. International PLC | |||||||||
Kingdom of Saudi Arabia | 12/20/25 | 1.000%(Q) | 1,200 | 0.634% | 20,868 | (2,669) | 23,537 | Morgan Stanley & Co. International PLC | |||||||||
People’s Republic of China | 12/20/25 | 1.000%(Q) | 7,200 | 0.305% | 236,634 | (16,014) | 252,648 | Morgan Stanley & Co. International PLC | |||||||||
Republic of Argentina | 12/20/25 | 1.000%(Q) | 3,000 | 17.404% | (1,517,507) | (6,673) | (1,510,834) | Morgan Stanley & Co. International PLC | |||||||||
Republic of Chile | 12/20/25 | 1.000%(Q) | 1,200 | 0.529% | 26,773 | (2,669) | 29,442 | Morgan Stanley & Co. International PLC | |||||||||
Republic of Colombia | 12/20/25 | 1.000%(Q) | 3,000 | 1.230% | (30,741) | (6,673) | (24,068) | Morgan Stanley & Co. International PLC | |||||||||
Republic of Indonesia | 12/20/25 | 1.000%(Q) | 4,800 | 0.803% | 45,290 | (10,676) | 55,966 | Morgan Stanley & Co. International PLC | |||||||||
Republic of Panama | 12/20/25 | 1.000%(Q) | 1,200 | 0.745% | 14,587 | (2,669) | 17,256 | Morgan Stanley & Co. International PLC | |||||||||
Republic of Peru | 12/20/25 | 1.000%(Q) | 1,200 | 0.755% | 14,055 | (2,669) | 16,724 | Morgan Stanley & Co. International PLC | |||||||||
Republic of Philippines | 12/20/25 | 1.000%(Q) | 1,200 | 0.411% | 33,393 | (2,669) | 36,062 | Morgan Stanley & Co. International PLC | |||||||||
Republic of South Africa | 12/20/25 | 1.000%(Q) | 5,400 | 2.179% | (283,947) | (12,011) | (271,936) | Morgan Stanley & Co. International PLC | |||||||||
Republic of Turkey | 12/20/25 | 1.000%(Q) | 7,200 | 4.743% | (1,097,844) | (16,014) | (1,081,830) | Morgan Stanley & Co. International PLC |
A62
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Credit default swap agreements outstanding at March 31, 2021 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2021(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)**(cont’d.): | |||||||||||||||||
Republic of Ukraine | 12/20/25 | 1.000%(Q) | 1,200 | 4.294% | $(164,633) | $(2,669) | $(161,964) | Morgan Stanley & Co. International PLC | |||||||||
Russian Federation | 12/20/25 | 1.000%(Q) | 3,600 | 1.025% | (2,956) | (8,007) | 5,051 | Morgan Stanley & Co. International PLC | |||||||||
State of Qatar | 12/20/25 | 1.000%(Q) | 1,200 | 0.449% | 31,307 | (2,669) | 33,976 | Morgan Stanley & Co. International PLC | |||||||||
United Mexican States | 12/20/25 | 1.000%(Q) | 7,200 | 1.033% | (8,654) | (16,014) | 7,360 | Morgan Stanley & Co. International PLC | |||||||||
$(2,954,647) | $(133,452) | $(2,821,195) |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Packaged Credit Default Swap Agreement on credit indices— Buy Protection(1)**: | ||||||||||||||||
CDX.EM.34.V1 | 12/20/25 | 1.000%(Q) | 60,000 | $2,900,377 | $74,140 | $2,826,237 | Morgan Stanley & Co. International PLC |
** | The Portfolio entered into multiple credit default swap agreements in a packaged trade consisting of two parts. The Portfolio bought/sold protection on an Emerging Market CDX Index and bought/sold protection on the countries which comprise the index. The upfront premium is attached to the index of the trade for the Emerging Markets CDX package(s). Each swap is priced individually. If any of the component swaps are closed out early, the Index exposure will be reduced by an amount proportionate to the terminated swap(s). |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2021(4) | Value at Trade Date | Value at March 31, 2021 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2): | |||||||||||||||
British Telecommunications PLC | 12/20/27 | 1.000%(Q) | EUR | 2,000 | 0.980% | $(7,882) | $3,709 | $11,591 | |||||||
Enbridge, Inc. | 12/20/22 | 1.000%(Q) | 2,600 | 0.502% | 3,130 | 23,145 | 20,015 | ||||||||
Ford Motor Credit Co. LLC | 06/20/22 | 5.000%(Q) | 600 | 1.311% | 45,051 | 27,883 | (17,168) | ||||||||
General Electric Co. | 12/20/23 | 1.000%(Q) | 1,800 | 0.465% | (51,252) | 26,752 | 78,004 | ||||||||
General Electric Co. | 12/20/23 | 1.000%(Q) | 300 | 0.465% | (10,629) | 4,459 | 15,088 | ||||||||
Rolls-Royce PLC | 12/20/24 | 1.000%(Q) | EUR | 1,000 | 2.407% | (2,949) | (58,716) | (55,767) | |||||||
Tesco PLC | 06/20/25 | 1.000%(Q) | EUR | 1,700 | 0.566% | (41,506) | 37,487 | 78,993 | |||||||
$(66,037) | $64,719 | $130,756 |
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 | $(52,347) | $(66,748) | $14,401 | BNP Paribas S.A. | |||||||||
Japan Govt. | 06/20/22 | (1.000)%(Q) | 3,800 | (46,259) | (57,779) | 11,520 | Citibank, N.A. | |||||||||
Japan Govt. | 06/20/22 | (1.000)%(Q) | 3,800 | (46,260) | (57,597) | 11,337 | Goldman Sachs International | |||||||||
Japan Govt. | 06/20/22 | (1.000)%(Q) | 700 | (8,522) | (10,495) | 1,973 | Bank of America, N.A. | |||||||||
People’s Republic of China | 06/20/23 | (1.000)%(Q) | 4,900 | (98,970) | (55,089) | (43,881) | Goldman Sachs International | |||||||||
South Korea Govt. | 06/20/23 | (1.000)%(Q) | 6,800 | (136,646) | (95,902) | (40,744) | BNP Paribas S.A. | |||||||||
South Korea Govt. | 06/20/23 | (1.000)%(Q) | 1,700 | (34,162) | (24,694) | (9,468) | HSBC Bank USA, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 575 | (6,674) | 2,102 | (8,776) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 565 | (6,558) | 5,224 | (11,782) | Citibank, N.A. |
A63
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Credit default swap agreements outstanding at March 31, 2021 (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.): | ||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 190 | $(2,206) | $1,953 | $(4,159) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 190 | (2,205) | 1,806 | (4,011) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 190 | (2,205) | 654 | (2,859) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 100 | (1,161) | 365 | (1,526) | Citibank, N.A. | |||||||||
United Mexican States | 12/20/24 | 1.000%(Q) | 140 | (1,071) | 734 | (1,805) | Citibank, N.A. | |||||||||
$(445,246) | $(355,466) | $(89,780) |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2021(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2): | |||||||||||||||||
Boeing Co. | 12/20/21 | 1.000%(Q) | 1,700 | 0.393% | $8,102 | $6,662 | $1,440 | Bank of America, N.A. | |||||||||
