UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
| Investment Company Act file number: | 811-05186 | |
| Exact name of registrant as specified in charter: | Advanced Series Trust | |
| (This Form N-CSR relates solely to the Registrant’s 46 portfolios listed in Appendix A) | ||
| Address of principal executive offices: | 655 Broad Street, 17th Floor | |
| Newark, New Jersey 07102 | ||
| Name and address of agent for service: | Andrew R. French | |
| 655 Broad Street, 17th Floor | ||
| Newark, New Jersey 07102 | ||
| Registrant’s telephone number, including area code: | 800-225-1852 | |
| Date of fiscal year end: | 12/31/2019 | |
| Date of reporting period: | 12/31/2019 | |
Item 1 – Reports to Stockholders
Advanced Series Trust
| ANNUAL REPORT | December 31, 2019 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports for other portfolios. Please refer to your variable annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about each portfolio’s holdings are for the period covered by this report and are subject to change thereafter.
Please note that this report may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
AST AQR Emerging Markets Equity Portfolio
AST Cohen & Steers Realty Portfolio
AST Goldman Sachs Small-Cap Value Portfolio
AST Hotchkis & Wiley Large-Cap Value Portfolio
AST International Growth Portfolio
AST International Value Portfolio
AST J.P. Morgan International Equity Portfolio
AST Jennison Large-Cap Growth Portfolio
AST Loomis Sayles Large-Cap Growth Portfolio
AST MFS Global Equity Portfolio
AST MFS Growth Portfolio
AST MFS Large-Cap Value Portfolio
AST Mid-Cap Growth Portfolio
AST Neuberger Berman/LSV Mid-Cap Value Portfolio
AST Parametric Emerging Markets Equity Portfolio
AST QMA Large-Cap Portfolio
AST Small-Cap Growth Portfolio
AST Small-Cap Growth Opportunities Portfolio
AST Small-Cap Value Portfolio
AST T. Rowe Price Large-Cap Growth Portfolio
AST T. Rowe Price Large-Cap Value Portfolio
AST T. Rowe Price Natural Resources Portfolio
AST Templeton Global Bond Portfolio
AST WEDGE Capital Mid-Cap Value Portfolio
AST Wellington Management Hedged Equity Portfolio
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Advanced Series Trust
Table of Contents |
Annual Report | December 31, 2019 |
| ∎ |
LETTER TO CONTRACT OWNERS |
| ∎ |
MARKET OVERVIEW |
| ∎ |
REPORT OF THE INVESTMENT MANAGERS AND PRESENTATION OF PORTFOLIO HOLDINGS |
| ∎ |
BENCHMARK GLOSSARY |
| ∎ |
FEES AND EXPENSES |
| ∎ |
FINANCIAL REPORTS |
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
|
Advanced Series Trust
Letter to Contract Owners |
Annual Report | December 31, 2019 |
| ∎ |
DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Advanced Series Trust annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 135 years. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin
President,
|
Advanced Series Trust January 31, 2020 |
| Market Overview — unaudited | Annual Report | December 31, 2019 |
Equity Market Overview
US and international stock markets posted stellar returns in 2019 as many central banks, including the Federal Reserve (the Fed), cut interest rates or used other stimuli to spur growth. Although the markets fluctuated sharply at times in reaction to on-again-off-again trade tensions between the US and China, concerns about tariffs subsided later in the year.
In the US, the broad-based S&P 500® Index and Russell 3000® Index returned 31.46% and 31.02%, respectively, for the year. Internationally, the MSCI ACWI Ex-US Index, a broad measure of stock performance in developed and emerging markets outside the US, returned 21.51%. (All returns cited are in US dollars and include dividends.)
Global economic growth slowed, central banks cut rates
During 2019, the pace of global growth slowed and concerns about the economic outlook rose due in part to uncertainties regarding US-China tariffs and other geopolitical factors, which created a drag on manufacturing and export activity. Many central banks responded by loosening monetary policy — in some cases reversing their positions. For example, the Fed, which hiked rates four times in 2018, cut its federal funds rate target three times in 2019 and moved from tapering its balance sheet to expanding it through asset purchases. The European Central Bank, which had been rolling back its bond-buying program in 2018, restarted it to stimulate the eurozone economy.
Although US real gross domestic product (GDP) growth rose 2.1% (annualized) in the third quarter, down from 3.1% in the first quarter, the US economy expanded at a moderate pace. (Fourth-quarter GDP data had not been released when this overview was published.) Corporate earnings, consumer spending, and the labor market were strong, while inflation remained low.
Stock markets rallied, retreated, and rebounded to record highs
Early in the first quarter, stocks rallied as US-China trade negotiations appeared to be progressing, the Fed signaled that it planned to pause from hiking rates unless warranted, the US government’s partial shutdown ended, and corporate earnings rose sharply despite slower growth. The S&P 500 jumped nearly 8.0% in January alone.
Stocks sold off in May as trade-war worries resurfaced. However, equity markets rallied in June in anticipation of possible rate cuts and on hopes for a trade deal. During the first half of 2019, the Fed maintained its interest rate target.
Trade concerns re-emerged in the third quarter amid signs of slowing growth and renewed trade frictions. With inflation below its target, the Fed cut rates in July for the first time since the financial crisis in 2008 as a pre-emptive measure to help sustain the US economy’s expansion and withstand the risk of a global economic slowdown and further drop in business investment.
In August, concerns about tariffs, the growth of China’s industrial output, and the global economy intensified, driving investors toward less-risky investments like US Treasuries. The yield on the 10-year US Treasury note, which moves opposite to its price, briefly dropped below the rate on two-year Treasuries. Although many analysts didn’t interpret this particular “yield curve inversion” as indicative of a looming recession, as they often have in the past, stock prices — particularly in emerging markets — dropped sharply.
Although the Fed cut rates again in September and October to a range of 1.50%-1.75%, Chairman Jerome Powell conveyed that the central bank did not plan to cut rates further unless incoming information required its members to materially reassess their outlook for the economy. As expected, the Fed did not adjust rates through the remainder of the year.
During the fourth quarter, US stock indexes surged to new highs and emerging market stocks rallied amid reports the US and China were moving toward a “phase one” partial trade deal. (The agreement was signed in January 2020 after the reporting period ended.) Eurozone stock markets rose in reaction to improved economic results from Germany. United Kingdom investors were encouraged by the outcome of December elections that many hope will lead to a smoother potential exit of the UK from the European Union.
All S&P 500 sectors rose
The best-performing sectors in the S&P 500 were information technology (+50.3%), communication services (+32.7%), and financials (+32.1%). Next in line were industrials (+29.4%), real estate (+29.0%), consumer discretionary (+27.9%), consumer staples (+27.6%), utilities (+26.4%), materials (+24.6%), health care (+20.8%), and energy (+11.8%).
| Market Overview — unaudited (continued) | Annual Report | December 31, 2019 |
Growth outperformed value, large-cap stocks topped small caps
For the year, the Russell 3000® Growth Index returned 35.85%, outperforming the Russell 3000® Value Index, which rose 26.26%. Large-cap stocks, as measured by the Russell 1000® Index, rose 31.43%. The Russell Midcap® Index returned 30.54%, and the small-cap Russell 2000® Index lagged yet still returned 25.52%.
International stocks collectively rose but underperformed US equities
Stocks trading in emerging markets, as measured by the MSCI Emerging Markets Index, returned 18.4% for the year. Notable top-performing country components in the index included Russia (+50.9%), supported by a jump in oil prices, Taiwan (+36.4%), Brazil (+26.3%), and China (23.5%). Taiwan’s and China’s markets advanced in the fourth quarter as trade frictions diminished, although weak economic data from China dampened investor sentiment during the year. Notable countries that underperformed the index but still contributed positively to performance included South Korea (+12.5%), Mexico (+11.4%), and India (+7.6%). Malaysia (-2.0%) detracted from the index’s performance.
Equities in developed markets outside the US and Canada, as measured by the MSCI EAFE Index, rose 22.01%. For the year, the MSCI Europe Index rose 23.77%, the MSCI UK Index returned 21.05%, and the MSCI Japan Index rose 19.61%.
Fixed Income Market Overview
In 2019, for the first time in more than a decade, the Federal Reserve (the Fed) cut interest rates to help sustain the US economy’s expansion in the face of slowing global economic growth and US-China trade-war risks. The central bank was merely one of dozens that reduced rates throughout the year, igniting rallies in numerous global bond markets. During 2019, emerging markets debt, US high yield bonds, and corporate investment-grade bonds delivered robust returns, yet US government bonds and many other fixed income categories also posted solid results.
In the US, the economy grew at a healthy but slow pace. Although real gross domestic product (GDP) growth dropped from 3.1% (annualized) in the first quarter to 2.1% in the third, the economy continued to expand. (Fourth-quarter GDP data had not been released when this overview was published.) The national unemployment rate dropped to a 50-year low of 3.5% in September, corporate earnings were generally strong, and inflation remained low. Elsewhere, the European economy grew weakly. Notably, China’s growth rate dropped significantly from 6.6% in 2018 to 6.1% in 2019.
Bond markets fluctuated but closed higher
During the first quarter of 2019, global growth expectations softened. The Fed, which increased rates four times in 2018, signaled it would pause from hiking rates further based on its outlook at the time, sending bond markets higher. US high yield and emerging market bond prices rose sharply, supported by a tailwind of receding tariff worries and favorable corporate earnings.
In May, worries about the US-China trade war surfaced again. US Treasuries rallied while riskier assets such as high yield bonds dropped in price. The following month, however, the Fed hinted at the possibility of interest rate cuts ahead, trade fears cooled, and the high yield bond market rebounded. The Fed did not adjust rates during the first half of the year.
In July, the global economy showed signs of a slowdown and tariff fears returned. Later that month, for the first time since the financial crisis in 2008, the Fed cut rates as a pre-emptive measure to help sustain the expansion of the US economy and provide a cushion against the risk of a global economic slowdown. During August, the yield on 10-year US Treasuries dropped below yields on two-year Treasuries. Historically, when yields on longer-term Treasuries fall below yields on shorter-term issues, recessions have often followed. While many analysts questioned the “yield curve inversion” as a recessionary indicator in this instance, investors concerned about the economy gravitated to “safe-haven” securities like longer-term US Treasuries and other high-quality credits.
The investment-grade Bloomberg Barclays US Aggregate Bond Index returned 2.59% in August. US high yield bonds finished virtually flat, whereas emerging market sovereign debt markets dropped sharply due in part to a stronger US dollar versus most currencies.
In September, the Fed cut rates again and the European Central Bank restarted its bond-buying program to help stimulate the eurozone economy after rolling it back the previous year. After the Fed dropped its rate target to a range of 1.50% to 1.75% in October, Chairman Jerome Powell conveyed that the central bank had no plans for further cuts unless incoming data compelled its members to materially reassess their outlook for the economy. As expected, the Fed maintained its rate target through the remainder of the year.
During the fourth quarter, stronger-than-expected economic data and reports that the US and China were moving toward a “phase one” partial trade deal led to a “risk-on” rally. (The agreement was signed in January 2020 after the reporting period ended.) Over the final month of the year, high yield bonds and emerging markets bonds posted solid gains, while investment-grade US bonds dropped slightly.
| Market Overview — unaudited (continued) | Annual Report | December 31, 2019 |
Emerging market debt and high yield bonds surged by double digits
For the year, the Bloomberg Barclays Global Aggregate Bond Index (unhedged), which measures global investment-grade debt performance, returned 6.84%. (All returns cited are in US dollars.) Bonds trading in the US, based on the Bloomberg Barclays US Aggregate Bond Index, rose 8.72%. The US index’s leading component sectors included investment-grade corporate bonds (+14.5%), which benefited from the interest rate cuts and solid fundamentals, along with Treasury inflation-protected securities (+8.4%), commercial mortgage-backed securities (+8.3%), and US Treasury securities (+6.9%). Treasuries with longer maturities rallied in the second and third quarters when trade tensions escalated, which triggered a “flight to quality.” The 10-year US Treasury note’s yield, which moves opposite to its price, opened 2019 at approximately 2.65% and closed the year at 1.92% as trade tensions eased.
The Bloomberg Barclays Municipal Bond Index returned 7.54% for the year. US high yield bonds (debt rated below investment grade), as measured by the ICE BofAML US Cash High Yield Index, returned 14.40%. Accommodative monetary policies, strong corporate earnings, and investors’ quest for enhanced yield supported demand for high yield opportunities. Emerging market debt, based on the J.P. Morgan EMBI Global Diversified Index surged 15.04%. Despite a strong US dollar (relative to most currencies), sovereign debt yields in general drifted lower as inflation was contained in many countries, providing their central banks with latitude to reduce interest rates, which bolstered bond prices.
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AST AQR Emerging Markets Equity Portfolio
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December 31, 2019 |
Report of the Investment Manager - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years |
Since
Inception |
|||||||||
|
Portfolio |
17.81 | % | 4.29 | % | 3.00 | % | ||||||
|
MSCI Emerging Markets Index (GD) |
18.90 | 6.01 | 3.71 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio Inception: 2/25/2013. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Index returns reflect performance beginning with the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST AQR Emerging Markets Equity Portfolio returned 17.81%. The Portfolio underperformed the MSCI Emerging Markets Index (GD).
The investment objective of the Portfolio is to seek long-term capital appreciation.
What were the market conditions during the reporting period?
Concerns around US-China trade talks, coupled with worries of a global growth slowdown, were key drivers in the performance of emerging markets equities over the course of 2019.
Emerging markets stocks were mostly higher in the first quarter despite the trade war concerns. Chinese equities got a boost after tariffs from the US slated to go into effect on March 1 were delayed to allow additional time for trade negotiations. Korean and Taiwanese equities also outperformed in the first quarter, aided by strong performance from semiconductor companies.
Tensions in emerging equity markets intensified over the second quarter of 2019, as US-China trade talks broke down suddenly in early May. The US added to trade-related uncertainty later that month by threatening to escalate tariffs on Mexican imports unless Mexico took significant steps to curtail illegal border crossings. On the other hand, a more dovish monetary policy outlook from the Federal Reserve (the Fed) in the quarter provided support to emerging market currencies (outside of East Asia), with gains in the Mexican peso, Brazilian real, South African rand, and others.
Emerging equity markets were mostly mixed in the third quarter, weighed down by continued growth and trade war concerns. In China, Chinese H-Shares (i.e., stocks of Chinese companies that trade on the Hong Kong Stock Exchange) sold off on a weaker-than-expected manufacturing survey, industrial production, and retail sales data. Depreciation of the yuan, however, offset some of the impact of domestic growth concerns. Sentiment around trade improved again in September, as the US announced delays in the implementation of tariff increases and China reduced agricultural tariffs and conducted meaningful purchases of US grains for the first time in months.
Downside risks to the Chinese economic outlook moderated over the course of the fourth quarter. The trade dispute with the US de-escalated at the margin, although progress was bumpy at times. Late in the quarter, the two countries agreed to a “Phase 1” deal rolling back some existing US tariffs and holding off on new tariffs in exchange for increased Chinese purchases of US agricultural products. Both Korean and Taiwanese equities outperformed alongside Chinese equities, boosted by strong technology company earnings and performance.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio’s investment views are generated using a multifactor approach based on the combination of valuation, momentum, quality, and sentiment. The overall strategy’s active risk is allocated 50% to stock selection (the majority of which is allocated to stock selection within industries), 25% to country selection, and 25% to currency selection.
The Portfolio invests through quantitative programs (models) to achieve returns. The Portfolio’s outperformance (net) relative to the MSCI Emerging Markets Index for the year was driven primarily by the currency selection model (+2.5%), although the country selection model (+0.4%) also contributed. Stock selection detracted (-2.2%) from excess returns. Performance in currency selection was driven by underweight positions in the South Korean won and Chilean peso. In the country selection model, an overweight to China and an underweight to India drove positive performance. Stock selection within sectors and sector selection
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
1
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AST AQR Emerging Markets Equity Portfolio
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December 31, 2019 |
Report of the Investment Manager - As of December 31, 2019 (Unaudited) (Continued)
both detracted from performance. Stock selection in financials was the Portfolio’s largest detractor. Stock selection within health care contributed, but not enough to offset losses from picks in other sectors. Among sector allocations, an underweight to consumer discretionary hurt most. From an investment theme perspective, the valuation theme drove losses, while the remaining themes (momentum, quality, and sentiment) detracted to a lesser degree. The valuation theme evaluates a stock’s fundamental value versus its market price with the belief that relatively cheap stocks will outperform relatively expensive ones.
Performance of the AST AQR Emerging Markets Equity Portfolio is partially captured through the use of currency forwards. The currency selection model (+2.5%) contributed to performance for the period.
Presentation of Portfolio Holdings — unaudited
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
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AST Cohen & Steers Realty Portfolio
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December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
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Portfolio |
31.22 | % | 7.85 | % | 12.04 | % | ||||||
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Wilshire US REIT Total Return Index |
25.71 | 6.86 | 11.94 | |||||||||
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FTSE NAREIT All Equity REITs Index |
28.66 | 8.43 | 12.59 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST Cohen & Steers Realty Portfolio returned 31.22%. The Portfolio outperformed both the Wilshire US REIT Total Return Index and the FTSE NARIET All Equity REITs Index.
The investment objective of the Portfolio is to seek to maximize total return through investment in real estate securities.
What were the market conditions during the reporting period?
In 2019 (the reporting period), US real estate stocks enjoyed their best year in more than a decade in a market that was favorable for equities broadly. A buoyant economy — with job creation rising for 111 consecutive months — resulted in healthy demand for a wide range of property types. This coincided with peaking supply in many sectors. Companies also benefited from easy access to capital at historically low rates, providing a strong environment for cash flow growth.
Residential-related housing sectors, such as manufactured homes and single-family homes, were among the best performers during the year. The sectors were buoyed by a strong job market, a lack of new supply, worsening home affordability, and positive demographic trends. Tech-related real estate investment trusts (REITs) also shined amid powerful secular trends. Data centers and cell towers continued to benefit from rapid data growth in e-commerce and capital spending on fifth-generation, or 5G, wireless infrastructure.
Industrial landlords also enjoyed strong returns, stemming from the massive need for logistics capabilities. Companies benefited from favorable industry fundamentals as supply struggled to keep pace with demand. Also fueling the rally was merger and acquisition activity, often at very rich valuations. Although industrial fundamentals remain healthy, Cohen & Steers believes relative valuations for this sector are particularly stretched.
Despite a robust absolute gain, health care REITs were relative laggards during the year, as rates moved higher in the fourth quarter. Regional malls were the only sector to experience a negative absolute return in 2019, as escalating retail store closures and online sales underscored continued challenges for retail landlords.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio had a positive total return for the year and outperformed its benchmark index. Factors that helped the Portfolio’s relative performance included stock selection in the health care sector, which benefited from the decline in long-term interest rates. The Portfolio benefited from the timing of its allocations in Ventas Inc., which underperformed as the company reported disappointing earnings and lowered guidance. An overweight in Sabra Health Care REIT Inc. was also beneficial. It outperformed after experiencing rising internal growth.
An underweight allocation in regional malls aided relative performance. Stock selection in data centers also helped, due mainly to an overweighting in Equinix Inc., which outpaced a strong-performing sector. Security selection in diversified REITs further helped. An overweighting in VEREIT Inc. was buoyed by the resolution of corporate litigation that removed an overhang on the stock and allowed VEREIT to improve its balance sheet.
Stock selection in regional malls detracted from relative performance, due to overweight positions in The Macerich Co. and Taubman Centers Inc., which are leading Class A mall companies. While Macerich and Taubman were dragged down by negative investor sentiment for malls in general, Cohen & Steers believes the companies have the capital and skill to renovate their properties to attract new tenants. These negatives were partially offset by a meaningful underweighting in Simon Property Group Inc., as its shares fell sharply during the year.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
3
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AST Cohen & Steers Realty Portfolio
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December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Security selection in apartments further detracted from relative performance, due mostly to an overweight in UDR Inc., a regionally diversified apartment landlord that advanced but underperformed. While the company’s fundamentals remained intact, its shares underperformed in part due to a subdued outlook from management and negative new lease spreads when some of its tenants moved out. An underweighting and stock selection in the industrial sector also hindered performance. Cohen & Steers believes the sector’s healthy fundamentals are more than reflected in share prices.
Presentation of Portfolio Holdings — unaudited
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
4
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AST Goldman Sachs Small-Cap Value Portfolio
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December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
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Portfolio |
22.64 | % | 6.79 | % | 11.87 | % | ||||||
|
Russell 2000® Value Index |
22.39 | 6.99 | 10.56 | |||||||||
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Russell 2000® Index |
25.52 | 8.23 | 11.83 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
The Russell 2000® and 2000® Value Indexes are trademarks of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST Goldman Sachs Small-Cap Value Portfolio returned 22.64%. The Portfolio outperformed the Russell 2000 Value Index and underperformed the Russell 2000 Index.
The investment objective of the Portfolio is to seek long-term capital appreciation.
What were the market conditions during the reporting period?
The US equity market delivered one of its strongest years of performance in 2019, with the S&P 500 Index returning over 30% and the Russell 2000 Index, a proxy for small market capitalization stocks, returning slightly over 25%. The US equity market rallied at the start of the year, almost completely recovering from a sell-off at the end of 2018. After four gradual rate hikes in 2018, the Federal Reserve (the Fed) cut rates three times in 2019 to keep the economic expansion intact amid trade uncertainties. The trade war between the US and China continued to pressure macroeconomic indicators throughout the first half of the year but did little to suppress a resilient consumer, which ultimately outweighed manufacturing weakness.
In the fourth quarter, stock returns accelerated with an uptick of US manufacturing- and service-sector business surveys, as well as a consistently strong labor market supported by strong nonfarm-payroll numbers in November. These developments helped restore market confidence, while fundamentals of low core inflation, contained financial imbalances, and muted trade war concerns fended off imminent recession risk. The best-performing sectors over the year were information technology, communication services, and financials, while the worst-performing sectors were energy, health care, and materials.
What strategies or holdings affected the Portfolio’s performance?
During 2019, the Portfolio outperformed the Russell 2000 Value Index (gross returns). For the year, stock selection in the consumer discretionary sector contributed to returns, while investments in real estate detracted.
Lattice Semiconductor Corp. (not held in the Portfolio at the end of the reporting period), a semiconductor company that produces programmable logic devices used in the circuits of mobile phones, other telecommunications devices, and Internet-of-Things (IoT), was a top contributor for the year. At the end of 2018, the company named Jim Anderson, a former vice president who turned around operations at chipmaker Advanced Micro Devices Inc., as the new president and chief executive officer. Under his tenure, Anderson has driven revenue growth and executed on company expectations, as evidenced in the company’s 2019 earnings reports. Due to the stock’s significant appreciation in 2019, Goldman Sachs sold the position in the summer.
CommVault Systems Inc. (0.2% of the Portfolio at the end of the period), a data-software company that provides the US government with data-protection services, was a top detractor from Portfolio returns for the year. A majority of the stock’s underperformance can be explained by the market’s reaction to mixed earnings reports. The first occurrence was in late April, when the stock dropped following the release of fourth-quarter earnings of fiscal year 2019. The company experienced large deal weakness and challenged channel execution in the quarter. Subsequently, management revised forward guidance downward, expecting improvement in the back half of fiscal 2020. However, the stock was off to a rocky start when it missed fiscal first-quarter earnings expectations at the end of July. Despite some of the near-term issues, Goldman Sachs believes that a new chief executive officer and chief revenue officer, both appointed in 2019, can correct mid-market execution issues and simplify the sales organization to better monetize CommVault’s products. In Goldman Sachs’ view, the stock is under-earning its potential with a sizeable market opportunity given the growing demand for cloud data.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
5
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AST Goldman Sachs Small-Cap Value Portfolio
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December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST Goldman Sachs Small-Cap Value (As of 12/31/2019) |
|
|||||
| Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
| iShares Russell 2000 Value ETF | Exchange-Traded Fund | 1.5% | ||||
| Portland General Electric Co. | Electric Utilities | 1.2% | ||||
| Marriott Vacations Worldwide Corp. | Hotels, Restaurants & Leisure | 1.2% | ||||
| SkyWest, Inc. | Airlines | 1.0% | ||||
| Rexnord Corp. | Machinery | 1.0% | ||||
| Glacier Bancorp, Inc. | Banks | 1.0% | ||||
| Lumentum Holdings, Inc. | Communications Equipment | 1.0% | ||||
| KBR, Inc. | IT Services | 0.9% | ||||
| Healthcare Realty Trust, Inc. | Equity Real Estate Investment Trusts (REITs) | 0.9% | ||||
| STAG Industrial, Inc. | Equity Real Estate Investment Trusts (REITs) | 0.9% | ||||
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
6
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AST Hotchkis & Wiley Large-Cap Value Portfolio
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December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
29.52 | % | 7.93 | % | 11.43 | % | ||||||
|
Russell 1000® Value Index |
26.54 | 8.29 | 11.80 | |||||||||
|
S&P 500 Index |
31.46 | 11.69 | 13.55 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
The Russell 1000® Value Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST Hotchkis & Wiley Large-Cap Value Portfolio returned 29.52%. The Portfolio outperformed the Russell 1000 Value Index and underperformed the S&P 500 Index.
The investment objective of the Portfolio is to seek current income and long-term growth of income, as well as capital appreciation.
What were the market conditions during the reporting period?
For much of 2019, the US engaged in a trade war with China, its largest global trading partner. Near the end of the year, the House of Representatives impeached President Donald Trump, marking the third impeachment in the nation’s history. US equity markets shrugged off the tumultuous political environment, and the S&P 500 Index returned an impressive 31.46% for the year. The index has fared better in only 16 calendar years since 1926. The economy was supportive, with real gross domestic product modestly positive, inflation range-bound around 2%, and unemployment at a 50-year low.
What strategies or holdings affected the Portfolio’s performance?
The dovish interest rate environment and additional bond buying plans by the Federal Reserve led to strong performance in risk assets in 2019, particularly in cyclical sectors, where companies experienced significant expansion of their share price multiples. Much of that multiple expansion took place in growth-oriented sectors, with information technology leading the way. Conversely, energy lagged the broader market for the third year in a row. The subadvisor continued to see valuation disparities between growth and value indices widen in 2019, with the Russell 1000 Value Index trading at 15.4x normal earnings at the end of the period compared to 26.6x for the Russell 1000 Growth Index. By comparison, the Portfolio trades at 9.0x normal earnings. The considerable valuation advantage, combined with good underlying businesses and healthy balance sheets, leaves the subadvisor confident about the Portfolio’s prospects, particularly compared to passive alternatives.
The Portfolio outperformed the Russell 1000 Value Index in 2019. Positive stock selection across a broad array of sectors led to the outperformance, particularly in financials, health care, industrials, utilities, and energy. Within financials, positions in Citigroup and AIG contributed meaningfully based on improved earnings. An underweight exposure to health care also helped, as did our positions in Medtronic and Zimmer Biomet on improved earnings and forward earnings guidance. A relatively new position, UnitedHealth Group, also contributed positively to relative performance. Top portfolio holding General Electric was also a standout performer in industrials, delivering a return of 54% for the year as the company took meaningful steps to improve its balance sheet, including the sale of entire business units.
Conversely, stock selection in technology and communication services, along with an overweighting in energy, were the largest performance detractors for the year. Despite strong performance from Microsoft, a top-five holding during the year, lackluster performance from Corning, Oracle, and Ericsson hurt performance. Corning was particularly disappointing as margins were weighed down on disappointing sales of its display technologies and fiber optic businesses. Vodafone Group and ViacomCBS were key detractors within communication services. Strong performance from Hess Corp. wasn’t enough to offset weak performance from Marathon Oil, Apache, and National Oilwell Varco, as investor concerns around supply/demand dynamics tested the energy sector during the year.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
7
|
AST Hotchkis & Wiley Large-Cap Value Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST Hotchkis & Wiley Large-Cap Value (As of 12/31/2019) |
|
|||||
| Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
| General Electric Co. | Industrial Conglomerates | 5.1% | ||||
| Wells Fargo & Co. | Banks | 4.7% | ||||
| American International Group, Inc. | Insurance | 4.6% | ||||
| Microsoft Corp. | Software | 4.4% | ||||
| Citigroup, Inc. | Banks | 3.7% | ||||
| Oracle Corp. | Software | 3.5% | ||||
| Goldman Sachs Group, Inc. (The) | Capital Markets | 3.4% | ||||
| General Motors Co. | Automobiles | 3.0% | ||||
| Comcast Corp. (Class A Stock) | Media | 2.5% | ||||
| National Oilwell Varco, Inc. | Energy Equipment & Services | 2.4% | ||||
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
8
|
AST International Growth Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns |
1 Year |
5 Years | 10 Years | |||||||||
|
Portfolio |
32.11 | % | 9.01 | % | 7.58 | % | ||||||
|
MSCI EAFE Index® (GD) |
22.66 | 6.18 | 6.00 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST International Growth Portfolio returned 32.11%. The Portfolio outperformed the MSCI EAFE Index (GD).
The investment objective of the Portfolio is long-term growth of capital.
What were the market conditions during the reporting period?
For 2019, the MSCI EAFE Index (GD) was up 22.66% in spite of a strong US dollar, trade-war tensions, an impasse over the United Kingdom’s pending exit from the European Union (known as Brexit), and downward global earnings revisions for most of the year. However, most of these worries were alleviated by year-end, as China and the US agreed on a trade deal, Boris Johnson’s Conservative Party won the UK general election, and global corporate earnings trends started to stabilize. In addition, strong international equity returns were attributable to the Federal Reserve reversing course and cutting interest rates three times during the second half of 2019, increasing liquidity. Investors, in turn, started to embrace risk, as volatility, momentum, and small-capitalization stocks came back into favor during the fourth quarter. From a sector perspective, information technology and health care (especially biotechnology) recorded gains, while energy and communications lagged. In general, the performance of western European equity markets improved substantially compared to their performance in 2018.
What strategies or holdings affected the Portfolio’s performance?
Stock selection added to relative performance, as all three subadvisors (Jennison, Neuberger, and William Blair) tended to invest in technology stocks and to avoid energy stocks. The subadvisors steered clear of energy stocks because of their generally slower earnings growth rates. Instead, they focused on internet retail, software, and services stocks, which advanced overall during the period. Because of their growth mandate, the subadvisors favored companies in these faster-growing industries, and their strategies were rewarded during the period.
Volatility and price momentum were other key factors in the Portfolio’s positive relative performance. Jennison typically has a more aggressive portfolio, while William Blair incorporates momentum as part of its process. In addition, each subadvisor’s underexposure to companies with lower price-to-book ratios enhanced results, as value was broadly out of favor in 2019. These exposures are a residual of the subadvisors’ respective investment processes.
Finally, all three subadvisors had substantial underweights to Japan, which tends to have lower growth and profitability rates than the rest of the developed world. Japan’s forward earnings estimates and wage growth rates had declined in recent years. As a result, the country’s stocks underperformed the MSCI EAFE Index during the period. Because the subadvisors were underweight, the Portfolio benefited.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
9
|
AST International Growth Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST International Growth (As of 12/31/2019) |
|
|||||||
| Ten Largest Holdings | Line of Business | Country | (% of Net Assets | ) | ||||
| Alibaba Group Holding Ltd. | Internet & Direct Marketing Retail | China | 3.1% | |||||
| LVMH Moet Hennessy Louis Vuitton SE | Textiles, Apparel & Luxury Goods | France | 2.2% | |||||
| AIA Group Ltd. | Insurance | Hong Kong | 2.0% | |||||
| ASML Holding NV | Semiconductors & Semiconductor Equipment | Netherlands | 1.8% | |||||
| Airbus SE | Aerospace & Defense | France | 1.8% | |||||
| Adyen NV | IT Services | Netherlands | 1.7% | |||||
| Experian PLC | Professional Services | United Kingdom | 1.7% | |||||
| L’Oreal SA | Personal Products | France | 1.7% | |||||
| Safran SA | Aerospace & Defense | France | 1.7% | |||||
| Novartis AG | Pharmaceuticals | Switzerland | 1.5% | |||||
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
10
|
AST International Value Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
20.02 | % | 4.62 | % | 4.70 | % | ||||||
|
MSCI EAFE Index® (GD) |
22.66 | 6.18 | 6.00 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST International Value Portfolio returned 20.02%. The Portfolio underperformed the MSCI EAFE Index (GD).
The investment objective of the Portfolio is to seek capital growth.
What were market conditions during the reporting period?
After a sharp decline in equities during the fourth quarter of 2018, the stock market rebounded strongly in the first four months of 2019 as international central banks signaled more stimulus to try to keep the global economic expansion intact. Believing that the central banks would succeed, markets responded accordingly.
In the second and third quarters of 2019, global equities broadly traded sideways with some bumps in the road as investors digested the ebbs and flows in the trade negotiations between the US and China, in addition to the deterioration of key macroeconomic indicators.
Against the backdrop of an improved economic picture, alleviated trade tensions, and a dovish Federal Reserve, global equities rose 9% in the fourth quarter of 2019. The S&P 500 Index rose 9.1% during the quarter and 31.46% for the full year. This marked the best annual performance for the S&P 500 since 2013. Equity markets witnessed the dominance of growth stocks over value stocks for most of 2019. In addition, investors increased their appetites for risk, favoring emerging markets over developed markets during the period.
Improved global economic data, combined with promising US-China trade negotiations, sparked a rally in international equities and a weakening of the US dollar. In the final quarter of 2019, emerging markets rose 11.8%, outperforming both domestic markets (a 9.1% return for the S&P 500 Index) and developed international markets (an 8.2% return for the MSCI EAFE Index). Within emerging markets, tech-heavy Taiwan rallied nearly 18% and Russia rallied 17% in the fourth quarter as central banks eased pressure on interest rates. In contrast, India rose just 5% as it faced economic and political turmoil. In developed markets, the United Kingdom rallied 10% on more certainty surrounding its pending exit from the European Union (known as Brexit), while Germany was up 10% on improved economic data.
For the full year, international growth stocks outpaced international value stocks by nearly 12% — the largest calendar-year deficit for value-versus-growth ever observed, as the MSCI EAFE Growth Index returned 28.43% versus 16.83% for the MSCI EAFE Value Index.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio slightly underperformed the MSCI EAFE Index (GD) during the period. The value-versus-growth deficit presented headwinds for the Portfolio’s performance relative to the Index. The Portfolio’s results struggled primarily due to allocation effects and exposure to value factors, while contributions from stock selections were slightly positive.
In terms of stock selection, gains were strongest in the financials, materials, and information technology (IT) sectors. On the downside, there were losses in the consumer discretionary, health care, and industrials sectors. Regarding allocation strategies, the Portfolio’s underweight position in two of the Index’s top-performing groups — IT and health care — were detrimental to relative results during the period.
From a regional perspective, exposure to North America contributed to results. However, stock selection suffered in North America and in Western Europe, notably in France and the Netherlands, which detracted from relative performance. On a positive note, positions within the Pacific Rim proved beneficial during the period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
11
|
AST International Value Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Considering style factors, the Portfolio’s exposure to smaller-sized, value-oriented companies led to relative underperformance during a period that generally benefited larger-cap growth names. A small, yet consistent allocation to cash had a slightly negative impact on performance during the period.
Presentation of Portfolio Holdings — unaudited
| AST International Value (As of 12/31/2019) |
|
|||||||
| Ten Largest Holdings | Line of Business | Country | (% of Net Assets | ) | ||||
| Sanofi | Pharmaceuticals | France | 2.2% | |||||
| Roche Holding AG | Pharmaceuticals | Switzerland | 1.7% | |||||
| SAP SE | Software | Germany | 1.3% | |||||
| Novartis AG | Pharmaceuticals | Switzerland | 1.3% | |||||
| Medtronic PLC | Health Care Equipment & Supplies | United States | 1.2% | |||||
| Royal Dutch Shell PLC (Class A Stock) | Oil, Gas & Consumable Fuels | Netherlands | 1.2% | |||||
| Hitachi Ltd. | Electronic Equipment, Instruments & Components | Japan | 1.2% | |||||
| Engie SA | Multi-Utilities | France | 1.2% | |||||
| GlaxoSmithKline PLC | Pharmaceuticals | United Kingdom | 1.1% | |||||
| RELX PLC | Professional Services | United Kingdom | 1.1% | |||||
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
12
|
AST J.P. Morgan International Equity Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
27.22 | % | 6.16 | % | 5.63 | % | ||||||
|
MSCI EAFE Index® (GD) |
22.66 | 6.18 | 6.00 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST J.P. Morgan International Equity Portfolio returned 27.22%. The Portfolio outperformed the MSCI EAFE Index (GD).
The investment objective of the Portfolio is to seek capital growth.
What were the market conditions during the reporting period?
International equity markets achieved strong returns in 2019 against a backdrop of deteriorating economic data, particularly in the manufacturing sector. Investors instead focused on robust services data, strong labor markets, solid consumer confidence, and easing monetary policy conditions. JPMorgan believes that going forward, returns are likely to be much more modest, with the direction dependent on the path of economic growth.
As of period-end, the path looked positive amid signs that economic data may have bottomed, supportive central bank policymaking, and easing trade tensions. However, in JPMorgan’s view, investors will be looking for signs of slowing economic growth and its impact on corporate profits and hiring. Valuations remain reasonable, and JPMorgan still expects positive earnings growth ahead, with ample opportunities for active investors within the market sectors. However, JPMorgan thinks investors should be wary of the very high consensus earnings expectations for 2020, as these numbers are used to calculate forward valuation multiples.
As 2020 progresses, JPMorgan expects investors to focus on trade negotiations, the path of economic growth, monetary policy conditions, and the upcoming US presidential election.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio outperformed its benchmark index for the reporting period. Stock selection in financials and information technology was the largest contributor to performance. Within financials, British-based stock exchange and financial data company London Stock Exchange Group plc was the single biggest contributor. Within information technology, two chipmakers aided relative returns: ASML Holding NV, based in the Netherlands, and Taiwan Semiconductor Manufacturing Company Ltd. At the end of the reporting period, the Portfolio continued to hold LSE Group. Geographically, stock selection across all regions contributed, especially in continental Europe and Japan.
Conversely, stock selection in health care and real estate detracted from performance. Within the former category, the Portfolio’s position in German pharmaceutical company Bayer AG and not holding Daiichi Sankyo, a Japan-based pharmaceutical firm, hurt relative results. At the end of the reporting period, the Portfolio no longer held Bayer.
Within real estate, CK Asset Holdings Ltd., the Hong Kong-based property developer, and Mitsui Fudosan Company, Ltd., the Japanese real estate developer, performed poorly.
While the Portfolio remains underweight to the real estate sector, it continues to hold positions in Mitsui Fudosan and CK Assets. While both companies’ shares underperformed during the period, they are both attractively valued and have the potential for share price multiple expansion, in JP Morgan’s view.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
13
|
AST J.P. Morgan International Equity Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Mitsui Fudosan trades at a significant discount to the overall Japanese stock market and has exposure to growth opportunities provided in the Japanese economy. CK Assets owns a fairly unique set of assets at a time when management is diversifying the company from its historic investments in Hong Kong real estate and reinvesting capital into properties with recurring revenue streams (e.g., pubs and utilities). This diversification likely will result in a higher share price multiple, in JP Morgan’s view.
Presentation of Portfolio Holdings — unaudited
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
14
|
AST Jennison Large-Cap Growth Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years |
10 Years |
|||||||||
|
Portfolio |
32.60 | % | 14.08 | % | 14.06 | % | ||||||
|
Russell 1000® Growth Index |
36.39 | 14.63 | 15.22 | |||||||||
|
S&P 500 Index |
31.46 | 11.69 | 13.55 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
The Russell 1000® Growth Index is a trademark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST Jennison Large-Cap Growth Portfolio returned 32.60%. The Portfolio underperformed the Russell 1000 Growth Index and outperformed the S&P 500 Index.
The investment objective of the Portfolio is to seek long-term growth of capital.
What were the market conditions during the reporting period?
US equities markets were highly volatile in 2019, unsettled by US-China trade discord; softening economic growth in the US, Europe, and China; and geopolitical uncertainty. Companies across market sectors cited trade tensions as the source of heightened caution in planning and investing. The US political landscape was likewise unsettled, as investigations of interference in the 2016 presidential election unfolded, impeachment hearings against President Trump proceeded, and the 2020 election cycle ramped up. US economic activity showed signs of tempering, with job growth and business activity moderating. Modest wage gains and positive consumption indicated a still-healthy consumer. Markets responded favorably as the US Federal Reserve pivoted on monetary policy, lowering the federal funds rate three times in the period to 1.50%-1.75% at the end of the year.
The Russell 1000® Growth benchmark advanced strongly in 2019. Every sector in the Index rose, but only information technology outperformed the overall index. Communication services and financial services performed essentially in line with the benchmark, while energy and health care lagged the most.
What strategies or holdings affected the Portfolio’s performance?
Consumer discretionary positions were strong positive contributors to the Portfolio’s absolute and relative performance. Alibaba Group Holding Ltd., one of the world’s largest e-commerce companies, benefited from significant revenue synergies of its various segments, laying the groundwork for strong, durable top-line growth. For yoga-inspired athletic apparel retailer Lululemon Athletica Inc., new products, integrated marketing, and online sales momentum combined with a high-end customer base and athleisure fashion trends to drive strong customer traffic, sales conversion, and comparable-store sales. Athletic footwear and apparel giant Nike Inc. generated impressive earnings, revenue, and gross margins on the strength of its execution and the Nike brand. The company’s growth opportunities include e-commerce and innovation in apparel and manufacturing technology.
Stock selection was also beneficial in consumer staples, where Estée Lauder Companies Inc. has enhanced its strong brand portfolio in the fast-growing luxury beauty care market with complementary acquisitions and subsequent brand development. Costco Wholesale Corp. was helped by a consistent stream of membership fee income that allowed for low prices and broad product selection, which led to high inventory turnover.
In financials, S&P Global Inc. benefited from secular trends such as debt market development abroad, disintermediation of securities markets, and passive investing. S&P’s financial services and business information units have solid fundamentals, significant barriers to entry, substantial recurring revenue, and attractive long-term growth opportunities.
The Portfolio’s information technology holdings rose significantly but lagged the sector return within the benchmark, as gains from Apple Inc., Microsoft Corp., MasterCard Inc., Visa Inc., Adobe Inc., and Nvidia Corp. were partially offset by declines in Twilio Inc., SAP SE, and Taiwan Semiconductor Manufacturing Company, Ltd. Apple’s fundamental strength reflects the proliferation of the iOS platform across the global mobile
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
15
|
AST Jennison Large-Cap Growth Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
phone, tablet, and personal device landscape. With its huge installed base, Apple is benefiting from rapid growth in service business subscriptions — a key source of recurring revenue. In 2020, a potentially robust product cycle for Apple incorporates fifth-generation (5G) wireless standards. Payments companies continue to benefit from the long-term shift from cash to electronic credit and debit transactions. In particular, MasterCard and Visa maintain strong market positions with high barriers to entry, pricing power, and solid operating leverage potential. Microsoft and Adobe continue to offer mission-critical cloud-based applications and services that are creating fundamental changes in the way businesses operate. Nvidia is focused on key high-growth markets where it can leverage its graphics semiconductor expertise to offer high-value-added solutions.
Twilio’s cloud communications platform enables software developers to build, scale, and operate communications functions such as phone calls, text messages, video, and e-mail within their mobile applications. Billing errors resulted in the issuance of one-time credits to a handful of customers during the period. SAP, the world’s largest vendor of enterprise resource planning software, faced challenges during the period as it stepped up its cloud-based offerings. Taiwan Semiconductor shares, like those of many semiconductor companies, declined during the period on worries that US-China trade discord could depress chip demand. The Portfolio sold its position in Taiwan Semiconductor in May 2019 and also sold its position in SAP in September 2019.
In industrials, ride-sharing company Uber Technologies Inc. reported bigger-than-expected losses, raising concerns that the company’s path to profitability could be longer than anticipated.
Presentation of Portfolio Holdings — unaudited
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
16
|
AST Loomis Sayles Large-Cap Growth Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
31.63 | % | 14.63 | % | 14.82 | % | ||||||
|
Russell 1000® Growth Index |
36.39 | 14.63 | 15.22 | |||||||||
|
S&P 500 Index |
31.46 | 11.69 | 13.55 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
The Russell 1000® Growth Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST Loomis Sayles Large-Cap Growth Portfolio returned 31.63%. The Portfolio underperformed the Russell 1000 Growth Index and outperformed the S&P 500 Index.
The investment objective of the Portfolio is to seek capital growth. Income is not an investment objective and any income realized on the Portfolio’s investments, therefore, will be incidental to the Portfolio’s objective.
What were the market conditions during the reporting period?
Over the long term, Loomis Sayles believes that markets are efficient. Near term, however, Loomis Sayles believes innate behavioral biases — such as herding, overconfidence, or loss aversion — influence investment decisions and create asset pricing anomalies. These pricing inefficiencies tend to converge toward intrinsic value over time. Market efficiency is thereby dynamic, existing along a continuum between fully efficient and inefficient pricing. Therefore, Loomis Sayles attempts to identify intrinsic value and exploit the long-term differential between this value and the market’s current perception, preferring to invest in those few high-quality businesses with sustainable competitive advantages and profitable growth when they trade at a significant discount to intrinsic value. During 2019 (the reporting period), US returns were very strong, but asset prices rose from depressed valuations after market turmoil at the end of 2018. Growth strategies continued to outperform value, which is consistent with the three- and five-year trends.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio posted positive returns for the period but underperformed its benchmark, the Russell 1000 Growth Index. Stock selection in the consumer discretionary, communication services, financials, and energy sectors — as well as an allocation to the industrials sector — contributed to relative return. Stock selection in the information technology, industrials, and consumer staples sectors — as well as an allocation to the information technology, consumer staples, energy, consumer discretionary, health care, communication services, and financials sectors — detracted from relative performance.
Facebook Inc. and Alibaba Group Holding Ltd. were the largest contributors to performance during the period. A strategy holding since its initial public offering in 2012, social media company Facebook reported strong and higher-than-expected revenue growth during the period that was approximately two-times the Portfolio’s estimate for the rate of growth in online advertising, indicating the company grew its market share. Despite reporting in July that it reached a $5 billion settlement with the US Federal Trade Commission (FTC) regarding its privacy practices and that the FTC also opened an antitrust investigation of the company, Facebook continued to grow its global user base, and user engagement as measured by daily and monthly active users has remained solid. In addition, demand from advertisers remained robust, and the company grew its average revenue per user throughout the year. Loomis Sayles believes Facebook is a high-quality company, benefiting from the secular shift from traditional advertising to online advertising, and believes it is positioned for strong and sustainable growth over the investment horizon. Loomis Sayles will continue to monitor ongoing regulatory actions, but believes management’s decisions and actions illustrate a commitment to preserve platform integrity and to sustain the company’s leadership. With 2.8 billion people worldwide using its apps and more than 90 million global businesses with Facebook pages, the scale and reach of Facebook’s network is enormous. Loomis Sayles believes that corporations will continue to allocate an increasing portion of their advertising spending online, and Facebook remains one of very few platforms where advertisers can reach consumers at such scale.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
17
|
AST Loomis Sayles Large-Cap Growth Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Demonstrating the power of its brands and network ecosystem, China e-commerce and consumer-engagement platform provider Alibaba reported fundamentally strong results during the period. Revenue growth in the mid-double digits was well above Loomis Sayles’ estimates for China’s consumer spending, its online physical goods sales, and the country’s information technology spending, indicating Alibaba continues to grow its leading market share. Operating margins declined year over year due to management’s significant ongoing reinvestment in the business. Areas of focus for strategic reinvestment include user experience improvements, local services through recently acquired delivery company Ele.me, logistics, globalization, cloud services, digital media, and greater operating efficiency. Loomis Sayles believes these investments are consistent with Alibaba’s long-term strategy to strengthen and extend its competitive positioning across commerce, advertising, and cloud computing, while expanding its addressable market both internationally and through its “new retail” initiative. Further, while many of these strategic initiatives are currently losing money, Loomis Sayles believes they will become profitable over time and contribute to earnings and free cash flow growth. With GMV (gross merchandise volume) of $853 billion and 654 million active annual consumers on its China commerce retail sites in its latest fiscal year, Alibaba is the world’s largest retail platform. The long-term structural expansion of internet users and online shopping are drivers of secular growth for Alibaba in China, where, because of a lack of traditional retail infrastructure, e-commerce is expanding consumption rather than simply replacing offline spending. Alibaba continues to execute well on its business model, allowing it to expand its already dominant market position and to invest to strengthen its competitive advantages. Loomis Sayles believes the current market price embeds expectations for key revenue and cash flow growth drivers that are well below long-term assumptions. Both Facebook and Alibaba appear to trade at significant discounts to Loomis Sayles’ estimates of intrinsic value and offer compelling reward-to-risk opportunities.
Alcon Inc. and United Parcel Service Inc. (UPS) were the two lowest contributors to the Portfolio’s performance over the period. In April 2019, Switzerland-based drug maker Novartis completed a spin-off of its Alcon eye care division. Subsequently, the Portfolio’s ownership of Novartis gave it an approximately 21 basis point allocation in Alcon, which had modestly negatively returns for the period and was the only detractor from the Portfolio’s performance during the year. (One basis point equals 0.01%.) From time to time, the Portfolio receives shares of subsidiary businesses arising from ownership of parent companies. Given the fact that these businesses are part of the companies owned, Loomis Sayles already has a good understanding of their profit pools. In each instance, an assessment is made about whether or not the stand-alone entity meets pre-determined quality, growth, and valuation criteria. Based on that analysis, Loomis Sayles believes Alcon is a high-quality business with secular growth drivers. The company is a global leader in ophthalmologic medical devices focused on eye surgery equipment and related accessories used to perform cataract surgery, as well as a leading global producer of consumer ophthalmic products such as contact lenses and other ocular health products. With more than 70 years of experience in ophthalmology and eye care, Alcon carries with it a brand and legacy known for innovation. The company appears to have the ability to grow on its own, with more than $7 billion in revenue and a restructured business with a solid foundation. Within Alcon’s core markets, the underlying structural growth dynamics remain intact, given a growing elderly population and improving health care in developing markets. Alcon’s future growth most likely will stem from an increased focus on the fundamental drivers of its business, its scale in efficient manufacturing and distribution to a leading global network of installed surgical equipment clients, and a reinvigorated focus on innovation and differentiation. While the company continues to meet Loomis Sayles’ criteria for quality and growth, the Portfolio’s position was substantially trimmed in the period in favor of better reward-to-risk opportunities.
UPS is the world’s largest package delivery company and a leading global provider of specialized transportation and logistics services. It was first purchased for the Portfolio in 2007, and the position was increased during a cyclical downturn, with additions made in 2008, 2009, and 2010. Over more than a decade, UPS was among the Portfolio’s top-20 contributors to strategy performance. Typical of Loomis Sayles’ gradual approach to building and exiting positions, reductions to the holding began in the first quarter of 2018. The remaining stake of approximately 94 basis points was sold from the Portfolio in January 2019 because the company had approached Loomis Sayles’ estimated intrinsic value. Due to a short holding period in calendar year 2019 and the Portfolio’s substantial appreciation over the course of the year, UPS was among the lowest contributors to Portfolio performance for the full year. Proceeds from the UPS sale were used to initiate a new position in Nvidia Corp., a world leader in visual computing that enables computers to produce and utilize highly realistic three-dimensional graphic imagery and models. Nvidia returned 62% for the year and was a top-10 contributor to Portfolio performance.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
18
|
AST Loomis Sayles Large-Cap Growth Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST Loomis Sayles Large-Cap Growth (As of 12/31/2019) |
|
|||||
|
Ten Largest Holdings |
Line of Business | (% of Net Assets) | ||||
| Visa, Inc. (Class A Stock) | IT Services | 6.9% | ||||
| Amazon.com, Inc. | Internet & Direct Marketing Retail | 6.1% | ||||
| Alibaba Group Holding Ltd. (China), ADR | Internet & Direct Marketing Retail | 6.0% | ||||
| Facebook, Inc. (Class A Stock) | Interactive Media & Services | 6.0% | ||||
| Autodesk, Inc. | Software | 4.4% | ||||
| Oracle Corp. | Software | 4.3% | ||||
| Microsoft Corp. | Software | 4.1% | ||||
| Monster Beverage Corp. | Beverages | 3.5% | ||||
| NVIDIA Corp. | Semiconductors & Semiconductor Equipment | 3.1% | ||||
| Regeneron Pharmaceuticals, Inc. | Biotechnology | 3.1% | ||||
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
19
|
AST MFS Global Equity Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
29.96 | % | 8.97 | % |
|
10.50
|
%
|
|||||
|
MSCI World Index® (GD) |
28.40 | 9.36 |
|
10.08
|
|
|||||||
|
MSCI EAFE Index (GD) |
22.66 | 6.18 |
|
6.00
|
|
|||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST MFS Global Equity Portfolio returned 29.96%. The Portfolio outperformed both the MSCI World Index (GD) Index and the MSCI EAFE Index (GD).
The investment objective of the Portfolio is to seek capital growth.
What were the market conditions during the reporting period?
Changes in market sentiment, largely driven by uncertainty over the outcome of trade negotiations between the US and China, contributed to periodic bouts of volatility during the reporting period. The global economy decelerated, led by weakness in China and Europe, although the pace of the slowdown moderated late in the period amid nascent signs of stabilization in the manufacturing sector. Fading fears of a near-term global recession, the announcement of a partial trade deal between the US and China, and decline in uncertainty over the United Kingdom’s pending exit from the European Union (known as Brexit) helped bolster market sentiment late in the period.
The deteriorating global growth backdrop, along with declining inflationary pressures, prompted the Federal Reserve (the Fed) to adopt a more dovish posture beginning in early 2019, resulting in the first interest rate cut in over a decade at the end of July, followed by additional cuts in September and October. The Fed’s actions led to a sharp decline in long-term interest rates during the period’s second half, causing the inversion of portions of the US Treasury yield curve for a time. Amid an improvement in risk sentiment in the fourth quarter of 2019 and indications of a bottoming in growth and potential upturn in activity, the Fed indicated in October that further rate cuts were unlikely unless the outlook for the economy materially worsened.
Globally, central banks have tilted to a more dovish position as well, with the European Central Bank unveiling a package of easing measures. They included cutting overnight rates further (sending them deeper into negative territory), restarting its bond-buying program, and lengthening the term of cheap loans to banks to three years from two. The central banks of India and Australia were among those that cut rates several times, although China has been more cautious in increasing liquidity as it continues to attempt to deleverage its economy, cutting rates only marginally.
Emerging markets experienced considerable volatility near the end of 2018, as tighter global financial conditions exposed structural weakness in some countries. Those conditions improved in 2019 as the Fed became more dovish. Notwithstanding the periodic headwinds on market sentiment from significant trade frictions between the US and China over much of 2019, emerging market hard currency debt and local rates benefited from relatively cheap valuations at the beginning of the period and easier global monetary conditions. These factors, plus the fading of certain global risk factors mentioned earlier, hastened spread tightening in the latter part of the period. At the same time, idiosyncratic risks spiked in some countries (e.g., Argentina and Lebanon), contributing to increased dispersion in performance among sovereign assets.
What strategies or holdings affected the Portfolio’s performance?
Security selection within the health care, industrials, and consumer discretionary sectors contributed to performance relative to the MSCI World Index. Within health care, the Portfolio’s overweight positions in Japan-based precision instruments manufacturer Olympus Corp., Spain-based life sciences supply company Thermo Fisher Scientific SL, and US-based orthopedic products maker Zimmer Biomet Holdings Inc. benefited relative performance. Avoiding poor-performing pharmaceutical giant Pfizer Inc. further aided relative returns as the stock underperformed the Index during the reporting period. Within industrials, the Portfolio’s overweight holdings of railroad company Kansas City Southern and France-based electrical distribution equipment manufacturer Schneider Electric SE aided relative performance. Within the consumer discretionary sector, an overweight to France-based luxury goods company LVMH Moet Hennessy Louis Vuitton SE further lifted relative results.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
20
|
AST MFS Global Equity Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Elsewhere, the Portfolio’s overweight positions in IT-servicing firm Accenture Inc., global payments technology company Visa Inc., and beauty products company Coty Inc. positively impacted relative performance. Coty shares were not held in the Portfolio at the end of the period.
Security selection in the information technology sector was a primary factor that hurt relative performance during the reporting period. Not owning strong-performing computer and personal electronics maker Apple Inc. and software giant Microsoft Corp. detracted from relative returns in this sector. The Portfolio’s overweight holdings of custom IT-consulting and technology services provider Cognizant Technology Solutions Corp. and Israel-based security software provider Check Point Software Technologies Inc. further weighed on relative returns.
Stocks in other sectors that negatively impacted relative returns included overweight positions in diversified technology company 3M Co., United Kingdom-based household products manufacturer Reckitt Benckiser Inc., France-based wine and alcoholic beverage producer Pernod Ricard, and global financial services provider Bank of New York Mellon Corp. Not holding shares of strongly performing social media company Facebook Inc. also hurt relative performance.
The Portfolio’s cash and/or cash-equivalents position during the period was also a detractor from relative performance. The Portfolio strives to be fully invested and generally holds a small cash position to buy new holdings and to provide liquidity. In a period when equity markets appreciated, as measured by the Portfolio’s benchmark, holding cash hurt performance versus the benchmark, as the benchmark had no significant cash position as of the end of the reporting period.
Presentation of Portfolio Holdings — unaudited
| AST MFS Global Equity (As of 12/31/2019) |
|
|||||||
|
Ten Largest Holdings |
Line of Business | Country | (% of Net Assets | ) | ||||
| Thermo Fisher Scientific, Inc. | Life Sciences Tools & Services | United States | 3.2% | |||||
| Visa, Inc. (Class A Stock) | IT Services | United States | 3.1% | |||||
| Medtronic PLC | Health Care Equipment & Supplies | United States | 3.0% | |||||
| Comcast Corp. (Class A Stock) | Media | United States | 2.9% | |||||
| Accenture PLC (Class A Stock) | IT Services | United States | 2.7% | |||||
| Nestle SA | Food Products | Switzerland | 2.7% | |||||
| LVMH Moet Hennessy Louis Vuitton SE | Textiles, Apparel & Luxury Goods | France | 2.6% | |||||
| Schneider Electric SE | Electrical Equipment | France | 2.4% | |||||
| Honeywell International, Inc. | Industrial Conglomerates | United States | 2.4% | |||||
| Diageo PLC | Beverages | United Kingdom | 2.2% | |||||
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
21
|
AST MFS Growth Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
37.78 | % | 14.99 | % | 14.64 | % | ||||||
|
Russell 1000® Growth Index |
36.39 | 14.63 | 15.22 | |||||||||
|
S&P 500 Index |
31.46 | 11.69 | 13.55 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
The Russell 1000® Growth Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST MFS Growth Portfolio returned 37.78%. The Portfolio outperformed both the Russell 1000 Growth Index and the S&P 500 Index.
The investment objective of the Portfolio is to seek long-term growth of capital and future, rather than current, income.
What were the market conditions during the reporting period?
Changes in market sentiment, largely driven by uncertainty over the outcome of trade negotiations between the US and China, contributed to periodic bouts of volatility during the reporting period. The global economy decelerated, led by weakness in China and Europe, although the pace of the slowdown moderated late in the period amid nascent signs of stabilization in the manufacturing sector. Fading fears of a near-term global recession, the announcement of a partial trade deal between the US and China and decline in uncertainty over the United Kingdom’s pending exit from the European Union (known as Brexit) helped bolster market sentiment late in the period.
The deteriorating global growth backdrop, along with declining inflationary pressures, prompted the Federal Reserve (the Fed) to adopt a more dovish posture beginning in early 2019, resulting in the first interest rate cut in over a decade at the end of July, followed by additional cuts in September and October. The Fed’s actions led to a sharp decline in long-term interest rates during the period’s second half, causing the inversion of portions of the US Treasury yield curve for a time. Amid an improvement in risk sentiment in the fourth quarter of 2019 and indications of a bottoming in growth and potential upturn in activity, the Fed indicated in October that further rate cuts were unlikely unless the outlook for the economy materially worsened.
Globally, central banks have tilted to a more dovish position as well, with the European Central Bank unveiling a package of easing measures. They included cutting overnight rates further (sending them deeper into negative territory), restarting its bond-buying program, and lengthening the term of cheap loans to banks to three years from two. The central banks of India and Australia were among those that cut rates several times, although China has been more cautious in increasing liquidity as it continues to attempt to deleverage its economy, cutting rates only marginally.
Emerging markets experienced considerable volatility near the end of 2018, as tighter global financial conditions exposed structural weakness in some countries. Those conditions improved in 2019 as the Fed became more dovish. Notwithstanding the periodic headwinds on market sentiment from significant trade frictions between the US and China over much of 2019, emerging market hard currency debt and local rates benefited from relatively cheap valuations at the beginning of the period and easier global monetary conditions. These factors, plus the fading of certain global risk factors mentioned earlier, hastened spread tightening in the latter part of the period. At the same time, idiosyncratic risks spiked in some countries (e.g., Argentina and Lebanon), contributing to increased dispersion in performance among sovereign assets.
What strategies or holdings affected the Portfolio’s performance?
Stock selection in the health care sector contributed to performance relative to the Russell 1000® Growth Index. Within this sector, not holding both pharmaceutical company Abbvie US LLC and health insurance and Medicare/Medicaid provider UnitedHealth Group Inc. benefited relative returns.
Security selection and, to a lesser extent, underweight positions in both the industrials and consumer discretionary sectors further lifted relative results. Within industrials, not holding shares of aerospace company The Boeing Co. and diversified technology company 3M Co. aided relative performance, as both stocks underperformed the Index. Although the consumer discretionary sector was a top-contributing sector, there were no individual stocks within this sector among the Portfolio’s top relative contributors during the reporting period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
22
|
AST MFS Growth Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Stocks in other sectors that also strengthened relative returns included overweight positions in debit and credit transaction-processing company MasterCard Inc., electronic-payment services company Global Payments Inc., financial technology services provider Fiserv Inc., payments-processing technology and solutions provider Worldpay Inc., and software company Adobe Inc. Not holding shares of poor-performing network equipment company Cisco Systems Inc. also helped relative performance.
Stock selection in both the information technology and communication services sectors weakened relative performance. Within information technology, an underweight in strong-performing computer and personal electronics maker Apple Inc., an overweight in Salesforce.com Inc., the timing of the Portfolio’s position in computer graphics processors maker NVIDIA Corp., and not holding shares of global semiconductor company Advanced Micro Devices Inc. detracted from relative returns. NVIDIA shares were not held in the Portfolio at the end of the period. Within communication services, the timing of the Portfolio’s overweight in gaming company Activision Blizzard Inc. and an overweight in technology company Alphabet Inc. (Google’s parent company) also hindered relative results. Activision Blizzard shares were not held in the Portfolio at the end of the period.
Elsewhere, the Portfolio’s overweight positions in global consumer products company Colgate-Palmolive Co., futures and over-the-counter commodities online-marketplace operator Intercontinental Exchange Inc., and discount variety store operator Dollar Tree Inc. detracted from relative returns, as all three stocks lagged the benchmark.
The Portfolio’s cash and/or cash-equivalents position during the period was also a detractor from relative performance. Under normal market conditions, the Portfolio strives to be fully invested and generally holds cash to buy new holdings and to provide liquidity. In a period when equity markets rose, as measured by the Portfolio’s benchmark, holding cash hurt performance versus the benchmark, as the benchmark had no significant cash position as of the end of the period.
Presentation of Portfolio Holdings — unaudited
| AST MFS Growth (As of 12/31/2019) |
|
|||||
| Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
| Microsoft Corp. | Software | 8.3% | ||||
| Amazon.com, Inc. | Internet & Direct Marketing Retail | 5.5% | ||||
| Visa, Inc. (Class A Stock) | IT Services | 4.9% | ||||
| Adobe, Inc. | Software | 4.5% | ||||
| Mastercard, Inc. (Class A Stock) | IT Services | 4.3% | ||||
| Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 4.2% | ||||
| Thermo Fisher Scientific, Inc. | Life Sciences Tools & Services | 2.8% | ||||
| Facebook, Inc. (Class A Stock) | Interactive Media & Services | 2.6% | ||||
| Fiserv, Inc. | IT Services | 2.6% | ||||
| Global Payments, Inc. | IT Services | 2.4% | ||||
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
23
|
AST MFS Large-Cap Value Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years |
Since
Inception |
|||||||||
|
Portfolio |
29.35 | % | 8.96 | % | 12.21 | % | ||||||
|
Russell 1000® Value Index |
26.54 | 8.29 | 12.32 | |||||||||
|
S&P 500 Index |
31.46 | 11.69 | 14.34 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio Inception: 8/20/2012. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Index returns reflect performance beginning with the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
The Russell 1000® Value Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST MFS Large-Cap Value Portfolio returned 29.35%. The Portfolio outperformed the Russell 1000 Value Index and underperformed the S&P 500 Index.
The investment objective of the Portfolio is to seek capital appreciation.
What were market conditions during the reporting period?
Changes in market sentiment, largely driven by uncertainty over the outcome of trade negotiations between the US and China, contributed to periodic bouts of volatility during the reporting period. The global economy decelerated, led by weakness in China and Europe, although the pace of the slowdown moderated late in the period amid nascent signs of stabilization in the manufacturing sector. Fading fears of a near-term global recession, the announcement of a partial trade deal between the US and China, and decline in uncertainty over the United Kingdom’s pending exit from the European Union (known as Brexit) helped bolster market sentiment late in the period.
The deteriorating global growth backdrop, along with declining inflationary pressures, prompted the Federal Reserve (the Fed) to adopt a more dovish posture beginning in early 2019, resulting in the first interest rate cut in over a decade at the end of July, followed by additional cuts in September and October. The Fed’s actions led to a sharp decline in long-term interest rates during the period’s second half, causing the inversion of portions of the US Treasury yield curve for a time. Amid an improvement in risk sentiment in the fourth quarter of 2019 and indications of a bottoming in growth and potential upturn in activity, the Fed indicated in October that further rate cuts were unlikely unless the outlook for the economy materially worsened.
Globally, central banks have tilted to a more dovish position as well, with the European Central Bank unveiling a package of easing measures. They included cutting overnight rates further (sending them deeper into negative territory), restarting its bond-buying program, and lengthening the term of cheap loans to banks to three years from two. The central banks of India and Australia were among those that cut rates several times, although China has been more cautious in increasing liquidity as it continues to attempt to deleverage its economy, cutting rates only marginally.
Emerging markets experienced considerable volatility near the end of 2018, as tighter global financial conditions exposed structural weakness in some countries. Those conditions improved in 2019 as the Fed became more dovish. Notwithstanding the periodic headwinds on market sentiment from significant trade frictions between the US and China over much of 2019, emerging market hard currency debt and local rates benefited from relatively cheap valuations at the beginning of the period and easier global monetary conditions. These factors, plus the fading of certain global risk factors mentioned earlier, hastened spread tightening in the latter part of the period. At the same time, idiosyncratic risks spiked in some countries (e.g., Argentina and Lebanon), contributing to increased dispersion in performance among sovereign assets.
What strategies or holdings affected the Portfolio’s performance?
A combination of stock selection and an overweight position in both the financials and industrials sectors contributed to performance relative to the Russell 1000® Value Index. Within the financials sector, not owning shares of insurance and investment firm Berkshire Hathaway Inc. aided relative returns. The Portfolio’s overweight holdings of global financial services firm JPMorgan Chase & Co. and diversified financial services firm Citigroup Inc.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
24
|
AST MFS Large-Cap Value Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
lifted relative results. Furthermore, holdings of risk-management and human capital consulting services provider Aon PLC* and credit rating agency Moody’s Corp.* also benefited relative results. Within industrials, the Portfolio’s holdings of industrial products and equipment manufacturer Illinois Tool Works Inc.* and global security company Northrop Grumman Corp.* supported relative returns.
Stocks in other sectors that aided relative performance included holdings of IT-servicing firm Accenture Inc.* and financial technology services provider Fiserv, Inc.* and an underweight in integrated oil and gas company Exxon Mobil Corp.
A combination of stock selection and an underweight position in the communication services sector detracted from relative performance. Not owning strong-performing telecommunication services provider AT&T Corp. detracted from relative returns in this sector as the stock price outperformed the benchmark during the reporting period.
Elsewhere, not owning shares of financial services firm Bank of America Corp., network equipment company Cisco Systems Inc., and retail giant Target Corp. negatively impacted relative results as all three stocks outperformed the benchmark during the period. The Portfolio’s overweight holdings of diversified technology company 3M Co., power & natural gas distributor Duke Energy Corp., pharmaceutical giant Pfizer Inc., and oil field services company Schlumberger Limited** also weighed on relative results. Additionally, an underweight position in shares of household products maker Procter & Gamble Co. detracted from relative performance.
The Portfolio’s cash and/or cash-equivalents position during the period was also a detractor from relative performance. Under normal market conditions, the Portfolio strives to be fully invested and generally holds cash to buy new holdings and provide liquidity. In a period when equity markets appreciated, as measured by the Portfolio’s benchmark, holding cash hurt performance versus the benchmark, which had no significant cash position at the end of the reporting period.
Presentation of Portfolio Holdings — unaudited
| AST MFS Large-Cap Value (As of 12/31/2019) |
|
|||||
| Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
| JPMorgan Chase & Co. | Banks | 4.9% | ||||
| Johnson & Johnson | Pharmaceuticals | 3.3% | ||||
| Medtronic PLC | Health Care Equipment & Supplies | 2.9% | ||||
| Comcast Corp. (Class A Stock) | Media | 2.8% | ||||
| Accenture PLC (Class A Stock) | IT Services | 2.7% | ||||
| Citigroup, Inc. | Banks | 2.5% | ||||
| Aon PLC | Insurance | 2.3% | ||||
| Duke Energy Corp. | Electric Utilities | 2.2% | ||||
| U.S. Bancorp | Banks | 2.2% | ||||
| Texas Instruments, Inc. | Semiconductors & Semiconductor Equipment | 2.1% | ||||
* This security is not a benchmark constituent.
** This security was not held in the portfolio at period-end.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
25
|
AST Mid-Cap Growth Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
30.16 | % | 8.69 | % | 12.01 | % | ||||||
|
Russell Midcap® Growth Index |
35.47 | 11.60 | 14.24 | |||||||||
|
S&P MidCap 400 Index |
26.20 | 9.03 | 12.72 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
The Russell Midcap® Growth Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST Mid-Cap Growth Portfolio returned 30.16%. The Portfolio underperformed the Russell Midcap Growth Index and outperformed the S&P MidCap 400 Index.
The investment objective of the Portfolio is to seek long-term growth of capital.
What were the market conditions during the reporting period?
Rebounding from December 2018 lows, equities delivered strong results in 2019. The S&P 500 Index finished the year up 31.46%, the small-cap-focused Russell 2000 Index returned 25.52%, and the Russell Midcap Index landed between the two with a return of 30%. Growth stocks trumped value stocks, with a spread of about 800 basis points separating the two Russell Midcap style indices. (One basis point equals 0.01%.) In 2019, the Portfolio’s benchmark, the Russell Midcap Growth Index (the Index), rose 35.47%, while the Russell Midcap Value Index returned 27.06%. Not unexpectedly, managers who tended to put a greater importance on higher growth outperformed their “value and growth at a reasonable price” peers. Thus, substyle was important. Within the Index, the strongest-performing sector was information technology, followed by real estate, financials, and industrials. Still positive, but lagging the Index’s total return, were consumer discretionary, financials, materials, health care, and consumer staples. In fact, each sector within the Index posted positive results for the year.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio underperformed the Index from April 30, 2019 through December 31, 2019 (the reporting period). Stock selection detracted from relative results, while sector allocation effects were neutral.
Regarding stock selection, the Portfolio benefited from significant gains in the industrials and communication services sectors, but not enough to offset losses incurred in the health care, materials, and consumer discretionary sectors. Regarding allocation, the Portfolio’s sector weights were in line with those of the Index, leading to neutral results for the period.
The Portfolio’s multi-subadviser structure benefited investors as the complementary investment processes were able to counter certain stylistic factors prevalent during the reporting period. The Portfolio allocates assets and net flows between two underlying sleeves: the MFS Investment Management sleeve, which follows a high-quality investment approach that focuses on stocks with improving earnings and strong cash flows, and the Victory Capital Management sleeve, which is characterized by momentum-driven names with higher earnings and growth rates. Victory’s momentum style excelled during the first six months of the period. However, risk factors reversed toward the summer, leading to results that landed below the Index’s performance during the third quarter of 2019. To the benefit of the Portfolio, MFS’s more defensive approach was successful during 2019’s rocky period, delivering strong stock selection results in the third quarter. However, both subadvisors struggled somewhat during the fourth quarter.
The Portfolio’s risk factor exposures had a positive impact on relative performance during the reporting period. Exposure to momentum, growth, and size contributed to results. For the period, the Portfolio’s overweight to beta was a detractor to results.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
26
|
AST Mid-Cap Growth Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST Mid-Cap Growth (As of 12/31/2019) |
|
|||||
| Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
| Global Payments, Inc. | IT Services | 3.5% | ||||
| Bright Horizons Family Solutions, Inc. | Diversified Consumer Services | 2.0% | ||||
| AMETEK, Inc. | Electrical Equipment | 1.9% | ||||
| Roper Technologies, Inc. | Industrial Conglomerates | 1.7% | ||||
| Verisk Analytics, Inc. | Professional Services | 1.6% | ||||
| IHS Markit Ltd. | Professional Services | 1.6% | ||||
| TransUnion | Professional Services | 1.6% | ||||
| MSCI, Inc. | Capital Markets | 1.6% | ||||
| Monolithic Power Systems, Inc. | Semiconductors & Semiconductor Equipment | 1.5% | ||||
| Take-Two Interactive Software, Inc. | Entertainment | 1.5% | ||||
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
27
|
AST Neuberger Berman/LSV Mid-Cap Value Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
21.01 | % | 5.12 | % | 11.37 | % | ||||||
|
Russell MidCap® Value Index |
27.06 | 7.62 | 12.41 | |||||||||
|
Russell MidCap Index |
30.54 | 9.33 | 13.19 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
The Russell MidCap® Value Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST Neuberger Berman/LSV Mid-Cap Value Portfolio returned 21.01%. The Portfolio underperformed both the Russell MidCap Value Index and the Russell MidCap Index.
The investment objective of the Portfolio is to seek capital growth.
What were the market conditions during the reporting period?
Mid-cap value stocks, as represented by the Russell Midcap Value Index (the Index), returned 27.06% in 2019. Given that investors favored growth companies in a market where higher volatility was embraced, the Index’s technology sector posted a return exceeding 40%. In addition, industrials and financials each rose more than 30%, due to an accommodative Federal Reserve that reduced interest rates three times during the period. On the other hand, energy was a notable laggard, with low oil prices early in the year leading to a return under 10% for the sector. Energy faced another headwind as many investors focused on environmental, social, and corporate governance characteristics.
From a risk perspective, more-aggressive managers of portfolios with smaller market capitalizations and growth biases were in favor during 2019, while value metrics such as low price-to-book and price-to-earnings ratios were decidedly out of favor. Finally, many stocks of less-profitable and more speculative companies rallied, benefitting from the lower interest rates.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio returned 21.01% in 2019, underperforming the Index, as both subadvisors’ overexposure to value metrics had sharp negative impacts in a year when growth significantly outperformed value. Both subadvisors also focused on small-market-capitalization stocks, which tend to be less efficient. While small-capitalization stocks generally outperform over time, this was not the case during the period. Finally, Neuberger Berman especially focuses on more-profitable companies with strong free cash flow, high return on equity, and high return on invested capital. While these stocks tend to outperform over time, shares of more-speculative companies rallied in 2019, hurting Portfolio results.
From an asset-selection standpoint, both subadvisors’ underexposure to higher-yielding real estate and utilities stocks detracted from returns. Many of these stocks rallied regardless of fundamentals, as investors sought yield in the low interest rate environment. Yield is not the defining aspect of either of the subadvisors’ investment processes. In addition, Neuberger Berman selected stocks in the consumer discretionary, materials, and communication services sectors that detracted from relative performance.
Allocations to certain sectors helped mitigate negative relative performance. Specifically, Neuberger Berman’s overweights to the technology and industrials sectors had a positive impact on returns, with both benefiting from the market’s bias toward growth and lower interest rates.
Within the LSV sleeve, overexposures to stocks with low price-to-earnings ratios and to small-market-capitalization stocks had large negative impacts. These exposures are in line with the manager’s process and historical exposures. In addition, names held by LSV in the industrials sector detracted. On the other hand, names held in the technology sector had a positive impact, helping to partially offset some of the negative relative returns.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
28
| AST Neuberger Berman/LSV Mid-Cap Value Portfolio | December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST Neuberger Berman/LSV Mid-Cap Value (As of 12/31/2019) |
|
|||||
| Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
| KeyCorp | Banks | 2.0% | ||||
| AerCap Holdings NV (Ireland) | Trading Companies & Distributors | 1.7% | ||||
| Wyndham Destinations, Inc. | Hotels, Restaurants & Leisure | 1.5% | ||||
| Itron, Inc. | Electronic Equipment, Instruments & Components | 1.3% | ||||
| Starwood Property Trust, Inc., REIT | Mortgage Real Estate Investment Trusts (REITs) | 1.2% | ||||
| Zimmer Biomet Holdings, Inc. | Health Care Equipment & Supplies | 1.2% | ||||
| General Dynamics Corp. | Aerospace & Defense | 1.2% | ||||
| Best Buy Co., Inc. | Specialty Retail | 1.2% | ||||
| Regions Financial Corp. | Banks | 1.2% | ||||
| Skyworks Solutions, Inc. | Semiconductors & Semiconductor Equipment | 1.2% | ||||
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
29
|
AST Parametric Emerging Markets Equity Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
13.35 | % | 2.87 | % | 2.38 | % | ||||||
|
MSCI Emerging Markets Index (GD) |
18.90 | 6.01 | 4.04 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST Parametric Emerging Markets Equity Portfolio returned 13.35%. The Portfolio underperformed the MSCI Emerging Markets Index.
The investment objective of the Portfolio is long-term capital appreciation.
What were the market conditions during the reporting period?
Emerging market equities advanced sharply in 2019, with the MSCI Emerging Markets Index (the Index) returning 18.90% for the year. From January through August, the Index’s performance was somewhat muted, as swings in trade war sentiment led to heightened volatility and offsetting periods of strength and weakness.
In the first quarter, emerging market equities rebounded as trade war fears abated, led by the performance of stock markets in the major Asian economies of China, Korea, and Taiwan. The trade war took center stage again during the second quarter, and emerging market equities abruptly sold off after tensions between the US and China rapidly re-ignited. Softer economic data out of China also weighed on investor sentiment. The Index staged a sharp rally during the last four months of the year, as strength in Asian technology companies lifted the broader market.
At the country level, 20 of the 26 Index constituents ended the year in positive territory. Russia was the top-performing country Index component. It returned more than 50% for the year, fueled by strength in the energy sector amid rising oil prices. Argentina posted the largest decline among the Index’s constituents. Stocks in the region experienced a sharp sell-off following unexpected primary election results that correctly favored the market interventionist opposition party to succeed in the October 2019 general elections.
Notably, the stock performance of the top five companies in the Index by market capitalization (all current, former, or quasi members of the information technology sector in their respective countries) accounted for almost 40% of the Index’s return for the year.