Federative Republic of Brazil | 12/20/22 | 1.000%(Q) | 3,100 | 1.148% | (7,059) | (32,365) | 25,306 | Morgan Stanley Capital Services LLC | |||||||||
Federative Republic of Brazil | 12/20/23 | 1.000%(Q) | 200 | 1.476% | (2,506) | (4,353) | 1,847 | HSBC Bank USA, N.A. | |||||||||
Petroleos Mexicanos | 06/20/21 | 1.000%(Q) | 450 | 1.450% | (304) | (1,103) | 799 | Morgan Stanley & Co. International PLC | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 480 | 2.772% | (18,296) | (15,468) | (2,828) | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 470 | 2.772% | (17,915) | (18,193) | 278 | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 160 | 2.772% | (6,099) | (6,347) | 248 | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 160 | 2.772% | (6,099) | (6,232) | 133 | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 160 | 2.772% | (6,099) | (5,180) | (919) | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 80 | 2.772% | (3,050) | (2,577) | (473) | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 12/20/24 | 1.000%(Q) | 140 | 3.566% | (12,471) | (9,835) | (2,636) | Citibank, N.A. | |||||||||
Republic of Italy | 06/20/21 | 1.000%(Q) | 8,800 | 0.065% | 20,952 | (18,307) | 39,259 | Citibank, N.A. | |||||||||
South Africa EM SP | 12/20/25 | 1.000%(Q) | 1,100 | 2.179% | (57,902) | (59,429) | 1,527 | Goldman Sachs International | |||||||||
State of Illinois | 06/20/24 | 1.000%(Q) | 500 | 1.457% | (6,856) | (4,331) | (2,525) | Citibank, N.A. | |||||||||
$(115,602) | $(177,058) | $61,456 |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at March 31, 2021 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swap Agreements on credit indices - Buy Protection(1): | ||||||||||||||
CDX.EM.34 | 12/20/25 | 1.000%(Q) | 4,800 | $149,364 | $232,297 | $82,933 | ||||||||
CDX.NA.HY.35 | 12/20/25 | 5.000%(Q) | 3,300 | (187,639) | (304,787) | (117,148) | ||||||||
CDX.NA.IG.35 | 12/20/30 | 1.000%(Q) | 46,800 | (281,942) | (332,122) | (50,180) | ||||||||
CDX.NA.IG.36.V1 | 06/20/26 | 1.000%(Q) | 106,560 | (2,351,832) | (2,526,585) | (174,753) | ||||||||
CDX.NA.IG.36.V1 | 06/20/31 | 1.000%(Q) | 3,900 | (6,109) | (14,629) | (8,520) | ||||||||
iTraxx Europe Series 31.V2 | 06/20/29 | 1.000%(Q) | EUR | 42,400 | (271,903) | (793,571) | (521,668) | |||||||
iTraxx Europe Series 32.V1 | 12/20/29 | 1.000%(Q) | EUR | 3,100 | (46,938) | (43,750) | 3,188 | |||||||
$(2,996,999) | $(3,783,147) | $(786,148) |
A64
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Credit default swap agreements outstanding at March 31, 2021 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2021(4) | Value at Trade Date | Value at March 31, 2021 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swap Agreements on credit indices - Sell Protection(2): | |||||||||||||||
CDX.NA.IG.35 | 12/20/25 | 1.000%(Q) | 500 | 0.482% | $11,216 | $12,122 | $906 | ||||||||
CDX.NA.IG.36.V1 | 06/20/26 | 1.000%(Q) | 200 | 0.538% | 4,378 | 4,742 | 364 | ||||||||
$15,594 | $16,864 | $1,270 |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2021(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 | * | $29,660 | $(164,877) | $194,537 | Deutsche Bank AG | ||||||||
CMBX.NA.8.AAA | 10/17/57 | 0.500%(M) | 1,000 | * | 8,988 | (49,597) | 58,585 | Goldman Sachs International | ||||||||
CMBX.NA.8.AAA | 10/17/57 | 0.500%(M) | 600 | * | 5,393 | (40,135) | 45,528 | Merrill Lynch International | ||||||||
$44,041 | $(254,609) | $298,650 |
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. |
A65
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Currency swap agreements outstanding at March 31, 2021: | ||||||||||||||||||
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 | $24,738 | $— | $24,738 | |||||||||
AUD | 8,000 | 3 Month BBSW plus 42.25 bps(Q) | 5,520 | 3 Month LIBOR(Q) | Goldman Sachs Bank USA | 08/01/29 | 25,098 | — | 25,098 | |||||||||
$49,836 | $— | $49,836 |
Inflation swap agreements outstanding at March 31, 2021: | ||||||||||||||
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2021 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Inflation Swap Agreements: | ||||||||||||||
EUR | 1,300 | 06/15/21 | 1.345%(T) | France CPI ex Tobacco Household(1)(T) | $— | $(25,430) | $(25,430) | |||||||
EUR | 2,940 | 03/15/24 | 1.030%(T) | France CPI ex Tobacco Household(1)(T) | (740) | (40,181) | (39,441) | |||||||
EUR | 440 | 03/15/28 | 1.535%(T) | Eurostat Eurozone HICP ex Tobacco(2)(T) | (6) | 17,046 | 17,052 | |||||||
EUR | 1,710 | 05/15/28 | 1.620%(T) | Eurostat Eurozone HICP ex Tobacco(2)(T) | 88 | 82,144 | 82,056 | |||||||
EUR | 9,500 | 03/15/31 | 1.380%(T) | Eurostat Eurozone HICP ex Tobacco(2)(T) | (67,615) | (149,303) | (81,688) | |||||||
EUR | 500 | 03/15/33 | 1.710%(T) | Eurostat Eurozone HICP ex Tobacco(1)(T) | (476) | (36,561) | (36,085) | |||||||
EUR | 40 | 01/15/38 | 1.910%(T) | France CPI ex Tobacco Household(2)(T) | 193 | 5,325 | 5,132 | |||||||
EUR | 315 | 03/15/48 | 1.946%(T) | Eurostat Eurozone HICP ex Tobacco(2)(T) | 966 | 53,246 | 52,280 | |||||||
GBP | 30,600 | 01/15/25 | 3.330%(T) | U.K. Retail Price Index(2)(T) | 729,346 | 561,853 | (167,493) | |||||||
GBP | 8,200 | 02/15/25 | 3.257%(T) | U.K. Retail Price Index(1)(T) | — | (63,940) | (63,940) | |||||||
GBP | 7,300 | 02/15/25 | 3.258%(T) | U.K. Retail Price Index(1)(T) | — | (57,769) | (57,769) | |||||||
GBP | 5,200 | 02/15/25 | 3.262%(T) | U.K. Retail Price Index(1)(T) | — | (42,760) | (42,760) | |||||||
GBP | 1,700 | 08/15/25 | 3.334%(T) | U.K. Retail Price Index(1)(T) | (2,050) | 21,004 | 23,054 | |||||||
GBP | 1,000 | 11/15/25 | 3.355%(T) | U.K. Retail Price Index(1)(T) | (3,129) | 16,114 | 19,243 | |||||||
GBP | 1,500 | 03/15/26 | 3.664%(T) | U.K. Retail Price Index(1)(T) | — | (2,714) | (2,714) | |||||||
GBP | 1,300 | 12/15/28 | 3.632%(T) | U.K. Retail Price Index(2)(T) | — | 76,801 | 76,801 | |||||||
GBP | 1,400 | 01/15/30 | 3.386%(T) | U.K. Retail Price Index(2)(T) | — | (26,049) | (26,049) | |||||||
GBP | 3,900 | 01/15/30 | 3.400%(T) | U.K. Retail Price Index(2)(T) | (1,458) | (63,051) | (61,593) | |||||||
GBP | 800 | 02/15/30 | 3.436%(T) | U.K. Retail Price Index(2)(T) | — | (12,825) | (12,825) | |||||||