What strategies or holdings affected the Portfolio’s performance?
An underweight to Taiwan and the resulting information technology underweight within Taiwan’s Index component detracted from relative performance. Performance was also hindered by the sector-diversification process. Taiwan’s technology sector, which represents over half of the country’s total market capitalization, surged in tandem with the broader Asian technology-sector rally during the latter part of the year. An underweight to China also weighed on relative results, as Chinese equities rose amid the rally in the Asian technology sector, accommodative central bank moves, and a “phase one” trade deal with the US late in the year. Overweight exposure to Chile, which declined amid political unrest, also detracted from relative performance.
An overweight to Russia contributed to relative performance, as Russian equity markets benefited from a rally in energy and financial stocks. The sector-diversification process within Brazil also aided relative results, particularly due to the Portfolio’s overweight exposure to the strong-performing health care sector. Additionally, the sector-diversification process and resulting overweight to utilities within Saudi Arabia benefited Portfolio performance during the year.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
30
|
AST Parametric Emerging Markets Equity Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
The Portfolio uses participatory notes to gain exposure to certain countries’ markets. These participatory notes are designed to mirror the performance of local shares and not to multiply exposure. The notes did not affect the Portfolio’s performance during the reporting period.
Presentation of Portfolio Holdings — unaudited
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
31
|
AST QMA Large-Cap Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years |
Since
Inception |
|||||||||||||
|
Portfolio |
25.19 | % | 9.70 | % | 12.24 | % | ||||||||||
|
S&P 500 Index |
31.46 | 11.69 | 13.45 | |||||||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio Inception: 4/29/2013. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Index returns reflect performance beginning with the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST QMA Large-Cap Portfolio returned 25.19%. The Portfolio underperformed the S&P 500 Index.
The investment objective of the Portfolio is to seek long-term capital appreciation.
What were the market conditions during the reporting period?
US equities performed robustly in 2019, despite headwinds from slowing global growth and trade policy conflicts, specifically between the US and China. Helping offset some of these risks was the Federal Reserve’s monetary policy, which became increasingly accommodative to growth with three interest rate cuts during the period. In December, the US and China agreed to sign “phase one” of a trade agreement, which catapulted US equity prices even higher. Investors favored growth stocks in the beginning of the period, while stocks priced more reasonably relative to their earnings trailed the market averages. Later in the period, investors’ focus shifted to stocks of profitable companies and away from speculative growth stocks of companies with little to no earnings.
What strategies or holdings affected the Portfolio’s performance?
QMA uses a proprietary stock selection model that analyzes stocks based on metrics that measure a company’s relative value, growth prospects, and quality. QMA applied these metrics when it built the Portfolio, using bottom-up (stock-by-stock) security selection and holding similar sector weights to the S&P 500 Index.
Over the period, the Portfolio struggled mainly due to its focus on high-quality, cheaply priced stocks while the markets favored faster-growing, lower-quality stocks that the Portfolio avoided. This effect was most prevalent in the consumer discretionary sector, where the Portfolio struggled the most.
However, the Portfolio eventually benefited from QMA’s commitment to its investment strategy. QMA maintained its focus on high-quality, reasonably priced stocks, and those companies began to outperform toward the end of the period.
The Portfolio also benefited from good risk control in 2019. In a period where stock selection strategy did not work well, diversification across sectors and stocks allowed the Portfolio to share in what was a stellar year for US equities.
Index futures were used by the Portfolio to equitize cash by linking the futures to equities and providing exposure to the Index. Index futures do not add or detract from the Portfolio’s performance relative to the benchmark and, therefore, had no impact on the Portfolio’s performance during the period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
32
|
AST QMA Large-Cap Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST QMA Large-Cap (As of 12/31/2019) |
|
|||||
| Ten Largest Holdings | Line of Business | (% of Net Assets | ) | |||
| Apple, Inc. | Technology Hardware, Storage & Peripherals | 5.7% | ||||
| Microsoft Corp. | Software | 5.5% | ||||
| Facebook, Inc. (Class A Stock) | Interactive Media & Services | 2.8% | ||||
| AT&T, Inc. | Diversified Telecommunication Services | 1.9% | ||||
| Amazon.com, Inc. | Internet & Direct Marketing Retail | 1.8% | ||||
| Citigroup, Inc. | Banks | 1.8% | ||||
| Intel Corp. | Semiconductors & Semiconductor Equipment | 1.7% | ||||
| Bank of America Corp. | Banks | 1.6% | ||||
| Medtronic PLC | Health Care Equipment & Supplies | 1.6% | ||||
| Merck & Co., Inc. | Pharmaceuticals | 1.6% | ||||
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
33
| AST Small-Cap Growth Portfolio | December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
30.12 | % | 10.78 | % | 13.50 | % | ||||||
|
Russell 2000® Growth Index |
|
28.48
|
|
|
9.34
|
|
|
13.01
|
|
|||
|
Russell 2000® Index |
|
25.52
|
|
|
8.23
|
|
|
11.83
|
|
|||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
The Russell 2000® and 2000® Growth Indexes are trademarks of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST Small-Cap Growth Portfolio returned 30.12%. The Portfolio outperformed both the Russell 2000 Growth Index and the Russell 2000 Index.
The investment objective of the Portfolio is to seek long-term capital growth.
What were the market conditions during the reporting period?
US equity market values were high by absolute standards at the end of the reporting period (calendar-year 2019). Yet compared with low fixed income yields, there was good value to be captured in stocks. The broad US equity markets, represented by the S&P 500 Index, increased 31.46% in 2019. Small-cap growth stocks, as measured by the Portfolio’s benchmark Russell 2000 Growth Index (the Index), gained 28.48% during the same period. It is important to note such strong returns during the reporting period came off a depressed 2018 when the S&P 500 Index was down 4.38% and the Russell 2000 Growth Index fell 9.31%, leaving returns across market capitalizations over the past two years more in line with historic norms.
The S&P 500 Index enjoyed double-digit returns across all sectors during the reporting period but was led by information technology, communication services, and financials. Similarly, small-cap growth stocks were led by information technology, followed by industrials and health care. Energy was the only sector within each of the two indices during the reporting period to post a negative return.
2019 had fewer macro overhangs than 2018, with the caveat being that the upcoming US presidential election offered a new and different uncertainty. An accommodative Federal Reserve reversed the path of higher short-term interest rates in 2018 and trimmed rates three times in 2019. The inverted yield curve, wherein short-maturity yields were higher than longer-maturity yields, appeared to have sent a “false positive” regarding near-term recession risk. The macro threats from the various trade and tariff actions appeared to be abating toward the end of 2019, a positive trend for the US equity markets.
What strategies or holdings affected the Portfolio’s performance?
In the strongly performing equity market of 2019, the Portfolio was able to narrowly outperform through its multi-manager structure and complementary investment styles. The Portfolio allocated assets and net flows between two underlying sleeves: 50% to the Emerald sleeve, which includes valuation sensitivity and a propensity to invest in biotech and pre-profit companies when risk-reward opportunities are presented, and 50% to the UBS sleeve, which favors higher-quality, small-cap companies.
The Portfolio’s overall stock selection was flat for the year relative to the Index. Stock selection, however, did add value in the software, hotels, restaurants & leisure, food products, entertainment, banks, and pharmaceuticals sectors, which outperformed their corresponding sectors in the Index. However, certain holdings in machinery, health care equipment, biotechnology, and consumer finance detracted from relative results.
The Portfolio had mixed results among its defensive and cyclically oriented stocks, with no clear winner during the period. Exposure to the information technology sector added value, while consumer discretionary positioning weighed on results. The Portfolio’s underweight positions relative to the Index in industrials, health care, and real estate marginally detracted from performance during the reporting period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
34
| AST Small-Cap Growth Portfolio | December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Stocks held in the Portfolio that added value to relative results included media & entertainment firm Roku Inc., pharmaceutical biotechnology & life sciences firms Reata Pharmaceuticals Inc. and NeoGenomics Inc., as well as health care equipment & services and software & services companies Novocure Ltd. and Alteryx Inc. In the technology sector, out-of-benchmark holding Universal Display Corp. contributed positively to performance.
Stocks that detracted from the Portfolio’s relative performance included diversified financials company Green Dot Corp.; health care equipment & services firms Vocera Communications, Inc., Inogen Inc., and Evolent Health Inc.; and media & entertainment company Glu Mobile Media Inc. Not holding positions in strongly performing pharmaceutical biotechnology & life sciences firms ACADIA Pharmaceuticals Inc. and Arrowhead Pharmaceuticals Inc. also detracted from the Portfolio’s relative performance.
Overall, risk factors contributed positively to performance results. Specifically, the Portfolio’s modest exposure to momentum securities, higher-growth stocks, above-market beta, and slightly larger-size companies contributed positively.
Presentation of Portfolio Holdings — unaudited
| AST Small-Cap Growth (As of 12/31/2019) |
|
|||||
|
Ten Largest Holdings |
Line of Business | (% of Net Assets) | ||||
| Chegg, Inc. | Diversified Consumer Services | 2.2% | ||||
| Planet Fitness, Inc. (Class A Stock) | Hotels, Restaurants & Leisure | 2.0% | ||||
| Varonis Systems, Inc. | Software | 1.5% | ||||
| Mercury Systems, Inc. | Aerospace & Defense | 1.4% | ||||
| Teladoc Health, Inc. | Health Care Technology | 1.4% | ||||
| Universal Display Corp. | Semiconductors & Semiconductor Equipment | 1.4% | ||||
| Steven Madden Ltd. | Textiles, Apparel & Luxury Goods | 1.3% | ||||
| Chart Industries, Inc. | Machinery | 1.3% | ||||
| Trex Co., Inc. | Building Products | 1.3% | ||||
| QTS Realty Trust, Inc. (Class A Stock) | Equity Real Estate Investment Trusts (REITs) | 1.2% | ||||
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
35
|
AST Small-Cap Growth Opportunities Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
36.48 | % |
|
11.14
|
%
|
|
13.23
|
%
|
||||
|
Russell 2000® Growth Index |
|
28.48
|
|
|
9.34
|
|
|
13.01
|
|
|||
|
Russell 2000® Index |
|
25.52
|
|
|
8.23
|
|
|
11.83
|
|
|||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
The Russell 2000® and 2000® Growth Indexes are trademarks of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST Small-Cap Growth Opportunities Portfolio returned 36.48%. The Portfolio outperformed both the Russell 2000 Growth Index and the Russell 2000 Index.
The investment objective of the Portfolio is to seek capital growth.
What were the market conditions during the reporting period?
In general, 2019 was a strong year for equities, including small-cap stocks. The Russell 2000 Index returned 25.52% but trailed the Russell 3000 Index’s 31.02% return. Similar to 2018, value stocks had a hard time keeping up with growth stocks, with a spread of about 600 basis points separating the two small-cap style indexes. (One basis point equals 0.01%.) During the period, the Russell 2000 Value Index was up 22.39%, while the Portfolio’s benchmark, the Russell 2000 Growth Index (the Index), returned 28.48%. Not unexpectedly, managers who tended to put a greater importance on higher growth outperformed their “value and growth at a reasonable price” peers within the small-cap space. Thus, substyle was important. Within the Index, the strongest sector was information technology (IT), followed by industrials, health care, and real estate. Still positive, but lagging the Index’s total return, were consumer discretionary, financials, materials, and consumer staples. In fact, all but one sector — energy — posted positive returns during the period.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio outperformed the Index during the period. Stock selections contributed to relative results, while the effects of sector allocation were neutral. Regarding stock selection, the Portfolio benefited from significant gains in the IT, consumer discretionary, and health care sectors. Positive stock selections were delivered in all but one sector — real estate. Although positive, the Portfolio’s returns in the real estate space were just shy of the group’s return within the Index. Regarding allocation, the Portfolio’s overweight exposure to the Index’s best-performing group — IT — added to relative results during the period. However, this gain was offset somewhat by the Portfolio’s underweight position in the health care sector, another strong-performing group within the Index.
As witnessed in prior periods, the Portolio’s multi-subadviser structure benefited investors as the complementary investment processes were able to counter certain stylistic factors prevalent during the period. The Portfolio allocated assets and net flows between two underlying sleeves: 60% to the Wellington Management sleeve, which includes a defensive, high-quality investment approach that focuses on stocks with improving businesses and strong cash flows; and 40% to the Victory Capital Management sleeve, which is characterized by momentum-driven companies with higher earnings and growth rates. Although Victory’s momentum style excelled during the first six months of the year, risk factors reversed course around the summer, offsetting a portion of that sleeve’s gains. Wellington’s more defensive approach delivered reserved results during the first six months, but helped temper results during a rocky third quarter. Both managers finished the fourth quarter with impressive results.
The Portfolio’s risk exposures had a positive impact on relative performance during the period. Exposure to momentum and size (the larger end of the small-cap universe) contributed to results. Conversely, an underweight exposure to higher-quality stocks was detrimental. During the period, the Portfolio’s overweight exposure to beta was the largest detractor from returns. The Portfolio held no derivatives during the period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
36
|
AST Small-Cap Growth Opportunities Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST Small-Cap Growth Opportunities (As of 12/31/2019) |
|
|||||
|
Ten Largest Holdings |
Line of Business | (% of Net Assets) | ||||
| Itron, Inc. | Electronic Equipment, Instruments & Components | 1.3% | ||||
| LHC Group, Inc. | Health Care Providers & Services | 1.2% | ||||
| Generac Holdings, Inc. | Electrical Equipment | 1.2% | ||||
| Everbridge, Inc. | Software | 1.1% | ||||
| Steven Madden Ltd. | Textiles, Apparel & Luxury Goods | 1.0% | ||||
| Hostess Brands, Inc. | Food Products | 1.0% | ||||
| Mercury Systems, Inc. | Aerospace & Defense | 1.0% | ||||
| Varonis Systems, Inc. | Software | 1.0% | ||||
| Iovance Biotherapeutics, Inc. | Biotechnology | 0.9% | ||||
| Axon Enterprise, Inc. | Aerospace & Defense | 0.9% | ||||
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
37
| AST Small-Cap Value Portfolio | December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
21.98 | % |
|
6.07
|
%
|
|
10.52
|
%
|
||||
|
Russell 2000® Value Index |
22.39 |
|
6.99
|
|
|
10.56
|
|
|||||
|
Russell 2000® Index |
|
25.52
|
|
|
8.23
|
|
|
11.83
|
|
|||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
The Russell 2000® and 2000® Value Indexes are trademarks of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST Small-Cap Value Portfolio returned 21.98%. The Portfolio underperformed both the Russell 2000 Value Index and the Russell 2000 Index.
The investment objective of the Portfolio is to seek to provide long-term capital growth by investing primarily in small-capitalization stocks that appear to be undervalued.
What were the market conditions during the reporting period?
In general, 2019 was a strong year for equities, including small-cap stocks. The Russell 2000 Index returned 25.52% but trailed the Russell 3000 Index’s 31.02% return. Similar to 2018, value stocks had a hard time keeping up with growth stocks, with a spread of about 600 basis points separating the two small-cap style indexes. (One basis point equals 0.01%.) During the period, the Portfolio’s benchmark, the Russell 2000 Value Index (the Index), was up 22.39%, while the Russell 2000 Growth Index returned 28.48%. Not unexpectedly, small-cap managers who placed greater importance on value struggled more than small-cap managers focused on growth or relative value. Thus, substyle was important during the reporting period.
Within the Index, energy was the only sector to post an absolute negative return. Sectors that underperformed the Index included health care, consumer staples, and communication services. The strongest sector by far was information technology, which was followed by real estate, industrials, and materials. Index-heavyweight financials basically performed in line with the overall Index.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio’s underweight versus the Index to the energy sector — combined with strong stock selection in industrials, communication services, financials, and consumer staples — contributed most to relative performance. However, weak stock selection in the materials, real estate, health care, and energy sectors detracted from relative results. Favoring larger and more liquid small-cap stocks that had some momentum added to returns, while the Portfolio’s biases to value and higher-profitability stocks detracted from performance.
The Portfolio’s sleeves produced mixed relative performance during the reporting period. The LMCG sleeve, which represented a Portfolio weight of 40%, outperformed the Index, while the JPMorgan sleeve, which represented a Portfolio weight of 60%, underperformed.
For the LMCG sleeve, outperformance versus the Index was driven by favorable risk exposures (i.e., its relative value posture and larger market-cap bias), as well as strong stock selection, led by holdings in the industrials and consumer staples sectors. The JPMorgan sleeve was troubled mainly by weak stock selection, as the performance of its risk exposures were net neutral. The sleeve’s greater focus on value was not in favor during the period. However, its tilt toward momentum was rewarded. Weak stock selection was most predominant in the real estate, health care, and energy sectors.
Regarding derivatives, the JPMorgan sleeve used equity index futures to gain exposure to equity markets. The small number of these instruments held during the reporting period had no material impact on the Portfolio’s performance.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
38
|
AST Small-Cap Value Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST Small-Cap Value (As of 12/31/2019) |
|
|||||
|
Ten Largest Holdings |
Line of Business | (% of Net Assets) | ||||
| IBERIABANK Corp. | Banks | 1.4% | ||||
| Portland General Electric Co. | Electric Utilities | 1.3% | ||||
| Murphy USA, Inc. | Specialty Retail | 1.2% | ||||
| CACI International, Inc. (Class A Stock) | IT Services | 1.0% | ||||
| MACOM Technology Solutions Holdings, Inc. | Semiconductors & Semiconductor Equipment | 0.9% | ||||
| Sterling Bancorp | Banks | 0.9% | ||||
| TreeHouse Foods, Inc. | Food Products | 0.9% | ||||
| Darling Ingredients, Inc. | Food Products | 0.9% | ||||
| FNB Corp. | Banks | 0.9% | ||||
| EMCOR Group, Inc. | Construction & Engineering | 0.9% | ||||
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
39
|
AST T. Rowe Price Large-Cap Growth Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
28.23 | % |
|
15.63
|
%
|
|
15.75
|
%
|
||||
|
Russell 1000® Growth Index |
|
36.39
|
|
|
14.63
|
|
|
15.22
|
|
|||
|
S&P 500 Index |
|
31.46
|
|
|
11.69
|
|
|
13.55
|
|
|||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
The Russell 1000® Growth Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST T. Rowe Price Large-Cap Growth Portfolio returned 28.23%. The Portfolio underperformed the Russell 1000 Growth Index and the S&P 500 Index.
The investment objective of the Portfolio is to seek long-term growth of capital by investing predominantly in the equity securities of a limited number of large, carefully selected, high-quality US companies that are judged likely to achieve superior earnings growth.
What were market conditions during the reporting period?
US stocks surged in 2019, with several major indexes hitting all-time highs in the second half of the year. The Federal Reserve’s decision to keep interest rates steady in the first half of the year and then reduce them three times starting in July was a major driver of market performance. Trade discussions between the US and China also drove market sentiment. Speculation rose numerous times during the year that the two countries were close to reaching an agreement, although occasional tensions seemed to reduce that likelihood. A preliminary “phase one” trade deal was not officially struck until December. The agreement called for the US to lower or cancel the scheduled tariff rate on various Chinese goods. The agreement also required “structural reforms and other changes to China’s economic and trade regime in the areas of intellectual property, technology transfer, agriculture, financial services, and currency and foreign exchange.” Within the Portfolio’s benchmark Russell 1000 Growth Index (the Index), all sectors advanced. The information technology, communication services, and financials sectors led performance, while the energy sector relatively lagged.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio delivered positive returns for 2019 but underperformed the Index. Stock selection was the primary reason for relative underperformance, while sector weightings also detracted substantially.
Information technology was the largest detractor to relative results, owing to security selection, while an underweight position to the sector also had a negative impact. The Portfolio had an underweight position in Apple Inc., whose shares marched higher during the period driven by accelerating growth of services and wearable devices, along with improving conditions for iPhone sales in China.
An overweight position and poor stock selection in the health care sector hurt relative performance, driven by a position in Cigna Corp. Shares of the insurance provider underperformed as pressure from Democratic presidential candidates promoting a single-payer health care system caused a major selloff and represents an ongoing overhang for the managed care industry.
Industrials and business services also detracted on a relative basis, due to poor stock picks, including as Boeing Co. Shares of the company sold off following two plane crashes in 2019 linked to a design flaw in Boeing’s 737 MAX jet and were dragged even lower by a series of negative news events during the investigation and an ongoing recertification process.
In contrast, an underweight position in consumer staples was a notable contributor. Stock selection in the consumer discretionary sector, including Alibaba Group Holding Ltd., also added value, while an overweighting in the sector had a negative impact.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
40
|
AST T. Rowe Price Large-Cap Growth Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST T. Rowe Price Large-Cap Growth (As of 12/31/2019) |
|
|||||
|
Ten Largest Holdings |
Line of Business | (% of Net Assets) | ||||
| Microsoft Corp. | Software | 7.8% | ||||
| Amazon.com, Inc. | Internet & Direct Marketing Retail | 7.7% | ||||
| Facebook, Inc. (Class A Stock) | Interactive Media & Services | 5.8% | ||||
| Visa, Inc. (Class A Stock) | IT Services | 5.3% | ||||
| Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 5.0% | ||||
| Boeing Co. (The) | Aerospace & Defense | 4.5% | ||||
| Apple, Inc. | Technology Hardware, Storage & Peripherals | 3.4% | ||||
| Alibaba Group Holding Ltd. (China), ADR | Internet & Direct Marketing Retail | 2.7% | ||||
| Global Payments, Inc. | IT Services | 2.6% | ||||
| Alphabet, Inc. (Class C Stock) | Interactive Media & Services | 2.5% | ||||
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
41
|
AST T. Rowe Price Large-Cap Value Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
25.97 | % |
|
5.73
|
%
|
|
8.65
|
%
|
||||
|
Russell 1000® Value Index |
|
26.54
|
|
|
8.29
|
|
|
11.80
|
|
|||
|
S&P 500 Index |
|
31.46
|
|
|
11.69
|
|
|
13.55
|
|
|||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
The Russell 1000® Value Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST T. Rowe Price Large-Cap Value Portfolio returned 25.97%. The Portfolio underperformed both the Russell 1000 Value Index and the S&P 500 Index.
The investment objective of the Portfolio is to seek maximum growth of capital by investing primarily in the value stocks of larger companies.
What were market conditions during the reporting period?
US stocks surged in 2019, with several major indexes hitting all-time highs in the second half of the year. The Federal Reserve’s decision to keep interest rates steady in the first half of the year and then reduce them three times starting in July was a major driver of market performance. Trade discussions between the US and China also drove market sentiment. Speculation rose numerous times during the year that the two countries were close to reaching an agreement, although occasional tensions seemed to reduce that likelihood. A preliminary “phase one” trade deal was not officially struck until December. The agreement called for the US to lower or cancel the scheduled tariff rate on various Chinese goods. The agreement also required “structural reforms and other changes to China’s economic and trade regime in the areas of intellectual property, technology transfer, agriculture, financial services, and currency and foreign exchange.”
What strategies or holdings affected the Portfolio’s performance?
The Portfolio delivered positive returns for 2019 and outperformed the benchmark Russell 1000 Value Index. Stock selection was the primary reason for relative outperformance.
Consumer staples was the leading sector contributor to relative returns, owing to favorable security selection, including Tyson Foods Inc. Shares of Tyson continued to benefit from the ongoing effects of African swine fever, causing global protein prices to rise in the wake of the outbreak, and from the reopening of the Chinese market to US poultry sales late in 2019. The subadvisor continues to like Tyson Foods for its accelerating growth in the prepared foods market, strong long-term earnings prospects, and transformation into a global, branded protein company.
Stock choices and an overweight position in information technology both had a positive impact on the Portfolio’s performance, led by Applied Materials Inc. The company’s share price increased throughout the year as semiconductor systems revenue continued to grow, driven by improved performance within the logic and foundry segment. The subadvisor favors Applied Materials for its diverse customer mix, strong position as a supplier to the semiconductor industry, and shareholder-friendly capital allocation policies.
Real estate also contributed on a relative basis, due to stock selection, most notably in Weyerhaeuser Co.
In contrast, stock selection in communication services was a notable detractor, driven by a position in Fox Corp. Despite reporting strong quarterly results fueled by lower programming costs, Fox underperformed the sector due to investor skepticism concerning the long-term viability of the pay-TV business model. In spite of this performance, the subadvisor believes Fox can benefit from the growth of direct-to-consumer programming and favors the company for its premium entertainment offerings, high-affinity viewership, and healthy balance sheet.
Weak stock choices, such as DuPont de Nemours, in the materials sector also weighed on relative performance. Shares of DuPont traded lower as a result of falling commodity chemical input prices, slowing demand in end markets, and the announced merger of DuPont’s Nutrition & Biosciences segment with International Flavors & Fragrances. The subadvisor continues to like the company for its strong management team, diverse specialty product offering, and balance sheet flexibility that supports organic growth.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
42
|
AST T. Rowe Price Large-Cap Value Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST T. Rowe Price Large-Cap Value (As of 12/31/2019) |
|
|||||
|
Ten Largest Holdings |
Line of Business | (% of Net Assets) | ||||
| JPMorgan Chase & Co. | Banks | 3.8% | ||||
| Wells Fargo & Co. | Banks | 3.7% | ||||
| TOTAL SA (France), ADR | Oil, Gas & Consumable Fuels | 2.6% | ||||
| General Electric Co. | Industrial Conglomerates | 2.5% | ||||
| Southern Co. (The) | Electric Utilities | 2.5% | ||||
| Tyson Foods, Inc. (Class A Stock) | Food Products | 2.4% | ||||
| Morgan Stanley | Capital Markets | 2.4% | ||||
| Medtronic PLC | Health Care Equipment & Supplies | 2.4% | ||||
| American International Group, Inc. | Insurance | 2.3% | ||||
| Johnson & Johnson | Pharmaceuticals | 2.2% | ||||
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
43
|
AST T. Rowe Price Natural Resources Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
16.87 | % |
|
1.57
|
%
|
|
1.96
|
%
|
||||
|
Lipper Global Natural Resources Fund Index |
|
12.52
|
|
|
-0.88
|
|
|
-0.75
|
|
|||
|
S&P 500 Index |
|
31.46
|
|
|
11.69
|
|
|
13.55
|
|
|||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST T. Rowe Price Natural Resources Portfolio returned 16.87%. The Portfolio outperformed the Lipper Global Natural Resources Fund Index and underperformed the S&P 500 Index.
The investment objective of the Portfolio is to seek long-term capital growth primarily through the investment in common stocks of companies that own or develop natural resources (such as energy products, precious metals, and forest products) and other basic commodities.
What were market conditions during the reporting period?
The MSCI World Select Natural Resources Index posted a double-digit gain for 2019, but lagged the broader S&P 500 Index. Many commodity prices finished the year higher, with some of the more economically sensitive ones receiving a lift in the fourth quarter as apparent progress on US-China trade negotiations improved sentiment. Gold and silver prices benefited from the increased economic uncertainty and market volatility in 2019. Precious metals and minerals stocks fared well during the year, as did some defensive industries such as water utilities and industrial gases. US oil and production stocks lost ground, reflecting persistent weakness in natural gas prices. Oil and gas drilling stocks also finished the year lower.
What strategies or holdings affected the Portfolio’s performance?
An overweight allocation to industrial gases was the largest contributor to the Portfolio’s relative performance in 2019. Consolidations in recent years have created a stronger industry structure, and stocks have benefited from late-cycle tailwinds and a positive pricing environment. Pricing gains in a more rational industry environment resulted in stock price margin expansion for the Portfolio’s investments. Synergies are likely to emerge from recent acquisitions and integrations.
Specialty chemicals, one of the Portfolio’s largest areas of investment, delivered strong relative results due to stock selection. A preference for coatings companies that benefit from low input costs while producing branded products with consistent end-market demand played out well for the Portfolio. Despite a tough operating environment, the Portfolio’s largest positions delivered strong results due to margin expansion in the wake of depressed raw material prices. The subadvisor believes there is room for improvement in these holdings that could unlock additional value going forward.
Stock selection in the oil and gas storage and transportation industry contributed to results, led by TC Energy, the Portfolio’s top midstream pipeline. The company operates in a utility-like manner with visible cash flows and a consistent dividend. Its natural gas pipelines represent a critical asset that moves over 20% of North American natural gas, and the company’s recent decisions to sell non-core assets while focusing on smaller projects to expand the capacity of existing pipelines were rewarded by investors.
Stock selection in the integrated oil and gas sector detracted from relative performance. While many favored names in the space generated modest returns, an allocation to Occidental Petroleum Corp. weighed significantly on performance. Shares tumbled after the company entered and ultimately won a bidding war for Anadarko Petroleum in a deal viewed unfavorably by many shareholders. However, Occidental’s lower share price created a more compelling risk/reward opportunity, and the company’s proposed capital efficiency improvement plan helped temper investor fears about capital expenditure synergies after the merger.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
44
|
AST T. Rowe Price Natural Resources Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
The subadvisor continues to believe that the global commodities market is in the midst of a long-term, secular downcycle that will include short periods of cyclical disruption. The subadvisor also remains committed to its bottom-up stock selection process and philosophy of buying and holding a diverse selection of fundamentally sound natural resources companies with solid balance sheets and talented management teams.
Although the Portfolio held derivative rights at some points in the period, it held none at period-end. The estimated return from employing derivative rights was negligible.
Presentation of Portfolio Holdings — unaudited
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
45
|
AST Templeton Global Bond Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
1.60 | % |
|
1.03
|
%
|
|
1.67
|
%
|
||||
|
FTSE World Government Bond Index |
|
5.90
|
|
|
2.03
|
|
|
1.85
|
|
|||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST Templeton Global Bond Portfolio returned 1.60%. The Portfolio underperformed the FTSE World Government Bond Index.
The investment objective of the Portfolio is to seek to provide current income with capital appreciation and growth of income.
What were the market conditions during the reporting period?
After a volatile end to 2018, global financial markets started 2019 on a positive note, with rallies in risk assets through much of the first quarter. However, escalating trade tensions between the US and China sporadically resurfaced, leading to broad resurgences in global risk aversion that intermittently affected market valuations. The Federal Reserve (the Fed) and the European Central Bank (the ECB) increasingly cited trade uncertainties and global risks as policy concerns, as the Fed built a case for rate cuts and the ECB signalled that monetary policy accommodation could expand later in the year.
The Fed took a dovish turn at its January 2019 meeting, halting rate hikes and removing its prior statement that “some further gradual increases in the target range for the federal funds rate” would be consistent with economic activity and inflation objectives. Policy guidance turned even further dovish at the March meeting, as Fed officials kept rates unchanged and moderately downgraded US economic growth forecasts for 2019 and 2020. The Fed ultimately kept the federal funds target rate unchanged at its May and June meetings before cutting it for the first time in more than a decade at its July meeting. The rate cut was 25 basis points (bps). (One basis point equals 0.01%.) In August, the Fed discontinued its monthly pace of balance sheet reductions, two months earlier than originally forecast. Fed policymakers then cut rates again by 25 bps at both the September and October meetings, leaving them in a range of 1.50% to 1.75%. They also signalled that they were likely to keep rates unchanged going forward, barring a material change in the economic outlook.
The shifts in Fed monetary policy affected the shape of the US Treasury yield curve. In May, an inversion in the three-month to the 10-year portion of the yield curve took hold, with the spread (yield differential) reaching a low of 50 bps in late August. However, the Fed’s updated forward guidance in September and October enabled the curve to steepen, erasing the inversion as short-term yields fell and longer-term yields rose. The Treasury yield curve continued to steepen through the end of the year, as the Fed kept rates unchanged at its December meeting. A majority of Fed officials indicated they expected rates to remain unchanged through the end of 2020.
Despite escalating trade disputes between the US and China, including a peak in retaliatory measures by each country in August, an agreement on a “phase-one” trade deal was reached in December. The news bolstered market sentiment, driving risk asset valuations higher in several markets across the globe. However, Templeton continued to monitor the broader implications of trade tensions on multiple fronts and the potential ramifications to risk assets in various regions. Despite the positive developments on trade policy, risks for additional disputes remained elevated, in Templeton’s view.
For most of 2019, the ECB kept its policy rate unchanged (0.0% for main refinancing operations and a -0.40% deposit facility) but delivered on an anticipated stimulus package at its September meeting, dropping the deposit rate to -0.5%. It also scheduled for November the restart of its quantitative easing program. At his final meeting as ECB president in October, Mario Draghi kept rates unchanged. Christine Lagarde took over as ECB president in November and held her first policy meeting in December, keeping rates and the quantitative easing program unchanged, largely as expected. Lagarde seemed likely to maintain continuity with the policy framework she inherited from her predecessor, indicating her support for negative interest rates by commenting that the ECB has “done the right thing to act in favor of jobs and growth rather than the protection of savers.” Templeton expected the euro to weaken against the US dollar on the ECB’s continued monetary policy accommodation, as well as unresolved structural vulnerabilities in the eurozone.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
46
|
AST Templeton Global Bond Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
The Bank of Japan (BOJ) kept monetary policy unchanged in 2019, retaining its 0.0% yield target on the 10-year Japanese government bond and its -0.1% target on the overnight rate. However, BOJ Governor Haruhiko Kuroda increasingly indicated a willingness to cut rates at future meetings if there were risks to achieving the 2.0% inflation target. Templeton expected BOJ monetary policy to remain highly accommodative during the period. However, Templeton’s expectations for weakness in the Japanese yen against the US dollar shifted to expectations for strength. The shift in view was based on softer policy divergence between the Fed and BOJ, as well as the yen’s potential to strengthen as a perceived safe haven during periods of risk aversion, given Japan’s strong external balances.
A number of central banks around the world adopted the dovish stance of the Fed and ECB during 2019, cutting their own domestic rates. Notably, Mexico and Indonesia cut their policy rates by 100 bps, India by 135 bps, and Brazil by 200 bps. Overall, sovereign government bond yields declined across much of the world during 2019. The yield on the 10-year US Treasury note finished the period 77 bps lower than it started at 1.92%, and the yield on the 10-year German government bond fell 43 bps to finish at -0.19%, after reaching its lowest level on record in August (-0.71%). On the whole, long-duration exposures tended to perform well in most markets, while currency valuations were more idiosyncratic due to individual country dynamics. (Duration is a measure of a bond or bond portfolio’s price sensitivity to interest rates over time.)
What strategies or holdings affected the Portfolio’s performance?
During the reporting period, the Portfolio continued to seek select duration exposures in countries that had attractive risk-adjusted yields, strong or improving economic fundamentals, and prudent fiscal and monetary policies. Several emerging markets continued to offer significantly higher yields than those available in the developed markets. The Portfolio also maintained negative duration exposure to longer-term US Treasuries because Templeton believed that inflation pressures, rising deficit spending, and surging levels of debt issuance were significantly underpriced risks in the longer-term US Treasury markets. The Portfolio also increased its allocations to undervalued perceived safe-haven assets to hedge against global financial market risks associated with geopolitical tensions and price distortions from ongoing accommodative monetary policies across the developed world. Most notably, the Portfolio had allocations to the Japanese yen, Swiss franc, Swedish krona, and Norwegian krone. The Portfolio also held a net-negative position in the euro to hedge against broad-based US dollar strength and unresolved structural risks across Europe, as well as a net-negative position in the Australian dollar to hedge against broad emerging markets risks.
During the period, the Portfolio’s positive absolute performance was primarily attributable to its currency positions. Interest rate strategies detracted from absolute results, while sovereign credit exposures had a largely neutral effect. Among currencies, the Portfolio’s net-negative position in the euro contributed positively to absolute performance, as did its position in the Indonesian rupiah. However, currency positions in Latin America detracted from absolute results (the Argentine peso detracted, while the Mexican peso contributed). The Portfolio maintained a defensive approach regarding developed markets interest rates, while holding duration exposures in select emerging markets. Negative duration exposure to US Treasuries detracted from absolute results, while select duration exposures in Asia ex-Japan (Indonesia and India) and Latin America (Brazil) added to absolute performance.
On a relative basis, the Portfolio underperformed its benchmark index due to its interest rate strategies. Currency positions contributed positively to relative results, while sovereign credit exposures had a largely neutral effect. Underweight duration exposures in the US and Japan detracted from relative performance, as did select underweight duration exposures in Europe. However, select overweight duration exposures in Asia ex-Japan (Indonesia) and Latin America (Brazil) added to relative results. Among currencies, the strategy’s underweight position in the euro contributed positively to relative performance, as did its overweight position in the Indonesian rupiah. However, overweight currency positions in Latin America detracted from relative performance (the Argentine peso detracted, while the Mexican peso contributed).
During the reporting period, forward currency exchange contracts were used to actively manage currencies. In addition, interest rate swaps were employed to tactically manage duration exposures.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
47
|
AST Templeton Global Bond Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST Templeton Global Bond (As of 12/31/2019) | ||
| Credit Quality | (% of Net Assets) | |
| AAA | 25.0% | |
| AA | 4.3% | |
| A | 22.2% | |
| BBB | 14.2% | |
| BB | 10.8% | |
| B | 1.5% | |
| CCC and Below | 1.6% | |
| NR | -3.5% | |
| Cash/Cash Equivalents | 23.8% | |
| Total Investments | 100.0% | |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated category consists of securities that have not been rated by a NRSRO and may include derivative instruments that could have a negative.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
48
|
AST WEDGE Capital Mid-Cap Value Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
19.14 | % | 4.65 | % | 10.44 | % | ||||||
|
Russell MidCap® Value Index |
27.06 | 7.62 | 12.41 | |||||||||
|
S&P 500 Index |
31.46 | 11.69 | 13.55 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
The Russell MidCap® Value Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST WEDGE Capital Mid-Cap Value Portfolio returned 19.14%. The Portfolio underperformed both the Russell MidCap Value Index and the S&P 500 Index.
The investment objective of the Portfolio is to seek capital growth by investing primarily in mid-capitalization stocks that appear to be undervalued.
What were the market conditions during reporting period?
The US mid-cap equity market ended 2019 in the similarly strong manner in which it started. The Russell Midcap Value Index posted a 6.4% return in the fourth quarter, bringing the full year return to 27.06%. Large-cap stocks outperformed small-cap stocks in the fourth quarter and for the third year in a row, according to the FTSE Russell indices. Mid-cap growth stocks outperformed mid-cap value stocks again for the year. Over the past two years, the underperformance of value stocks has been less about fundamentals and more about sentiment, in Wedge Capital’s view. Currently, valuation spreads would indicate that value is historically inexpensive.
What strategies or holdings affected the Portfolio’s performance?
In contrast to prior periods, the Portfolio had less of a cyclical bias relative to the benchmark as a result of actively trimming positions that benefited from an improved economic outlook. The Portfolio continued to exhibit better valuation characteristics, profitability metrics, and long-term earnings growth potential.
The Portfolio was overweight the consumer services, retail, and industrial services sectors, based on favorable valuations and improving company fundamentals. Conversely, consumer staples, technology, and consumer durables were the largest sector underweights, as Wedge Capital believed fewer opportunities existed within them.
Portfolio performance for the year was positively impacted by stock selection in certain sectors. In financials, Fidelity National Financial Inc. shares represented 2.98% of the overall Portfolio weight and added 45 basis points to the Portfolio’s relative performance. (One basis point equals 0.01%.) Similarly, in telecommunications, Altice USA Inc. shares represented 2.20% and added 85 basis points. In capital goods, TransDigm Group Inc. represented 4.65% and added 155 basis points. As a sector, capital goods was an overweight, representing 7.19% of the Portfolio’s weight and adding 11 basis points, compared with that sector’s 6.39% weight in the benchmark index.
Negatively impacting the Portfolio was the basic materials sector. Owens-Illinois Inc. shares detracted 149 basis points from relative performance and the position was sold during the period. As a sector, the basic materials sector was an overweight, representing 9.42% of the Portfolio’s weight and detracting 13 basis points from performance, compared with that sector’s 6.70% weight in the index. In the energy sector, EQT Corp. represented 2.15% and detracted 153 basis points from performance. As a sector, energy was an overweight, representing 7.21% of the Portfolio’s weight and detracting 28 basis points, compared with that sector’s 5.77% weight in the benchmark. In utilities, PG&E Corp. shares detracted 273 basis points from relative performance, and the position was sold during the period.
In Wedge Capital’s view, history has shown that patience seems to be a virtue when the market re-values companies that are trading at such extreme discounts relative to their long-term earnings growth potential.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
49
|
AST WEDGE Capital Mid-Cap Value Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
50
|
AST Wellington Management Hedged Equity Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
20.55 | % |
|
6.61
|
%
|
7.96 | % | |||||
|
Blended Index |
|
20.31
|
|
|
7.29
|
|
8.18 | |||||
|
S&P 500 Index |
|
31.46
|
|
11.69 | 13.55 | |||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
The Russell 3000® Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST Wellington Management Hedged Equity Portfolio returned 20.55%. The Portfolio outperformed the Blended Index and underperformed the S&P 500 Index.
The investment objective of the Portfolio is to seek to outperform a mix of 50% Russell 3000 Index, 20% MSCI EAFE (GD) Index, and 30% ICE Bank of America Merrill Lynch 3 Month US Treasury Bill Index over a full market cycle by preserving capital in adverse markets utilizing an options strategy while maintaining equity exposure to benefit from up markets through investments in the Portfolio’s subadviser’s equity investment strategies.
What were the market conditions during the reporting period?
For the 12-month period that ended December 31, 2019, global equities rose. In the first quarter of 2019, global markets recovered from losses in 2018, surging due to productive trade negotiations between the US and China and by dovish rhetoric and policy actions by the major central banks. The United Kingdom’s pending exit from the European Union, known as Brexit, remained a key area of concern as negotiations faltered in the quarter.
In the second quarter, global equities rose again as trade tensions between China and the US eased near quarter-end after the two countries agreed at an economic summit to resume negotiations. Brexit continued to be a major worry, with the UK avoiding an abrupt no-deal departure and Prime Minister Theresa May announcing she would resign on June 7 after failing to secure a Brexit deal.
In the third quarter, Boris Johnson replaced May as prime minister, and the UK Parliament passed legislation requiring him to request an extension of the Brexit process if he failed to secure an acceptable deal. On the monetary front, the Federal Reserve (the Fed) cut interest rates in July, September, and October to help extend the US economic expansion amid a slowdown in growth and trade conflicts. The European Central Bank unveiled a sweeping, long-term economic stimulus package to bolster the eurozone economy against slowing growth and trade frictions, including an open-ended asset purchase program and more favorable bank lending conditions.
In the fourth quarter, waning recession fears and forecasts for improving global growth in 2020 helped bolster risk sentiment, while geopolitics and trade disputes continued to be major drivers of market volatility. The US canceled tariffs scheduled to take effect on December 15 in an effort to secure a so-called “phase-one” trade deal with China. President Donald Trump subsequently announced that the first phase of a trade agreement would be signed on January 15, providing significant relief to global markets. UK equities rose after the Conservative Party’s victory in the general election at the end of 2019 lifted uncertainty about Brexit and also about the Labor Party’s plans to nationalize large swaths of the nation’s economy.
What strategies or holdings affected the Portfolio’s performance?
Strong stock selection within the underlying equity strategy contributed to the Portfolio’s relative performance. Within this strategy, selection in the industrials, health care, and financials sectors contributed most to relative performance. This was partially offset by weaker selection within the information technology (IT), communication services, and utilities sectors. On a regional basis, security selection in North America, Europe, the UK, and Asia (including Japan) was strong. These positive results were partially offset by weaker selection in emerging markets, particularly China.
Sector allocation, a residual of bottom-up stock selection by the underlying subadvisors, detracted from relative performance during the period. An underweight allocation to the IT sector and an overweight allocation to the financials sector detracted from results. These negative contributions were partially offset by positive contributions from underweight allocations in the energy and health care sectors. From a regional perspective, the Portfolio’s overweight exposures to emerging markets and North America and underweight exposures to Asia, including Japan, and Europe added to returns during the period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
51
|
AST Wellington Management Hedged Equity Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
The Portfolio’s defensive-style profile was a headwind during a period when equity markets were generally up. Underweight exposures to some of the more risk-seeking factors (beta, volatility, and liquidity) and the Portfolio’s smaller-cap footprint detracted from results. This drag was partially offset by a positive contribution from the Portfolio’s overweight exposure to momentum during the period.
At the end of the period, the Portfolio’s largest overweight exposures, compared to the blended equity benchmark, were in the industrials, financials, and real estate sectors. The Portfolio was most underweight in the IT, communication services, and consumer discretionary sectors.
The Portfolio’s option risk management strategy, designed to mitigate capital losses during periods when equity markets decline, detracted from the Portfolio’s overall performance during the period as equity markets rose.
Presentation of Portfolio Holdings — unaudited
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
52
|
Advanced Series Trust
Benchmark Glossary — unaudited |
December 31, 2019 |
The indexes are unmanaged and include reinvestment of any income or distributions. They do not reflect any fees, expenses or sales charges. Investors cannot invest directly in a market index.
For Russell Indexes: Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Russell Investment Group.
AST Wellington Management Hedged Equity Portfolio Blended Index consists of Russell 3000 Index (50%) an unmanaged market cap-weighted index that measures the performance of the largest 3000 US companies representing approximately 98% of the investable US equity market, MSCI EAFE (GD) (Morgan Stanley Capital International Europe, Australasia, Far East) Index (GD) (20%), an unmanaged capitalization-weighted index generally accepted as a benchmark for major overseas markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends, and ICE BofAML 3-Month US Treasury Bill Index (30%) an unmanaged index comprised of a single US Treasury bill issue purchased at the beginning of each month and held for a full month, at which time that issue is sold and rolled into a newly selected issue.
FTSE World Government Bond Index is a market-capitalization-weighted index consisting of the government bond markets. Country eligibility is determined based on market capitalization and investability criteria. All issues have a remaining maturity of at least one year.
Lipper Global Natural Resources Funds Index is an unmanaged index of funds that invest primarily in the equity securities of domestic and foreign companies engaged in the exploration, development, production, or distribution of natural resources (including oil, natural gas, and base minerals) and/or alternative energy sources (including solar, wind, hydro, tidal, and geothermal). Returns for the Lipper Average reflect the deduction of operating expenses. Natural Resources funds are defined as funds that invest primarily in the equity securities of domestic and foreign companies engaged in natural resources.
MSCI EAFE Index (GD) - Morgan Stanley Capital International Europe, Australasia, Far East Index is an unmanaged, capitalization-weighted index generally accepted as a benchmark for major overseas markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends.
MSCI Emerging Markets Index (GD) - Morgan Stanley Capital International Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends.
MSCI World Index (GD) - Morgan Stanley Capital International World Index is an unmanaged capitalization weighted index which includes the equity markets of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Malaysia, Netherlands, New Zealand, Norway, Singapore, Spain, Sweden, Switzerland, United Kingdom and United States. The GD version does not reflect the impact of withholding taxes on reinvested dividends.
Russell 1000 Growth Index is an unmanaged market cap-weighted index that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.
Russell 1000 Index is an unmanaged, capitalization-weighted index which is comprised of 1,000 of the smallest capitalized US domiciled companies whose common stock is traded in the US on the New York Stock Exchange, American Stock Exchange, and the over-the-counter market.
Russell 1000 Value Index is an unmanaged market cap-weighted index that measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
Russell 2000 Growth Index is an unmanaged market cap-weighted index that measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.
Russell 2000 Index is an unmanaged, capitalization-weighted index which is comprised of 2,000 of the smallest capitalized US domiciled companies whose common stock is traded in the US on the New York Stock Exchange, American Stock Exchange, and the over-the-counter market.
|
Advanced Series Trust
Benchmark Glossary — unaudited (continued) |
December 31, 2019 |
Russell 2000 Value Index is an unmanaged index that comprises securities in the Russell 2000 Index with a less-than-average growth orientation. Companies in this index generally have low price-to-book and price-to-earnings ratios.
Russell MidCap Index is an unmanaged market capitalization weighted index representing the smallest 800 companies in the Russell 1000 index.
Russell MidCap Growth Index is an unmanaged market cap-weighted index that measures the performance of those Russell MidCap companies with higher price-to-book ratios and higher forecasted growth values.
Russell MidCap Value Index is an unmanaged index that measures the performance of those Russell Mid Cap companies with lower price-to-book ratios and lower forecasted growth values. The stocks are also members of the Russell 1000 Value Index.
S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market.
S&P MidCap 400 Index is a widely accepted, unmanaged total return index measuring the performance of the midsize company segment of the US stock market.
The Wilshire US REIT Total Return Index is a float-adjusted market capitalization-weighted index of publicly traded real estate securities, such as real estate investment trusts and real estate operating companies.
ICE BOFA MERRILL LYNCH IS LICENSING THE BOFA MERRILL LYNCH INDICES “AS IS,” MAKES NO WARRANTIES REGARDING THE SAME, DOES NOT GUARANTEE THE SUITABILITY, QUALITY, ACCURACY, TIMELINESS, AND/OR COMPLETENESS OF THE ICE BOFA MERRILL LYNCH INDICES OR ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM, ASSUMES NO LIABILITY IN CONNECTION WITH THEIR USE, AND DOES NOT SPONSOR, ENDORSE, OR RECOMMEND THE FUND, OR ANY OF ITS PRODUCTS OR SERVICES.
|
Advanced Series Trust
Fees and Expenses — unaudited |
December 31, 2019 |
As a contract owner investing in Portfolios of the Trust through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Trust and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2019 through December 31, 2019.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fees and charges were included, your costs would have been higher.
| Advanced Series Trust Portfolios |
Beginning
Account Value July 1, 2019 |
Ending
Account Value December 31, 2019 |
Annualized Expense
Ratio based on the Six-Month period |
Expenses Paid
During the Six-Month period* |
||||||||||||||
| AST AQR Emerging Markets Equity Portfolio | Actual | $ | 1,000.00 | $ | 1,074.60 | 1.34 | % | $ | 7.01 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,018.45 | 1.34 | % | $ | 6.82 | ||||||||||
| AST Cohen & Steers Realty Portfolio | Actual | $ | 1,000.00 | $ | 1,092.10 | 1.05 | % | $ | 5.54 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,019.91 | 1.05 | % | $ | 5.35 | ||||||||||
| AST Goldman Sachs Small-Cap Value Portfolio | Actual | $ | 1,000.00 | $ | 1,061.00 | 1.03 | % | $ | 5.35 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.01 | 1.03 | % | $ | 5.24 | ||||||||||
| AST Hotchkis & Wiley Large-Cap Value Portfolio | Actual | $ | 1,000.00 | $ | 1,083.50 | 0.82 | % | $ | 4.31 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.07 | 0.82 | % | $ | 4.18 | ||||||||||
| AST International Growth Portfolio | Actual | $ | 1,000.00 | $ | 1,092.00 | 1.07 | % | $ | 5.64 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,019.81 | 1.07 | % | $ | 5.45 | ||||||||||
| AST International Value Portfolio | Actual | $ | 1,000.00 | $ | 1,074.60 | 1.09 | % | $ | 5.70 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,019.71 | 1.09 | % | $ | 5.55 | ||||||||||
| AST J.P. Morgan International Equity Portfolio | Actual | $ | 1,000.00 | $ | 1,071.90 | 1.01 | % | $ | 5.27 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.11 | 1.01 | % | $ | 5.14 | ||||||||||
| AST Jennison Large-Cap Growth Portfolio | Actual | $ | 1,000.00 | $ | 1,097.80 | 0.99 | % | $ | 5.23 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.21 | 0.99 | % | $ | 5.04 | ||||||||||
| AST Loomis Sayles Large-Cap Growth Portfolio | Actual | $ | 1,000.00 | $ | 1,080.30 | 0.91 | % | $ | 4.77 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.62 | 0.91 | % | $ | 4.63 | ||||||||||
| AST MFS Global Equity Portfolio | Actual | $ | 1,000.00 | $ | 1,077.70 | 1.11 | % | $ | 5.81 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,019.61 | 1.11 | % | $ | 5.65 | ||||||||||
|
Advanced Series Trust
Fees and Expenses — unaudited (continued) |
December 31, 2019 |
| Advanced Series Trust Portfolios |
Beginning
Account Value July 1, 2019 |
Ending
Account Value December 31, 2019 |
Annualized Expense
Ratio based on the Six-Month period |
Expenses Paid
During the Six-Month period* |
||||||||||||||
| AST MFS Growth Portfolio | Actual | $ | 1,000.00 | $ | 1,096.30 | 0.97 | % | $ | 5.13 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.32 | 0.97 | % | $ | 4.94 | ||||||||||
| AST MFS Large-Cap Value Portfolio | Actual | $ | 1,000.00 | $ | 1,094.10 | 0.93 | % | $ | 4.91 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.52 | 0.93 | % | $ | 4.74 | ||||||||||
| AST Mid-Cap Growth Portfolio | Actual | $ | 1,000.00 | $ | 1,028.00 | 1.02 | % | $ | 5.21 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.06 | 1.02 | % | $ | 5.19 | ||||||||||
| AST Neuberger Berman/LSV Mid-Cap Value Portfolio | Actual | $ | 1,000.00 | $ | 1,063.30 | 1.00 | % | $ | 5.20 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.16 | 1.00 | % | $ | 5.09 | ||||||||||
| AST Parametric Emerging Markets Equity Portfolio | Actual | $ | 1,000.00 | $ | 1,036.80 | 1.37 | % | $ | 7.03 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,018.30 | 1.37 | % | $ | 6.97 | ||||||||||
| AST QMA Large-Cap Portfolio | Actual | $ | 1,000.00 | $ | 1,085.90 | 0.81 | % | $ | 4.26 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.12 | 0.81 | % | $ | 4.13 | ||||||||||
| AST Small-Cap Growth Portfolio | Actual | $ | 1,000.00 | $ | 1,023.50 | 0.99 | % | $ | 5.05 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.21 | 0.99 | % | $ | 5.04 | ||||||||||
| AST Small-Cap Growth Opportunities Portfolio | Actual | $ | 1,000.00 | $ | 1,076.80 | 1.06 | % | $ | 5.55 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,019.86 | 1.06 | % | $ | 5.40 | ||||||||||
| AST Small-Cap Value Portfolio | Actual | $ | 1,000.00 | $ | 1,071.00 | 1.10 | % | $ | 5.74 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,019.66 | 1.10 | % | $ | 5.60 | ||||||||||
| AST T. Rowe Price Large-Cap Growth Portfolio | Actual | $ | 1,000.00 | $ | 1,086.10 | 0.90 | % | $ | 4.73 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.67 | 0.90 | % | $ | 4.58 | ||||||||||
| AST T. Rowe Price Large-Cap Value Portfolio | Actual | $ | 1,000.00 | $ | 1,090.60 | 0.78 | % | $ | 4.11 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.27 | 0.78 | % | $ | 3.97 | ||||||||||
| AST T. Rowe Price Natural Resources Portfolio | Actual | $ | 1,000.00 | $ | 1,031.60 | 1.02 | % | $ | 5.22 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.06 | 1.02 | % | $ | 5.19 | ||||||||||
| AST Templeton Global Bond Portfolio | Actual | $ | 1,000.00 | $ | 979.40 | 0.94 | % | $ | 4.69 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.47 | 0.94 | % | $ | 4.79 | ||||||||||
| AST WEDGE Capital Mid-Cap Value Portfolio | Actual | $ | 1,000.00 | $ | 1,041.00 | 1.06 | % | $ | 5.45 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,019.86 | 1.06 | % | $ | 5.40 | ||||||||||
| AST Wellington Management Hedged Equity Portfolio | Actual | $ | 1,000.00 | $ | 1,059.60 | 1.06 | % | $ | 5.50 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,019.86 | 1.06 | % | $ | 5.40 | ||||||||||
* Portfolio expenses (net of fee waivers or subsidies, if any) are equal to the annualized expense ratio (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2019, and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2019 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
| GLOSSARY | ||||||
The following abbreviations are used in the Portfolios’ descriptions:
| ARS | Argentine Peso | |
| AUD | Australian Dollar | |
| BRL | Brazilian Real | |
| CHF | Swiss Franc | |
| CLP | Chilean Peso | |
| CNH | Chinese Renminbi | |
| COP | Colombian Peso | |
| CZK | Czech Koruna | |
| EUR | Euro | |
| GHS | Ghana Cedi | |
| HUF | Hungarian Forint | |
| IDR | Indonesian Rupiah | |
| ILS | Israeli Shekel | |
| INR | Indian Rupee | |
| JPY | Japanese Yen | |
| KRW | South Korean Won | |
| MXN | Mexican Peso | |
| NOK | Norwegian Krone | |
| PEN | Peruvian Nuevo Sol | |
| PHP | Philippine Peso | |
| PLN | Polish Zloty | |
| RUB | Russian Ruble | |
| SAR | Saudi Arabian Riyal | |
| SEK | Swedish Krona | |
| SGD | Singapore Dollar | |
| THB | Thai Baht | |
| TWD | New Taiwanese Dollar | |
| USD | US Dollar | |
| ZAR | South African Rand |
| 144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. | |
| ADR | American Depositary Receipt | |
| AQUIS | Aquis Exchange | |
| BATS | Chi-X Europe Stock Exchange | |
| CVA | Certificate Van Aandelen (Bearer) | |
| CVT | Convertible Security | |
| ETF | Exchange-Traded Fund | |
| GDR | Global Depositary Receipt | |
| LIBOR | London Interbank Offered Rate | |
| MLP | Master Limited Partnership | |
| MSCI | Morgan Stanley Capital International | |
| MTN | Medium Term Note | |
| NVDR | Non-voting Depositary Receipt | |
| NYSE | New York Stock Exchange | |
| OTC | Over-the-counter | |
| PJSC | Public Joint-Stock Company | |
| PRFC | Preference Shares | |
| Q | Quarterly payment frequency for swaps | |
| REITs | Real Estate Investment Trust | |
| RTS | Russian Trading System | |
| S | Semiannual payment frequency for swaps | |
| S&P | Standard & Poor’s | |
| SDR | Sweden Depositary Receipt | |
| TIPS | Treasury Inflation-Protected Securities | |
| TRQX | Turquoise Stock Exchange | |
| TSX | Toronto Stock Exchange | |
| UTS | Unit Trust Security | |
| XFRA | Frankfurt Stock Exchange | |
| XTSE | Toronto Stock Exchange |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 92.9% | ||||||||
| COMMON STOCKS — 92.7% | Shares | Value | ||||||
|
Brazil — 2.1% |
||||||||
|
Banco do Brasil SA |
138,300 | $ | 1,815,946 | |||||
|
BB Seguridade Participacoes SA |
45,900 | 430,166 | ||||||
|
BRF SA* |
10,600 | 92,754 | ||||||
|
CCR SA |
90,600 | 427,471 | ||||||
|
Cia de Saneamento Basico do Estado de Sao Paulo |
8,500 | 127,964 | ||||||
|
Cielo SA |
108,000 | 224,715 | ||||||
|
Embraer SA, ADR*(a) |
6,402 | 124,775 | ||||||
|
Petrobras Distribuidora SA |
70,500 | 526,993 | ||||||
|
TIM Participacoes SA, ADR(a) |
16,704 | 319,213 | ||||||
|
|
|
|||||||
| 4,089,997 | ||||||||
|
|
|
|||||||
|
Chile — 1.1% |
||||||||
|
Banco de Chile |
1,625,004 | 172,236 | ||||||
|
Banco de Credito e Inversiones SA |
2,300 | 104,302 | ||||||
|
Banco Santander Chile, ADR |
2,319 | 53,499 | ||||||
|
Cencosud SA |
333,123 | 438,582 | ||||||
|
Cia Cervecerias Unidas SA, ADR |
21,042 | 399,167 | ||||||
|
Enel Americas SA, ADR(a) |
67,153 | 737,340 | ||||||
|
Enel Chile SA |
1,222,186 | 114,588 | ||||||
|
Latam Airlines Group SA |
6,911 | 69,344 | ||||||
|
|
|
|||||||
| 2,089,058 | ||||||||
|
|
|
|||||||
|
China — 35.0% |
||||||||
|
3SBio, Inc., 144A* |
42,500 | 55,386 | ||||||
|
58.com, Inc., ADR* |
2,792 | 180,726 | ||||||
|
AAC Technologies Holdings, Inc. |
94,000 | 823,868 | ||||||
|
Agricultural Bank of China Ltd. (Class A Stock) |
496,100 | 263,087 | ||||||
|
Alibaba Group Holding Ltd., ADR* |
48,318 | 10,248,248 | ||||||
|
Anhui Conch Cement Co. Ltd. (Class A Stock) |
19,548 | 154,255 | ||||||
|
Anhui Conch Cement Co. Ltd. (Class H Stock) |
93,000 | 680,001 | ||||||
|
ANTA Sports Products Ltd. |
86,000 | 771,387 | ||||||
|
Autohome, Inc., ADR* |
2,630 | 210,426 | ||||||
|
Baidu, Inc., ADR* |
8,379 | 1,059,106 | ||||||
|
Bank of China Ltd. (Class A Stock) |
451,800 | 239,587 | ||||||
|
Bank of China Ltd. (Class H Stock) |
1,570,000 | 670,997 | ||||||
|
Bank of Communications Co. Ltd. (Class A Stock) |
119,400 | 96,607 | ||||||
|
Bank of Ningbo Co. Ltd. (Class A Stock) |
18,800 | 76,045 | ||||||
|
Bank of Shanghai Co. Ltd. (Class A Stock) |
60,350 | 82,360 | ||||||
|
Baoshan Iron & Steel Co. Ltd. (Class A Stock) |
129,000 | 106,398 | ||||||
|
Beijing Capital International Airport Co. Ltd. (Class H Stock) |
994,000 | 963,015 | ||||||
|
Beijing Enterprises Holdings Ltd. |
112,000 | 514,977 | ||||||
|
BOE Technology Group Co. Ltd. (Class A Stock) |
196,200 | 127,956 | ||||||
|
BYD Co. Ltd. (Class A Stock) |
10,600 | 72,685 | ||||||
|
China Agri-Industries Holdings Ltd. |
101,000 | 53,527 | ||||||
|
China CITIC Bank Corp. Ltd. (Class H Stock) |
1,575,000 | 944,349 | ||||||
|
China Communications Services Corp. Ltd. (Class H Stock) |
1,010,000 | 738,331 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
China (continued) |
||||||||
|
China Construction Bank Corp. (Class H Stock) |
3,144,000 | $ | 2,714,096 | |||||
|
China East Education Holdings Ltd., 144A* |
135,500 | 284,226 | ||||||
|
China Everbright Bank Co. Ltd. (Class A Stock) |
88,500 | 56,097 | ||||||
|
China Evergrande Group* |
97,000 | 269,470 | ||||||
|
China International Travel Service Corp. Ltd. (Class A Stock) |
8,752 | 111,973 | ||||||
|
China Jinmao Holdings Group Ltd. |
110,000 | 85,987 | ||||||
|
China Lesso Group Holdings Ltd. |
206,000 | 264,179 | ||||||
|
China Medical System Holdings Ltd. |
879,000 | 1,265,781 | ||||||
|
China Merchants Bank Co. Ltd. (Class A Stock) |
38,698 | 209,203 | ||||||
|
China Merchants Securities Co. Ltd. (Class A Stock) |
26,500 | 69,702 | ||||||
|
China Minsheng Banking Corp. Ltd. (Class A Stock) |
90,800 | 82,322 | ||||||
|
China Mobile Ltd. |
441,500 | 3,716,053 | ||||||
|
China National Building Material Co. Ltd. (Class H Stock) |
742,000 | 830,617 | ||||||
|
China Overseas Land & Investment Ltd. |
230,000 | 896,330 | ||||||
|
China Pacific Insurance Group Co. Ltd. (Class A Stock) |
15,000 | 81,660 | ||||||
|
China Petroleum & Chemical Corp. (Class A Stock) |
167,900 | 123,444 | ||||||
|
China Railway Construction Corp. Ltd. (Class A Stock) |
107,037 | 156,084 | ||||||
|
China Resources Cement Holdings Ltd. |
190,000 | 242,415 | ||||||
|
China Resources Land Ltd. |
166,000 | 827,254 | ||||||
|
China Resources Pharmaceutical Group Ltd., 144A |
678,500 | 630,586 | ||||||
|
China Resources Power Holdings Co. Ltd. |
568,000 | 798,698 | ||||||
|
China Shipbuilding Industry Co. Ltd. (Class A Stock) |
131,875 | 99,259 | ||||||
|
China State Construction Engineering Corp. Ltd. (Class A Stock) |
219,900 | 177,707 | ||||||
|
China Telecom Corp. Ltd. (Class H Stock) |
916,000 | 377,337 | ||||||
|
China Traditional Chinese Medicine Holdings Co. Ltd. |
230,000 | 111,275 | ||||||
|
China United Network Communications Ltd. (Class A Stock) |
98,500 | 83,370 | ||||||
|
China Vanke Co. Ltd. (Class H Stock) |
123,400 | 526,499 | ||||||
|
China Yangtze Power Co. Ltd. (Class A Stock) |
204,997 | 541,275 | ||||||
|
CITIC Ltd. |
691,000 | 923,772 | ||||||
|
CITIC Securities Co. Ltd. (Class A Stock) |
38,700 | 140,944 | ||||||
|
Country Garden Holdings Co. Ltd |
354,000 | 568,016 | ||||||
|
Country Garden Services Holdings Co. Ltd. |
137,000 | 463,215 | ||||||
|
CRRC Corp. Ltd. (Class A Stock) |
103,300 | 106,029 | ||||||
|
CSPC Pharmaceutical Group Ltd. |
594,000 | 1,420,995 | ||||||
|
Dali Foods Group Co. Ltd., 144A |
357,000 | 265,001 | ||||||
|
Far East Horizon Ltd. |
205,000 | 192,359 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
China (continued) |
||||||||
|
Foshan Haitian Flavouring & Food Co. Ltd. (Class A Stock) |
6,900 | $ | 106,668 | |||||
|
Gree Electric Appliances, Inc. of Zhuhai (Class A Stock) |
12,800 | 120,748 | ||||||
|
Guangdong Investment Ltd. |
408,000 | 854,718 | ||||||
|
Guotai Junan Securities Co. Ltd. (Class A Stock) |
41,200 | 109,686 | ||||||
|
Haier Smart Home Co. Ltd. (Class A Stock) |
29,100 | 81,621 | ||||||
|
Haitong Securities Co. Ltd. (Class A Stock) |
47,800 | 106,301 | ||||||
|
Hangzhou Hikvision Digital Technology Co. Ltd. (Class A Stock) |
49,633 | 233,362 | ||||||
|
Hansoh Pharmaceutical Group Co. Ltd., 144A* |
104,000 | 346,090 | ||||||
|
Hengan International Group Co. Ltd. |
18,500 | 131,880 | ||||||
|
Hua Hong Semiconductor Ltd., 144A |
215,000 | 491,707 | ||||||
|
Huatai Securities Co. Ltd. (Class A Stock) |
33,900 | 99,142 | ||||||
|
Huazhu Group Ltd., ADR(a) |
6,249 | 250,397 | ||||||
|
Industrial & Commercial Bank of China Ltd. (Class A Stock) |
168,800 | 142,576 | ||||||
|
Industrial Bank Co. Ltd. (Class A Stock) |
40,400 | 115,069 | ||||||
|
Inner Mongolia Yili Industrial Group Co. Ltd. (Class A Stock) |
18,400 | 81,883 | ||||||
|
Innovent Biologics, Inc., 144A* |
19,000 | 64,728 | ||||||
|
JD.com, Inc., ADR* |
23,952 | 843,829 | ||||||
|
Jiangsu Hengrui Medicine Co. Ltd. (Class A Stock) |
15,191 | 191,271 | ||||||
|
Jiangsu Yanghe Brewery Joint-Stock Co. Ltd. (Class A Stock) |
5,000 | 79,395 | ||||||
|
JOYY, Inc., ADR*(a) |
2,101 | 110,912 | ||||||
|
Kingboard Holdings Ltd. |
53,500 | 170,304 | ||||||
|
Kunlun Energy Co. Ltd. |
636,000 | 562,675 | ||||||
|
Kweichow Moutai Co. Ltd. (Class A Stock) |
2,300 | 391,258 | ||||||
|
Lenovo Group Ltd. |
512,000 | 343,725 | ||||||
|
Li Ning Co. Ltd. |
243,000 | 729,870 | ||||||
|
Longfor Group Holdings Ltd., 144A |
42,500 | 199,483 | ||||||
|
Luxshare Precision Industry Co. Ltd. (Class A Stock) |
35,600 | 187,375 | ||||||
|
Luzhou Laojiao Co. Ltd. (Class A Stock) |
5,900 | 73,548 | ||||||
|
Midea Group Co. Ltd. (Class A Stock) |
14,000 | 117,370 | ||||||
|
Momo, Inc., ADR |
5,244 | 175,674 | ||||||
|
NARI Technology Co. Ltd. (Class A Stock) |
37,650 | 114,840 | ||||||
|
NetEase, Inc., ADR |
2,358 | 723,057 | ||||||
|
New China Life Insurance Co. Ltd. (Class A Stock) |
9,100 | 64,321 | ||||||
|
New China Life Insurance Co. Ltd. (Class H Stock) |
82,800 | 357,554 | ||||||
|
New Oriental Education & Technology Group, Inc., ADR* |
3,991 | 483,909 | ||||||
|
People’s Insurance Co. Group of China Ltd. (The) (Class H Stock) |
170,000 | 70,800 | ||||||
|
PICC Property & Casualty Co. Ltd. (Class H Stock) |
798,000 | 964,030 | ||||||
|
Pinduoduo, Inc., ADR* |
5,414 | 204,757 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
China (continued) |
||||||||
|
Ping An Bank Co. Ltd. (Class A Stock) |
47,800 | $ | 113,130 | |||||
|
Ping An Insurance Group Co. of China Ltd. (Class A Stock) |
21,700 | 266,943 | ||||||
|
SAIC Motor Corp. Ltd. (Class A Stock) |
31,583 | 108,384 | ||||||
|
Sany Heavy Industry Co. Ltd. (Class A Stock) |
56,000 | 137,481 | ||||||
|
Shandong Weigao Group Medical Polymer Co. Ltd. (Class H Stock) |
844,000 | 1,013,352 | ||||||
|
Shanghai Pharmaceuticals Holding Co. Ltd. (Class H Stock) |
35,700 | 69,593 | ||||||
|
Shanghai Pudong Development Bank Co. Ltd. (Class A Stock) |
42,660 | 75,948 | ||||||
|
Shenwan Hongyuan Group Co. Ltd. (Class A Stock) |
114,845 | 84,509 | ||||||
|
Shimao Property Holdings Ltd. |
41,000 | 159,013 | ||||||
|
Sinopharm Group Co. Ltd. (Class H Stock) |
22,000 | 80,468 | ||||||
|
Sinotruk Hong Kong Ltd. |
207,000 | 443,330 | ||||||
|
Sunac China Holdings Ltd. |
80,000 | 480,678 | ||||||
|
Suning.com Co. Ltd. (Class A Stock) |
56,315 | 81,847 | ||||||
|
Sunny Optical Technology Group Co. Ltd. |
5,300 | 92,106 | ||||||
|
TAL Education Group, ADR* |
10,080 | 485,856 | ||||||
|
Tencent Holdings Ltd. |
228,900 | 11,017,818 | ||||||
|
Tingyi Cayman Islands Holding Corp. |
32,000 | 54,646 | ||||||
|
Trip.com Group Ltd., ADR* |
12,364 | 414,689 | ||||||
|
Uni-President China Holdings Ltd. |
572,000 | 601,161 | ||||||
|
Vipshop Holdings Ltd., ADR* |
13,092 | 185,514 | ||||||
|
Weichai Power Co. Ltd. (Class H Stock) |
342,000 | 724,469 | ||||||
|
Wuliangye Yibin Co. Ltd. (Class A Stock) |
9,400 | 179,459 | ||||||
|
Yonghui Superstores Co. Ltd. (Class A Stock) |
76,400 | 82,813 | ||||||
|
Yum China Holdings, Inc. |
12,172 | 584,378 | ||||||
|
Zhejiang Expressway Co. Ltd. (Class H Stock) |
88,000 | 80,215 | ||||||
|
ZTO Express Cayman, Inc., ADR |
13,430 | 313,591 | ||||||
|
|
|
|||||||
| 67,274,478 | ||||||||
|
|
|
|||||||
|
Hong Kong — 1.0% |
||||||||
|
Haier Electronics Group Co. Ltd. |
155,000 | 485,471 | ||||||
|
Kingboard Laminates Holdings Ltd. |
586,000 | 728,237 | ||||||
|
Sino Biopharmaceutical Ltd. |
273,000 | 383,110 | ||||||
|
SSY Group Ltd. |
72,000 | 58,271 | ||||||
|
Sun Art Retail Group Ltd. |
225,000 | 273,240 | ||||||
|
|
|
|||||||
| 1,928,329 | ||||||||
|
|
|
|||||||
|
Hungary — 0.4% |
||||||||
|
MOL Hungarian Oil & Gas PLC |
33,931 | 338,453 | ||||||
|
OTP Bank Nyrt |
8,255 | 431,472 | ||||||
|
|
|
|||||||
| 769,925 | ||||||||
|
|
|
|||||||
|
India — 0.0% |
||||||||
|
Dr. Reddy’s Laboratories Ltd. |
1,332 | 53,720 | ||||||
|
Wipro Ltd., ADR |
14,228 | 53,355 | ||||||
|
|
|
|||||||
| 107,075 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Indonesia — 2.1% |
||||||||
|
Adaro Energy Tbk PT |
3,738,500 | $ | 417,066 | |||||
|
Bank Central Asia Tbk PT |
234,300 | 563,286 | ||||||
|
Bank Mandiri Persero Tbk PT |
2,125,700 | 1,172,269 | ||||||
|
Bank Negara Indonesia Persero Tbk PT |
1,033,600 | 581,911 | ||||||
|
Indofood CBP Sukses Makmur Tbk PT |
98,300 | 78,969 | ||||||
|
Indofood Sukses Makmur Tbk PT |
457,600 | 260,600 | ||||||
|
Kalbe Farma Tbk PT |
469,000 | 54,562 | ||||||
|
Perusahaan Gas Negara Tbk PT |
414,600 | 64,756 | ||||||
|
Telekomunikasi Indonesia Persero Tbk PT |
1,113,800 | 317,675 | ||||||
|
United Tractors Tbk PT |
298,200 | 461,019 | ||||||
|
XL Axiata Tbk PT* |
235,600 | 53,431 | ||||||
|
|
|
|||||||
| 4,025,544 | ||||||||
|
|
|
|||||||
|
Malaysia — 6.7% |
||||||||
|
AirAsia Group Bhd |
709,302 | 295,518 | ||||||
|
AMMB Holdings Bhd |
61,000 | 58,331 | ||||||
|
DiGi.Com Bhd |
290,600 | 317,153 | ||||||
|
Genting Bhd. |
647,000 | 958,463 | ||||||
|
Genting Malaysia Bhd |
885,000 | 711,983 | ||||||
|
Hartalega Holdings Bhd |
378,000 | 506,170 | ||||||
|
Hong Leong Bank Bhd |
183,100 | 774,262 | ||||||
|
IHH Healthcare Bhd |
423,700 | 566,688 | ||||||
|
Malayan Banking Bhd |
871,200 | 1,842,116 | ||||||
|
Malaysia Airports Holdings Bhd |
387,500 | 718,423 | ||||||
|
MISC Bhd |
212,600 | 435,152 | ||||||
|
Nestle Malaysia Bhd |
19,500 | 700,591 | ||||||
|
Petronas Chemicals Group Bhd |
691,100 | 1,241,565 | ||||||
|
Petronas Gas Bhd |
139,900 | 569,185 | ||||||
|
PPB Group Bhd. |
84,700 | 389,820 | ||||||
|
Public Bank Bhd |
214,700 | 1,020,562 | ||||||
|
RHB Bank Bhd |
741,900 | 1,049,517 | ||||||
|
Sime Darby Bhd |
1,149,900 | 624,618 | ||||||
|
Tenaga Nasional Bhd |
58,100 | 188,356 | ||||||
|
|
|
|||||||
| 12,968,473 | ||||||||
|
|
|
|||||||
|
Mexico — 0.8% |
||||||||
|
Alfa SAB de CV (Class A Stock) |
184,125 | 152,500 | ||||||
|
Alsea SAB de CV* |
31,800 | 83,808 | ||||||
|
Arca Continental SAB de CV |
73,100 | 386,658 | ||||||
|
Fibra Uno Administracion SA de CV, REIT |
178,600 | 276,578 | ||||||
|
Gruma SAB de CV (Class B Stock) |
34,805 | 356,729 | ||||||
|
Grupo Financiero Inbursa SAB de CV (Class O Stock) |
58,300 | 71,536 | ||||||
|
Kimberly-Clark de Mexico SAB de CV (Class A Stock)* |
90,800 | 180,712 | ||||||
|
|
|
|||||||
| 1,508,521 | ||||||||
|
|
|
|||||||
|
Peru — 0.4% |
||||||||
|
Credicorp Ltd. |
2,850 | 607,421 | ||||||
|
Southern Copper Corp. |
6,044 | 256,749 | ||||||
|
|
|
|||||||
| 864,170 | ||||||||
|
|
|
|||||||
|
Philippines — 0.5% |
||||||||
|
Ayala Land, Inc. |
186,400 | 167,230 | ||||||
|
BDO Unibank, Inc. |
27,460 | 85,593 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Philippines (continued) |
||||||||
|
International Container Terminal Services, Inc. |
174,230 | $ | 441,262 | |||||
|
SM Prime Holdings, Inc. |
222,500 | 184,731 | ||||||
|
|
|
|||||||
| 878,816 | ||||||||
|
|
|
|||||||
|
Poland — 0.2% |
||||||||
|
CD Projekt SA |
4,092 | 301,918 | ||||||
|
|
|
|||||||
|
Qatar — 0.5% |
||||||||
|
Industries Qatar QSC |
32,970 | 93,036 | ||||||
|
Qatar Islamic Bank SAQ |
6,260 | 26,396 | ||||||
|
Qatar National Bank QPSC |
137,230 | 775,722 | ||||||
|
|
|
|||||||
| 895,154 | ||||||||
|
|
|
|||||||
|
Romania — 0.1% |
||||||||
|
NEPI Rockcastle PLC |
16,618 | 147,209 | ||||||
|
|
|
|||||||
|
Russia — 2.7% |
||||||||
|
Gazprom PJSC, ADR |
156,193 | 1,292,810 | ||||||
|
LUKOIL PJSC, ADR |
11,643 | 1,158,292 | ||||||
|
MMC Norilsk Nickel PJSC, ADR |
13,009 | 398,358 | ||||||
|
Mobile TeleSystems PJSC, ADR |
51,500 | 522,725 | ||||||
|
Novatek PJSC, GDR |
2,511 | 510,385 | ||||||
|
Novolipetsk Steel PJSC, GDR |
3,321 | 76,992 | ||||||
|
PhosAgro PJSC, GDR |
6,186 | 78,846 | ||||||
|
Polyus PJSC, GDR |
1,196 | 68,079 | ||||||
|
Rosneft Oil Co. PJSC, GDR |
39,709 | 287,741 | ||||||
|
Severstal PJSC, GDR(a) |
28,705 | 435,590 | ||||||
|
Surgutneftegas PJSC, ADR |
53,495 | 434,480 | ||||||
|
|
|
|||||||
| 5,264,298 | ||||||||
|
|
|
|||||||
|
South Africa — 0.5% |
||||||||
|
Growthpoint Properties Ltd., REIT |
422,250 | 667,539 | ||||||
|
Momentum Metropolitan Holdings |
39,984 | 62,438 | ||||||
|
Remgro Ltd. |
20,354 | 283,611 | ||||||
|
|
|
|||||||
| 1,013,588 | ||||||||
|
|
|
|||||||
|
South Korea — 19.1% |
||||||||
|
BGF retail Co. Ltd. |
1,396 | 204,095 | ||||||
|
BNK Financial Group, Inc. |
107,954 | 713,188 | ||||||
|
Cheil Worldwide, Inc. |
7,928 | 164,825 | ||||||
|
CJ ENM Co. Ltd. |
2,148 | 295,691 | ||||||
|
Daelim Industrial Co. Ltd. |
12,050 | 941,156 | ||||||
|
DB Insurance Co. Ltd. |
7,407 | 333,619 | ||||||
|
Doosan Bobcat, Inc.* |
23,890 | 709,864 | ||||||
|
GS Retail Co. Ltd. |
2,199 | 74,492 | ||||||
|
Hana Financial Group, Inc. |
30,809 | 980,374 | ||||||
|
Hankook Tire & Technology Co. Ltd. |
11,926 | 344,610 | ||||||
|
Hanwha Corp. |
2,593 | 55,845 | ||||||
|
Hanwha Life Insurance Co. Ltd. |
26,285 | 52,343 | ||||||
|
HDC Hyundai Development Co-Engineering & Construction (Class E Stock) |
3,346 | 74,112 | ||||||
|
Hyundai Department Store Co. Ltd. |
7,046 | 504,550 | ||||||
|
Hyundai Glovis Co. Ltd. |
4,343 | 535,670 | ||||||
|
Hyundai Marine & Fire Insurance Co. Ltd. |
26,860 | 624,029 | ||||||
|
Hyundai Mobis Co. Ltd. |
3,821 | 844,422 | ||||||
|
Industrial Bank of Korea |
51,499 | 523,931 | ||||||
|
Kakao Corp. |
2,523 | 334,741 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A4
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
South Korea (continued) |
||||||||
|
Kangwon Land, Inc. |
15,201 | $ | 388,156 | |||||
|
KCC Corp. |
1,920 | 387,307 | ||||||
|
Kia Motors Corp. |
41,311 | 1,577,802 | ||||||
|
Korea Aerospace Industries Ltd. |
3,506 | 102,978 | ||||||
|
Korea Investment Holdings Co. Ltd. |
9,239 | 576,037 | ||||||
|
Korea Zinc Co. Ltd. |
3,054 | 1,120,253 | ||||||
|
Korean Air Lines Co. Ltd. |
3,695 | 90,886 | ||||||
|
KT&G Corp. |
12,603 | 1,020,584 | ||||||
|
Kumho Petrochemical Co. Ltd. |
8,641 | 577,485 | ||||||
|
LG Corp. |
8,330 | 530,772 | ||||||
|
LG Electronics, Inc. |
25,059 | 1,556,841 | ||||||
|
LG Innotek Co. Ltd. |
1,899 | 229,221 | ||||||
|
LG Uplus Corp. |
32,598 | 399,726 | ||||||
|
NAVER Corp. |
4,641 | 747,032 | ||||||
|
NCSoft Corp. |
910 | 425,222 | ||||||
|
POSCO |
1,592 | 323,501 | ||||||
|
Posco International Corp. |
3,536 | 56,923 | ||||||
|
S-1 Corp. |
4,968 | 402,146 | ||||||
|
Samsung Electronics Co. Ltd. |
219,704 | 10,574,072 | ||||||
|
Samsung Engineering Co. Ltd.* |
5,202 | 86,127 | ||||||
|
Samsung Fire & Marine Insurance Co. Ltd. |
3,916 | 820,751 | ||||||
|
Samsung Life Insurance Co. Ltd. |
4,637 | 297,536 | ||||||
|
Samsung SDS Co. Ltd. |
1,503 | 251,890 | ||||||
|
Samsung Securities Co. Ltd. |
9,589 | 318,677 | ||||||
|
SK Hynix, Inc. |
44,142 | 3,562,209 | ||||||
|
SK Telecom Co. Ltd. |
5,198 | 1,066,730 | ||||||
|
Woongjin Coway Co. Ltd. |
5,631 | 452,893 | ||||||
|
Woori Financial Group, Inc. |
37,281 | 372,884 | ||||||
|
Yuhan Corp. |
447 | 91,177 | ||||||
|
|
|
|||||||
| 36,719,375 | ||||||||
|
|
|
|||||||
|
Taiwan — 12.2% |
||||||||
|
ASE Technology Holding Co. Ltd. |
119,000 | 330,464 | ||||||
|
Asia Cement Corp. |
71,000 | 113,670 | ||||||
|
Catcher Technology Co. Ltd. |
8,000 | 60,816 | ||||||
|
Chang Hwa Commercial Bank Ltd. |
311,100 | 235,406 | ||||||
|
Chicony Electronics Co. Ltd. |
19,000 | 56,492 | ||||||
|
China Airlines Ltd. |
281,000 | 85,012 | ||||||
|
China Development Financial Holding Corp. |
904,000 | 293,615 | ||||||
|
China Life Insurance Co. Ltd.* |
629,082 | 537,578 | ||||||
|
E.Sun Financial Holding Co. Ltd. |
260,003 | 242,277 | ||||||
|
Eva Airways Corp. |
399,341 | 183,304 | ||||||
|
Feng TAY Enterprise Co. Ltd. |
17,500 | 113,894 | ||||||
|
First Financial Holding Co. Ltd. |
1,271,622 | 1,005,244 | ||||||
|
Foxconn Technology Co. Ltd. |
180,000 | 397,964 | ||||||
|
Hon Hai Precision Industry Co. Ltd. |
495,000 | 1,505,740 | ||||||
|
Hua Nan Financial Holdings Co. Ltd. |
150,217 | 110,251 | ||||||
|
Inventec Corp. |
171,000 | 130,505 | ||||||
|
Lite-On Technology Corp. |
405,000 | 666,100 | ||||||
|
MediaTek, Inc. |
38,000 | 563,887 | ||||||
|
Mega Financial Holding Co. Ltd. |
282,000 | 288,087 | ||||||
|
Nanya Technology Corp. |
448,000 | 1,250,327 | ||||||
|
Nien Made Enterprise Co. Ltd. |
10,000 | 92,507 | ||||||
|
Pegatron Corp. |
161,000 | 368,896 | ||||||
|
Phison Electronics Corp. |
81,000 | 922,541 | ||||||
|
Powertech Technology, Inc. |
182,000 | 608,540 | ||||||
|
President Chain Store Corp. |
93,000 | 943,580 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Taiwan (continued) |
||||||||
|
Realtek Semiconductor Corp. |
34,000 | $ | 267,480 | |||||
|
SinoPac Financial Holdings Co. Ltd. |
943,000 | 409,053 | ||||||
|
Synnex Technology International Corp. |
122,000 | 152,716 | ||||||
|
Taiwan Business Bank |
2,109,450 | 887,784 | ||||||
|
Taiwan Cooperative Financial Holding Co. Ltd. |
573,483 | 396,798 | ||||||
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR |
112,928 | 6,561,117 | ||||||
|
Uni-President Enterprises Corp. |
162,000 | 400,905 | ||||||
|
United Microelectronics Corp. |
2,957,000 | 1,624,956 | ||||||
|
Wistron Corp. |
917,000 | 868,926 | ||||||
|
Yuanta Financial Holding Co. Ltd. |
238,000 | 160,341 | ||||||
|
Zhen Ding Technology Holding Ltd. |
150,000 | 717,567 | ||||||
|
|
|
|||||||
| 23,554,340 | ||||||||
|
|
|
|||||||
|
Thailand — 2.9% |
||||||||
|
Advanced Info Service PCL, NVDR |
104,900 | 745,215 | ||||||
|
Bangkok Bank PCL, NVDR |
137,800 | 734,860 | ||||||
|
Bangkok Dusit Medical Services PCL, NVDR |
408,600 | 354,375 | ||||||
|
Bumrungrad Hospital PCL, NVDR |
228,100 | 1,117,863 | ||||||
|
Central Pattana PCL, NVDR |
28,800 | 59,526 | ||||||
|
Electricity Generating PCL, NVDR |
61,000 | 667,438 | ||||||
|
Kasikornbank PCL, NVDR |
18,000 | 90,672 | ||||||
|
Krung Thai Bank PCL, NVDR |
1,136,300 | 621,361 | ||||||
|
Ratch Group PCL, NVDR |
230,100 | 527,677 | ||||||
|
Robinson PCL, NVDR |
68,000 | 149,785 | ||||||
|
Thai Union Group PCL, NVDR |
595,600 | 268,182 | ||||||
|
TMB Bank PCL, NVDR |
3,544,200 | 198,674 | ||||||
|
|
|
|||||||
| 5,535,628 | ||||||||
|
|
|
|||||||
|
Turkey — 3.1% |
||||||||
|
Akbank T.A.S.* |
503,091 | 687,451 | ||||||
|
Arcelik A/S* |
237,302 | 832,729 | ||||||
|
BIM Birlesik Magazalar A/S |
66,904 | 525,305 | ||||||
|
Eregli Demir ve Celik Fabrikalari TAS |
239,836 | 364,858 | ||||||
|
Haci Omer Sabanci Holding A/S |
35,587 | 57,175 | ||||||
|
KOC Holding A/S |
74,826 | 256,016 | ||||||
|
TAV Havalimanlari Holding A/S |
105,340 | 517,775 | ||||||
|
Tupras Turkiye Petrol Rafinerileri A/S |
34,390 | 734,484 | ||||||
|
Turkcell Iletisim Hizmetleri A/S |
290,027 | 674,038 | ||||||
|
Turkiye Garanti Bankasi A/S* |
571,875 | 1,073,287 | ||||||
|
Turkiye Is Bankasi A/S (Class C Stock)* |
173,860 | 187,647 | ||||||
|
|
|
|||||||
| 5,910,765 | ||||||||
|
|
|
|||||||
|
United Arab Emirates — 0.5% |
||||||||
|
Abu Dhabi Commercial Bank PJSC |
85,742 | 184,784 | ||||||
|
Emaar Properties PJSC |
109,767 | 120,190 | ||||||
|
Emirates Telecommunications Group Co. PJSC |
43,092 | 191,895 | ||||||
|
First Abu Dhabi Bank PJSC |
110,453 | 455,870 | ||||||
|
|
|
|||||||
| 952,739 | ||||||||
|
|
|
|||||||
|
United States — 0.8% |
||||||||
|
JBS SA |
255,700 | 1,639,958 | ||||||
|
|
|
|||||||
|
TOTAL COMMON STOCKS
|
178,439,358 | |||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A5
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $1,489,110; cash collateral of $1,549,053 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
| (vv) |
Includes an amount of $70,001 segregated as collateral for OTC derivatives. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at December 31, 2019:
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||
| Long Position: | ||||||||||||||
| 183 | Mini MSCI Emerging Markets Index | Mar. 2020 | $ | 10,249,830 | $ | 181,177 | ||||||||
|
|
|
|||||||||||||
Forward foreign currency exchange contracts outstanding at December 31, 2019:
|
Purchase Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts: |
|
|||||||||||||||||||||||||
|
Brazilian Real, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 6,800 | $ | 1,656,429 | $ | 1,684,950 | $ | 28,521 | $ | — | |||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 6,100 | 1,493,246 | 1,511,500 | 18,254 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 5,342 | 1,305,224 | 1,323,677 | 18,453 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 4,000 | 977,271 | 991,147 | 13,876 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 2,336 | 560,335 | 578,830 | 18,495 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 700 | 171,145 | 173,451 | 2,306 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 22 | 5,284 | 5,451 | 167 | — | |||||||||||||||||||
|
Chilean Peso, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 590,000 | 735,978 | 785,332 | 49,354 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 170,000 | 224,898 | 226,282 | 1,384 | — | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A6
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019 (continued):
|
Purchase Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts (continued): |
|
|||||||||||||||||||||||||
|
Chilean Peso (continued), |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 124,800 | $ | 158,871 | $ | 166,118 | $ | 7,247 | $ | — | |||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 100,000 | 130,183 | 133,107 | 2,924 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 90,490 | 114,008 | 120,449 | 6,441 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 10,000 | 13,048 | 13,311 | 263 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 5,200 | 6,647 | 6,922 | 275 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 2,804 | 3,768 | 3,732 | — | (36 | ) | ||||||||||||||||||
|
Chinese Renminbi, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 22,700 | 3,218,974 | 3,255,119 | 36,145 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 13,600 | 1,940,845 | 1,950,203 | 9,358 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 9,477 | 1,341,177 | 1,358,976 | 17,799 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 1,200 | 170,216 | 172,077 | 1,861 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 800 | 114,395 | 114,718 | 323 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 600 | 85,018 | 86,038 | 1,020 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 600 | 85,419 | 86,038 | 619 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 500 | 70,654 | 71,699 | 1,045 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 184 | 26,083 | 26,385 | 302 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 41 | 5,813 | 5,879 | 66 | — | |||||||||||||||||||
|
Colombian Peso, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 13,100,000 | 3,966,155 | 3,970,127 | 3,972 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 3,488,333 | 1,010,573 | 1,057,185 | 46,612 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 3,488,333 | 985,396 | 1,057,185 | 71,789 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 3,279,033 | 941,530 | 993,754 | 52,224 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 3,255,000 | 941,584 | 986,470 | 44,886 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 2,000,000 | 600,234 | 606,126 | 5,892 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 1,900,000 | 550,600 | 575,820 | 25,220 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 1,500,000 | 449,579 | 454,595 | 5,016 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 900,000 | 269,785 | 272,757 | 2,972 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 500,000 | 148,855 | 151,532 | 2,677 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 300,000 | 89,419 | 90,919 | 1,500 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 209,300 | 60,244 | 63,431 | 3,187 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 13,249 | 4,011 | 4,015 | 4 | — | |||||||||||||||||||
|
Czech Koruna, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CZK | 28,800 | 1,253,673 | 1,270,644 | 16,971 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CZK | 8,000 | 348,796 | 352,957 | 4,161 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CZK | 7,000 | 304,651 | 308,837 | 4,186 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CZK | 5,200 | 227,310 | 229,422 | 2,112 | — | |||||||||||||||||||
|
Euro, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 50 | 56,092 | 56,359 | 267 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 40 | 44,614 | 45,087 | 473 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 40 | 44,568 | 45,086 | 518 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 40 | 44,557 | 45,087 | 530 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 40 | 44,380 | 45,087 | 707 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 40 | 44,673 | 45,087 | 414 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 40 | 44,589 | 45,087 | 498 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 40 | 44,647 | 45,088 | 441 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 40 | 44,354 | 45,087 | 733 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 14 | 15,480 | 15,723 | 243 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 14 | 15,070 | 15,317 | 247 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 14 | 15,154 | 15,317 | 163 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 14 | 14,962 | 15,217 | 255 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 13 | 14,439 | 14,655 | 216 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 13 | 14,482 | 14,710 | 228 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 13 | 14,407 | 14,655 | 248 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 13 | 14,852 | 15,116 | 264 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 13 | 14,952 | 15,116 | 164 | — | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A7
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019 (continued):
|
Purchase Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts (continued): |
|
|||||||||||||||||||||||||
|
Euro (continued), |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 13 | $ | 14,512 | $ | 14,655 | $ | 143 | $ | — | |||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 13 | 14,751 | 15,013 | 262 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 13 | 14,588 | 14,857 | 269 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 10 | 11,147 | 11,272 | 125 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 10 | 11,096 | 11,272 | 176 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 10 | 11,165 | 11,272 | 107 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 10 | 11,206 | 11,272 | 66 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 10 | 11,202 | 11,272 | 70 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 10 | 11,199 | 11,272 | 73 | — | |||||||||||||||||||
|
Hungarian Forint, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
HUF | 160,000 | 537,254 | 544,376 | 7,122 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
HUF | 90,000 | 305,382 | 306,212 | 830 | — | |||||||||||||||||||
|
Indian Rupee, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 175,084 | 2,440,817 | 2,438,381 | — | (2,436 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 136,271 | 1,868,470 | 1,897,832 | 29,362 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 136,271 | 1,876,550 | 1,897,832 | 21,282 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 136,271 | 1,877,797 | 1,897,832 | 20,035 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 136,271 | 1,880,161 | 1,897,832 | 17,671 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 136,271 | 1,887,544 | 1,897,832 | 10,288 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 136,271 | 1,872,076 | 1,897,832 | 25,756 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 136,271 | 1,883,191 | 1,897,832 | 14,641 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 136,271 | 1,880,859 | 1,897,832 | 16,973 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 136,271 | 1,887,885 | 1,897,832 | 9,947 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 136,271 | 1,893,442 | 1,897,832 | 4,390 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 136,271 | 1,880,630 | 1,897,832 | 17,202 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 136,271 | 1,897,057 | 1,897,832 | 775 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 115,757 | 1,613,746 | 1,612,138 | — | (1,608 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 205 | 2,853 | 2,855 | 2 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 203 | 2,837 | 2,827 | — | (10 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 16 | 221 | 223 | 2 | — | |||||||||||||||||||
|
Indonesian Rupiah, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 2,463,565 | 172,359 | 176,948 | 4,589 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 2,463,565 | 172,516 | 176,948 | 4,432 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 2,463,565 | 172,664 | 176,948 | 4,284 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 2,463,565 | 172,761 | 176,948 | 4,187 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 2,463,565 | 172,257 | 176,948 | 4,691 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 2,463,565 | 172,387 | 176,948 | 4,561 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 2,463,565 | 172,447 | 176,948 | 4,501 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 2,463,565 | 172,282 | 176,948 | 4,666 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 877,956 | 62,428 | 63,060 | 632 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 552,499 | 39,113 | 39,684 | 571 | — | |||||||||||||||||||
|
Mexican Peso, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 85,400 | 4,481,509 | 4,464,820 | — | (16,689 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 44,690 | 2,268,205 | 2,336,450 | 68,245 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 44,690 | 2,254,457 | 2,336,450 | 81,993 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 44,690 | 2,264,643 | 2,336,450 | 71,807 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 44,690 | 2,267,226 | 2,336,450 | 69,224 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 44,690 | 2,258,071 | 2,336,450 | 78,379 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 44,690 | 2,252,766 | 2,336,450 | 83,684 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 44,690 | 2,259,097 | 2,336,450 | 77,353 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 44,690 | 2,248,032 | 2,336,450 | 88,418 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 44,690 | 2,257,321 | 2,336,450 | 79,129 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 44,690 | 2,281,264 | 2,336,450 | 55,186 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 44,690 | 2,249,454 | 2,336,450 | 86,996 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 43,796 | 2,229,103 | 2,289,721 | 60,618 | — | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A8
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019 (continued):
|
Purchase Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts (continued): |
|
|||||||||||||||||||||||||
|
Mexican Peso (continued), |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 37,200 | $ | 1,941,430 | $ | 1,944,863 | $ | 3,433 | $ | — | |||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 28,500 | 1,481,733 | 1,490,016 | 8,283 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 26,200 | 1,362,920 | 1,369,769 | 6,849 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 19,800 | 1,029,324 | 1,035,169 | 5,845 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 2,407 | 125,666 | 125,841 | 175 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 2,300 | 119,782 | 120,247 | 465 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 2,200 | 114,748 | 115,019 | 271 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 894 | 45,472 | 46,729 | 1,257 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 172 | 9,027 | 8,992 | — | (35 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 10 | 522 | 523 | 1 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 4 | 210 | 209 | — | (1 | ) | ||||||||||||||||||
|
New Taiwanese Dollar, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 6,076 | 201,588 | 204,347 | 2,759 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 6,076 | 201,495 | 204,347 | 2,852 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 6,076 | 201,012 | 204,347 | 3,335 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 6,076 | 200,955 | 204,347 | 3,392 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 6,076 | 200,636 | 204,347 | 3,711 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 6,076 | 200,709 | 204,347 | 3,638 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 6,076 | 200,636 | 204,347 | 3,711 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 6,076 | 200,842 | 204,347 | 3,505 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 279 | 9,236 | 9,383 | 147 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 59 | 1,981 | 1,984 | 3 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 5 | 165 | 168 | 3 | — | |||||||||||||||||||
|
Peruvian Nuevo Sol, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PEN | 200 | 60,082 | 60,205 | 123 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PEN | 110 | 33,013 | 33,113 | 100 | — | |||||||||||||||||||
|
Philippine Peso, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 54,461 | 1,066,847 | 1,071,522 | 4,675 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 54,461 | 1,064,579 | 1,071,522 | 6,943 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 54,461 | 1,068,548 | 1,071,522 | 2,974 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 54,461 | 1,067,490 | 1,071,522 | 4,032 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 54,461 | 1,069,623 | 1,071,522 | 1,899 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 54,461 | 1,066,038 | 1,071,522 | 5,484 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 54,461 | 1,063,124 | 1,071,522 | 8,398 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 54,461 | 1,062,295 | 1,071,522 | 9,227 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 54,461 | 1,066,638 | 1,071,522 | 4,884 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 54,461 | 1,068,233 | 1,071,522 | 3,289 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 54,461 | 1,068,600 | 1,071,522 | 2,922 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 54,461 | 1,067,265 | 1,071,522 | 4,257 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 722 | 14,135 | 14,205 | 70 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 707 | 13,854 | 13,910 | 56 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 670 | 13,163 | 13,182 | 19 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 306 | 6,004 | 6,021 | 17 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 11 | 216 | 216 | — | — | |||||||||||||||||||
|
Polish Zloty, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 4,390 | 1,133,132 | 1,157,214 | 24,082 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 4,390 | 1,124,813 | 1,157,214 | 32,401 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 4,390 | 1,120,672 | 1,157,214 | 36,542 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 4,390 | 1,136,888 | 1,157,214 | 20,326 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 4,390 | 1,138,323 | 1,157,214 | 18,891 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 4,390 | 1,123,209 | 1,157,214 | 34,005 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 895 | 232,589 | 235,986 | 3,397 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 886 | 229,931 | 233,566 | 3,635 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 881 | 228,573 | 232,355 | 3,782 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 872 | 226,314 | 229,935 | 3,621 | — | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A9
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019 (continued):
|
Purchase Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts (continued): |
|
|||||||||||||||||||||||||
|
Polish Zloty (continued), |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 855 | $ | 221,562 | $ | 225,373 | $ | 3,811 | $ | — | |||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 785 | 202,889 | 206,941 | 4,052 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 757 | 195,375 | 199,680 | 4,305 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 753 | 194,545 | 198,470 | 3,925 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 717 | 185,496 | 189,068 | 3,572 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 693 | 179,126 | 182,738 | 3,612 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 684 | 176,987 | 180,318 | 3,331 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 241 | 62,718 | 63,535 | 817 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 25 | 6,559 | 6,591 | 32 | — | |||||||||||||||||||
|
Russian Ruble, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 152,630 | 2,349,170 | 2,436,126 | 86,956 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 152,630 | 2,354,655 | 2,436,126 | 81,471 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 152,630 | 2,350,363 | 2,436,126 | 85,763 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 152,630 | 2,360,236 | 2,436,126 | 75,890 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 65,000 | 1,003,042 | 1,037,465 | 34,423 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 8,509 | 135,380 | 135,812 | 432 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 4,994 | 77,202 | 79,710 | 2,508 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 493 | 7,871 | 7,869 | — | (2 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 16 | 246 | 255 | 9 | — | |||||||||||||||||||
|
Saudi Arabian Riyal, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SAR | 7,800 | 2,079,381 | 2,079,723 | 342 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SAR | 7,800 | 2,079,256 | 2,079,723 | 467 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SAR | 1,400 | 373,308 | 373,284 | — | (24 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SAR | 1,300 | 346,664 | 346,620 | — | (44 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SAR | 400 | 106,649 | 106,652 | 3 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SAR | 200 | 53,332 | 53,326 | — | (6 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SAR | 100 | 26,658 | 26,663 | 5 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SAR | 100 | 26,658 | 26,663 | 5 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SAR | 100 | 26,663 | 26,663 | — | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SAR | 100 | 26,666 | 26,663 | — | (3 | ) | ||||||||||||||||||
|
Singapore Dollar, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SGD | 1,960 | 1,437,904 | 1,458,412 | 20,508 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SGD | 1,550 | 1,138,775 | 1,153,336 | 14,561 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SGD | 740 | 544,734 | 550,625 | 5,891 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SGD | 710 | 522,484 | 528,302 | 5,818 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SGD | 10 | 7,360 | 7,441 | 81 | — | |||||||||||||||||||
|
South African Rand, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 56,600 | 3,988,599 | 3,999,906 | 11,307 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 23,700 | 1,580,617 | 1,674,872 | 94,255 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 21,200 | 1,407,474 | 1,498,198 | 90,724 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 15,000 | 1,004,489 | 1,060,046 | 55,557 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 13,259 | 885,659 | 937,027 | 51,368 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 13,259 | 880,893 | 937,027 | 56,134 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 13,259 | 892,179 | 937,027 | 44,848 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 13,259 | 887,549 | 937,027 | 49,478 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 13,259 | 896,795 | 937,027 | 40,232 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 13,259 | 889,498 | 937,027 | 47,529 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 7,600 | 536,049 | 537,090 | 1,041 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 4,470 | 299,252 | 315,864 | 16,612 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 4,447 | 297,502 | 314,236 | 16,734 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 4,343 | 290,509 | 306,928 | 16,419 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 3,619 | 244,574 | 255,773 | 11,199 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 3,412 | 229,201 | 241,158 | 11,957 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 3,309 | 222,622 | 233,850 | 11,228 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 2,918 | 196,708 | 206,247 | 9,539 | — | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A10
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019 (continued):
|
Purchase Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts (continued): |
|
|||||||||||||||||||||||||
|
South African Rand (continued), |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 2,209 | $ | 149,337 | $ | 156,109 | $ | 6,772 | $ | — | |||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 1,150 | 79,904 | 81,270 | 1,366 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 68 | 4,798 | 4,806 | 8 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 19 | 1,338 | 1,343 | 5 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 1 | 71 | 71 | — | — | |||||||||||||||||||
|
South Korean Won, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 810,392 | 689,170 | 702,604 | 13,434 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 569,247 | 479,146 | 493,533 | 14,387 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 240,000 | 205,709 | 208,078 | 2,369 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 90,000 | 77,887 | 78,029 | 142 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 50,000 | 42,575 | 43,350 | 775 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 50,000 | 43,104 | 43,350 | 246 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 20,000 | 16,794 | 17,340 | 546 | — | |||||||||||||||||||
|
Thai Baht, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
THB | 15,098 | 500,509 | 504,973 | 4,464 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
THB | 8,722 | 289,051 | 291,719 | 2,668 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
THB | 3,000 | 99,211 | 100,339 | 1,128 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
THB | 1,000 | 33,117 | 33,446 | 329 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
THB | 1,000 | 33,117 | 33,446 | 329 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
THB | 1,000 | 33,179 | 33,446 | 267 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
THB | 78 | 2,588 | 2,609 | 21 | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 155,720,564 | $ | 158,793,566 | 3,093,896 | (20,894 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
|
Sale Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts: |
|
|||||||||||||||||||||||||
|
Brazilian Real, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 14,300 | $ | 3,516,178 | $ | 3,543,351 | $ | — | $ | (27,173 | ) | ||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 9,900 | 2,346,094 | 2,453,089 | — | (106,995 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 6,100 | 1,445,532 | 1,511,500 | — | (65,968 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 4,119 | 980,056 | 1,020,634 | — | (40,578 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 3,966 | 942,403 | 982,667 | — | (40,264 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 3,966 | 937,452 | 982,667 | — | (45,215 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 3,966 | 926,115 | 982,667 | — | (56,552 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 3,966 | 925,984 | 982,667 | — | (56,683 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 3,966 | 933,601 | 982,667 | — | (49,066 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 3,847 | 908,184 | 953,187 | — | (45,003 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 3,399 | 802,226 | 842,286 | — | (40,060 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 452 | 105,850 | 112,000 | — | (6,150 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 149 | 37,134 | 36,920 | 214 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 119 | 28,111 | 29,480 | — | (1,369 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 41 | 10,082 | 10,159 | — | (77 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 26 | 6,448 | 6,442 | 6 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
BRL | 12 | 2,946 | 2,973 | — | (27 | ) | ||||||||||||||||||
|
Chilean Peso, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 1,307,918 | 1,652,464 | 1,740,932 | — | (88,468 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 1,307,918 | 1,663,917 | 1,740,932 | — | (77,015 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 1,307,918 | 1,657,138 | 1,740,932 | — | (83,794 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 1,307,918 | 1,632,722 | 1,740,932 | — | (108,210 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 1,307,918 | 1,634,269 | 1,740,932 | — | (106,663 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 1,307,918 | 1,643,257 | 1,740,932 | — | (97,675 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 1,307,918 | 1,683,241 | 1,740,932 | — | (57,691 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 1,307,918 | 1,631,499 | 1,740,932 | — | (109,433 | ) | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A11
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019 (continued):
|
Sale Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts (continued): |
|
|||||||||||||||||||||||||
|
Chilean Peso (continued), |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 1,307,918 | $ | 1,699,445 | $ | 1,740,932 | $ | — | $ | (41,487 | ) | ||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 1,255,602 | 1,602,353 | 1,671,294 | — | (68,941 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 830,000 | 1,054,010 | 1,104,789 | — | (50,779 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 730,000 | 980,427 | 971,681 | 8,746 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 440,000 | 554,856 | 585,671 | — | (30,815 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 370,000 | 468,768 | 492,496 | — | (23,728 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 330,000 | 413,368 | 439,253 | — | (25,885 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 290,000 | 388,246 | 386,010 | 2,236 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 220,000 | 285,896 | 292,836 | — | (6,940 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 200,000 | 250,688 | 266,214 | — | (15,526 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 190,000 | 248,918 | 252,903 | — | (3,985 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 150,000 | 192,913 | 199,661 | — | (6,748 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 150,000 | 199,362 | 199,661 | — | (299 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 120,000 | 154,454 | 159,728 | — | (5,274 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 110,000 | 146,510 | 146,418 | 92 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 52,317 | 66,774 | 69,637 | — | (2,863 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 6,016 | 7,612 | 8,008 | — | (396 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 3,353 | 4,466 | 4,463 | 3 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 908 | 1,147 | 1,209 | — | (62 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CLP | 420 | 560 | 559 | 1 | — | |||||||||||||||||||
|
Chinese Renminbi, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 23,038 | 3,264,919 | 3,303,587 | — | (38,668 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 7,006 | 998,254 | 1,004,641 | — | (6,387 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 6,038 | 856,626 | 865,887 | — | (9,261 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 6,038 | 856,504 | 865,887 | — | (9,383 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 6,038 | 856,601 | 865,887 | — | (9,286 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 6,038 | 854,734 | 865,887 | — | (11,153 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 6,038 | 855,013 | 865,887 | — | (10,874 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 6,038 | 851,384 | 865,887 | — | (14,503 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 6,038 | 854,819 | 865,887 | — | (11,068 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 6,038 | 856,504 | 865,887 | — | (9,383 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 3,086 | 437,854 | 442,524 | — | (4,670 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 2,497 | 356,356 | 358,063 | — | (1,707 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 1,526 | 218,196 | 218,824 | — | (628 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 1,500 | 212,598 | 215,096 | — | (2,498 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 1,400 | 198,448 | 200,756 | — | (2,308 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 1,152 | 164,789 | 165,194 | — | (405 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 1,000 | 141,603 | 143,397 | — | (1,794 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 1,000 | 140,922 | 143,397 | — | (2,475 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 800 | 114,565 | 114,718 | — | (153 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 800 | 113,911 | 114,718 | — | (807 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 700 | 99,711 | 100,378 | — | (667 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 600 | 85,020 | 86,038 | — | (1,018 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 500 | 70,896 | 71,699 | — | (803 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 500 | 71,244 | 71,699 | — | (455 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 500 | 71,268 | 71,699 | — | (431 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 400 | 56,635 | 57,359 | — | (724 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 300 | 42,511 | 43,019 | — | (508 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 200 | 28,524 | 28,679 | — | (155 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 100 | 14,188 | 14,340 | — | (152 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 100 | 14,189 | 14,340 | — | (151 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CNH | 100 | 14,169 | 14,340 | — | (171 | ) | ||||||||||||||||||
|
Colombian Peso, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 28,911 | 8,365 | 8,762 | — | (397 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 28,911 | 8,342 | 8,762 | — | (420 | ) | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A12
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019 (continued):
|
Sale Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts (continued): |
|
|||||||||||||||||||||||||
|
Colombian Peso (continued), |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 28,911 | $ | 8,183 | $ | 8,762 | $ | — | $ | (579 | ) | ||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 27,176 | 7,795 | 8,236 | — | (441 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 18,471 | 5,299 | 5,598 | — | (299 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
COP | 1,735 | 499 | 526 | — | (27 | ) | ||||||||||||||||||
|
Czech Koruna, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CZK | 45,230 | 1,962,072 | 1,995,529 | — | (33,457 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CZK | 45,230 | 1,961,137 | 1,995,529 | — | (34,392 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
CZK | 53 | 2,293 | 2,338 | — | (45 | ) | ||||||||||||||||||
|
Euro, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 10 | 11,167 | 11,272 | — | (105 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 10 | 11,157 | 11,272 | — | (115 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 10 | 11,161 | 11,272 | — | (111 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 10 | 11,181 | 11,272 | — | (91 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 10 | 11,091 | 11,272 | — | (181 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 10 | 11,138 | 11,272 | — | (134 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 10 | 11,212 | 11,272 | — | (60 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
EUR | 10 | 11,186 | 11,272 | — | (86 | ) | ||||||||||||||||||
|
Hungarian Forint, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
HUF | 23,447 | 77,949 | 79,775 | — | (1,826 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
HUF | 23,447 | 77,258 | 79,775 | — | (2,517 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
HUF | 23,447 | 78,056 | 79,775 | — | (1,719 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
HUF | 4,949 | 16,593 | 16,839 | — | (246 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
HUF | 4,658 | 15,631 | 15,849 | — | (218 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
HUF | 4,658 | 15,607 | 15,849 | — | (242 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
HUF | 3,202 | 10,762 | 10,896 | — | (134 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
HUF | 3,067 | 10,312 | 10,437 | — | (125 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
HUF | 2,911 | 9,769 | 9,905 | — | (136 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
HUF | 1,567 | 5,165 | 5,331 | — | (166 | ) | ||||||||||||||||||
|
Indian Rupee, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 59,000 | 821,586 | 821,688 | — | (102 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 42,356 | 583,342 | 589,889 | — | (6,547 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 8,310 | 114,679 | 115,733 | — | (1,054 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 4,277 | 58,704 | 59,564 | — | (860 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 4,277 | 58,888 | 59,564 | — | (676 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 4,277 | 58,936 | 59,564 | — | (628 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 4,277 | 59,019 | 59,564 | — | (545 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 4,277 | 59,236 | 59,564 | — | (328 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 4,277 | 58,780 | 59,564 | — | (784 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 4,277 | 59,109 | 59,564 | — | (455 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 4,277 | 59,026 | 59,564 | — | (538 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 4,277 | 59,251 | 59,564 | — | (313 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 4,277 | 59,433 | 59,564 | — | (131 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 4,277 | 59,031 | 59,564 | — | (533 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 4,277 | 59,613 | 59,564 | 49 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 3,623 | 50,423 | 50,457 | — | (34 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 2,450 | 34,117 | 34,121 | — | (4 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
INR | 66 | 918 | 919 | — | (1 | ) | ||||||||||||||||||
|
Indonesian Rupiah, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 1,306,757 | 91,416 | 93,859 | — | (2,443 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 326,550 | 22,903 | 23,455 | — | (552 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 295,754 | 20,697 | 21,243 | — | (546 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 295,754 | 20,718 | 21,243 | — | (525 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 295,754 | 20,730 | 21,243 | — | (513 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 295,754 | 20,740 | 21,243 | — | (503 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 295,754 | 20,681 | 21,243 | — | (562 | ) | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A13
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019 (continued):
|
Sale Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts (continued): |
|
|||||||||||||||||||||||||
|
Indonesian Rupiah (continued), |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 295,754 | $ | 20,709 | $ | 21,243 | $ | — | $ | (534 | ) | ||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 295,754 | 20,700 | 21,243 | — | (543 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 295,754 | 20,687 | 21,243 | — | (556 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
IDR | 161,691 | 11,553 | 11,614 | — | (61 | ) | ||||||||||||||||||
|
Israeli Shekel, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ILS | 5,043 | 1,461,508 | 1,466,393 | — | (4,885 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ILS | 5,043 | 1,465,984 | 1,466,393 | — | (409 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ILS | 5,043 | 1,461,991 | 1,466,393 | — | (4,402 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ILS | 5,043 | 1,464,034 | 1,466,393 | — | (2,359 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ILS | 5,043 | 1,468,288 | 1,466,393 | 1,895 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ILS | 5,043 | 1,457,160 | 1,466,393 | — | (9,233 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ILS | 5,043 | 1,458,691 | 1,466,393 | — | (7,702 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ILS | 5,043 | 1,460,195 | 1,466,393 | — | (6,198 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ILS | 2,003 | 579,207 | 582,369 | — | (3,162 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ILS | 1,997 | 577,820 | 580,858 | — | (3,038 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ILS | 1,511 | 434,445 | 439,322 | — | (4,877 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ILS | 1,511 | 434,295 | 439,322 | — | (5,027 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ILS | 1,500 | 431,376 | 436,210 | — | (4,834 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ILS | 1,479 | 425,396 | 429,986 | — | (4,590 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ILS | 1,000 | 290,306 | 290,806 | — | (500 | ) | ||||||||||||||||||
|
Mexican Peso, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 67,400 | 3,402,163 | 3,523,757 | — | (121,594 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 61,200 | 3,107,277 | 3,199,614 | — | (92,337 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 6,055 | 306,981 | 316,563 | — | (9,582 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 5,400 | 273,778 | 282,319 | — | (8,541 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 599 | 30,303 | 31,316 | — | (1,013 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 330 | 16,721 | 17,244 | — | (523 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 330 | 16,658 | 17,244 | — | (586 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 330 | 16,744 | 17,244 | — | (500 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 330 | 16,732 | 17,244 | — | (512 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 330 | 16,679 | 17,244 | — | (565 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 330 | 16,604 | 17,244 | — | (640 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 330 | 16,633 | 17,244 | — | (611 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 330 | 16,581 | 17,244 | — | (663 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 330 | 16,683 | 17,244 | — | (561 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 330 | 16,769 | 17,244 | — | (475 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 330 | 16,838 | 17,244 | — | (406 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 330 | 16,618 | 17,244 | — | (626 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 286 | 15,001 | 14,952 | 49 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 27 | 1,364 | 1,412 | — | (48 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
MXN | 12 | 628 | 627 | 1 | — | |||||||||||||||||||
|
New Taiwanese Dollar, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 12,823 | 423,546 | 431,243 | — | (7,697 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 5,703 | 188,512 | 191,794 | — | (3,282 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 4,109 | 137,392 | 138,187 | — | (795 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 3,920 | 129,573 | 131,831 | — | (2,258 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 3,687 | 122,337 | 124,008 | — | (1,671 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 3,687 | 122,310 | 124,008 | — | (1,698 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 3,687 | 121,947 | 124,008 | — | (2,061 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 3,687 | 121,937 | 124,008 | — | (2,071 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 3,687 | 121,767 | 124,008 | — | (2,241 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 3,687 | 121,719 | 124,008 | — | (2,289 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 3,687 | 121,878 | 124,008 | — | (2,130 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 3,210 | 105,972 | 107,958 | — | (1,986 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 2,248 | 75,436 | 75,601 | — | (165 | ) | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A14
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019 (continued):
|
Sale Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts (continued): |
|
|||||||||||||||||||||||||
|
New Taiwanese Dollar (continued), |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 477 | $ | 15,754 | $ | 16,050 | $ | — | $ | (296 | ) | ||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
TWD | 158 | 5,310 | 5,314 | — | (4 | ) | ||||||||||||||||||
|
Peruvian Nuevo Sol, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PEN | 862 | 253,208 | 259,485 | — | (6,277 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PEN | 100 | 29,263 | 30,103 | — | (840 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PEN | 100 | 29,857 | 30,103 | — | (246 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PEN | 21 | 6,182 | 6,322 | — | (140 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PEN | 1 | 300 | 301 | — | (1 | ) | ||||||||||||||||||
|
Philippine Peso, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 254,000 | 4,991,727 | 4,997,458 | — | (5,731 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 45,000 | 886,178 | 885,376 | 802 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 44,000 | 861,362 | 865,701 | — | (4,339 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 43,000 | 842,473 | 846,026 | — | (3,553 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 38,000 | 741,171 | 747,651 | — | (6,480 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 38,000 | 745,289 | 747,651 | — | (2,362 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 38,000 | 744,682 | 747,651 | — | (2,969 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 36,000 | 706,368 | 708,301 | — | (1,933 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 34,000 | 662,701 | 668,951 | — | (6,250 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 28,000 | 548,964 | 550,901 | — | (1,937 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 17,000 | 334,605 | 334,476 | 129 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 12,000 | 236,154 | 236,100 | 54 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 4,000 | 78,709 | 78,700 | 9 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 607 | 11,905 | 11,943 | — | (38 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 379 | 7,432 | 7,454 | — | (22 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 379 | 7,408 | 7,454 | — | (46 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 379 | 7,430 | 7,454 | — | (24 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 379 | 7,424 | 7,454 | — | (30 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 379 | 7,432 | 7,454 | — | (22 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 379 | 7,420 | 7,454 | — | (34 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 379 | 7,405 | 7,454 | — | (49 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 379 | 7,394 | 7,454 | — | (60 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 379 | 7,421 | 7,454 | — | (33 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 379 | 7,435 | 7,454 | — | (19 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 379 | 7,426 | 7,454 | — | (28 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 379 | 7,423 | 7,454 | — | (31 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 249 | 4,894 | 4,899 | — | (5 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 5 | 98 | 98 | — | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PHP | 2 | 39 | 39 | — | — | |||||||||||||||||||
|
Polish Zloty, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 567 | 145,745 | 149,480 | — | (3,735 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 43 | 11,016 | 11,336 | — | (320 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 40 | 10,260 | 10,479 | — | (219 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 40 | 10,197 | 10,479 | — | (282 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 40 | 10,154 | 10,479 | — | (325 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 40 | 10,275 | 10,479 | — | (204 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 40 | 10,291 | 10,479 | — | (188 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 40 | 10,300 | 10,479 | — | (179 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 40 | 10,340 | 10,479 | — | (139 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 40 | 10,165 | 10,479 | — | (314 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 18 | 4,740 | 4,745 | — | (5 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 8 | 2,049 | 2,109 | — | (60 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
PLN | 2 | 520 | 527 | — | (7 | ) | ||||||||||||||||||
|
Russian Ruble, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 5,351 | 82,334 | 85,407 | — | (3,073 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 5,351 | 82,472 | 85,407 | — | (2,935 | ) | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A15
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019 (continued):
|
Sale Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts (continued): |
|
|||||||||||||||||||||||||
|
Russian Ruble (continued), |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 5,351 | $ | 82,502 | $ | 85,407 | $ | — | $ | (2,905 | ) | ||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 5,351 | 82,836 | 85,407 | — | (2,571 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 3,540 | 54,529 | 56,502 | — | (1,973 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 1,359 | 21,722 | 21,691 | 31 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 328 | 5,249 | 5,235 | 14 | — | |||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
RUB | 12 | 191 | 192 | — | (1 | ) | ||||||||||||||||||
|
Saudi Arabian Riyal, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SAR | 200 | 53,318 | 53,326 | — | (8 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SAR | 200 | 53,322 | 53,326 | — | (4 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SAR | 100 | 26,659 | 26,663 | — | (4 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SAR | 100 | 26,661 | 26,663 | — | (2 | ) | ||||||||||||||||||
|
Singapore Dollar, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SGD | 1,938 | 1,424,732 | 1,441,670 | — | (16,938 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SGD | 1,938 | 1,423,131 | 1,441,670 | — | (18,539 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SGD | 1,938 | 1,425,938 | 1,441,671 | — | (15,733 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
SGD | 1,937 | 1,422,231 | 1,441,669 | — | (19,438 | ) | ||||||||||||||||||
|
South African Rand, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 16,400 | 1,122,523 | 1,158,983 | — | (36,460 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 6,300 | 431,606 | 445,219 | — | (13,613 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 900 | 60,647 | 63,603 | — | (2,956 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 890 | 59,228 | 62,896 | — | (3,668 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 736 | 49,112 | 52,013 | — | (2,901 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 736 | 48,896 | 52,013 | — | (3,117 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 736 | 49,630 | 52,013 | — | (2,383 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 736 | 49,280 | 52,013 | — | (2,733 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 736 | 49,241 | 52,013 | — | (2,772 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 736 | 49,720 | 52,013 | — | (2,293 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 736 | 49,638 | 52,013 | — | (2,375 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 736 | 49,388 | 52,013 | — | (2,625 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 570 | 38,177 | 40,282 | — | (2,105 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 500 | 33,276 | 35,335 | — | (2,059 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 411 | 28,982 | 29,045 | — | (63 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 17 | 1,129 | 1,201 | — | (72 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 16 | 1,067 | 1,131 | — | (64 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 8 | 557 | 565 | — | (8 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
ZAR | 3 | 201 | 212 | — | (11 | ) | ||||||||||||||||||
|
South Korean Won, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 4,070,000 | 3,513,818 | 3,528,662 | — | (14,844 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 3,540,145 | 3,038,935 | 3,069,281 | — | (30,346 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 3,540,145 | 3,033,635 | 3,069,281 | — | (35,646 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 3,540,145 | 3,014,837 | 3,069,281 | — | (54,444 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 3,540,145 | 3,020,406 | 3,069,281 | — | (48,875 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 3,540,145 | 3,023,575 | 3,069,281 | — | (45,706 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 3,540,145 | 3,018,650 | 3,069,281 | — | (50,631 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 3,540,145 | 2,988,978 | 3,069,281 | — | (80,303 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 3,540,145 | 2,980,266 | 3,069,281 | — | (89,015 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 3,540,145 | 2,984,161 | 3,069,282 | — | (85,121 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 3,540,145 | 3,009,550 | 3,069,282 | — | (59,732 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 3,540,145 | 2,982,295 | 3,069,282 | — | (86,987 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 3,512,523 | 2,951,510 | 3,045,333 | — | (93,823 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 2,948,418 | 2,547,858 | 2,556,258 | — | (8,400 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 1,080,000 | 922,916 | 936,353 | — | (13,437 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 480,000 | 403,796 | 416,157 | — | (12,361 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 420,000 | 361,413 | 364,137 | — | (2,724 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 360,000 | 306,123 | 312,118 | — | (5,995 | ) | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A16
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019 (continued):
|
Sale Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts (continued): |
|
|||||||||||||||||||||||||
|
South Korean Won (continued), |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 300,000 | $ | 252,769 | $ | 260,098 | $ | — | $ | (7,329 | ) | ||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 210,000 | 180,723 | 182,069 | — | (1,346 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 200,000 | 168,326 | 173,399 | — | (5,073 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 200,000 | 168,194 | 173,399 | — | (5,205 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 180,000 | 153,780 | 156,059 | — | (2,279 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 178,279 | 152,064 | 154,567 | — | (2,503 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 170,000 | 143,315 | 147,389 | — | (4,074 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 82,883 | 71,704 | 71,859 | — | (155 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 40,000 | 34,543 | 34,680 | — | (137 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 27,623 | 23,181 | 23,949 | — | (768 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
KRW | 8,262 | 7,133 | 7,163 | — | (30 | ) | ||||||||||||||||||
|
Thai Baht, |
||||||||||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
THB | 50,810 | 1,684,877 | 1,699,409 | — | (14,532 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
THB | 2,000 | 66,245 | 66,893 | — | (648 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
THB | 1,134 | 37,540 | 37,928 | — | (388 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
THB | 1,000 | 33,129 | 33,446 | — | (317 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
THB | 1,000 | 33,022 | 33,446 | — | (424 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
THB | 1,000 | 33,102 | 33,446 | — | (344 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
THB | 1,000 | 33,137 | 33,446 | — | (309 | ) | ||||||||||||||||||
|
Expiring 03/18/20 |
Citibank, N.A. |
THB | 376 | 12,584 | 12,576 | 8 | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 150,549,923 | $ | 153,792,999 | 14,339 | (3,257,415 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 3,108,235 | $ | (3,278,309 | ) | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||
|
Goldman Sachs & Co. LLC |
$ | 475,800 | $ | — | ||||
|
|
|
|
|
|||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Brazil |
$ | 4,089,997 | $ | — | $ | — | ||||||
|
Chile |
2,089,058 | — | — | |||||||||
|
China |
16,475,069 | 50,799,409 | — | |||||||||
|
Hong Kong |
— | 1,928,329 | — | |||||||||
|
Hungary |
— | 769,925 | — | |||||||||
|
India |
53,355 | 53,720 | — | |||||||||
|
Indonesia |
— | 4,025,544 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A17
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Malaysia |
$ | — | $ | 12,968,473 | $ | — | ||||||
|
Mexico |
1,508,521 | — | — | |||||||||
|
Peru |
864,170 | — | — | |||||||||
|
Philippines |
— | 878,816 | — | |||||||||
|
Poland |
— | 301,918 | — | |||||||||
|
Qatar |
— | 895,154 | — | |||||||||
|
Romania |
— | 147,209 | — | |||||||||
|
Russia |
522,725 | 4,741,573 | — | |||||||||
|
South Africa |
— | 1,013,588 | — | |||||||||
|
South Korea |
— | 36,719,375 | — | |||||||||
|
Taiwan |
6,561,117 | 16,993,223 | — | |||||||||
|
Thailand |
— | 5,535,628 | — | |||||||||
|
Turkey |
— | 5,910,765 | — | |||||||||
|
United Arab Emirates |
— | 952,739 | — | |||||||||
|
United States |
1,639,958 | — | — | |||||||||
|
Preferred Stock |
||||||||||||
|
Brazil |
410,337 | — | — | |||||||||
|
Affiliated Mutual Funds |
16,392,466 | — | — | |||||||||
|
Unaffiliated Fund |
70,001 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 50,676,774 | $ | 144,635,388 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 181,177 | $ | — | $ | — | ||||||
|
OTC Forward Foreign Currency Exchange Contracts |
— | 3,108,235 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 181,177 | $ | 3,108,235 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts |
$ | — | $ | (3,278,309 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Banks |
14.2 | % | ||
|
Affiliated Mutual Funds (0.8% represents investments purchased with collateral from securities on loan) |
8.5 | |||
|
Semiconductors & Semiconductor Equipment |
8.4 | |||
|
Interactive Media & Services |
7.3 | |||
|
Technology Hardware, Storage & Peripherals |
6.8 | |||
|
Internet & Direct Marketing Retail |
6.3 | |||
|
Wireless Telecommunication Services |
3.9 | |||
|
Oil, Gas & Consumable Fuels |
3.2 | |||
|
Electronic Equipment, Instruments & Components |
2.9 | |||
|
Food Products |
2.6 | |||
|
Insurance |
2.6 | |||
|
Real Estate Management & Development |
2.5 | |||
|
Pharmaceuticals |
2.3 | |||
|
Household Durables |
1.9 | |||
|
Metals & Mining |
1.6 | |||
|
Transportation Infrastructure |
1.6 | |||
|
Hotels, Restaurants & Leisure |
1.6 |
|
Industrial Conglomerates |
1.4 | % | ||
|
Independent Power & Renewable Electricity Producers |
1.3 | |||
|
Machinery |
1.3 | |||
|
Food & Staples Retailing |
1.2 | |||
|
Health Care Providers & Services |
1.1 | |||
|
Construction & Engineering |
1.1 | |||
|
Construction Materials |
1.1 | |||
|
Capital Markets |
1.0 | |||
|
Chemicals |
0.9 | |||
|
Automobiles |
0.9 | |||
|
Gas Utilities |
0.9 | |||
|
Textiles, Apparel & Luxury Goods |
0.9 | |||
|
Health Care Equipment & Supplies |
0.8 | |||
|
Electric Utilities |
0.8 | |||
|
Entertainment |
0.8 | |||
|
Diversified Consumer Services |
0.8 | |||
|
Beverages |
0.7 | |||
|
Diversified Telecommunication Services |
0.7 |
SEE NOTES TO FINANCIAL STATEMENTS.
A18
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Industry Classification (continued):
|
Auto Components |
0.6 | % | ||
|
Tobacco |
0.5 | |||
|
Water Utilities |
0.5 | |||
|
Equity Real Estate Investment Trusts (REITs) |
0.5 | |||
|
Air Freight & Logistics |
0.5 | |||
|
Commercial Services & Supplies |
0.4 | |||
|
Multiline Retail |
0.4 | |||
|
Building Products |
0.3 | |||
|
Specialty Retail |
0.3 | |||
|
Diversified Financial Services |
0.3 | |||
|
Airlines |
0.2 | |||
|
IT Services |
0.2 | |||
|
Marine |
0.2 | |||
|
Aerospace & Defense |
0.2 |
|
Household Products |
0.1 | % | ||
|
Media |
0.1 | |||
|
Personal Products |
0.1 | |||
|
Electrical Equipment |
0.1 | |||
|
Unaffiliated Fund |
0.1 | |||
|
Biotechnology |
0.0 | * | ||
|
Trading Companies & Distributors |
0.0 | * | ||
|
|
|
|||
| 101.5 | ||||
|
Liabilities in excess of other assets |
(1.5 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are equity contracts risk and foreign exchange contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Derivatives not accounted for as hedging
|
Asset Derivatives | Liability Derivatives | ||||||||||
|
Statement of
Assets and Liabilities Location |
Fair Value |
Statement of
Assets and Liabilities Location |
Fair Value | |||||||||
|
Equity contracts |
Due from/to broker —
variation margin futures |
$ | 181,177 | * | — | $ | — | |||||
|
Foreign exchange contracts |
Unrealized
appreciation on OTC forward foreign currency exchange contracts |
3,108,235 |
Unrealized
depreciation on OTC forward foreign currency exchange contracts |
3,278,309 | ||||||||
|
|
|
|
|
|||||||||
| $ | 3,289,412 | $ | 3,278,309 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
|
Amount of Realized Gain (Loss) on Derivatives Recognized in Income |
||||||||||||
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Rights(1) | Futures |
Forward
Currency Exchange Contracts |
|||||||||
|
Equity contracts |
$ | 3,264 | $ | (808,315 | ) | $ | — | |||||
|
Foreign exchange contracts |
— | — | 8,355,179 | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 3,264 | $ | (808,315 | ) | $ | 8,355,179 | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A19
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||||||
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Rights(2) | Futures |
Forward
Currency Exchange Contracts |
|||||||||
|
Equity contracts |
$ | (2,122 | ) | $ | 275,275 | $ | — | |||||
|
Foreign exchange contracts |
— | — | (590,655 | ) | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (2,122 | ) | $ | 275,275 | $ | (590,655 | ) | ||||
|
|
|
|
|
|
|
|||||||
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Futures
|
Futures
|
Forward Foreign
|
||
| $10,504,323 | $150,285 | $139,894,290 |
|
Forward Foreign
|
||||
| $140,169,300 |
| (1) |
Notional Amount in USD. |
| (2) |
Value at Settlement Date. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 1,489,110 | $ | (1,489,110 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
Offsetting of OTC derivative assets and liabilities:
|
Counterparty |
Gross Amounts of
Recognized Assets(1) |
Gross Amounts of
Recognized Liabilities(1) |
Net Amounts of
Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||||||||
|
Citibank, N.A. |
$ | 3,108,235 | $ | (3,278,309 | ) | $ | (170,074 | ) | $ | 70,001 | $ | (100,073 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A20
| AST AQR EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
|
ASSETS |
||||
|
Investments at value, including securities on loan of $1,489,110: |
||||
|
Unaffiliated investments (cost $167,007,420) |
$ | 178,919,696 | ||
|
Affiliated investments (cost $16,392,389) |
16,392,466 | |||
|
Foreign currency, at value (cost $1,492,562) |
1,494,887 | |||
|
Unrealized appreciation on OTC forward foreign currency exchange contracts |
3,108,235 | |||
|
Receivable for investments sold |
2,989,755 | |||
|
Dividends and interest receivable |
590,671 | |||
|
Deposit with broker for centrally cleared/exchange-traded derivatives |
475,800 | |||
|
Tax reclaim receivable |
24,656 | |||
|
Receivable from affiliate |
2,106 | |||
|
Due from broker-variation margin futures |
1,484 | |||
|
Receivable for Portfolio shares sold |
74 | |||
|
Prepaid expenses |
1,506 | |||
|
|
|
|||
|
Total Assets |
204,001,336 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable for investments purchased |
6,550,665 | |||
|
Unrealized depreciation on OTC forward foreign currency exchange contracts |
3,278,309 | |||
|
Payable to broker for collateral for securities on loan |
1,549,053 | |||
|
Accrued expenses and other liabilities |
96,123 | |||
|
Management fee payable |
87,412 | |||
|
Payable to affiliate |
23,921 | |||
|
Distribution fee payable |
7,557 | |||
|
Payable for Portfolio shares repurchased |
413 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
11,593,810 | |||
|
|
|
|||
| NET ASSETS | $ | 192,407,526 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 192,407,526 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $192,407,526 / 15,726,599 outstanding shares of beneficial interest |
$ | 12.23 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
|
STATEMENTS OF CHANGES IN NET ASSETS
|
||||||||
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 2,453,518 | $ | 2,579,822 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
(2,623,144 | ) | 7,315,889 | |||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
24,663,634 | (54,348,842 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
24,494,008 | (44,453,131 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [9,148,698 and 1,918,587 shares, respectively] |
103,223,847 | 24,353,177 | ||||||
|
Portfolio shares repurchased [7,629,657 and 8,841,782 shares, respectively] |
(82,906,116 | ) | (103,555,595 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
20,317,731 | (79,202,418 | ) | |||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 18,772 | 261,017 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 44,830,511 | (123,394,532 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
147,577,015 | 270,971,547 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 192,407,526 | $ | 147,577,015 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A21
| AST COHEN & STEERS REALTY PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 98.4% | Value | |||||||
| COMMON STOCKS | Shares | |||||||
|
Casinos & Gaming — 1.3% |
||||||||
|
Boyd Gaming Corp.(a) |
115,844 | $ | 3,468,369 | |||||
|
Red Rock Resorts, Inc.
|
179,066 | 4,288,631 | ||||||
|
|
|
|||||||
| 7,757,000 | ||||||||
|
|
|
|||||||
|
Diversified REITs — 3.6% |
||||||||
|
Empire State Realty Trust, Inc. (Class A Stock) |
334,342 | 4,667,414 | ||||||
|
STORE Capital Corp. |
152,666 | 5,685,282 | ||||||
|
VEREIT, Inc. |
1,272,947 | 11,762,030 | ||||||
|
|
|
|||||||
| 22,114,726 | ||||||||
|
|
|
|||||||
|
Health Care REITs — 11.2% |
||||||||
|
Healthcare Trust of America, Inc. (Class A Stock)(a) |
346,647 | 10,496,471 | ||||||
|
Healthpeak Properties, Inc. |
187,914 | 6,477,396 | ||||||
|
Medical Properties Trust, Inc. |
585,697 | 12,364,064 | ||||||
|
Sabra Health Care REIT, Inc. |
411,111 | 8,773,109 | ||||||
|
Welltower, Inc. |
380,466 | 31,114,509 | ||||||
|
|
|
|||||||
| 69,225,549 | ||||||||
|
|
|
|||||||
|
Hotel & Resort REITs — 3.9% |
||||||||
|
Host Hotels & Resorts, Inc. |
495,597 | 9,193,324 | ||||||
|
Park Hotels & Resorts, Inc.(a) |
583,447 | 15,093,774 | ||||||
|
|
|
|||||||
| 24,287,098 | ||||||||
|
|
|
|||||||
|
Hotels, Resorts & Cruise Lines — 1.1% |
|
|||||||
|
Hilton Worldwide Holdings, Inc. |
59,894 | 6,642,844 | ||||||
|
|
|
|||||||
|
Industrial REITs — 6.8% |
||||||||
|
Duke Realty Corp. |
608,707 | 21,103,872 | ||||||
|
Prologis, Inc. |
235,832 | 21,022,064 | ||||||
|
|
|
|||||||
| 42,125,936 | ||||||||
|
|
|
|||||||
|
Office REITs — 4.7% |
||||||||
|
Boston Properties, Inc. |
8,743 | 1,205,310 | ||||||
|
Hudson Pacific Properties, Inc. |
439,293 | 16,539,382 | ||||||
|
Kilroy Realty Corp. |
132,787 | 11,140,829 | ||||||
|
|
|
|||||||
| 28,885,521 | ||||||||
|
|
|
|||||||
|
Real Estate Services — 1.6% |
||||||||
|
CBRE Group, Inc. (Class A Stock)* |
108,590 | 6,655,481 | ||||||
|
Jones Lang LaSalle, Inc. |
19,004 | 3,308,406 | ||||||
|
|
|
|||||||
| 9,963,887 | ||||||||
|
|
|
|||||||
|
Residential REITs — 16.9% |
||||||||
|
Apartment Investment & Management Co. (Class A Stock) |
117,066 | 6,046,459 | ||||||
|
AvalonBay Communities, Inc. |
82,698 | 17,341,771 | ||||||
|
Essex Property Trust, Inc. |
88,610 | 26,659,204 | ||||||
|
Invitation Homes, Inc. |
634,920 | 19,028,552 | ||||||
|
UDR, Inc. |
752,344 | 35,134,465 | ||||||
|
|
|
|||||||
| 104,210,451 | ||||||||
|
|
|
|||||||
|
Retail REITs — 10.8% |
||||||||
|
Agree Realty Corp.(a) |
40,873 | 2,868,058 | ||||||
|
Macerich Co. (The)(a) |
336,516 | 9,059,011 | ||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $59,498,108; cash collateral of $60,395,052 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
A22
| AST COHEN & STEERS REALTY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Casinos & Gaming |
$ | 7,757,000 | $ | — | $ | — | ||||||
|
Diversified REITs |
22,114,726 | — | — | |||||||||
|
Health Care REITs |
69,225,549 | — | — | |||||||||
|
Hotel & Resort REITs |
24,287,098 | — | — | |||||||||
|
Hotels, Resorts & Cruise Lines |
6,642,844 | — | — | |||||||||
|
Industrial REITs |
42,125,936 | — | — | |||||||||
|
Office REITs |
28,885,521 | — | — | |||||||||
|
Real Estate Services |
9,963,887 | — | — | |||||||||
|
Residential REITs |
104,210,451 | — | — | |||||||||
|
Retail REITs |
66,659,337 | — | — | |||||||||
|
Specialized REITs |
224,712,452 | — | — | |||||||||
|
Affiliated Mutual Funds |
69,748,685 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 676,333,486 | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Specialized REITs |
36.5 | % | ||
|
Residential REITs |
16.9 | |||
|
Affiliated Mutual Funds (9.8% represents investments purchased with collateral from securities on loan) |
11.3 | |||
|
Health Care REITs |
11.2 | |||
|
Retail REITs |
10.8 | |||
|
Industrial REITs |
6.8 | |||
|
Office REITs |
4.7 | |||
|
Hotel & Resort REITs |
3.9 |
|
Diversified REITs |
3.6 | % | ||
|
Real Estate Services |
1.6 | |||
|
Casinos & Gaming |
1.3 | |||
|
Hotels, Resorts & Cruise Lines |
1.1 | |||
|
|
|
|||
| 109.7 | ||||
|
Liabilities in excess of other assets |
(9.7 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 59,498,108 | $ | (59,498,108 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A23
| AST COHEN & STEERS REALTY PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
|
ASSETS |
||||
|
Investments at value, including securities on loan of $59,498,108: |
||||
|
Unaffiliated investments (cost $550,920,676) |
$ | 606,584,801 | ||
|
Affiliated investments (cost $69,745,611) |
69,748,685 | |||
|
Dividends receivable |
2,336,716 | |||
|
Receivable for investments sold |
1,825,476 | |||
|
Receivable for Portfolio shares sold |
137,305 | |||
|
Prepaid expenses and other assets |
11,180 | |||
|
|
|
|||
|
Total Assets |
680,644,163 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
60,395,052 | |||
|
Payable for investments purchased |
3,431,511 | |||
|
Management fee payable |
192,415 | |||
|
Accrued expenses and other liabilities |
145,678 | |||
|
Payable for Portfolio shares repurchased |
38,020 | |||
|
Distribution fee payable |
25,017 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
64,228,050 | |||
|
|
|
|||
| NET ASSETS | $ | 616,416,113 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 616,416,113 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $616,416,113 / 42,629,413 outstanding shares of beneficial interest |
$ | 14.46 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 8,677,307 | $ | 11,293,155 | ||||
|
Net realized gain (loss) on investment transactions |
90,213,337 | 13,318,109 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments |
58,531,347 | (52,847,142 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
157,421,991 | (28,235,878 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [3,193,472 and 2,729,410 shares, respectively] |
41,126,165 | 30,113,434 | ||||||
|
Portfolio shares repurchased [6,455,809 and 13,532,988 shares, respectively] |
(87,900,325 | ) | (151,914,118 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(46,774,160 | ) | (121,800,684 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 217 | — | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 110,648,048 | (150,036,562 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
505,768,065 | 655,804,627 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 616,416,113 | $ | 505,768,065 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A24
| AST GOLDMAN SACHS SMALL-CAP VALUE PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 98.3% | ||||||||
| COMMON STOCKS — 96.8% | Shares | Value | ||||||
|
Aerospace & Defense — 1.1% |
||||||||
|
Aerojet Rocketdyne Holdings, Inc.*(a) |
67,859 | $ | 3,098,442 | |||||
|
Curtiss-Wright Corp. |
6,648 | 936,637 | ||||||
|
Ducommun, Inc.* |
39,694 | 2,005,738 | ||||||
|
Triumph Group, Inc.(a) |
171,289 | 4,328,473 | ||||||
|
|
|
|||||||
| 10,369,290 | ||||||||
|
|
|
|||||||
|
Air Freight & Logistics — 0.4% |
||||||||
|
Air Transport Services Group, Inc.* |
116,906 | 2,742,615 | ||||||
|
Atlas Air Worldwide Holdings, Inc.* |
28,222 | 778,080 | ||||||
|
|
|
|||||||
| 3,520,695 | ||||||||
|
|
|
|||||||
|
Airlines — 1.0% |
||||||||
|
SkyWest, Inc. |
152,789 | 9,874,753 | ||||||
|
|
|
|||||||
|
Auto Components — 1.3% |
||||||||
|
Adient PLC* |
40,310 | 856,588 | ||||||
|
American Axle & Manufacturing Holdings, Inc.* |
104,699 | 1,126,561 | ||||||
|
Dana, Inc. |
302,642 | 5,508,085 | ||||||
|
Dorman Products, Inc.*(a) |
25,632 | 1,940,855 | ||||||
|
Tenneco, Inc. (Class A Stock) |
116,104 | 1,520,962 | ||||||
|
Visteon Corp.* |
19,541 | 1,692,055 | ||||||
|
|
|
|||||||
| 12,645,106 | ||||||||
|
|
|
|||||||
|
Banks — 18.3% |
||||||||
|
Amalgamated Bank (Class A Stock) |
58,434 | 1,136,541 | ||||||
|
Ameris Bancorp |
128,173 | 5,452,479 | ||||||
|
Atlantic Union Bankshares Corp. |
199,062 | 7,474,778 | ||||||
|
BancorpSouth Bank |
204,412 | 6,420,581 | ||||||
|
Bank of Hawaii Corp.(a) |
26,751 | 2,545,625 | ||||||
|
Banner Corp. |
134,092 | 7,588,266 | ||||||
|
Brookline Bancorp, Inc. |
217,005 | 3,571,902 | ||||||
|
Bryn Mawr Bank Corp. |
57,267 | 2,361,691 | ||||||
|
CenterState Bank Corp. |
339,014 | 8,468,570 | ||||||
|
Columbia Banking System, Inc. |
203,244 | 8,268,982 | ||||||
|
Community Bank System, Inc. |
108,333 | 7,685,143 | ||||||
|
ConnectOne Bancorp, Inc. |
143,923 | 3,701,700 | ||||||
|
CVB Financial Corp. |
345,086 | 7,446,956 | ||||||
|
FB Financial Corp. |
106,803 | 4,228,331 | ||||||
|
First Financial Bankshares, Inc.(a) |
155,397 | 5,454,435 | ||||||
|
First Merchants Corp. |
184,119 | 7,657,509 | ||||||
|
First Midwest Bancorp, Inc. |
194,915 | 4,494,740 | ||||||
|
First of Long Island Corp. (The) |
34,532 | 866,063 | ||||||
|
Flushing Financial Corp. |
48,558 | 1,049,096 | ||||||
|
German American Bancorp, Inc. |
55,027 | 1,960,062 | ||||||
|
Glacier Bancorp, Inc.(a) |
202,881 | 9,330,497 | ||||||
|
Great Western Bancorp, Inc. |
167,259 | 5,810,578 | ||||||
|
Heritage Financial Corp.(a) |
109,877 | 3,109,519 | ||||||
|
Home BancShares, Inc. |
169,657 | 3,335,457 | ||||||
|
Independent Bank Corp. |
94,160 | 7,838,820 | ||||||
|
Independent Bank Group, Inc. |
20,707 | 1,147,996 | ||||||
|
Lakeland Financial Corp. |
107,608 | 5,265,259 | ||||||
|
Pacific Premier Bancorp, Inc. |
107,870 | 3,517,101 | ||||||
|
Pinnacle Financial Partners, Inc. |
64,192 | 4,108,288 | ||||||
|
Prosperity Bancshares, Inc.(a) |
26,935 | 1,936,357 | ||||||
|
Renasant Corp. |
197,726 | 7,003,455 | ||||||
|
Sandy Spring Bancorp, Inc. |
62,192 | 2,355,833 | ||||||
|
South State Corp.(a) |
64,751 | 5,617,149 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Banks (continued) |
||||||||
|
TCF Financial Corp. |
33,542 | $ | 1,569,766 | |||||
|
Towne Bank |
104,223 | 2,899,484 | ||||||
|
TriCo Bancshares |
94,867 | 3,871,522 | ||||||
|
United Community Banks, Inc. |
272,085 | 8,401,985 | ||||||
|
|
|
|||||||
| 174,952,516 | ||||||||
|
|
|
|||||||
|
Biotechnology — 0.3% |
||||||||
|
Emergent BioSolutions, Inc.* |
50,223 | 2,709,531 | ||||||
|
|
|
|||||||
|
Building Products — 0.5% |
||||||||
|
American Woodmark Corp.* |
19,285 | 2,015,475 | ||||||
|
Patrick Industries, Inc. |
53,427 | 2,801,178 | ||||||
|
|
|
|||||||
| 4,816,653 | ||||||||
|
|
|
|||||||
|
Capital Markets — 1.6% |
||||||||
|
Brightsphere Investment Group, Inc. |
41,853 | 427,738 | ||||||
|
Houlihan Lokey, Inc. |
92,586 | 4,524,678 | ||||||
|
PJT Partners, Inc. (Class A Stock) |
42,649 | 1,924,749 | ||||||
|
Stifel Financial Corp. |
121,409 | 7,363,456 | ||||||
|
Virtu Financial, Inc. (Class A Stock)(a) |
87,936 | 1,406,096 | ||||||
|
|
|
|||||||
| 15,646,717 | ||||||||
|
|
|
|||||||
|
Chemicals — 1.7% |
||||||||
|
HB Fuller Co.(a) |
74,130 | 3,822,884 | ||||||
|
Ingevity Corp.* |
36,977 | 3,231,050 | ||||||
|
Innospec, Inc. |
18,143 | 1,876,712 | ||||||
|
Kraton Corp.* |
37,411 | 947,247 | ||||||
|
PolyOne Corp. |
108,582 | 3,994,732 | ||||||
|
Quaker Chemical Corp.(a) |
8,582 | 1,411,911 | ||||||
|
Tronox Holdings PLC (Class A Stock) |
42,370 | 483,865 | ||||||
|
|
|
|||||||
| 15,768,401 | ||||||||
|
|
|
|||||||
|
Commercial Services & Supplies — 0.3% |
|
|||||||
|
ABM Industries, Inc.(a) |
83,445 | 3,146,711 | ||||||
|
|
|
|||||||
|
Communications Equipment — 1.9% |
||||||||
|
Lumentum Holdings, Inc.*(a) |
114,470 | 9,077,471 | ||||||
|
NetScout Systems, Inc.* |
185,484 | 4,464,600 | ||||||
|
Viavi Solutions, Inc.* |
277,485 | 4,162,275 | ||||||
|
|
|
|||||||
| 17,704,346 | ||||||||
|
|
|
|||||||
|
Construction & Engineering — 0.7% |
||||||||
|
EMCOR Group, Inc. |
57,119 | 4,929,370 | ||||||
|
Granite Construction, Inc.(a) |
78,830 | 2,181,226 | ||||||
|
|
|
|||||||
| 7,110,596 | ||||||||
|
|
|
|||||||
|
Construction Materials — 0.4% |
||||||||
|
Summit Materials, Inc. (Class A Stock)* |
148,983 | 3,560,694 | ||||||
|
|
|
|||||||
|
Consumer Finance — 0.3% |
||||||||
|
FirstCash, Inc. |
23,638 | 1,905,932 | ||||||
|
Oportun Financial Corp.*(a) |
46,606 | 1,109,223 | ||||||
|
|
|
|||||||
| 3,015,155 | ||||||||
|
|
|
|||||||
|
Diversified Consumer Services — 0.6% |
||||||||
|
Chegg, Inc.* |
13,955 | 529,034 | ||||||
|
Laureate Education, Inc. (Class A
|
55,231 | 972,618 | ||||||
|
OneSpaWorld Holdings Ltd.
|
144,545 | 2,434,138 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A25
| AST GOLDMAN SACHS SMALL-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Diversified Consumer Services (continued) |
|
|||||||
|
WW International, Inc.*(a) |
58,538 | $ | 2,236,737 | |||||
|
|
|
|||||||
| 6,172,527 | ||||||||
|
|
|
|||||||
|
Diversified Financial Services — 0.1% |
||||||||
|
Alerus Financial Corp.(a) |
31,053 | 709,561 | ||||||
|
|
|
|||||||
|
Electric Utilities — 3.3% |
||||||||
|
ALLETE, Inc. |
93,811 | 7,614,639 | ||||||
|
IDACORP, Inc. |
43,390 | 4,634,052 | ||||||
|
PNM Resources, Inc. |
142,886 | 7,245,749 | ||||||
|
Portland General Electric Co. |
209,973 | 11,714,394 | ||||||
|
|
|
|||||||
| 31,208,834 | ||||||||
|
|
|
|||||||
|
Electrical Equipment — 0.4% |
||||||||
|
nVent Electric PLC |
143,062 | 3,659,526 | ||||||
|
|
|
|||||||
|
Electronic Equipment, Instruments & Components — 2.8% |
|
|||||||
|
Anixter International, Inc.* |
31,977 | 2,945,082 | ||||||
|
CTS Corp. |
114,471 | 3,435,275 | ||||||
|
FARO Technologies, Inc.*(a) |
48,846 | 2,459,396 | ||||||
|
II-VI, Inc.*(a) |
67,694 | 2,279,257 | ||||||
|
Knowles Corp.* |
180,852 | 3,825,020 | ||||||
|
SYNNEX Corp. |
37,044 | 4,771,267 | ||||||
|
TTM Technologies, Inc.* |
204,803 | 3,082,285 | ||||||
|
Vishay Intertechnology, Inc. |
191,431 | 4,075,566 | ||||||
|
|
|
|||||||
| 26,873,148 | ||||||||
|
|
|
|||||||
|
Energy Equipment & Services — 1.3% |
||||||||
|
Apergy Corp.* |
195,650 | 6,609,057 | ||||||
|
Cactus, Inc. (Class A Stock) |
179,614 | 6,164,352 | ||||||
|
|
|
|||||||
| 12,773,409 | ||||||||
|
|
|
|||||||
|
Entertainment — 0.1% |
||||||||
|
Live Nation Entertainment, Inc.* |
14,605 | 1,043,819 | ||||||
|
|
|
|||||||
|
Equity Real Estate Investment Trusts (REITs) — 9.8% |
|
|||||||
|
Acadia Realty Trust |
283,659 | 7,355,278 | ||||||
|
Chatham Lodging Trust |
95,057 | 1,743,345 | ||||||
|
Columbia Property Trust, Inc. |
284,078 | 5,940,071 | ||||||
|
CyrusOne, Inc. |
119,177 | 7,797,751 | ||||||
|
Healthcare Realty Trust, Inc. |
256,526 | 8,560,273 | ||||||
|
Hudson Pacific Properties, Inc. |
138,339 | 5,208,463 | ||||||
|
Life Storage, Inc. |
36,303 | 3,930,889 | ||||||
|
National Health Investors, Inc. |
87,045 | 7,092,427 | ||||||
|
Park Hotels & Resorts, Inc. |
226,610 | 5,862,401 | ||||||
|
Pebblebrook Hotel Trust(a) |
305,186 | 8,182,037 | ||||||
|
Preferred Apartment Communities, Inc. (Class A Stock) |
125,732 | 1,674,750 | ||||||
|
PS Business Parks, Inc. |
47,273 | 7,793,899 | ||||||
|
RLJ Lodging Trust |
380,139 | 6,736,063 | ||||||
|
Safehold, Inc.(a) |
87,459 | 3,524,598 | ||||||
|
STAG Industrial, Inc. |
269,143 | 8,496,844 | ||||||
|
Urban Edge Properties |
215,512 | 4,133,520 | ||||||
|
|
|
|||||||
| 94,032,609 | ||||||||
|
|
|
|||||||
|
Food & Staples Retailing — 0.4% |
||||||||
|
BJ’s Wholesale Club Holdings, Inc.*(a) |
87,294 | 1,985,066 | ||||||
|
Grocery Outlet Holding Corp.*(a) |
17,563 | 569,919 | ||||||
|
Performance Food Group Co.* |
32,796 | 1,688,338 | ||||||
|
|
|
|||||||
| 4,243,323 | ||||||||
|
|
|
|||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Food Products — 1.6% |
||||||||
|
Darling Ingredients, Inc.* |
187,334 | $ | 5,260,339 | |||||
|
Hostess Brands, Inc.*(a) |
207,269 | 3,013,691 | ||||||
|
Nomad Foods Ltd. (United Kingdom)* |
176,597 | 3,950,475 | ||||||
|
Simply Good Foods Co. (The)* |
95,706 | 2,731,449 | ||||||
|
|
|
|||||||
| 14,955,954 | ||||||||
|
|
|
|||||||
|
Gas Utilities — 1.3% |
||||||||
|
Chesapeake Utilities Corp. |
60,202 | 5,769,158 | ||||||
|
ONE Gas, Inc. |
73,036 | 6,833,978 | ||||||
|
|
|
|||||||
| 12,603,136 | ||||||||
|
|
|
|||||||
|
Health Care Equipment & Supplies — 1.3% |
||||||||
|
Avanos Medical, Inc.* |
118,892 | 4,006,661 | ||||||
|
CONMED Corp. |
37,616 | 4,206,597 | ||||||
|
Integra LifeSciences Holdings Corp.* |
41,110 | 2,395,891 | ||||||
|
Orthofix Medical, Inc.* |
40,635 | 1,876,524 | ||||||
|
|
|
|||||||
| 12,485,673 | ||||||||
|
|
|
|||||||
|
Health Care Providers & Services — 0.7% |
||||||||
|
Acadia Healthcare Co., Inc.*(a) |
106,105 | 3,524,808 | ||||||
|
AMN Healthcare Services, Inc.* |
54,463 | 3,393,590 | ||||||
|
|
|
|||||||
| 6,918,398 | ||||||||
|
|
|
|||||||
|
Health Care Technology — 0.9% |
||||||||
|
Allscripts Healthcare Solutions, Inc.*(a) |
481,640 | 4,727,297 | ||||||
|
HMS Holdings Corp.* |
84,432 | 2,499,187 | ||||||
|
Vocera Communications, Inc.*(a) |
56,661 | 1,176,282 | ||||||
|
|
|
|||||||
| 8,402,766 | ||||||||
|
|
|
|||||||
|
Hotels, Restaurants & Leisure — 2.6% |
||||||||
|
Boyd Gaming Corp.(a) |
173,714 | 5,200,997 | ||||||
|
Eldorado Resorts, Inc.*(a) |
57,961 | 3,456,794 | ||||||
|
Jack in the Box, Inc. |
24,352 | 1,900,186 | ||||||
|
Marriott Vacations Worldwide Corp. |
89,372 | 11,507,539 | ||||||
|
Wendy’s Co. (The) |
107,403 | 2,385,421 | ||||||
|
|
|
|||||||
| 24,450,937 | ||||||||
|
|
|
|||||||
|
Household Durables — 1.4% |
||||||||
|
KB Home |
156,968 | 5,379,293 | ||||||
|
Meritage Homes Corp.* |
55,181 | 3,372,111 | ||||||
|
TopBuild Corp.* |
43,195 | 4,452,541 | ||||||
|
|
|
|||||||
| 13,203,945 | ||||||||
|
|
|
|||||||
|
Household Products — 0.1% |
||||||||
|
Central Garden & Pet Co. (Class A Stock)* |
41,990 | 1,232,826 | ||||||
|
|
|
|||||||
|
Insurance — 3.9% |
||||||||
|
AMERISAFE, Inc.(a) |
42,730 | 2,821,462 | ||||||
|
BRP Group, Inc. (Class A Stock)*(a) |
52,345 | 840,137 | ||||||
|
CNO Financial Group, Inc. |
69,228 | 1,255,104 | ||||||
|
Enstar Group Ltd. (Bermuda)* |
21,602 | 4,468,590 | ||||||
|
Kemper Corp. |
51,323 | 3,977,532 | ||||||
|
Kinsale Capital Group, Inc. |
60,869 | 6,187,942 | ||||||
|
Primerica, Inc. |
33,873 | 4,422,459 | ||||||
|
ProAssurance Corp. |
33,766 | 1,220,303 | ||||||
|
RLI Corp.(a) |
60,986 | 5,489,960 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A26
| AST GOLDMAN SACHS SMALL-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Insurance (continued) |
||||||||
|
Selective Insurance Group, Inc. |
106,848 | $ | 6,965,421 | |||||
|
|
|
|||||||
| 37,648,910 | ||||||||
|
|
|
|||||||
|
Interactive Media & Services — 0.2% |
||||||||
|
Cars.com, Inc.*(a) |
172,810 | 2,111,738 | ||||||
|
|
|
|||||||
|
IT Services — 1.5% |
||||||||
|
KBR, Inc. |
286,424 | 8,735,932 | ||||||
|
LiveRamp Holdings, Inc.* |
107,243 | 5,155,171 | ||||||
|
|
|
|||||||
| 13,891,103 | ||||||||
|
|
|
|||||||
|
Leisure Products — 0.6% |
||||||||
|
Callaway Golf Co.(a) |
252,926 | 5,362,031 | ||||||
|
|
|
|||||||
|
Life Sciences Tools & Services — 0.7% |
||||||||
|
Syneos Health, Inc.* |
114,912 | 6,834,391 | ||||||
|
|
|
|||||||
|
Machinery — 4.7% |
||||||||
|
Alamo Group, Inc. |
21,230 | 2,665,427 | ||||||
|
Altra Industrial Motion Corp. |
21,637 | 783,476 | ||||||
|
CIRCOR International, Inc.* |
76,450 | 3,535,048 | ||||||
|
Columbus McKinnon Corp. |
45,505 | 1,821,565 | ||||||
|
Federal Signal Corp. |
121,345 | 3,913,376 | ||||||
|
Kennametal, Inc.(a) |
168,888 | 6,230,278 | ||||||
|
Navistar International Corp.* |
57,471 | 1,663,211 | ||||||
|
RBC Bearings, Inc.* |
11,438 | 1,811,093 | ||||||
|
Rexnord Corp.* |
291,431 | 9,506,479 | ||||||
|
Terex Corp. |
98,790 | 2,941,966 | ||||||
|
TriMas Corp.* |
171,849 | 5,397,777 | ||||||
|
Watts Water Technologies, Inc.