GBP | 5,800 | 02/15/30 | 3.450%(T) | U.K. Retail Price Index(2)(T) | 2,639 | (78,796) | (81,435) | |||||||
GBP | 9,900 | 02/15/30 | 3.453%(T) | U.K. Retail Price Index(2)(T) | — | (129,303) | (129,303) | |||||||
GBP | 3,100 | 05/15/30 | 3.346%(T) | U.K. Retail Price Index(2)(T) | 7,088 | (112,073) | (119,161) | |||||||
GBP | 2,500 | 06/15/30 | 3.400%(T) | U.K. Retail Price Index(2)(T) | 115,561 | 109,209 | (6,352) | |||||||
GBP | 1,700 | 08/15/30 | 3.475%(T) | U.K. Retail Price Index(2)(T) | — | (59,910) | (59,910) | |||||||
GBP | 1,280 | 11/15/30 | 3.397%(T) | U.K. Retail Price Index(1)(T) | 9,906 | 68,708 | 58,802 | |||||||
GBP | 1,130 | 11/15/30 | 3.445%(T) | U.K. Retail Price Index(1)(T) | — | 51,227 | 51,227 | |||||||
GBP | 1,000 | 11/15/30 | 3.473%(T) | U.K. Retail Price Index(2)(T) | — | (40,567) | (40,567) | |||||||
GBP | 580 | 11/15/30 | 3.510%(T) | U.K. Retail Price Index(1)(T) | — | 19,748 | 19,748 | |||||||
GBP | 1,300 | 03/15/31 | 3.740%(T) | U.K. Retail Price Index(2)(T) | — | 2,483 | 2,483 | |||||||
GBP | 1,000 | 03/15/36 | 3.566%(T) | U.K. Retail Price Index(2)(T) | — | (23,795) | (23,795) | |||||||
GBP | 2,400 | 03/15/36 | 3.580%(T) | U.K. Retail Price Index(2)(T) | (13,053) | (47,269) | (34,216) | |||||||
GBP | 2,180 | 11/15/40 | 3.217%(T) | U.K. Retail Price Index(2)(T) | (38,984) | (345,466) | (306,482) | |||||||
GBP | 800 | 11/15/40 | 3.272%(T) | U.K. Retail Price Index(2)(T) | (171) | (108,547) | (108,376) | |||||||
GBP | 1,130 | 11/15/40 | 3.273%(T) | U.K. Retail Price Index(2)(T) | — | (153,088) | (153,088) | |||||||
GBP | 980 | 11/15/40 | 3.340%(T) | U.K. Retail Price Index(2)(T) | — | (104,997) | (104,997) | |||||||
GBP | 900 | 11/15/50 | 3.000%(T) | U.K. Retail Price Index(1)(T) | 34,678 | 272,210 | 237,532 | |||||||
GBP | 800 | 11/15/50 | 3.051%(T) | U.K. Retail Price Index(1)(T) | — | 212,145 | 212,145 | |||||||
GBP | 400 | 11/15/50 | 3.143%(T) | U.K. Retail Price Index(1)(T) | — | 78,371 | 78,371 | |||||||
7,300 | 11/02/21 | 1.280%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (117,541) | (117,541) | ||||||||
600 | 11/04/21 | 1.230%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | (36) | (9,924) | (9,888) | ||||||||
4,800 | 11/05/21 | 1.290%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | (143) | (76,360) | (76,217) | ||||||||
8,700 | 01/19/22 | 2.155%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (57,539) | (57,539) | ||||||||
5,200 | 01/19/22 | 2.165%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (33,871) | (33,871) | ||||||||
2,100 | 01/19/22 | 2.180%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | (83) | (13,363) | (13,280) | ||||||||
3,600 | 01/21/22 | 2.200%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (22,283) | (22,283) |
A66
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Inflation swap agreements outstanding at March 31, 2021 (continued): | ||||||||||||||
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2021 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Inflation Swap Agreements (cont’d): | ||||||||||||||
11,000 | 02/01/22 | 2.170%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | $— | $(72,965) | $(72,965) | ||||||||
5,000 | 02/04/22 | 2.155%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | (64) | (33,256) | (33,192) | ||||||||
2,400 | 02/05/22 | 2.200%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (13,697) | (13,697) | ||||||||
1,300 | 07/15/22 | 2.069%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | 5,837 | 5,837 | ||||||||
13,200 | 07/15/22 | 2.500%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | (630,181) | (1,276,912) | (646,731) | ||||||||
7,200 | 02/05/23 | 2.210%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | (23,547) | (23,547) | ||||||||
4,070 | 04/27/23 | 2.263%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | (451) | (34,336) | (33,885) | ||||||||
1,140 | 05/09/23 | 2.263%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | (8,894) | (8,894) | ||||||||
1,760 | 05/10/23 | 2.281%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | (18,527) | (18,527) | ||||||||
1,465 | 01/12/26 | 2.185%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (30,355) | (30,355) | ||||||||
5,200 | 02/26/26 | 2.314%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | 62,369 | 62,369 | ||||||||
5,000 | 03/05/26 | 2.419%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | — | 30,019 | 30,019 | ||||||||
3,660 | 02/05/28 | 2.335%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | 6,444 | 7,957 | 1,513 | ||||||||
1,140 | 05/09/28 | 2.353%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | 6,908 | 6,908 | ||||||||
1,720 | 05/09/28 | 2.360%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | 11,880 | 11,880 | ||||||||
1,760 | 05/10/28 | 2.364%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | 12,800 | 12,800 | ||||||||
500 | 06/06/28 | 2.370%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | (78) | 3,055 | 3,133 | ||||||||
2,700 | 07/25/29 | 1.998%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | 1,854 | (106,725) | (108,579) | ||||||||
3,300 | 11/20/29 | 1.883%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | 2,886 | (183,353) | (186,239) | ||||||||
6,000 | 05/19/30 | 1.280%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (717,140) | (717,140) | ||||||||
800 | 01/13/31 | 2.229%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (24,327) | (24,327) | ||||||||
2,500 | 01/13/31 | 2.230%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (75,761) | (75,761) | ||||||||
7,300 | 02/24/31 | 2.311%(T) | U.S. CPI Urban Consumers NSA Index(1)(T) | 3,352 | 147,448 | 144,096 | ||||||||
$156,283 | $(2,739,163) | $(2,895,446) |
(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, 2021:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2021 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
AUD | 5,000 | 02/13/30 | 1.210%(S) | 6 Month BBSW(2)(S) | $(20) | $(154,075) | $(154,055) | |||||||
AUD | 10,200 | 06/17/30 | 1.250%(S) | 6 Month BBSW(1)(S) | (164,890) | 316,009 | 480,899 | |||||||
AUD | 480 | 01/18/31 | 1.073%(S) | 6 Month BBSW(2)(S) | (10) | (24,886) | (24,876) | |||||||