|
48,400 | 4,828,384 | ||||||
|
|
|
|||||||
| 45,098,080 | ||||||||
|
|
|
|||||||
|
Media — 1.6% |
||||||||
|
Gray Television, Inc.*(a) |
164,552 | 3,527,995 | ||||||
|
Liberty Latin America Ltd. (Chile)
|
224,254 | 4,363,983 | ||||||
|
Nexstar Media Group, Inc.
|
46,979 | 5,508,288 | ||||||
|
TEGNA, Inc. |
110,954 | 1,851,822 | ||||||
|
|
|
|||||||
| 15,252,088 | ||||||||
|
|
|
|||||||
|
Metals & Mining — 2.2% |
||||||||
|
Allegheny Technologies, Inc.*(a) |
173,375 | 3,581,928 | ||||||
|
Carpenter Technology Corp. |
43,130 | 2,147,012 | ||||||
|
Cleveland-Cliffs, Inc.(a) |
131,696 | 1,106,246 | ||||||
|
Coeur Mining, Inc.* |
158,528 | 1,280,906 | ||||||
|
Commercial Metals Co. |
220,442 | 4,909,243 | ||||||
|
Constellium SE* |
345,013 | 4,623,174 | ||||||
|
Kaiser Aluminum Corp. |
26,324 | 2,919,068 | ||||||
|
|
|
|||||||
| 20,567,577 | ||||||||
|
|
|
|||||||
|
Mortgage Real Estate Investment Trusts (REITs) — 2.4% |
|
|||||||
|
Granite Point Mortgage Trust, Inc. |
96,114 | 1,766,575 | ||||||
|
MFA Financial, Inc. |
747,345 | 5,717,189 | ||||||
|
PennyMac Mortgage Investment Trust |
189,908 | 4,233,050 | ||||||
|
Redwood Trust, Inc.(a) |
343,651 | 5,683,988 | ||||||
|
Two Harbors Investment Corp. |
379,747 | 5,551,901 | ||||||
|
|
|
|||||||
| 22,952,703 | ||||||||
|
|
|
|||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Oil, Gas & Consumable Fuels — 4.4% |
||||||||
|
Brigham Minerals, Inc. (Class A Stock) |
151,450 | $ | 3,247,088 | |||||
|
Delek US Holdings, Inc.(a) |
82,600 | 2,769,578 | ||||||
|
Euronav NV (Belgium) |
250,464 | 3,140,818 | ||||||
|
Falcon Minerals Corp.(a) |
261,948 | 1,849,353 | ||||||
|
Golar LNG Ltd. (Bermuda) |
364,708 | 5,186,148 | ||||||
|
Matador Resources Co.*(a) |
229,668 | 4,127,134 | ||||||
|
PBF Energy, Inc. (Class A Stock) |
37,854 | 1,187,480 | ||||||
|
PDC Energy, Inc.* |
98,805 | 2,585,727 | ||||||
|
Rattler Midstream, |
154,081 | 2,741,101 | ||||||
|
Viper Energy Partners LP |
338,459 | 8,346,399 | ||||||
|
WPX Energy, Inc.* |
492,305 | 6,764,271 | ||||||
|
|
|
|||||||
| 41,945,097 | ||||||||
|
|
|
|||||||
|
Personal Products — 0.2% |
||||||||
|
BellRing Brands, Inc. (Class A Stock)* |
87,628 | 1,865,600 | ||||||
|
|
|
|||||||
|
Pharmaceuticals — 0.5% |
||||||||
|
Prestige Consumer Healthcare, Inc.*(a) |
116,554 | 4,720,437 | ||||||
|
|
|
|||||||
|
Professional Services — 0.8% |
||||||||
|
ASGN, Inc.* |
68,607 | 4,869,039 | ||||||
|
ICF International, Inc. |
28,274 | 2,590,464 | ||||||
|
|
|
|||||||
| 7,459,503 | ||||||||
|
|
|
|||||||
|
Real Estate Management & Development — 0.5% |
|
|||||||
|
Kennedy-Wilson Holdings, Inc. |
212,664 | 4,742,407 | ||||||
|
|
|
|||||||
|
Road & Rail — 1.2% |
||||||||
|
Saia, Inc.* |
86,017 | 8,009,903 | ||||||
|
Werner Enterprises, Inc.(a) |
90,391 | 3,289,329 | ||||||
|
|
|
|||||||
| 11,299,232 | ||||||||
|
|
|
|||||||
|
Semiconductors & Semiconductor Equipment — 2.4% |
|
|||||||
|
Cohu, Inc. |
49,100 | 1,121,935 | ||||||
|
Entegris, Inc.(a) |
65,819 | 3,296,874 | ||||||
|
MACOM Technology Solutions Holdings, Inc.*(a) |
160,584 | 4,271,534 | ||||||
|
Onto Innovation, Inc.* |
120,335 | 4,397,041 | ||||||
|
Semtech Corp.* |
73,455 | 3,885,769 | ||||||
|
Silicon Laboratories, Inc.* |
22,843 | 2,649,331 | ||||||
|
Synaptics, Inc.*(a) |
52,366 | 3,444,112 | ||||||
|
|
|
|||||||
| 23,066,596 | ||||||||
|
|
|
|||||||
|
Software — 1.5% |
||||||||
|
Avaya Holdings Corp.* |
106,609 | 1,439,221 | ||||||
|
Bottomline Technologies DE, Inc.* |
52,115 | 2,793,364 | ||||||
|
CommVault Systems, Inc.* |
39,114 | 1,746,049 | ||||||
|
Cornerstone OnDemand, Inc.* |
66,687 | 3,904,524 | ||||||
|
Verint Systems, Inc.*(a) |
79,903 | 4,423,430 | ||||||
|
|
|
|||||||
| 14,306,588 | ||||||||
|
|
|
|||||||
|
Specialty Retail — 2.8% |
||||||||
|
Aaron’s, Inc. |
34,055 | 1,944,881 | ||||||
|
Asbury Automotive Group, Inc.* |
17,941 | 2,005,624 | ||||||
|
Bed Bath & Beyond, Inc. |
69,998 | 1,210,965 | ||||||
|
Burlington Stores, Inc.* |
13,631 | 3,108,277 | ||||||
|
Dick’s Sporting Goods, Inc. |
44,879 | 2,221,062 | ||||||
|
Genesco, Inc.* |
30,372 | 1,455,426 | ||||||
|
Group 1 Automotive, Inc. |
48,474 | 4,847,400 | ||||||
|
Guess?, Inc.(a) |
94,875 | 2,123,303 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A27
| AST GOLDMAN SACHS SMALL-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS (continued) |
Shares | Value | ||||||
|
Specialty Retail (continued) |
||||||||
|
Rent-A-Center, Inc. |
19,873 | $ | 573,137 | |||||
|
RH*(a) |
24,437 | 5,217,300 | ||||||
|
Sally Beauty Holdings, Inc.*(a) |
60,632 | 1,106,534 | ||||||
|
Shoe Carnival, Inc.(a) |
32,628 | 1,216,372 | ||||||
|
|
|
|||||||
| 27,030,281 | ||||||||
|
|
|
|||||||
|
Textiles, Apparel & Luxury Goods — 1.0% |
|
|||||||
|
Columbia Sportswear Co. |
5,076 | 508,564 | ||||||
|
Crocs, Inc.* |
109,077 | 4,569,236 | ||||||
|
Deckers Outdoor Corp.* |
17,233 | 2,909,964 | ||||||
|
G-III Apparel Group Ltd.* |
49,393 | 1,654,666 | ||||||
|
|
|
|||||||
| 9,642,430 | ||||||||
|
|
|
|||||||
|
Thrifts & Mortgage Finance — 2.5% |
||||||||
|
MGIC Investment Corp. |
581,792 | 8,243,993 | ||||||
|
OceanFirst Financial Corp. |
197,910 | 5,054,621 | ||||||
|
Provident Financial Services, Inc. |
153,600 | 3,786,240 | ||||||
|
Washington Federal, Inc. |
181,220 | 6,641,713 | ||||||
|
|
|
|||||||
| 23,726,567 | ||||||||
|
|
|
|||||||
|
Trading Companies & Distributors — 2.4% |
|
|||||||
|
Beacon Roofing Supply, Inc.* |
191,999 | 6,140,128 | ||||||
|
Foundation Building Materials, Inc.* |
57,985 | 1,122,010 | ||||||
|
H&E Equipment Services, Inc. |
106,502 | 3,560,362 | ||||||
|
Herc Holdings, Inc.* |
75,177 | 3,679,162 | ||||||
|
Kaman Corp. |
73,915 | 4,872,477 | ||||||
|
Univar Solutions, Inc.* |
149,683 | 3,628,316 | ||||||
|
|
|
|||||||
| 23,002,455 | ||||||||
|
|
|
|||||||
|
Water Utilities — 0.3% |
||||||||
|
SJW Group |
37,975 | 2,698,503 | ||||||
|
|
|
|||||||
|
TOTAL COMMON STOCKS
|
925,035,872 | |||||||
|
|
|
|||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $134,211,014; cash collateral of $137,084,085 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 10,369,290 | $ | — | $ | — | ||||||
|
Air Freight & Logistics |
3,520,695 | — | — | |||||||||
|
Airlines |
9,874,753 | — | — | |||||||||
|
Auto Components |
12,645,106 | — | — | |||||||||
|
Banks |
174,952,516 | — | — | |||||||||
|
Biotechnology |
2,709,531 | — | — | |||||||||
|
Building Products |
4,816,653 | — | — | |||||||||
|
Capital Markets |
15,646,717 | — | — | |||||||||
|
Chemicals |
15,768,401 | — | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A28
| AST GOLDMAN SACHS SMALL-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Commercial Services & Supplies |
$ | 3,146,711 | $ | — | $ | — | ||||||
|
Communications Equipment |
17,704,346 | — | — | |||||||||
|
Construction & Engineering |
7,110,596 | — | — | |||||||||
|
Construction Materials |
3,560,694 | — | — | |||||||||
|
Consumer Finance |
3,015,155 | — | — | |||||||||
|
Diversified Consumer Services |
6,172,527 | — | — | |||||||||
|
Diversified Financial Services |
709,561 | — | — | |||||||||
|
Electric Utilities |
31,208,834 | — | — | |||||||||
|
Electrical Equipment |
3,659,526 | — | — | |||||||||
|
Electronic Equipment, Instruments & Components |
26,873,148 | — | — | |||||||||
|
Energy Equipment & Services |
12,773,409 | — | — | |||||||||
|
Entertainment |
1,043,819 | — | — | |||||||||
|
Equity Real Estate Investment Trusts (REITs) |
94,032,609 | — | — | |||||||||
|
Food & Staples Retailing |
4,243,323 | — | — | |||||||||
|
Food Products |
14,955,954 | — | — | |||||||||
|
Gas Utilities |
12,603,136 | — | — | |||||||||
|
Health Care Equipment & Supplies |
12,485,673 | — | — | |||||||||
|
Health Care Providers & Services |
6,918,398 | — | — | |||||||||
|
Health Care Technology |
8,402,766 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
24,450,937 | — | — | |||||||||
|
Household Durables |
13,203,945 | — | — | |||||||||
|
Household Products |
1,232,826 | — | — | |||||||||
|
Insurance |
37,648,910 | — | — | |||||||||
|
Interactive Media & Services |
2,111,738 | — | — | |||||||||
|
IT Services |
13,891,103 | — | — | |||||||||
|
Leisure Products |
5,362,031 | — | — | |||||||||
|
Life Sciences Tools & Services |
6,834,391 | — | — | |||||||||
|
Machinery |
45,098,080 | — | — | |||||||||
|
Media |
15,252,088 | — | — | |||||||||
|
Metals & Mining |
20,567,577 | — | — | |||||||||
|
Mortgage Real Estate Investment Trusts (REITs) |
22,952,703 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
41,945,097 | — | — | |||||||||
|
Personal Products |
1,865,600 | — | — | |||||||||
|
Pharmaceuticals |
4,720,437 | — | — | |||||||||
|
Professional Services |
7,459,503 | — | — | |||||||||
|
Real Estate Management & Development |
4,742,407 | — | — | |||||||||
|
Road & Rail |
11,299,232 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
23,066,596 | — | — | |||||||||
|
Software |
14,306,588 | — | — | |||||||||
|
Specialty Retail |
27,030,281 | — | — | |||||||||
|
Textiles, Apparel & Luxury Goods |
9,642,430 | — | — | |||||||||
|
Thrifts & Mortgage Finance |
23,726,567 | — | — | |||||||||
|
Trading Companies & Distributors |
23,002,455 | — | — | |||||||||
|
Water Utilities |
2,698,503 | — | — | |||||||||
|
Exchange-Traded Fund |
14,371,258 | — | — | |||||||||
|
Affiliated Mutual Funds |
152,780,209 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 1,092,187,339 | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Banks |
18.3 | % | ||
|
Affiliated Mutual Funds (14.3% represents investments purchased with collateral from securities on loan) |
16.0 | |||
|
Equity Real Estate Investment Trusts (REITs) |
9.8 |
|
Machinery |
4.7 | % | ||
|
Oil, Gas & Consumable Fuels |
4.4 | |||
|
Insurance |
3.9 | |||
|
Electric Utilities |
3.3 |
SEE NOTES TO FINANCIAL STATEMENTS.
A29
| AST GOLDMAN SACHS SMALL-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Industry Classification (continued): |
||||
|
Specialty Retail |
2.8 | % | ||
|
Electronic Equipment, Instruments & Components |
2.8 | |||
|
Hotels, Restaurants & Leisure |
2.6 | |||
|
Thrifts & Mortgage Finance |
2.5 | |||
|
Semiconductors & Semiconductor Equipment |
2.4 | |||
|
Trading Companies & Distributors |
2.4 | |||
|
Mortgage Real Estate Investment Trusts (REITs) |
2.4 | |||
|
Metals & Mining |
2.2 | |||
|
Communications Equipment |
1.9 | |||
|
Chemicals |
1.7 | |||
|
Capital Markets |
1.6 | |||
|
Media |
1.6 | |||
|
Food Products |
1.6 | |||
|
Exchange-Traded Fund |
1.5 | |||
|
Software |
1.5 | |||
|
IT Services |
1.5 | |||
|
Household Durables |
1.4 | |||
|
Energy Equipment & Services |
1.3 | |||
|
Auto Components |
1.3 | |||
|
Gas Utilities |
1.3 | |||
|
Health Care Equipment & Supplies |
1.3 | |||
|
Road & Rail |
1.2 | |||
|
Aerospace & Defense |
1.1 | |||
|
Airlines |
1.0 | |||
|
Textiles, Apparel & Luxury Goods |
1.0 | |||
|
Health Care Technology |
0.9 | |||
|
Professional Services |
0.8 | |||
|
Construction & Engineering |
0.7 | % | ||
|
Health Care Providers & Services |
0.7 | |||
|
Life Sciences Tools & Services |
0.7 | |||
|
Diversified Consumer Services |
0.6 | |||
|
Leisure Products |
0.6 | |||
|
Building Products |
0.5 | |||
|
Real Estate Management & Development |
0.5 | |||
|
Pharmaceuticals |
0.5 | |||
|
Food & Staples Retailing |
0.4 | |||
|
Electrical Equipment |
0.4 | |||
|
Construction Materials |
0.4 | |||
|
Air Freight & Logistics |
0.4 | |||
|
Commercial Services & Supplies |
0.3 | |||
|
Consumer Finance |
0.3 | |||
|
Biotechnology |
0.3 | |||
|
Water Utilities |
0.3 | |||
|
Interactive Media & Services |
0.2 | |||
|
Personal Products |
0.2 | |||
|
Household Products |
0.1 | |||
|
Entertainment |
0.1 | |||
|
Diversified Financial Services |
0.1 | |||
|
|
|
|||
| 114.3 | ||||
|
Liabilities in excess of other assets |
(14.3 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 134,211,014 | $ | (134,211,014 | ) | $ | — | |||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A30
| AST GOLDMAN SACHS SMALL-CAP VALUE PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
|
ASSETS |
||||
|
Investments at value, including securities on loan of $134,211,014: |
||||
|
Unaffiliated investments (cost $812,917,955) |
$ | 939,407,130 | ||
|
Affiliated investments (cost $152,769,649) |
152,780,209 | |||
|
Receivable for investments sold |
2,569,433 | |||
|
Dividends receivable |
1,892,573 | |||
|
Tax reclaim receivable |
34,146 | |||
|
Receivable for Portfolio shares sold |
5,010 | |||
|
Prepaid expenses |
6,479 | |||
|
|
|
|||
|
Total Assets |
1,096,694,980 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
137,084,085 | |||
|
Payable for investments purchased |
2,875,010 | |||
|
Management fee payable |
424,037 | |||
|
Accrued expenses and other liabilities |
251,921 | |||
|
Payable for Portfolio shares repurchased |
63,360 | |||
|
Distribution fee payable |
39,316 | |||
|
Payable to affiliate |
34,146 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
140,772,232 | |||
|
|
|
|||
| NET ASSETS | $ | 955,922,748 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 955,922,748 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $955,922,748 / 38,189,817 outstanding shares of beneficial interest |
$ | 25.03 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 6,684,958 | $ | 4,259,485 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
43,160,488 | 80,832,005 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
129,223,600 | (216,756,564 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
179,069,046 | (131,665,074 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [3,858,492 and 865,881 shares, respectively] |
86,543,798 | 19,441,459 | ||||||
|
Portfolio shares repurchased [4,395,081 and 5,280,956 shares, respectively] |
(100,223,167 | ) | (121,806,930 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(13,679,369 | ) | (102,365,471 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 1,210 | 24,786 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 165,390,887 | (234,005,759 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
790,531,861 | 1,024,537,620 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 955,922,748 | $ | 790,531,861 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A31
| AST HOTCHKIS & WILEY LARGE-CAP VALUE PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 99.3% | ||||||||
| COMMON STOCKS | Shares | Value | ||||||
|
Aerospace & Defense — 0.5% |
||||||||
|
Embraer SA (Brazil), ADR*(a) |
379,100 | $ | 7,388,659 | |||||
|
|
|
|||||||
|
Auto Components — 2.6% |
||||||||
|
Adient PLC* |
566,600 | 12,040,250 | ||||||
|
Magna International, Inc. (Canada) |
493,200 | 27,047,088 | ||||||
|
|
|
|||||||
| 39,087,338 | ||||||||
|
|
|
|||||||
|
Automobiles — 3.8% |
||||||||
|
General Motors Co. |
1,261,200 | 46,159,920 | ||||||
|
Harley-Davidson, Inc.(a) |
309,400 | 11,506,586 | ||||||
|
|
|
|||||||
| 57,666,506 | ||||||||
|
|
|
|||||||
|
Banks — 13.1% |
||||||||
|
Bank of America Corp. |
1,023,754 | 36,056,616 | ||||||
|
Citigroup, Inc. |
699,760 | 55,903,826 | ||||||
|
Citizens Financial Group, Inc. |
873,500 | 35,472,835 | ||||||
|
Wells Fargo & Co. |
1,349,683 | 72,612,946 | ||||||
|
|
|
|||||||
| 200,046,223 | ||||||||
|
|
|
|||||||
|
Beverages — 0.7% |
||||||||
|
PepsiCo, Inc. |
76,200 | 10,414,254 | ||||||
|
|
|
|||||||
|
Building Products — 0.9% |
||||||||
|
Johnson Controls International PLC |
326,907 | 13,308,384 | ||||||
|
|
|
|||||||
|
Capital Markets — 5.4% |
||||||||
|
Goldman Sachs Group, Inc. (The) |
229,900 | 52,860,907 | ||||||
|
State Street Corp. |
378,600 | 29,947,260 | ||||||
|
|
|
|||||||
| 82,808,167 | ||||||||
|
|
|
|||||||
|
Communications Equipment — 1.4% |
|
|||||||
|
Telefonaktiebolaget LM Ericsson (Sweden), ADR(a) |
2,349,300 | 20,626,854 | ||||||
|
|
|
|||||||
|
Consumer Finance — 3.7% |
||||||||
|
Capital One Financial Corp. |
347,200 | 35,730,352 | ||||||
|
Discover Financial Services |
244,700 | 20,755,454 | ||||||
|
|
|
|||||||
| 56,485,806 | ||||||||
|
|
|
|||||||
|
Containers & Packaging — 1.8% |
|
|||||||
|
International Paper Co. |
591,900 | 27,256,995 | ||||||
|
|
|
|||||||
|
Diversified Financial Services — 1.5% |
|
|||||||
|
AXA Equitable Holdings, Inc. |
919,000 | 22,772,820 | ||||||
|
|
|
|||||||
|
Electric Utilities — 3.2% |
||||||||
|
PPL Corp. |
923,700 | 33,142,356 | ||||||
|
Southern Co. (The) |
243,200 | 15,491,840 | ||||||
|
|
|
|||||||
| 48,634,196 | ||||||||
|
|
|
|||||||
|
Electronic Equipment, Instruments & Components — 2.4% |
|
|||||||
|
Corning, Inc.(a) |
1,279,400 | 37,243,334 | ||||||
|
|
|
|||||||
|
Energy Equipment & Services — 3.0% |
|
|||||||
|
Halliburton Co. |
360,900 | 8,831,223 | ||||||
|
National Oilwell Varco, Inc. |
1,495,600 | 37,464,780 | ||||||
|
|
|
|||||||
| 46,296,003 | ||||||||
|
|
|
|||||||
|
Food Products — 0.7% |
||||||||
|
Mondelez International, Inc. (Class A Stock) |
203,100 | 11,186,748 | ||||||
|
|
|
|||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Health Care Equipment & Supplies — 3.5% |
|
|||||||
|
Koninklijke Philips NV (Netherlands), NVDR(a) |
148,838 | $ | 7,263,294 | |||||
|
Medtronic PLC |
284,400 | 32,265,180 | ||||||
|
Zimmer Biomet Holdings, Inc. |
93,300 | 13,965,144 | ||||||
|
|
|
|||||||
| 53,493,618 | ||||||||
|
|
|
|||||||
|
Health Care Providers & Services — 3.0% |
|
|||||||
|
Anthem, Inc. |
95,500 | 28,843,865 | ||||||
|
UnitedHealth Group, Inc. |
59,700 | 17,550,606 | ||||||
|
|
|
|||||||
| 46,394,471 | ||||||||
|
|
|
|||||||
|
Industrial Conglomerates — 5.1% |
||||||||
|
General Electric Co. |
7,019,500 | 78,337,620 | ||||||
|
|
|
|||||||
|
Insurance — 6.3% |
||||||||
|
American International Group, Inc. |
1,358,400 | 69,726,672 | ||||||
|
Travelers Cos., Inc. (The) |
193,700 | 26,527,215 | ||||||
|
|
|
|||||||
| 96,253,887 | ||||||||
|
|
|
|||||||
|
Machinery — 4.7% |
||||||||
|
CNH Industrial NV
|
2,729,700 | 30,026,700 | ||||||
|
Cummins, Inc. |
191,500 | 34,270,840 | ||||||
|
PACCAR, Inc. |
102,300 | 8,091,930 | ||||||
|
|
|
|||||||
| 72,389,470 | ||||||||
|
|
|
|||||||
|
Media — 5.4% |
||||||||
|
Comcast Corp. (Class A Stock) |
874,400 | 39,321,768 | ||||||
|
Discovery, Inc. (Class C Stock)* |
994,000 | 30,307,060 | ||||||
|
ViacomCBS, Inc. (Class B Stock) |
323,000 | 13,556,310 | ||||||
|
|
|
|||||||
| 83,185,138 | ||||||||
|
|
|
|||||||
|
Oil, Gas & Consumable Fuels — 9.9% |
||||||||
|
Apache Corp.(a) |
925,000 | 23,670,750 | ||||||
|
Hess Corp. |
462,400 | 30,892,944 | ||||||
|
Marathon Oil Corp. |
2,075,000 | 28,178,500 | ||||||
|
Marathon Petroleum Corp. |
218,561 | 13,168,300 | ||||||
|
Murphy Oil Corp.(a) |
1,045,700 | 28,024,760 | ||||||
|
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR(a) |
478,693 | 28,233,313 | ||||||
|
|
|
|||||||
| 152,168,567 | ||||||||
|
|
|
|||||||
|
Personal Products — 1.3% |
||||||||
|
Unilever PLC (United Kingdom), ADR |
358,100 | 20,472,577 | ||||||
|
|
|
|||||||
|
Pharmaceuticals — 2.4% |
||||||||
|
GlaxoSmithKline PLC (United Kingdom), ADR |
504,800 | 23,720,552 | ||||||
|
Sanofi (France), ADR |
252,900 | 12,695,580 | ||||||
|
|
|
|||||||
| 36,416,132 | ||||||||
|
|
|
|||||||
|
Semiconductors & Semiconductor Equipment — 1.0% |
|
|||||||
|
Texas Instruments, Inc. |
116,000 | 14,881,640 | ||||||
|
|
|
|||||||
|
Software — 7.9% |
||||||||
|
Microsoft Corp. |
431,550 | 68,055,435 | ||||||
|
Oracle Corp. |
996,300 | 52,783,974 | ||||||
|
|
|
|||||||
| 120,839,409 | ||||||||
|
|
|
|||||||
|
Technology Hardware, Storage & Peripherals — 2.2% |
|
|||||||
|
Hewlett Packard Enterprise Co. |
2,151,900 | 34,129,134 | ||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A32
| AST HOTCHKIS & WILEY LARGE-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Value | ||||||
|
TOTAL INVESTMENTS — 108.6%
|
$ | 1,661,735,465 | ||||
|
Liabilities in excess of other assets — (8.6)% |
(130,892,488 | ) | ||||
|
|
|
|||||
|
NET ASSETS — 100.0% |
$ | 1,530,842,977 | ||||
|
|
|
|||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $129,290,296; cash collateral of $131,901,878 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 7,388,659 | $ | — | $ | — | ||||||
|
Auto Components |
39,087,338 | — | — | |||||||||
|
Automobiles |
57,666,506 | — | — | |||||||||
|
Banks |
200,046,223 | — | — | |||||||||
|
Beverages |
10,414,254 | — | — | |||||||||
|
Building Products |
13,308,384 | — | — | |||||||||
|
Capital Markets |
82,808,167 | — | — | |||||||||
|
Communications Equipment |
20,626,854 | — | — | |||||||||
|
Consumer Finance |
56,485,806 | — | — | |||||||||
|
Containers & Packaging |
27,256,995 | — | — | |||||||||
|
Diversified Financial Services |
22,772,820 | — | — | |||||||||
|
Electric Utilities |
48,634,196 | — | — | |||||||||
|
Electronic Equipment, Instruments & Components |
37,243,334 | — | — | |||||||||
|
Energy Equipment & Services |
46,296,003 | — | — | |||||||||
|
Food Products |
11,186,748 | — | — | |||||||||
|
Health Care Equipment & Supplies |
53,493,618 | — | — | |||||||||
|
Health Care Providers & Services |
46,394,471 | — | — | |||||||||
|
Industrial Conglomerates |
78,337,620 | — | — | |||||||||
|
Insurance |
96,253,887 | — | — | |||||||||
|
Machinery |
72,389,470 | — | — | |||||||||
|
Media |
83,185,138 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
152,168,567 | — | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A33
| AST HOTCHKIS & WILEY LARGE-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Personal Products |
$ | 20,472,577 | $ | — | $ | — | ||||||
|
Pharmaceuticals |
36,416,132 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
14,881,640 | — | — | |||||||||
|
Software |
120,839,409 | — | — | |||||||||
|
Technology Hardware, Storage & Peripherals |
34,129,134 | — | — | |||||||||
|
Wireless Telecommunication Services |
29,200,768 | — | — | |||||||||
|
Affiliated Mutual Funds |
142,350,747 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 1,661,735,465 | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Banks |
13.1 | % | ||
|
Oil, Gas & Consumable Fuels |
9.9 | |||
|
Affiliated Mutual Funds (8.6% represents investments purchased with collateral from securities on loan) |
9.3 | |||
|
Software |
7.9 | |||
|
Insurance |
6.3 | |||
|
Media |
5.4 | |||
|
Capital Markets |
5.4 | |||
|
Industrial Conglomerates |
5.1 | |||
|
Machinery |
4.7 | |||
|
Automobiles |
3.8 | |||
|
Consumer Finance |
3.7 | |||
|
Health Care Equipment & Supplies |
3.5 | |||
|
Electric Utilities |
3.2 | |||
|
Health Care Providers & Services |
3.0 | |||
|
Energy Equipment & Services |
3.0 | |||
|
Auto Components |
2.6 |
|
Electronic Equipment, Instruments & Components |
2.4 | % | ||
|
Pharmaceuticals |
2.4 | |||
|
Technology Hardware, Storage & Peripherals |
2.2 | |||
|
Wireless Telecommunication Services |
1.9 | |||
|
Containers & Packaging |
1.8 | |||
|
Diversified Financial Services |
1.5 | |||
|
Communications Equipment |
1.4 | |||
|
Personal Products |
1.3 | |||
|
Semiconductors & Semiconductor Equipment |
1.0 | |||
|
Building Products |
0.9 | |||
|
Food Products |
0.7 | |||
|
Beverages |
0.7 | |||
|
Aerospace & Defense |
0.5 | |||
|
|
|
|||
| 108.6 | ||||
|
Liabilities in excess of other assets |
(8.6 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 129,290,296 | $ | (129,290,296) | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A34
| AST HOTCHKIS & WILEY LARGE-CAP VALUE PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $129,290,296: |
||||
|
Unaffiliated investments (cost $1,339,306,275) |
$ | 1,519,384,718 | ||
|
Affiliated investments (cost $142,343,594) |
142,350,747 | |||
|
Dividends receivable |
2,642,560 | |||
|
Tax reclaim receivable |
1,312,483 | |||
|
Receivable for Portfolio shares sold |
72,102 | |||
|
Prepaid expenses and other assets |
25,068 | |||
|
|
|
|||
|
Total Assets |
1,665,787,678 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
131,901,878 | |||
|
Payable to affiliate |
1,312,483 | |||
|
Payable for investments purchased |
684,518 | |||
|
Management fee payable |
448,143 | |||
|
Payable for Portfolio shares repurchased |
289,869 | |||
|
Accrued expenses and other liabilities |
244,358 | |||
|
Distribution fee payable |
63,095 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
134,944,701 | |||
|
|
|
|||
| NET ASSETS | $ | 1,530,842,977 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 1,530,842,977 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $1,530,842,977 / 46,283,664 outstanding shares of beneficial interest |
$ | 33.08 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
|
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS |
||||||||
|
Net investment income (loss) |
$ | 27,357,945 | $ | 32,133,940 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
51,790,702 | 158,413,875 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
356,348,802 | (453,423,228 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
435,497,449 | (262,875,413 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [5,078,624 and 19,741,673 shares, respectively] |
148,112,276 | 561,299,397 | ||||||
|
Portfolio shares repurchased [25,528,912 and 16,320,511 shares, respectively] |
(757,188,514 | ) | (480,381,841 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(609,076,238 | ) | 80,917,556 | |||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 2,277 | 2,432,208 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | (173,576,512 | ) | (179,525,649 | ) | ||||
| NET ASSETS: | ||||||||
|
Beginning of year |
1,704,419,489 | 1,883,945,138 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 1,530,842,977 | $ | 1,704,419,489 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A35
| AST INTERNATIONAL GROWTH PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 98.2% | ||||||||
| COMMON STOCKS — 97.0% | Shares | Value | ||||||
|
Argentina — 1.0% |
||||||||
|
MercadoLibre, Inc.* |
36,916 | $ | 21,113,737 | |||||
|
|
|
|||||||
|
Australia — 2.7% |
||||||||
|
Aristocrat Leisure Ltd. |
354,709 | 8,403,894 | ||||||
|
Cochlear Ltd. |
92,690 | 14,654,026 | ||||||
|
CSL Ltd. |
84,191 | 16,302,602 | ||||||
|
Insurance Australia Group Ltd. |
921,325 | 4,953,043 | ||||||
|
Macquarie Group Ltd. |
159,785 | 15,462,293 | ||||||
|
|
|
|||||||
| 59,775,858 | ||||||||
|
|
|
|||||||
|
Austria — 0.5% |
||||||||
|
BAWAG Group AG, 144A* |
226,999 | 10,336,019 | ||||||
|
|
|
|||||||
|
Belgium — 0.5% |
||||||||
|
KBC Group NV |
138,575 | 10,439,107 | ||||||
|
|
|
|||||||
|
Canada — 4.5% |
||||||||
|
Alimentation Couche-Tard, Inc. (Class B Stock) |
278,500 | 8,838,308 | ||||||
|
Brookfield Asset Management, Inc. (Class A Stock) |
311,103 | 17,981,753 | ||||||
|
Canadian National Railway Co. |
196,110 | 17,740,589 | ||||||
|
Dollarama, Inc. |
236,651 | 8,133,483 | ||||||
|
Shopify, Inc. (Class A Stock)*(a) |
58,248 | 23,158,240 | ||||||
|
Suncor Energy, Inc. |
262,153 | 8,592,069 | ||||||
|
Toronto-Dominion Bank (The) |
263,682 | 14,788,772 | ||||||
|
|
|
|||||||
| 99,233,214 | ||||||||
|
|
|
|||||||
|
China — 8.7% |
||||||||
|
Alibaba Group Holding Ltd., ADR* |
321,777 | 68,248,902 | ||||||
|
Budweiser Brewing Co. APAC Ltd., 144A* |
482,100 | 1,630,522 | ||||||
|
China Merchants Bank Co. Ltd. (Class H Stock) |
2,902,000 | 14,950,487 | ||||||
|
Jiangsu Hengrui Medicine Co. Ltd. (Class A Stock) |
1,032,624 | 13,001,837 | ||||||
|
Kweichow Moutai Co. Ltd. (Class A Stock) |
127,450 | 21,680,806 | ||||||
|
Meituan Dianping (Class B Stock)* |
1,413,326 | 18,504,569 | ||||||
|
NetEase, Inc., ADR |
40,158 | 12,314,049 | ||||||
|
TAL Education Group, ADR* |
51,785 | 2,496,037 | ||||||
|
Tencent Holdings Ltd. |
355,345 | 17,104,091 | ||||||
|
Wuxi Biologics Cayman, Inc., 144A* |
1,707,186 | 21,662,817 | ||||||
|
|
|
|||||||
| 191,594,117 | ||||||||
|
|
|
|||||||
|
Denmark — 2.7% |
||||||||
|
Coloplast A/S (Class B Stock) |
108,327 | 13,427,901 | ||||||
|
DSV Panalpina A/S |
57,216 | 6,593,059 | ||||||
|
Novo Nordisk A/S (Class B Stock) |
437,194 | 25,385,334 | ||||||
|
Orsted A/S, 144A |
134,748 | 13,950,140 | ||||||
|
|
|
|||||||
| 59,356,434 | ||||||||
|
|
|
|||||||
|
Finland — 0.1% |
||||||||
|
Neste OYJ |
94,598 | 3,293,651 | ||||||
|
|
|
|||||||
|
France — 13.0% |
||||||||
|
Air Liquide SA |
45,817 | 6,492,842 | ||||||
|
Airbus SE |
273,207 | 40,050,164 | ||||||
|
Arkema SA |
44,694 | 4,749,389 | ||||||
|
Capgemini SE |
106,845 | 13,054,601 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
France (continued) |
||||||||
|
Dassault Systemes SE |
165,034 | $ | 27,185,451 | |||||
|
Kering SA |
20,458 | 13,441,006 | ||||||
|
L’Oreal SA |
127,502 | 37,790,888 | ||||||
|
LVMH Moet Hennessy Louis Vuitton SE |
104,810 | 48,802,966 | ||||||
|
Pernod Ricard SA |
171,584 | 30,731,811 | ||||||
|
Remy Cointreau SA(a) |
51,696 | 6,350,400 | ||||||
|
Safran SA |
242,976 | 37,563,103 | ||||||
|
Schneider Electric SE |
66,076 | 6,789,442 | ||||||
|
TOTAL SA |
233,526 | 12,930,783 | ||||||
|
|
|
|||||||
| 285,932,846 | ||||||||
|
|
|
|||||||
|
Germany — 6.8% |
||||||||
|
adidas AG |
55,748 | 18,208,345 | ||||||
|
Brenntag AG |
164,795 | 9,021,411 | ||||||
|
Continental AG |
43,336 | 5,576,831 | ||||||
|
CTS Eventim AG & Co. KGaA |
188,741 | 11,887,971 | ||||||
|
Deutsche Boerse AG |
45,535 | 7,179,306 | ||||||
|
Gerresheimer AG |
171,325 | 13,340,907 | ||||||
|
Infineon Technologies AG |
1,066,060 | 24,361,930 | ||||||
|
Rational AG |
11,356 | 9,137,184 | ||||||
|
SAP SE |
203,479 | 27,608,306 | ||||||
|
SAP SE, ADR(a) |
110,659 | 14,827,199 | ||||||
|
Scout24 AG, 144A |
118,848 | 7,884,009 | ||||||
|
|
|
|||||||
| 149,033,399 | ||||||||
|
|
|
|||||||
|
Hong Kong — 3.0% |
||||||||
|
AIA Group Ltd. |
4,333,026 | 45,542,129 | ||||||
|
Techtronic Industries Co. Ltd. |
2,599,560 | 21,289,306 | ||||||
|
|
|
|||||||
| 66,831,435 | ||||||||
|
|
|
|||||||
|
India — 1.5% |
||||||||
|
HDFC Bank Ltd., ADR |
235,718 | 14,937,450 | ||||||
|
Housing Development Finance Corp. Ltd. |
358,106 | 12,119,020 | ||||||
|
Reliance Industries Ltd. |
332,174 | 7,056,334 | ||||||
|
|
|
|||||||
| 34,112,804 | ||||||||
|
|
|
|||||||
|
Ireland — 2.3% |
||||||||
|
AerCap Holdings NV* |
180,771 | 11,111,993 | ||||||
|
CRH PLC |
318,465 | 12,849,392 | ||||||
|
Kerry Group PLC (Class A Stock) |
104,954 | 13,086,204 | ||||||
|
Kingspan Group PLC |
231,485 | 14,151,158 | ||||||
|
|
|
|||||||
| 51,198,747 | ||||||||
|
|
|
|||||||
|
Israel — 1.1% |
||||||||
|
Check Point Software Technologies Ltd.*(a) |
220,318 | 24,446,485 | ||||||
|
|
|
|||||||
|
Italy — 2.5% |
||||||||
|
Brunello Cucinelli SpA |
464,233 | 16,454,149 | ||||||
|
Ferrari NV |
182,871 | 30,302,322 | ||||||
|
Nexi SpA, 144A* |
612,225 | 8,523,920 | ||||||
|
|
|
|||||||
| 55,280,391 | ||||||||
|
|
|
|||||||
|
Japan — 7.9% |
||||||||
|
Asahi Intecc Co. Ltd. |
138,800 | 4,057,779 | ||||||
|
Bridgestone Corp. |
220,300 | 8,183,387 | ||||||
|
Daikin Industries Ltd. |
155,791 | 21,966,970 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A36
| AST INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Japan (continued) |
||||||||
|
Freee KK, 144A* |
29,215 | $ | 867,133 | |||||
|
Hoya Corp. |
225,200 | 21,536,258 | ||||||
|
Kao Corp. |
90,600 | 7,478,502 | ||||||
|
Keyence Corp. |
76,072 | 26,783,576 | ||||||
|
Kose Corp. |
62,400 | 9,107,051 | ||||||
|
Nitori Holdings Co. Ltd. |
42,300 | 6,681,499 | ||||||
|
Persol Holdings Co. Ltd. |
352,000 | 6,582,933 | ||||||
|
Sanwa Holdings Corp. |
848,200 | 9,507,225 | ||||||
|
Shionogi & Co. Ltd. |
177,600 | 10,988,474 | ||||||
|
Shiseido Co. Ltd. |
169,400 | 12,037,331 | ||||||
|
SMC Corp. |
28,200 | 12,867,199 | ||||||
|
Terumo Corp. |
187,600 | 6,669,602 | ||||||
|
Toyota Motor Corp. |
142,800 | 10,065,943 | ||||||
|
|
|
|||||||
| 175,380,862 | ||||||||
|
|
|
|||||||
|
Luxembourg — 0.2% |
||||||||
|
Tenaris SA |
409,115 | 4,620,715 | ||||||
|
|
|
|||||||
|
Macau — 0.5% |
||||||||
|
Galaxy Entertainment Group Ltd. |
1,357,000 | 10,007,663 | ||||||
|
|
|
|||||||
|
Netherlands — 5.1% |
||||||||
|
Adyen NV, 144A* |
46,249 | 37,946,477 | ||||||
|
ASML Holding NV |
134,775 | 40,085,684 | ||||||
|
Heineken NV |
130,835 | 13,935,026 | ||||||
|
Koninklijke Philips NV |
291,595 | 14,260,016 | ||||||
|
NXP Semiconductors NV |
47,639 | 6,062,539 | ||||||
|
|
|
|||||||
| 112,289,742 | ||||||||
|
|
|
|||||||
|
Portugal — 0.3% |
||||||||
|
Galp Energia SGPS SA |
349,360 | 5,855,157 | ||||||
|
|
|
|||||||
|
Singapore — 0.5% |
||||||||
|
DBS Group Holdings Ltd. |
555,100 | 10,690,946 | ||||||
|
|
|
|||||||
|
Spain — 1.1% |
||||||||
|
ACS Actividades de Construccion y Servicios SA |
280,549 | 11,245,398 | ||||||
|
Amadeus IT Group SA |
173,473 | 14,180,951 | ||||||
|
|
|
|||||||
| 25,426,349 | ||||||||
|
|
|
|||||||
|
Sweden — 1.8% |
||||||||
|
Assa Abloy AB (Class B Stock) |
316,395 | 7,394,778 | ||||||
|
Atlas Copco AB (Class A Stock) |
406,838 | 16,222,849 | ||||||
|
Hexagon AB (Class B Stock) |
232,878 | 13,038,359 | ||||||
|
Swedbank AB (Class A Stock) |
238,221 | 3,543,867 | ||||||
|
|
|
|||||||
| 40,199,853 | ||||||||
|
|
|
|||||||
|
Switzerland — 11.0% |
||||||||
|
Alcon, Inc.* |
245,990 | 13,915,173 | ||||||
|
Cie Financiere Richemont SA |
65,011 | 5,113,606 | ||||||
|
Givaudan SA |
8,511 | 26,659,382 | ||||||
|
Julius Baer Group Ltd.* |
197,570 | 10,193,318 | ||||||
|
Lonza Group AG* |
67,924 | 24,785,209 | ||||||
|
Novartis AG |
335,576 | 31,831,216 | ||||||
|
Partners Group Holding AG(a) |
24,971 | 22,933,790 | ||||||
|
Roche Holding AG |
48,760 | 15,822,658 | ||||||
|
SGS SA |
3,335 | 9,139,751 | ||||||
|
SIG Combibloc Group AG* |
668,509 | 10,700,899 | ||||||
|
Sika AG |
61,088 | 11,481,683 | ||||||
|
Sonova Holding AG |
59,308 | 13,571,043 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A37
| AST INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Shares | Value | |||||||
|
AFFILIATED MUTUAL FUNDS (continued) |
|
|||||||
|
PGIM Institutional Money Market Fund (cost $79,984,195; includes $79,871,738 of cash collateral for securities on loan)(b)(w) |
79,970,366 | $ | 79,986,360 | |||||
|
|
|
|||||||
|
TOTAL AFFILIATED MUTUAL FUNDS
|
|
103,234,080 | ||||||
|
|
|
|||||||
|
UNAFFILIATED FUND — 0.7% |
||||||||
|
BlackRock Liquidity FedFund |
15,443,374 | 15,443,374 | ||||||
|
|
|
|||||||
|
(cost $15,443,374) |
||||||||
|
TOTAL SHORT-TERM INVESTMENTS
|
|
118,677,454 | ||||||
|
|
|
|||||||
|
TOTAL INVESTMENTS — 103.6%
|
|
2,285,802,355 | ||||||
|
|
|
|||||||
|
Liabilities in excess of other assets — (3.6)% |
|
(79,002,272 | ) | |||||
|
|
|
|||||||
|
NET ASSETS — 100.0% |
|
$ | 2,206,800,083 | |||||
|
|
|
|||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $77,605,218; cash collateral of $79,871,738 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Argentina |
$ | 21,113,737 | $ | — | $ | — | ||||||
|
Australia |
— | 59,775,858 | — | |||||||||
|
Austria |
— | 10,336,019 | — | |||||||||
|
Belgium |
— | 10,439,107 | — | |||||||||
|
Canada |
99,233,214 | — | — | |||||||||
|
China |
83,058,988 | 108,535,129 | — | |||||||||
|
Denmark |
— | 59,356,434 | — | |||||||||
|
Finland |
— | 3,293,651 | — | |||||||||
|
France |
— | 285,932,846 | — | |||||||||
|
Germany |
14,827,199 | 134,206,200 | — | |||||||||
|
Hong Kong |
— | 66,831,435 | — | |||||||||
|
India |
14,937,450 | 19,175,354 | — | |||||||||
|
Ireland |
11,111,993 | 40,086,754 | — | |||||||||
|
Israel |
24,446,485 | — | — | |||||||||
|
Italy |
— | 55,280,391 | — | |||||||||
|
Japan |
867,133 | 174,513,729 | — | |||||||||
|
Luxembourg |
— | 4,620,715 | — | |||||||||
|
Macau |
— | 10,007,663 | — | |||||||||
|
Netherlands |
6,062,539 | 106,227,203 | — | |||||||||
|
Portugal |
— | 5,855,157 | — | |||||||||
|
Singapore |
— | 10,690,946 | — | |||||||||
|
Spain |
— | 25,426,349 | — | |||||||||
|
Sweden |
— | 40,199,853 | — | |||||||||
|
Switzerland |
— | 243,435,352 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A38
| AST INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Taiwan |
$ | 12,705,217 | $ | 24,268,676 | $ | — | ||||||
|
United Kingdom |
— | 273,860,815 | — | |||||||||
|
United States |
51,512,954 | 28,365,561 | — | |||||||||
|
Preferred Stock |
||||||||||||
|
Germany |
— | 26,526,795 | — | |||||||||
|
Affiliated Mutual Funds |
103,234,080 | — | — | |||||||||
|
Unaffiliated Fund |
15,443,374 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 458,554,363 | $ | 1,827,247,992 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Health Care Equipment & Supplies |
7.1 | % | ||
|
Textiles, Apparel & Luxury Goods |
6.1 | |||
|
Capital Markets |
5.6 | |||
|
Pharmaceuticals |
5.2 | |||
|
Internet & Direct Marketing Retail |
5.1 | |||
|
Software |
5.0 | |||
|
Affiliated Mutual Funds (3.6% represents investments purchased with collateral from securities on loan) |
4.7 | |||
|
Beverages |
4.5 | |||
|
IT Services |
4.3 | |||
|
Semiconductors & Semiconductor Equipment |
4.3 | |||
|
Banks |
3.8 | |||
|
Professional Services |
3.6 | |||
|
Aerospace & Defense |
3.5 | |||
|
Insurance |
3.2 | |||
|
Life Sciences Tools & Services |
3.1 | |||
|
Personal Products |
2.9 | |||
|
Machinery |
2.7 | |||
|
Trading Companies & Distributors |
2.6 | |||
|
Electronic Equipment, Instruments & Components |
2.6 | |||
|
Building Products |
2.3 | |||
|
Chemicals |
2.2 | |||
|
Hotels, Restaurants & Leisure |
1.9 | |||
|
Automobiles |
1.9 | |||
|
Oil, Gas & Consumable Fuels |
1.7 | |||
|
Entertainment |
1.6 | |||
|
Interactive Media & Services |
1.2 |
|
Electrical Equipment |
0.9 | % | ||
|
Biotechnology |
0.8 | |||
|
Road & Rail |
0.8 | |||
|
Unaffiliated Fund |
0.7 | |||
|
Auto Components |
0.7 | |||
|
Electric Utilities |
0.6 | |||
|
Equity Real Estate Investment Trusts (REITs) |
0.6 | |||
|
Food Products |
0.6 | |||
|
Construction Materials |
0.6 | |||
|
Thrifts & Mortgage Finance |
0.5 | |||
|
Construction & Engineering |
0.5 | |||
|
Household Products |
0.5 | |||
|
Containers & Packaging |
0.5 | |||
|
Food & Staples Retailing |
0.4 | |||
|
Industrial Conglomerates |
0.4 | |||
|
Multiline Retail |
0.4 | |||
|
Commercial Services & Supplies |
0.3 | |||
|
Specialty Retail |
0.3 | |||
|
Air Freight & Logistics |
0.3 | |||
|
Energy Equipment & Services |
0.2 | |||
|
Household Durables |
0.2 | |||
|
Diversified Consumer Services |
0.1 | |||
|
|
|
|||
| 103.6 | ||||
|
Liabilities in excess of other assets |
(3.6 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
SEE NOTES TO FINANCIAL STATEMENTS.
A39
| AST INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 77,605,218 | $ | (77,605,218 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A40
| AST INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $77,605,218: |
||||
|
Unaffiliated investments (cost $1,662,900,347) |
$ | 2,182,568,275 | ||
|
Affiliated investments (cost $103,231,915) |
103,234,080 | |||
|
Foreign currency, at value (cost $2,750,820) |
2,767,825 | |||
|
Cash |
42,060 | |||
|
Tax reclaim receivable |
7,498,281 | |||
|
Dividends receivable |
597,653 | |||
|
Receivable for investments sold |
460,104 | |||
|
Receivable from affiliate |
13,988 | |||
|
Prepaid expenses and other assets |
37,308 | |||
|
|
|
|||
|
Total Assets |
2,297,219,574 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
79,871,738 | |||
|
Payable to affiliate |
3,943,800 | |||
|
Payable for Portfolio shares repurchased |
3,890,460 | |||
|
Payable for investments purchased |
1,329,603 | |||
|
Management fee payable |
751,393 | |||
|
Accrued expenses and other liabilities |
333,813 | |||
|
Foreign capital gains tax liability accrued |
207,306 | |||
|
Distribution fee payable |
91,021 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
90,419,491 | |||
|
|
|
|||
| NET ASSETS | $ | 2,206,800,083 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 2,206,800,083 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $2,206,800,083 / 107,515,638 outstanding shares of beneficial interest |
$ | 20.53 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
|
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS |
||||||||
|
Net investment income (loss) |
$ | 12,705,853 | $ | 16,973,609 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
122,488,759 | 210,616,324 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
426,292,066 | (543,275,666 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
561,486,678 | (315,685,733 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [11,169,762 and 8,207,217 shares, respectively] |
198,115,322 | 145,308,018 | ||||||
|
Portfolio shares repurchased [17,949,955 and 37,678,734 shares, respectively] |
(329,685,797 | ) | (632,728,458 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(131,570,475 | ) | (487,420,440 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 559,603 | 2,267,423 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 430,475,806 | (800,838,750 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
1,776,324,277 | 2,577,163,027 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 2,206,800,083 | $ | 1,776,324,277 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A41
| AST INTERNATIONAL VALUE PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 98.1% |
|
|||||||
| COMMON STOCKS — 97.0% | Shares | Value | ||||||
|
Australia — 4.0% |
|
|||||||
|
AGL Energy Ltd. |
266,900 | $ | 3,841,680 | |||||
|
Beach Energy Ltd. |
230,000 | 409,139 | ||||||
|
BHP Group PLC |
450,378 | 10,610,374 | ||||||
|
Coca-Cola Amatil Ltd. |
150,400 | 1,167,514 | ||||||
|
CSR Ltd. |
1,070,300 | 3,412,299 | ||||||
|
Fortescue Metals Group Ltd. |
1,281,400 | 9,640,837 | ||||||
|
Harvey Norman Holdings Ltd.(a) |
1,222,969 | 3,497,217 | ||||||
|
Inghams Group Ltd.(a) |
832,600 | 1,966,978 | ||||||
|
Lendlease Group |
318,900 | 3,933,719 | ||||||
|
Link Administration Holdings Ltd. |
113,400 | 467,446 | ||||||
|
Metcash Ltd. |
2,725,199 | 4,906,133 | ||||||
|
Mineral Resources Ltd. |
232,300 | 2,699,257 | ||||||
|
Mirvac Group, REIT |
2,126,200 | 4,745,604 | ||||||
|
Myer Holdings Ltd.*(a) |
2,108,600 | 710,765 | ||||||
|
Perenti Global Ltd. |
1,790,400 | 2,041,905 | ||||||
|
Qantas Airways Ltd. |
1,938,002 | 9,708,981 | ||||||
|
Rio Tinto Ltd. |
125,800 | 8,883,255 | ||||||
|
St. Barbara Ltd. |
1,118,600 | 2,126,756 | ||||||
|
Stockland, REIT |
1,210,000 | 3,922,095 | ||||||
|
Super Retail Group Ltd. |
40,300 | 286,417 | ||||||
|
|
|
|||||||
| 78,978,371 | ||||||||
|
|
|
|||||||
|
Austria — 0.7% |
||||||||
|
OMV AG |
138,300 | 7,771,521 | ||||||
|
voestalpine AG |
144,800 | 4,062,988 | ||||||
|
Wienerberger AG |
89,800 | 2,661,255 | ||||||
|
|
|
|||||||
| 14,495,764 | ||||||||
|
|
|
|||||||
|
Belgium — 0.5% |
||||||||
|
Bekaert SA |
142,800 | 4,240,100 | ||||||
|
UCB SA |
61,600 | 4,899,370 | ||||||
|
|
|
|||||||
| 9,139,470 | ||||||||
|
|
|
|||||||
|
Canada — 2.2% |
||||||||
|
Canadian National Railway Co. |
96,030 | 8,687,108 | ||||||
|
National Bank of Canada |
197,500 | 10,962,843 | ||||||
|
Suncor Energy, Inc. |
492,560 | 16,143,663 | ||||||
|
TMX Group Ltd. |
103,400 | 8,954,087 | ||||||
|
|
|
|||||||
| 44,747,701 | ||||||||
|
|
|
|||||||
|
China — 1.9% |
||||||||
|
China Resources Cement Holdings Ltd. |
6,988,000 | 8,915,769 | ||||||
|
ESR Cayman Ltd., 144A* |
1,382,600 | 3,113,493 | ||||||
|
Kingboard Holdings Ltd. |
1,618,800 | 5,153,054 | ||||||
|
Lee & Man Paper Manufacturing Ltd. |
5,815,500 | 4,415,454 | ||||||
|
Ping An Insurance Group Co. of China Ltd. (Class H Stock) |
1,099,000 | 13,045,228 | ||||||
|
Shenzhen International Holdings Ltd. |
1,246,500 | 2,744,469 | ||||||
|
|
|
|||||||
| 37,387,467 | ||||||||
|
|
|
|||||||
|
Denmark — 0.9% |
||||||||
|
Carlsberg A/S (Class B Stock) |
82,848 | 12,359,572 | ||||||
|
Danske Bank A/S |
248,400 | 4,020,386 | ||||||
|
Dfds A/S |
53,800 | 2,623,785 | ||||||
|
|
|
|||||||
| 19,003,743 | ||||||||
|
|
|
|||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Finland — 1.6% |
||||||||
|
Nordea Bank Abp |
1,587,086 | $ | 12,816,512 | |||||
|
Sampo OYJ (Class A Stock) |
234,751 | 10,249,670 | ||||||
|
UPM-Kymmene OYJ |
200,400 | 6,946,777 | ||||||
|
Valmet OYJ |
72,700 | 1,742,514 | ||||||
|
|
|
|||||||
| 31,755,473 | ||||||||
|
|
|
|||||||
|
France — 11.9% |
||||||||
|
Air Liquide SA |
95,879 | 13,587,253 | ||||||
|
Arkema SA |
52,200 | 5,547,011 | ||||||
|
Atos SE |
65,920 | 5,509,051 | ||||||
|
AXA SA |
305,800 | 8,616,497 | ||||||
|
BNP Paribas SA |
267,206 | 15,885,046 | ||||||
|
Bouygues SA |
137,500 | 5,851,551 | ||||||
|
Cie Generale des Etablissements Michelin SCA |
62,600 | 7,665,777 | ||||||
|
Cie Plastic Omnium SA |
103,600 | 2,896,089 | ||||||
|
CNP Assurances |
224,900 | 4,476,244 | ||||||
|
Credit Agricole SA |
466,400 | 6,774,520 | ||||||
|
Engie SA |
1,441,050 | 23,295,799 | ||||||
|
Natixis SA |
818,900 | 3,642,711 | ||||||
|
Orange SA |
383,400 | 5,641,006 | ||||||
|
Peugeot SA |
164,100 | 3,947,800 | ||||||
|
Renault SA |
73,200 | 3,464,675 | ||||||
|
Safran SA |
124,551 | 19,255,079 | ||||||
|
Sanofi |
445,770 | 44,862,438 | ||||||
|
Societe BIC SA |
2,000 | 139,062 | ||||||
|
Societe Generale SA |
110,300 | 3,844,114 | ||||||
|
Sopra Steria Group |
16,500 | 2,658,564 | ||||||
|
TOTAL SA |
358,200 | 19,834,222 | ||||||
|
Valeo SA |
51,200 | 1,804,333 | ||||||
|
Vinci SA |
87,116 | 9,696,111 | ||||||
|
Vivendi SA |
606,601 | 17,561,939 | ||||||
|
|
|
|||||||
| 236,456,892 | ||||||||
|
|
|
|||||||
|
Germany — 6.9% |
||||||||
|
Allianz SE |
51,100 | 12,523,932 | ||||||
|
Aurubis AG |
46,100 | 2,844,703 | ||||||
|
Bayer AG |
29,500 | 2,408,221 | ||||||
|
Bayerische Motoren Werke AG |
81,100 | 6,668,087 | ||||||
|
Covestro AG, 144A |
119,000 | 5,568,031 | ||||||
|
Daimler AG |
124,000 | 6,880,811 | ||||||
|
Deutsche Lufthansa AG |
362,100 | 6,685,483 | ||||||
|
Deutsche Post AG |
222,800 | 8,532,818 | ||||||
|
Duerr AG(a) |
101,000 | 3,450,403 | ||||||
|
Fresenius Medical Care AG & Co. KGaA |
74,375 | 5,522,447 | ||||||
|
Fresenius SE & Co. KGaA |
103,512 | 5,840,853 | ||||||
|
METRO AG |
276,000 | 4,417,822 | ||||||
|
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen |
27,300 | 8,053,302 | ||||||
|
Rheinmetall AG |
56,800 | 6,540,828 | ||||||
|
SAP SE |
193,019 | 26,189,079 | ||||||
|
Siemens AG |
24,000 | 3,144,944 | ||||||
|
Siltronic AG |
45,900 | 4,656,150 | ||||||
|
Volkswagen AG |
61,900 | 12,073,761 | ||||||
|
Vonovia SE |
103,903 | 5,603,639 | ||||||
|
|
|
|||||||
| 137,605,314 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A42
| AST INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Hong Kong — 1.1% |
||||||||
|
CK Asset Holdings Ltd. |
288,000 | $ | 2,076,075 | |||||
|
Dah Sing Financial Holdings Ltd. |
484,312 | 1,907,680 | ||||||
|
Skyworth Group Ltd.* |
7,664,000 | 2,222,453 | ||||||
|
Tongda Group Holdings Ltd. |
22,264,000 | 2,793,770 | ||||||
|
WH Group Ltd., 144A |
6,681,500 | 6,919,943 | ||||||
|
Yue Yuen Industrial Holdings Ltd. |
1,736,000 | 5,138,208 | ||||||
|
|
|
|||||||
| 21,058,129 | ||||||||
|
|
|
|||||||
|
Indonesia — 0.2% |
||||||||
|
Bank Mandiri Persero Tbk PT |
5,659,600 | 3,121,125 | ||||||
|
|
|
|||||||
|
Ireland — 1.0% |
||||||||
|
C&C Group PLC |
423,900 | 2,277,337 | ||||||
|
Ryanair Holdings PLC, ADR* |
132,618 | 11,618,663 | ||||||
|
Smurfit Kappa Group PLC |
181,000 | 6,953,817 | ||||||
|
|
|
|||||||
| 20,849,817 | ||||||||
|
|
|
|||||||
|
Israel — 0.7% |
||||||||
|
Bank Hapoalim BM |
374,400 | 3,111,161 | ||||||
|
Bank Leumi Le-Israel BM |
1,279,647 | 9,319,701 | ||||||
|
Teva Pharmaceutical Industries Ltd.* |
166,500 | 1,659,488 | ||||||
|
|
|
|||||||
| 14,090,350 | ||||||||
|
|
|
|||||||
|
Italy — 1.8% |
||||||||
|
Enel SpA |
2,589,500 | 20,565,526 | ||||||
|
Leonardo SpA |
500,100 | 5,862,091 | ||||||
|
Mediobanca Banca di Credito |
||||||||
|
Finanziario SpA |
516,700 | 5,696,165 | ||||||
|
UnipolSai Assicurazioni SpA |
1,385,701 | 4,021,544 | ||||||
|
|
|
|||||||
| 36,145,326 | ||||||||
|
|
|
|||||||
|
Japan — 20.9% |
||||||||
|
AGC, Inc. |
190,200 | 6,793,451 | ||||||
|
Aisin Seiki Co. Ltd. |
92,700 | 3,439,826 | ||||||
|
Aozora Bank Ltd. |
98,300 | 2,601,396 | ||||||
|
Asahi Group Holdings Ltd. |
169,300 | 7,738,931 | ||||||
|
Astellas Pharma, Inc. |
643,400 | 10,994,048 | ||||||
|
Brother Industries Ltd. |
173,700 | 3,575,838 | ||||||
|
Credit Saison Co. Ltd. |
196,600 | 3,410,464 | ||||||
|
Daiwa House Industry Co. Ltd. |
598,494 | 18,504,398 | ||||||
|
EDION Corp. |
12,400 | 137,840 | ||||||
|
Fujikura Ltd. |
455,800 | 1,873,422 | ||||||
|
Fuyo General Lease Co. Ltd. |
65,100 | 4,378,884 | ||||||
|
Hazama Ando Corp. |
528,100 | 4,586,129 | ||||||
|
Hitachi Ltd. |
555,800 | 23,414,421 | ||||||
|
Honda Motor Co. Ltd. |
27,200 | 769,926 | ||||||
|
Isuzu Motors Ltd. |
330,400 | 3,913,832 | ||||||
|
ITOCHU Corp. |
584,400 | 13,569,791 | ||||||
|
Japan Airlines Co. Ltd. |
205,800 | 6,398,085 | ||||||
|
Japan Aviation Electronics Industry Ltd. |
192,000 | 3,872,678 | ||||||
|
JTEKT Corp. |
329,500 | 3,887,400 | ||||||
|
Kaneka Corp. |
80,100 | 2,568,865 | ||||||
|
Kao Corp. |
149,590 | 12,347,782 | ||||||
|
KDDI Corp. |
604,600 | 18,045,321 | ||||||
|
Keihin Corp. |
223,500 | 5,223,598 | ||||||
|
Keiyo Bank Ltd. (The) |
405,500 | 2,341,256 | ||||||
|
Komatsu Ltd. |
171,800 | 4,134,585 | ||||||
|
Makita Corp. |
265,400 | 9,203,408 | ||||||
|
Marubeni Corp. |
779,500 | 5,756,826 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Japan (continued) |
||||||||
|
Mazda Motor Corp. |
317,700 | $ | 2,706,280 | |||||
|
Mitsubishi Chemical Holdings Corp. |
501,200 | 3,746,540 | ||||||
|
Mitsubishi Gas Chemical Co., Inc. |
278,600 | 4,244,757 | ||||||
|
Mitsubishi UFJ Financial Group, Inc. |
1,645,700 | 8,901,674 | ||||||
|
Mitsubishi UFJ Lease & Finance Co. Ltd. |
859,800 | 5,532,981 | ||||||
|
Mitsui & Co. Ltd. |
401,200 | 7,121,469 | ||||||
|
Mitsui Chemicals, Inc. |
220,100 | 5,372,187 | ||||||
|
Mizuho Financial Group, Inc. |
4,359,500 | 6,704,838 | ||||||
|
Morinaga Milk Industry Co. Ltd. |
101,300 | 4,136,434 | ||||||
|
Nexon Co. Ltd.* |
739,300 | 9,807,620 | ||||||
|
Nikon Corp. |
227,800 | 2,785,051 | ||||||
|
Nintendo Co. Ltd. |
37,200 | 14,994,787 | ||||||
|
Nippon Telegraph & Telephone Corp. |
754,400 | 19,152,603 | ||||||
|
Nishi-Nippon Financial Holdings, Inc. |
297,400 | 2,322,081 | ||||||
|
NTT DOCOMO, Inc. |
84,100 | 2,342,448 | ||||||
|
Obayashi Corp. |
105,200 | 1,169,996 | ||||||
|
Pan Pacific International Holdings Corp. |
454,920 | 7,551,154 | ||||||
|
Resona Holdings, Inc. |
1,895,200 | 8,262,696 | ||||||
|
Sankyu, Inc. |
2,600 | 130,493 | ||||||
|
Sawai Pharmaceutical Co. Ltd. |
48,200 | 3,056,864 | ||||||
|
Shin-Etsu Chemical Co. Ltd. |
101,700 | 11,194,911 | ||||||
|
Shizuoka Gas Co. Ltd. |
383,800 | 3,330,936 | ||||||
|
SKY Perfect JSAT Holdings, Inc. |
1,083,400 | 4,813,358 | ||||||
|
Sompo Holdings, Inc. |
151,900 | 5,954,164 | ||||||
|
Sumitomo Corp. |
342,300 | 5,075,254 | ||||||
|
Sumitomo Forestry Co. Ltd. |
310,600 | 4,585,683 | ||||||
|
Sumitomo Heavy Industries Ltd. |
176,900 | 5,030,481 | ||||||
|
Sumitomo Mitsui Financial Group, Inc. |
567,300 | 20,899,923 | ||||||
|
Suzuki Motor Corp. |
169,200 | 7,049,699 | ||||||
|
Teijin Ltd. |
327,200 | 6,123,175 | ||||||
|
Tokai Rika Co. Ltd. |
15,800 | 308,627 | ||||||
|
Towa Pharmaceutical Co. Ltd. |
137,700 | 3,578,537 | ||||||
|
Toyo Tire Corp. |
156,500 | 2,247,154 | ||||||
|
Toyoda Gosei Co. Ltd. |
158,000 | 3,949,897 | ||||||
|
Toyota Motor Corp. |
67,574 | 4,763,277 | ||||||
|
Tsubakimoto Chain Co. |
107,200 | 3,772,391 | ||||||
|
Ube Industries Ltd. |
214,800 | 4,657,468 | ||||||
|
Ulvac, Inc. |
93,500 | 3,692,561 | ||||||
|
Yamaha Corp. |
149,300 | 8,288,064 | ||||||
|
Yokohama Rubber Co. Ltd. (The) |
148,300 | 2,882,338 | ||||||
|
|
|
|||||||
| 415,723,252 | ||||||||
|
|
|
|||||||
|
Luxembourg — 0.3% |
||||||||
|
ArcelorMittal SA |
315,464 | 5,572,690 | ||||||
|
|
|
|||||||
|
Mexico — 0.2% |
||||||||
|
Arca Continental SAB de CV |
658,500 | 3,483,093 | ||||||
|
|
|
|||||||
|
Netherlands — 5.3% |
||||||||
|
ABN AMRO Bank NV, 144A, CVA |
725,693 | 13,229,341 | ||||||
|
Aegon NV |
740,800 | 3,385,655 | ||||||
|
ING Groep NV |
415,900 | 4,997,520 | ||||||
|
Koninklijke Ahold Delhaize NV |
534,100 | 13,350,419 | ||||||
|
Koninklijke DSM NV |
102,908 | 13,413,380 | ||||||
|
NN Group NV |
119,500 | 4,536,818 | ||||||
|
Royal Dutch Shell PLC (Class A Stock) |
805,893 | 23,931,540 | ||||||
|
Royal Dutch Shell PLC (Class B Stock) |
459,100 | 13,664,999 | ||||||
|
Signify NV, 144A |
223,800 | 7,000,074 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A43
| AST INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Netherlands (continued) |
||||||||
|
Wolters Kluwer NV |
122,133 | $ | 8,915,882 | |||||
|
|
|
|||||||
| 106,425,628 | ||||||||
|
|
|
|||||||
|
New Zealand — 0.3% |
||||||||
|
Air New Zealand Ltd. |
2,919,400 | 5,770,044 | ||||||
|
|
|
|||||||
|
Norway — 2.2% |
||||||||
|
DNB ASA |
292,300 | 5,464,011 | ||||||
|
Equinor ASA |
684,546 | 13,668,432 | ||||||
|
Leroy Seafood Group ASA |
680,800 | 4,524,721 | ||||||
|
Mowi ASA |
391,092 | 10,153,084 | ||||||
|
Telenor ASA |
518,377 | 9,286,100 | ||||||
|
|
|
|||||||
| 43,096,348 | ||||||||
|
|
|
|||||||
|
Singapore — 1.6% |
||||||||
|
DBS Group Holdings Ltd. |
1,053,740 | 20,294,502 | ||||||
|
Hong Leong Asia Ltd.* |
957,700 | 477,436 | ||||||
|
NetLink NBN Trust, UTS |
9,817,200 | 6,900,624 | ||||||
|
Venture Corp. Ltd. |
286,100 | 3,459,788 | ||||||
|
|
|
|||||||
| 31,132,350 | ||||||||
|
|
|
|||||||
|
South Africa — 0.1% |
||||||||
|
Investec PLC |
451,400 | 2,658,664 | ||||||
|
|
|
|||||||
|
South Korea — 1.0% |
||||||||
|
Samsung Electronics Co. Ltd. |
432,533 | 20,817,260 | ||||||
|
|
|
|||||||
|
Spain — 1.7% |
||||||||
|
Banco Santander SA |
1,390,900 | 5,833,459 | ||||||
|
Iberdrola SA |
279,000 | 2,880,971 | ||||||
|
Mapfre SA |
1,876,692 | 4,972,791 | ||||||
|
Red Electrica Corp. SA |
348,849 | 7,024,882 | ||||||
|
Repsol SA |
580,400 | 9,100,269 | ||||||
|
Telefonica SA |
710,900 | 4,971,014 | ||||||
|
|
|
|||||||
| 34,783,386 | ||||||||
|
|
|
|||||||
|
Sweden — 3.1% |
||||||||
|
Assa Abloy AB (Class B Stock) |
765,230 | 17,884,940 | ||||||
|
Boliden AB |
190,300 | 5,056,086 | ||||||
|
Electrolux AB (Class B Stock) |
149,700 | 3,672,476 | ||||||
|
Epiroc AB (Class A Stock) |
1,010,871 | 12,329,185 | ||||||
|
Sandvik AB |
268,600 | 5,231,147 | ||||||
|
SKF AB (Class B Stock) |
377,800 | 7,632,782 | ||||||
|
Volvo AB (Class B Stock) |
555,900 | 9,302,322 | ||||||
|
|
|
|||||||
| 61,108,938 | ||||||||
|
|
|
|||||||
|
Switzerland — 7.3% |
||||||||
|
ABB Ltd. |
702,366 | 16,992,927 | ||||||
|
Adecco Group AG |
91,680 | 5,794,572 | ||||||
|
Baloise Holding AG |
24,800 | 4,484,618 | ||||||
|
Credit Suisse Group AG* |
664,200 | 8,965,135 | ||||||
|
Helvetia Holding AG |
16,500 | 2,333,800 | ||||||
|
Landis+Gyr Group AG* |
52,000 | 5,402,509 | ||||||
|
Novartis AG |
271,104 | 25,715,695 | ||||||
|
Roche Holding AG |
102,000 | 33,099,079 | ||||||
|
Swiss Life Holding AG |
23,800 | 11,952,734 | ||||||
|
Swiss Re AG |
74,700 | 8,387,993 | ||||||
|
UBS Group AG* |
698,300 | 8,817,196 | ||||||
|
Zurich Insurance Group AG |
34,400 | 14,111,201 | ||||||
|
|
|
|||||||
| 146,057,459 | ||||||||
|
|
|
|||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
United Arab Emirates — 0.2% |
||||||||
|
Network International Holdings PLC, 144A* |
534,266 | $ | 4,539,152 | |||||
|
|
|
|||||||
|
United Kingdom — 14.9% |
||||||||
|
3i Group PLC |
578,800 | 8,437,546 | ||||||
|
Ashtead Group PLC |
189,100 | 6,056,100 | ||||||
|
Aviva PLC |
649,600 | 3,623,674 | ||||||
|
Babcock International Group PLC |
557,800 | 4,651,560 | ||||||
|
BAE Systems PLC |
1,611,148 | 12,057,630 | ||||||
|
Barclays PLC |
2,371,600 | 5,661,074 | ||||||
|
Barratt Developments PLC |
536,800 | 5,332,596 | ||||||
|
Bellway PLC |
113,800 | 5,742,764 | ||||||
|
Berkeley Group Holdings PLC |
24,800 | 1,595,835 | ||||||
|
Bovis Homes Group PLC |
248,000 | 4,471,553 | ||||||
|
BP PLC |
2,380,200 | 14,926,501 | ||||||
|
British American Tobacco PLC |
214,600 | 9,196,897 | ||||||
|
BT Group PLC |
1,976,800 | 5,040,470 | ||||||
|
Centrica PLC |
1,876,600 | 2,221,353 | ||||||
|
CK Hutchison Holdings Ltd. |
774,500 | 7,391,250 | ||||||
|
Compass Group PLC |
289,455 | 7,262,795 | ||||||
|
Debenhams PLC*^(a) |
1,384,862 | 183 | ||||||
|
Dialog Semiconductor PLC* |
9,100 | 462,385 | ||||||
|
Dixons Carphone PLC |
1,147,300 | 2,192,631 | ||||||
|
GlaxoSmithKline PLC |
916,500 | 21,618,351 | ||||||
|
Go-Ahead Group PLC (The) |
148,200 | 4,356,632 | ||||||
|
Howden Joinery Group PLC |
563,336 | 5,023,394 | ||||||
|
Imperial Brands PLC |
310,800 | 7,741,143 | ||||||
|
Inchcape PLC |
489,500 | 4,585,213 | ||||||
|
Informa PLC |
990,909 | 11,267,065 | ||||||
|
International Consolidated Airlines Group SA |
565,500 | 4,685,572 | ||||||
|
J Sainsbury PLC |
2,124,600 | 6,475,195 | ||||||
|
Kingfisher PLC |
1,390,500 | 3,997,565 | ||||||
|
Legal & General Group PLC |
1,571,000 | 6,354,747 | ||||||
|
Lloyds Banking Group PLC |
11,415,600 | 9,476,804 | ||||||
|
Marks & Spencer Group PLC |
1,296,600 | 3,693,414 | ||||||
|
Marston’s PLC |
1,392,600 | 2,349,550 | ||||||
|
Micro Focus International PLC |
115,800 | 1,630,990 | ||||||
|
Premier Foods PLC* |
200,276 | 100,569 | ||||||
|
Prudential PLC |
850,110 | 16,360,745 | ||||||
|
Redrow PLC |
194,952 | 1,928,267 | ||||||
|
RELX PLC |
839,685 | 21,206,442 | ||||||
|
Restaurant Group PLC (The) |
534,400 | 1,157,678 | ||||||
|
Royal Mail PLC |
484,100 | 1,451,195 | ||||||
|
RSA Insurance Group PLC |
1,056,718 | 7,926,756 | ||||||
|
Tate & Lyle PLC |
588,000 | 5,931,051 | ||||||
|
Taylor Wimpey PLC |
1,548,800 | 3,990,581 | ||||||
|
Tesco PLC |
6,227,562 | 21,073,175 | ||||||
|
Unilever PLC |
151,203 | 8,747,887 | ||||||
|
Vesuvius PLC |
385,700 | 2,552,658 | ||||||
|
Weir Group PLC (The) |
258,256 | 5,166,586 | ||||||
|
|
|
|||||||
| 297,174,022 | ||||||||
|
|
|
|||||||
|
United States — 2.5% |
||||||||
|
Aon PLC |
73,835 | 15,379,092 | ||||||
|
Ferguson PLC |
109,789 | 9,977,066 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A44
| AST INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Shares | Value | |||||||
|
AFFILIATED MUTUAL FUNDS (continued) |
|
|||||||
|
PGIM Institutional Money Market Fund
|
4,216,623 | $ | 4,217,466 | |||||
|
|
|
|||||||
|
TOTAL SHORT-TERM INVESTMENTS
|
25,458,458 | |||||||
|
|
|
|||||||
|
TOTAL INVESTMENTS — 99.4%
|
1,980,216,126 | |||||||
|
Other assets in excess of liabilities — 0.6% |
|
12,287,884 | ||||||
|
|
|
|||||||
|
NET ASSETS — 100.0% |
$ | 1,992,504,010 | ||||||
|
|
|
|||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| ^ |
Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $183 and 0.0% of net assets. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $3,933,456; cash collateral of $4,195,767 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as the manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Australia |
$ | — | $ | 78,978,371 | $ | — | ||||||
|
Austria |
— | 14,495,764 | — | |||||||||
|
Belgium |
— | 9,139,470 | — | |||||||||
|
Canada |
44,747,701 | — | — | |||||||||
|
China |
— | 37,387,467 | — | |||||||||
|
Denmark |
— | 19,003,743 | — | |||||||||
|
Finland |
— | 31,755,473 | — | |||||||||
|
France |
— | 236,456,892 | — | |||||||||
|
Germany |
— | 137,605,314 | — | |||||||||
|
Hong Kong |
— | 21,058,129 | — | |||||||||
|
Indonesia |
— | 3,121,125 | — | |||||||||
|
Ireland |
11,618,663 | 9,231,154 | — | |||||||||
|
Israel |
— | 14,090,350 | — | |||||||||
|
Italy |
— | 36,145,326 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A45
| AST INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Japan |
$ | — | $ | 415,723,252 | $ | — | ||||||
|
Luxembourg |
— | 5,572,690 | — | |||||||||
|
Mexico |
3,483,093 | — | — | |||||||||
|
Netherlands |
— | 106,425,628 | — | |||||||||
|
New Zealand |
— | 5,770,044 | — | |||||||||
|
Norway |
— | 43,096,348 | — | |||||||||
|
Singapore |
— | 31,132,350 | — | |||||||||
|
South Africa |
— | 2,658,664 | — | |||||||||
|
South Korea |
— | 20,817,260 | — | |||||||||
|
Spain |
— | 34,783,386 | — | |||||||||
|
Sweden |
— | 61,108,938 | — | |||||||||
|
Switzerland |
— | 146,057,459 | — | |||||||||
|
United Arab Emirates |
— | 4,539,152 | — | |||||||||
|
United Kingdom |
— | 297,173,839 | 183 | |||||||||
|
United States |
40,237,121 | 9,977,066 | — | |||||||||
|
Preferred Stock |
||||||||||||
|
Germany |
— | 21,089,385 | — | |||||||||
|
Rights |
||||||||||||
|
Spain |
275,388 | — | — | |||||||||
|
Warrants |
||||||||||||
|
United States |
— | 1,480 | — | |||||||||
|
Affiliated Mutual Funds |
25,458,458 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 125,820,424 | $ | 1,854,395,519 | $ | 183 | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Banks |
9.6 | % | ||
|
Insurance |
8.4 | |||
|
Pharmaceuticals |
7.8 | |||
|
Oil, Gas & Consumable Fuels |
6.0 | |||
|
Chemicals |
3.9 | |||
|
Machinery |
3.9 | |||
|
Automobiles |
3.7 | |||
|
Metals & Mining |
2.9 | |||
|
Trading Companies & Distributors |
2.7 | |||
|
Diversified Telecommunication Services |
2.6 | |||
|
Food & Staples Retailing |
2.6 | |||
|
Electronic Equipment, Instruments & Components |
2.3 | |||
|
Airlines |
2.2 | |||
|
Entertainment |
2.2 | |||
|
Capital Markets |
1.9 | |||
|
Aerospace & Defense |
1.9 | |||
|
Household Durables |
1.8 | |||
|
Professional Services |
1.8 | |||
|
Food Products |
1.7 | |||
|
Real Estate Management & Development |
1.7 | |||
|
Electric Utilities |
1.5 | |||
|
Auto Components |
1.5 | |||
|
Multi-Utilities |
1.5 | |||
|
Software |
1.4 | |||
|
Beverages |
1.4 | |||
|
Electrical Equipment |
1.3 |
|
Affiliated Mutual Funds (0.2% represents investments purchased with collateral from securities on loan) |
1.3 | % | ||
|
Health Care Equipment & Supplies |
1.2 | |||
|
Building Products |
1.2 | |||
|
Technology Hardware, Storage & Peripherals |
1.2 | |||
|
Construction & Engineering |
1.1 | |||
|
Personal Products |
1.0 | |||
|
Wireless Telecommunication Services |
1.0 | |||
|
Industrial Conglomerates |
0.9 | |||
|
Tobacco |
0.9 | |||
|
Media |
0.8 | |||
|
Multiline Retail |
0.8 | |||
|
Construction Materials |
0.7 | |||
|
Road & Rail |
0.6 | |||
|
IT Services |
0.6 | |||
|
Health Care Providers & Services |
0.6 | |||
|
Paper & Forest Products |
0.6 | |||
|
Hotels, Restaurants & Leisure |
0.6 | |||
|
Air Freight & Logistics |
0.5 | |||
|
Diversified Financial Services |
0.5 | |||
|
Semiconductors & Semiconductor Equipment |
0.4 | |||
|
Equity Real Estate Investment Trusts (REITs) |
0.4 | |||
|
Leisure Products |
0.4 | |||
|
Containers & Packaging |
0.3 | |||
|
Specialty Retail |
0.3 | |||
|
Textiles, Apparel & Luxury Goods |
0.3 | |||
|
Commercial Services & Supplies |
0.2 |
SEE NOTES TO FINANCIAL STATEMENTS.