AUD | 1,590 | 01/18/31 | 1.081%(S) | 6 Month BBSW(2)(S) | 482 | (81,518) | (82,000) | |||||||
AUD | 3,570 | 03/19/31 | 1.800%(S) | 6 Month BBSW(2)(S) | (394) | (11,413) | (11,019) | |||||||
AUD | 1,185 | 03/19/31 | 1.850%(S) | 6 Month BBSW(2)(S) | (135) | 465 | 600 | |||||||
BRL | 27,700 | 01/03/22 | 2.850%(T) | 1 Day BROIS(1)(T) | (116) | 51,909 | 52,025 | |||||||
BRL | 67,800 | 01/03/22 | 2.860%(T) | 1 Day BROIS(1)(T) | — | 124,208 | 124,208 | |||||||
BRL | 34,800 | 01/03/22 | 2.860%(T) | 1 Day BROIS(1)(T) | (29) | 65,298 | 65,327 | |||||||
BRL | 20,100 | 01/03/22 | 2.870%(T) | 1 Day BROIS(1)(T) | — | 36,850 | 36,850 | |||||||
BRL | 29,400 | 01/03/22 | 2.871%(T) | 1 Day BROIS(1)(T) | — | 53,682 | 53,682 | |||||||
BRL | 700 | 01/03/22 | 2.880%(T) | 1 Day BROIS(1)(T) | — | 1,290 | 1,290 | |||||||
BRL | 27,400 | 01/03/22 | 2.883%(T) | 1 Day BROIS(1)(T) | — | 48,919 | 48,919 | |||||||
BRL | 367,100 | 01/03/22 | 3.300%(T) | 1 Day BROIS(2)(T) | (2,998) | (280,050) | (277,052) | |||||||
BRL | 7,600 | 01/03/22 | 3.345%(T) | 1 Day BROIS(2)(T) | — | (9,044) | (9,044) | |||||||
BRL | 154,700 | 01/03/22 | 3.350%(T) | 1 Day BROIS(2)(T) | (1,362) | (181,368) | (180,006) | |||||||
BRL | 58,800 | 01/03/22 | 3.360%(T) | 1 Day BROIS(1)(T) | (67,788) | 26,547 | 94,335 | |||||||
BRL | 106,700 | 01/03/22 | 3.700%(T) | 1 Day BROIS(2)(T) | (16,682) | (96,825) | (80,143) | |||||||
BRL | 10,876 | 01/02/25 | 5.903%(T) | 1 Day BROIS(2)(T) | — | (65,489) | (65,489) | |||||||
BRL | 15,685 | 01/02/25 | 6.343%(T) | 1 Day BROIS(2)(T) | — | (136,889) | (136,889) | |||||||
BRL | 16,948 | 01/02/25 | 6.343%(T) | 1 Day BROIS(2)(T) | — | (148,889) | (148,889) | |||||||
BRL | 26,353 | 01/02/25 | 6.359%(T) | 1 Day BROIS(2)(T) | — | (229,476) | (229,476) | |||||||
BRL | 5,634 | 01/02/25 | 6.640%(T) | 1 Day BROIS(2)(T) | — | 5,200 | 5,200 |
A67
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Interest rate swap agreements outstanding at March 31, 2021 (continued):
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2021 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
BRL | 6,331 | 01/02/25 | 6.670%(T) | 1 Day BROIS(2)(T) | $— | $7,853 | $7,853 | |||||||
BRL | 16,739 | 01/02/25 | 6.670%(T) | 1 Day BROIS(2)(T) | — | 20,037 | 20,037 | |||||||
BRL | 15,000 | 01/04/27 | 6.280%(T) | 1 Day BROIS(1)(T) | — | 128,708 | 128,708 | |||||||
BRL | 6,271 | 01/04/27 | 6.845%(T) | 1 Day BROIS(2)(T) | — | (86,548) | (86,548) | |||||||
BRL | 5,382 | 01/04/27 | 6.890%(T) | 1 Day BROIS(2)(T) | — | (72,176) | (72,176) | |||||||
BRL | 9,626 | 01/04/27 | 6.890%(T) | 1 Day BROIS(2)(T) | — | (129,680) | (129,680) | |||||||
CAD | 6,600 | 03/03/22 | 1.270%(S) | 3 Month CDOR(2)(S) | — | 42,331 | 42,331 | |||||||
CAD | 2,300 | 06/17/22 | 1.500%(S) | 3 Month CDOR(2)(S) | 5,297 | 27,948 | 22,651 | |||||||
CAD | 3,500 | 03/03/25 | 1.220%(S) | 3 Month CDOR(2)(S) | — | 4,699 | 4,699 | |||||||
CAD | 5,600 | 06/17/25 | 1.500%(S) | 3 Month CDOR(2)(S) | (35,283) | 55,914 | 91,197 | |||||||
CAD | 6,880 | 01/14/26 | 0.875%(S) | 3 Month CDOR(2)(S) | (61) | (131,399) | (131,338) | |||||||
CAD | 5,950 | 01/19/26 | 0.865%(S) | 3 Month CDOR(2)(S) | (52) | (117,150) | (117,098) | |||||||
CAD | 1,600 | 10/02/29 | 1.713%(S) | 3 Month CDOR(2)(S) | 358 | (15,212) | (15,570) | |||||||
CAD | 7,700 | 12/18/29 | 1.900%(S) | 3 Month CDOR(2)(S) | 85,290 | (5,071) | (90,361) | |||||||
CAD | 19,600 | 06/17/30 | 1.500%(S) | 3 Month CDOR(2)(S) | (38,642) | (642,833) | (604,191) | |||||||
CAD | 5,500 | 12/18/48 | 2.750%(S) | 3 Month CDOR(2)(S) | (37,506) | 231,838 | 269,344 | |||||||
CHF | 8,050 | 03/18/25 | (0.620)%(A) | 6 Month CHF LIBOR(2)(S) | 34,880 | (36,718) | (71,598) | |||||||
CHF | 21,200 | 09/16/25 | (0.500)%(A) | 6 Month CHF LIBOR(2)(S) | 26,605 | (85,427) | (112,032) | |||||||
CLP | 4,540,000 | 01/25/26 | 1.634%(S) | 1 Day CLOIS(2)(S) | — | (260,663) | (260,663) | |||||||
CLP | 1,200,000 | 01/20/28 | 2.090%(S) | 1 Day CLOIS(2)(S) | — | (94,669) | (94,669) | |||||||
CLP | 500,000 | 01/21/28 | 2.065%(S) | 1 Day CLOIS(2)(S) | — | (43,029) | (43,029) | |||||||
CNH | 14,220 | 06/14/24 | 2.900%(Q) | 7 Day China Fixing Repo Rate(2)(Q) | (37) | 15,436 | 15,473 | |||||||
CNH | 41,000 | 06/28/24 | 2.901%(Q) | 7 Day China Fixing Repo Rate(2)(Q) | (82) | 42,693 | 42,775 | |||||||
CNH | 15,100 | 09/19/24 | 2.940%(Q) | 7 Day China Fixing Repo Rate(2)(Q) | (9) | 18,893 | 18,902 | |||||||
CNH | 13,200 | 10/10/24 | 2.860%(Q) | 7 Day China Fixing Repo Rate(2)(Q) | (6) | 13,295 | 13,301 | |||||||
COP | 3,239,000 | 02/18/25 | 4.505%(Q) | 1 Day COOIS(2)(Q) | — | 16,041 | 16,041 | |||||||
COP | 5,583,815 | 02/21/25 | 4.565%(Q) | 1 Day COOIS(2)(Q) | — | 35,380 | 35,380 | |||||||
COP | 12,198,000 | 02/03/26 | 3.080%(Q) | 1 Day COOIS(2)(Q) | — | (198,733) | (198,733) | |||||||
COP | 2,288,000 | 02/18/30 | 5.072%(Q) | 1 Day COOIS(2)(Q) | — | (12,694) | (12,694) | |||||||
COP | 1,601,000 | 02/18/30 | 5.081%(Q) | 1 Day COOIS(2)(Q) | — | (8,585) | (8,585) | |||||||
COP | 3,451,000 | 02/24/30 | 5.078%(Q) | 1 Day COOIS(2)(Q) | — | (18,949) | (18,949) | |||||||
CZK | 17,500 | 01/30/29 | 1.913%(A) | 6 Month PRIBOR(2)(S) | — | 10,646 | 10,646 | |||||||
EUR | 56,500 | 06/16/23 | (0.500)%(A) | 6 Month EURIBOR(2)(S) | 34,858 | (17,228) | (52,086) | |||||||
EUR | 26,900 | 11/21/23 | (0.526)%(A) | 3 Month EURIBOR(2)(Q) | — | (5,083) | (5,083) | |||||||
EUR | 30,600 | 06/16/26 | (0.500)%(A) | 6 Month EURIBOR(2)(S) | (88,375) | (382,520) | (294,145) | |||||||
EUR | 7,500 | 09/15/26 | (0.250)%(A) | 6 Month EURIBOR(2)(S) | 2,879 | 3,797 | 918 | |||||||
EUR | 46,200 | 06/16/31 | (0.250)%(A) | 6 Month EURIBOR(2)(S) | (1,104,777) | (1,910,216) | (805,439) | |||||||
EUR | 12,100 | 09/15/31 | 0.000%(A) | 6 Month EURIBOR(2)(S) | (137,427) | (186,374) | (48,947) | |||||||
EUR | 1,500 | 12/15/35 | 0.450%(A) | 6 Month EURIBOR(1)(S) | (131,412) | (35,983) | 95,429 | |||||||
EUR | 300 | 03/17/36 | 0.000%(A) | 6 Month EURIBOR(1)(S) | 13,948 | 17,989 | 4,041 | |||||||
EUR | 450 | 05/27/50 | 0.054%(A) | 6 Month EURIBOR(1)(S) | — | 74,108 | 74,108 | |||||||
EUR | 2,300 | 06/16/51 | 0.000%(A) | 6 Month EURIBOR(1)(S) | 38,582 | 383,594 | 345,012 | |||||||