A46
| AST INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Industry Classification (continued): | ||||
|
Distributors |
0.2 | % | ||
|
Consumer Finance |
0.2 | |||
|
Gas Utilities |
0.2 | |||
|
Transportation Infrastructure |
0.1 | |||
|
Marine |
0.1 | |||
|
|
|
|||
| 99.4 | ||||
|
Other assets in excess of liabilities |
0.6 | |||
|
|
|
|||
| 100.0 | % | |||
|
|
|
|||
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Asset Derivatives |
Liability Derivatives |
|||||||||||
|
Derivatives not accounted for as hedging
|
Statement of
|
Fair
Value |
Statement of
|
Fair
Value |
||||||||
|
Equity contracts |
Unaffiliated investments | $ | 276,868 | — | $ | — | ||||||
|
|
|
|
|
|||||||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
|
Amount of Realized Gain (Loss) on Derivatives Recognized in Income |
||||
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Rights(1) | |||
|
Equity contracts |
$ | 221,408 | ||
|
|
|
|||
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Rights(2) | Warrants(2) | ||||||
|
Equity contracts |
$ | 6,500 | $ | (867 | ) | |||
|
|
|
|
|
|||||
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
SEE NOTES TO FINANCIAL STATEMENTS.
A47
| AST INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 3,933,456 | $ | (3,933,456 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A48
| AST INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $3,933,456: |
||||
|
Unaffiliated investments (cost $1,795,272,788) |
$ | 1,954,757,668 | ||
|
Affiliated investments (cost $25,458,458) |
25,458,458 | |||
|
Foreign currency, at value (cost $19,685,622) |
19,893,191 | |||
|
Tax reclaim receivable |
10,253,545 | |||
|
Receivable for investments sold |
2,439,029 | |||
|
Dividends receivable |
2,230,891 | |||
|
Receivable for Portfolio shares sold |
311,109 | |||
|
Receivable from affiliate |
22,904 | |||
|
Prepaid expenses and other assets |
34,099 | |||
|
|
|
|||
|
Total Assets |
2,015,400,894 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable for investments purchased |
8,981,801 | |||
|
Payable to broker for collateral for securities on loan |
4,195,767 | |||
|
Payable to affiliate |
4,156,588 | |||
|
Loan payable |
3,583,000 | |||
|
Management fee payable |
721,099 | |||
|
Accrued expenses and other liabilities |
644,081 | |||
|
Payable to custodian |
529,622 | |||
|
Distribution fee payable |
81,943 | |||
|
Payable for Portfolio shares repurchased |
2,626 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
22,896,884 | |||
|
|
|
|||
| NET ASSETS | $ | 1,992,504,010 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 1,992,504,010 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $1,992,504,010 / 92,852,304 outstanding shares of beneficial interest |
$ | 21.46 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 47,109,342 | $ | 49,343,848 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
(11,220,708 | ) | 63,024,261 | |||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
290,647,646 | (453,543,013 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
326,536,280 | (341,174,904 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [14,054,665 and 8,571,584 shares, respectively] |
273,622,323 | 169,434,497 | ||||||
|
Portfolio shares repurchased [9,656,500 and 29,006,417 shares, respectively] |
(189,909,507 | ) | (570,003,694 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
83,712,816 | (400,569,197 | ) | |||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 752,132 | 1,576,860 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 411,001,228 | (740,167,241 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
1,581,502,782 | 2,321,670,023 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 1,992,504,010 | $ | 1,581,502,782 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A49
| AST J.P. MORGAN INTERNATIONAL EQUITY PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 99.1% | ||||||||
| COMMON STOCKS | Shares | Value | ||||||
|
Australia — 2.1% |
||||||||
|
BHP Group Ltd. |
221,774 | $ | 6,066,232 | |||||
|
BHP Group PLC |
143,513 | 3,380,997 | ||||||
|
|
|
|||||||
| 9,447,229 | ||||||||
|
|
|
|||||||
|
Austria — 0.5% |
||||||||
|
Erste Group Bank AG* |
60,869 | 2,304,507 | ||||||
|
|
|
|||||||
|
Belgium — 2.2% |
||||||||
|
Anheuser-Busch InBev SA/NV |
68,896 | 5,621,662 | ||||||
|
KBC Group NV |
56,365 | 4,246,078 | ||||||
|
|
|
|||||||
| 9,867,740 | ||||||||
|
|
|
|||||||
|
Brazil — 0.6% |
||||||||
|
Itau Unibanco Holding SA, ADR |
280,538 | 2,566,923 | ||||||
|
|
|
|||||||
|
Canada — 0.0% |
||||||||
|
Nortel Networks Corp.*^ |
2,492 | — | ||||||
|
|
|
|||||||
|
China — 3.3% |
||||||||
|
Alibaba Group Holding Ltd., ADR* |
19,694 | 4,177,098 | ||||||
|
Ping An Insurance Group Co. of China Ltd. (Class H Stock) |
442,000 | 5,246,579 | ||||||
|
Prosus NV* |
22,849 | 1,708,614 | ||||||
|
Tencent Holdings Ltd. |
77,600 | 3,735,180 | ||||||
|
|
|
|||||||
| 14,867,471 | ||||||||
|
|
|
|||||||
|
Denmark — 1.8% |
||||||||
|
Novo Nordisk A/S (Class B Stock) |
136,498 | 7,925,652 | ||||||
|
|
|
|||||||
|
France — 15.3% |
||||||||
|
Accor SA |
79,135 | 3,708,800 | ||||||
|
Airbus SE |
36,717 | 5,382,446 | ||||||
|
AXA SA |
147,778 | 4,163,926 | ||||||
|
Capgemini SE |
39,605 | 4,839,042 | ||||||
|
EssilorLuxottica SA |
27,091 | 4,139,109 | ||||||
|
Legrand SA |
55,664 | 4,541,184 | ||||||
|
L’Oreal SA |
18,581 | 5,507,306 | ||||||
|
LVMH Moet Hennessy Louis Vuitton SE |
17,059 | 7,943,229 | ||||||
|
Orange SA |
294,305 | 4,330,142 | ||||||
|
Pernod Ricard SA |
27,714 | 4,963,758 | ||||||
|
Safran SA |
30,081 | 4,650,400 | ||||||
|
Schneider Electric SE |
62,247 | 6,396,004 | ||||||
|
TOTAL SA |
141,538 | 7,837,231 | ||||||
|
|
|
|||||||
| 68,402,577 | ||||||||
|
|
|
|||||||
|
Germany — 8.0% |
||||||||
|
adidas AG |
13,657 | 4,460,633 | ||||||
|
Allianz SE |
29,348 | 7,192,805 | ||||||
|
Continental AG |
26,244 | 3,377,293 | ||||||
|
Deutsche Boerse AG |
29,777 | 4,694,810 | ||||||
|
Muenchener
|
17,906 | 5,282,140 | ||||||
|
SAP SE |
65,664 | 8,909,380 | ||||||
|
Symrise AG |
18,040 | 1,904,230 | ||||||
|
|
|
|||||||
| 35,821,291 | ||||||||
|
|
|
|||||||
|
Hong Kong — 4.2% |
||||||||
|
AIA Group Ltd. |
1,054,200 | 11,080,135 | ||||||
|
COMMON STOCKS (continued) |
Shares | Value | ||||||
|
Hong Kong (continued) |
|
|||||||
|
CK Asset Holdings Ltd. |
578,000 | $ | 4,166,567 | |||||
|
Hong Kong Exchanges & Clearing Ltd. |
114,100 | 3,716,055 | ||||||
|
|
|
|||||||
| 18,962,757 | ||||||||
|
|
|
|||||||
|
India — 1.2% |
||||||||
|
HDFC Bank Ltd., ADR |
86,019 | 5,451,024 | ||||||
|
|
|
|||||||
|
Japan — 16.1% |
||||||||
|
Daikin Industries Ltd. |
36,300 | 5,118,402 | ||||||
|
FANUC Corp. |
18,200 | 3,361,423 | ||||||
|
Honda Motor Co. Ltd. |
61,200 | 1,732,333 | ||||||
|
Kao Corp. |
59,700 | 4,927,887 | ||||||
|
Keyence Corp. |
21,800 | 7,675,386 | ||||||
|
Komatsu Ltd. |
203,000 | 4,885,452 | ||||||
|
Kubota Corp. |
312,000 | 4,897,209 | ||||||
|
Makita Corp. |
114,000 | 3,953,235 | ||||||
|
Mitsui Fudosan Co. Ltd. |
177,700 | 4,346,429 | ||||||
|
Nidec Corp. |
28,700 | 3,914,645 | ||||||
|
Shin-Etsu Chemical Co. Ltd. |
49,000 | 5,393,812 | ||||||
|
Shiseido Co. Ltd. |
43,600 | 3,098,156 | ||||||
|
SMC Corp. |
9,423 | 4,299,561 | ||||||
|
Sony Corp. |
119,500 | 8,122,514 | ||||||
|
Sumitomo Mitsui Financial Group, Inc. |
172,700 | 6,362,448 | ||||||
|
|
|
|||||||
| 72,088,892 | ||||||||
|
|
|
|||||||
|
Macau — 0.8% |
||||||||
|
Sands China Ltd. |
698,800 | 3,740,478 | ||||||
|
|
|
|||||||
|
Netherlands — 6.1% |
||||||||
|
ASML Holding NV |
32,758 | 9,743,104 | ||||||
|
ING Groep NV |
451,849 | 5,429,489 | ||||||
|
Royal Dutch Shell PLC (Class A Stock) |
407,562 | 12,102,831 | ||||||
|
|
|
|||||||
| 27,275,424 | ||||||||
|
|
|
|||||||
|
Singapore — 1.3% |
||||||||
|
DBS Group Holdings Ltd. |
303,100 | 5,837,553 | ||||||
|
|
|
|||||||
|
South Korea — 1.4% |
||||||||
|
Samsung Electronics Co. Ltd., GDR |
5,303 | 6,337,604 | ||||||
|
|
|
|||||||
|
Spain — 1.3% |
||||||||
|
Industria de Diseno Textil SA |
162,346 | 5,729,677 | ||||||
|
|
|
|||||||
|
Sweden — 2.3% |
||||||||
|
Atlas Copco AB (Class A Stock) |
129,718 | 5,172,564 | ||||||
|
Svenska Handelsbanken AB (Class A Stock) |
479,341 | 5,159,709 | ||||||
|
|
|
|||||||
| 10,332,273 | ||||||||
|
|
|
|||||||
|
Switzerland — 12.2% |
|
|||||||
|
Alcon, Inc.* |
49,298 | 2,788,692 | ||||||
|
Cie Financiere Richemont SA |
54,827 | 4,312,557 | ||||||
|
LafargeHolcim Ltd.* |
95,898 | 5,324,505 | ||||||
|
Nestle SA |
160,192 | 17,341,331 | ||||||
|
Novartis AG |
130,823 | 12,409,276 | ||||||
|
Roche Holding AG |
37,842 | 12,279,758 | ||||||
|
|
|
|||||||
| 54,456,119 | ||||||||
|
|
|
|||||||
|
Taiwan — 1.5% |
||||||||
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR. |
118,466 | 6,882,875 | ||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A50
| AST J.P. MORGAN INTERNATIONAL EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
United Kingdom — 15.6% |
||||||||
|
Burberry Group PLC |
249,985 | $ | 7,363,426 | |||||
|
Diageo PLC |
208,277 | 8,849,133 | ||||||
|
GlaxoSmithKline PLC |
429,381 | 10,128,215 | ||||||
|
Legal & General Group PLC |
1,392,240 | 5,631,657 | ||||||
|
Linde PLC |
27,108 | 5,800,326 | ||||||
|
London Stock Exchange Group PLC |
47,908 | 4,932,761 | ||||||
|
Prudential PLC |
292,381 | 5,627,002 | ||||||
|
RELX PLC |
196,436 | 4,950,755 | ||||||
|
Smith & Nephew PLC |
202,073 | 4,921,460 | ||||||
|
Unilever PLC |
127,017 | 7,348,600 | ||||||
|
WPP PLC |
298,497 | 4,230,740 | ||||||
|
|
|
|||||||
| 69,784,075 | ||||||||
|
|
|
|||||||
|
United States — 1.3% |
||||||||
|
Ferguson PLC |
63,438 | 5,764,923 | ||||||
|
|
|
|||||||
|
TOTAL LONG-TERM INVESTMENTS (cost $350,578,127) |
443,847,064 | |||||||
|
|
|
|||||||
| Shares | Value | |||||||
| SHORT-TERM INVESTMENT — 0.7% |
|
|||||||
|
AFFILIATED MUTUAL FUND |
||||||||
|
PGIM Core Ultra Short Bond Fund(w) |
3,222,961 | $ | 3,222,961 | |||||
|
|
|
|||||||
|
TOTAL SHORT-TERM INVESTMENT
|
3,222,961 | |||||||
|
|
|
|||||||
|
TOTAL INVESTMENTS — 99.8%
|
447,070,025 | |||||||
|
Other assets in excess of liabilities — 0.2% |
|
906,532 | ||||||
|
|
|
|||||||
|
NET ASSETS — 100.0% |
$ | 447,976,557 | ||||||
|
|
|
|||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| ^ |
Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $0 and 0.0% of net assets. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Australia |
$ | — | $ | 9,447,229 | $ | — | ||||||
|
Austria |
— | 2,304,507 | — | |||||||||
|
Belgium |
— | 9,867,740 | — | |||||||||
|
Brazil |
2,566,923 | — | — | |||||||||
|
Canada |
— | — | — | |||||||||
|
China |
4,177,098 | 10,690,373 | — | |||||||||
|
Denmark |
— | 7,925,652 | — | |||||||||
|
France |
— | 68,402,577 | — | |||||||||
|
Germany |
— | 35,821,291 | — | |||||||||
|
Hong Kong |
— | 18,962,757 | — | |||||||||
|
India |
5,451,024 | — | — | |||||||||
|
Japan |
— | 72,088,892 | — | |||||||||
|
Macau |
— | 3,740,478 | — | |||||||||
|
Netherlands |
— | 27,275,424 | — | |||||||||
|
Singapore |
— | 5,837,553 | — | |||||||||
|
South Korea |
— | 6,337,604 | — | |||||||||
|
Spain |
— | 5,729,677 | — | |||||||||
|
Sweden |
— | 10,332,273 | — | |||||||||
|
Switzerland |
— | 54,456,119 | — | |||||||||
|
Taiwan |
6,882,875 | — | — | |||||||||
|
United Kingdom |
— | 69,784,075 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A51
| AST J.P. MORGAN INTERNATIONAL EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
United States |
$ | — | $ | 5,764,923 | $ | — | ||||||
|
Affiliated Mutual Fund |
3,222,961 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 22,300,881 | $ | 424,769,144 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Insurance |
10.0 | % | ||
|
Pharmaceuticals |
9.6 | |||
|
Banks |
8.2 | |||
|
Textiles, Apparel & Luxury Goods |
6.3 | |||
|
Machinery |
6.0 | |||
|
Personal Products |
4.6 | |||
|
Oil, Gas & Consumable Fuels |
4.5 | |||
|
Beverages |
4.4 | |||
|
Food Products |
3.9 | |||
|
Semiconductors & Semiconductor Equipment |
3.7 | |||
|
Electrical Equipment |
3.3 | |||
|
Capital Markets |
2.9 | |||
|
Chemicals |
2.9 | |||
|
Aerospace & Defense |
2.3 | |||
|
Metals & Mining |
2.1 | |||
|
Software |
2.0 | |||
|
Real Estate Management & Development |
1.9 | |||
|
Household Durables |
1.8 | |||
|
Health Care Equipment & Supplies |
1.7 | |||
|
Electronic Equipment, Instruments & Components |
1.7 | |||
|
Hotels, Restaurants & Leisure |
1.6 | |||
|
Technology Hardware, Storage & Peripherals |
1.4 |
|
Internet & Direct Marketing Retail |
1.3 | % | ||
|
Trading Companies & Distributors |
1.3 | |||
|
Specialty Retail |
1.3 | |||
|
Construction Materials |
1.2 | |||
|
Building Products |
1.1 | |||
|
Professional Services |
1.1 | |||
|
IT Services |
1.1 | |||
|
Diversified Telecommunication Services |
1.0 | |||
|
Media |
0.9 | |||
|
Interactive Media & Services |
0.8 | |||
|
Auto Components |
0.8 | |||
|
Affiliated Mutual Fund |
0.7 | |||
|
Automobiles |
0.4 | |||
|
Communications Equipment |
0.0 | * | ||
|
|
|
|||
| 99.8 | ||||
|
Other assets in excess of liabilities |
0.2 | |||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
SEE NOTES TO FINANCIAL STATEMENTS.
A52
| AST J.P. MORGAN INTERNATIONAL EQUITY PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value: |
||||
|
Unaffiliated investments (cost $350,578,127) |
$ | 443,847,064 | ||
|
Affiliated investments (cost $3,222,961) |
3,222,961 | |||
|
Tax reclaim receivable |
1,636,622 | |||
|
Dividends receivable |
281,092 | |||
|
Receivable from affiliate |
6,276 | |||
|
Receivable for Portfolio shares sold |
3,105 | |||
|
Prepaid expenses |
3,267 | |||
|
|
|
|||
|
Total Assets |
449,000,387 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to affiliate |
440,849 | |||
|
Payable for Portfolio shares repurchased |
344,087 | |||
|
Management fee payable |
155,108 | |||
|
Accrued expenses and other liabilities |
64,948 | |||
|
Distribution fee payable |
18,407 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
Payable to custodian |
74 | |||
|
|
|
|||
|
Total Liabilities |
1,023,830 | |||
|
|
|
|||
| NET ASSETS | $ | 447,976,557 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 447,976,557 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $447,976,557 / 13,851,808 outstanding shares of beneficial interest |
$ | 32.34 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
|
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS |
||||||||
|
Net investment income (loss) |
$ | 7,278,414 | $ | 8,760,940 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
(1,648,522 | ) | 6,029,041 | |||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
93,451,277 | (97,589,488 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
99,081,169 | (82,799,507 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [1,540,208 and 1,699,434 shares, respectively] |
42,980,014 | 49,537,614 | ||||||
|
Portfolio shares repurchased [1,784,236 and 3,227,313 shares, respectively] |
(52,560,364 | ) | (90,062,104 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(9,580,350 | ) | (40,524,490 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 220,403 | 334,404 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 89,721,222 | (122,989,593 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
358,255,335 | 481,244,928 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 447,976,557 | $ | 358,255,335 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A53
| AST JENNISON LARGE-CAP GROWTH PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 99.2% | ||||||||
| COMMON STOCKS | Shares | Value | ||||||
|
Aerospace & Defense — 4.1% |
||||||||
|
Airbus SE (France) |
100,042 | $ | 14,665,432 | |||||
|
Boeing Co. (The) |
66,107 | 21,535,016 | ||||||
|
Safran SA (France) |
101,279 | 15,657,322 | ||||||
|
|
|
|||||||
| 51,857,770 | ||||||||
|
|
|
|||||||
|
Automobiles — 2.0% |
||||||||
|
Tesla, Inc.*(a) |
60,431 | 25,280,100 | ||||||
|
|
|
|||||||
|
Banks — 1.0% |
||||||||
|
JPMorgan Chase & Co. |
91,028 | 12,689,303 | ||||||
|
|
|
|||||||
|
Beverages — 0.5% |
||||||||
|
Constellation Brands, Inc. (Class A Stock) |
33,640 | 6,383,190 | ||||||
|
|
|
|||||||
|
Biotechnology — 1.9% |
||||||||
|
BioMarin Pharmaceutical, Inc.* |
80,689 | 6,822,255 | ||||||
|
Exact Sciences Corp.* |
56,647 | 5,238,715 | ||||||
|
Vertex Pharmaceuticals, Inc.* |
55,137 | 12,072,246 | ||||||
|
|
|
|||||||
| 24,133,216 | ||||||||
|
|
|
|||||||
|
Capital Markets — 1.2% |
||||||||
|
S&P Global, Inc. |
53,106 | 14,500,593 | ||||||
|
|
|
|||||||
|
Entertainment — 4.5% |
||||||||
|
Netflix, Inc.* |
112,393 | 36,367,003 | ||||||
|
Walt Disney Co. (The) |
139,740 | 20,210,596 | ||||||
|
|
|
|||||||
| 56,577,599 | ||||||||
|
|
|
|||||||
|
Food & Staples Retailing — 1.9% |
|
|||||||
|
Costco Wholesale Corp. |
80,538 | 23,671,729 | ||||||
|
|
|
|||||||
|
Health Care Equipment & Supplies — 4.5% |
|
|||||||
|
Boston Scientific Corp.* |
141,248 | 6,387,235 | ||||||
|
Danaher Corp. |
74,430 | 11,423,516 | ||||||
|
DexCom, Inc.* |
40,954 | 8,958,278 | ||||||
|
Edwards Lifesciences Corp.* |
51,662 | 12,052,228 | ||||||
|
Intuitive Surgical, Inc.* |
28,611 | 16,913,393 | ||||||
|
|
|
|||||||
| 55,734,650 | ||||||||
|
|
|
|||||||
|
Health Care Providers & Services — 0.3% |
|
|||||||
|
Guardant Health, Inc.*(a) |
51,207 | 4,001,315 | ||||||
|
|
|
|||||||
|
Hotels, Restaurants & Leisure — 2.2% |
||||||||
|
Chipotle Mexican Grill, Inc.* |
16,744 | 14,016,570 | ||||||
|
Marriott International, Inc. (Class A Stock) |
84,893 | 12,855,347 | ||||||
|
|
|
|||||||
| 26,871,917 | ||||||||
|
|
|
|||||||
|
Interactive Media & Services — 9.1% |
||||||||
|
Alphabet, Inc. (Class A Stock)* |
28,798 | 38,571,753 | ||||||
|
Alphabet, Inc. (Class C Stock)* |
28,743 | 38,429,966 | ||||||
|
Facebook, Inc. (Class A Stock)* |
182,490 | 37,456,073 | ||||||
|
|
|
|||||||
| 114,457,792 | ||||||||
|
|
|
|||||||
|
Internet & Direct Marketing Retail — 9.1% |
|
|||||||
|
Alibaba Group Holding Ltd. (China), ADR* |
211,619 | 44,884,390 | ||||||
|
Amazon.com, Inc.* |
37,315 | 68,952,149 | ||||||
|
|
|
|||||||
| 113,836,539 | ||||||||
|
|
|
|||||||
|
COMMON STOCKS (continued) |
Shares | Value | ||||||
|
IT Services — 13.2% |
||||||||
|
Adyen NV (Netherlands), 144A* |
19,526 | $ | 16,020,734 | |||||
|
FleetCor Technologies, Inc.* |
76,587 | 22,035,611 | ||||||
|
Mastercard, Inc. (Class A Stock) |
166,278 | 49,648,948 | ||||||
|
PayPal Holdings, Inc.* |
112,655 | 12,185,891 | ||||||
|
Shopify, Inc. (Canada) (Class A Stock)* |
32,946 | 13,098,671 | ||||||
|
Square, Inc. (Class A Stock)* |
93,255 | 5,834,033 | ||||||
|
Twilio, Inc. (Class A Stock)*(a) |
60,339 | 5,930,117 | ||||||
|
Visa, Inc. (Class A Stock)(a) |
218,018 | 40,965,582 | ||||||
|
|
|
|||||||
| 165,719,587 | ||||||||
|
|
|
|||||||
|
Leisure Products — 0.2% |
||||||||
|
Peloton Interactive, Inc.
|
91,528 | 2,599,395 | ||||||
|
|
|
|||||||
|
Life Sciences Tools & Services — 1.4% |
||||||||
|
Illumina, Inc.* |
54,024 | 17,921,922 | ||||||
|
|
|
|||||||
|
Personal Products — 1.6% |
||||||||
|
Estee Lauder Cos., Inc. (The) (Class A Stock) |
96,519 | 19,935,034 | ||||||
|
|
|
|||||||
|
Pharmaceuticals — 3.0% |
||||||||
|
AstraZeneca PLC (United Kingdom), ADR |
503,721 | 25,115,529 | ||||||
|
Eli Lilly & Co. |
67,749 | 8,904,251 | ||||||
|
Novartis AG (Switzerland), ADR(a) |
39,887 | 3,776,900 | ||||||
|
|
|
|||||||
| 37,796,680 | ||||||||
|
|
|
|||||||
|
Road & Rail — 1.6% |
||||||||
|
Uber Technologies, Inc.* |
210,440 | 6,258,486 | ||||||
|
Union Pacific Corp. |
78,189 | 14,135,789 | ||||||
|
|
|
|||||||
| 20,394,275 | ||||||||
|
|
|
|||||||
|
Semiconductors & Semiconductor Equipment — 6.1% |
|
|||||||
|
Broadcom, Inc. |
49,459 | 15,630,033 | ||||||
|
NVIDIA Corp. |
134,832 | 31,725,970 | ||||||
|
QUALCOMM, Inc. |
200,875 | 17,723,201 | ||||||
|
Universal Display Corp. |
16,147 | 3,327,412 | ||||||
|
Xilinx, Inc. |
82,359 | 8,052,240 | ||||||
|
|
|
|||||||
| 76,458,856 | ||||||||
|
|
|
|||||||
|
Software — 16.1% |
||||||||
|
Adobe, Inc.* |
120,036 | 39,589,073 | ||||||
|
Coupa Software, Inc.*(a) |
51,894 | 7,589,498 | ||||||
|
Microsoft Corp. |
413,577 | 65,221,093 | ||||||
|
salesforce.com, Inc.* |
295,830 | 48,113,791 | ||||||
|
ServiceNow, Inc.*(a) |
48,735 | 13,758,865 | ||||||
|
Splunk, Inc.*(a) |
110,335 | 16,524,873 | ||||||
|
Workday, Inc. (Class A Stock)* |
69,381 | 11,409,705 | ||||||
|
|
|
|||||||
| 202,206,898 | ||||||||
|
|
|
|||||||
|
Specialty Retail — 1.2% |
||||||||
|
Home Depot, Inc. (The) |
67,325 | 14,702,434 | ||||||
|
|
|
|||||||
|
Technology Hardware, Storage & Peripherals — 5.0% |
|
|||||||
|
Apple, Inc. |
215,391 | 63,249,567 | ||||||
|
|
|
|||||||
|
Textiles, Apparel & Luxury Goods — 7.5% |
|
|||||||
|
adidas AG (Germany) |
51,614 | 16,858,103 | ||||||
|
Kering SA (France) |
39,180 | 25,741,452 | ||||||
|
Lululemon Athletica, Inc.* |
104,119 | 24,121,249 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A54
| AST JENNISON LARGE-CAP GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $90,608,688; cash collateral of $92,234,483 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 21,535,016 | $ | 30,322,754 | $ | — | ||||||
|
Automobiles |
25,280,100 | — | — | |||||||||
|
Banks |
12,689,303 | — | — | |||||||||
|
Beverages |
6,383,190 | — | — | |||||||||
|
Biotechnology |
24,133,216 | — | — | |||||||||
|
Capital Markets |
14,500,593 | — | — | |||||||||
|
Entertainment |
56,577,599 | — | — | |||||||||
|
Food & Staples Retailing |
23,671,729 | — | — | |||||||||
|
Health Care Equipment & Supplies |
55,734,650 | — | — | |||||||||
|
Health Care Providers & Services |
4,001,315 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
26,871,917 | — | — | |||||||||
|
Interactive Media & Services |
114,457,792 | — | — | |||||||||
|
Internet & Direct Marketing Retail |
113,836,539 | — | — | |||||||||
|
IT Services |
149,698,853 | 16,020,734 | — | |||||||||
|
Leisure Products |
2,599,395 | — | — | |||||||||
|
Life Sciences Tools & Services |
17,921,922 | — | — | |||||||||
|
Personal Products |
19,935,034 | — | — | |||||||||
|
Pharmaceuticals |
37,796,680 | — | — | |||||||||
|
Road & Rail |
20,394,275 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
76,458,856 | — | — | |||||||||
|
Software |
202,206,898 | — | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A55
| AST JENNISON LARGE-CAP GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Specialty Retail |
$ | 14,702,434 | $ | — | $ | — | ||||||
|
Technology Hardware, Storage & Peripherals |
63,249,567 | — | — | |||||||||
|
Textiles, Apparel & Luxury Goods |
52,009,765 | 42,599,555 | — | |||||||||
|
Affiliated Mutual Funds |
95,025,412 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 1,251,672,050 | $ | 88,943,043 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Software |
16.1 | % | ||
|
IT Services |
13.2 | |||
|
Interactive Media & Services |
9.1 | |||
|
Internet & Direct Marketing Retail |
9.1 | |||
|
Affiliated Mutual Funds (7.4% represents investments purchased with collateral from securities on loan) |
7.6 | |||
|
Textiles, Apparel & Luxury Goods |
7.5 | |||
|
Semiconductors & Semiconductor Equipment |
6.1 | |||
|
Technology Hardware, Storage & Peripherals |
5.0 | |||
|
Entertainment |
4.5 | |||
|
Health Care Equipment & Supplies |
4.5 | |||
|
Aerospace & Defense |
4.1 | |||
|
Pharmaceuticals |
3.0 | |||
|
Hotels, Restaurants & Leisure |
2.2 | |||
|
Automobiles |
2.0 | |||
|
Biotechnology |
1.9 |
|
Food & Staples Retailing |
1.9 | % | ||
|
Road & Rail |
1.6 | |||
|
Personal Products |
1.6 | |||
|
Life Sciences Tools & Services |
1.4 | |||
|
Specialty Retail |
1.2 | |||
|
Capital Markets |
1.2 | |||
|
Banks |
1.0 | |||
|
Beverages |
0.5 | |||
|
Health Care Providers & Services |
0.3 | |||
|
Leisure Products |
0.2 | |||
|
|
|
|||
| 106.8 | ||||
|
Liabilities in excess of other assets |
(6.8 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||||
|
Securities on Loan |
$ | 90,608,688 | $ | (90,608,688 | ) | $ | — | |||||||
|
|
|
|
|
|
|
|||||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A56
| AST JENNISON LARGE-CAP GROWTH PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
|
ASSETS |
||||
|
Investments at value, including securities on loan of
|
||||
|
Unaffiliated investments (cost $589,708,953) |
$ | 1,245,589,681 | ||
|
Affiliated investments (cost $95,006,887) |
95,025,412 | |||
|
Receivable for investments sold |
13,811,444 | |||
|
Dividends and interest receivable |
229,246 | |||
|
Tax reclaim receivable |
168,559 | |||
|
Receivable for Portfolio shares sold |
61,142 | |||
|
Prepaid expenses |
8,209 | |||
|
|
|
|||
|
Total Assets |
1,354,893,693 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
92,234,483 | |||
|
Payable for investments purchased |
6,977,332 | |||
|
Management fee payable |
398,307 | |||
|
Accrued expenses and other liabilities |
232,780 | |||
|
Payable to affiliate |
78,972 | |||
|
Distribution fee payable |
51,830 | |||
|
Payable for Portfolio shares repurchased |
44,964 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
100,019,025 | |||
|
|
|
|||
| NET ASSETS | $ | 1,254,874,668 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 1,254,874,668 | ||
|
|
|
|||
|
Net asset value and redemption price per share,
|
$ | 40.50 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | (2,561,295 | ) | $ | (2,049,520 | ) | ||
|
Net realized gain (loss) on investment and foreign currency transactions |
91,676,383 | 84,213,579 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
224,288,324 | (87,430,061 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
313,403,412 | (5,266,002 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [5,121,757 and 3,711,667 shares, respectively] |
181,586,774 | 123,229,186 | ||||||
|
Portfolio shares repurchased [5,285,459 and 9,665,457 shares, respectively] |
(191,717,647 | ) | (318,427,382 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(10,130,873 | ) | (195,198,196 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 49 | 54,856 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 303,272,588 | (200,409,342 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
951,602,080 | 1,152,011,422 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 1,254,874,668 | $ | 951,602,080 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A57
| AST LOOMIS SAYLES LARGE-CAP GROWTH PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 98.9% |
|
|||||||
| COMMON STOCKS | Shares | Value | ||||||
|
Air Freight & Logistics — 2.6% |
|
|||||||
|
Expeditors International of Washington, Inc. |
974,186 | $ | 76,005,992 | |||||
|
|
|
|||||||
|
Beverages — 5.9% |
|
|||||||
|
Coca-Cola Co. (The) |
1,293,474 | 71,593,786 | ||||||
|
Monster Beverage Corp.* |
1,584,170 | 100,674,004 | ||||||
|
|
|
|||||||
| 172,267,790 | ||||||||
|
|
|
|||||||
|
Biotechnology — 4.9% |
|
|||||||
|
Amgen, Inc. |
223,572 | 53,896,502 | ||||||
|
Regeneron Pharmaceuticals, Inc.* |
238,409 | 89,517,811 | ||||||
|
|
|
|||||||
| 143,414,313 | ||||||||
|
|
|
|||||||
|
Capital Markets — 3.9% |
|
|||||||
|
FactSet Research Systems, Inc. |
172,373 | 46,247,676 | ||||||
|
SEI Investments Co. |
1,010,376 | 66,159,420 | ||||||
|
|
|
|||||||
| 112,407,096 | ||||||||
|
|
|
|||||||
|
Communications Equipment — 2.5% |
|
|||||||
|
Cisco Systems, Inc. |
1,499,648 | 71,923,118 | ||||||
|
|
|
|||||||
|
Consumer Finance — 0.0% |
|
|||||||
|
American Express Co. |
11,373 | 1,415,825 | ||||||
|
|
|
|||||||
|
Energy Equipment & Services — 1.7% |
|
|||||||
|
Schlumberger Ltd. |
1,208,082 | 48,564,896 | ||||||
|
|
|
|||||||
|
Food Products — 2.3% |
|
|||||||
|
Danone SA (France), ADR |
3,980,770 | 65,642,897 | ||||||
|
|
|
|||||||
|
Health Care Equipment & Supplies — 1.0% |
|
|||||||
|
Alcon, Inc. (Switzerland)*(a) |
7,479 | 423,087 | ||||||
|
Varian Medical Systems, Inc.* |
197,666 | 28,070,549 | ||||||
|
|
|
|||||||
| 28,493,636 | ||||||||
|
|
|
|||||||
|
Health Care Technology — 2.1% |
|
|||||||
|
Cerner Corp.(a) |
829,012 | 60,841,191 | ||||||
|
|
|
|||||||
|
Hotels, Restaurants & Leisure — 5.2% |
|
|||||||
|
Starbucks Corp. |
727,459 | 63,958,195 | ||||||
|
Yum China Holdings, Inc. (China) |
789,758 | 37,916,282 | ||||||
|
Yum! Brands, Inc. |
475,099 | 47,856,722 | ||||||
|
|
|
|||||||
| 149,731,199 | ||||||||
|
|
|
|||||||
|
Household Products — 4.5% |
|
|||||||
|
Colgate-Palmolive Co. |
707,210 | 48,684,337 | ||||||
|
Procter & Gamble Co. (The) |
645,729 | 80,651,552 | ||||||
|
|
|
|||||||
| 129,335,889 | ||||||||
|
|
|
|||||||
|
Interactive Media & Services — 11.8% |
|
|||||||
|
Alphabet, Inc. (Class A Stock)* |
63,511 | 85,065,998 | ||||||
|
Alphabet, Inc. (Class C Stock)* |
63,678 | 85,138,760 | ||||||
|
Facebook, Inc. (Class A Stock)* |
839,584 | 172,324,616 | ||||||
|
|
|
|||||||
| 342,529,374 | ||||||||
|
|
|
|||||||
|
Internet & Direct Marketing Retail — 12.1% |
|
|||||||
|
Alibaba Group Holding Ltd. (China), ADR* |
815,990 | 173,071,479 | ||||||
|
Amazon.com, Inc.* |
95,717 | 176,869,701 | ||||||
|
|
|
|||||||
| 349,941,180 | ||||||||
|
|
|
|||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $223,721,703; cash collateral of $228,292,860 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
A58
| AST LOOMIS SAYLES LARGE-CAP GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Air Freight & Logistics |
$ | 76,005,992 | $ | — | $ | — | ||||||
|
Beverages |
172,267,790 | — | — | |||||||||
|
Biotechnology |
143,414,313 | — | — | |||||||||
|
Capital Markets |
112,407,096 | — | — | |||||||||
|
Communications Equipment |
71,923,118 | — | — | |||||||||
|
Consumer Finance |
1,415,825 | — | — | |||||||||
|
Energy Equipment & Services |
48,564,896 | — | — | |||||||||
|
Food Products |
65,642,897 | — | — | |||||||||
|
Health Care Equipment & Supplies |
28,493,636 | — | — | |||||||||
|
Health Care Technology |
60,841,191 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
149,731,199 | — | — | |||||||||
|
Household Products |
129,335,889 | — | — | |||||||||
|
Interactive Media & Services |
342,529,374 | — | — | |||||||||
|
Internet & Direct Marketing Retail |
349,941,180 | — | — | |||||||||
|
IT Services |
227,179,321 | — | — | |||||||||
|
Machinery |
72,550,892 | — | — | |||||||||
|
Pharmaceuticals |
267,851,201 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
177,416,792 | — | — | |||||||||
|
Software |
369,932,040 | — | — | |||||||||
|
Affiliated Mutual Funds |
257,062,025 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 3,124,506,667 | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Software |
12.8 | % | ||
|
Internet & Direct Marketing Retail |
12.1 | |||
|
Interactive Media & Services |
11.8 | |||
|
Pharmaceuticals |
9.2 | |||
|
Affiliated Mutual Funds (7.9% represents investments purchased with collateral from securities on loan) |
8.9 | |||
|
IT Services |
7.8 | |||
|
Semiconductors & Semiconductor Equipment |
6.1 | |||
|
Beverages |
5.9 | |||
|
Hotels, Restaurants & Leisure |
5.2 | |||
|
Biotechnology |
4.9 | |||
|
Household Products |
4.5 | |||
|
Capital Markets |
3.9 | |||
|
Air Freight & Logistics |
2.6 |
|
Machinery |
2.5 | % | ||
|
Communications Equipment |
2.5 | |||
|
Food Products |
2.3 | |||
|
Health Care Technology |
2.1 | |||
|
Energy Equipment & Services |
1.7 | |||
|
Health Care Equipment & Supplies |
1.0 | |||
|
Consumer Finance |
0.0 | * | ||
|
|
|
|||
| 107.8 | ||||
|
Liabilities in excess of other assets |
(7.8 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
* Less than +/- 0.05%
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
SEE NOTES TO FINANCIAL STATEMENTS.
A59
| AST LOOMIS SAYLES LARGE-CAP GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 223,721,703 | $ | (223,721,703 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A60
| AST LOOMIS SAYLES LARGE-CAP GROWTH PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $223,721,703: |
||||
|
Unaffiliated investments (cost $1,650,327,708) |
$ | 2,867,444,642 | ||
|
Affiliated investments (cost $257,033,060) |
257,062,025 | |||
|
Receivable for investments sold |
29,798,159 | |||
|
Tax reclaim receivable |
2,956,891 | |||
|
Dividends receivable |
1,736,902 | |||
|
Receivable for Portfolio shares sold |
2,154 | |||
|
Prepaid expenses and other assets |
68,882 | |||
|
|
|
|||
|
Total Assets |
3,159,069,655 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
228,292,860 | |||
|
Payable for investments purchased |
24,233,628 | |||
|
Payable for Portfolio shares repurchased |
5,689,484 | |||
|
Management fee payable |
809,827 | |||
|
Payable to affiliate |
670,533 | |||
|
Accrued expenses and other liabilities |
385,635 | |||
|
Distribution fee payable |
119,986 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
260,202,310 | |||
|
|
|
|||
| NET ASSETS | $ | 2,898,867,345 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 2,898,867,345 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $2,898,867,345 / 45,384,118 outstanding shares of beneficial interest |
$ | 63.87 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 8,658,521 | $ | 8,939,272 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
158,971,637 | 350,377,625 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
554,732,646 | (405,578,429 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
722,362,804 | (46,261,532 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [5,637,323 and 2,736,864 shares, respectively] |
320,989,161 | 139,356,378 | ||||||
|
Portfolio shares repurchased [8,014,911 and 14,212,322 shares, respectively] |
(462,421,426 | ) | (730,422,776 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(141,432,265 | ) | (591,066,398 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 1,979 | 1,028,291 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 580,932,518 | (636,299,639 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
2,317,934,827 | 2,954,234,466 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 2,898,867,345 | $ | 2,317,934,827 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A61
| AST MFS GLOBAL EQUITY PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 99.0% | ||||||||
| COMMON STOCKS | Shares | Value | ||||||
|
Austria — 0.4% |
||||||||
|
Erste Group Bank AG* |
68,800 | $ | 2,604,776 | |||||
|
|
|
|||||||
|
Brazil — 0.3% |
||||||||
|
Ambev SA |
477,875 | 2,217,895 | ||||||
|
|
|
|||||||
|
Canada — 1.7% |
||||||||
|
Canadian National Railway Co. |
135,587 | 12,263,844 | ||||||
|
|
|
|||||||
|
Denmark — 0.6% |
||||||||
|
Carlsberg A/S (Class B Stock) |
28,391 | 4,235,475 | ||||||
|
|
|
|||||||
|
France — 10.9% |
||||||||
|
Air Liquide SA |
53,326 | 7,556,961 | ||||||
|
Danone SA |
135,751 | 11,272,438 | ||||||
|
EssilorLuxottica SA |
19,553 | 2,987,412 | ||||||
|
Hermes International |
2,154 | 1,614,176 | ||||||
|
Legrand SA |
93,952 | 7,664,798 | ||||||
|
LVMH Moet Hennessy Louis Vuitton SE |
40,946 | 19,065,798 | ||||||
|
Pernod Ricard SA |
63,729 | 11,414,279 | ||||||
|
Schneider Electric SE |
170,830 | 17,553,126 | ||||||
|
|
|
|||||||
| 79,128,988 | ||||||||
|
|
|
|||||||
|
Germany — 4.8% |
||||||||
|
Bayer AG |
164,038 | 13,391,176 | ||||||
|
Brenntag AG |
70,522 | 3,860,602 | ||||||
|
Deutsche Boerse AG |
19,534 | 3,079,841 | ||||||
|
Deutsche Wohnen SE |
57,589 | 2,363,724 | ||||||
|
Merck KGaA |
51,500 | 6,102,510 | ||||||
|
MTU Aero Engines AG |
19,715 | 5,651,515 | ||||||
|
|
|
|||||||
| 34,449,368 | ||||||||
|
|
|
|||||||
|
Israel — 1.1% |
||||||||
|
Check Point Software Technologies
|
72,545 | 8,049,593 | ||||||
|
|
|
|||||||
|
Japan — 2.8% |
||||||||
|
Hoya Corp. |
48,400 | 4,628,574 | ||||||
|
Kubota Corp. |
590,400 | 9,267,027 | ||||||
|
Olympus Corp. |
393,800 | 6,155,311 | ||||||
|
|
|
|||||||
| 20,050,912 | ||||||||
|
|
|
|||||||
|
Macau — 0.2% |
||||||||
|
Sands China Ltd. |
239,600 | 1,282,511 | ||||||
|
|
|
|||||||
|
Mexico — 0.2% |
||||||||
|
Grupo Financiero Banorte SAB de CV (Class O Stock) |
311,693 | 1,740,173 | ||||||
|
|
|
|||||||
|
Netherlands — 2.2% |
||||||||
|
Akzo Nobel NV |
94,469 | 9,608,794 | ||||||
|
Heineken NV |
57,700 | 6,145,534 | ||||||
|
|
|
|||||||
| 15,754,328 | ||||||||
|
|
|
|||||||
|
South Korea — 0.8% |
||||||||
|
Samsung Electronics Co. Ltd. |
124,070 | 5,971,330 | ||||||
|
|
|
|||||||
|
Spain — 1.1% |
||||||||
|
Aena SME SA, 144A |
43,008 | 8,243,344 | ||||||
|
|
|
|||||||
|
Sweden — 2.1% |
||||||||
|
Essity AB (Class B Stock) |
476,479 | 15,317,498 | ||||||
|
|
|
|||||||
|
COMMON STOCKS (continued) |
Shares | Value | ||||||
|
Switzerland — 7.6% |
||||||||
|
Adecco Group AG |
56,673 | $ | 3,581,978 | |||||
|
Cie Financiere Richemont SA |
95,859 | 7,540,034 | ||||||
|
Julius Baer Group Ltd.* |
59,652 | 3,077,652 | ||||||
|
Nestle SA |
178,143 | 19,284,588 | ||||||
|
Roche Holding AG |
44,175 | 14,334,821 | ||||||
|
Sonova Holding AG |
6,799 | 1,555,769 | ||||||
|
UBS Group AG* |
471,830 | 5,957,637 | ||||||
|
|
|
|||||||
| 55,332,479 | ||||||||
|
|
|
|||||||
|
Thailand — 0.1% |
||||||||
|
Kasikornbank PCL |
213,000 | 1,071,424 | ||||||
|
|
|
|||||||
|
United Kingdom — 9.2% |
||||||||
|
Burberry Group PLC |
136,414 | 4,018,138 | ||||||
|
Compass Group PLC |
241,178 | 6,051,464 | ||||||
|
Diageo PLC |
370,972 | 15,761,609 | ||||||
|
Linde PLC (AQUIS) |
55,512 | 11,877,959 | ||||||
|
Linde PLC (NYSE) |
16,445 | 3,501,141 | ||||||
|
Reckitt Benckiser Group PLC |
168,450 | 13,678,463 | ||||||
|
Whitbread PLC |
65,013 | 4,172,795 | ||||||
|
WPP PLC |
562,401 | 7,971,176 | ||||||
|
|
|
|||||||
| 67,032,745 | ||||||||
|
|
|
|||||||
|
United States — 52.9% |
||||||||
|
3M Co. |
55,995 | 9,878,638 | ||||||
|
Abbott Laboratories |
121,140 | 10,522,220 | ||||||
|
Accenture PLC (Class A Stock) |
92,327 | 19,441,296 | ||||||
|
American Express Co. |
72,132 | 8,979,713 | ||||||
|
Amphenol Corp. (Class A Stock) |
37,162 | 4,022,043 | ||||||
|
Aon PLC |
41,576 | 8,659,865 | ||||||
|
Aptiv PLC |
39,064 | 3,709,908 | ||||||
|
Bank of New York Mellon Corp. (The) |
192,415 | 9,684,247 | ||||||
|
Charles Schwab Corp. (The) |
27,887 | 1,326,306 | ||||||
|
Cisco Systems, Inc. |
129,951 | 6,232,450 | ||||||
|
Cognizant Technology Solutions Corp. (Class A Stock) |
106,449 | 6,601,967 | ||||||
|
Colgate-Palmolive Co. |
105,661 | 7,273,703 | ||||||
|
Comcast Corp. (Class A Stock) |
468,541 | 21,070,289 | ||||||
|
Cooper Cos., Inc. (The) |
23,157 | 7,440,113 | ||||||
|
eBay, Inc. |
147,508 | 5,326,514 | ||||||
|
Equifax, Inc. |
46,322 | 6,490,639 | ||||||
|
Goldman Sachs Group, Inc. (The) |
35,731 | 8,215,629 | ||||||
|
Harley-Davidson, Inc.(a) |
52,366 | 1,947,492 | ||||||
|
Honeywell International, Inc. |
96,588 | 17,096,076 | ||||||
|
Johnson & Johnson |
18,224 | 2,658,335 | ||||||
|
Kansas City Southern(a) |
92,962 | 14,238,060 | ||||||
|
Kellogg Co. |
89,190 | 6,168,380 | ||||||
|
Marriott International, Inc. (Class A Stock) |
39,198 | 5,935,753 | ||||||
|
Medtronic PLC |
191,011 | 21,670,198 | ||||||
|
Microchip Technology, Inc.(a) |
30,594 | 3,203,804 | ||||||
|
National Oilwell Varco, Inc. |
45,433 | 1,138,097 | ||||||
|
NOW, Inc.* |
26,469 | 297,512 | ||||||
|
Omnicom Group, Inc.(a) |
40,101 | 3,248,983 | ||||||
|
Oracle Corp. |
182,555 | 9,671,764 | ||||||
|
PayPal Holdings, Inc.* |
43,279 | 4,681,489 | ||||||
|
PPG Industries, Inc. |
68,766 | 9,179,573 | ||||||
|
Resideo Technologies, Inc.* |
16,485 | 196,666 | ||||||
|
Sally Beauty Holdings, Inc.*(a) |
67,142 | 1,225,341 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A62
| AST MFS GLOBAL EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $56,805,862; cash collateral of $58,038,745 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
|
|||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Austria |
$ | — | $ | 2,604,776 | $ | — | ||||||
|
Brazil |
2,217,895 | — | — | |||||||||
|
Canada |
12,263,844 | — | — | |||||||||
|
Denmark |
— | 4,235,475 | — | |||||||||
|
France |
— | 79,128,988 | — | |||||||||
|
Germany |
— | 34,449,368 | — | |||||||||
|
Israel |
8,049,593 | — | — | |||||||||
|
Japan |
— | 20,050,912 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A63
| AST MFS GLOBAL EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Macau |
$ | — | $ | 1,282,511 | $ | — | ||||||
|
Mexico |
1,740,173 | — | — | |||||||||
|
Netherlands |
— | 15,754,328 | — | |||||||||
|
South Korea |
— | 5,971,330 | — | |||||||||
|
Spain |
— | 8,243,344 | — | |||||||||
|
Sweden |
— | 15,317,498 | — | |||||||||
|
Switzerland |
— | 55,332,479 | — | |||||||||
|
Thailand |
— | 1,071,424 | — | |||||||||
|
United Kingdom |
3,501,141 | 63,531,604 | — | |||||||||
|
United States |
382,962,094 | — | — | |||||||||
|
Affiliated Mutual Funds |
63,670,613 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 474,405,353 | $ | 306,974,037 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Health Care Equipment & Supplies |
10.7 | % | ||
|
Affiliated Mutual Funds (8.0% represents investments purchased with collateral from securities on loan) |
8.8 | |||
|
IT Services |
7.3 | |||
|
Capital Markets |
6.2 | |||
|
Chemicals |
5.7 | |||
|
Beverages |
5.6 | |||
|
Food Products |
5.2 | |||
|
Pharmaceuticals |
5.2 | |||
|
Household Products |
5.0 | |||
|
Textiles, Apparel & Luxury Goods |
4.7 | |||
|
Road & Rail |
4.5 | |||
|
Media |
4.4 | |||
|
Life Sciences Tools & Services |
4.4 | |||
|
Industrial Conglomerates |
3.8 | |||
|
Electrical Equipment |
3.5 | |||
|
Hotels, Restaurants & Leisure |
2.6 | |||
|
Software |
2.4 | |||
|
Entertainment |
2.0 | |||
|
Aerospace & Defense |
1.9 | |||
|
Professional Services |
1.4 | |||
|
Machinery |
1.3 | |||
|
Consumer Finance |
1.2 |
|
Insurance |
1.2 | % | ||
|
Air Freight & Logistics |
1.2 | |||
|
Transportation Infrastructure |
1.1 | |||
|
Communications Equipment |
0.9 | |||
|
Technology Hardware, Storage & Peripherals |
0.8 | |||
|
Banks |
0.7 | |||
|
Internet & Direct Marketing Retail |
0.7 | |||
|
Electronic Equipment, Instruments & Components |
0.6 | |||
|
Energy Equipment & Services |
0.6 | |||
|
Trading Companies & Distributors |
0.5 | |||
|
Auto Components |
0.5 | |||
|
Semiconductors & Semiconductor Equipment |
0.4 | |||
|
Real Estate Management & Development |
0.3 | |||
|
Automobiles |
0.3 | |||
|
Specialty Retail |
0.2 | |||
|
Building Products |
0.0 | * | ||
|
|
|
|||
| 107.8 | ||||
|
Liabilities in excess of other assets |
(7.8 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
SEE NOTES TO FINANCIAL STATEMENTS.
A64
| AST MFS GLOBAL EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 56,805,862 | $ | (56,805,862 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A65
| AST MFS GLOBAL EQUITY PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
|
ASSETS |
||||
|
Investments at value, including securities on loan of $56,805,862: |
||||
|
Unaffiliated investments (cost $516,204,521) |
$ | 717,708,777 | ||
|
Affiliated investments (cost $63,669,380) |
63,670,613 | |||
|
Tax reclaim receivable |
1,918,468 | |||
|
Dividends receivable |
612,552 | |||
|
Receivable from affiliate |
5,487 | |||
|
Receivable for Portfolio shares sold |
5,430 | |||
|
Prepaid expenses and other assets |
7,569 | |||
|
|
|
|||
|
Total Assets |
783,928,896 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
58,038,745 | |||
|
Payable to affiliate |
648,794 | |||
|
Management fee payable |
306,127 | |||
|
Payable for Portfolio shares repurchased |
212,606 | |||
|
Accrued expenses and other liabilities |
155,976 | |||
|
Distribution fee payable |
29,795 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
59,392,400 | |||
|
|
|
|||
| NET ASSETS | $ | 724,536,496 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 724,536,496 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $724,536,496 / 30,035,629 outstanding shares of beneficial interest |
$ | 24.12 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
|
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS |
||||||||
|
Net investment income (loss) |
$ | 7,054,636 | $ | 6,341,381 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
26,236,639 | 49,895,903 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
141,800,925 | (122,018,121 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
175,092,200 | (65,780,837 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [2,343,365 and 1,641,980 shares, respectively] |
48,431,274 | 32,859,825 | ||||||
|
Portfolio shares repurchased [3,885,559 and 6,787,760 shares, respectively] |
(85,067,024 | ) | (134,998,005 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(36,635,750 | ) | (102,138,180 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 39,673 | 445,613 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 138,496,123 | (167,473,404 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
586,040,373 | 753,513,777 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 724,536,496 | $ | 586,040,373 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A66
| AST MFS GROWTH PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 99.4% | ||||||||
| COMMON STOCKS | Shares | Value | ||||||
|
Beverages — 0.7% |
||||||||
|
Constellation Brands, Inc. (Class A Stock) |
36,941 | $ | 7,009,555 | |||||
|
Pernod Ricard SA (France) |
16,935 | 3,033,169 | ||||||
|
|
|
|||||||
| 10,042,724 | ||||||||
|
|
|
|||||||
|
Biotechnology — 0.7% |
||||||||
|
Vertex Pharmaceuticals, Inc.* |
44,240 | 9,686,348 | ||||||
|
|
|
|||||||
|
Capital Markets — 2.3% |
||||||||
|
Intercontinental Exchange, Inc. |
148,287 | 13,723,962 | ||||||
|
MSCI, Inc. |
68,834 | 17,771,562 | ||||||
|
|
|
|||||||
| 31,495,524 | ||||||||
|
|
|
|||||||
|
Chemicals — 1.7% |
||||||||
|
Sherwin-Williams Co. (The) |
41,402 | 24,159,723 | ||||||
|
|
|
|||||||
|
Construction Materials — 1.4% |
||||||||
|
Vulcan Materials Co. |
136,411 | 19,641,820 | ||||||
|
|
|
|||||||
|
Electrical Equipment — 0.9% |
||||||||
|
AMETEK, Inc. |
126,036 | 12,570,831 | ||||||
|
|
|
|||||||
|
Electronic Equipment, Instruments & Components — 0.9% |
|
|||||||
|
Amphenol Corp. (Class A Stock) |
120,184 | 13,007,514 | ||||||
|
|
|
|||||||
|
Entertainment — 3.8% |
||||||||
|
Electronic Arts, Inc.* |
170,286 | 18,307,448 | ||||||
|
Netflix, Inc.* |
70,020 | 22,656,372 | ||||||
|
Spotify Technology SA* |
22,822 | 3,413,030 | ||||||
|
Take-Two Interactive Software, Inc.* |
69,138 | 8,464,565 | ||||||
|
|
|
|||||||
| 52,841,415 | ||||||||
|
|
|
|||||||
|
Equity Real Estate Investment Trusts (REITs) — 1.6% |
|
|||||||
|
American Tower Corp. |
97,151 | 22,327,243 | ||||||
|
|
|
|||||||
|
Food & Staples Retailing — 0.8% |
||||||||
|
Costco Wholesale Corp. |
39,306 | 11,552,820 | ||||||
|
|
|
|||||||
|
Health Care Equipment & Supplies — 7.4% |
|
|||||||
|
Abbott Laboratories |
193,835 | 16,836,508 | ||||||
|
Becton, Dickinson & Co. |
23,023 | 6,261,565 | ||||||
|
Boston Scientific Corp.* |
401,977 | 18,177,400 | ||||||
|
Danaher Corp. |
181,607 | 27,873,042 | ||||||
|
Edwards Lifesciences Corp.* |
47,307 | 11,036,250 | ||||||
|
Medtronic PLC |
205,221 | 23,282,323 | ||||||
|
|
|
|||||||
| 103,467,088 | ||||||||
|
|
|
|||||||
|
Hotels, Restaurants & Leisure — 2.3% |
||||||||
|
Chipotle Mexican Grill, Inc.* |
7,963 | 6,665,907 | ||||||
|
Hilton Worldwide Holdings, Inc. |
62,289 | 6,908,473 | ||||||
|
Marriott International, Inc. (Class A Stock) |
78,149 | 11,834,103 | ||||||
|
Starbucks Corp. |
48,294 | 4,246,008 | ||||||
|
Wynn Resorts Ltd. |
18,665 | 2,592,009 | ||||||
|
|
|
|||||||
| 32,246,500 | ||||||||
|
|
|
|||||||
|
Household Products — 1.1% |
||||||||
|
Colgate-Palmolive Co. |
220,661 | 15,190,303 | ||||||
|
|
|
|||||||
|
Industrial Conglomerates — 1.3% |
||||||||
|
Roper Technologies, Inc. |
49,537 | 17,547,492 | ||||||
|
|
|
|||||||
|
Insurance — 1.6% |
||||||||
|
Aon PLC |
108,242 | 22,545,726 | ||||||
|
|
|
|||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Interactive Media & Services — 8.5% |
||||||||
|
Alphabet, Inc. (Class A Stock)* |
43,815 | $ | 58,685,373 | |||||
|
Alphabet, Inc. (Class C Stock)* |
17,211 | 23,011,451 | ||||||
|
Facebook, Inc. (Class A Stock)* |
175,925 | 36,108,606 | ||||||
|
|
|
|||||||
| 117,805,430 | ||||||||
|
|
|
|||||||
|
Internet & Direct Marketing Retail — 5.9% |
|
|||||||
|
Alibaba Group Holding Ltd. (China), ADR* |
26,233 | 5,564,019 | ||||||
|
Amazon.com, Inc.* |
41,687 | 77,030,906 | ||||||
|
|
|
|||||||
| 82,594,925 | ||||||||
|
|
|
|||||||
|
IT Services — 19.0% |
||||||||
|
Black Knight, Inc.* |
48,435 | 3,123,089 | ||||||
|
Fidelity National Information Services, Inc. |
200,314 | 27,861,674 | ||||||
|
Fiserv, Inc.* |
311,003 | 35,961,277 | ||||||
|
FleetCor Technologies, Inc.* |
50,979 | 14,667,678 | ||||||
|
Global Payments, Inc. |
182,490 | 33,315,374 | ||||||
|
Mastercard, Inc. (Class A Stock) |
200,186 | 59,773,538 | ||||||
|
PayPal Holdings, Inc.* |
131,602 | 14,235,388 | ||||||
|
Shopify, Inc. (Canada) (Class A Stock)* |
5,562 | 2,211,340 | ||||||
|
Square, Inc. (Class A Stock)* |
73,432 | 4,593,906 | ||||||
|
Visa, Inc. (Class A Stock)(a) |
366,276 | 68,823,261 | ||||||
|
|
|
|||||||
| 264,566,525 | ||||||||
|
|
|
|||||||
|
Life Sciences Tools & Services — 3.3% |
||||||||
|
Illumina, Inc.* |
21,919 | 7,271,409 | ||||||
|
Thermo Fisher Scientific, Inc. |
120,767 | 39,233,575 | ||||||
|
|
|
|||||||
| 46,504,984 | ||||||||
|
|
|
|||||||
|
Machinery — 0.6% |
||||||||
|
Fortive Corp. |
99,160 | 7,574,832 | ||||||
|
|
|
|||||||
|
Media — 1.9% |
||||||||
|
Charter Communications, Inc. (Class A Stock)*(a) |
43,361 | 21,033,554 | ||||||
|
Comcast Corp. (Class A Stock) |
131,715 | 5,923,223 | ||||||
|
|
|
|||||||
| 26,956,777 | ||||||||
|
|
|
|||||||
|
Multiline Retail — 1.2% |
||||||||
|
Dollar General Corp. |
59,101 | 9,218,574 | ||||||
|
Dollar Tree, Inc.* |
82,990 | 7,805,209 | ||||||
|
|
|
|||||||
| 17,023,783 | ||||||||
|
|
|
|||||||
|
Oil, Gas & Consumable Fuels — 0.3% |
||||||||
|
Pioneer Natural Resources Co. |
25,094 | 3,798,479 | ||||||
|
|
|
|||||||
|
Personal Products — 0.8% |
||||||||
|
Estee Lauder Cos., Inc. (The) (Class A Stock) |
55,187 | 11,398,323 | ||||||
|
|
|
|||||||
|
Pharmaceuticals — 2.3% |
||||||||
|
Eli Lilly & Co. |
41,494 | 5,453,557 | ||||||
|
Zoetis, Inc. |
196,089 | 25,952,379 | ||||||
|
|
|
|||||||
| 31,405,936 | ||||||||
|
|
|
|||||||
|
Professional Services — 3.3% |
||||||||
|
Clarivate Analytics PLC (United
|
45,715 | 768,012 | ||||||
|
CoStar Group, Inc.* |
7,068 | 4,228,784 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A67
| AST MFS GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Professional Services (continued) |
||||||||
|
Equifax, Inc. |
14,912 | $ | 2,089,470 | |||||
|
IHS Markit Ltd.*(a) |
99,341 | 7,485,344 | ||||||
|
TransUnion |
100,052 | 8,565,452 | ||||||
|
Verisk Analytics, Inc. |
149,113 | 22,268,535 | ||||||
|
|
|
|||||||
| 45,405,597 | ||||||||
|
|
|
|||||||
|
Road & Rail — 1.6% |
||||||||
|
Canadian Pacific Railway Ltd.
|
47,015 | 11,986,474 | ||||||
|
Union Pacific Corp. |
57,393 | 10,376,081 | ||||||
|
|
|
|||||||
| 22,362,555 | ||||||||
|
|
|
|||||||
|
Semiconductors & Semiconductor Equipment — 0.6% |
|
|||||||
|
Analog Devices, Inc. |
70,551 | 8,384,281 | ||||||
|
|
|
|||||||
|
Software — 16.8% |
||||||||
|
Adobe, Inc.* |
191,094 | 63,024,712 | ||||||
|
Cadence Design Systems, Inc.* |
29,614 | 2,054,027 | ||||||
|
Intuit, Inc. |
91,024 | 23,841,916 | ||||||
|
Microsoft Corp. |
733,400 | 115,657,180 | ||||||
|
salesforce.com, Inc.* |
178,065 | 28,960,492 | ||||||
|
|
|
|||||||
| 233,538,327 | ||||||||
|
|
|
|||||||
|
Specialty Retail — 1.3% |
||||||||
|
O’Reilly Automotive, Inc.* |
4,537 | 1,988,386 | ||||||
|
Ross Stores, Inc. |
135,758 | 15,804,946 | ||||||
|
|
|
|||||||
| 17,793,332 | ||||||||
|
|
|
|||||||
|
Technology Hardware, Storage & Peripherals — 1.9% |
|
|||||||
|
Apple, Inc. |
91,397 | 26,838,729 | ||||||
|
|
|
|||||||
|
Textiles, Apparel & Luxury Goods — 1.6% |
|
|||||||
|
Lululemon Athletica, Inc.* |
23,844 | 5,523,939 | ||||||
|
NIKE, Inc. (Class B Stock) |
163,286 | 16,542,505 | ||||||
|
|
|
|||||||
| 22,066,444 | ||||||||
|
|
|
|||||||
|
TOTAL LONG-TERM INVESTMENTS
|
|
1,384,342,330 | ||||||
|
|
|
|||||||
|
SHORT-TERM
INVESTMENTS — 7.6% |
Shares | Value | ||||||
|
AFFILIATED MUTUAL FUNDS |
||||||||
|
PGIM Core Ultra Short Bond Fund(w) |
10,221,515 | $ | 10,221,515 | |||||
|
PGIM Institutional Money Market Fund
|
95,341,627 | 95,360,695 | ||||||
|
|
|
|||||||
|
TOTAL SHORT-TERM INVESTMENTS
|
|
105,582,210 | ||||||
|
|
|
|||||||
|
TOTAL INVESTMENTS — 107.0%
|
|
1,489,924,540 | ||||||
|
Liabilities in excess of other assets — (7.0)% |
|
(97,336,326 | ) | |||||
|
|
|
|||||||
|
NET ASSETS — 100.0% |
|
$ | 1,392,588,214 | |||||
|
|
|
|||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $93,476,483; cash collateral of $95,258,414 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Beverages |
$ | 7,009,555 | $ | 3,033,169 | $ | — | ||||||
|
Biotechnology |
9,686,348 | — | — | |||||||||
|
Capital Markets |
31,495,524 | — | — | |||||||||
|
Chemicals |
24,159,723 | — | — | |||||||||
|
Construction Materials |
19,641,820 | — | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A68
| AST MFS GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Electrical Equipment |
$ | 12,570,831 | $ | — | $ | — | ||||||
|
Electronic Equipment, Instruments & Components |
13,007,514 | — | — | |||||||||
|
Entertainment |
52,841,415 | — | — | |||||||||
|
Equity Real Estate Investment Trusts (REITs) |
22,327,243 | — | — | |||||||||
|
Food & Staples Retailing |
11,552,820 | — | — | |||||||||
|
Health Care Equipment & Supplies |
103,467,088 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
32,246,500 | — | — | |||||||||
|
Household Products |
15,190,303 | — | — | |||||||||
|
Industrial Conglomerates |
17,547,492 | — | — | |||||||||
|
Insurance |
22,545,726 | — | — | |||||||||
|
Interactive Media & Services |
117,805,430 | — | — | |||||||||
|
Internet & Direct Marketing Retail |
82,594,925 | — | — | |||||||||
|
IT Services |
264,566,525 | — | — | |||||||||
|
Life Sciences Tools & Services |
46,504,984 | — | — | |||||||||
|
Machinery |
7,574,832 | — | — | |||||||||
|
Media |
26,956,777 | — | — | |||||||||
|
Multiline Retail |
17,023,783 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
3,798,479 | — | — | |||||||||
|
Personal Products |
11,398,323 | — | — | |||||||||
|
Pharmaceuticals |
31,405,936 | — | — | |||||||||
|
Professional Services |
45,405,597 | — | — | |||||||||
|
Road & Rail |
22,362,555 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
8,384,281 | — | — | |||||||||
|
Software |
233,538,327 | — | — | |||||||||
|
Specialty Retail |
17,793,332 | — | — | |||||||||
|
Technology Hardware, Storage & Peripherals |
26,838,729 | — | — | |||||||||
|
Textiles, Apparel & Luxury Goods |
22,066,444 | — | — | |||||||||
|
Affiliated Mutual Funds |
105,582,210 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 1,486,891,371 | $ | 3,033,169 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
IT Services |
19.0 | % | ||
|
Software |
16.8 | |||
|
Interactive Media & Services |
8.5 | |||
|
Affiliated Mutual Funds (6.8% represents investments purchased with collateral from securities on loan) |
7.6 | |||
|
Health Care Equipment & Supplies |
7.4 | |||
|
Internet & Direct Marketing Retail |
5.9 | |||
|
Entertainment |
3.8 | |||
|
Life Sciences Tools & Services |
3.3 | |||
|
Professional Services |
3.3 | |||
|
Hotels, Restaurants & Leisure |
2.3 | |||
|
Capital Markets |
2.3 | |||
|
Pharmaceuticals |
2.3 | |||
|
Media |
1.9 | |||
|
Technology Hardware, Storage & Peripherals |
1.9 | |||
|
Chemicals |
1.7 | |||
|
Insurance |
1.6 | |||
|
Road & Rail |
1.6 | |||
|
Equity Real Estate Investment Trusts (REITs) |
1.6 | |||
|
Textiles, Apparel & Luxury Goods |
1.6 |
|
Construction Materials |
1.4 | % | ||
|
Specialty Retail |
1.3 | |||
|
Industrial Conglomerates |
1.3 | |||
|
Multiline Retail |
1.2 | |||
|
Household Products |
1.1 | |||
|
Electronic Equipment, Instruments & Components |
0.9 | |||
|
Electrical Equipment |
0.9 | |||
|
Food & Staples Retailing |
0.8 | |||
|
Personal Products |
0.8 | |||
|
Beverages |
0.7 | |||
|
Biotechnology |
0.7 | |||
|
Semiconductors & Semiconductor Equipment |
0.6 | |||
|
Machinery |
0.6 | |||
|
Oil, Gas & Consumable Fuels |
0.3 | |||
|
|
|
|||
| 107.0 | ||||
|
Liabilities in excess of other assets |
(7.0 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A69
| AST MFS GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 93,476,483 | $ | (93,476,483 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A70
| AST MFS GROWTH PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $93,476,483: |
||||
|
Unaffiliated investments (cost $783,998,457) |
$ | 1,384,342,330 | ||
|
Affiliated investments (cost $105,576,563) |
105,582,210 | |||
|
Dividends receivable |
371,487 | |||
|
Receivable for Portfolio shares sold |
216,322 | |||
|
Tax reclaim receivable |
152,095 | |||
|
Prepaid expenses |
9,310 | |||
|
|
|
|||
|
Total Assets |
1,490,673,754 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
95,258,414 | |||
|
Payable for Portfolio shares repurchased |
2,033,300 | |||
|
Management fee payable |
434,179 | |||
|
Accrued expenses and other liabilities |
152,672 | |||
|
Payable to affiliate |
149,132 | |||
|
Distribution fee payable |
57,486 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
98,085,540 | |||
|
|
|
|||
| NET ASSETS | $ | 1,392,588,214 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 1,392,588,214 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $1,392,588,214 / 41,726,952 outstanding shares of beneficial interest |
$ | 33.37 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
|
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS |
||||||||
|
Net investment income (loss) |
$ | (3,582,899 | ) | $ | (3,048,767 | ) | ||
|
Net realized gain (loss) on investment and foreign currency transactions |
73,639,611 | 135,547,348 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
327,022,381 | (96,687,995 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
397,079,093 | 35,810,586 | ||||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [6,420,928 and 4,793,631 shares, respectively] |
186,773,786 | 124,085,726 | ||||||
|
Portfolio shares repurchased [8,340,706 and 12,475,095 shares, respectively] |
(248,450,001 | ) | (320,402,427 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS . |
(61,676,215 | ) | (196,316,701 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 1,556 | 567,112 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 335,404,434 | (159,939,003 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
1,057,183,780 | 1,217,122,783 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 1,392,588,214 | $ | 1,057,183,780 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A71
| AST MFS LARGE-CAP VALUE PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 98.4% | ||||||||
| COMMON STOCKS | Shares | Value | ||||||
|
Aerospace & Defense — 4.5% |
|
|||||||
|
Lockheed Martin Corp. |
54,969 | $ | 21,403,829 | |||||
|
Northrop Grumman Corp. |
112,066 | 38,547,342 | ||||||
|
United Technologies Corp. |
187,771 | 28,120,585 | ||||||
|
|
|
|||||||
| 88,071,756 | ||||||||
|
|
|
|||||||
|
Auto Components — 1.1% |
||||||||
|
Aptiv PLC |
183,394 | 17,416,928 | ||||||
|
Lear Corp. |
25,322 | 3,474,179 | ||||||
|
|
|
|||||||
| 20,891,107 | ||||||||
|
|
|
|||||||
|
Automobiles — 0.1% |
||||||||
|
Harley-Davidson, Inc.(a) |
51,408 | 1,911,864 | ||||||
|
|
|
|||||||
|
Banks — 14.7% |
||||||||
|
Citigroup, Inc. |
629,755 | 50,311,127 | ||||||
|
JPMorgan Chase & Co. |
701,750 | 97,823,950 | ||||||
|
PNC Financial Services Group, Inc. (The) |
183,902 | 29,356,276 | ||||||
|
Truist Financial Corp. |
519,361 | 29,250,412 | ||||||
|
U.S. Bancorp |
722,884 | 42,859,792 | ||||||
|
Wells Fargo & Co. |
764,840 | 41,148,392 | ||||||
|
|
|
|||||||
| 290,749,949 | ||||||||
|
|
|
|||||||
|
Beverages — 2.0% |
||||||||
|
Diageo PLC (United Kingdom) |
663,206 | 28,177,851 | ||||||
|
PepsiCo, Inc. |
77,329 | 10,568,554 | ||||||
|
|
|
|||||||
| 38,746,405 | ||||||||
|
|
|
|||||||
|
Building Products — 1.2% |
||||||||
|
Johnson Controls International PLC |
564,337 | 22,974,159 | ||||||
|
|
|
|||||||
|
Capital Markets — 6.6% |
||||||||
|
Bank of New York Mellon Corp. (The) |
339,933 | 17,108,828 | ||||||
|
BlackRock, Inc. |
39,715 | 19,964,730 | ||||||
|
Goldman Sachs Group, Inc. (The) |
132,643 | 30,498,605 | ||||||
|
Moody’s Corp. |
66,197 | 15,715,830 | ||||||
|
Nasdaq, Inc. |
195,800 | 20,970,180 | ||||||
|
State Street Corp. |
206,499 | 16,334,071 | ||||||
|
T. Rowe Price Group, Inc. |
83,707 | 10,198,861 | ||||||
|
|
|
|||||||
| 130,791,105 | ||||||||
|
|
|
|||||||
|
Chemicals — 4.1% |
||||||||
|
Corteva, Inc. |
79,076 | 2,337,486 | ||||||
|
DuPont de Nemours, Inc. |
241,664 | 15,514,829 | ||||||
|
PPG Industries, Inc. |
301,330 | 40,224,542 | ||||||
|
Sherwin-Williams Co. (The) |
37,991 | 22,169,268 | ||||||
|
|
|
|||||||
| 80,246,125 | ||||||||
|
|
|
|||||||
|
Consumer Finance — 0.7% |
||||||||
|
American Express Co. |
118,931 | 14,805,720 | ||||||
|
|
|
|||||||
|
Diversified Telecommunication Services — 0.4% |
|
|||||||
|
Verizon Communications, Inc. |
138,227 | 8,487,138 | ||||||
|
|
|
|||||||
|
Electric Utilities — 6.0% |
||||||||
|
Duke Energy Corp.(a) |
486,216 | 44,347,761 | ||||||
|
FirstEnergy Corp. |
555,384 | 26,991,663 | ||||||
|
Southern Co. (The) |
576,259 | 36,707,698 | ||||||
|
COMMON STOCKS (continued) |
Shares | Value | ||||||
|
Electric Utilities (continued) |
||||||||
|
Xcel Energy, Inc. |
150,711 | $ | 9,568,641 | |||||
|
|
|
|||||||
| 117,615,763 | ||||||||
|
|
|
|||||||
|
Electrical Equipment — 1.2% |
||||||||
|
Eaton Corp. PLC |
249,938 | 23,674,127 | ||||||
|
|
|
|||||||
|
Equity Real Estate Investment Trusts (REITs) — 0.3% |
|
|||||||
|
Public Storage |
31,129 | 6,629,232 | ||||||
|
|
|
|||||||
|
Food Products — 3.0% |
||||||||
|
Archer-Daniels-Midland Co. |
234,487 | 10,868,473 | ||||||
|
Danone SA (France) |
107,332 | 8,912,592 | ||||||
|
J.M. Smucker Co. (The)(a) |
61,972 | 6,453,144 | ||||||
|
Nestle SA (Switzerland) |
303,012 | 32,802,083 | ||||||
|
|
|
|||||||
| 59,036,292 | ||||||||
|
|
|
|||||||
|
Health Care Equipment & Supplies — 5.9% |
|
|||||||
|
Abbott Laboratories |
271,878 | 23,615,323 | ||||||
|
Danaher Corp. |
235,533 | 36,149,605 | ||||||
|
Medtronic PLC |
499,257 | 56,640,707 | ||||||
|
|
|
|||||||
| 116,405,635 | ||||||||
|
|
|
|||||||
|
Health Care Providers & Services — 2.7% |
|
|||||||
|
Cigna Corp. |
197,851 | 40,458,551 | ||||||
|
McKesson Corp. |
93,930 | 12,992,398 | ||||||
|
|
|
|||||||
| 53,450,949 | ||||||||
|
|
|
|||||||
|
Household Products — 1.2% |
||||||||
|
Colgate-Palmolive Co. |
52,526 | 3,615,890 | ||||||
|
Kimberly-Clark Corp. |
47,631 | 6,551,644 | ||||||
|
Procter & Gamble Co. (The) |
34,688 | 4,332,531 | ||||||
|
Reckitt Benckiser Group PLC (United Kingdom) |
102,965 | 8,360,955 | ||||||
|
|
|
|||||||
| 22,861,020 | ||||||||
|
|
|
|||||||
|
Industrial Conglomerates — 2.9% |
||||||||
|
3M Co. |
97,455 | 17,193,011 | ||||||
|
Honeywell International, Inc. |
222,988 | 39,468,876 | ||||||
|
|
|
|||||||
| 56,661,887 | ||||||||
|
|
|
|||||||
|
Insurance — 7.7% |
||||||||
|
Aon PLC |
222,354 | 46,314,115 | ||||||
|
Chubb Ltd. |
264,156 | 41,118,523 | ||||||
|
Marsh & McLennan Cos., Inc. |
263,958 | 29,407,561 | ||||||
|
Travelers Cos., Inc. (The) |
258,208 | 35,361,585 | ||||||
|
|
|
|||||||
| 152,201,784 | ||||||||
|
|
|
|||||||
|
IT Services — 5.9% |
||||||||
|
Accenture PLC (Class A Stock) |
254,375 | 53,563,744 | ||||||
|
Cognizant Technology Solutions Corp. (Class A Stock) |
121,139 | 7,513,041 | ||||||
|
Fidelity National Information Services, Inc. |
192,264 | 26,742,000 | ||||||
|
Fiserv, Inc.* |
254,993 | 29,484,840 | ||||||
|
|
|
|||||||
| 117,303,625 | ||||||||
|
|
|
|||||||
|
Life Sciences Tools & Services — 1.4% |
||||||||
|
Thermo Fisher Scientific, Inc. |
86,002 | 27,939,470 | ||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A72
| AST MFS LARGE-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Machinery — 3.9% |
||||||||
|
Illinois Tool Works, Inc. |
189,025 | $ | 33,954,561 | |||||
|
Ingersoll-Rand PLC |
154,652 | 20,556,344 | ||||||
|
Stanley Black & Decker, Inc. |
136,401 | 22,607,101 | ||||||
|
|
|
|||||||
| 77,118,006 | ||||||||
|
|
|
|||||||
|
Media — 2.9% |
||||||||
|
Comcast Corp. (Class A Stock) |
1,216,760 | 54,717,697 | ||||||
|
Omnicom Group, Inc.(a) |
35,899 | 2,908,537 | ||||||
|
|
|
|||||||
| 57,626,234 | ||||||||
|
|
|
|||||||
|
Oil, Gas & Consumable Fuels — 3.1% |
||||||||
|
Chevron Corp. |
122,722 | 14,789,228 | ||||||
|
EOG Resources, Inc. |
169,324 | 14,182,578 | ||||||
|
Exxon Mobil Corp. |
135,563 | 9,459,586 | ||||||
|
Pioneer Natural Resources Co. |
51,071 | 7,730,618 | ||||||
|
Suncor Energy, Inc. (Canada) |
493,063 | 16,160,149 | ||||||
|
|
|
|||||||
| 62,322,159 | ||||||||
|
|
|
|||||||
|
Pharmaceuticals — 7.1% |
||||||||
|
Johnson & Johnson |
450,948 | 65,779,785 | ||||||
|
Merck & Co., Inc. |
245,465 | 22,325,042 | ||||||
|
Novartis AG (Switzerland) |
49,113 | 4,658,636 | ||||||
|
Pfizer, Inc. |
990,876 | 38,822,522 | ||||||
|
Roche Holding AG (Switzerland) |
27,242 | 8,840,050 | ||||||
|
|
|
|||||||
| 140,426,035 | ||||||||
|
|
|
|||||||
|
Professional Services — 0.8% |
||||||||
|
Equifax, Inc. |
117,563 | 16,472,928 | ||||||
|
|
|
|||||||
|
Road & Rail — 1.9% |
||||||||
|
Canadian National Railway Co. (Canada) |
126,113 | 11,406,921 | ||||||
|
Union Pacific Corp. |
140,342 | 25,372,430 | ||||||
|
|
|
|||||||
| 36,779,351 | ||||||||
|
|
|
|||||||
|
Semiconductors & Semiconductor Equipment — 3.2% |
|
|||||||
|
Analog Devices, Inc. |
106,456 | 12,651,231 | ||||||
|
NXP Semiconductors NV (Netherlands) |
71,043 | 9,040,932 | ||||||
|
Texas Instruments, Inc. |
327,973 | 42,075,656 | ||||||
|
|
|
|||||||
| 63,767,819 | ||||||||
|
|
|
|||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $53,133,940; cash collateral of $54,038,841 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 88,071,756 | $ | — | $ | — | ||||||
|
Auto Components |
20,891,107 | — | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A73
| AST MFS LARGE-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Automobiles |
$ | 1,911,864 | $ | — | $ | — | ||||||
|
Banks |
290,749,949 | — | — | |||||||||
|
Beverages |
10,568,554 | 28,177,851 | — | |||||||||
|
Building Products |
22,974,159 | — | — | |||||||||
|
Capital Markets |
130,791,105 | — | — | |||||||||
|
Chemicals |
80,246,125 | — | — | |||||||||
|
Consumer Finance |
14,805,720 | — | — | |||||||||
|
Diversified Telecommunication Services |
8,487,138 | — | — | |||||||||
|
Electric Utilities |
117,615,763 | — | — | |||||||||
|
Electrical Equipment |
23,674,127 | — | — | |||||||||
|
Equity Real Estate Investment Trusts (REITs) |
6,629,232 | — | — | |||||||||
|
Food Products |
17,321,617 | 41,714,675 | — | |||||||||
|
Health Care Equipment & Supplies |
116,405,635 | — | — | |||||||||
|
Health Care Providers & Services |
53,450,949 | — | — | |||||||||
|
Household Products |
14,500,065 | 8,360,955 | — | |||||||||
|
Industrial Conglomerates |
56,661,887 | — | — | |||||||||
|
Insurance |
152,201,784 | — | — | |||||||||
|
IT Services |
117,303,625 | — | — | |||||||||
|
Life Sciences Tools & Services |
27,939,470 | — | — | |||||||||
|
Machinery |
77,118,006 | — | — | |||||||||
|
Media |
57,626,234 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
62,322,159 | — | — | |||||||||
|
Pharmaceuticals |
126,927,349 | 13,498,686 | — | |||||||||
|
Professional Services |
16,472,928 | — | — | |||||||||
|
Road & Rail |
36,779,351 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
63,767,819 | — | — | |||||||||
|
Textiles, Apparel & Luxury Goods |
1,438,668 | — | — | |||||||||
|
Tobacco |
34,949,253 | — | — | |||||||||
|
Affiliated Mutual Funds |
83,142,129 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 1,933,745,527 | $ | 91,752,167 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Banks |
14.7 | % | ||
|
Insurance |
7.7 | |||
|
Pharmaceuticals |
7.1 | |||
|
Capital Markets |
6.6 | |||
|
Electric Utilities |
6.0 | |||
|
IT Services |
5.9 | |||
|
Health Care Equipment & Supplies |
5.9 | |||
|
Aerospace & Defense |
4.5 | |||
|
Affiliated Mutual Funds (2.7% represents investments purchased with collateral from securities on loan) |
4.2 | |||
|
Chemicals |
4.1 | |||
|
Machinery |
3.9 | |||
|
Semiconductors & Semiconductor Equipment |
3.2 | |||
|
Oil, Gas & Consumable Fuels |
3.1 | |||
|
Food Products |
3.0 | |||
|
Media |
2.9 | |||
|
Industrial Conglomerates |
2.9 | |||
|
Health Care Providers & Services |
2.7 | |||
|
Beverages |
2.0 |
|
Road & Rail |
1.9 | % | ||
|
Tobacco |
1.8 | |||
|
Life Sciences Tools & Services |
1.4 | |||
|
Electrical Equipment |
1.2 | |||
|
Building Products |
1.2 | |||
|
Household Products |
1.2 | |||
|
Auto Components |
1.1 | |||
|
Professional Services |
0.8 | |||
|
Consumer Finance |
0.7 | |||
|
Diversified Telecommunication Services |
0.4 | |||
|
Equity Real Estate Investment Trusts (REITs) |
0.3 | |||
|
Automobiles |
0.1 | |||
|
Textiles, Apparel & Luxury Goods |
0.1 | |||
|
|
|
|||
| 102.6 | ||||
|
Liabilities in excess of other assets |
(2.6 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A74
| AST MFS LARGE-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 53,133,940 | $ | (53,133,940 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A75
| AST MFS LARGE-CAP VALUE PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $53,133,940: |
||||
|
Unaffiliated investments (cost $1,484,437,492) |
$ | 1,942,355,565 | ||
|
Affiliated investments (cost $83,139,501) |
83,142,129 | |||
|
Cash |
81,966 | |||
|
Dividends receivable |
2,271,695 | |||
|
Tax reclaim receivable |
785,969 | |||
|
Receivable for Portfolio shares sold |
60,716 | |||
|
Prepaid expenses |
12,684 | |||
|
|
|
|||
|
Total Assets |
2,028,710,724 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
54,038,841 | |||
|
Management fee payable |
596,202 | |||
|
Accrued expenses and other liabilities |
182,340 | |||
|
Payable to affiliate |
131,596 | |||
|
Distribution fee payable |
81,116 | |||
|
Payable for Portfolio shares repurchased |
31,017 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
55,061,469 | |||
|
|
|
|||
| NET ASSETS | $ | 1,973,649,255 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 1,973,649,255 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $1,973,649,255 / 84,481,708 outstanding shares of beneficial interest |
$ | 23.36 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 25,349,466 | $ | 22,509,492 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
9,934,484 | 27,291,085 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
391,174,292 | (205,951,153 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
426,458,242 | (156,150,576 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [15,261,147 and 2,991,421 shares, respectively] |
314,779,367 | 59,519,974 | ||||||
|
Portfolio shares repurchased [6,049,097 and 6,284,818 shares, respectively] |
(127,326,285 | ) | (122,843,600 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
187,453,082 | (63,323,626 | ) | |||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 67 | 30,787 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 613,911,391 | (219,443,415 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
1,359,737,864 | 1,579,181,279 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 1,973,649,255 | $ | 1,359,737,864 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A76
| AST MID-CAP GROWTH PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 99.2% | ||||||||
| COMMON STOCKS | Shares | Value | ||||||
|
Aerospace & Defense — 3.7% |
||||||||
|
HEICO Corp. (Class A Stock) |
108,070 | $ | 9,675,507 | |||||
|
Hexcel Corp. |
119,380 | 8,751,747 | ||||||
|
L3Harris Technologies, Inc. |
100,509 | 19,887,716 | ||||||
|
Teledyne Technologies, Inc.* |
11,970 | 4,148,084 | ||||||
|
TransDigm Group, Inc. |
18,649 | 10,443,440 | ||||||
|
|
|
|||||||
| 52,906,494 | ||||||||
|
|
|
|||||||
|
Banks — 0.5% |
||||||||
|
First Republic Bank(a) |
55,206 | 6,483,945 | ||||||
|
|
|
|||||||
|
Biotechnology — 1.9% |
||||||||
|
Ascendis Pharma A/S (Denmark), ADR* |
19,060 | 2,651,627 | ||||||
|
Bluebird Bio, Inc.*(a) |
64,180 | 5,631,795 | ||||||
|
Exact Sciences Corp.* |
106,050 | 9,807,504 | ||||||
|
Neurocrine Biosciences, Inc.* |
39,420 | 4,237,256 | ||||||
|
Sage Therapeutics, Inc.*(a) |
56,850 | 4,104,001 | ||||||
|
|
|
|||||||
| 26,432,183 | ||||||||
|
|
|
|||||||
|
Building Products — 0.6% |
||||||||
|
Lennox International, Inc.(a) |
34,527 | 8,423,552 | ||||||
|
|
|
|||||||
|
Capital Markets — 3.8% |
||||||||
|
Apollo Global Management, Inc. |
148,026 | 7,062,320 | ||||||
|
LPL Financial Holdings, Inc. |
84,890 | 7,831,103 | ||||||
|
MSCI, Inc. |
85,358 | 22,037,728 | ||||||
|
Nasdaq, Inc. |
138,016 | 14,781,514 | ||||||
|
Tradeweb Markets, Inc. (Class A Stock) |
47,994 | 2,224,522 | ||||||
|
|
|
|||||||
| 53,937,187 | ||||||||
|
|
|
|||||||
|
Chemicals — 0.9% |
||||||||
|
Chr Hansen Holding A/S (Denmark) |
54,745 | 4,349,800 | ||||||
|
Ingevity Corp.* |
56,725 | 4,956,631 | ||||||
|
Scotts Miracle-Gro Co. (The) |
30,185 | 3,205,043 | ||||||
|
|
|
|||||||
| 12,511,474 | ||||||||
|
|
|
|||||||
|
Commercial Services & Supplies — 2.0% |
|
|||||||
|
Clean Harbors, Inc.* |
69,890 | 5,993,068 | ||||||
|
Copart, Inc.* |
211,281 | 19,213,894 | ||||||
|
IAA, Inc.*(a) |
79,608 | 3,746,352 | ||||||
|
|
|
|||||||
| 28,953,314 | ||||||||
|
|
|
|||||||
|
Construction Materials — 0.9% |
||||||||
|
Vulcan Materials Co. |
89,379 | 12,869,682 | ||||||
|
|
|
|||||||
|
Distributors — 0.4% |
||||||||
|
Pool Corp. |
25,732 | 5,464,962 | ||||||
|
|
|
|||||||
|
Diversified Consumer Services — 2.6% |
|
|||||||
|
Bright Horizons Family Solutions, Inc.* |
190,695 | 28,659,552 | ||||||
|
Grand Canyon Education, Inc.* |
91,250 | 8,740,837 | ||||||
|
|
|
|||||||
| 37,400,389 | ||||||||
|
|
|
|||||||
|
Electrical Equipment — 1.9% |
||||||||
|
AMETEK, Inc. |
272,110 | 27,140,250 | ||||||
|
|
|
|||||||
|
Electronic Equipment, Instruments & Components — 3.0% |
|
|||||||
|
Amphenol Corp. (Class A Stock) |
183,781 | 19,890,618 | ||||||
|
FLIR Systems, Inc. |
107,339 | 5,589,142 | ||||||
|
Keysight Technologies, Inc.* |
38,790 | 3,981,018 | ||||||
|
Littelfuse, Inc. |
29,662 | 5,674,340 | ||||||
|
COMMON STOCKS (continued) |
Shares | Value | ||||||
|
Electronic Equipment, Instruments & Components (continued) |
|
|||||||
|
Trimble, Inc.* |
159,210 | $ | 6,637,465 | |||||
|
|
|
|||||||
| 41,772,583 | ||||||||
|
|
|
|||||||
|
Entertainment — 2.9% |
||||||||
|
Electronic Arts, Inc.* |
42,414 | 4,559,929 | ||||||
|
Live Nation Entertainment, Inc.*(a) |
196,170 | 14,020,270 | ||||||
|
Take-Two Interactive Software, Inc.* |
169,894 | 20,800,123 | ||||||
|
World Wrestling Entertainment, Inc. (Class A Stock)(a) |
27,228 | 1,766,280 | ||||||
|
|
|
|||||||
| 41,146,602 | ||||||||
|
|
|
|||||||
|
Equity Real Estate Investment Trusts (REITs) — 1.7% |
|
|||||||
|
Extra Space Storage, Inc. |
95,065 | 10,040,765 | ||||||
|
SBA Communications Corp. |
59,043 | 14,228,773 | ||||||
|
|
|
|||||||
| 24,269,538 | ||||||||
|
|
|
|||||||
|
Food & Staples Retailing — 0.1% |
||||||||
|
BJ’s Wholesale Club Holdings, Inc.* |
68,400 | 1,555,416 | ||||||
|
|
|
|||||||
|
Food Products — 1.3% |
||||||||
|
Post Holdings, Inc.* |
97,280 | 10,613,248 | ||||||
|
Tyson Foods, Inc. (Class A Stock) |
86,250 | 7,852,200 | ||||||
|
|
|
|||||||
| 18,465,448 | ||||||||
|
|
|
|||||||
|
Health Care Equipment & Supplies — 6.4% |
|
|||||||
|
Align Technology, Inc.* |
5,894 | 1,644,662 | ||||||
|
Cooper Cos., Inc. (The) |
56,009 | 17,995,132 | ||||||
|
DexCom, Inc.* |
56,382 | 12,332,999 | ||||||
|
Edwards Lifesciences Corp.* |
31,627 | 7,378,263 | ||||||
|
IDEXX Laboratories, Inc.* |
13,844 | 3,615,084 | ||||||
|
Insulet Corp.* |
44,180 | 7,563,616 | ||||||
|
Intuitive Surgical, Inc.* |
12,130 | 7,170,649 | ||||||
|
Masimo Corp.* |
65,035 | 10,279,432 | ||||||
|
STERIS PLC |
110,037 | 16,771,839 | ||||||
|
West Pharmaceutical Services, Inc. |
37,324 | 5,610,917 | ||||||
|
|
|
|||||||
| 90,362,593 | ||||||||
|
|
|
|||||||
|
Health Care Providers & Services — 0.9% |
|
|||||||
|
Encompass Health Corp. |
67,560 | 4,679,881 | ||||||
|
Guardant Health, Inc.* |
13,171 | 1,029,182 | ||||||
|
WellCare Health Plans, Inc.* |
22,100 | 7,297,641 | ||||||
|
|
|
|||||||
| 13,006,704 | ||||||||
|
|
|
|||||||
|
Health Care Technology — 0.3% |
||||||||
|
Veeva Systems, Inc. (Class A Stock)* |
30,810 | 4,333,735 | ||||||
|
|
|
|||||||
|
Hotels, Restaurants & Leisure — 3.9% |
|
|||||||
|
Chipotle Mexican Grill, Inc.* |
13,194 | 11,044,829 | ||||||
|
Domino’s Pizza, Inc. |
11,633 | 3,417,543 | ||||||
|
Dunkin’ Brands Group, Inc.(a) |
87,192 | 6,586,484 | ||||||
|
Eldorado Resorts, Inc.*(a) |
88,960 | 5,305,574 | ||||||
|
Flutter Entertainment PLC (Ireland) |
23,952 | 2,934,320 | ||||||
|
Hilton Worldwide Holdings, Inc. |
101,140 | 11,217,437 | ||||||
|
Vail Resorts, Inc. |
49,279 | 11,818,583 | ||||||
|
Wynn Resorts Ltd. |
16,468 | 2,286,911 | ||||||
|
|
|
|||||||
| 54,611,681 | ||||||||
|
|
|
|||||||
|
Household Products — 0.5% |
||||||||
|
Church & Dwight Co., Inc. |
109,970 | 7,735,290 | ||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A77
| AST MID-CAP GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS (continued) |
Shares | Value | ||||||
|
Industrial Conglomerates — 1.7% |
|
|||||||
|
Roper Technologies, Inc.(a) |
67,136 | $ | 23,781,585 | |||||
|
|
|
|||||||
|
Insurance — 0.9% |
||||||||
|
Arthur J Gallagher & Co. |
128,934 | 12,278,385 | ||||||
|
|
|
|||||||
|
Interactive Media & Services — 1.4% |
|
|||||||
|
IAC/InterActiveCorp* |
37,687 | 9,388,209 | ||||||
|
Match Group, Inc.*(a) |
38,083 | 3,126,995 | ||||||
|
Twitter, Inc.* |
243,150 | 7,792,957 | ||||||
|
|
|
|||||||
| 20,308,161 | ||||||||
|
|
|
|||||||
|
Internet & Direct Marketing Retail — 0.2% |
|
|||||||
|
Chewy, Inc. (Class A Stock)*(a) |
98,978 | 2,870,362 | ||||||
|
|
|
|||||||
|
IT Services — 13.2% |
||||||||
|
Black Knight, Inc.* |
320,648 | 20,675,383 | ||||||
|
Euronet Worldwide, Inc.* |
129,620 | 20,422,927 | ||||||
|
Fidelity National Information Services, Inc. |
145,425 | 20,227,163 | ||||||
|
Fiserv, Inc.* |
158,630 | 18,342,387 | ||||||
|
FleetCor Technologies, Inc.*(a) |
64,249 | 18,485,722 | ||||||
|
Global Payments, Inc. |
273,015 | 49,841,619 | ||||||
|
GoDaddy, Inc. (Class A Stock)* |
114,090 | 7,748,993 | ||||||
|
Okta, Inc.*(a) |
61,740 | 7,122,944 | ||||||
|
Square, Inc. (Class A Stock)*(a) |
65,311 | 4,085,856 | ||||||
|
Twilio, Inc. (Class A Stock)*(a) |
90,150 | 8,859,942 | ||||||
|
Wix.com Ltd. (Israel)* |
97,160 | 11,890,441 | ||||||
|
|
|
|||||||
| 187,703,377 | ||||||||
|
|
|
|||||||
|
Leisure Products — 0.9% |
||||||||
|
Hasbro, Inc. |
100,490 | 10,612,749 | ||||||
|
Peloton Interactive, Inc. (Class A
|
78,537 | 2,230,451 | ||||||
|
|
|
|||||||
| 12,843,200 | ||||||||
|
|
|
|||||||
|
Life Sciences Tools & Services — 5.2% |
|
|||||||
|
10X Genomics, Inc. (Class A Stock)*(a) |
54,280 | 4,138,850 | ||||||
|
Adaptive Biotechnologies Corp.*(a) |
45,688 | 1,366,985 | ||||||
|
Bio-Techne Corp. |
44,841 | 9,843,048 | ||||||
|
ICON PLC (Ireland)* |
63,704 | 10,971,740 | ||||||
|
IQVIA Holdings, Inc.* |
73,340 | 11,331,763 | ||||||
|
Mettler-Toledo International, Inc.* |
12,538 | 9,946,145 | ||||||
|
PerkinElmer, Inc.(a) |
212,590 | 20,642,489 | ||||||
|
QIAGEN NV* |
156,168 | 5,278,478 | ||||||
|
|
|
|||||||
| 73,519,498 | ||||||||
|
|
|
|||||||
|
Machinery — 2.8% |
||||||||
|
IDEX Corp. |
90,691 | 15,598,852 | ||||||
|
Ingersoll-Rand PLC |
101,170 | 13,447,516 | ||||||
|
Woodward, Inc. |
77,150 | 9,137,646 | ||||||
|
Xylem, Inc. |
18,620 | 1,467,070 | ||||||
|
|
|
|||||||
| 39,651,084 | ||||||||
|
|
|
|||||||
|
Media — 0.6% |
||||||||
|
Altice USA, Inc. (Class A Stock)* |
283,108 | 7,740,173 | ||||||
|
|
|
|||||||
|
Multiline Retail — 1.4% |
||||||||
|
Dollar General Corp. |
74,100 | 11,558,118 | ||||||
|
Dollar Tree, Inc.* |
87,020 | 8,184,231 | ||||||
|
|
|
|||||||
| 19,742,349 | ||||||||
|
|
|
|||||||
|
COMMON STOCKS (continued) |
Shares | Value | ||||||
|
Oil, Gas & Consumable Fuels — 0.6% |
|
|||||||
|
Diamondback Energy, Inc.(a) |
94,935 | $ | 8,815,664 | |||||
|
|
|
|||||||
|
Pharmaceuticals — 1.0% |
||||||||
|
Elanco Animal Health, Inc.* |
237,031 | 6,980,563 | ||||||
|
GW Pharmaceuticals PLC (United Kingdom), ADR*(a) |
41,060 | 4,293,234 | ||||||
|
Horizon Therapeutics PLC* |
84,670 | 3,065,054 | ||||||
|
|
|
|||||||
| 14,338,851 | ||||||||
|
|
|
|||||||
|
Professional Services — 6.3% |
||||||||
|
Clarivate Analytics PLC (United Kingdom)*(a) |
450,714 | 7,571,995 | ||||||
|
CoStar Group, Inc.* |
17,562 | 10,507,345 | ||||||
|
Equifax, Inc. |
16,419 | 2,300,630 | ||||||
|
IHS Markit Ltd.*(a) |
298,687 | 22,506,065 | ||||||
|
TransUnion |
257,828 | 22,072,655 | ||||||
|
Verisk Analytics, Inc. |
153,056 | 22,857,383 | ||||||
|
Wolters Kluwer NV (Netherlands) |
26,676 | 1,947,386 | ||||||
|
|
|
|||||||
| 89,763,459 | ||||||||
|
|
|
|||||||
|
Road & Rail — 0.9% |
||||||||
|
Kansas City Southern(a) |
86,178 | 13,199,022 | ||||||
|
|
|
|||||||
|
Semiconductors & Semiconductor Equipment — 4.9% |
|
|||||||
|
KLA Corp. |
50,390 | 8,977,986 | ||||||
|
Lam Research Corp. |
36,840 | 10,772,016 | ||||||
|
Marvell Technology Group Ltd. |
468,580 | 12,445,485 | ||||||
|
Microchip Technology, Inc.(a) |
92,450 | 9,681,364 | ||||||
|
Monolithic Power Systems, Inc. |
121,199 | 21,575,846 | ||||||
|
Silicon Laboratories, Inc.* |
54,926 | 6,370,318 | ||||||
|
|
|
|||||||
| 69,823,015 | ||||||||
|
|
|
|||||||
|
Software — 11.7% |
||||||||
|
Autodesk, Inc.* |
78,411 | 14,385,282 | ||||||
|
Cadence Design Systems, Inc.* |
244,777 | 16,977,733 | ||||||
|
Constellation Software, Inc. (Canada) |
8,016 | 7,785,190 | ||||||
|
DocuSign, Inc.*(a) |
161,965 | 12,003,226 | ||||||
|
Dropbox, Inc. (Class A Stock)* |
504,410 | 9,033,983 | ||||||
|
Fair Isaac Corp.* |
32,880 | 12,319,478 | ||||||
|
Guidewire Software, Inc.*(a) |
67,577 | 7,417,927 | ||||||
|
Nice Ltd. (Israel), ADR*(a) |
70,357 | 10,915,889 | ||||||
|
Paycom Software, Inc.* |
16,888 | 4,471,267 | ||||||
|
Pluralsight, Inc. (Class A Stock)* |
36,399 | 626,427 | ||||||
|
Proofpoint, Inc.* |
89,310 | 10,251,002 | ||||||
|
RingCentral, Inc. (Class A Stock)* |
123,300 | 20,797,011 | ||||||
|
ServiceNow, Inc.*(a) |
69,707 | 19,679,680 | ||||||
|
SS&C Technologies Holdings, Inc. |
113,444 | 6,965,462 | ||||||
|
Tyler Technologies, Inc.* |
29,246 | 8,774,385 | ||||||
|
Zendesk, Inc.* |
38,710 | 2,966,347 | ||||||
|
|
|
|||||||
| 165,370,289 | ||||||||
|
|
|
|||||||
|
Specialty Retail — 4.2% |
||||||||
|
Burlington Stores, Inc.* |
46,178 | 10,529,969 | ||||||
|
Five Below, Inc.* |
86,926 | 11,114,358 | ||||||
|
O’Reilly Automotive, Inc.* |
42,466 | 18,611,149 | ||||||
|
Ross Stores, Inc. |
45,056 | 5,245,420 | ||||||
|
Tractor Supply Co. |
147,592 | 13,790,997 | ||||||
|
|
|
|||||||
| 59,291,893 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A78
| AST MID-CAP GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $226,807,165; cash collateral of $230,719,121 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 52,906,494 | $ | — | $ | — | ||||||
|
Banks |
6,483,945 | — | — | |||||||||
|
Biotechnology |
26,432,183 | — | — | |||||||||
|
Building Products |
8,423,552 | — | — | |||||||||
|
Capital Markets |
53,937,187 | — | — | |||||||||
|
Chemicals |
8,161,674 | 4,349,800 | — | |||||||||
|
Commercial Services & Supplies |
28,953,314 | — | — | |||||||||
|
Construction Materials |
12,869,682 | — | — | |||||||||
|
Distributors |
5,464,962 | — | — | |||||||||
|
Diversified Consumer Services |
37,400,389 | — | — | |||||||||
|
Electrical Equipment |
27,140,250 | — | — | |||||||||
|
Electronic Equipment, Instruments & Components |
41,772,583 | — | — | |||||||||
|
Entertainment |
41,146,602 | — | — | |||||||||
|
Equity Real Estate Investment Trusts (REITs) |
24,269,538 | — | — | |||||||||
|
Food & Staples Retailing |
1,555,416 | — | — | |||||||||
|
Food Products |
18,465,448 | — | — | |||||||||
|
Health Care Equipment & Supplies |
90,362,593 | — | — | |||||||||
|
Health Care Providers & Services |
13,006,704 | — | — | |||||||||
|
Health Care Technology |
4,333,735 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
51,677,361 | 2,934,320 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A79
| AST MID-CAP GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Household Products |
$ | 7,735,290 | $ | — | $ | — | ||||||
|
Industrial Conglomerates |
23,781,585 | — | — | |||||||||
|
Insurance |
12,278,385 | — | — | |||||||||
|
Interactive Media & Services |
20,308,161 | — | — | |||||||||
|
Internet & Direct Marketing Retail |
2,870,362 | — | — | |||||||||
|
IT Services |
187,703,377 | — | — | |||||||||
|
Leisure Products |
12,843,200 | — | — | |||||||||
|
Life Sciences Tools & Services |
73,519,498 | — | — | |||||||||
|
Machinery |
39,651,084 | — | — | |||||||||
|
Media. |
7,740,173 | — | — | |||||||||
|
Multiline Retail |
19,742,349 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
8,815,664 | — | — | |||||||||
|
Pharmaceuticals. |
14,338,851 | — | — | |||||||||
|
Professional Services |
87,816,073 | 1,947,386 | — | |||||||||
|
Road & Rail |
13,199,022 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
69,823,015 | — | — | |||||||||
|
Software |
165,370,289 | — | — | |||||||||
|
Specialty Retail |
59,291,893 | — | — | |||||||||
|
Textiles, Apparel & Luxury Goods |
9,234,366 | — | — | |||||||||
|
Thrifts & Mortgage Finance |
5,686,466 | — | — | |||||||||
|
Affiliated Mutual Funds |
241,582,459 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 1,638,095,174 | $ | 9,231,506 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Affiliated Mutual Funds (16.3% represents investments purchased with collateral from securities on loan) |
17.0 | % | ||
|
IT Services |
13.2 | |||
|
Software |
11.7 | |||
|
Health Care Equipment & Supplies |
6.4 | |||
|
Professional Services |
6.3 | |||
|
Life Sciences Tools & Services |
5.2 | |||
|
Semiconductors & Semiconductor Equipment |
4.9 | |||
|
Specialty Retail |
4.2 | |||
|
Hotels, Restaurants & Leisure |
3.9 | |||
|
Capital Markets |
3.8 | |||
|
Aerospace & Defense |
3.7 | |||
|
Electronic Equipment, Instruments & Components |
3.0 | |||
|
Entertainment |
2.9 | |||
|
Machinery |
2.8 | |||
|
Diversified Consumer Services |
2.6 | |||
|
Commercial Services & Supplies |
2.0 | |||
|
Electrical Equipment |
1.9 | |||
|
Biotechnology |
1.9 | |||
|
Equity Real Estate Investment Trusts (REITs) |
1.7 | |||
|
Industrial Conglomerates |
1.7 | |||
|
Interactive Media & Services |
1.4 | |||
|
Multiline Retail |
1.4 | |||
|
Food Products |
1.3 |
|
Pharmaceuticals |
1.0 | % | ||
|
Road & Rail |
0.9 | |||
|
Health Care Providers & Services |
0.9 | |||
|
Construction Materials |
0.9 | |||
|
Leisure Products |
0.9 | |||
|
Chemicals |
0.9 | |||
|
Insurance |
0.9 | |||
|
Textiles, Apparel & Luxury Goods |
0.7 | |||
|
Oil, Gas & Consumable Fuels |
0.6 | |||
|
Building Products |
0.6 | |||
|
Media |
0.6 | |||
|
Household Products |
0.5 | |||
|
Banks |
0.5 | |||
|
Thrifts & Mortgage Finance |
0.4 | |||
|
Distributors |
0.4 | |||
|
Health Care Technology |
0.3 | |||
|
Internet & Direct Marketing Retail |
0.2 | |||
|
Food & Staples Retailing |
0.1 | |||
|
|
|
|||
| 116.2 | ||||
|
Liabilities in excess of other assets |
(16.2 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A80
| AST MID-CAP GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 226,807,165 | $ | (226,807,165 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A81
| AST MID-CAP GROWTH PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $226,807,165: |
||||
|
Unaffiliated investments (cost $1,216,427,099) |
$ | 1,405,744,221 | ||
|
Affiliated investments (cost $241,565,037) |
241,582,459 | |||
|
Cash |
53,620 | |||
|
Dividends receivable |
964,828 | |||
|
Receivable for Portfolio shares sold |
497,705 | |||
|
Tax reclaim receivable |
38,548 | |||
|
Prepaid expenses and other assets |
40,536 | |||
|
|
|
|||
|
Total Assets |
1,648,921,917 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
230,719,121 | |||
|
Management fee payable. |
444,682 | |||
|
Accrued expenses and other liabilities |
354,467 | |||
|
Payable for Portfolio shares repurchased |
131,365 | |||
|
Distribution fee payable |
58,332 | |||
|
Payable to affiliate |
22,051 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
231,730,375 | |||
|
|
|
|||
| NET ASSETS | $ | 1,417,191,542 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 1,417,191,542 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $1,417,191,542 / 120,727,072 outstanding shares of beneficial interest |
$ | 11.74 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
| Year Ended | Year Ended | |||||||
| December 31, 2019 | December 31, 2018 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | (4,113,874 | ) | $ | (3,316,679 | ) | ||
|
Net realized gain (loss) on investment and foreign currency transactions |
219,726,152 | 192,980,378 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
133,463,174 | (239,341,585 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
349,075,452 | (49,677,886 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [9,513,061 and 7,056,388 shares, respectively] |
98,471,677 | 68,583,427 | ||||||
|
Portfolio shares repurchased [17,363,960 and 30,882,162 shares, respectively] |
(190,529,970 | ) | (295,736,214 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(92,058,293 | ) | (227,152,787 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 1,786 | 15,618 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 257,018,945 | (276,815,055 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
1,160,172,597 | 1,436,987,652 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 1,417,191,542 | $ | 1,160,172,597 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A82
| AST NEUBERGER BERMAN/LSV MID-CAP VALUE PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 97.7% | ||||||||
| COMMON STOCKS | Shares | Value | ||||||
|
Aerospace & Defense — 4.2% |
||||||||
|
Arconic, Inc. |
98,100 | $ | 3,018,537 | |||||
|
General Dynamics Corp. |
57,500 | 10,140,125 | ||||||
|
Hexcel Corp. |
83,000 | 6,084,730 | ||||||
|
Huntington Ingalls Industries, Inc. |
18,300 | 4,591,104 | ||||||
|
Spirit AeroSystems Holdings, Inc. (Class A Stock) |
134,000 | 9,765,920 | ||||||
|
Textron, Inc. |
53,600 | 2,390,560 | ||||||
|
|
|
|||||||
| 35,990,976 | ||||||||
|
|
|
|||||||
|
Airlines — 2.7% |
||||||||
|
Alaska Air Group, Inc.(a) |
36,500 | 2,472,875 | ||||||
|
American Airlines Group, Inc.(a) |
167,600 | 4,806,768 | ||||||
|
JetBlue Airways Corp.* |
365,100 | 6,834,672 | ||||||
|
United Airlines Holdings, Inc.* |
99,900 | 8,800,191 | ||||||
|
|
|
|||||||
| 22,914,506 | ||||||||
|
|
|
|||||||
|
Auto Components — 1.7% |
||||||||
|
Aptiv PLC. |
41,400 | 3,931,758 | ||||||
|
BorgWarner, Inc. |
56,000 | 2,429,280 | ||||||
|
Goodyear Tire & Rubber Co. (The) |
192,100 | 2,988,116 | ||||||
|
Lear Corp. |
35,600 | 4,884,320 | ||||||
|
|
|
|||||||
| 14,233,474 | ||||||||
|
|
|
|||||||
|
Automobiles — 0.7% |
||||||||
|
Harley-Davidson, Inc.(a) |
76,100 | 2,830,159 | ||||||
|
Thor Industries, Inc.(a) |
40,800 | 3,031,032 | ||||||
|
|
|
|||||||
| 5,861,191 | ||||||||
|
|
|
|||||||
|
Banks — 8.2% |
||||||||
|
BankUnited, Inc. |
199,100 | 7,279,096 | ||||||
|
CIT Group, Inc. |
51,200 | 2,336,256 | ||||||
|
Citizens Financial Group, Inc. |
171,800 | 6,976,798 | ||||||
|
Comerica, Inc. |
113,300 | 8,129,275 | ||||||
|
Fifth Third Bancorp |
232,900 | 7,159,346 | ||||||
|
KeyCorp |
834,800 | 16,896,352 | ||||||
|
Regions Financial Corp. |
572,600 | 9,825,816 | ||||||
|
Truist Financial Corp. |
113,600 | 6,397,952 | ||||||
|
Zions Bancorp NA(a) |
94,700 | 4,916,824 | ||||||
|
|
|
|||||||
| 69,917,715 | ||||||||
|
|
|
|||||||
|
Beverages — 1.1% |
||||||||
|
Molson Coors Brewing Co. (Class B Stock)(a) |
165,400 | 8,915,060 | ||||||
|
|
|
|||||||
|
Biotechnology — 1.1% |
||||||||
|
Alexion Pharmaceuticals, Inc.* |
89,600 | 9,690,240 | ||||||
|
|
|
|||||||
|
Building Products — 0.8% |
||||||||
|
Johnson Controls International PLC |
103,592 | 4,217,230 | ||||||
|
Owens Corning |
42,800 | 2,787,136 | ||||||
|
|
|
|||||||
| 7,004,366 | ||||||||
|
|
|
|||||||
|
Capital Markets — 1.6% |
||||||||
|
Ameriprise Financial, Inc. |
52,300 | 8,712,134 | ||||||
|
Ashford, Inc.* |
450 | 10,620 | ||||||
|
State Street Corp. |
57,800 | 4,571,980 | ||||||
|
|
|
|||||||
| 13,294,734 | ||||||||
|
|
|
|||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Chemicals — 3.1% |
||||||||
|
Ashland Global Holdings, Inc. |
77,000 | $ | 5,892,810 | |||||
|
Celanese Corp. |
62,800 | 7,731,936 | ||||||
|
Eastman Chemical Co. |
78,500 | 6,221,910 | ||||||
|
Huntsman Corp. |
250,200 | 6,044,832 | ||||||
|
|
|
|||||||
| 25,891,488 | ||||||||
|
|
|
|||||||
|
Commercial Services & Supplies — 1.2% |
|
|||||||
|
Covanta Holding Corp. |
470,000 | 6,974,800 | ||||||
|
Interface, Inc. |
50,100 | 831,159 | ||||||
|
KAR Auction Services, Inc.(a) |
66,000 | 1,438,140 | ||||||
|
Pitney Bowes, Inc.(a) |
205,300 | 827,359 | ||||||
|
|
|
|||||||
| 10,071,458 | ||||||||
|
|
|
|||||||
|
Communications Equipment — 0.9% |
||||||||
|
Ciena Corp.* |
106,000 | 4,525,140 | ||||||
|
Juniper Networks, Inc. |
122,200 | 3,009,786 | ||||||
|
|
|
|||||||
| 7,534,926 | ||||||||
|
|
|
|||||||
|
Construction & Engineering — 0.4% |
||||||||
|
Valmont Industries, Inc. |
22,000 | 3,295,160 | ||||||
|
|
|
|||||||
|
Consumer Finance — 1.1% |
||||||||
|
Discover Financial Services |
75,200 | 6,378,464 | ||||||
|
Navient Corp. |
140,400 | 1,920,672 | ||||||
|
Nelnet, Inc. (Class A Stock) |
15,700 | 914,368 | ||||||
|
|
|
|||||||
| 9,213,504 | ||||||||
|
|
|
|||||||
|
Containers & Packaging — 1.0% |
||||||||
|
Greif, Inc. (Class A Stock) |
11,800 | 521,560 | ||||||
|
International Paper Co. |
59,100 | 2,721,555 | ||||||
|
O-I Glass, Inc. |
166,900 | 1,991,117 | ||||||
|
Westrock Co. |
78,000 | 3,346,980 | ||||||
|
|
|
|||||||
| 8,581,212 | ||||||||
|
|
|
|||||||
|
Diversified Financial Services — 0.2% |
||||||||
|
Banco Latinoamericano de Comercio Exterior SA (Panama) (Class E Stock)(a) |
73,900 | 1,579,982 | ||||||
|
|
|
|||||||
|
Electric Utilities — 2.5% |
||||||||
|
Edison International |
53,500 | 4,034,435 | ||||||
|
Entergy Corp. |
13,700 | 1,641,260 | ||||||
|
Evergy, Inc. |
90,200 | 5,871,118 | ||||||
|
FirstEnergy Corp. |
89,300 | 4,339,980 | ||||||
|
PPL Corp. |
159,300 | 5,715,684 | ||||||
|
|
|
|||||||
| 21,602,477 | ||||||||
|
|
|
|||||||
|
Electrical Equipment — 0.4% |
||||||||
|
Regal Beloit Corp. |
37,400 | 3,201,814 | ||||||
|
|
|
|||||||
|
Electronic Equipment, Instruments & Components — 3.6% |
|
|||||||
|
Arrow Electronics, Inc.* |
23,000 | 1,949,020 | ||||||
|
Belden, Inc. |
32,900 | 1,809,500 | ||||||
|
Itron, Inc.* |
129,596 | 10,879,584 | ||||||
|
Jabil, Inc. |
78,600 | 3,248,538 | ||||||
|
Methode Electronics, Inc. |
61,500 | 2,420,025 | ||||||
|
Sanmina Corp.* |
42,200 | 1,444,928 | ||||||
|
SYNNEX Corp. |
19,260 | 2,480,688 | ||||||
|
Tech Data Corp.* |
24,000 | 3,446,400 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A83
| AST NEUBERGER BERMAN/LSV MID-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Electronic Equipment, Instruments & Components (continued) |
|
|||||||
|
TTM Technologies, Inc.* |
177,850 | $ | 2,676,643 | |||||
|
|
|
|||||||
| 30,355,326 | ||||||||
|
|
|
|||||||
|
Entertainment — 0.6% |
||||||||
|
Lions Gate Entertainment Corp.
|
73,350 | 781,911 | ||||||
|
Lions Gate Entertainment Corp.
|
455,050 | 4,518,647 | ||||||
|
|
|
|||||||
| 5,300,558 | ||||||||
|
|
|
|||||||
|
Equity Real Estate Investment Trusts (REITs) — 7.0% |
|
|||||||
|
Ashford Hospitality Trust, Inc. |
198,300 | 553,257 | ||||||
|
Braemar Hotels & Resorts, Inc. |
25,065 | 223,831 | ||||||
|
Brixmor Property Group, Inc.(a) |
137,600 | 2,973,536 | ||||||
|
CBL & Associates Properties, Inc.(a) |
304,681 | 319,915 | ||||||
|
City Office REIT, Inc. |
92,800 | 1,254,656 | ||||||
|
CoreCivic, Inc. |
138,300 | 2,403,654 | ||||||
|
Franklin Street Properties Corp. |
320,400 | 2,742,624 | ||||||
|
Gaming & Leisure Properties, Inc. |
90,100 | 3,878,805 | ||||||
|
Host Hotels & Resorts, Inc. |
161,200 | 2,990,260 | ||||||
|
Industrial Logistics Properties Trust(a) |
80,000 | 1,793,600 | ||||||
|
Lexington Realty Trust |
194,200 | 2,062,404 | ||||||
|
Office Properties Income Trust |
71,303 | 2,291,678 | ||||||
|
Omega Healthcare Investors, Inc. |
131,100 | 5,552,085 | ||||||
|
Outfront Media, Inc. |
173,000 | 4,639,860 | ||||||
|
Piedmont Office Realty Trust, Inc.
|
160,400 | 3,567,296 | ||||||
|
Retail Value, Inc. |
15,489 | 569,995 | ||||||
|
Sabra Health Care REIT, Inc. |
126,243 | 2,694,026 | ||||||
|
Senior Housing Properties Trust |
284,784 | 2,403,577 | ||||||
|
Service Properties Trust |
134,500 | 3,272,385 | ||||||
|
SITE Centers Corp. |
150,850 | 2,114,917 | ||||||
|
Summit Hotel Properties, Inc.(a) |
153,600 | 1,895,424 | ||||||
|
Tanger Factory Outlet Centers, Inc.(a) |
101,600 | 1,496,568 | ||||||
|
VEREIT, Inc. |
515,653 | 4,764,634 | ||||||
|
Xenia Hotels & Resorts, Inc.(a) |
133,100 | 2,876,291 | ||||||
|
|
|
|||||||
| 59,335,278 | ||||||||
|
|
|
|||||||
|
Food & Staples Retailing — 1.0% |
||||||||
|
Kroger Co. (The) |
299,900 | 8,694,101 | ||||||
|
|
|
|||||||
|
Food Products — 2.6% |
||||||||
|
Hain Celestial Group, Inc. (The)*(a) |
276,200 | 7,168,771 | ||||||
|
J.M. Smucker Co. (The)(a) |
45,140 | 4,700,428 | ||||||
|
TreeHouse Foods, Inc.*(a) |
109,200 | 5,296,200 | ||||||
|
Tyson Foods, Inc. (Class A Stock) |
49,800 | 4,533,792 | ||||||
|
|
|
|||||||
| 21,699,191 | ||||||||
|
|
|
|||||||
|
Gas Utilities — 0.9% |
||||||||
|
National Fuel Gas Co.(a) |
120,500 | 5,608,070 | ||||||
|
UGI Corp. |
35,950 | 1,623,502 | ||||||
|
|
|
|||||||
| 7,231,572 | ||||||||
|
|
|
|||||||
|
Health Care Equipment & Supplies — 1.2% |
|
|||||||
|
Zimmer Biomet Holdings, Inc. |
68,600 | 10,268,048 | ||||||
|
|
|
|||||||
|
Health Care Providers & Services — 2.8% |
||||||||
|
Cardinal Health, Inc. |
48,700 | 2,463,246 | ||||||
|
DaVita, Inc.* |
42,800 | 3,211,284 | ||||||
|
HCA Healthcare, Inc. |
36,700 | 5,424,627 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Health Care Providers & Services (continued) |
|
|||||||
|
McKesson Corp. |
18,260 | $ | 2,525,723 | |||||
|
MEDNAX, Inc.* |
136,300 | 3,787,777 | ||||||
|
Molina Healthcare, Inc.* |
13,100 | 1,777,539 | ||||||
|
Universal Health Services, Inc.
|
34,820 | 4,995,277 | ||||||
|
|
|
|||||||
| 24,185,473 | ||||||||
|
|
|
|||||||
|
Hotels, Restaurants & Leisure — 3.8% |
||||||||
|
Brinker International, Inc.(a) |
103,100 | 4,330,200 | ||||||
|
International Game Technology PLC |
488,800 | 7,317,336 | ||||||
|
MGM Resorts International |
237,300 | 7,894,971 | ||||||
|
Wyndham Destinations, Inc. |
252,600 | 13,056,894 | ||||||
|
|
|
|||||||
| 32,599,401 | ||||||||
|
|
|
|||||||
|
Household Durables — 1.5% |
||||||||
|
D.R. Horton, Inc. |
43,500 | 2,294,625 | ||||||
|
Ethan Allen Interiors, Inc.(a) |
56,239 | 1,071,915 | ||||||
|
PulteGroup, Inc. |
110,100 | 4,271,880 | ||||||
|
Whirlpool Corp.(a) |
33,900 | 5,001,267 | ||||||
|
|
|
|||||||
| 12,639,687 | ||||||||
|
|
|
|||||||
|
Independent Power & Renewable Electricity Producers — 1.3% |
|
|||||||
|
AES Corp. |
182,200 | 3,625,780 | ||||||
|
Vistra Energy Corp. |
331,000 | 7,609,690 | ||||||
|
|
|
|||||||
| 11,235,470 | ||||||||
|
|
|
|||||||
|
Insurance — 5.4% |
||||||||
|
Aflac, Inc. |
40,100 | 2,121,290 | ||||||
|
Allstate Corp. (The) |
55,400 | 6,229,730 | ||||||
|
American Financial Group, Inc. |
21,758 | 2,385,765 | ||||||
|
Everest Re Group Ltd. |
11,300 | 3,128,292 | ||||||
|
Hartford Financial Services Group, Inc. (The) |
113,000 | 6,867,010 | ||||||
|
Lincoln National Corp. |
119,200 | 7,033,992 | ||||||
|
Old Republic International Corp. |
95,100 | 2,127,387 | ||||||
|
Principal Financial Group, Inc.(a) |
64,300 | 3,536,500 | ||||||
|
Reinsurance Group of America, Inc. |
33,200 | 5,413,592 | ||||||
|
Universal Insurance Holdings, Inc. |
52,154 | 1,459,790 | ||||||
|
Unum Group |
186,100 | 5,426,676 | ||||||
|
|
|
|||||||
| 45,730,024 | ||||||||
|
|
|
|||||||
|
Internet & Direct Marketing Retail — 0.4% |
|
|||||||
|
eBay, Inc. |
96,600 | 3,488,226 | ||||||
|
|
|
|||||||
|
IT Services — 1.4% |
||||||||
|
Alliance Data Systems Corp. |
12,130 | 1,360,986 | ||||||
|
Amdocs Ltd. |
56,400 | 4,071,516 | ||||||
|
Conduent, Inc.* |
585,000 | 3,627,000 | ||||||
|
DXC Technology Co. |
82,800 | 3,112,452 | ||||||
|
|
|
|||||||
| 12,171,954 | ||||||||
|
|
|
|||||||
|
Leisure Products — 0.3% |
||||||||
|
Brunswick Corp. |
42,600 | 2,555,148 | ||||||
|
|
|
|||||||
|
Machinery — 3.3% |
||||||||
|
AGCO Corp. |
32,700 | 2,526,075 | ||||||
|
Allison Transmission Holdings, Inc. |
63,200 | 3,053,824 | ||||||
|
Cummins, Inc. |
44,900 | 8,035,304 | ||||||
|
Meritor, Inc.* |
199,800 | 5,232,762 | ||||||
|
Oshkosh Corp. |
43,200 | 4,088,880 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A84
| AST NEUBERGER BERMAN/LSV MID-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Machinery (continued) |
||||||||
|
Snap-on, Inc.(a) |
16,500 | $ | 2,795,100 | |||||
|
Wabash National Corp.(a) |
146,800 | 2,156,492 | ||||||
|
|
|
|||||||
| 27,888,437 | ||||||||
|
|
|
|||||||
|
Media — 0.8% |
||||||||
|
AMC Networks, Inc. (Class A Stock)*(a) |
72,900 | 2,879,550 | ||||||
|
Gannett Co., Inc. |
6,376 | 40,679 | ||||||
|
TEGNA, Inc. |
110,300 | 1,840,907 | ||||||
|
ViacomCBS, Inc. (Class B Stock) |
50,204 | 2,107,062 | ||||||
|
|
|
|||||||
| 6,868,198 | ||||||||
|
|
|
|||||||
|
Metals & Mining — 0.8% |
||||||||
|
Cleveland-Cliffs, Inc.(a) |
260,700 | 2,189,880 | ||||||
|
Reliance Steel & Aluminum Co. |
39,700 | 4,754,472 | ||||||
|
|
|
|||||||
| 6,944,352 | ||||||||
|
|
|
|||||||
|
Mortgage Real Estate Investment Trusts (REITs) — 1.9% |
|
|||||||
|
MFA Financial, Inc. |
357,400 | 2,734,110 | ||||||
|
PennyMac Mortgage Investment Trust |
124,800 | 2,781,792 | ||||||
|
Starwood Property Trust, Inc. |
414,900 | 10,314,414 | ||||||
|
|
|
|||||||
| 15,830,316 | ||||||||
|
|
|
|||||||
|
Multiline Retail — 1.2% |
||||||||
|
Big Lots, Inc. |
48,100 | 1,381,432 | ||||||
|
Dillard’s, Inc. (Class A Stock)(a) |
41,600 | 3,056,768 | ||||||
|
Kohl’s Corp.(a) |
87,300 | 4,447,935 | ||||||
|
Macy’s, Inc.(a) |
70,400 | 1,196,800 | ||||||
|
|
|
|||||||
| 10,082,935 | ||||||||
|
|
|
|||||||
|
Multi-Utilities — 0.6% |
||||||||
|
Public Service Enterprise Group, Inc. |
84,400 | 4,983,820 | ||||||
|
|
|
|||||||
|
Oil, Gas & Consumable Fuels — 5.2% |
||||||||
|
Arch Coal, Inc. (Class A Stock)(a) |
21,000 | 1,506,540 | ||||||
|
Cabot Oil & Gas Corp. |
298,100 | 5,189,921 | ||||||
|
Cimarex Energy Co. |
23,900 | 1,254,511 | ||||||
|
Devon Energy Corp. |
221,100 | 5,741,967 | ||||||
|
Gulfport Energy Corp.*(a) |
188,200 | 572,128 | ||||||
|
HollyFrontier Corp. |
81,650 | 4,140,472 | ||||||
|
Marathon Petroleum Corp. |
68,600 | 4,133,150 | ||||||
|
ONEOK, Inc.(a) |
100,900 | 7,635,103 | ||||||
|
PBF Energy, Inc. (Class A Stock) |
72,665 | 2,279,501 | ||||||
|
SRC Energy, Inc.* |
331,477 | 1,365,685 | ||||||
|
Valero Energy Corp. |
48,800 | 4,570,120 | ||||||
|
Williams Cos., Inc. (The) |
250,100 | 5,932,372 | ||||||
|
|
|
|||||||
| 44,321,470 | ||||||||
|
|
|
|||||||
|
Paper & Forest Products — 0.3% |
||||||||
|
Domtar Corp. |
71,600 | 2,737,984 | ||||||
|
|
|
|||||||
|
Pharmaceuticals — 0.8% |
||||||||
|
Jazz Pharmaceuticals PLC* |
34,600 | 5,165,088 | ||||||
|
Lannett Co., Inc.*(a) |
29,200 | 257,544 | ||||||
|
Mylan NV* |
66,800 | 1,342,680 | ||||||
|
|
|
|||||||
| 6,765,312 | ||||||||
|
|
|
|||||||
|
Professional Services — 0.5% |
||||||||
|
ManpowerGroup, Inc. |
41,800 | 4,058,780 | ||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A85
| AST NEUBERGER BERMAN/LSV MID-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Shares | Value | |||||||
|
AFFILIATED MUTUAL FUNDS (continued) |
|
|||||||
|
PGIM Institutional Money Market Fund (cost $115,665,421; includes $115,456,192 of cash collateral for
securities on
|
115,652,324 | $ | 115,675,454 | |||||
|
|
|
|||||||
|
TOTAL AFFILIATED MUTUAL FUNDS
|
|
117,595,025 | ||||||
|
|
|
|||||||
|
UNAFFILIATED FUND — 1.8% |
||||||||
|
BlackRock Liquidity FedFund
|
15,508,976 | 15,508,976 | ||||||
|
|
|
|||||||
|
(cost $15,508,976) |
||||||||
|
TOTAL SHORT-TERM INVESTMENTS
|
|
133,104,001 | ||||||
|
|
|
|||||||
|
TOTAL INVESTMENTS — 113.4%
|
|
962,668,665 | ||||||
|
Liabilities in excess of other assets — (13.4)% |
|
(113,965,972 | ) | |||||
|
|
|
|||||||
|
NET ASSETS — 100.0% |
|
$ | 848,702,693 | |||||
|
|
|
|||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $113,188,269; cash collateral of $115,456,192 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 35,990,976 | $ | — | $ | — | ||||||
|
Airlines |
22,914,506 | — | — | |||||||||
|
Auto Components |
14,233,474 | — | — | |||||||||
|
Automobiles |
5,861,191 | — | — | |||||||||
|
Banks |
69,917,715 | — | — | |||||||||
|
Beverages |
8,915,060 | — | — | |||||||||
|
Biotechnology |
9,690,240 | — | — | |||||||||
|
Building Products |
7,004,366 | — | — | |||||||||
|
Capital Markets |
13,294,734 | — | — | |||||||||
|
Chemicals |
25,891,488 | — | — | |||||||||
|
Commercial Services & Supplies |
10,071,458 | — | — | |||||||||
|
Communications Equipment |
7,534,926 | — | — | |||||||||
|
Construction & Engineering |
3,295,160 | — | — | |||||||||
|
Consumer Finance |
9,213,504 | — | — | |||||||||
|
Containers & Packaging |
8,581,212 | — | — | |||||||||
|
Diversified Financial Services |
1,579,982 | — | — | |||||||||
|
Electric Utilities |
21,602,477 | — | — | |||||||||
|
Electrical Equipment |
3,201,814 | — | — | |||||||||
|
Electronic Equipment, Instruments & Components |
30,355,326 | — | — | |||||||||
|
Entertainment |
5,300,558 | — | — | |||||||||
|
Equity Real Estate Investment Trusts (REITs) |
59,335,278 | — | — | |||||||||
|
Food & Staples Retailing |
8,694,101 | — | — | |||||||||
|
Food Products |
21,699,191 | — | — | |||||||||
|
Gas Utilities |
7,231,572 | — | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A86
| AST NEUBERGER BERMAN/LSV MID-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Health Care Equipment & Supplies |
$ | 10,268,048 | $ | — | $ | — | ||||||
|
Health Care Providers & Services |
24,185,473 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
32,599,401 | — | — | |||||||||
|
Household Durables |
12,639,687 | — | — | |||||||||
|
Independent Power & Renewable Electricity Producers |
11,235,470 | — | — | |||||||||
|
Insurance |
45,730,024 | — | — | |||||||||
|
Internet & Direct Marketing Retail |
3,488,226 | — | — | |||||||||
|
IT Services |
12,171,954 | — | — | |||||||||
|
Leisure Products |
2,555,148 | — | — | |||||||||
|
Machinery |
27,888,437 | — | — | |||||||||
|
Media |
6,868,198 | — | — | |||||||||
|
Metals & Mining |
6,944,352 | — | — | |||||||||
|
Mortgage Real Estate Investment Trusts (REITs) |
15,830,316 | — | — | |||||||||
|
Multiline Retail |
10,082,935 | — | — | |||||||||
|
Multi-Utilities |
4,983,820 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
44,321,470 | — | — | |||||||||
|
Paper & Forest Products |
2,737,984 | — | — | |||||||||
|
Pharmaceuticals |
6,765,312 | — | — | |||||||||
|
Professional Services |
4,058,780 | — | — | |||||||||
|
Road & Rail |
928,701 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
29,083,746 | — | — | |||||||||
|
Software |
13,155,543 | — | — | |||||||||
|
Specialty Retail |
31,643,557 | — | — | |||||||||
|
Technology Hardware, Storage & Peripherals |
23,894,293 | — | — | |||||||||
|
Textiles, Apparel & Luxury Goods |
2,702,355 | — | — | |||||||||
|
Thrifts & Mortgage Finance |
6,530,991 | — | — | |||||||||
|
Tobacco |
2,350,872 | — | — | |||||||||
|
Trading Companies & Distributors |
22,509,262 | — | — | |||||||||
|
Affiliated Mutual Funds |
117,595,025 | — | — | |||||||||
|
Unaffiliated Fund |
15,508,976 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 962,668,665 | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Affiliated Mutual Funds (13.6% represents investments purchased with collateral from securities on loan) |
13.9 | % | ||
|
Banks |
8.2 | |||
|
Equity Real Estate Investment Trusts (REITs) |
7.0 | |||
|
Insurance |
5.4 | |||
|
Oil, Gas & Consumable Fuels |
5.2 | |||
|
Aerospace & Defense |
4.2 | |||
|
Hotels, Restaurants & Leisure |
3.8 | |||
|
Specialty Retail |
3.7 | |||
|
Electronic Equipment, Instruments & Components |
3.6 | |||
|
Semiconductors & Semiconductor Equipment |
3.4 | |||
|
Machinery |
3.3 | |||
|
Chemicals |
3.1 | |||
|
Health Care Providers & Services |
2.8 | |||
|
Technology Hardware, Storage & Peripherals |
2.8 | |||
|
Airlines |
2.7 | |||
|
Trading Companies & Distributors |
2.7 | |||
|
Food Products |
2.6 | |||
|
Electric Utilities |
2.5 | |||
|
Mortgage Real Estate Investment Trusts (REITs) |
1.9 |
|
Unaffiliated Fund |
1.8 | % | ||
|
Auto Components |
1.7 | |||
|
Capital Markets |
1.6 | |||
|
Software |
1.5 | |||
|
Household Durables |
1.5 | |||
|
IT Services |
1.4 | |||
|
Independent Power & Renewable Electricity Producers |
1.3 | |||
|
Health Care Equipment & Supplies |
1.2 | |||
|
Multiline Retail |
1.2 | |||
|
Commercial Services & Supplies |
1.2 | |||
|
Biotechnology |
1.1 | |||
|
Consumer Finance |
1.1 | |||
|
Beverages |
1.1 | |||
|
Food & Staples Retailing |
1.0 | |||
|
Containers & Packaging |
1.0 | |||
|
Communications Equipment |
0.9 | |||
|
Gas Utilities |
0.9 | |||
|
Building Products |
0.8 | |||
|
Metals & Mining |
0.8 | |||
|
Media |
0.8 |
SEE NOTES TO FINANCIAL STATEMENTS.
A87
| AST NEUBERGER BERMAN/LSV MID-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Industry Classification (continued): | ||||
|
Pharmaceuticals |
0.8 | % | ||
|
Thrifts & Mortgage Finance |
0.8 | |||
|
Automobiles |
0.7 | |||
|
Entertainment |
0.6 | |||
|
Multi-Utilities |
0.6 | |||
|
Professional Services |
0.5 | |||
|
Internet & Direct Marketing Retail |
0.4 | |||
|
Construction & Engineering |
0.4 | |||
|
Electrical Equipment |
0.4 | |||
|
Paper & Forest Products |
0.3 | |||
|
Textiles, Apparel & Luxury Goods |
0.3 | % | ||
|
Leisure Products |
0.3 | |||
|
Tobacco |
0.3 | |||
|
Diversified Financial Services |
0.2 | |||
|
Road & Rail |
0.1 | |||
|
|
|
|||
| 113.4 | ||||
|
Liabilities in excess of other assets |
(13.4 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 113,188,269 | $ | (113,188,269 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A88
| AST NEUBERGER BERMAN/LSV MID-CAP VALUE PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $113,188,269: |
||||
|
Unaffiliated investments (cost $731,400,215) |
$ | 845,073,640 | ||
|
Affiliated investments (cost $117,584,992) |
117,595,025 | |||
|
Dividends receivable |
1,844,340 | |||
|
Receivable for investments sold |
375,616 | |||
|
Receivable for Portfolio shares sold |
119,414 | |||
|
Tax reclaim receivable |
3,047 | |||
|
Prepaid expenses and other assets |
18,120 | |||
|
|
|
|||
|
Total Assets |
965,029,202 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
115,456,192 | |||
|
Management fee payable |
319,224 | |||
|
Payable for investments purchased |
246,617 | |||
|
Accrued expenses and other liabilities |
242,239 | |||
|
Distribution fee payable |
34,849 | |||
|
Payable for Portfolio shares repurchased |
23,984 | |||
|
Payable to affiliate |
3,047 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
116,326,509 | |||
|
|
|
|||
| NET ASSETS | $ | 848,702,693 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 848,702,693 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $848,702,693 / 24,039,340 outstanding shares of beneficial interest |
$ | 35.30 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
|
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS |
||||||||
|
Net investment income (loss) |
$ | 12,653,193 | $ | 11,532,628 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
(6,100,231 | ) | 92,230,319 | |||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
144,221,606 | (249,198,000 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
150,774,568 | (145,435,053 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [2,023,957 and 1,210,906 shares, respectively] |
65,554,281 | 38,720,009 | ||||||
|
Portfolio shares repurchased [2,514,914 and 5,586,661 shares, respectively] |
(83,049,934 | ) | (186,990,010 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(17,495,653 | ) | (148,270,001 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 1,212 | 1,782 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 133,280,127 | (293,703,272 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
715,422,566 | 1,009,125,838 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 848,702,693 | $ | 715,422,566 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A89
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 99.5% | ||||||||
| COMMON STOCKS — 95.5% | Shares | Value | ||||||
|
Argentina — 0.7% |
||||||||
|
Banco BBVA Argentina SA, ADR |
20,543 | $ | 114,425 | |||||
|
Banco Macro SA, ADR |
4,484 | 162,545 | ||||||
|
Central Puerto SA, ADR |
27,870 | 135,448 | ||||||
|
Cresud SACIF y A, ADR*(a) |
6,886 | 48,477 | ||||||
|
Grupo Financiero Galicia SA, ADR(a) |
18,027 | 292,578 | ||||||
|
Loma Negra Cia Industrial Argentina SA, ADR* |
38,311 | 299,592 | ||||||
|
MercadoLibre, Inc.* |
2,300 | 1,315,462 | ||||||
|
Pampa Energia SA* |
43,686 | 28,959 | ||||||
|
Pampa Energia SA, ADR*(a) |
9,419 | 154,754 | ||||||
|
Telecom Argentina SA, ADR |
7,556 | 85,761 | ||||||
|
Transportadora de Gas del Sur SA
|
20,385 | 146,161 | ||||||
|
YPF SA, ADR(a) |
26,273 | 304,241 | ||||||
|
|
|
|||||||
| 3,088,403 | ||||||||
|
|
|
|||||||
|
Bahrain — 0.8% |
||||||||
|
Ahli United Bank BSC |
1,797,430 | 1,915,330 | ||||||
|
Al Salam Bank-Bahrain BSC |
2,025,163 | 544,641 | ||||||
|
GFH Financial Group BSC |
2,125,276 | 486,288 | ||||||
|
Ithmaar Holding BSC* |
4,745,026 | 348,913 | ||||||
|
|
|
|||||||
| 3,295,172 | ||||||||
|
|
|
|||||||
|
Botswana — 0.4% |
||||||||
|
Barclays Bank of Botswana Ltd. |
466,032 | 242,352 | ||||||
|
Botswana Insurance Holdings Ltd. |
123,564 | 204,453 | ||||||
|
Choppies Enterprises Ltd.*^ |
534,631 | 5 | ||||||
|
First National Bank of Botswana Ltd. |
885,555 | 238,741 | ||||||
|
Letshego Holdings Ltd. |
1,667,377 | 111,682 | ||||||
|
Sechaba Breweries Holdings Ltd. |
401,237 | 837,475 | ||||||
|
Standard Chartered Bank Botswana Ltd.^ |
91,217 | 14,340 | ||||||
|
Turnstar Holdings Ltd. |
202,180 | 53,707 | ||||||
|
|
|
|||||||
| 1,702,755 | ||||||||
|
|
|
|||||||
|
Brazil — 4.5% |
||||||||
|
Adecoagro SA* |
13,800 | 115,506 | ||||||
|
Aliansce Sonae Shopping Centers SA |
15,756 | 196,387 | ||||||
|
Ambev SA, ADR |
158,300 | 737,678 | ||||||
|
Arcos Dorados Holdings, Inc. (Class A Stock) |
9,091 | 73,637 | ||||||
|
B3 SA – Brasil Bolsa Balcao |
41,049 | 438,481 | ||||||
|
Banco do Brasil SA |
25,875 | 339,751 | ||||||
|
BR Malls Participacoes SA |
120,884 | 542,711 | ||||||
|
BRF SA* |
19,060 | 166,782 | ||||||
|
CCR SA |
70,963 | 334,819 | ||||||
|
Cia de Saneamento Basico do Estado de Sao Paulo, ADR |
11,700 | 176,085 | ||||||
|
Cia de Saneamento de Minas Gerais-COPASA |
8,300 | 140,283 | ||||||
|
Cia Energetica de Minas Gerais, ADR |
74,196 | 253,008 | ||||||
|
Cia Paranaense de Energia, ADR |
15,400 | 260,876 | ||||||
|
Cia Siderurgica Nacional SA |
39,600 | 138,901 | ||||||
|
Cielo SA |
104,755 | 217,963 | ||||||
|
Cogna Educacao |
65,300 | 185,542 | ||||||
|
Cosan SA |
13,500 | 233,474 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Brazil (continued) |
||||||||
|
Cyrela Brazil Realty SA Empreendimentos e Participacoes |
41,800 | $ | 308,510 | |||||
|
EDP – Energias do Brasil SA |
29,400 | 161,518 | ||||||
|
Embraer SA, ADR*(a) |
19,800 | 385,902 | ||||||
|
Engie Brasil Energia SA |
27,375 | 345,701 | ||||||
|
Equatorial Energia SA |
75,500 | 427,734 | ||||||
|
Even Construtora e Incorporadora SA* |
70,900 | 274,245 | ||||||
|
Hapvida Participacoes e Investimentos SA, 144A |
29,300 | 465,426 | ||||||
|
Hypera SA |
84,100 | 746,148 | ||||||
|
Iguatemi Empresa de Shopping Centers SA |
26,800 | 352,430 | ||||||
|
Iochpe Maxion SA |
19,300 | 112,172 | ||||||
|
Itau Unibanco Holding SA, ADR |
60,910 | 557,326 | ||||||
|
Klabin SA, UTS |
25,100 | 114,871 | ||||||
|
Localiza Rent a Car SA |
36,157 | 426,130 | ||||||
|
Lojas Renner SA |
40,220 | 561,802 | ||||||
|
Marfrig Global Foods SA* |
48,640 | 120,430 | ||||||
|
MRV Engenharia e Participacoes SA |
45,600 | 244,284 | ||||||
|
Multiplan Empreendimentos Imobiliarios SA |
67,000 | 551,296 | ||||||
|
Natura & Co. Holding SA |
20,600 | 198,027 | ||||||
|
Notre Dame Intermedica Participacoes SA |
59,300 | 1,006,097 | ||||||
|
Odontoprev SA |
40,500 | 169,845 | ||||||
|
Pagseguro Digital Ltd. (Class A Stock)* |
21,600 | 737,856 | ||||||
|
Qualicorp Consultoria e Corretora de Seguros SA |
47,246 | 435,734 | ||||||
|
Raia Drogasil SA |
16,000 | 444,040 | ||||||
|
Rumo SA* |
72,457 | 470,114 | ||||||
|
Smiles Fidelidade SA |
27,300 | 266,505 | ||||||
|
StoneCo Ltd. (Class A Stock)*(a) |
13,800 | 550,482 | ||||||
|
Suzano SA |
28,445 | 280,582 | ||||||
|
TIM Participacoes SA |
121,633 | 473,808 | ||||||
|
TOTVS SA |
23,100 | 370,673 | ||||||
|
Ultrapar Participacoes SA |
57,200 | 362,308 | ||||||
|
Vale SA |
21,500 | 284,871 | ||||||
|
Vale SA, ADR |
86,492 | 1,141,694 | ||||||
|
WEG SA |
70,318 | 605,867 | ||||||
|
YDUQS Part |
35,100 | 414,460 | ||||||
|
|
|
|||||||
| 18,920,772 | ||||||||
|
|
|
|||||||
|
Bulgaria — 0.3% |
||||||||
|
CB First Investment Bank AD* |
155,563 | 315,664 | ||||||
|
Central Cooperative Bank AD* |
87,402 | 76,537 | ||||||
|
Chimimport AD |
265,946 | 242,597 | ||||||
|
Industrial Holding Bulgaria PLC* |
72,512 | 42,389 | ||||||
|
MonBat AD |
48,227 | 178,268 | ||||||
|
Petrol AD* |
22,682 | 9,286 | ||||||
|
Sopharma AD/Sofia |
197,237 | 384,137 | ||||||
|
|
|
|||||||
| 1,248,878 | ||||||||
|
|
|
|||||||
|
Chile — 2.9% |
||||||||
|
AES Gener SA |
509,062 | 110,349 | ||||||
|
Aguas Andinas SA (Class A Stock) |
327,850 | 139,084 | ||||||
|
Almendral SA* |
1,092,556 | 61,751 | ||||||
|
Banco de Chile |
5,510,134 | 584,025 | ||||||
|
Banco de Credito e Inversiones SA |
7,067 | 320,480 | ||||||
|
Banco Santander Chile |
7,999,156 | 457,429 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A90
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Chile (continued) |
||||||||
|
CAP SA |
18,800 | $ | 142,434 | |||||
|
Cencosud SA |
400,927 | 527,851 | ||||||
|
Cencosud Shopping SA* |
214,900 | 473,326 | ||||||
|
Cia Cervecerias Unidas SA, ADR |
22,350 | 423,980 | ||||||
|
Cia Sud Americana de Vapores SA* |
6,656,301 | 242,458 | ||||||
|
Colbun SA |
772,001 | 123,200 | ||||||
|
Embotelladora Andina SA
|
9,150 | 160,125 | ||||||
|
Empresa Nacional de Telecomunicaciones SA* |
40,124 | 285,369 | ||||||
|
Empresas CMPC SA |
227,425 | 556,502 | ||||||
|
Empresas CopEC SA |
154,310 | 1,385,189 | ||||||
|
Enel Americas SA |
4,632,514 | 1,028,831 | ||||||
|
Enel Chile SA |
3,853,833 | 361,321 | ||||||
|
Engie Energia Chile SA |
49,355 | 75,153 | ||||||
|
Forus SA |
18,500 | 27,063 | ||||||
|
Itau CorpBanca |
26,181,273 | 151,806 | ||||||
|
Latam Airlines Group SA, ADR(a) |
99,283 | 1,008,715 | ||||||
|
Parque Arauco SA |
299,712 | 737,333 | ||||||
|
Plaza SA |
90,942 | 190,858 | ||||||
|
Ripley Corp. SA |
305,926 | 137,192 | ||||||
|
SACI Falabella |
275,203 | 1,186,160 | ||||||
|
Salfacorp SA |
153,524 | 87,974 | ||||||
|
Sociedad Quimica y Minera de Chile SA, ADR(a) |
23,600 | 629,884 | ||||||
|
SONDA SA |
194,134 | 167,490 | ||||||
|
Vina Concha y Toro SA |
139,650 | 262,938 | ||||||
|
|
|
|||||||
| 12,046,270 | ||||||||
|
|
|
|||||||
|
China — 11.1% |
||||||||
|
3SBio, Inc., 144A* |
124,500 | 162,249 | ||||||
|
AAC Technologies Holdings, Inc. |
53,500 | 468,904 | ||||||
|
AECC Aviation Power Co. Ltd. (Class A Stock) |
13,100 | 40,823 | ||||||
|
Agricultural Bank of China Ltd. (Class H Stock) |
303,000 | 133,375 | ||||||
|
Air China Ltd. (Class H Stock) |
142,000 | 144,387 | ||||||
|
Aisino Corp. (Class A Stock) |
22,400 | 74,697 | ||||||
|
Alibaba Group Holding Ltd., ADR* |
7,400 | 1,569,540 | ||||||
|
Aluminum Corp. of China Ltd.
|
1,066,000 | 366,721 | ||||||
|
Anhui Conch Cement Co. Ltd.
|
139,000 | 1,016,345 | ||||||
|
AviChina Industry & Technology Co. Ltd. (Class H Stock) |
172,000 | 77,677 | ||||||
|
Baidu, Inc., ADR* |
1,715 | 216,776 | ||||||
|
Bank of Beijing Co. Ltd. (Class A Stock) |
59,956 | 48,957 | ||||||
|
Bank of China Ltd. (Class H Stock) |
816,000 | 348,747 | ||||||
|
Bank of Communications Co. Ltd.
|
338,800 | 240,734 | ||||||
|
Bank of Ningbo Co. Ltd.
|
39,600 | 160,180 | ||||||
|
BBMG Corp. (Class H Stock) |
684,000 | 210,314 | ||||||
|
Beijing Capital International Airport Co. Ltd. (Class H Stock) |
146,000 | 141,449 | ||||||
|
Beijing Enterprises Holdings Ltd. |
41,500 | 190,817 | ||||||
|
Beijing Enterprises Water Group Ltd.* |
476,000 | 241,239 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
China (continued) |
||||||||
|
Beijing Orient Landscape & Environment Co. Ltd. (Class A Stock) |
76,500 | $ | 55,173 | |||||
|
Beijing Originwater Technology Co. Ltd. (Class A Stock) |
72,800 | 79,561 | ||||||
|
Beijing Water Business Doctor Co. Ltd.
|
36,500 | 34,983 | ||||||
|
BOE Technology Group Co. Ltd.
|
173,800 | 113,347 | ||||||
|
Brilliance China Automotive Holdings Ltd. |
264,000 | 274,356 | ||||||
|
BYD Co. Ltd. (Class H Stock)(a) |
36,000 | 180,061 | ||||||
|
Cangzhou Mingzhu Plastic Co. Ltd.
|
43,160 | 24,273 | ||||||
|
CGN Power Co. Ltd. (Class H Stock), 144A |
737,000 | 196,833 | ||||||
|
China Agri-Industries Holdings Ltd. |
565,000 | 299,435 | ||||||
|
China Biologic Products Holdings, Inc.*(a) |
3,200 | 372,416 | ||||||
|
China CITIC Bank Corp. Ltd.
|
179,000 | 107,326 | ||||||
|
China Coal Energy Co. Ltd. (Class H Stock) |
437,000 | 173,129 | ||||||
|
China Communications Construction Co. Ltd. (Class H Stock) |
229,000 | 186,840 | ||||||
|
China Communications Services Corp. Ltd. (Class H Stock) |
396,000 | 289,484 | ||||||
|
China Construction Bank Corp.
|
604,670 | 521,989 | ||||||
|
China Everbright Ltd. |
32,000 | 59,818 | ||||||
|
China Evergrande Group* |
67,000 | 186,129 | ||||||
|
China Fortune Land Development Co. Ltd.
|
17,000 | 70,223 | ||||||
|
China Gas Holdings Ltd. |
151,800 | 568,420 | ||||||
|
China Life Insurance Co. Ltd.
|
81,000 | 225,518 | ||||||
|
China Longyuan Power Group Corp. Ltd.
|
283,000 | 179,415 | ||||||
|
China Medical System Holdings Ltd. |
245,000 | 352,806 | ||||||
|
China Mengniu Dairy Co. Ltd.* |
195,000 | 789,750 | ||||||
|
China Merchants Bank Co. Ltd.
|
58,769 | 302,765 | ||||||
|
China Merchants Port Holdings Co. Ltd. |
114,000 | 193,160 | ||||||
|
China Merchants Shekou Industrial Zone Holdings Co. Ltd. (Class A Stock) |
38,200 | 109,142 | ||||||
|
China Minsheng Banking Corp. Ltd.
|
113,160 | 85,565 | ||||||
|
China Mobile Ltd. |
77,500 | 652,308 | ||||||
|
China Molybdenum Co. Ltd.
|
753,000 | 324,181 | ||||||
|
China National Building Material Co. Ltd.
|
368,000 | 411,950 | ||||||
|
China National Nuclear Power Co. Ltd.
|
62,600 | 44,988 | ||||||
|
China Northern Rare Earth Group High-Tech Co. Ltd. (Class A Stock) |
38,100 | 59,300 | ||||||
|
China Oilfield Services Ltd.
|
138,000 | 217,371 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A91
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
China (continued) |
||||||||
|
China Overseas Land & Investment Ltd. |
292,720 | $ | 1,140,755 | |||||
|
China Overseas Property Holdings Ltd. |
420,240 | 264,620 | ||||||
|
China Pacific Insurance Group Co. Ltd.
|
44,200 | 174,311 | ||||||
|
China Petroleum & Chemical Corp.
|
1,221,000 | 736,355 | ||||||
|
China Power International Development Ltd. |
478,000 | 102,609 | ||||||
|
China Railway Group Ltd.
|
363,000 | 224,309 | ||||||
|
China Resources Beer Holdings Co. Ltd. |
114,000 | 630,984 | ||||||
|
China Resources Gas Group Ltd. |
58,000 | 318,343 | ||||||
|
China Resources Land Ltd. |
90,444 | 450,724 | ||||||
|
China Resources Power Holdings Co. Ltd. |
141,400 | 198,831 | ||||||
|
China Shenhua Energy Co. Ltd.
|
206,500 | 431,365 | ||||||
|
China Shipbuilding Industry Co. Ltd.
|
59,700 | 44,935 | ||||||
|
China State Construction Engineering Corp. Ltd. (Class A Stock) |
100,240 | 81,007 | ||||||
|
China Taiping Insurance Holdings Co. Ltd. |
39,800 | 98,846 | ||||||
|
China Telecom Corp. Ltd.
|
532,000 | 219,152 | ||||||
|
China Unicom Hong Kong Ltd. |
262,052 | 247,292 | ||||||
|
China United Network Communications Ltd. (Class A Stock) |
113,700 | 96,235 | ||||||
|
China Vanke Co. Ltd. (Class H Stock) |
272,500 | 1,162,650 | ||||||
|
China Yangtze Power Co. Ltd.
|
50,200 | 132,548 | ||||||
|
China Yurun Food Group Ltd.* |
741,000 | 77,084 | ||||||
|
China Zhongwang Holdings Ltd. |
418,000 | 167,238 | ||||||
|
CITIC Guoan Information Industry Co. Ltd. (Class A Stock)* |
132,800 | 67,531 | ||||||
|
CITIC Ltd. |
235,000 | 314,163 | ||||||
|
CNOOC Ltd. |
561,000 | 937,451 | ||||||
|
COSCO SHIPPING Development Co. Ltd. (Class H Stock) |
683,000 | 80,969 | ||||||
|
COSCO SHIPPING Energy Transportation Co. Ltd. (Class H Stock) |
194,000 | 91,807 | ||||||
|
COSCO SHIPPING Ports Ltd. |
252,000 | 206,500 | ||||||
|
Country Garden Holdings Co. Ltd. |
230,831 | 370,383 | ||||||
|
Country Garden Services Holdings Co. Ltd. |
20,440 | 69,110 | ||||||
|
CRRC Corp. Ltd. (Class H Stock) |
256,000 | 186,866 | ||||||
|
CSPC Pharmaceutical Group Ltd. |
264,000 | 631,553 | ||||||
|
Daqin Railway Co. Ltd.
|
62,400 | 73,602 | ||||||
|
Datang International Power Generation Co. Ltd. (Class H Stock) |
892,000 | 170,578 | ||||||
|
Dong-E-E-Jiao Co.