EUR | 4,700 | 09/15/51 | 0.500%(A) | 6 Month EURIBOR(1)(S) | (117,808) | (1,490) | 116,318 | |||||||
EUR | 900 | 11/17/52 | 0.064%(A) | 6 Month EURIBOR(1)(S) | — | 143,478 | 143,478 | |||||||
GBP | 1,190 | 05/08/21 | 0.850%(A) | 1 Day SONIA(1)(A) | (8,670) | (3,504) | 5,166 | |||||||
GBP | 16,400 | 06/16/23 | 0.000%(A) | 1 Day SONIA(2)(A) | 24,499 | (65,668) | (90,167) | |||||||
GBP | 565 | 05/08/24 | 0.950%(A) | 1 Day SONIA(1)(A) | (17,910) | (23,279) | (5,369) | |||||||
GBP | 2,652 | 05/08/26 | 1.000%(A) | 1 Day SONIA(1)(A) | (141,422) | (128,415) | 13,007 | |||||||
GBP | 5,000 | 06/16/26 | 0.000%(A) | 1 Day SONIA(2)(A) | 948 | (170,315) | (171,263) | |||||||
GBP | 800 | 09/15/26 | 0.500%(A) | 1 Day SONIA(1)(A) | 1,560 | 2,511 | 951 | |||||||
GBP | 977 | 10/22/28 | 0.680%(A) | 1 Day SONIA(1)(A) | — | (4,983) | (4,983) | |||||||
GBP | 1,205 | 05/08/29 | 1.100%(A) | 1 Day SONIA(1)(A) | (94,015) | (68,027) | 25,988 | |||||||
GBP | 1,860 | 05/08/31 | 1.150%(A) | 1 Day SONIA(2)(A) | 119,731 | 110,096 | (9,635) | |||||||
GBP | 9,100 | 06/16/31 | 0.250%(A) | 1 Day SONIA(2)(A) | 7,235 | (708,278) | (715,513) | |||||||
GBP | 500 | 09/15/31 | 0.750%(A) | 1 Day SONIA(2)(A) | (6,443) | (7,688) | (1,245) | |||||||
GBP | 150 | 06/16/51 | 0.500%(A) | 1 Day SONIA(2)(A) | 11,739 | (25,989) | (37,728) | |||||||
GBP | 2,500 | 09/15/51 | 0.750%(A) | 1 Day SONIA(1)(A) | 157,667 | 215,323 | 57,656 |
A68
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Interest rate swap agreements outstanding at March 31, 2021 (continued):
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2021 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
HUF | 82,000 | 02/13/30 | 1.595%(A) | 6 Month BUBOR(2)(S) | $— | $(20,775) | $(20,775) | |||||||
HUF | 1,281,000 | 02/14/30 | 1.605%(A) | 6 Month BUBOR(2)(S) | — | (321,381) | (321,381) | |||||||
HUF | 360,000 | 02/18/30 | 1.803%(A) | 6 Month BUBOR(2)(S) | — | (71,769) | (71,769) | |||||||
JPY | 490,000 | 06/19/24 | 0.000%(S) | 6 Month JPY LIBOR(1)(S) | (5,357) | (3,544) | 1,813 | |||||||
JPY | 6,590,000 | 06/17/25 | 0.000%(S) | 6 Month JPY LIBOR(1)(S) | (93,531) | (16,818) | 76,713 | |||||||
JPY | 1,400,000 | 12/16/30 | 0.000%(S) | 6 Month JPY LIBOR(1)(S) | 71,128 | 177,156 | 106,028 | |||||||
JPY | 2,123,310 | 06/19/39 | 0.400%(S) | 6 Month JPY LIBOR(2)(S) | 458,080 | 52,036 | (406,044) | |||||||
JPY | 1,580,000 | 06/19/49 | 0.500%(S) | 6 Month JPY LIBOR(2)(S) | 49,855 | (168,743) | (218,598) | |||||||
KRW | 718,000 | 12/16/30 | 0.908%(Q) | 3 Month KWCDC(2)(Q) | (5,549) | (47,622) | (42,073) | |||||||
MXN | 20,200 | 02/26/25 | 6.080%(M) | 28 Day Mexican Interbank Rate(2)(M) | — | 10,053 | 10,053 | |||||||
MXN | 25,300 | 07/07/25 | 4.870%(M) | 28 Day Mexican Interbank Rate(2)(M) | 3,493 | (48,700) | (52,193) | |||||||
MXN | 23,870 | 03/19/26 | 6.050%(M) | 28 Day Mexican Interbank Rate(2)(M) | (56) | 595 | 651 | |||||||
MXN | 37,800 | 01/12/28 | 5.020%(M) | 28 Day Mexican Interbank Rate(2)(M) | (29) | (146,043) | (146,014) | |||||||
MXN | 5,400 | 01/03/31 | 5.550%(M) | 28 Day Mexican Interbank Rate(2)(M) | (24) | (24,443) | (24,419) | |||||||
MXN | 15,060 | 01/13/31 | 5.460%(M) | 28 Day Mexican Interbank Rate(2)(M) | (20) | (73,712) | (73,692) | |||||||
MXN | 53,700 | 01/15/31 | 5.450%(M) | 28 Day Mexican Interbank Rate(2)(M) | (73) | (265,235) | (265,162) | |||||||
MXN | 14,440 | 01/03/33 | 5.715%(M) | 28 Day Mexican Interbank Rate(2)(M) | (25) | (78,189) | (78,164) | |||||||
MXN | 4,050 | 12/28/35 | 6.000%(M) | 28 Day Mexican Interbank Rate(2)(M) | (26) | (24,036) | (24,010) | |||||||
NOK | 9,200 | 11/12/24 | 1.993%(A) | 6 Month NIBOR(1)(S) | (4,815) | (34,665) | (29,850) | |||||||
NOK | 13,200 | 03/18/25 | 1.635%(A) | 6 Month NIBOR(1)(S) | — | (21,331) | (21,331) | |||||||
NOK | 78,200 | 03/10/26 | 1.500%(A) | 6 Month NIBOR(1)(S) | 2,650 | (33,681) | (36,331) | |||||||
NOK | 41,000 | 03/10/31 | 1.900%(A) | 6 Month NIBOR(2)(S) | 1,101 | 28,687 | 27,586 | |||||||
NZD | 750 | 03/17/24 | 0.528%(S) | 3 Month BBR(2)(Q) | (38) | (1,821) | (1,783) | |||||||
NZD | 950 | 12/16/25 | 0.500%(S) | 3 Month BBR(1)(Q) | (3,801) | 16,109 | 19,910 | |||||||
NZD | 3,300 | 03/21/28 | 3.250%(S) | 3 Month BBR(1)(Q) | 8,340 | (269,202) | (277,542) | |||||||
NZD | 1,800 | 02/14/30 | 1.523%(S) | 3 Month BBR(2)(Q) | — | (30,153) | (30,153) | |||||||
NZD | 900 | 01/19/31 | 1.090%(S) | 3 Month BBR(2)(Q) | — | (48,240) | (48,240) | |||||||
NZD | 3,360 | 01/19/31 | 1.096%(S) | 3 Month BBR(2)(Q) | 1,618 | (178,771) | (180,389) | |||||||
NZD | 1,070 | 01/26/31 | 1.098%(S) | 3 Month BBR(2)(Q) | — | (57,173) | (57,173) | |||||||
NZD | 1,665 | 03/22/31 | 1.920%(S) | 3 Month BBR(2)(Q) | — | (3,902) | (3,902) | |||||||
PLN | 4,900 | 01/30/29 | 2.405%(A) | 6 Month WIBOR(2)(S) | — | 73,372 | 73,372 | |||||||
PLN | 3,160 | 01/19/31 | 1.200%(A) | 6 Month WIBOR(2)(S) | 1,238 | (45,858) | (47,096) | |||||||
PLN | 12,320 | 01/21/31 | 1.170%(A) | 6 Month WIBOR(2)(S) | (11,341) | (187,892) | (176,551) | |||||||
PLN | 1,570 | 03/16/31 | 1.760%(A) | 6 Month WIBOR(2)(S) | — | (3,309) | (3,309) | |||||||
SEK | 23,000 | 06/19/24 | 0.500%(A) | 3 Month STIBOR(2)(Q) | 34,612 | 42,892 | 8,280 | |||||||
49,400 | 12/18/21 | 2.500%(S) | 3 Month LIBOR(1)(Q) | (213,523) | (1,169,928) | (956,405) | ||||||||
166,200 | 03/18/22 | —(9) | —(9) | (1,471) | (39,563) | (38,092) | ||||||||
67,500 | 04/26/22 | —(3) | —(3) | — | (10,405) | (10,405) | ||||||||
4,400 | 12/16/22 | 0.750%(S) | 3 Month LIBOR(2)(Q) | 38,714 | 47,010 | 8,296 | ||||||||
2,400 | 12/16/22 | 0.750%(S) | 3 Month LIBOR(2)(Q) | 23,410 | 25,605 | 2,195 | ||||||||
5,300 | 03/30/23 | 0.250%(S) | 3 Month LIBOR(2)(Q) | 1,993 | (3,434) | (5,427) | ||||||||
34,100 | 04/27/23 | —(4) | —(4) | — | (1,885) | (1,885) | ||||||||
13,850 | 08/21/23 | 1.305%(S) | 3 Month LIBOR(1)(Q) | — | (331,681) | (331,681) | ||||||||
7,400 | 03/07/24 | —(5) | —(5) | — | 13,120 | 13,120 | ||||||||
11,250 | 08/25/24 | 1.298%(S) | 3 Month LIBOR(1)(Q) | — | (207,037) | (207,037) | ||||||||
13,700 | 08/31/24 | 1.249%(S) | 3 Month LIBOR(1)(Q) | — | (230,835) | (230,835) | ||||||||
27,600 | 09/06/24 | —(8) | —(8) | 1,998 | 9,126 | 7,128 | ||||||||