Ltd.
|
10,600 | 53,819 | ||||||
|
Dongfeng Motor Group Co. Ltd.
|
322,000 | 303,344 | ||||||
|
Dr Peng Telecom & Media Group Co. Ltd.
|
18,200 | 15,989 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
China (continued) |
||||||||
|
East Money Information Co. Ltd.
|
52,704 | $ | 119,469 | |||||
|
Financial Street Holdings Co. Ltd.
|
59,800 | 69,791 | ||||||
|
Ganfeng Lithium Co. Ltd. (Class A Stock) |
14,700 | 73,607 | ||||||
|
GD Power Development Co. Ltd.
|
149,300 | 50,270 | ||||||
|
GEM Co. Ltd. (Class A Stock) |
55,300 | 38,712 | ||||||
|
Gemdale Corp. (Class A Stock) |
42,300 | 88,144 | ||||||
|
Golden Eagle Retail Group Ltd. |
242,000 | 269,869 | ||||||
|
Gree Electric Appliances, Inc. of Zhuhai
|
17,600 | 166,029 | ||||||
|
Guangdong Baolihua New Energy Stock Co. Ltd. (Class A Stock) |
54,700 | 44,437 | ||||||
|
Guangdong Investment Ltd. |
224,000 | 469,257 | ||||||
|
Guanghui Energy Co. Ltd. (Class A Stock) |
105,700 | 50,263 | ||||||
|
Guangzhou Automobile Group Co. Ltd.
|
263,072 | 328,676 | ||||||
|
Haier Smart Home Co. Ltd.
|
46,500 | 130,425 | ||||||
|
Hangzhou Hikvision Digital Technology Co. Ltd. (Class A Stock) |
21,200 | 99,677 | ||||||
|
Han’s Laser Technology Industry Group Co. Ltd. (Class A Stock) |
13,500 | 77,549 | ||||||
|
Hengan International Group Co. Ltd. |
58,000 | 413,462 | ||||||
|
Hengyi Petrochemical Co. Ltd.
|
32,400 | 64,885 | ||||||
|
Huaneng Power International, Inc.
|
616,000 | 311,945 | ||||||
|
Huaneng Renewables Corp. Ltd.
|
662,000 | 257,799 | ||||||
|
Hubei Energy Group Co. Ltd.
|
136,000 | 81,538 | ||||||
|
Hundsun Technologies Inc.
|
13,650 | 152,785 | ||||||
|
Iflytek Co. Ltd. (Class A Stock) |
16,800 | 83,293 | ||||||
|
Industrial & Commercial Bank of China Ltd.
|
693,000 | 533,830 | ||||||
|
Industrial Bank Co. Ltd. (Class A Stock) |
40,600 | 115,639 | ||||||
|
Inner Mongolia BaoTou Steel Union Co. Ltd.
|
217,140 | 41,142 | ||||||
|
Inner Mongolia Yili Industrial Group Co. Ltd.
|
15,500 | 68,978 | ||||||
|
JD.com, Inc., ADR* |
6,900 | 243,087 | ||||||
|
Jiangsu Expressway Co. Ltd.
|
160,000 | 219,496 | ||||||
|
Jiangsu Hengrui Medicine Co. Ltd.
|
11,664 | 146,862 | ||||||
|
Jiangxi Copper Co. Ltd. (Class H Stock) |
221,000 | 304,493 | ||||||
|
Jilin Aodong Pharmaceutical Group Co. Ltd.
|
24,700 | 58,717 | ||||||
|
Kangde Xin Composite Material Group Co. Ltd. (Class A Stock)*^ |
29,069 | — | ||||||
|
Kangmei Pharmaceutical Co. Ltd.
|
30,900 | 16,505 | ||||||
|
Kingboard Holdings Ltd. |
70,500 | 224,419 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A92
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS (continued) |
Shares | Value | ||||||
|
China (continued) |
||||||||
|
Kunlun Energy Co. Ltd. |
230,000 | $ | 203,483 | |||||
|
Kweichow Moutai Co. Ltd. (Class A Stock) |
1,400 | 238,157 | ||||||
|
Lee & Man Paper Manufacturing Ltd. |
287,000 | 217,907 | ||||||
|
Lenovo Group Ltd. |
452,000 | 303,444 | ||||||
|
Lepu Medical Technology Beijing Co. Ltd. (Class A Stock) |
14,700 | 69,974 | ||||||
|
Li Ning Co. Ltd. |
152,979 | 459,485 | ||||||
|
Luye Pharma Group Ltd., 144A |
378,000 | 284,133 | ||||||
|
Luzhou Laojiao Co. Ltd. (Class A Stock) |
8,900 | 110,946 | ||||||
|
Midea Group Co. Ltd. (Class A Stock) |
17,100 | 143,359 | ||||||
|
NetEase, Inc., ADR |
1,100 | 337,304 | ||||||
|
New Oriental Education & Technology Group, Inc., ADR* |
1,250 | 151,562 | ||||||
|
Oceanwide Holdings Co. Ltd. (Class A Stock) |
61,500 | 40,231 | ||||||
|
Offshore Oil Engineering Co. Ltd. (Class A Stock) |
65,600 | 69,690 | ||||||
|
Oriental Pearl Group Co. Ltd. (Class A Stock) |
27,170 | 36,549 | ||||||
|
Ourpalm Co. Ltd. (Class A Stock)* |
78,600 | 69,669 | ||||||
|
Perfect World Co. Ltd. (Class A Stock) |
18,200 | 115,526 | ||||||
|
PetroChina Co. Ltd. (Class H Stock) |
1,322,000 | 667,046 | ||||||
|
PICC Property & Casualty Co. Ltd. (Class H Stock) |
75,000 | 90,604 | ||||||
|
Ping An Bank Co. Ltd. (Class A Stock) |
81,900 | 193,836 | ||||||
|
Ping An Insurance Group Co. of China Ltd. (Class H Stock) |
75,000 | 890,257 | ||||||
|
Poly Developments and Holdings Group Co. Ltd. (Class A Stock) |
62,200 | 144,718 | ||||||
|
Real Gold Mining Ltd.*^ |
209,000 | — | ||||||
|
RiseSun Real Estate Development Co. Ltd. (Class A Stock) |
48,400 | 68,389 | ||||||
|
SAIC Motor Corp. Ltd. (Class A Stock) |
24,100 | 82,705 | ||||||
|
Sanan Optoelectronics Co. Ltd. (Class A Stock) |
37,700 | 99,523 | ||||||
|
SDIC Power Holdings Co. Ltd. (Class A Stock) |
65,400 | 86,279 | ||||||
|
Semiconductor Manufacturing International Corp.* |
276,000 | 424,280 | ||||||
|
Shandong Gold Mining Co. Ltd. (Class A Stock) |
21,700 | 100,534 | ||||||
|
Shandong Weigao Group Medical Polymer Co. Ltd. (Class H Stock) |
376,000 | 451,446 | ||||||
|
Shanghai Electric Group Co. Ltd. (Class H Stock) |
382,000 | 125,605 | ||||||
|
Shanghai Fosun Pharmaceutical Group Co. Ltd. (Class H Stock) |
36,500 | 110,693 | ||||||
|
Shanghai Industrial Holdings Ltd. |
85,000 | 163,529 | ||||||
|
Shanghai Industrial Urban Development Group Ltd. |
85,000 | 10,691 | ||||||
|
Shanghai Pharmaceuticals Holding Co. Ltd. (Class H Stock) |
152,300 | 296,892 | ||||||
|
Shanghai Pudong Development Bank Co. Ltd. (Class A Stock) |
64,350 | 114,563 | ||||||
|
Shanxi Xishan Coal & Electricity Power Co. Ltd. (Class A Stock) |
48,900 | 43,149 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
China (continued) |
||||||||
|
Shenzhen Inovance Technology Co. Ltd. (Class A Stock) |
21,300 | $ | 93,867 | |||||
|
Shimao Property Holdings Ltd. |
42,000 | 162,891 | ||||||
|
SINA Corp.* |
2,000 | 79,860 | ||||||
|
Sino-Ocean Group Holding Ltd. |
161,500 | 65,053 | ||||||
|
Sinopec Shanghai Petrochemical Co. Ltd. (Class H Stock) |
370,000 | 112,033 | ||||||
|
Sinopharm Group Co. Ltd. (Class H Stock) |
133,200 | 487,198 | ||||||
|
Sohu.com Ltd., ADR* |
1,600 | 17,888 | ||||||
|
Suning.com Co. Ltd. (Class A Stock) |
22,000 | 31,974 | ||||||
|
Sunny Optical Technology Group Co. Ltd. |
47,400 | 823,743 | ||||||
|
Tasly Pharmaceutical Group Co. Ltd. (Class A Stock) |
15,820 | 35,085 | ||||||
|
Tencent Holdings Ltd. |
35,000 | 1,684,682 | ||||||
|
Textainer Group Holdings Ltd.* |
5,880 | 62,975 | ||||||
|
Tianqi Lithium Corp. (Class A Stock) |
15,697 | 67,973 | ||||||
|
Tingyi Cayman Islands Holding Corp. |
138,000 | 235,661 | ||||||
|
Tonghua Dongbao Pharmaceutical Co. Ltd. (Class A Stock) |
13,800 | 25,110 | ||||||
|
Trip.com Group Ltd., ADR* |
3,800 | 127,452 | ||||||
|
Tsinghua Tongfang Co. Ltd. (Class A Stock)* |
32,900 | 41,503 | ||||||
|
Tsingtao Brewery Co. Ltd. (Class H Stock) |
54,000 | 362,997 | ||||||
|
Wanda Film Holding Co. Ltd. (Class A Stock)* |
23,300 | 60,723 | ||||||
|
Wanhua Chemical Group Co. Ltd. (Class A Stock) |
21,780 | 175,921 | ||||||
|
Want Want China Holdings Ltd. |
532,400 | 497,248 | ||||||
|
Weichai Power Co. Ltd. (Class H Stock) |
208,000 | 440,612 | ||||||
|
Wens Foodstuffs Group Co. Ltd. (Class A Stock) |
26,100 | 126,251 | ||||||
|
Wintime Energy Co. Ltd. (Class A Stock)* |
109,800 | 22,514 | ||||||
|
Wuliangye Yibin Co. Ltd. (Class A Stock) |
8,700 | 166,095 | ||||||
|
Xiaomi Corp. (Class B Stock), 144A* |
746,600 | 1,036,075 | ||||||
|
Yangzijiang Shipbuilding Holdings Ltd. |
184,600 | 154,356 | ||||||
|
Yonghui Superstores Co. Ltd. (Class A Stock) |
94,800 | 102,758 | ||||||
|
Youngor Group Co. Ltd. (Class A Stock) |
60,368 | 60,509 | ||||||
|
Yunnan Baiyao Group Co. Ltd. (Class A Stock) |
7,500 | 96,354 | ||||||
|
Zhaojin Mining Industry Co. Ltd. (Class H Stock) |
184,000 | 202,536 | ||||||
|
Zhejiang Expressway Co. Ltd. (Class H Stock) |
148,000 | 134,907 | ||||||
|
Zhongsheng Group Holdings Ltd. |
134,000 | 549,077 | ||||||
|
Zijin Mining Group Co. Ltd. (Class H Stock) |
1,492,000 | 761,481 | ||||||
|
ZTE Corp. (Class H Stock)* |
261,529 | 803,146 | ||||||
|
|
|
|||||||
| 46,509,520 | ||||||||
|
|
|
|||||||
|
Colombia — 1.3% |
||||||||
|
Almacenes Exito SA |
75,552 | 319,011 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A93
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Colombia (continued) |
||||||||
|
Bancolombia SA |
29,008 | $ | 388,276 | |||||
|
Bancolombia SA, ADR |
10,600 | 580,774 | ||||||
|
Celsia SA ESP |
124,720 | 167,319 | ||||||
|
Cementos Argos SA |
110,227 | 244,783 | ||||||
|
CEMEX Latam Holdings SA* |
30,558 | 40,949 | ||||||
|
Corp. Financiera Colombiana SA* |
12,268 | 114,946 | ||||||
|
Ecopetrol SA, ADR(a) |
54,600 | 1,089,816 | ||||||
|
Grupo Argos SA |
97,306 | 526,901 | ||||||
|
Grupo de Inversiones Suramericana SA |
25,000 | 258,576 | ||||||
|
Grupo Energia Bogota SA ESP |
271,100 | 183,085 | ||||||
|
Grupo Nutresa SA |
85,096 | 657,526 | ||||||
|
Interconexion Electrica SA ESP |
129,241 | 770,595 | ||||||
|
|
|
|||||||
| 5,342,557 | ||||||||
|
|
|
|||||||
|
Croatia — 0.6% |
||||||||
|
AD Plastik DD |
2,554 | 73,570 | ||||||
|
Atlantic Grupa dd |
1,432 | 280,852 | ||||||
|
Atlantska Plovidba dd ZA Medjunarodni Prijevoz Robe I Putnika* |
1,177 | 66,619 | ||||||
|
Ericsson Nikola Tesla dd |
1,376 | 290,323 | ||||||
|
Hrvatski Telekom dd |
22,650 | 597,554 | ||||||
|
Koncar-Elektroindustrija DD |
645 | 61,677 | ||||||
|
Ledo dd*^ |
122 | — | ||||||
|
Podravka Prehrambena Ind DD |
5,836 | 425,563 | ||||||
|
Valamar Riviera DD |
82,391 | 484,022 | ||||||
|
Zagrebacka Banka dd |
24,666 | 230,763 | ||||||
|
|
|
|||||||
| 2,510,943 | ||||||||
|
|
|
|||||||
|
Czech Republic — 0.7% |
||||||||
|
CEZ A/S |
53,025 | 1,193,098 | ||||||
|
Komercni banka A/S |
21,800 | 798,084 | ||||||
|
Moneta Money Bank A/S, 144A |
82,900 | 310,844 | ||||||
|
O2 Czech Republic A/S |
35,956 | 371,931 | ||||||
|
Philip Morris CR A/S |
290 | 195,787 | ||||||
|
|
|
|||||||
| 2,869,744 | ||||||||
|
|
|
|||||||
|
Estonia — 0.4% |
||||||||
|
AS Merko Ehitus |
9,442 | 99,426 | ||||||
|
AS Tallinna Vesi (Class A Stock) |
33,851 | 444,299 | ||||||
|
Tallink Grupp A/S |
485,209 | 531,592 | ||||||
|
Tallinna Kaubamaja Grupp A/S |
68,345 | 683,471 | ||||||
|
|
|
|||||||
| 1,758,788 | ||||||||
|
|
|
|||||||
|
Ghana — 0.4% |
||||||||
|
CAL Bank Ltd. |
1,302,943 | 203,643 | ||||||
|
FAN Milk Ltd.* |
47,251 | 34,143 | ||||||
|
Ghana Commercial Bank Ltd. |
1,190,800 | 1,066,738 | ||||||
|
Standard Chartered Bank Ghana Ltd. |
91,000 | 293,807 | ||||||
|
Unilever Ghana Ltd.^ |
13,100 | 37,691 | ||||||
|
|
|
|||||||
| 1,636,022 | ||||||||
|
|
|
|||||||
|
Greece — 1.4% |
||||||||
|
Aegean Airlines SA |
12,691 | 119,603 | ||||||
|
Alpha Bank AE* |
200,493 | 433,159 | ||||||
|
Athens Water Supply & Sewage Co. SA |
16,362 | 138,362 | ||||||
|
Diana Shipping, Inc.* |
19,100 | 59,401 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Greece (continued) |
||||||||
|
Ellaktor SA* |
48,048 | $ | 91,810 | |||||
|
Eurobank Ergasias SA* |
315,677 | 326,042 | ||||||
|
FF Group* |
6,443 | 14,497 | ||||||
|
Fourlis Holdings SA* |
14,272 | 93,226 | ||||||
|
GEK Terna Holding Real Estate Construction SA* |
18,366 | 155,679 | ||||||
|
Hellenic Exchanges – Athens Stock Exchange SA |
18,468 | 96,064 | ||||||
|
Hellenic Petroleum SA |
18,424 | 181,080 | ||||||
|
Hellenic Telecommunications Organization SA |
65,963 | 1,053,410 | ||||||
|
Holding Co. ADMIE IPTO SA |
42,738 | 111,433 | ||||||
|
JUMBO SA |
16,710 | 347,515 | ||||||
|
LAMDA Development SA* |
19,486 | 180,307 | ||||||
|
Motor Oil Hellas Corinth Refineries SA |
19,005 | 439,725 | ||||||
|
Mytilineos SA |
26,812 | 294,750 | ||||||
|
National Bank of Greece SA* |
64,111 | 217,886 | ||||||
|
OPAP SA |
42,571 | 552,897 | ||||||
|
Piraeus Bank SA* |
47,838 | 161,098 | ||||||
|
Public Power Corp. SA* |
49,159 | 228,463 | ||||||
|
Sarantis SA |
12,266 | 117,626 | ||||||
|
Star Bulk Carriers Corp.(a) |
8,800 | 103,928 | ||||||
|
Terna Energy SA* |
24,133 | 206,919 | ||||||
|
Tsakos Energy Navigation Ltd. |
22,400 | 97,664 | ||||||
|
|
|
|||||||
| 5,822,544 | ||||||||
|
|
|
|||||||
|
Hong Kong — 0.4% |
||||||||
|
Fullshare Holdings Ltd.* |
412,500 | 9,569 | ||||||
|
Nine Dragons Paper Holdings Ltd. |
107,000 | 111,678 | ||||||
|
Sino Biopharmaceutical Ltd. |
677,000 | 950,057 | ||||||
|
WH Group Ltd., 144A |
712,000 | 737,409 | ||||||
|
|
|
|||||||
| 1,808,713 | ||||||||
|
|
|
|||||||
|
Hungary — 0.8% |
||||||||
|
Magyar Telekom Telecommunications PLC |
121,405 | 183,393 | ||||||
|
MOL Hungarian Oil & Gas PLC |
87,034 | 868,141 | ||||||
|
OTP Bank Nyrt |
22,760 | 1,189,618 | ||||||
|
Richter Gedeon Nyrt |
43,070 | 936,125 | ||||||
|
|
|
|||||||
| 3,177,277 | ||||||||
|
|
|
|||||||
|
India — 5.4% |
||||||||
|
ABB India Ltd. |
4,500 | 81,165 | ||||||
|
ABB Power Products & Systems India Ltd.*^ |
900 | 9,268 | ||||||
|
ACC Ltd. |
6,400 | 129,794 | ||||||
|
Adani Ports & Special Economic Zone Ltd. |
42,715 | 219,331 | ||||||
|
Adani Power Ltd.* |
177,209 | 153,647 | ||||||
|
Adani Transmission Ltd.* |
22,722 | 105,720 | ||||||
|
Ambuja Cements Ltd. |
48,142 | 132,503 | ||||||
|
Apollo Hospitals Enterprise Ltd. |
5,400 | 109,327 | ||||||
|
Ashok Leyland Ltd. |
173,423 | 198,277 | ||||||
|
Asian Paints Ltd. |
11,000 | 275,485 | ||||||
|
Aurobindo Pharma Ltd. |
27,300 | 175,097 | ||||||
|
Axis Bank Ltd. |
24,709 | 261,360 | ||||||
|
Bajaj Auto Ltd. |
3,960 | 176,809 | ||||||
|
Bajaj Finance Ltd. |
1,900 | 112,952 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A94
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
India (continued) |
||||||||
|
Bharat Forge Ltd. |
19,185 | $ | 129,941 | |||||
|
Bharat Heavy Electricals Ltd. |
159,180 | 97,137 | ||||||
|
Bharat Petroleum Corp. Ltd. |
22,767 | 156,718 | ||||||
|
Bharti Airtel Ltd.* |
229,037 | 1,463,661 | ||||||
|
Bharti Infratel Ltd. |
97,353 | 344,748 | ||||||
|
Bosch Ltd. |
363 | 78,269 | ||||||
|
Britannia Industries Ltd. |
2,706 | 114,953 | ||||||
|
CESC Ltd. |
14,584 | 150,753 | ||||||
|
CG Power and Industrial Solutions Ltd.* |
190,092 | 28,895 | ||||||
|
Cipla Ltd. |
29,550 | 198,157 | ||||||
|
Coal India Ltd. |
43,794 | 129,829 | ||||||
|
Colgate-Palmolive India Ltd. |
3,100 | 63,597 | ||||||
|
Container Corp. Of India Ltd. |
40,617 | 325,470 | ||||||
|
Crompton Greaves Consumer Electricals Ltd. |
40,282 | 135,586 | ||||||
|
Dabur India Ltd. |
31,638 | 203,349 | ||||||
|
Divi’s Laboratories Ltd. |
9,319 | 241,086 | ||||||
|
DLF Ltd. |
68,573 | 222,135 | ||||||
|
Dr. Reddy’s Laboratories Ltd. |
7,725 | 311,550 | ||||||
|
Eicher Motors Ltd. |
605 | 191,127 | ||||||
|
GAIL India Ltd. |
127,172 | 216,007 | ||||||
|
Glenmark Pharmaceuticals Ltd. |
18,324 | 89,313 | ||||||
|
Godrej Consumer Products Ltd. |
18,150 | 174,373 | ||||||
|
Godrej Properties Ltd.* |
8,888 | 123,367 | ||||||
|
Grasim Industries Ltd. |
12,907 | 134,631 | ||||||
|
Havells India Ltd. |
25,299 | 229,617 | ||||||
|
HCL Technologies Ltd. |
31,480 | 250,748 | ||||||
|
HDFC Bank Ltd. |
29,696 | 530,376 | ||||||
|
Hemisphere Properties India Ltd.*^ |
10,702 | 25,009 | ||||||
|
Hero MotoCorp Ltd. |
4,595 | 157,537 | ||||||
|
Hindalco Industries Ltd. |
66,600 | 201,824 | ||||||
|
Hindustan Unilever Ltd. |
27,787 | 749,153 | ||||||
|
Housing Development Finance Corp. Ltd. |
15,533 | 525,668 | ||||||
|
ICICI Bank Ltd., ADR(a) |
22,550 | 340,279 | ||||||
|
IDFC Ltd. |
104,784 | 57,745 | ||||||
|
IFCI Ltd.* |
510,307 | 47,291 | ||||||
|
Indiabulls Real Estate Ltd.* |
90,254 | 82,809 | ||||||
|
Indian Oil Corp. Ltd. |
73,996 | 130,029 | ||||||
|
Indraprastha Gas Ltd. |
39,927 | 239,862 | ||||||
|
IndusInd Bank Ltd. |
4,497 | 95,376 | ||||||
|
Info Edge India Ltd. |
9,568 | 339,786 | ||||||
|
Infosys Ltd. |
42,867 | 441,439 | ||||||
|
Infosys Ltd., ADR(a) |
42,340 | 436,949 | ||||||
|
InterGlobe Aviation Ltd., 144A |
5,171 | 96,633 | ||||||
|
ITC Ltd. |
115,623 | 385,449 | ||||||
|
Jindal Steel & Power Ltd.* |
54,935 | 129,260 | ||||||
|
JSW Energy Ltd. |
94,200 | 91,651 | ||||||
|
JSW Steel Ltd. |
39,200 | 148,433 | ||||||
|
Kotak Mahindra Bank Ltd. |
7,693 | 181,679 | ||||||
|
Larsen & Toubro Ltd., GDR |
21,689 | 394,662 | ||||||
|
LIC Housing Finance Ltd. |
8,515 | 51,871 | ||||||
|
Lupin Ltd. |
21,741 | 232,772 | ||||||
|
Mahindra & Mahindra Ltd. |
6,323 | 47,129 | ||||||
|
Mahindra & Mahindra Ltd., GDR |
22,209 | 167,843 | ||||||
|
Marico Ltd. |
33,828 | 162,022 | ||||||
|
Maruti Suzuki India Ltd. |
5,119 | 529,144 | ||||||
|
Motherson Sumi Systems Ltd. |
69,474 | 142,899 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
India (continued) |
||||||||
|
Nestle India Ltd. |
1,100 | $ | 228,197 | |||||
|
NHPC Ltd. |
226,173 | 75,937 | ||||||
|
NTPC Ltd. |
253,766 | 423,802 | ||||||
|
Oberoi Realty Ltd. |
16,917 | 125,892 | ||||||
|
Oil & Natural Gas Corp. Ltd. |
66,302 | 119,940 | ||||||
|
Oil India Ltd. |
26,163 | 56,165 | ||||||
|
Page Industries Ltd. |
300 | 98,562 | ||||||
|
Phoenix Mills Ltd. (The) |
6,465 | 75,510 | ||||||
|
Pidilite Industries Ltd. |
9,888 | 192,356 | ||||||
|
Piramal Enterprises Ltd. |
6,634 | 141,815 | ||||||
|
Power Grid Corp. of India Ltd. |
184,293 | 491,759 | ||||||
|
Rajesh Exports Ltd. |
8,600 | 80,812 | ||||||
|
Reliance Industries Ltd. |
62,402 | 1,325,598 | ||||||
|
Reliance Industries Ltd., 144A, GDR |
9,526 | 405,753 | ||||||
|
Reliance Infrastructure Ltd.* |
30,200 | 12,488 | ||||||
|
Siemens Ltd. |
17,800 | 373,650 | ||||||
|
State Bank of India* |
21,736 | 101,865 | ||||||
|
State Bank of India, GDR* |
1,802 | 84,450 | ||||||
|
Sun Pharmaceutical Industries Ltd. |
62,574 | 379,652 | ||||||
|
Sun TV Network Ltd. |
13,419 | 83,142 | ||||||
|
Tata Communications Ltd. |
10,702 | 59,624 | ||||||
|
Tata Consultancy Services Ltd. |
20,252 | 614,223 | ||||||
|
Tata Motors Ltd., ADR* |
6,690 | 86,502 | ||||||
|
Tata Power Co. Ltd. (The) |
193,885 | 153,844 | ||||||
|
Tata Steel Ltd. |
17,882 | 118,427 | ||||||
|
Tech Mahindra Ltd. |
13,194 | 141,069 | ||||||
|
Titan Co. Ltd. |
14,341 | 239,267 | ||||||
|
UltraTech Cement Ltd. |
3,994 | 226,676 | ||||||
|
United Spirits Ltd.* |
18,191 | 152,903 | ||||||
|
UPL Ltd. |
29,947 | 245,566 | ||||||
|
Vedanta Ltd. |
80,962 | 173,489 | ||||||
|
Vodafone Idea Ltd.* |
699,203 | 60,301 | ||||||
|
Wipro Ltd. |
38,630 | 133,285 | ||||||
|
WNS Holdings Ltd., ADR* |
1,500 | 99,225 | ||||||
|
Zee Entertainment Enterprises Ltd. |
60,145 | 246,696 | ||||||
|
|
|
|||||||
| 22,736,773 | ||||||||
|
|
|
|||||||
|
Indonesia — 2.9% |
||||||||
|
Ace Hardware Indonesia Tbk PT |
716,000 | 77,094 | ||||||
|
Adaro Energy Tbk PT |
3,507,400 | 391,284 | ||||||
|
Adhi Karya Persero Tbk PT |
739,600 | 62,587 | ||||||
|
AKR Corporindo Tbk PT |
523,500 | 148,960 | ||||||
|
Astra Agro Lestari Tbk PT |
44,000 | 46,394 | ||||||
|
Astra International Tbk PT |
2,110,700 | 1,048,443 | ||||||
|
Bank Central Asia Tbk PT |
605,800 | 1,456,417 | ||||||
|
Bank Danamon Indonesia Tbk PT |
301,900 | 86,101 | ||||||
|
Bank Mandiri Persero Tbk PT |
1,077,600 | 594,269 | ||||||
|
Bank Negara Indonesia Persero Tbk PT |
495,500 | 278,964 | ||||||
|
Bank Rakyat Indonesia Persero Tbk PT |
2,922,100 | 922,345 | ||||||
|
Bukit ASAm Tbk PT |
739,400 | 141,193 | ||||||
|
Bumi Serpong Damai Tbk PT* |
1,358,400 | 122,697 | ||||||
|
Charoen Pokphand Indonesia Tbk PT |
573,700 | 267,659 | ||||||
|
Ciputra Development Tbk PT |
1,900,600 | 142,040 | ||||||
|
Gudang Garam Tbk PT |
36,900 | 140,657 | ||||||
|
Hanjaya Mandala Sampoerna Tbk PT |
634,300 | 94,288 | ||||||
|
Hanson International Tbk PT* |
17,067,900 | 61,417 | ||||||
|
Indo Tambangraya Megah Tbk PT |
147,000 | 121,270 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A95
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Indonesia (continued) |
||||||||
|
Indocement Tunggal Prakarsa Tbk PT |
331,500 | $ | 452,450 | |||||
|
Indofood CBP Sukses Makmur Tbk PT |
217,300 | 174,567 | ||||||
|
Indofood Sukses Makmur Tbk PT |
366,100 | 208,491 | ||||||
|
Jasa Marga Persero Tbk PT |
360,000 | 133,723 | ||||||
|
Kalbe Farma Tbk PT |
3,379,800 | 393,197 | ||||||
|
Matahari Department Store Tbk PT |
452,200 | 136,588 | ||||||
|
Mitra Keluarga Karyasehat Tbk PT |
1,121,000 | 215,580 | ||||||
|
Pakuwon Jati Tbk PT |
2,139,300 | 87,687 | ||||||
|
Perusahaan Gas Negara Tbk PT |
1,829,700 | 285,779 | ||||||
|
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT |
628,800 | 67,339 | ||||||
|
PP Persero Tbk PT |
544,692 | 61,943 | ||||||
|
PP Properti Tbk PT |
5,386,100 | 26,410 | ||||||
|
Puradelta Lestari Tbk PT |
5,083,700 | 108,687 | ||||||
|
Semen Indonesia Persero Tbk PT |
621,400 | 537,725 | ||||||
|
Sentul City Tbk PT* |
5,826,100 | 35,779 | ||||||
|
Summarecon Agung Tbk PT |
1,637,600 | 118,571 | ||||||
|
Surya Citra Media Tbk PT |
503,100 | 50,993 | ||||||
|
Telekomunikasi Indonesia Persero Tbk PT |
4,138,700 | 1,180,429 | ||||||
|
Tower Bersama Infrastructure Tbk PT |
1,355,500 | 120,018 | ||||||
|
Unilever Indonesia Tbk PT |
106,400 | 321,798 | ||||||
|
United Tractors Tbk PT |
319,200 | 493,485 | ||||||
|
Vale Indonesia Tbk PT* |
1,106,500 | 289,415 | ||||||
|
Waskita Karya Persero Tbk PT |
870,000 | 92,768 | ||||||
|
Wijaya Karya Persero Tbk PT |
729,800 | 104,486 | ||||||
|
XL Axiata Tbk PT* |
641,600 | 145,506 | ||||||
|
|
|
|||||||
| 12,047,493 | ||||||||
|
|
|
|||||||
|
Jordan — 0.7% |
||||||||
|
Al-Eqbal Investment Co. PLC* |
17,362 | 301,093 | ||||||
|
Arab Bank PLC |
144,090 | 1,168,512 | ||||||
|
Arab Potash (The) |
12,023 | 346,702 | ||||||
|
Bank of Jordan |
51,326 | 151,862 | ||||||
|
Cairo Amman Bank |
35,888 | 52,117 | ||||||
|
Capital Bank of Jordan |
51,133 | 72,116 | ||||||
|
Jordan Ahli Bank |
78,671 | 105,340 | ||||||
|
Jordan Islamic Bank |
28,336 | 111,890 | ||||||
|
Jordan Petroleum Refinery Co. |
79,590 | 362,357 | ||||||
|
Jordan Telecommunications Co. PSC |
15,279 | 31,015 | ||||||
|
Jordanian Electric Power Co. |
62,296 | 107,407 | ||||||
|
|
|
|||||||
| 2,810,411 | ||||||||
|
|
|
|||||||
|
Kazakhstan — 0.5% |
||||||||
|
Halyk Savings Bank of Kazakhstan JSC, GDR |
33,307 | 443,410 | ||||||
|
KAZ Minerals PLC |
133,538 | 941,108 | ||||||
|
KCell JSC, GDR |
80,990 | 484,207 | ||||||
|
Nostrum Oil & Gas PLC*(a) |
368,390 | 82,724 | ||||||
|
|
|
|||||||
| 1,951,449 | ||||||||
|
|
|
|||||||
|
Kenya — 0.7% |
||||||||
|
Bamburi Cement Co. Ltd. |
87,300 | 69,005 | ||||||
|
Barclays Bank of Kenya Ltd. |
857,300 | 113,236 | ||||||
|
British American Tobacco Kenya Ltd. |
24,700 | 122,394 | ||||||
|
Co-operative Bank of Kenya Ltd. (The) |
552,500 | 89,577 | ||||||
|
Diamond Trust Bank Kenya Ltd. |
63,910 | 68,806 | ||||||
|
East African Breweries Ltd. |
345,300 | 676,633 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Kenya (continued) |
||||||||
|
Equity Group Holdings PLC |
1,003,900 | $ | 530,863 | |||||
|
KCB Group Ltd. |
865,400 | 461,849 | ||||||
|
Kenya Power & Lighting Ltd.* |
2,326,505 | 64,975 | ||||||
|
Nation Media Group PLC |
102,900 | 40,676 | ||||||
|
Safaricom PLC |
2,615,100 | 813,027 | ||||||
|
Standard Chartered Bank Kenya Ltd. |
44,331 | 88,806 | ||||||
|
|
|
|||||||
| 3,139,847 | ||||||||
|
|
|
|||||||
|
Kuwait — 1.6% |
||||||||
|
Agility Public Warehousing Co. KSC |
216,896 | 585,313 | ||||||
|
Al Ahli Bank of Kuwait KSCP |
55,586 | 46,917 | ||||||
|
Boubyan Bank KSCP |
93,167 | 196,881 | ||||||
|
Boubyan Petrochemicals Co. KSCP |
107,897 | 237,815 | ||||||
|
Burgan Bank SAK |
77,586 | 77,778 | ||||||
|
Commercial Bank of Kuwait KPSC |
87,841 | 153,081 | ||||||
|
Commercial Real Estate Co. KSC |
546,286 | 170,268 | ||||||
|
Gulf Bank KSCP |
142,227 | 142,053 | ||||||
|
Humansoft Holding Co. KSC |
22,003 | 218,844 | ||||||
|
Integrated Holding Co. KCSC |
80,225 | 145,902 | ||||||
|
Kuwait Finance House KSCP |
339,163 | 908,064 | ||||||
|
Kuwait International Bank KSCP |
41,082 | 37,143 | ||||||
|
Kuwait Portland Cement Co. KSC |
23,371 | 75,646 | ||||||
|
Kuwait Projects Co. Holding KSCP |
67,257 | 47,872 | ||||||
|
Kuwait Real Estate Co. KSC* |
465,521 | 160,852 | ||||||
|
Mabanee Co. SAK |
91,417 | 273,003 | ||||||
|
Mezzan Holding Co. KSCC |
46,400 | 76,438 | ||||||
|
Mobile Telecommunications Co. KSC |
427,072 | 845,170 | ||||||
|
National Bank of Kuwait SAKP |
383,238 | 1,353,088 | ||||||
|
National Industries Group Holding SAK |
265,916 | 211,283 | ||||||
|
National Real Estate Co. KPSC* |
460,830 | 138,935 | ||||||
|
Qurain Petrochemical Industries Co. |
171,805 | 175,950 | ||||||
|
VIVA Kuwait Telecom Co. |
51,793 | 134,417 | ||||||
|
Warba Bank KSCP* |
82,500 | 74,826 | ||||||
|
|
|
|||||||
| 6,487,539 | ||||||||
|
|
|
|||||||
|
Latvia — 0.2% |
||||||||
|
Grindeks A/S |
52,160 | 865,852 | ||||||
|
|
|
|||||||
|
Lithuania — 0.4% |
||||||||
|
Apranga PVA |
78,286 | 185,226 | ||||||
|
Klaipedos Nafta AB |
513,391 | 208,721 | ||||||
|
Pieno Zvaigzdes |
111,220 | 117,467 | ||||||
|
Rokiskio Suris |
145,010 | 410,117 | ||||||
|
Siauliu Bankas AB |
976,182 | 554,186 | ||||||
|
|
|
|||||||
| 1,475,717 | ||||||||
|
|
|
|||||||
|
Malaysia — 2.9% |
||||||||
|
AirAsia Group Bhd |
151,000 | 62,911 | ||||||
|
Alliance Bank Malaysia Bhd |
174,500 | 112,392 | ||||||
|
AMMB Holdings Bhd |
77,300 | 73,918 | ||||||
|
Astro Malaysia Holdings Bhd |
242,100 | 75,127 | ||||||
|
Axiata Group Bhd |
403,325 | 407,940 | ||||||
|
Berjaya Sports Toto Bhd |
143,387 | 90,431 | ||||||
|
British American Tobacco Malaysia Bhd |
13,000 | 47,981 | ||||||
|
Bumi Armada Bhd* |
1,242,550 | 161,591 | ||||||
|
CIMB Group Holdings Bhd |
140,500 | 176,977 | ||||||
|
Dialog Group Bhd |
525,720 | 443,815 | ||||||
|
DiGi.Com Bhd |
205,000 | 223,731 | ||||||
|
Gamuda Bhd |
240,500 | 229,567 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A96
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Malaysia (continued) |
||||||||
|
Genting Bhd |
354,900 | $ | 525,747 | |||||
|
Genting Malaysia Bhd |
404,500 | 325,420 | ||||||
|
Genting Plantations Bhd |
38,100 | 98,463 | ||||||
|
Globetronics Technology Bhd |
213,033 | 121,685 | ||||||
|
HAP Seng Consolidated Bhd |
50,500 | 123,015 | ||||||
|
Hartalega Holdings Bhd |
245,000 | 328,073 | ||||||
|
Hong Leong Bank Bhd |
20,000 | 84,573 | ||||||
|
IGB Real Estate Investment Trust |
471,200 | 217,747 | ||||||
|
IHH Healthcare Bhd |
370,400 | 495,401 | ||||||
|
IJM Corp. Bhd |
186,080 | 98,664 | ||||||
|
Inari Amertron Bhd |
598,700 | 249,321 | ||||||
|
IOI Corp. Bhd |
148,846 | 167,711 | ||||||
|
IOI Properties Group Bhd |
410,472 | 124,592 | ||||||
|
KLCCP Stapled Group |
112,800 | 218,149 | ||||||
|
KNM Group Bhd* |
1,468,200 | 134,916 | ||||||
|
Kossan Rubber Industries |
83,500 | 84,995 | ||||||
|
Kuala Lumpur Kepong Bhd |
28,900 | 175,153 | ||||||
|
Magnum Bhd |
177,450 | 111,482 | ||||||
|
Malayan Banking Bhd |
157,150 | 332,287 | ||||||
|
Malaysia Airports Holdings Bhd |
71,500 | 132,560 | ||||||
|
Maxis Bhd |
186,200 | 242,054 | ||||||
|
MISC Bhd |
113,300 | 231,903 | ||||||
|
MMC Corp. Bhd |
92,800 | 22,441 | ||||||
|
My EG Services Bhd |
723,250 | 195,059 | ||||||
|
Petronas Chemicals Group Bhd |
389,300 | 699,380 | ||||||
|
Petronas Dagangan Bhd |
65,900 | 371,970 | ||||||
|
Petronas Gas Bhd |
53,600 | 218,072 | ||||||
|
PPB Group Bhd |
35,940 | 165,409 | ||||||
|
Press Metal Aluminium Holdings Bhd |
305,640 | 347,152 | ||||||
|
Public Bank Bhd |
75,637 | 359,535 | ||||||
|
QL Resources Bhd |
108,550 | 215,703 | ||||||
|
Sapura Energy Bhd |
1,041,605 | 69,255 | ||||||
|
Scientex Bhd |
40,500 | 93,614 | ||||||
|
Sime Darby Bhd |
307,300 | 166,923 | ||||||
|
Sime Darby Plantation Bhd |
152,000 | 202,453 | ||||||
|
Sime Darby Property Bhd |
593,700 | 133,139 | ||||||
|
SP Setia Bhd Group |
234,400 | 91,772 | ||||||
|
Sunway Bhd |
505,298 | 222,448 | ||||||
|
Sunway Real Estate Investment Trust |
311,700 | 138,837 | ||||||
|
Telekom Malaysia Bhd |
187,500 | 175,018 | ||||||
|
Tenaga Nasional Bhd |
223,700 | 725,217 | ||||||
|
Top Glove Corp. Bhd |
190,600 | 219,239 | ||||||
|
UMW Holdings Bhd |
54,200 | 59,461 | ||||||
|
ViTrox Corp. Bhd |
97,900 | 189,352 | ||||||
|
VS Industry Bhd |
459,375 | 150,698 | ||||||
|
YTL Corp. Bhd |
446,597 | 106,973 | ||||||
|
YTL Power International Bhd |
331,806 | 62,557 | ||||||
|
|
|
|||||||
| 12,131,969 | ||||||||
|
|
|
|||||||
|
Mauritius — 0.7% |
||||||||
|
Alteo Ltd. |
131,407 | 60,500 | ||||||
|
CIEL Ltd. |
623,353 | 93,980 | ||||||
|
Cim Financial Services Ltd. |
288,435 | 57,166 | ||||||
|
Grit Real Estate Income Group Ltd. |
133,670 | 147,041 | ||||||
|
Lighthouse Capital Ltd.(a) |
686,710 | 426,857 | ||||||
|
Lux Island Resorts Ltd. |
28,927 | 39,093 | ||||||
|
MCB Group Ltd. |
109,638 | 962,116 | ||||||
|
New Mauritius Hotels Ltd. |
418,691 | 155,273 | ||||||
|
Omnicane Ltd.* |
75,913 | 52,071 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Mauritius (continued) |
||||||||
|
Phoenix Beverages Ltd. |
13,346 | $ | 211,382 | |||||
|
Rogers & Co. Ltd. |
305,869 | 299,459 | ||||||
|
SBM Holdings Ltd. |
2,067,787 | 362,870 | ||||||
|
Semaris Ltd.* |
418,691 | 24,188 | ||||||
|
|
|
|||||||
| 2,891,996 | ||||||||
|
|
|
|||||||
|
Mexico — 5.8% |
||||||||
|
Alfa SAB de CV (Class A Stock) |
640,000 | 530,075 | ||||||
|
Alsea SAB de CV* |
210,600 | 555,028 | ||||||
|
America Movil SAB de CV (Class L Stock), ADR |
180,200 | 2,883,200 | ||||||
|
Arca Continental SAB de CV |
55,399 | 293,029 | ||||||
|
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand |
195,000 | 266,085 | ||||||
|
Bolsa Mexicana de Valores SAB de CV |
110,700 | 243,443 | ||||||
|
Cemex SAB de CV, ADR |
234,888 | 887,877 | ||||||
|
Cemex SAB de CV, UTS |
184,713 | 69,167 | ||||||
|
Coca-Cola Femsa SAB de CV, UTS |
63,700 | 386,765 | ||||||
|
Concentradora Fibra Danhos SA de CV, REIT |
158,700 | 240,893 | ||||||
|
Corp. Inmobiliaria Vesta SAB de CV |
211,400 | 381,487 | ||||||
|
El Puerto de Liverpool SAB de CV (Class C1 Stock) |
69,460 | 344,591 | ||||||
|
Empresas ICA SAB de CV*^(a) |
265,500 | 1 | ||||||
|
Fibra Uno Administracion SA de CV, REIT |
1,005,200 | 1,556,645 | ||||||
|
Fomento Economico Mexicano SAB de CV, ADR |
18,040 | 1,704,960 | ||||||
|
Fomento Economico Mexicano SAB de CV, UTS |
5,600 | 52,818 | ||||||
|
Genomma Lab Internacional SAB de CV (Class B Stock)* |
132,700 | 131,595 | ||||||
|
Gentera SAB de CV |
199,900 | 205,001 | ||||||
|
Gruma SAB de CV (Class B Stock) |
22,860 | 234,301 | ||||||
|
Grupo Aeroportuario del Centro Norte SAB de CV |
27,300 | 204,394 | ||||||
|
Grupo Aeroportuario del Pacifico SAB de CV (Class B Stock) |
94,006 | 1,117,432 | ||||||
|
Grupo Aeroportuario del Sureste SAB de CV (Class B Stock) |
28,965 | 542,672 | ||||||
|
Grupo Bimbo SAB de CV (Class A Stock) |
201,600 | 367,321 | ||||||
|
Grupo Carso SAB de CV (Class A1 Stock) |
123,500 | 456,507 | ||||||
|
Grupo Elektra SAB DE CV |
6,859 | 505,224 | ||||||
|
Grupo Financiero Banorte SAB de CV (Class O Stock) |
343,600 | 1,918,308 | ||||||
|
Grupo Financiero Inbursa SAB de CV (Class O Stock) |
323,000 | 396,330 | ||||||
|
Grupo Mexico SAB de CV (Class B Stock) |
582,993 | 1,602,749 | ||||||
|
Grupo Televisa SAB, ADR |
57,100 | 669,783 | ||||||
|
Grupo Televisa SAB, UTS |
79,100 | 185,456 | ||||||
|
Impulsora del Desarrollo y el Empleo en America Latina SAB de CV* |
275,100 | 596,541 | ||||||
|
Industrias CH SAB de CV (Class B Stock)* |
36,100 | 177,794 | ||||||
|
Industrias Penoles SAB de CV |
28,600 | 299,530 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A97
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Mexico (continued) |
||||||||
|
Infraestructura Energetica Nova SAB de CV |
151,800 | $ | 712,776 | |||||
|
Kimberly-Clark de Mexico SAB de CV (Class A Stock)* |
179,000 | 356,249 | ||||||
|
Macquarie Mexico Real Estate Management SA de CV, 144A, REIT |
287,000 | 375,229 | ||||||
|
Nemak SAB de CV, 144A |
160,800 | 67,441 | ||||||
|
Orbia Advance Corp. SAB de CV |
191,873 | 409,167 | ||||||
|
PLA Administradora Industrial S de RL de CV, REIT |
301,500 | 494,328 | ||||||
|
Promotora y Operadora de Infraestructura SAB de CV |
35,055 | 358,791 | ||||||
|
Telesites SAB de CV* |
186,554 | 138,133 | ||||||
|
Wal-Mart de Mexico SAB de CV |
492,400 | 1,413,591 | ||||||
|
|
|
|||||||
| 24,332,707 | ||||||||
|
|
|
|||||||
|
Monaco — 0.1% |
||||||||
|
Costamare, Inc. |
18,300 | 174,399 | ||||||
|
GasLog Ltd. |
9,800 | 95,942 | ||||||
|
|
|
|||||||
| 270,341 | ||||||||
|
|
|
|||||||
|
Morocco — 0.7% |
||||||||
|
Attijariwafa Bank |
10,720 | 559,305 | ||||||
|
Banque Centrale Populaire |
9,039 | 262,146 | ||||||
|
BMCE Bank |
8,054 | 161,636 | ||||||
|
Ciments du Maroc |
1,038 | 180,065 | ||||||
|
Cosumar |
19,633 | 440,437 | ||||||
|
Douja Promotion Groupe Addoha SA* |
71,665 | 85,052 | ||||||
|
LafargeHolcim Maroc SA |
1,243 | 240,245 | ||||||
|
Lesieur Cristal |
6,955 | 130,809 | ||||||
|
Maroc Telecom |
34,173 | 546,681 | ||||||
|
Societe d’Exploitation des Ports |
12,593 | 272,481 | ||||||
|
TOTAL Maroc SA |
626 | 76,260 | ||||||
|
|
|
|||||||
| 2,955,117 | ||||||||
|
|
|
|||||||
|
Nigeria — 0.7% |
||||||||
|
Access Bank PLC |
3,681,422 | 101,400 | ||||||
|
Afriland Properties PLC*^ |
383,641 | — | ||||||
|
Dangote Cement PLC |
1,908,482 | 746,806 | ||||||
|
FBN Holdings PLC |
7,653,949 | 129,728 | ||||||
|
Guaranty Trust Bank PLC |
4,887,087 | 400,068 | ||||||
|
Guinness Nigeria PLC |
603,065 | 49,988 | ||||||
|
Lafarge Africa PLC* |
975,992 | 41,168 | ||||||
|
Lekoil Ltd.* |
483,600 | 29,595 | ||||||
|
MTN Nigeria Communications PLC |
582,543 | 168,541 | ||||||
|
Nestle Nigeria PLC |
100,851 | 408,568 | ||||||
|
Nigerian Breweries PLC |
1,654,279 | 268,688 | ||||||
|
SEPLAT Petroleum Development Co. PLC, 144A |
151,089 | 244,854 | ||||||
|
Stanbic IBTC Holdings PLC |
701,489 | 79,246 | ||||||
|
Transnational Corp. of Nigeria PLC |
15,885,029 | 43,314 | ||||||
|
United Bank for Africa PLC |
6,057,392 | 119,265 | ||||||
|
Zenith Bank PLC |
5,676,119 | 290,932 | ||||||
|
|
|
|||||||
| 3,122,161 | ||||||||
|
|
|
|||||||
|
Oman — 0.7% |
||||||||
|
Bank Dhofar SAOG |
255,697 | 81,859 | ||||||
|
Bank Muscat SAOG |
532,333 | 600,583 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Oman (continued) |
||||||||
|
Bank Nizwa SAOG* |
705,910 | $ | 172,036 | |||||
|
HSBC Bank Oman SAOG |
273,053 | 85,840 | ||||||
|
National Bank of Oman SAOG |
367,434 | 175,721 | ||||||
|
Oman Cables Industry |
18,048 | 25,268 | ||||||
|
Oman Cement Co. SAOG |
225,265 | 133,475 | ||||||
|
Oman Flour Mills Co. SAOG |
64,478 | 102,067 | ||||||
|
Oman Telecommunications Co. SAOG |
294,045 | 471,047 | ||||||
|
Ominvest |
100,273 | 86,103 | ||||||
|
Ooredoo |
205,704 | 282,141 | ||||||
|
Raysut Cement Co. SAOG |
90,232 | 98,703 | ||||||
|
Renaissance Services SAOG* |
292,878 | 228,053 | ||||||
|
Sembcorp Salalah Power & Water Co. |
267,051 | 93,635 | ||||||
|
Sohar International Bank SAOG |
464,026 | 127,641 | ||||||
|
|
|
|||||||
| 2,764,172 | ||||||||
|
|
|
|||||||
|
Pakistan — 0.9% |
||||||||
|
D.G. Khan Cement Co. Ltd. |
82,200 | 39,587 | ||||||
|
Engro Corp. Ltd. |
115,057 | 256,756 | ||||||
|
Engro Fertilizers Ltd. |
250,500 | 118,772 | ||||||
|
Fauji Fertilizer Co. Ltd. |
281,087 | 184,149 | ||||||
|
Habib Bank Ltd. |
244,000 | 248,398 | ||||||
|
Hub Power Co. Ltd. (The)* |
756,993 | 456,455 | ||||||
|
Indus Motor Co. Ltd. |
11,280 | 84,670 | ||||||
|
Kot Addu Power Co. Ltd. |
250,500 | 51,089 | ||||||
|
Lucky Cement Ltd. |
76,300 | 211,720 | ||||||
|
MCB Bank Ltd. |
218,547 | 289,914 | ||||||
|
Millat Tractors Ltd. |
38,047 | 173,160 | ||||||
|
Nishat Mills Ltd. |
155,675 | 106,806 | ||||||
|
Oil & Gas Development Co. Ltd. |
296,500 | 273,323 | ||||||
|
Pakistan Oilfields Ltd. |
66,220 | 191,509 | ||||||
|
Pakistan Petroleum Ltd. |
236,780 | 210,797 | ||||||
|
Pakistan State Oil Co. Ltd. |
80,827 | 100,391 | ||||||
|
Searle Co. Ltd. (The) |
51,655 | 63,110 | ||||||
|
SUI Northern Gas Pipeline |
349,700 | 172,360 | ||||||
|
SUI Southern Gas Co. Ltd.* |
505,500 | 70,382 | ||||||
|
TRG Pakistan* |
473,000 | 75,386 | ||||||
|
United Bank Ltd. |
206,800 | 220,251 | ||||||
|
|
|
|||||||
| 3,598,985 | ||||||||
|
|
|
|||||||
|
Panama — 0.3% |
||||||||
|
Banco Latinoamericano de Comercio |
||||||||
|
Exterior SA (Class E Stock) |
17,789 | 380,329 | ||||||
|
Copa Holdings SA (Class A Stock)(a) |
7,506 | 811,248 | ||||||
|
|
|
|||||||
| 1,191,577 | ||||||||
|
|
|
|||||||
|
Peru — 1.4% |
||||||||
|
Alicorp SAA |
88,150 | 244,787 | ||||||
|
Cia de Minas Buenaventura SAA, ADR |
63,600 | 960,360 | ||||||
|
Credicorp Ltd. |
12,005 | 2,558,626 | ||||||
|
Enel Generacion Peru SAA |
143,629 | 99,712 | ||||||
|
Ferreycorp SAA |
435,810 | 288,085 | ||||||
|
InRetail Peru Corp., 144A |
8,800 | 316,800 | ||||||
|
Southern Copper Corp. |
31,150 | 1,323,252 | ||||||
|
Volcan Cia Minera SAA (Class B Stock)* |
608,590 | 81,745 | ||||||
|
|
|
|||||||
| 5,873,367 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A98
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Philippines — 2.9% |
||||||||
|
Aboitiz Equity Ventures, Inc. |
264,720 | $ | 269,181 | |||||
|
Aboitiz Power Corp. |
555,300 | 375,221 | ||||||
|
Alliance Global Group, Inc. |
435,100 | 100,263 | ||||||
|
Altus San Nicolas Corp.*^ |
3,193 | 327 | ||||||
|
Ayala Corp. |
28,470 | 441,659 | ||||||
|
Ayala Land, Inc. |
679,400 | 609,527 | ||||||
|
Bank of the Philippine Islands |
241,116 | 418,756 | ||||||
|
BDO Unibank, Inc. |
228,779 | 713,108 | ||||||
|
Bloomberry Resorts Corp. |
1,756,800 | 391,912 | ||||||
|
Cirtek Holdings Philippines Corp. |
96,000 | 7,730 | ||||||
|
Cosco Capital, Inc. |
795,000 | 107,529 | ||||||
|
D&L Industries, Inc. |
955,600 | 179,659 | ||||||
|
DMCI Holdings, Inc. |
456,000 | 59,549 | ||||||
|
Eagle Cement Corp. |
347,200 | 101,854 | ||||||
|
First Gen Corp. |
517,000 | 246,437 | ||||||
|
Global Ferronickel Holdings, Inc.* |
1,567,000 | 55,468 | ||||||
|
Globe Telecom, Inc. |
8,175 | 325,932 | ||||||
|
GT Capital Holdings, Inc. |
8,218 | 137,376 | ||||||
|
Integrated Micro-Electronics, Inc. |
191,400 | 29,825 | ||||||
|
International Container Terminal Services, Inc. |
94,460 | 239,233 | ||||||
|
JG Summit Holdings, Inc. |
327,690 | 522,231 | ||||||
|
Jollibee Foods Corp. |
160,090 | 683,468 | ||||||
|
Manila Electric Co. |
88,470 | 553,732 | ||||||
|
Manila Water Co., Inc. |
274,100 | 56,142 | ||||||
|
Megaworld Corp. |
1,239,000 | 98,107 | ||||||
|
Metro Pacific Investments Corp. |
1,182,600 | 81,377 | ||||||
|
Metropolitan Bank & Trust Co. |
245,080 | 321,068 | ||||||
|
Nickel Asia Corp. |
1,148,580 | 76,998 | ||||||
|
Petron Corp. |
561,500 | 42,882 | ||||||
|
Pilipinas Shell Petroleum Corp. |
140,570 | 91,243 | ||||||
|
PLDT, Inc. |
26,735 | 521,570 | ||||||
|
Puregold Price Club, Inc. |
410,600 | 322,652 | ||||||
|
Robinsons Land Corp. |
303,028 | 164,574 | ||||||
|
Robinsons Retail Holdings, Inc. |
222,080 | 351,166 | ||||||
|
San Miguel Corp. |
46,970 | 151,987 | ||||||
|
Security Bank Corp. |
32,050 | 123,288 | ||||||
|
Semirara Mining & Power Corp. |
544,800 | 237,115 | ||||||
|
SM Investments Corp. |
52,178 | 1,073,444 | ||||||
|
SM Prime Holdings, Inc. |
1,237,650 | 1,027,560 | ||||||
|
Universal Robina Corp. |
293,160 | 839,240 | ||||||
|
|
|
|||||||
| 12,150,390 | ||||||||
|
|
|
|||||||
|
Poland — 2.8% |
||||||||
|
Alior Bank SA* |
9,300 | 70,371 | ||||||
|
Asseco Poland SA |
28,214 | 473,259 | ||||||
|
Bank Handlowy w Warszawie SA |
4,800 | 65,667 | ||||||
|
Bank Millennium SA* |
61,700 | 95,129 | ||||||
|
Bank Polska Kasa Opieki SA |
17,062 | 451,774 | ||||||
|
Boryszew SA* |
58,224 | 64,898 | ||||||
|
Budimex SA |
5,800 | 263,179 | ||||||
|
CCC SA |
7,968 | 231,515 | ||||||
|
CD Projekt SA |
15,679 | 1,156,835 | ||||||
|
Ciech SA* |
8,108 | 85,180 | ||||||
|
Cyfrowy Polsat SA |
53,621 | 394,861 | ||||||
|
Dino Polska SA, 144A* |
11,500 | 437,303 | ||||||
|
Enea SA* |
64,395 | 134,658 | ||||||
|
Energa SA* |
60,998 | 114,044 | ||||||
|
EPP NV |
153,600 | 188,692 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Poland (continued) |
||||||||
|
Eurocash SA(a) |
37,807 | $ | 217,596 | |||||
|
Globe Trade Centre SA |
47,623 | 121,297 | ||||||
|
Grupa Azoty SA* |
7,579 | 58,632 | ||||||
|
Grupa Kety SA |
900 | 82,284 | ||||||
|
Grupa Lotos SA. |
9,393 | 206,913 | ||||||
|
ING Bank Slaski SA |
3,528 | 188,108 | ||||||
|
Jastrzebska Spolka Weglowa SA |
13,821 | 78,019 | ||||||
|
KGHM Polska Miedz SA* |
45,736 | 1,153,258 | ||||||
|
KRUK SA |
2,636 | 116,558 | ||||||
|
LPP SA |
383 | 889,979 | ||||||
|
mBank SA* |
1,123 | 115,308 | ||||||
|
Orange Polska SA* |
186,934 | 350,663 | ||||||
|
PGE Polska Grupa Energetyczna SA* |
271,000 | 569,359 | ||||||
|
PKP Cargo SA |
12,263 | 66,460 | ||||||
|
Polski Koncern Naftowy ORLEN SA |
32,280 | 730,434 | ||||||
|
Polskie Gornictwo Naftowe i Gazownictwo SA |
187,510 | 214,228 | ||||||
|
Powszechna Kasa Oszczednosci Bank |
||||||||
|
Polski SA |
90,734 | 824,110 | ||||||
|
Powszechny Zaklad Ubezpieczen SA |
79,962 | 844,428 | ||||||
|
Santander Bank Polska SA |
3,678 | 297,964 | ||||||
|
Tauron Polska Energia SA* |
313,590 | 135,624 | ||||||
|
|
|
|||||||
| 11,488,587 | ||||||||
|
|
|
|||||||
|
Qatar — 1.5% |
||||||||
|
Aamal Co. |
376,020 | 84,038 | ||||||
|
Al Meera Consumer Goods Co. QSC |
14,970 | 62,844 | ||||||
|
Barwa Real Estate Co. |
400,100 | 388,297 | ||||||
|
Commercial Bank PSQC (The) |
152,600 | 196,808 | ||||||
|
Doha Bank QPSC |
184,470 | 128,027 | ||||||
|
Gulf International Services QSC* |
151,420 | 71,340 | ||||||
|
Industries Qatar QSC |
230,180 | 649,528 | ||||||
|
Masraf Al Rayan QSC |
276,880 | 300,598 | ||||||
|
Medicare Group |
29,280 | 67,986 | ||||||
|
Ooredoo QPSC |
245,920 | 478,488 | ||||||
|
Qatar Electricity & Water Co. QSC |
96,660 | 427,190 | ||||||
|
Qatar Gas Transport Co. Ltd. |
627,000 | 409,921 | ||||||
|
Qatar Insurance Co. SAQ |
83,120 | 72,136 | ||||||
|
Qatar International Islamic Bank QSC |
43,520 | 115,659 | ||||||
|
Qatar Islamic Bank SAQ |
73,690 | 310,723 | ||||||
|
Qatar National Bank QPSC |
360,610 | 2,038,426 | ||||||
|
Qatar Navigation QSC |
41,530 | 69,423 | ||||||
|
United Development Co. QSC |
440,850 | 184,010 | ||||||
|
Vodafone Qatar QSC |
344,110 | 109,647 | ||||||
|
|
|
|||||||
| 6,165,089 | ||||||||
|
|
|
|||||||
|
Romania — 0.8% |
||||||||
|
Banca Transilvania SA |
1,441,018 | 876,410 | ||||||
|
BRD-Groupe Societe Generale SA |
122,539 | 455,346 | ||||||
|
Digi Communications NV, 144A |
35,110 | 274,327 | ||||||
|
OMV Petrom SA |
6,392,495 | 669,915 | ||||||
|
Societatea Energetica Electrica SA |
172,353 | 430,096 | ||||||
|
Societatea Nationala de Gaze Naturale ROMGAZ SA |
51,613 | 449,253 | ||||||
|
Societatea Nationala Nuclearelectrica SA |
24,700 | 82,609 | ||||||
|
Transelectrica SA |
23,194 | 107,375 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A99
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Romania (continued) |
||||||||
|
Transgaz SA Medias |
1,481 | $ | 124,958 | |||||
|
|
|
|||||||
| 3,470,289 | ||||||||
|
|
|
|||||||
|
Russia — 6.1% |
||||||||
|
Aeroflot PJSC |
209,100 | 348,859 | ||||||
|
Alrosa PJSC |
257,500 | 351,490 | ||||||
|
Evraz PLC |
34,200 | 184,333 | ||||||
|
Federal Grid Co. Unified Energy System PJSC |
35,381,400 | 114,801 | ||||||
|
Gazprom Neft PJSC, ADR |
4,847 | 166,252 | ||||||
|
Gazprom PJSC, ADR |
417,001 | 3,451,518 | ||||||
|
Globaltrans Investment PLC, GDR |
6,834 | 60,616 | ||||||
|
Inter RAO UES PJSC |
5,387,048 | 433,806 | ||||||
|
LSR Group PJSC, GDR |
58,500 | 147,560 | ||||||
|
LUKOIL PJSC, ADR |
26,055 | 2,592,054 | ||||||
|
M.Video PJSC |
16,260 | 136,229 | ||||||
|
Magnit PJSC |
14,224 | 787,183 | ||||||
|
Mail.Ru Group Ltd., GDR* |
17,370 | 389,727 | ||||||
|
MMC Norilsk Nickel PJSC, ADR |
62,414 | 1,911,224 | ||||||
|
Mobile TeleSystems PJSC |
174,423 | 897,954 | ||||||
|
Moscow Exchange MICEX-RTS PJSC |
103,160 | 178,942 | ||||||
|
Mosenergo PJSC |
4,030,000 | 145,173 | ||||||
|
Novatek PJSC |
59,110 | 1,201,507 | ||||||
|
Novolipetsk Steel PJSC, GDR |
13,266 | 307,549 | ||||||
|
PhosAgro PJSC, GDR |
10,581 | 134,864 | ||||||
|
PIK Group PJSC |
21,970 | 141,849 | ||||||
|
Polymetal International PLC |
31,735 | 502,739 | ||||||
|
Polyus PJSC |
2,180 | 248,528 | ||||||
|
Rosneft Oil Co. PJSC, GDR |
81,043 | 587,258 | ||||||
|
Rosseti PJSC |
7,397,630 | 164,618 | ||||||
|
Rostelecom PJSC |
194,573 | 246,299 | ||||||
|
RusHydro PJSC |
35,641,964 | 321,086 | ||||||
|
Sberbank of Russia PJSC, ADR |
198,864 | 3,275,297 | ||||||
|
Severstal PJSC, GDR(a) |
27,297 | 414,224 | ||||||
|
Sistema PJSFC |
1,013,950 | 249,327 | ||||||
|
Surgutneftegas PJSC, ADR |
76,706 | 622,996 | ||||||
|
Tatneft PJSC, ADR |
18,122 | 1,340,855 | ||||||
|
VEON Ltd., ADR |
134,720 | 340,842 | ||||||
|
VTB Bank PJSC |
541,920,000 | 401,737 | ||||||
|
X5 Retail Group NV, GDR |
20,600 | 712,153 | ||||||
|
Yandex NV (Class A Stock)* |
43,100 | 1,874,419 | ||||||
|
|
|
|||||||
| 25,385,868 | ||||||||
|
|
|
|||||||
|
Saudi Arabia — 2.8% |
||||||||
|
Abdullah Al Othaim Markets Co. |
8,735 | 189,873 | ||||||
|
Al Hammadi Co. for Development and Investment* |
28,899 | 162,093 | ||||||
|
Al Rajhi Bank |
27,501 | 479,669 | ||||||
|
Aldrees Petroleum and Transport Services Co. |
8,800 | 146,819 | ||||||
|
Alinma Bank |
20,000 | 135,176 | ||||||
|
Almarai Co. JSC |
54,202 | 715,289 | ||||||
|
Arriyadh Development Co. |
37,552 | 150,157 | ||||||
|
Banque Saudi Fransi |
16,000 | 161,690 | ||||||
|
Dar Al Arkan Real Estate Development Co.* |
174,011 | 510,367 | ||||||
|
Emaar Economic City* |
134,586 | 342,628 | ||||||
|
Etihad Etisalat Co.* |
56,321 | 375,555 | ||||||
|
Fawaz Abdulaziz Al Hokair & Co.* |
17,033 | 116,263 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Saudi Arabia (continued) |
||||||||
|
Jarir Marketing Co. |
15,696 | $ | 692,813 | |||||
|
Leejam Sports Co. JSC |
6,300 | 136,208 | ||||||
|
Mobile Telecommunications Co. Saudi Arabia* |
23,975 | 75,051 | ||||||
|
Mouwasat Medical Services Co. |
16,833 | 394,703 | ||||||
|
National Agriculture Development Co. (The)* |
8,555 | 62,904 | ||||||
|
National Commercial Bank |
28,206 | 370,266 | ||||||
|
National Gas & Industrialization Co. |
10,200 | 83,985 | ||||||
|
National Industrialization Co.* |
26,014 | 94,958 | ||||||
|
Rabigh Refining & Petrochemical Co.* |
31,223 | 180,261 | ||||||
|
Riyad Bank |
29,546 | 189,026 | ||||||
|
Riyad REIT Fund |
29,400 | 68,282 | ||||||
|
Sahara International Petrochemical Co. |
9,350 | 44,774 | ||||||
|
Samba Financial Group |
28,634 | 247,813 | ||||||
|
Saudi Airlines Catering Co. |
11,075 | 303,603 | ||||||
|
Saudi Arabian Amiantit Co.* |
6,353 | 25,968 | ||||||
|
Saudi Arabian Fertilizer Co. |
8,477 | 175,114 | ||||||
|
Saudi Arabian Mining Co.* |
13,900 | 164,380 | ||||||
|
Saudi Basic Industries Corp. |
24,203 | 605,991 | ||||||
|
Saudi Cement Co. |
4,700 | 87,767 | ||||||
|
Saudi Ceramic Co.* |
13,300 | 128,539 | ||||||
|
Saudi Chemical Co. Holding |
16,266 | 104,060 | ||||||
|
Saudi Electricity Co. |
227,495 | 1,225,253 | ||||||
|
Saudi Ground Services Co. |
21,902 | 205,041 | ||||||
|
Saudi Industrial Services Co. |
18,600 | 97,221 | ||||||
|
Saudi Pharmaceutical Industries & Medical Appliances Corp. |
20,997 | 152,386 | ||||||
|
Saudi Public Transport Co.* |
20,000 | 95,889 | ||||||
|
Saudi Real Estate Co.* |
19,464 | 70,744 | ||||||
|
Saudi Telecom Co. |
41,004 | 1,112,997 | ||||||
|
Saudia Dairy & Foodstuff Co. |
2,600 | 99,040 | ||||||
|
Savola Group (The)* |
42,206 | 386,428 | ||||||
|
Seera Group Holding* |
41,727 | 243,861 | ||||||
|
United Electronics Co. |
9,282 | 185,263 | ||||||
|
United International Transportation Co. |
16,274 | 158,332 | ||||||
|
Yanbu National Petrochemical Co. |
7,700 | 114,713 | ||||||
|
|
|
|||||||
| 11,869,213 | ||||||||
|
|
|
|||||||
|
Singapore — 0.0% |
||||||||
|
Grindrod Shipping Holdings Ltd.* |
5,195 | 35,790 | ||||||
|
Silverlake Axis Ltd. |
423,500 | 129,240 | ||||||
|
|
|
|||||||
| 165,030 | ||||||||
|
|
|
|||||||
|
Slovenia — 0.7% |
||||||||
|
Cinkarna Celje dd |
1,378 | 290,190 | ||||||
|
Krka dd Novo mesto |
12,435 | 1,020,608 | ||||||
|
Luka Koper |
11,451 | 289,776 | ||||||
|
Petrol DD Ljubljana |
1,351 | 567,362 | ||||||
|
Pozavarovalnica Sava dd |
10,483 | 211,683 | ||||||
|
Telekom Slovenije DD |
4,151 | 252,908 | ||||||
|
Zavarovalnica Triglav DD |
5,577 | 208,285 | ||||||
|
|
|
|||||||
| 2,840,812 | ||||||||
|
|
|
|||||||
|
South Africa — 5.6% |
||||||||
|
Absa Group Ltd. |
15,262 | 162,845 | ||||||
|
AECI Ltd. |
13,700 | 104,353 | ||||||
|
African Rainbow Minerals Ltd. |
17,200 | 200,976 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A100
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
South Africa (continued) |
||||||||
|
Anglo American Platinum Ltd. |
6,154 | $ | 574,611 | |||||
|
AngloGold Ashanti Ltd., ADR |
37,800 | 844,452 | ||||||
|
Aspen Pharmacare Holdings Ltd.* |
98,860 | 842,395 | ||||||
|
AVI Ltd. |
45,600 | 289,533 | ||||||
|
Barloworld Ltd. |
68,800 | 553,449 | ||||||
|
Bid Corp. Ltd. |
38,861 | 914,912 | ||||||
|
Bidvest Group Ltd. (The) |
65,979 | 965,114 | ||||||
|
Brait SE*(a) |
14,142 | 14,056 | ||||||
|
Clicks Group Ltd. |
37,800 | 693,358 | ||||||
|
DataTec Ltd. |
112,800 | 265,633 | ||||||
|
Discovery Ltd. |
14,745 | 126,966 | ||||||
|
EOH Holdings Ltd.* |
26,200 | 23,449 | ||||||
|
Exxaro Resources Ltd. |
24,500 | 230,027 | ||||||
|
FirstRand Ltd. |
127,860 | 573,413 | ||||||
|
Fortress REIT Ltd. (Class A Stock) |
131,552 | 180,226 | ||||||
|
Fortress REIT Ltd. (Class B Stock) |
90,474 | 51,770 | ||||||
|
Foschini Group Ltd. (The) |
37,038 | 396,126 | ||||||
|
Gold Fields Ltd. |
74,934 | 511,806 | ||||||
|
Grindrod Ltd. |
207,800 | 74,539 | ||||||
|
Growthpoint Properties Ltd., REIT |
430,848 | 681,132 | ||||||
|
Harmony Gold Mining Co. Ltd.* |
69,708 | 253,490 | ||||||
|
Hyprop Investments Ltd., REIT |
41,347 | 165,537 | ||||||
|
Impala Platinum Holdings Ltd.* |
95,938 | 983,719 | ||||||
|
Investec Ltd. |
15,300 | 90,809 | ||||||
|
Liberty Holdings Ltd. |
12,500 | 98,582 | ||||||
|
Life Healthcare Group Holdings Ltd. |
282,644 | 497,510 | ||||||
|
Massmart Holdings Ltd. |
23,546 | 86,599 | ||||||
|
Momentum Metropolitan Holdings |
59,241 | 92,509 | ||||||
|
Motus Holdings Ltd. |
25,800 | 150,618 | ||||||
|
Mr. Price Group Ltd. |
39,518 | 515,742 | ||||||
|
MTN Group Ltd. |
149,238 | 877,712 | ||||||
|
MultiChoice Group* |
12,238 | 101,720 | ||||||
|
Murray & Roberts Holdings Ltd. |
248,925 | 189,427 | ||||||
|
Nampak Ltd.* |
75,700 | 37,165 | ||||||
|
Naspers Ltd. (Class N Stock) |
12,238 | 2,003,611 | ||||||
|
Nedbank Group Ltd. |
9,385 | 143,556 | ||||||
|
Netcare Ltd. |
277,420 | 385,372 | ||||||
|
Northam Platinum Ltd.* |
50,800 | 449,210 | ||||||
|
Oceana Group Ltd. |
7,241 | 31,627 | ||||||
|
Pepkor Holdings Ltd., 144A |
100,600 | 129,768 | ||||||
|
Pick’n Pay Stores Ltd. |
54,634 | 249,309 | ||||||
|
Pioneer Foods Group Ltd. |
22,700 | 177,735 | ||||||
|
PPC Ltd.* |
194,666 | 34,750 | ||||||
|
Rand Merchant Investment Holdings Ltd. |
41,103 | 90,479 | ||||||
|
Redefine Properties Ltd., REIT |
916,618 | 494,937 | ||||||
|
Remgro Ltd. |
19,839 | 276,435 | ||||||
|
Resilient REIT Ltd. |
69,118 | 336,077 | ||||||
|
Reunert Ltd. |
52,952 | 274,263 | ||||||
|
RMB Holdings Ltd. |
24,619 | 141,529 | ||||||
|
Sanlam Ltd. |
57,800 | 326,898 | ||||||
|
Sappi Ltd. |
48,920 | 152,977 | ||||||
|
Sasol Ltd. |
38,953 | 844,681 | ||||||
|
Shoprite Holdings Ltd. |
51,218 | 461,452 | ||||||
|
Sibanye Gold Ltd.* |
75,179 | 192,107 | ||||||
|
SPAR Group Ltd. (The) |
25,400 | 358,215 | ||||||
|
Standard Bank Group Ltd. |
46,358 | 556,904 | ||||||
|
Steinhoff International Holdings NV*(a) |
103,885 | 6,329 | ||||||
|
Telkom SA SOC Ltd. |
55,943 | 138,958 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
South Africa (continued) |
||||||||
|
Tiger Brands Ltd. |
27,991 | $ | 421,516 | |||||
|
Trencor Ltd.* |
42,028 | 27,385 | ||||||
|
Truworths International Ltd. |
70,322 | 246,981 | ||||||
|
Vodacom Group Ltd. |
49,383 | 406,878 | ||||||
|
Wilson Bayly Holmes-Ovcon Ltd. |
18,343 | 180,940 | ||||||
|
Woolworths Holdings Ltd. |
162,016 | 562,436 | ||||||
|
|
|
|||||||
| 23,519,595 | ||||||||
|
|
|
|||||||
|
South Korea — 5.9% |
||||||||
|
Amorepacific Corp. |
2,129 | 367,078 | ||||||
|
AMOREPACIFIC Group |
2,838 | 202,216 | ||||||
|
BGF retail Co. Ltd. |
1,096 | 160,235 | ||||||
|
Celltrion Healthcare Co. Ltd.* |
3,150 | 143,590 | ||||||
|
Celltrion, Inc.* |
4,577 | 713,039 | ||||||
|
Chong Kun Dang Pharmaceutical Corp. |
1,462 | 122,273 | ||||||
|
CJ CheilJedang Corp.* |
916 | 199,716 | ||||||
|
CJ Corp. |
790 | 65,842 | ||||||
|
DB Insurance Co. Ltd. |
2,410 | 108,549 | ||||||
|
E-MART, Inc. |
1,797 | 197,475 | ||||||
|
Green Cross Corp. |
683 | 78,083 | ||||||
|
Green Cross Holdings Corp. |
4,475 | 85,891 | ||||||
|
GS Engineering & Construction Corp. |
4,781 | 127,890 | ||||||
|
GS Holdings Corp. |
6,470 | 287,897 | ||||||
|
Hana Financial Group, Inc. |
8,671 | 275,920 | ||||||
|
Hankook Tire & Technology Co. Ltd. |
2,943 | 85,040 | ||||||
|
Hanmi Pharm Co. Ltd. |
681 | 174,162 | ||||||
|
Hanmi Science Co. Ltd. |
3,744 | 123,777 | ||||||
|
Hanssem Co. Ltd. |
673 | 36,076 | ||||||
|
Hanwha Aerospace Co. Ltd.* |
3,179 | 96,209 | ||||||
|
Hanwha Chemical Corp.* |
8,589 | 139,167 | ||||||
|
Hanwha Corp. |
3,690 | 79,470 | ||||||
|
Helixmith Co. Ltd.* |
1,700 | 135,600 | ||||||
|
Hotel Shilla Co. Ltd. |
1,650 | 129,203 | ||||||
|
Hugel, Inc.* |
334 | 114,768 | ||||||
|
Hyundai Department Store Co. Ltd. |
1,670 | 119,585 | ||||||
|
Hyundai Engineering & Construction Co. Ltd. |
3,134 | 114,032 | ||||||
|
Hyundai Glovis Co. Ltd. |
960 | 118,407 | ||||||
|
Hyundai Heavy Industries Holdings Co. Ltd. |
584 | 170,021 | ||||||
|
Hyundai Marine & Fire Insurance Co. Ltd. |
2,621 | 60,893 | ||||||
|
Hyundai Mobis Co. Ltd. |
2,291 | 506,300 | ||||||