17,700 | 09/27/24 | —(6) | —(6) | — | 625 | 625 | ||||||||
19,500 | 10/04/24 | —(7) | —(7) | — | 42,477 | 42,477 | ||||||||
2,300 | 04/30/25 | 2.710%(A) | 1 Day USOIS(1)(A) | — | (203,628) | (203,628) | ||||||||
1,400 | 12/16/25 | 1.000%(S) | 3 Month LIBOR(2)(Q) | 30,819 | 5,427 | (25,392) | ||||||||
9,200 | 12/16/25 | 1.000%(S) | 3 Month LIBOR(2)(Q) | 226,460 | 35,764 | (190,696) | ||||||||
3,990 | 01/19/26 | 0.380%(A) | 1 Day USOIS(1)(A) | — | 78,320 | 78,320 | ||||||||
4,575 | 01/21/26 | 0.374%(A) | 1 Day USOIS(1)(A) | — | 91,662 | 91,662 | ||||||||
3,150 | 03/30/26 | 0.400%(S) | 3 Month LIBOR(1)(Q) | 45,570 | 100,477 | 54,907 | ||||||||
10,750 | 06/16/26 | 0.500%(S) | 3 Month LIBOR(1)(Q) | 242,306 | 335,742 | 93,436 | ||||||||
37,200 | 01/15/28 | 0.400%(S) | 3 Month LIBOR(2)(Q) | (345,553) | (2,469,610) | (2,124,057) |
A69
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Interest rate swap agreements outstanding at March 31, 2021 (continued):
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2021 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
2,600 | 02/14/30 | 1.382%(A) | 1 Day USOIS(1)(A) | $— | $12,310 | $12,310 | ||||||||
21,900 | 12/16/30 | 1.000%(S) | 3 Month LIBOR(1)(Q) | (198,470) | 1,447,266 | 1,645,736 | ||||||||
12,300 | 12/16/30 | 1.000%(S) | 3 Month LIBOR(1)(Q) | (50,633) | 812,837 | 863,470 | ||||||||
320 | 01/19/31 | 0.931%(A) | 1 Day USOIS(1)(A) | — | 17,943 | 17,943 | ||||||||
940 | 01/20/31 | 0.915%(A) | 1 Day USOIS(1)(A) | — | 54,125 | 54,125 | ||||||||
2,775 | 03/22/31 | 1.449%(A) | 1 Day USOIS(1)(A) | — | 28,631 | 28,631 | ||||||||
39,545 | 03/30/31 | 0.750%(S) | 3 Month LIBOR(1)(Q) | 271,357 | 3,825,054 | 3,553,697 | ||||||||
12,600 | 06/16/31 | 0.750%(S) | 3 Month LIBOR(1)(Q) | 705,906 | 1,277,604 | 571,698 | ||||||||
37,300 | 06/16/31 | 0.750%(S) | 3 Month LIBOR(1)(Q) | 3,685,655 | 3,782,114 | 96,459 | ||||||||
4,200 | 10/15/31 | 1.720%(S) | 3 Month LIBOR(1)(Q) | — | 75,392 | 75,392 | ||||||||
3,100 | 06/09/41 | 1.250%(S) | 3 Month LIBOR(1)(Q) | 49,381 | 485,419 | 436,038 | ||||||||
3,000 | 12/16/50 | 1.250%(S) | 3 Month LIBOR(1)(Q) | 221,095 | 641,728 | 420,633 | ||||||||
1,200 | 12/16/50 | 1.250%(S) | 3 Month LIBOR(2)(Q) | (88,307) | (256,694) | (168,387) | ||||||||
3,100 | 02/02/51 | 1.460%(S) | 3 Month LIBOR(2)(Q) | — | (520,390) | (520,390) | ||||||||
7,900 | 03/30/51 | 1.150%(S) | 3 Month LIBOR(1)(Q) | 246,178 | 1,911,053 | 1,664,875 | ||||||||
2,200 | 06/16/51 | 1.250%(S) | 3 Month LIBOR(1)(Q) | 420,471 | 488,690 | 68,219 | ||||||||
11,800 | 06/16/51 | 1.250%(S) | 3 Month LIBOR(2)(Q) | (2,517,349) | (2,621,152) | (103,803) | ||||||||
1,600 | 08/25/51 | 1.760%(S) | 3 Month LIBOR(1)(Q) | — | 173,246 | 173,246 | ||||||||
1,250 | 08/31/51 | 1.950%(S) | 3 Month LIBOR(1)(Q) | — | 80,119 | 80,119 | ||||||||
1,400 | 08/31/51 | 1.990%(S) | 3 Month LIBOR(1)(Q) | — | 76,878 | 76,878 | ||||||||
1,100 | 09/17/51 | 2.010%(S) | 3 Month LIBOR(1)(Q) | — | 57,322 | 57,322 | ||||||||
700 | 10/27/51 | 1.665%(S) | 3 Month LIBOR(1)(Q) | — | 93,084 | 93,084 | ||||||||
1,500 | 12/23/51 | 2.090%(S) | 3 Month LIBOR(1)(Q) | — | 58,315 | 58,315 | ||||||||
700 | 01/27/52 | 1.620%(S) | 3 Month LIBOR(1)(Q) | — | 103,191 | 103,191 | ||||||||
ZAR | 28,300 | 06/20/23 | 7.250%(Q) | 3 Month JIBAR(2)(Q) | 4,608 | 110,284 | 105,676 | |||||||
ZAR | 8,200 | 07/07/25 | 5.160%(Q) | 3 Month JIBAR(1)(Q) | (479) | 7,474 | 7,953 | |||||||
ZAR | 5,700 | 12/17/25 | 4.855%(Q) | 3 Month JIBAR(1)(Q) | — | 15,543 | 15,543 | |||||||
ZAR | 22,700 | 02/11/30 | 7.481%(Q) | 3 Month JIBAR(2)(Q) | (937) | 17,354 | 18,291 | |||||||
ZAR | 29,900 | 02/28/30 | 7.500%(Q) | 3 Month JIBAR(2)(Q) | (8,395) | 20,304 | 28,699 | |||||||
ZAR | 15,800 | 03/02/30 | 7.625%(Q) | 3 Month JIBAR(2)(Q) | 394 | 19,444 | 19,050 | |||||||
ZAR | 17,300 | 03/12/30 | 7.840%(Q) | 3 Month JIBAR(2)(Q) | (147) | 36,696 | 36,843 | |||||||
ZAR | 11,500 | 03/12/30 | 7.900%(Q) | 3 Month JIBAR(2)(Q) | (102) | 27,574 | 27,676 | |||||||
ZAR | 12,200 | 04/03/30 | 9.300%(Q) | 3 Month JIBAR(2)(Q) | (232) | 116,290 | 116,522 | |||||||
ZAR | 6,500 | 06/12/30 | 7.250%(Q) | 3 Month JIBAR(2)(Q) | (607) | (5,922) | (5,315) | |||||||
ZAR | 46,600 | 07/07/30 | 7.040%(Q) | 3 Month JIBAR(2)(Q) | (1,233) | (73,957) | (72,724) | |||||||
ZAR | 29,400 | 01/15/31 | 6.765%(Q) | 3 Month JIBAR(2)(Q) | (43,210) | (108,447) | (65,237) | |||||||
ZAR | 10,400 | 03/18/31 | 7.660%(Q) | 3 Month JIBAR(2)(Q) | (230) | 1,319 | 1,549 | |||||||
$1,605,064 | $1,807,769 | $202,705 |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid(Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||
OTC Interest Rate Swap Agreement: | |||||||||||||||
KRW | 9,000,000 | 03/20/29 | 1.788%(Q) | 3 Month KWCDC(2)(Q) | $93,945 | $(22,511) | $116,456 | Bank of America, N.A. |
(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 8.375 bps quarterly and receives the floating rate of 3 Month LIBOR quarterly. |
(4) | The Portfolio pays the floating rate of 1 Month LIBOR plus 7.25 bps quarterly and receives the floating rate of 3 Month LIBOR quarterly. |
(5) | 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. |
(6) | 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. |
(7) | 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. |
(8) | 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. |
(9) | The Portfolio pays the floating rate of 1 Month LIBOR plus 9.13 bps quarterly and receives the floating rate of 3 Month LIBOR quarterly. |
A70
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Total return swap agreements outstanding at March 31, 2021: | ||||||||||||||
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. | 2/15/22 | 3,710 | $7,344 | $— | $7,344 | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +15bps(M) | JP Morgan Chase Bank, N.A. | 1/14/22 | (621) | 18,222 | — | 18,222 | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +14bps(M) | Merrill Lynch International | 2/15/22 | 13,145 | (385,864) | — | (385,864) | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +14bps(M) | Citibank, N.A. | 2/15/22 | 20,169 | (592,051) | — | (592,051) | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +14bps(M) | BNP Paribas S.A. | 2/15/22 | 34,633 | (1,016,633) | — | (1,016,633) | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +15bps(M) | Goldman Sachs International | 2/15/22 | 27,921 | (820,002) | — | (820,002) | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +16bps(M) | BNP Paribas S.A. | 2/15/22 | 4,332 | (118,397) | — | (118,397) | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +16bps(M) | Goldman Sachs International | 2/15/22 | 31,578 | (862,967) | — | (862,967) | |||||||
Bloomberg Commodity Index Total Return(M) | 3 Month U.S. Treasury Bill +16bps(M) | BNP Paribas S.A. | 2/15/22 | 106,122 | (3,116,129) | — | (3,116,129) | |||||||
Bloomberg Commodity Index(T) | – | Goldman Sachs International | 8/02/21 | 62 | 1,318 | — | 1,318 | |||||||
Bloomberg Commodity Index(T) | – | Goldman Sachs International | 8/05/21 | 98 | 641 | — | 641 | |||||||
Bloomberg Commodity Index(T) | – | Goldman Sachs International | 8/11/21 | (58) | 2,518 | — | 2,518 | |||||||
Bloomberg Commodity Index(T) | – | Goldman Sachs International | 8/25/21 | (66) | 2,878 | — | 2,878 | |||||||
Bloomberg Commodity Index(T) | – | Goldman Sachs International | 1/14/22 | 259 | 6,828 | — | 6,828 | |||||||
Bloomberg Commodity Index(T) | – | JP Morgan Chase Bank, N.A. | 1/18/22 | 124 | 4,711 | — | 4,711 | |||||||
Bloomberg Commodity Index(T) | – | Morgan Stanley Capital Services LLC | 3/02/22 | 136 | — | — | — | |||||||
Bloomberg Commodity Index(T) | 3 Month U.S. Treasury Bill +2bps(T) | UBS AG Stamford | 3/02/22 | 62 | — | — | — | |||||||
CBOE SKEW Index(M) | +25bps(M) | Goldman Sachs International | 2/15/22 | 6,401 | (248,212) | — | (248,212) | |||||||
Citigroup Civics 3 Total Return Index(M) | 3 Month U.S. Treasury Bill +17bps(M) | Citibank, N.A. | 2/15/22 | 43,564 | (1,271,181) | — | (1,271,181) | |||||||
Dow Jones Wishire REIT Total Return Index(M) | 1 Month LIBOR +15bps(M) | UBS AG London | 5/12/21 | 86,494 | (18,335) | — | (18,335) | |||||||
Dow Jones Wishire REIT Total Return Index(M) | 1 Month LIBOR +24bps(M) | Citibank, N.A. | 5/12/21 | 3,367 | (1,006) | — | (1,006) |
A71
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Total return swap agreements outstanding at March 31, 2021 (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 +26bps(M) | JP Morgan Chase Bank, N.A. | 10/06/21 | 40,290 | $(13,711) | $— | $(13,711) | |||||||
European 50/50 Refining Margin, fixed price $8.50(T)(3) | – | BNP Paribas S.A. | 6/30/21 | (5) | 1,524 | — | 1,524 | |||||||
European 50/50 Refining Margin, fixed price $9.08(T)(3) | – | Morgan Stanley Capital Services LLC | 6/30/21 | (3) | 2,657 | — | 2,657 | |||||||
European Refined Margin, fixed price $3.00(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/21 | 3 | 7,190 | — | 7,190 | |||||||
European Refined Margin, fixed price $3.45(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/21 | 1 | 2,988 | — | 2,988 | |||||||
European Refined Margin, fixed price $3.47(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/21 | 2 | 3,948 | — | 3,948 | |||||||
European Refined Margin, fixed price $3.50(T)(3) | – | Goldman Sachs International | 12/31/21 | 1 | 1,947 | — | 1,947 | |||||||
European Refined Margin, fixed price $5.30(T)(3) | – | BNP Paribas S.A. | 12/31/21 | 10 | (5,298) | (1,940) | (3,358) | |||||||
European Refined Margin, fixed price $6.12(T)(3) | – | BNP Paribas S.A. | 12/31/21 | 2 | (1,023) | (2,133) | 1,110 | |||||||
European Refined Margin, fixed price $6.20(T)(3) | – | Morgan Stanley Capital Services LLC | 6/30/22 | 2 | — | — | — | |||||||
European Refined Margin, fixed price $6.21(T)(3) | – | Morgan Stanley Capital Services LLC | 6/30/22 | 2 | — | — | — | |||||||
European Refined Margin, fixed price $6.35(T)(3) | – | JP Morgan Chase Bank, N.A. | 12/31/21 | 4 | (2,958) | (4,029) | 1,071 | |||||||
Heating Oil - Brent Spread, fixed price $11.99(T)(3) | – | BNP Paribas S.A. | 12/31/21 | (1) | (1,442) | — | (1,442) | |||||||
Heating Oil - Brent Spread, fixed price $14.08(T)(3) | – | Goldman Sachs International | 12/31/21 | 1 | (434) | — | (434) | |||||||
Heating Oil - Brent Spread, fixed price $15.45(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/21 | 1 | (1,666) | — | (1,666) | |||||||
Heating Oil - Brent Spread, fixed price $15.50(T)(3) | – | JP Morgan Chase Bank, N.A. | 12/31/21 | 1 | (1,985) | (20) | (1,965) | |||||||
Heating Oil - Brent Spread, fixed price $15.67(T)(3) | – | Citibank, N.A. | 12/31/21 | 3 | (7,158) | (682) | (6,476) | |||||||
Heating Oil - Brent Spread, fixed price $17.32(T)(3) | – | Goldman Sachs International | 12/31/21 | (5) | 20,087 | — | 20,087 | |||||||
iBoxx USD Investment Grade Index(T) | 3 Month LIBOR(Q) | Goldman Sachs International | 12/20/21 | (35,700) | (17,786) | — | (17,786) | |||||||
IOS.FN30.450.10 Index(M) | 1 Month LIBOR(M) | Credit Suisse International | 1/12/41 | 1,002 | 5,657 | (2,842) | 8,499 | |||||||
JPMorgan Custom Commodity Index(M) | – | JP Morgan Chase Bank, N.A. | 12/31/21 | 6,296 | — | — | — | |||||||
JPMorgan Custom Commodity Index(M) | – | JP Morgan Chase Bank, N.A. | 2/15/22 | 10,802 | (307,058) | — | (307,058) |
A72
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Total return swap agreements outstanding at March 31, 2021 (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.): | ||||||||||||||
KC Hard Red Winter Wheat Weekly Options, fixed price $599.75(T)(3) | – | Goldman Sachs International | 4/23/21 | 20 | $(4,800) | $— | $(4,800) | |||||||
KC Hard Red Winter Wheat Weekly Options, fixed price $622.75(T)(3) | – | Goldman Sachs International | 4/23/21 | 23 | (10,573) | — | (10,573) | |||||||
KC Hard Red Winter Wheat Weekly Options, fixed price $639.00(T)(3) | – | Goldman Sachs International | 4/23/21 | 23 | (14,229) | — | (14,229) | |||||||
LLSDUB, fixed price $(1.25)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/21 | 3 | (1,170) | — | (1,170) | |||||||
LLSDUB, fixed price $(1.25)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/21 | 3 | (1,170) | — | (1,170) | |||||||
LLSDUB, fixed price $(1.70)(T)(3) | – | JP Morgan Chase Bank, N.A. | 12/31/21 | (5) | 4,768 | — | 4,768 | |||||||
LLSDUB, fixed price $(2.10)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/22 | (4) | 2,942 | — | 2,942 | |||||||
LLSDUB, fixed price $(2.10)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/22 | (4) | 2,942 | — | 2,942 | |||||||
LLSDUB, fixed price $(2.50)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/22 | (2) | 2,918 | — | 2,918 | |||||||
London Gold Market Fixing Ltd. PM, pay fixed price $1695.06(T)(3) | – | Merrill Lynch International | 5/27/21 | 2 | 43,416 | — | 43,416 | |||||||
London Gold Market Fixing Ltd. PM, pay fixed price $1719.06(T)(3) | – | Merrill Lynch International | 5/27/21 | 2 | (7,678) | — | (7,678) | |||||||
London Gold Market Fixing Ltd. PM, pay strike 4.347%(T)(4) | – | JP Morgan Chase Bank, N.A. | 3/04/22 | 6,919 | 69,207 | — | 69,207 | |||||||
London Gold Market Fixing Ltd. PM, pay strike 4.973%(T)(4) | – | BNP Paribas S.A. | 5/13/21 | 336 | 6,898 | — | 6,898 | |||||||
London Gold Market Fixing Ltd. PM, pay strike 5.153%(T)(4) | – | UBS AG Stamford | 12/05/22 | 441 | 3,486 | — | 3,486 | |||||||
London Gold Market Fixing Ltd. PM, pay strike 6.970%(T)(4) | – | JP Morgan Chase Bank, N.A. | 8/02/24 | 138 | 2,501 | — | 2,501 | |||||||
Margin Eurobob Gasoline vs Brent, fixed price $(1.90)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/21 | 2 | 19,643 | — | 19,643 | |||||||
Margin Eurobob Gasoline vs Brent, fixed price $3.55(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/21 | 1 | 4,920 | — | 4,920 | |||||||
Margin Eurobob Gasoline vs Brent, fixed price $5.25(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/21 | 9 | 33,911 | — | 33,911 | |||||||
Margin Eurobob Gasoline vs Brent, fixed price $5.75(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/21 | 1 | 2,941 | — | 2,941 | |||||||
Margin Eurobob Gasoline vs Brent, fixed price $5.90(T)(3) | – | BNP Paribas S.A. | 12/31/21 | 5 | 16,839 | (17,109) | 33,948 |
A73
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Total return swap agreements outstanding at March 31, 2021 (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.): | ||||||||||||||
Margin Eurobob Gasoline vs Brent, fixed price $7.70(T)(3) | – | JP Morgan Chase Bank, N.A. | 12/31/21 | 9 | $12,234 | $(29,951) | $42,185 | |||||||
MEHCO, fixed price $(2.28)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/22 | (4) | 216 | — | 216 | |||||||
MEHCO, fixed price $(2.68)(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/22 | (1) | 551 | — | 551 | |||||||
MEHCO, fixed price $(2.82)(T)(3) | – | JP Morgan Chase Bank, N.A. | 12/31/22 | (7) | 4,309 | (25) | 4,334 | |||||||
MEHMID, fixed price $1.84(T)(3) | – | Citibank, N.A. | 12/31/21 | 3 | (4,170) | (41) | (4,129) | |||||||
PIMCO Custom Commodity Basket Index(M) | – | Canadian Imperial Bank of Commerce | 2/15/22 | 8,623 | (351,234) | — | (351,234) | |||||||
TTF-NBP Spread, fixed price $(4.00)(T)(3) | – | Morgan Stanley Capital Services LLC | 3/31/22 | GBP (182) | (1,706) | — | (1,706) | |||||||
TTF-NBP Spread, fixed price $(4.05)(T)(3) | – | Morgan Stanley Capital Services LLC | 3/31/22 | GBP (182) | (1,581) | — | (1,581) | |||||||
TTF-NBP Spread, fixed price $(4.12)(T)(3) | – | Morgan Stanley Capital Services LLC | 3/31/22 | GBP (182) | (1,405) | — | (1,405) | |||||||
TTF-NBP Spread, fixed price $(5.00)(T)(3) | – | Morgan Stanley Capital Services LLC | 3/31/22 | GBP (450) | (4,343) | — | (4,343) | |||||||
TTF-NBP Spread, fixed price $(5.15)(T)(3) | – | Morgan Stanley Capital Services LLC | 3/31/22 | GBP (225) | (1,706) | — | (1,706) | |||||||
TTF-NBP Spread, fixed price $(5.36)(T)(3) | – | Morgan Stanley Capital Services LLC | 3/31/22 | GBP (315) | (1,476) | — | (1,476) | |||||||
ULSD 10PPM CIF (diesel) - Dated Brent Spread, fixed price $6.45(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/21 | 2 | 216 | — | 216 | |||||||
ULSD 10PPM CIF (diesel) - Dated Brent Spread, fixed price $6.63(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/21 | 2 | (108) | — | (108) | |||||||
ULSD 10PPM CIF (diesel) - Dated Brent Spread, fixed price $9.03(T)(3) | – | Morgan Stanley Capital Services LLC | 12/31/21 | 1 | (2,212) | — | (2,212) | |||||||
ULSD 10PPM CIF (diesel) - Dated Brent Spread, fixed price $9.17(T)(3) | – | BNP Paribas S.A. | 12/31/21 | 3 | (7,015) | (1,930) | (5,085) | |||||||
Wheat Futures, fixed price $606.04(T)(3) | – | BNP Paribas S.A. | 4/23/21 | (30) | (3,600) | — | (3,600) | |||||||
Wheat Futures, fixed price $634.25(T)(3) | – | Goldman Sachs International | 4/23/21 | (50) | 8,125 | — | 8,125 | |||||||
Wheat Futures, fixed price $644.25(T)(3) | – | Goldman Sachs International | 4/23/21 | (20) | 5,250 | — | 5,250 | |||||||
Wheat Futures, fixed price $655.50(T)(3) | – | Goldman Sachs International | 4/23/21 | (60) | 22,494 | — | 22,494 |
A74
AST ADVANCED STRATEGIES PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of March 31, 2021 (unaudited) |
Total return swap agreements outstanding at March 31, 2021 (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.): | ||||||||||||||
Wheat Futures, fixed price $661.25(T)(3) | – | JP Morgan Chase Bank, N.A. | 4/23/21 | (20) | $8,648 | $— | $8,648 | |||||||
$(8,861,639) | $(60,702) | $(8,800,937) |
(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. |
Reverse repurchase agreements outstanding at March 31, 2021: | ||||||||||
Broker | Interest Rate | Trade Date | Cost | Maturity Date | Value at March 31, 2021 | |||||
Barclays Bank PLC | (0.510)% | 02/23/21 | $2,738,731 | 05/20/21 | $2,650,254 | |||||
Barclays Bank PLC | (0.500)% | 08/31/20 | 294,369 | 09/15/22 | 294,369 | |||||
Barclays Bank PLC | (0.500)% | 02/12/21 | 1,016,205 | 05/20/21 | 983,376 | |||||
BNP Paribas S.A. | (0.500)% | 02/12/21 | 11,309,261 | 05/20/21 | 10,943,904 | |||||
Morgan Stanley & Co. International PLC | (0.550)% | 02/12/21 | 3,604,802 | 05/20/21 | 3,488,345 | |||||
Morgan Stanley & Co. International PLC | (0.550)% | 02/12/21 | 777,283 | 05/20/21 | 752,172 | |||||
$19,740,651 | $19,112,420 |
The aggregate value of Reverse Repurchase Agreements is $19,112,420. Sovereign Bonds with a market value of $26,481,710 have been segregated as collateral to cover the requirement for the reverse repurchase agreement outstanding as of March 31, 2021.
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