|
Hyundai Motor Co. |
5,803 | 602,464 | ||||||
|
Hyundai Steel Co. |
5,350 | 145,010 | ||||||
|
Industrial Bank of Korea |
13,993 | 142,359 | ||||||
|
iNtRON Biotechnology, Inc.* |
7,064 | 94,297 | ||||||
|
Kakao Corp. |
3,209 | 425,757 | ||||||
|
Kangwon Land, Inc. |
6,598 | 168,479 | ||||||
|
KB Financial Group, Inc. |
13,391 | 549,344 | ||||||
|
Kia Motors Corp. |
9,732 | 371,697 | ||||||
|
Korea Aerospace Industries Ltd. |
5,344 | 156,964 | ||||||
|
Korea Electric Power Corp.* |
30,940 | 743,295 | ||||||
|
Korea Gas Corp. |
3,050 | 99,890 | ||||||
|
Korea Investment Holdings Co. Ltd. |
1,595 | 99,446 | ||||||
|
Korea Real Estate Investment & Trust Co. Ltd. |
25,746 | 46,695 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A101
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
South Korea (continued) |
||||||||
|
Korea Shipbuilding & Offshore Engineering Co. Ltd.* |
1,935 | $ | 210,809 | |||||
|
Korea Zinc Co. Ltd. |
696 | 255,303 | ||||||
|
Korean Air Lines Co. Ltd. |
4,147 | 102,004 | ||||||
|
KT Corp. |
13,418 | 312,775 | ||||||
|
KT&G Corp. |
7,813 | 632,692 | ||||||
|
LG Chem Ltd. |
2,098 | 575,568 | ||||||
|
LG Corp. |
4,526 | 288,389 | ||||||
|
LG Display Co. Ltd. |
3,794 | 53,186 | ||||||
|
LG Electronics, Inc. |
3,943 | 244,967 | ||||||
|
LG Household & Health Care Ltd. |
585 | 636,313 | ||||||
|
LG Uplus Corp. |
21,400 | 262,413 | ||||||
|
Lotte Chemical Corp. |
992 | 191,604 | ||||||
|
Lotte Corp. |
3,083 | 103,460 | ||||||
|
LOTTE Fine Chemical Co. Ltd. |
1,838 | 71,488 | ||||||
|
Lotte Shopping Co. Ltd. |
939 | 109,670 | ||||||
|
LS Corp. |
2,520 | 103,865 | ||||||
|
Medy-Tox, Inc. |
385 | 99,887 | ||||||
|
NAVER Corp. |
7,468 | 1,202,077 | ||||||
|
NCSoft Corp. |
903 | 421,951 | ||||||
|
Netmarble Corp., 144A* |
2,465 | 196,424 | ||||||
|
OCI Co. Ltd. |
2,070 | 111,701 | ||||||
|
Orion Corp. |
2,394 | 217,878 | ||||||
|
Ottogi Corp. |
221 | 105,770 | ||||||
|
POSCO |
3,546 | 720,561 | ||||||
|
Posco International Corp. |
6,180 | 99,486 | ||||||
|
Samsung Biologics Co. Ltd., 144A* |
1,072 | 399,662 | ||||||
|
Samsung C&T Corp. |
3,363 | 314,286 | ||||||
|
Samsung Card Co. Ltd. |
2,600 | 86,577 | ||||||
|
Samsung Electro-Mechanics Co. Ltd. |
650 | 70,046 | ||||||
|
Samsung Electronics Co. Ltd. |
53,980 | 2,597,988 | ||||||
|
Samsung Engineering Co. Ltd.* |
10,999 | 182,106 | ||||||
|
Samsung Fire & Marine Insurance Co. Ltd. |
1,135 | 237,884 | ||||||
|
Samsung Heavy Industries Co. Ltd.* |
21,320 | 133,468 | ||||||
|
Samsung Life Insurance Co. Ltd. |
3,195 | 205,010 | ||||||
|
Samsung SDI Co. Ltd.* |
700 | 142,368 | ||||||
|
Samsung SDS Co. Ltd. |
530 | 88,824 | ||||||
|
Samsung Securities Co. Ltd. |
3,344 | 111,133 | ||||||
|
Shinhan Financial Group Co. Ltd. |
15,593 | 583,586 | ||||||
|
Shinsegae, Inc. |
401 | 100,037 | ||||||
|
SillaJen, Inc.* |
4,954 | 62,049 | ||||||
|
SK Chemicals Co. Ltd. |
2,176 | 120,456 | ||||||
|
SK Holdings Co. Ltd. |
1,248 | 281,461 | ||||||
|
SK Hynix, Inc. |
6,138 | 495,330 | ||||||
|
SK Innovation Co. Ltd. |
7,210 | 935,243 | ||||||
|
SK Telecom Co. Ltd. |
1,910 | 391,969 | ||||||
|
S-Oil Corp. |
4,931 | 405,681 | ||||||
|
Woongjin Coway Co. Ltd. |
2,686 | 216,031 | ||||||
|
Woori Financial Group, Inc. |
18,717 | 187,207 | ||||||
|
Yuhan Corp. |
805 | 164,271 | ||||||
|
|
|
|||||||
| 24,827,015 | ||||||||
|
|
|
|||||||
|
Spain — 0.1% |
||||||||
|
AmRest Holdings SE* |
24,280 | 277,146 | ||||||
|
|
|
|||||||
|
Sri Lanka — 0.8% |
||||||||
|
Access Engineering PLC |
433,567 | 52,225 | ||||||
|
Aitken Spence PLC |
130,112 | 33,403 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Sri Lanka (continued) |
||||||||
|
Ceylon Tobacco Co. PLC |
39,116 | $ | 237,831 | |||||
|
Chevron Lubricants Lanka PLC |
161,664 | 66,924 | ||||||
|
Commercial Bank of Ceylon PLC |
714,667 | 375,521 | ||||||
|
DFCC Bank PLC |
136,728 | 69,615 | ||||||
|
Dialog Axiata PLC |
3,197,503 | 217,086 | ||||||
|
Hatton National Bank PLC |
315,443 | 300,180 | ||||||
|
Hemas Holdings PLC |
328,297 | 144,895 | ||||||
|
John Keells Holdings PLC |
862,634 | 798,444 | ||||||
|
Lanka IOC PLC |
359,478 | 37,796 | ||||||
|
Lion Brewery Ceylon PLC |
32,908 | 109,273 | ||||||
|
LOLC Holdings PLC* |
43,605 | 42,713 | ||||||
|
Melstacorp PLC |
769,436 | 185,383 | ||||||
|
National Development Bank PLC |
152,804 | 84,407 | ||||||
|
Nestle Lanka PLC |
11,767 | 84,488 | ||||||
|
People’s Leasing & Finance PLC |
661,120 | 65,322 | ||||||
|
Sampath Bank PLC |
247,070 | 221,676 | ||||||
|
Teejay Lanka PLC |
468,591 | 105,393 | ||||||
|
|
|
|||||||
| 3,232,575 | ||||||||
|
|
|
|||||||
|
Switzerland — 0.1% |
||||||||
|
Mediclinic International PLC |
58,567 | 322,854 | ||||||
|
|
|
|||||||
|
Taiwan — 5.8% |
||||||||
|
Advantech Co. Ltd. |
8,599 | 86,800 | ||||||
|
Airtac International Group |
18,251 | 285,292 | ||||||
|
ASE Technology Holding Co. Ltd. |
58,814 | 163,327 | ||||||
|
Asia Cement Corp. |
69,829 | 111,795 | ||||||
|
Asia Pacific Telecom Co. Ltd.* |
394,000 | 99,232 | ||||||
|
Asustek Computer, Inc. |
15,037 | 116,100 | ||||||
|
Bizlink Holding, Inc. |
34,268 | 258,772 | ||||||
|
Catcher Technology Co. Ltd. |
9,780 | 74,348 | ||||||
|
Cathay Financial Holding Co. Ltd. |
212,611 | 302,017 | ||||||
|
Center Laboratories, Inc. |
44,847 | 90,047 | ||||||
|
Chailease Holding Co. Ltd. |
28,840 | 132,897 | ||||||
|
Chang Hwa Commercial Bank Ltd. |
136,013 | 102,920 | ||||||
|
Cheng Shin Rubber Industry Co. Ltd. |
191,424 | 267,139 | ||||||
|
Chicony Electronics Co. Ltd. |
47,571 | 141,442 | ||||||
|
China Airlines Ltd. |
396,590 | 119,982 | ||||||
|
China Development Financial Holding Corp. |
455,005 | 147,784 | ||||||
|
China Life Insurance Co. Ltd.* |
80,773 | 69,024 | ||||||
|
China Steel Corp. |
451,084 | 359,373 | ||||||
|
Chong Hong Construction Co. Ltd. |
32,000 | 86,859 | ||||||
|
Chunghwa Telecom Co. Ltd. |
412,268 | 1,512,643 | ||||||
|
Compal Electronics, Inc. |
173,822 | 109,412 | ||||||
|
CTBC Financial Holding Co. Ltd. |
473,587 | 354,136 | ||||||
|
CTCI Corp. |
61,000 | 77,542 | ||||||
|
Delta Electronics, Inc. |
33,800 | 171,137 | ||||||
|
E.Sun Financial Holding Co. Ltd. |
283,781 | 264,433 | ||||||
|
Eclat Textile Co. Ltd. |
15,500 | 208,588 | ||||||
|
Eva Airways Corp. |
397,691 | 182,546 | ||||||
|
Far Eastern Department Stores Ltd. |
182,405 | 158,661 | ||||||
|
Far Eastern New Century Corp. |
304,537 | 303,656 | ||||||
|
Far EasTone Telecommunications Co. Ltd. |
169,000 | 406,435 | ||||||
|
Farglory Land Development Co. Ltd. |
54,000 | 72,650 | ||||||
|
Feng TAY Enterprise Co. Ltd. |
35,332 | 229,949 | ||||||
|
First Financial Holding Co. Ltd. |
247,885 | 195,958 | ||||||
|
Formosa Chemicals & Fibre Corp. |
135,064 | 394,460 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A102
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Taiwan (continued) |
||||||||
|
Formosa Petrochemical Corp. |
207,670 | $ | 675,389 | |||||
|
Formosa Plastics Corp. |
157,142 | 522,937 | ||||||
|
Fubon Financial Holding Co. Ltd. |
178,002 | 275,699 | ||||||
|
Giant Manufacturing Co. Ltd. |
36,661 | 260,676 | ||||||
|
Ginko International Co. Ltd. |
16,000 | 113,460 | ||||||
|
Great Wall Enterprise Co. Ltd. |
118,405 | 172,692 | ||||||
|
Highwealth Construction Corp. |
189,000 | 292,120 | ||||||
|
Hiwin Technologies Corp. |
44,149 | 415,268 | ||||||
|
Hon Hai Precision Industry Co. Ltd. |
119,176 | 362,521 | ||||||
|
Hota Industrial Manufacturing Co. Ltd. |
28,723 | 110,365 | ||||||
|
Hotai Motor Co. Ltd. |
25,000 | 570,427 | ||||||
|
Hua Nan Financial Holdings Co. Ltd. |
146,664 | 107,644 | ||||||
|
Huaku Development Co. Ltd. |
53,000 | 163,885 | ||||||
|
Hung Sheng Construction Ltd.* |
72,000 | 62,135 | ||||||
|
Innolux Corp. |
262,200 | 73,023 | ||||||
|
Inventec Corp. |
156,000 | 119,057 | ||||||
|
Kenda Rubber Industrial Co. Ltd. |
126,162 | 128,799 | ||||||
|
Kerry TJ Logistics Co. Ltd. |
140,000 | 183,207 | ||||||
|
King Slide Works Co. Ltd. |
13,000 | 157,499 | ||||||
|
Largan Precision Co. Ltd. |
1,000 | 167,457 | ||||||
|
Lite-On Technology Corp. |
36,941 | 60,757 | ||||||
|
Lotus Pharmaceutical Co. Ltd.* |
30,000 | 115,501 | ||||||
|
MediaTek, Inc. |
18,460 | 273,930 | ||||||
|
Mega Financial Holding Co. Ltd. |
263,684 | 269,376 | ||||||
|
Microbio Co. Ltd.* |
86,319 | 40,943 | ||||||
|
Nan Kang Rubber Tire Co. Ltd. |
158,776 | 256,190 | ||||||
|
Nan Ya Plastics Corp. |
214,893 | 521,800 | ||||||
|
Novatek Microelectronics Corp. |
14,246 | 104,289 | ||||||
|
OBI Pharma, Inc.* |
19,000 | 83,850 | ||||||
|
PharmaEngine, Inc. |
33,116 | 75,942 | ||||||
|
PharmaEssentia Corp.* |
35,000 | 128,210 | ||||||
|
Pharmally International Holding Co. Ltd. |
17,948 | 130,312 | ||||||
|
Pou Chen Corp. |
271,547 | 355,334 | ||||||
|
President Chain Store Corp. |
62,648 | 635,628 | ||||||
|
Quanta Computer, Inc. |
58,319 | 125,274 | ||||||
|
Ruentex Development Co. Ltd.* |
136,798 | 206,588 | ||||||
|
Ruentex Industries Ltd.* |
58,476 | 143,539 | ||||||
|
ScinoPharm Taiwan Ltd. |
87,000 | 77,321 | ||||||
|
Shin Kong Financial Holding Co. Ltd.* |
352,143 | 121,893 | ||||||
|
SinoPac Financial Holdings Co. Ltd. |
213,230 | 92,495 | ||||||
|
Solar Applied Materials Technology Co.* |
100,297 | 75,283 | ||||||
|
St. Shine Optical Co. Ltd. |
10,000 | 151,958 | ||||||
|
Standard Foods Corp. |
93,303 | 216,837 | ||||||
|
Synnex Technology International Corp. |
83,883 | 105,002 | ||||||
|
TaiDoc Technology Corp. |
12,000 | 52,320 | ||||||
|
TaiMed Biologics, Inc.* |
27,000 | 89,610 | ||||||
|
Tainan Spinning Co. Ltd. |
279,052 | 97,814 | ||||||
|
Taishin Financial Holding Co. Ltd. |
242,695 | 117,502 | ||||||
|
Taiwan Cement Corp. |
153,044 | 223,438 | ||||||
|
Taiwan Cooperative Financial Holding Co. Ltd. |
217,323 | 150,368 | ||||||
|
Taiwan Fertilizer Co. Ltd. |
79,000 | 130,718 | ||||||
|
Taiwan Glass Industry Corp. |
334,319 | 127,231 | ||||||
|
Taiwan High Speed Rail Corp. |
225,000 | 288,511 | ||||||
|
Taiwan Mobile Co. Ltd. |
182,200 | 680,511 | ||||||
|
Taiwan Semiconductor Manufacturing Co. Ltd. |
183,814 | 2,040,678 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Taiwan (continued) |
||||||||
|
Tatung Co. Ltd.* |
135,000 | $ | 94,654 | |||||
|
TCI Co. Ltd. |
14,936 | 142,418 | ||||||
|
Teco Electric and Machinery Co. Ltd. |
270,000 | 236,089 | ||||||
|
Transcend Information, Inc. |
37,719 | 98,158 | ||||||
|
Tripod Technology Corp. |
24,278 | 102,047 | ||||||
|
TSRC Corp. |
118,629 | 95,459 | ||||||
|
TTY Biopharm Co. Ltd. |
36,713 | 101,111 | ||||||
|
Tung Ho Steel Enterprise Corp. |
127,381 | 97,770 | ||||||
|
Tung Thih Electronic Co. Ltd.* |
15,000 | 36,336 | ||||||
|
Uni-President Enterprises Corp. |
557,728 | 1,380,224 | ||||||
|
United Microelectronics Corp. |
172,280 | 94,673 | ||||||
|
Walsin Lihwa Corp. |
201,000 | 103,361 | ||||||
|
Wistron Corp. |
113,031 | 107,105 | ||||||
|
Yang Ming Marine Transport Corp.* |
263,691 | 63,475 | ||||||
|
Yuanta Financial Holding Co. Ltd. |
350,090 | 235,856 | ||||||
|
Yulon Motor Co. Ltd. |
118,053 | 77,071 | ||||||
|
|
|
|||||||
| 24,024,376 | ||||||||
|
|
|
|||||||
|
Thailand — 2.9% |
||||||||
|
Advanced Info Service PCL |
79,100 | 562,515 | ||||||
|
Airports of Thailand PCL |
252,100 | 622,989 | ||||||
|
Bangkok Bank PCL |
26,800 | 143,097 | ||||||
|
Bangkok Chain Hospital PCL |
260,800 | 148,866 | ||||||
|
Bangkok Dusit Medical Services PCL |
697,500 | 605,033 | ||||||
|
Bangkok Expressway & Metro PCL |
554,415 | 201,400 | ||||||
|
Bangkok Land PCL |
2,761,400 | 121,990 | ||||||
|
Banpu PCL |
132,500 | 52,639 | ||||||
|
BEC World PCL* |
175,600 | 34,638 | ||||||
|
BTS Group Holdings PCL |
570,200 | 251,141 | ||||||
|
Bumrungrad Hospital PCL |
60,300 | 295,600 | ||||||
|
Central Pattana PCL |
189,700 | 391,861 | ||||||
|
Central Plaza Hotel PCL |
109,000 | 91,339 | ||||||
|
Charoen Pokphand Foods PCL |
220,800 | 202,315 | ||||||
|
CP ALL PCL |
209,400 | 505,073 | ||||||
|
CPN Retail Growth Leasehold REIT |
205,100 | 224,004 | ||||||
|
Electricity Generating PCL |
31,600 | 345,324 | ||||||
|
Energy Absolute PCL |
134,100 | 195,190 | ||||||
|
Gulf Energy Development PCL |
44,900 | 248,139 | ||||||
|
Hana Microelectronics PCL |
343,100 | 394,718 | ||||||
|
Home Product Center PCL |
546,582 | 291,332 | ||||||
|
Indorama Ventures PCL |
191,288 | 222,534 | ||||||
|
Intouch Holdings PCL |
108,500 | 207,154 | ||||||
|
IRPC PCL |
1,059,800 | 129,471 | ||||||
|
Italian-Thai Development PCL |
491,663 | 24,456 | ||||||
|
Kasikornbank PCL |
60,900 | 306,337 | ||||||
|
KCE Electronics PCL |
359,800 | 292,823 | ||||||
|
Krung Thai Bank PCL |
165,200 | 90,338 | ||||||
|
Land & Houses PCL |
473,400 | 154,654 | ||||||
|
Minor International PCL |
261,600 | 313,651 | ||||||
|
MK Restaurants Group PCL |
59,100 | 139,031 | ||||||
|
Polyplex Thailand PCL |
133,400 | 64,519 | ||||||
|
Precious Shipping PCL* |
149,950 | 37,978 | ||||||
|
Pruksa Holding PCL |
203,800 | 100,707 | ||||||
|
PTT Exploration & Production PCL |
75,229 | 311,775 | ||||||
|
PTT Global Chemical PCL |
226,458 | 430,349 | ||||||
|
PTT PCL |
436,000 | 639,929 | ||||||
|
Ratch Group PCL |
114,800 | 263,184 | ||||||
|
Robinson PCL |
87,700 | 193,143 | ||||||
|
Siam Cement PCL (The) |
32,400 | 423,563 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A103
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Thailand (continued) |
||||||||
|
Siam Commercial Bank PCL (The) |
90,500 | $ | 368,497 | |||||
|
Siam Global House PCL |
256,582 | 138,426 | ||||||
|
Supalai PCL |
243,200 | 145,379 | ||||||
|
Super Energy Corp. PCL |
4,845,000 | 90,650 | ||||||
|
SVI PCL |
688,500 | 82,741 | ||||||
|
Thai Beverage PCL |
571,600 | 377,763 | ||||||
|
Thai Union Group PCL |
235,280 | 105,771 | ||||||
|
Thanachart Capital PCL |
56,900 | 101,628 | ||||||
|
TMB Bank PCL |
2,379,000 | 134,011 | ||||||
|
Total Access Communication PCL |
65,100 | 115,698 | ||||||
|
True Corp. PCL |
1,379,617 | 211,755 | ||||||
|
Vibhavadi Medical Center PCL(a) |
1,518,900 | 90,928 | ||||||
|
|
|
|||||||
| 12,238,046 | ||||||||
|
|
|
|||||||
|
Togo — 0.0% |
||||||||
|
Ecobank Transnational, Inc.* |
1,757,729 | 31,498 | ||||||
|
|
|
|||||||
|
Tunisia — 0.3% |
||||||||
|
Accumulateur Tunisienne Assad |
16,114 | 41,794 | ||||||
|
ADWYA SA |
18,729 | 17,168 | ||||||
|
Banque de l’Habitat |
13,850 | 59,484 | ||||||
|
Banque de Tunisie |
55,282 | 155,333 | ||||||
|
Banque Internationale Arabe de Tunisie |
3,704 | 152,319 | ||||||
|
Banque Nationale Agricole* |
18,280 | 78,137 | ||||||
|
Carthage Cement* |
78,843 | 33,774 | ||||||
|
City Cars |
14,672 | 38,742 | ||||||
|
Ennakl Automobiles |
17,341 | 74,953 | ||||||
|
Euro Cycles SA |
4,605 | 31,322 | ||||||
|
One Tech Holding |
14,019 | 68,220 | ||||||
|
Poulina Group |
33,363 | 157,206 | ||||||
|
Societe D’Articles Hygieniques SA* |
29,358 | 124,374 | ||||||
|
Societe Frigorifique et Brasserie de Tunis SA |
21,422 | 146,894 | ||||||
|
Societe Tunisienne de Verreries |
17,078 | 51,368 | ||||||
|
|
|
|||||||
| 1,231,088 | ||||||||
|
|
|
|||||||
|
Turkey — 1.4% |
||||||||
|
Akbank T.A.S.* |
134,488 | 183,772 | ||||||
|
Anadolu Efes Biracilik Ve Malt Sanayii A/S |
17,296 | 67,209 | ||||||
|
Arcelik A/S* |
56,994 | 200,001 | ||||||
|
Aselsan Elektronik Sanayi Ve Ticaret A/S |
27,079 | 95,562 | ||||||
|
Aygaz A/S |
31,849 | 68,850 | ||||||
|
BIM Birlesik Magazalar A/S |
53,880 | 423,046 | ||||||
|
Coca-Cola Icecek A/S |
15,939 | 103,868 | ||||||
|
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S, REIT |
1,114,814 | 274,416 | ||||||
|
Enerjisa Enerji A/S, 144A |
142,800 | 177,564 | ||||||
|
Enka Insaat ve Sanayi A/S |
137,787 | 148,875 | ||||||
|
Eregli Demir ve Celik Fabrikalari TAS |
236,200 | 359,327 | ||||||
|
Ford Otomotiv Sanayi A/S |
16,838 | 200,897 | ||||||
|
Haci Omer Sabanci Holding A/S |
83,800 | 134,636 | ||||||
|
Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim A/S* |
88,400 | 115,022 | ||||||
|
Is Gayrimenkul Yatirim Ortakligi A/S, REIT* |
1 | — | ||||||
|
Kardemir Karabuk Demir Celik Sanayi ve Ticaret A/S (Class D Stock) |
275,218 | 123,247 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Turkey (continued) |
||||||||
|
KOC Holding A/S |
76,889 | $ | 263,073 | |||||
|
Koza Anadolu Metal Madencilik |
||||||||
|
Isletmeleri A/S* |
41,000 | 69,297 | ||||||
|
Logo Yazilim Sanayi Ve Ticaret A/S* |
7,100 | 72,720 | ||||||
|
Mavi Giyim Sanayi Ve Ticaret A/S (Class B Stock), 144A* |
17,572 | 171,235 | ||||||
|
MLP Saglik Hizmetleri A/S, 144A* |
63,688 | 171,600 | ||||||
|
Petkim Petrokimya Holding A/S*(a) |
193,371 | 124,115 | ||||||
|
Soda Sanayii A/S |
68,986 | 71,803 | ||||||
|
TAV Havalimanlari Holding A/S |
14,762 | 72,559 | ||||||
|
Tofas Turk Otomobil Fabrikasi A/S |
36,181 | 163,560 | ||||||
|
Trakya Cam Sanayii A/S |
1 | 1 | ||||||
|
Tupras Turkiye Petrol Rafinerileri A/S |
30,429 | 649,887 | ||||||
|
Turk Hava Yollari AO* |
52,701 | 128,387 | ||||||
|
Turk Telekomunikasyon A/S* |
108,231 | 134,309 | ||||||
|
Turkcell Iletisim Hizmetleri A/S |
232,838 | 541,127 | ||||||
|
Turkiye Garanti Bankasi A/S* |
111,845 | 209,909 | ||||||
|
Turkiye Is Bankasi A/S (Class C Stock)* |
86,772 | 93,653 | ||||||
|
Turkiye Sinai Kalkinma Bankasi A/S* |
1 | — | ||||||
|
Turkiye Sise ve Cam Fabrikalari A/S |
1 | 1 | ||||||
|
Turkiye Vakiflar Bankasi TAO (Class D Stock)* |
86,098 | 79,951 | ||||||
|
Ulker Biskuvi Sanayi A/S* |
21,224 | 79,957 | ||||||
|
Yapi ve Kredi Bankasi A/S* |
1 | — | ||||||
|
|
|
|||||||
| 5,773,436 | ||||||||
|
|
|
|||||||
|
United Arab Emirates — 1.5% |
||||||||
|
Abu Dhabi Commercial Bank PJSC |
193,517 | 417,052 | ||||||
|
Agthia Group PJSC |
49,606 | 48,544 | ||||||
|
Air Arabia PJSC* |
801,817 | 350,541 | ||||||
|
Aldar Properties PJSC |
639,754 | 376,232 | ||||||
|
Arabtec Holding PJSC |
216,379 | 76,025 | ||||||
|
DAMAC Properties Dubai Co. PJSC* |
403,605 | 81,687 | ||||||
|
Dana Gas PJSC |
1,075,562 | 280,800 | ||||||
|
DP World PLC |
50,991 | 667,685 | ||||||
|
Dubai Financial Market PJSC* |
451,700 | 119,268 | ||||||
|
Dubai Investments PJSC |
457,400 | 161,945 | ||||||
|
Dubai Islamic Bank PJSC |
138,450 | 207,672 | ||||||
|
Emaar Malls PJSC |
334,999 | 166,855 | ||||||
|
Emaar Properties PJSC |
568,945 | 622,968 | ||||||
|
Emirates Telecommunications Group Co. PJSC |
291,957 | 1,300,131 | ||||||
|
First Abu Dhabi Bank PJSC |
267,609 | 1,104,497 | ||||||
|
Taqa Morocco SA |
929 | 90,293 | ||||||
|
|
|
|||||||
| 6,072,195 | ||||||||
|
|
|
|||||||
|
United States — 0.2% |
||||||||
|
JBS SA |
27,767 | 178,087 | ||||||
|
Titan Cement International SA* |
23,876 | 506,893 | ||||||
|
|
|
|||||||
| 684,980 | ||||||||
|
|
|
|||||||
|
TOTAL COMMON STOCKS
|
398,155,913 | |||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A104
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| PARTICIPATORY NOTES† — 2.1% | Units | Value | ||||||
|
Egypt — 0.6% |
||||||||
|
Commercial International Bank Egypt SAE, expiring 11/09/20 |
152,541 | $ | 789,031 | |||||
|
Eastern Co. SAE, expiring 11/09/20 |
244,771 | 237,603 | ||||||
|
Egypt Kuwait Holding Co. SAE, expiring 11/09/20 |
250,920 | 331,465 | ||||||
|
Egyptian Financial Group-Hermes Holding Co., expiring 11/09/20 |
111,081 | 117,448 | ||||||
|
ElSewedy Electric Co., expiring 11/09/20 |
327,754 | 234,839 | ||||||
|
EZZ Steel, expiring 11/09/20* |
138,120 | 89,584 | ||||||
|
Juhayna Food Industries, expiring 11/09/20 |
185,000 | 99,474 | ||||||
|
Orascom Investment Holding, expiring 10/05/20* |
1,745,300 | 59,373 | ||||||
|
Oriental Weavers, expiring 11/09/20 |
200,000 | 131,589 | ||||||
|
Palm Hills Developments SAE, expiring 11/09/20* |
748,079 | 81,473 | ||||||
|
Pioneers Holding for Financial Investments SAE, expiring 11/09/20* |
157,142 | 51,304 | ||||||
|
Sidi Kerir Petrochemicals Co., expiring 11/09/20 |
74,593 | 41,735 | ||||||
|
Six of October Development & Investment, expiring 08/03/20 |
151,893 | 125,395 | ||||||
|
Talaat Moustafa Group, expiring 11/09/20 |
342,837 | 174,516 | ||||||
|
Telecom Egypt Co., expiring 11/09/20 |
241,812 | 151,566 | ||||||
|
|
|
|||||||
| 2,716,395 | ||||||||
|
|
|
|||||||
|
Vietnam — 1.5% |
||||||||
|
Bank for Foreign Trade of Vietnam JSC, expiring 06/03/20 |
140,035 | 545,093 | ||||||
|
Bao Viet Holdings, expiring 06/23/20* |
54,931 | 162,618 | ||||||
|
FLC Faros Construction JSC, expiring 02/24/20* |
109,560 | 81,795 | ||||||
|
Ho Chi Minh City Infrastructure Investment JSC, expiring 11/25/20* |
137,550 | 133,558 | ||||||
|
Hoa Phat Group JSC, expiring 02/26/20* |
618,537 | 627,279 | ||||||
|
Hoang Huy Investment Financial Services JSC, expiring 01/11/21* |
77,080 | 108,606 | ||||||
|
Masan Group Corp., expiring 12/07/20* |
160,768 | 391,990 | ||||||
|
PetroVietnam Drilling & Well Services JSC, expiring 08/26/21* |
138,653 | 90,052 | ||||||
|
Petrovietnam Fertilizer & Chemicals JSC, expiring 11/25/20 |
130,000 | 72,651 | ||||||
|
PetroVietnam Gas JSC, expiring 06/03/20 |
76,970 | 311,235 | ||||||
|
PetroVietnam Technical Services Corp., expiring 06/22/20 |
257,870 | 194,745 | ||||||
|
Saigon Thuong Tin Commercial JSB, expiring 06/03/20* |
351,506 | 152,450 | ||||||
|
SSI Securities Corp., expiring 03/15/21 |
202,560 | 157,782 | ||||||
|
Vietjet Aviation JSC, expiring 02/24/20 |
80,036 | 504,963 | ||||||
|
Vietnam Dairy Products JSC, expiring 02/14/20 |
113,492 | 570,582 | ||||||
|
Vietnam Electrical Equipment JSC, expiring 08/16/21* |
76,000 | 63,463 | ||||||
|
Vietnam Electrical Equipment JSC, expiring 01/11/21* |
71,940 | 60,073 | ||||||
|
PARTICIPATORY NOTES†
(continued) |
Units | Value | ||||||
|
Vietnam (continued) |
||||||||
|
Vincom Retail JSC, expiring 02/24/20 |
237,285 | $ | 348,158 | |||||
|
Vingroup JSC, expiring 08/10/20* |
188,943 | 937,682 | ||||||
|
Vinhomes JSC, expiring 01/30/20 |
148,300 | 542,705 | ||||||
|
|
|
|||||||
| 6,057,480 | ||||||||
|
|
|
|||||||
|
TOTAL PARTICIPATORY NOTES
|
8,773,875 | |||||||
|
|
|
|||||||
| Shares | ||||||||
| PREFERRED STOCKS — 1.9% | ||||||||
|
Brazil — 1.5% |
||||||||
|
Banco Bradesco SA (PRFC) |
49,165 | 442,066 | ||||||
|
Centrais Eletricas Brasileiras SA (PRFC B) |
44,100 | 419,217 | ||||||
|
Cia Brasileira de Distribuicao (PRFC) |
10,495 | 228,674 | ||||||
|
Cia Energetica de Sao Paulo (PRFC B) |
22,900 | 181,825 | ||||||
|
Gerdau SA (PRFC) |
37,400 | 185,945 | ||||||
|
Itausa — Investimentos Itau SA (PRFC) |
91,519 | 320,556 | ||||||
|
Klabin SA (PRFC) |
45,300 | 39,977 | ||||||
|
Lojas Americanas SA (PRFC) |
79,849 | 514,303 | ||||||
|
Marcopolo SA (PRFC) |
174,800 | 195,540 | ||||||
|
Oi SA (PRFC)* |
450,500 | 137,747 | ||||||
|
Petroleo Brasileiro SA (PRFC), ADR |
124,600 | 1,859,032 | ||||||
|
Telefonica Brasil SA (PRFC) |
100,841 | 1,453,442 | ||||||
|
Usinas Siderurgicas de Minas Gerais SA Usiminas (PRFC A) |
57,200 | 135,226 | ||||||
|
|
|
|||||||
| 6,113,550 | ||||||||
|
|
|
|||||||
|
Colombia — 0.1% |
||||||||
|
Avianca Holdings SA (PRFC) |
99,000 | 55,264 | ||||||
|
Banco Davivienda SA (PRFC) |
10,919 | 152,729 | ||||||
|
Grupo Aval Acciones y Valores SA (PRFC) |
318,619 | 141,512 | ||||||
|
Grupo de Inversiones Suramericana SA (PRFC) |
12,779 | 113,903 | ||||||
|
|
|
|||||||
| 463,408 | ||||||||
|
|
|
|||||||
|
Croatia — 0.1% |
||||||||
|
Adris Grupa DD (PRFC) |
6,445 | 480,848 | ||||||
|
|
|
|||||||
|
Philippines — 0.0% |
||||||||
|
Ayala Land, Inc. (PRFC)*^ |
1,180,500 | — | ||||||
|
|
|
|||||||
|
Russia — 0.2% |
||||||||
|
Surgutneftegas PJSC (PRFC) |
535,500 | 328,453 | ||||||
|
Transneft PJSC (PRFC) |
136 | 386,969 | ||||||
|
|
|
|||||||
| 715,422 | ||||||||
|
|
|
|||||||
|
South Korea — 0.0% |
||||||||
|
CJ Corp. (PRFC)* |
118 | 7,388 | ||||||
|
LG Chem Ltd. (PRFC) |
890 | 133,085 | ||||||
|
|
|
|||||||
| 140,473 | ||||||||
|
|
|
|||||||
|
TOTAL PREFERRED STOCKS
|
|
7,913,701 | ||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A105
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
AFFILIATED MUTUAL FUNDS
(continued) |
Shares | Value | ||||||
|
PGIM Institutional Money Market Fund (cost $6,221,077; includes $6,208,332 of cash collateral for securities on loan)(b)(w) |
6,220,003 | $ | 6,221,247 | |||||
|
|
|
|||||||
|
TOTAL SHORT-TERM INVESTMENTS
|
13,546,622 | |||||||
|
|
|
|||||||
|
TOTAL INVESTMENTS — 102.7%
|
428,409,214 | |||||||
|
Liabilities in excess of other assets — (2.7)% |
|
(11,349,627 | ) | |||||
|
|
|
|||||||
|
NET ASSETS — 100.0% |
$ | 417,059,587 | ||||||
|
|
|
|||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| † |
Participatory notes represented 2.1% of net assets, of which the Portfolio attributed 0.6% to Hong Kong & Shanghai Bank and 1.5% to JPMorgan Chase as counterparties to the securities. |
| ^ |
Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $86,641 and 0.0% of net assets. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $5,966,958; cash collateral of $6,208,332 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Argentina |
$ | 3,088,403 | $ | — | $ | — | ||||||
|
Bahrain |
— | 3,295,172 | — | |||||||||
|
Botswana |
— | 1,688,410 | 14,345 | |||||||||
|
Brazil |
18,920,772 | — | — | |||||||||
|
Bulgaria |
— | 1,248,878 | — | |||||||||
|
Chile |
12,046,270 | — | — | |||||||||
|
China |
3,178,860 | 43,330,660 | — | |||||||||
|
Colombia |
5,342,557 | — | — | |||||||||
|
Croatia |
— | 2,510,943 | — | |||||||||
|
Czech Republic |
— | 2,869,744 | — | |||||||||
|
Estonia |
— | 1,758,788 | — | |||||||||
|
Ghana |
— | 1,598,331 | 37,691 | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A106
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Greece |
$ | 260,993 | $ | 5,561,551 | $ | — | ||||||
|
Hong Kong |
— | 1,808,713 | — | |||||||||
|
Hungary |
— | 3,177,277 | — | |||||||||
|
India |
962,955 | 21,739,541 | 34,277 | |||||||||
|
Indonesia |
— | 12,047,493 | — | |||||||||
|
Jordan |
— | 2,810,411 | — | |||||||||
|
Kazakhstan |
— | 1,951,449 | — | |||||||||
|
Kenya |
— | 3,139,847 | — | |||||||||
|
Kuwait |
— | 6,487,539 | — | |||||||||
|
Latvia |
— | 865,852 | — | |||||||||
|
Lithuania |
— | 1,475,717 | — | |||||||||
|
Malaysia |
— | 12,131,969 | — | |||||||||
|
Mauritius |
24,188 | 2,867,808 | — | |||||||||
|
Mexico |
23,736,165 | 596,541 | 1 | |||||||||
|
Monaco |
270,341 | — | — | |||||||||
|
Morocco |
— | 2,955,117 | — | |||||||||
|
Nigeria |
168,541 | 2,953,620 | — | |||||||||
|
Oman |
— | 2,764,172 | — | |||||||||
|
Pakistan |
— | 3,598,985 | — | |||||||||
|
Panama |
1,191,577 | — | — | |||||||||
|
Peru |
5,873,367 | — | — | |||||||||
|
Philippines |
— | 12,150,063 | 327 | |||||||||
|
Poland |
— | 11,488,587 | — | |||||||||
|
Qatar |
— | 6,165,089 | — | |||||||||
|
Romania |
— | 3,470,289 | — | |||||||||
|
Russia |
2,381,513 | 23,004,355 | — | |||||||||
|
Saudi Arabia |
— | 11,869,213 | — | |||||||||
|
Singapore |
— | 165,030 | — | |||||||||
|
Slovenia |
— | 2,840,812 | — | |||||||||
|
South Africa |
844,452 | 22,675,143 | — | |||||||||
|
South Korea |
— | 24,827,015 | — | |||||||||
|
Spain |
— | 277,146 | — | |||||||||
|
Sri Lanka |
— | 3,232,575 | — | |||||||||
|
Switzerland |
— | 322,854 | — | |||||||||
|
Taiwan |
— | 24,024,376 | — | |||||||||
|
Thailand |
— | 12,238,046 | — | |||||||||
|
Togo |
— | 31,498 | — | |||||||||
|
Tunisia |
— | 1,231,088 | — | |||||||||
|
Turkey |
272,991 | 5,500,445 | — | |||||||||
|
United Arab Emirates |
— | 6,072,195 | — | |||||||||
|
United States |
178,087 | 506,893 | — | |||||||||
|
Participatory Notes |
||||||||||||
|
Egypt |
— | 2,716,395 | — | |||||||||
|
Vietnam |
— | 6,057,480 | — | |||||||||
|
Preferred Stocks |
||||||||||||
|
Brazil |
6,113,550 | — | — | |||||||||
|
Colombia |
463,408 | — | — | |||||||||
|
Croatia |
— | 480,848 | — | |||||||||
|
Philippines |
— | — | — | |||||||||
|
Russia |
— | 715,422 | — | |||||||||
|
South Korea |
— | 140,473 | — | |||||||||
|
Rights |
||||||||||||
|
Brazil |
— | 1,874 | — | |||||||||
|
India |
— | 2,782 | — | |||||||||
|
Morocco |
3,147 | — | — | |||||||||
|
Tunisia |
— | 11,300 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A107
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Warrants |
||||||||||||
|
Thailand |
$ | — | $ | — | $ | — | ||||||
|
Affiliated Mutual Funds |
13,546,622 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 98,868,759 | $ | 329,453,814 | $ | 86,641 | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Banks |
15.7 | % | ||
|
Oil, Gas & Consumable Fuels |
8.3 | |||
|
Metals & Mining |
5.7 | |||
|
Real Estate Management & Development |
5.0 | |||
|
Wireless Telecommunication Services |
4.1 | |||
|
Food Products |
4.0 | |||
|
Diversified Telecommunication Services |
3.4 | |||
|
Affiliated Mutual Funds (1.5% represents investments purchased with collateral from securities on loan) |
3.2 | |||
|
Electric Utilities |
3.1 | |||
|
Food & Staples Retailing |
2.9 | |||
|
Industrial Conglomerates |
2.7 | |||
|
Chemicals |
2.7 | |||
|
Pharmaceuticals |
2.6 | |||
|
Beverages |
2.1 | |||
|
Construction Materials |
2.1 | |||
|
Transportation Infrastructure |
1.7 | |||
|
Health Care Providers & Services |
1.7 | |||
|
Independent Power & Renewable Electricity Producers |
1.5 | |||
|
Interactive Media & Services |
1.5 | |||
|
Specialty Retail |
1.4 | |||
|
Equity Real Estate Investment Trusts (REITs) |
1.4 | |||
|
Hotels, Restaurants & Leisure |
1.4 | |||
|
Insurance |
1.3 | |||
|
Internet & Direct Marketing Retail |
1.3 | |||
|
Automobiles |
1.2 | |||
|
Technology Hardware, Storage & Peripherals |
1.2 | |||
|
Electronic Equipment, Instruments & Components |
1.1 | |||
|
Multiline Retail |
1.0 | |||
|
Construction & Engineering |
1.0 | |||
|
IT Services |
1.0 | |||
|
Semiconductors & Semiconductor Equipment |
1.0 | |||
|
Gas Utilities |
1.0 | |||
|
Airlines |
0.9 | |||
|
Textiles, Apparel & Luxury Goods |
0.8 | |||
|
Machinery |
0.8 |
|
Personal Products |
0.7 | % | ||
|
Electrical Equipment |
0.6 | |||
|
Capital Markets |
0.6 | |||
|
Diversified Financial Services |
0.6 | |||
|
Household Durables |
0.6 | |||
|
Tobacco |
0.6 | |||
|
Entertainment |
0.6 | |||
|
Biotechnology |
0.5 | |||
|
Media |
0.5 | |||
|
Road & Rail |
0.5 | |||
|
Auto Components |
0.4 | |||
|
Water Utilities |
0.4 | |||
|
Energy Equipment & Services |
0.4 | |||
|
Marine |
0.4 | |||
|
Health Care Equipment & Supplies |
0.4 | |||
|
Household Products |
0.3 | |||
|
Trading Companies & Distributors |
0.3 | |||
|
Software |
0.3 | |||
|
Paper & Forest Products |
0.3 | |||
|
Communications Equipment |
0.3 | |||
|
Diversified Consumer Services |
0.2 | |||
|
Air Freight & Logistics |
0.2 | |||
|
Aerospace & Defense |
0.2 | |||
|
Consumer Finance |
0.2 | |||
|
Life Sciences Tools & Services |
0.2 | |||
|
Thrifts & Mortgage Finance |
0.1 | |||
|
Multi-Utilities |
0.1 | |||
|
Containers & Packaging |
0.1 | |||
|
Leisure Products |
0.1 | |||
|
Building Products |
0.1 | |||
|
Commercial Services & Supplies |
0.1 | |||
|
|
|
|||
| 102.7 | ||||
|
Liabilities in excess of other assets |
(2.7 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
SEE NOTES TO FINANCIAL STATEMENTS.
A108
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Asset Derivatives |
Liability Derivatives |
|||||||||||
|
Derivatives not accounted for as hedging
|
Statement of
|
Fair Value |
Statement of
|
Fair Value | ||||||||
|
Equity contracts |
Unaffiliated investments | $ | 19,103 | — | $ | — | ||||||
|
|
|
|
|
|||||||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
|
Amount of Realized Gain (Loss) on Derivatives Recognized in Income |
||||
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Rights(1) | |||
|
Equity contracts |
$ | 44,689 | ||
|
|
|
|||
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Rights(2) | Warrants(2) | ||||||
|
Equity contracts |
$ | (17,206 | ) | $ | (10,102 | ) | ||
|
|
|
|
|
|||||
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 5,966,958 | $ | (5,966,958 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A109
| AST PARAMETRIC EMERGING MARKETS EQUITY PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $5,966,958: |
||||
|
Unaffiliated investments (cost $405,679,518) |
$ | 414,862,592 | ||
|
Affiliated investments (cost $13,546,452) |
13,546,622 | |||
|
Foreign currency, at value (cost $1,016,842) |
1,019,461 | |||
|
Dividends receivable |
783,807 | |||
|
Tax reclaim receivable |
89,075 | |||
|
Receivable for Portfolio shares sold |
22,477 | |||
|
Receivable from affiliate |
9,389 | |||
|
Receivable for investments sold |
7,877 | |||
|
Prepaid expenses |
15,412 | |||
|
|
|
|||
|
Total Assets |
430,356,712 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable for investments purchased |
6,420,516 | |||
|
Payable to broker for collateral for securities on loan |
6,208,332 | |||
|
Accrued expenses and other liabilities |
255,303 | |||
|
Management fee payable |
193,940 | |||
|
Payable for Portfolio shares repurchased |
109,892 | |||
|
Payable to affiliate |
50,689 | |||
|
Foreign capital gains tax liability accrued |
41,195 | |||
|
Distribution fee payable |
16,901 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
13,297,125 | |||
|
|
|
|||
| NET ASSETS | $ | 417,059,587 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 417,059,587 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $417,059,587 / 42,338,029 outstanding shares of beneficial interest |
$ | 9.85 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 7,635,234 | $ | 7,787,078 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
(5,937,349 | ) | 6,385,509 | |||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
42,547,029 | (81,833,657 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
44,244,914 | (67,661,070 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [12,151,045 and 5,426,628 shares, respectively] |
112,946,876 | 52,102,574 | ||||||
|
Portfolio shares repurchased [8,572,959 and 17,170,340 shares, respectively] |
(77,192,296 | ) | (158,891,010 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
35,754,580 | (106,788,436 | ) | |||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 90,347 | 888,049 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 80,089,841 | (173,561,457 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
336,969,746 | 510,531,203 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 417,059,587 | $ | 336,969,746 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A110
| AST QMA LARGE-CAP PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 98.5% | ||||||||
| COMMON STOCKS | Shares | Value | ||||||
|
Aerospace & Defense — 3.7% |
||||||||
|
Arconic, Inc. |
746,300 | $ | 22,963,651 | |||||
|
General Dynamics Corp. |
103,000 | 18,164,050 | ||||||
|
Huntington Ingalls Industries, Inc. |
24,200 | 6,071,296 | ||||||
|
Lockheed Martin Corp. |
33,800 | 13,161,044 | ||||||
|
Northrop Grumman Corp. |
6,400 | 2,201,408 | ||||||
|
United Technologies Corp. |
109,500 | 16,398,720 | ||||||
|
|
|
|||||||
| 78,960,169 | ||||||||
|
|
|
|||||||
|
Automobiles — 0.9% |
||||||||
|
Ford Motor Co.(a) |
2,028,300 | 18,863,190 | ||||||
|
|
|
|||||||
|
Banks — 4.2% |
||||||||
|
Bank of America Corp. |
995,100 | 35,047,422 | ||||||
|
Citigroup, Inc. |
466,800 | 37,292,652 | ||||||
|
JPMorgan Chase & Co. |
86,400 | 12,044,160 | ||||||
|
Popular, Inc. (Puerto Rico) |
66,500 | 3,906,875 | ||||||
|
Simmons First National Corp. (Class A Stock)(a) |
9,000 | 241,110 | ||||||
|
Western Alliance Bancorp |
17,900 | 1,020,300 | ||||||
|
|
|
|||||||
| 89,552,519 | ||||||||
|
|
|
|||||||
|
Beverages — 1.5% |
||||||||
|
Coca-Cola Co. (The) |
281,600 | 15,586,560 | ||||||
|
Keurig Dr. Pepper, Inc.(a) |
536,600 | 15,534,570 | ||||||
|
|
|
|||||||
| 31,121,130 | ||||||||
|
|
|
|||||||
|
Biotechnology — 3.4% |
||||||||
|
AbbVie, Inc. |
182,700 | 16,176,258 | ||||||
|
Alexion Pharmaceuticals, Inc.* |
15,600 | 1,687,140 | ||||||
|
Biogen, Inc.* |
71,200 | 21,127,176 | ||||||
|
Gilead Sciences, Inc. |
371,700 | 24,153,066 | ||||||
|
Regeneron Pharmaceuticals, Inc.* |
6,700 | 2,515,716 | ||||||
|
Vertex Pharmaceuticals, Inc.* |
30,800 | 6,743,660 | ||||||
|
|
|
|||||||
| 72,403,016 | ||||||||
|
|
|
|||||||
|
Building Products — 1.0% |
||||||||
|
American Woodmark Corp.* |
10,500 | 1,097,355 | ||||||
|
Johnson Controls International PLC |
400,400 | 16,300,284 | ||||||
|
Universal Forest Products, Inc. |
101,900 | 4,860,630 | ||||||
|
|
|
|||||||
| 22,258,269 | ||||||||
|
|
|
|||||||
|
Capital Markets — 2.7% |
||||||||
|
Affiliated Managers Group, Inc. |
79,300 | 6,719,882 | ||||||
|
Ameriprise Financial, Inc. |
22,500 | 3,748,050 | ||||||
|
Goldman Sachs Group, Inc. (The) |
93,700 | 21,544,441 | ||||||
|
Morgan Stanley |
497,200 | 25,416,864 | ||||||
|
|
|
|||||||
| 57,429,237 | ||||||||
|
|
|
|||||||
|
Chemicals — 1.4% |
||||||||
|
CF Industries Holdings, Inc. |
50,200 | 2,396,548 | ||||||
|
Dow, Inc. |
26,000 | 1,422,980 | ||||||
|
DuPont de Nemours, Inc. |
100,200 | 6,432,840 | ||||||
|
Sherwin-Williams Co. (The) |
33,300 | 19,431,882 | ||||||
|
|
|
|||||||
| 29,684,250 | ||||||||
|
|
|
|||||||
|
Commercial Services & Supplies — 0.1% |
|
|||||||
|
Steelcase, Inc. (Class A Stock) |
103,700 | 2,121,702 | ||||||
|
|
|
|||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Communications Equipment — 1.2% |
||||||||
|
Cisco Systems, Inc. |
534,900 | $ | 25,653,804 | |||||
|
|
|
|||||||
|
Construction & Engineering — 0.4% |
||||||||
|
EMCOR Group, Inc. |
95,300 | 8,224,390 | ||||||
|
|
|
|||||||
|
Construction Materials — 1.3% |
||||||||
|
Eagle Materials, Inc. |
36,600 | 3,318,156 | ||||||
|
Martin Marietta Materials, Inc. |
55,800 | 15,603,912 | ||||||
|
Vulcan Materials Co. |
56,100 | 8,077,839 | ||||||
|
|
|
|||||||
| 26,999,907 | ||||||||
|
|
|
|||||||
|
Consumer Finance — 1.0% |
||||||||
|
Capital One Financial Corp. |
171,100 | 17,607,901 | ||||||
|
Navient Corp. |
192,400 | 2,632,032 | ||||||
|
OneMain Holdings, Inc. |
31,500 | 1,327,725 | ||||||
|
|
|
|||||||
| 21,567,658 | ||||||||
|
|
|
|||||||
|
Distributors — 0.6% |
||||||||
|
LKQ Corp.* |
345,600 | 12,337,920 | ||||||
|
|
|
|||||||
|
Diversified Financial Services — 0.7% |
|
|||||||
|
Berkshire Hathaway, Inc. (Class B Stock)* |
55,800 | 12,638,700 | ||||||
|
Jefferies Financial Group, Inc. |
74,700 | 1,596,339 | ||||||
|
|
|
|||||||
| 14,235,039 | ||||||||
|
|
|
|||||||
|
Diversified Telecommunication Services — 3.3% |
|
|||||||
|
AT&T, Inc. |
1,008,300 | 39,404,364 | ||||||
|
Verizon Communications, Inc. |
490,100 | 30,092,140 | ||||||
|
|
|
|||||||
| 69,496,504 | ||||||||
|
|
|
|||||||
|
Electric Utilities — 1.3% |
||||||||
|
Exelon Corp. |
447,600 | 20,406,084 | ||||||
|
Southern Co. (The) |
97,700 | 6,223,490 | ||||||
|
|
|
|||||||
| 26,629,574 | ||||||||
|
|
|
|||||||
|
Electrical Equipment — 0.3% |
||||||||
|
Acuity Brands, Inc. |
7,100 | 979,800 | ||||||
|
Atkore International Group, Inc.* |
121,300 | 4,907,798 | ||||||
|
|
|
|||||||
| 5,887,598 | ||||||||
|
|
|
|||||||
|
Electronic Equipment, Instruments & Components — 0.7% |
|
|||||||
|
CDW Corp. |
86,900 | 12,412,796 | ||||||
|
Itron, Inc.* |
18,600 | 1,561,470 | ||||||
|
SYNNEX Corp. |
10,800 | 1,391,040 | ||||||
|
|
|
|||||||
| 15,365,306 | ||||||||
|
|
|
|||||||
|
Energy Equipment & Services — 0.1% |
||||||||
|
National Oilwell Varco, Inc. |
57,900 | 1,450,395 | ||||||
|
|
|
|||||||
|
Entertainment — 0.4% |
||||||||
|
Electronic Arts, Inc.* |
49,600 | 5,332,496 | ||||||
|
Take-Two Interactive Software, Inc.* |
19,000 | 2,326,170 | ||||||
|
|
|
|||||||
| 7,658,666 | ||||||||
|
|
|
|||||||
|
Equity Real Estate Investment Trusts (REITs) — 1.3% |
|
|||||||
|
Apple Hospitality REIT, Inc. |
50,500 | 820,625 | ||||||
|
Columbia Property Trust, Inc. |
59,100 | 1,235,781 | ||||||
|
CoreCivic, Inc. |
111,500 | 1,937,870 | ||||||
|
Crown Castle International Corp. |
77,400 | 11,002,410 | ||||||
|
DiamondRock Hospitality Co. |
83,200 | 921,856 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A111
| AST QMA LARGE-CAP PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Equity Real Estate Investment Trusts (REITs) (continued) |
|
|||||||
|
EPR Properties |
43,800 | $ | 3,094,032 | |||||
|
Franklin Street Properties Corp. |
68,200 | 583,792 | ||||||
|
Gaming & Leisure Properties, Inc. |
49,000 | 2,109,450 | ||||||
|
GEO Group, Inc. (The) |
104,600 | 1,737,406 | ||||||
|
Ryman Hospitality Properties, Inc. |
45,600 | 3,951,696 | ||||||
|
Xenia Hotels & Resorts, Inc. |
10,400 | 224,744 | ||||||
|
|
|
|||||||
| 27,619,662 | ||||||||
|
|
|
|||||||
|
Food & Staples Retailing — 0.6% |
||||||||
|
Sysco Corp. |
71,600 | 6,124,664 | ||||||
|
Walgreens Boots Alliance, Inc. |
109,900 | 6,479,704 | ||||||
|
Walmart, Inc. |
5,300 | 629,852 | ||||||
|
|
|
|||||||
| 13,234,220 | ||||||||
|
|
|
|||||||
|
Food Products — 2.6% |
||||||||
|
Archer-Daniels-Midland Co. |
292,800 | 13,571,280 | ||||||
|
Bunge Ltd. |
120,100 | 6,911,755 | ||||||
|
J.M. Smucker Co. (The)(a) |
45,200 | 4,706,676 | ||||||
|
Pilgrim’s Pride Corp.* |
177,400 | 5,803,641 | ||||||
|
Tyson Foods, Inc. (Class A Stock) |
261,000 | 23,761,440 | ||||||
|
|
|
|||||||
| 54,754,792 | ||||||||
|
|
|
|||||||
|
Gas Utilities — 0.8% |
||||||||
|
UGI Corp. |
355,900 | 16,072,444 | ||||||
|
|
|
|||||||
|
Health Care Equipment & Supplies — 4.4% |
|
|||||||
|
Baxter International, Inc. |
64,200 | 5,368,404 | ||||||
|
Becton, Dickinson & Co. |
39,900 | 10,851,603 | ||||||
|
DENTSPLY SIRONA, Inc. |
142,800 | 8,081,052 | ||||||
|
Edwards Lifesciences Corp.* |
78,500 | 18,313,265 | ||||||
|
Hologic, Inc.* |
192,900 | 10,071,309 | ||||||
|
Medtronic PLC |
294,800 | 33,445,060 | ||||||
|
Stryker Corp. |
32,700 | 6,865,038 | ||||||
|
|
|
|||||||
| 92,995,731 | ||||||||
|
|
|
|||||||
|
Health Care Providers & Services — 3.0% |
||||||||
|
Anthem, Inc. |
37,600 | 11,356,328 | ||||||
|
Cigna Corp. |
115,500 | 23,618,595 | ||||||
|
CVS Health Corp. |
333,600 | 24,783,144 | ||||||
|
HCA Healthcare, Inc. |
26,100 | 3,857,841 | ||||||
|
|
|
|||||||
| 63,615,908 | ||||||||
|
|
|
|||||||
|
Hotels, Restaurants & Leisure — 2.3% |
||||||||
|
Brinker International, Inc.(a) |
118,800 | 4,989,600 | ||||||
|
McDonald’s Corp. |
83,600 | 16,520,196 | ||||||
|
Starbucks Corp. |
304,100 | 26,736,472 | ||||||
|
|
|
|||||||
| 48,246,268 | ||||||||
|
|
|
|||||||
|
Household Durables — 0.5% |
||||||||
|
Lennar Corp. (Class A Stock) |
22,100 | 1,232,959 | ||||||
|
M/I Homes, Inc.* |
18,400 | 724,040 | ||||||
|
Meritage Homes Corp.* |
27,900 | 1,704,969 | ||||||
|
Whirlpool Corp.(a) |
50,500 | 7,450,265 | ||||||
|
|
|
|||||||
| 11,112,233 | ||||||||
|
|
|
|||||||
|
Household Products — 1.0% |
||||||||
|
Procter & Gamble Co. (The) |
170,800 | 21,332,920 | ||||||
|
|
|
|||||||
|
Independent Power & Renewable Electricity Producers — 1.5% |
|
|||||||
|
NRG Energy, Inc. |
401,900 | 15,975,525 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Independent Power & Renewable Electricity Producers (continued) |
|
|||||||
|
Vistra Energy Corp. |
643,800 | $ | 14,800,962 | |||||
|
|
|
|||||||
| 30,776,487 | ||||||||
|
|
|
|||||||
|
Industrial Conglomerates — 1.7% |
||||||||
|
General Electric Co. |
2,595,900 | 28,970,244 | ||||||
|
Honeywell International, Inc. |
35,200 | 6,230,400 | ||||||
|
|
|
|||||||
| 35,200,644 | ||||||||
|
|
|
|||||||
|
Insurance — 2.8% |
||||||||
|
Allstate Corp. (The) |
133,600 | 15,023,320 | ||||||
|
American Equity Investment Life Holding Co. |
37,500 | 1,122,375 | ||||||
|
American International Group, Inc. |
363,700 | 18,668,721 | ||||||
|
MetLife, Inc. |
482,600 | 24,598,122 | ||||||
|
|
|
|||||||
| 59,412,538 | ||||||||
|
|
|
|||||||
|
Interactive Media & Services — 5.4% |
||||||||
|
Alphabet, Inc. (Class A Stock)* |
20,840 | 27,912,888 | ||||||
|
Alphabet, Inc. (Class C Stock)* |
18,478 | 24,705,455 | ||||||
|
Facebook, Inc. (Class A Stock)* |
288,100 | 59,132,525 | ||||||
|
TripAdvisor, Inc. |
80,200 | 2,436,476 | ||||||
|
|
|
|||||||
| 114,187,344 | ||||||||
|
|
|
|||||||
|
Internet & Direct Marketing Retail — 3.8% |
|
|||||||
|
Amazon.com, Inc.* |
20,700 | 38,250,288 | ||||||
|
Booking Holdings, Inc.* |
10,400 | 21,358,792 | ||||||
|
eBay, Inc. |
492,000 | 17,766,120 | ||||||
|
Qurate Retail, Inc., Series A* |
251,400 | 2,119,302 | ||||||
|
|
|
|||||||
| 79,494,502 | ||||||||
|
|
|
|||||||
|
IT Services — 3.9% |
||||||||
|
Accenture PLC (Class A Stock) |
56,400 | 11,876,148 | ||||||
|
Booz Allen Hamilton Holding Corp. |
1,600 | 113,808 | ||||||
|
CACI International, Inc. (Class A Stock)* |
6,600 | 1,649,934 | ||||||
|
Cognizant Technology Solutions Corp. (Class A Stock) |
281,200 | 17,440,024 | ||||||
|
FleetCor Technologies, Inc.*(a) |
12,200 | 3,510,184 | ||||||
|
International Business Machines Corp. |
6,700 | 898,068 | ||||||
|
KBR, Inc. |
58,800 | 1,793,400 | ||||||
|
Leidos Holdings, Inc. |
150,700 | 14,752,023 | ||||||
|
Perspecta, Inc. |
103,700 | 2,741,828 | ||||||
|
Visa, Inc. (Class A Stock)(a) |
142,400 | 26,756,960 | ||||||
|
|
|
|||||||
| 81,532,377 | ||||||||
|
|
|
|||||||
|
Life Sciences Tools & Services — 0.8% |
|
|||||||
|
Charles River Laboratories International, Inc.* |
1,800 | 274,968 | ||||||
|
IQVIA Holdings, Inc.* |
92,000 | 14,214,920 | ||||||
|
Thermo Fisher Scientific, Inc. |
9,000 | 2,923,830 | ||||||
|
|
|
|||||||
| 17,413,718 | ||||||||
|
|
|
|||||||
|
Machinery — 0.4% |
||||||||
|
Oshkosh Corp. |
85,500 | 8,092,575 | ||||||
|
|
|
|||||||
|
Media — 1.2% |
||||||||
|
Discovery, Inc. (Class A Stock)*(a) |
264,800 | 8,669,552 | ||||||
|
Discovery, Inc. (Class C Stock)* |
413,100 | 12,595,419 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A112
| AST QMA LARGE-CAP PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Media (continued) |
||||||||
|
ViacomCBS, Inc. (Class B Stock) |
98,977 | $ | 4,154,065 | |||||
|
|
|
|||||||
| 25,419,036 | ||||||||
|
|
|
|||||||
|
Metals & Mining — 0.1% |
||||||||
|
Steel Dynamics, Inc. |
54,100 | 1,841,564 | ||||||
|
|
|
|||||||
|
Mortgage Real Estate Investment Trusts (REITs) — 0.0% |
|
|||||||
|
Ladder Capital Corp. |
42,090 | 759,303 | ||||||
|
|
|
|||||||
|
Multiline Retail — 1.4% |
||||||||
|
Big Lots, Inc. |
187,400 | 5,382,128 | ||||||
|
Dollar General Corp. |
15,500 | 2,417,690 | ||||||
|
Target Corp. |
168,600 | 21,616,206 | ||||||
|
|
|
|||||||
| 29,416,024 | ||||||||
|
|
|
|||||||
|
Multi-Utilities — 0.1% |
||||||||
|
MDU Resources Group, Inc. |
54,300 | 1,613,253 | ||||||
|
|
|
|||||||
|
Oil, Gas & Consumable Fuels — 2.7% |
||||||||
|
Chevron Corp. |
34,900 | 4,205,799 | ||||||
|
Exxon Mobil Corp. |
46,100 | 3,216,858 | ||||||
|
HollyFrontier Corp. |
85,400 | 4,330,634 | ||||||
|
Kinder Morgan, Inc. |
86,600 | 1,833,322 | ||||||
|
Nordic American Tankers Ltd. |
182,600 | 898,392 | ||||||
|
Phillips 66 |
146,000 | 16,265,860 | ||||||
|
QEP Resources, Inc. |
232,100 | 1,044,450 | ||||||
|
SM Energy Co. |
299,700 | 3,368,628 | ||||||
|
Valero Energy Corp. |
198,200 | 18,561,430 | ||||||
|
World Fuel Services Corp. |
70,800 | 3,074,136 | ||||||
|
|
|
|||||||
| 56,799,509 | ||||||||
|
|
|
|||||||
|
Personal Products — 0.2% |
||||||||
|
Coty, Inc. (Class A Stock) |
402,000 | 4,522,500 | ||||||
|
|
|
|||||||
|
Pharmaceuticals — 3.8% |
||||||||
|
Bristol-Myers Squibb Co. |
335,200 | 21,516,488 | ||||||
|
Johnson & Johnson |
109,000 | 15,899,830 | ||||||
|
Merck & Co., Inc. |
363,600 | 33,069,420 | ||||||
|
Zoetis, Inc. |
67,300 | 8,907,155 | ||||||
|
|
|
|||||||
| 79,392,893 | ||||||||
|
|
|
|||||||
|
Real Estate Management & Development — 0.4% |
|
|||||||
|
CBRE Group, Inc. (Class A Stock)* |
73,200 | 4,486,428 | ||||||
|
Jones Lang LaSalle, Inc. |
25,000 | 4,352,250 | ||||||
|
|
|
|||||||
| 8,838,678 | ||||||||
|
|
|
|||||||
|
Semiconductors & Semiconductor Equipment — 4.1% |
|
|||||||
|
Applied Materials, Inc. |
345,800 | 21,107,632 | ||||||
|
Broadcom, Inc. |
38,100 | 12,040,362 | ||||||
|
Intel Corp. |
611,800 | 36,616,230 | ||||||
|
Lam Research Corp. |
35,000 | 10,234,000 | ||||||
|
QUALCOMM, Inc. |
74,100 | 6,537,843 | ||||||
|
|
|
|||||||
| 86,536,067 | ||||||||
|
|
|
|||||||
|
Software — 8.4% |
||||||||
|
Adobe, Inc.* |
23,800 | 7,849,478 | ||||||
|
Fortinet, Inc.* |
20,100 | 2,145,876 | ||||||
|
Intuit, Inc. |
77,800 | 20,378,154 | ||||||
|
Microsoft Corp. |
741,400 | 116,918,780 | ||||||
|
Oracle Corp. |
465,700 | 24,672,786 | ||||||
|
SS&C Technologies Holdings, Inc. |
45,600 | 2,799,840 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A113
| AST QMA LARGE-CAP PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| # |
Principal amount is shown in U.S. dollars unless otherwise stated. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $77,836,099; cash collateral of $79,353,326 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (n) |
Rate shown reflects yield to maturity at purchased date. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at December 31, 2019:
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||
|
Long Position: |
||||||||||||||
| 193 | S&P 500 E-Mini Index | Mar. 2020 | $ | 31,180,115 | $ | 301,611 | ||||||||
|
|
|
|||||||||||||
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||
|
Goldman Sachs & Co. LLC |
$ | — | $ | 1,495,249 | ||||
|
|
|
|
|
|||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 78,960,169 | $ | — | $ | — | ||||||
|
Automobiles |
18,863,190 | — | — | |||||||||
|
Banks |
89,552,519 | — | — | |||||||||
|
Beverages |
31,121,130 | — | — | |||||||||
|
Biotechnology |
72,403,016 | — | — | |||||||||
|
Building Products |
22,258,269 | — | — | |||||||||
|
Capital Markets |
57,429,237 | — | — | |||||||||
|
Chemicals |
29,684,250 | — | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A114
| AST QMA LARGE-CAP PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Commercial Services & Supplies |
$ | 2,121,702 | $ | — | $ | — | ||||||
|
Communications Equipment |
25,653,804 | — | — | |||||||||
|
Construction & Engineering |
8,224,390 | — | — | |||||||||
|
Construction Materials |
26,999,907 | — | — | |||||||||
|
Consumer Finance |
21,567,658 | — | — | |||||||||
|
Distributors |
12,337,920 | — | — | |||||||||
|
Diversified Financial Services |
14,235,039 | — | — | |||||||||
|
Diversified Telecommunication Services |
69,496,504 | — | — | |||||||||
|
Electric Utilities |
26,629,574 | — | — | |||||||||
|
Electrical Equipment |
5,887,598 | — | — | |||||||||
|
Electronic Equipment, Instruments & Components |
15,365,306 | — | — | |||||||||
|
Energy Equipment & Services |
1,450,395 | — | — | |||||||||
|
Entertainment |
7,658,666 | — | — | |||||||||
|
Equity Real Estate Investment Trusts (REITs) |
27,619,662 | — | — | |||||||||
|
Food & Staples Retailing |
13,234,220 | — | — | |||||||||
|
Food Products |
54,754,792 | — | — | |||||||||
|
Gas Utilities |
16,072,444 | — | — | |||||||||
|
Health Care Equipment & Supplies |
92,995,731 | — | — | |||||||||
|
Health Care Providers & Services |
63,615,908 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
48,246,268 | — | — | |||||||||
|
Household Durables |
11,112,233 | — | — | |||||||||
|
Household Products |
21,332,920 | — | — | |||||||||
|
Independent Power & Renewable Electricity Producers |
30,776,487 | — | — | |||||||||
|
Industrial Conglomerates |
35,200,644 | — | — | |||||||||
|
Insurance |
59,412,538 | — | — | |||||||||
|
Interactive Media & Services |
114,187,344 | — | — | |||||||||
|
Internet & Direct Marketing Retail |
79,494,502 | — | — | |||||||||
|
IT Services |
81,532,377 | — | — | |||||||||
|
Life Sciences Tools & Services |
17,413,718 | — | — | |||||||||
|
Machinery |
8,092,575 | — | — | |||||||||
|
Media |
25,419,036 | — | — | |||||||||
|
Metals & Mining |
1,841,564 | — | — | |||||||||
|
Mortgage Real Estate Investment Trusts (REITs) |
759,303 | — | — | |||||||||
|
Multiline Retail |
29,416,024 | — | — | |||||||||
|
Multi-Utilities |
1,613,253 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
56,799,509 | — | — | |||||||||
|
Personal Products |
4,522,500 | — | — | |||||||||
|
Pharmaceuticals |
79,392,893 | — | — | |||||||||
|
Real Estate Management & Development |
8,838,678 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
86,536,067 | — | — | |||||||||
|
Software |
178,217,074 | — | — | |||||||||
|
Specialty Retail |
28,078,268 | — | — | |||||||||
|
Technology Hardware, Storage & Peripherals |
127,975,467 | — | — | |||||||||
|
Textiles, Apparel & Luxury Goods |
6,770,470 | — | — | |||||||||
|
Tobacco |
24,221,323 | — | — | |||||||||
|
Trading Companies & Distributors |
7,390,655 | — | — | |||||||||
|
Affiliated Mutual Funds |
108,915,996 | — | — | |||||||||
|
U.S. Treasury Obligation |
— | 1,495,249 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 2,189,702,686 | $ | 1,495,249 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 301,611 | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A115
| AST QMA LARGE-CAP PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Software |
8.4 | % | ||
|
Technology Hardware, Storage & Peripherals |
6.1 | |||
|
Interactive Media & Services |
5.4 | |||
|
Affiliated Mutual Funds (3.8% represents investments purchased with collateral from securities on loan) |
5.1 | |||
|
Health Care Equipment & Supplies |
4.4 | |||
|
Banks |
4.2 | |||
|
Semiconductors & Semiconductor Equipment |
4.1 | |||
|
IT Services |
3.9 | |||
|
Internet & Direct Marketing Retail |
3.8 | |||
|
Pharmaceuticals |
3.8 | |||
|
Aerospace & Defense |
3.7 | |||
|
Biotechnology |
3.4 | |||
|
Diversified Telecommunication Services |
3.3 | |||
|
Health Care Providers & Services |
3.0 | |||
|
Insurance |
2.8 | |||
|
Capital Markets |
2.7 | |||
|
Oil, Gas & Consumable Fuels |
2.7 | |||
|
Food Products |
2.6 | |||
|
Hotels, Restaurants & Leisure |
2.3 | |||
|
Industrial Conglomerates |
1.7 | |||
|
Beverages |
1.5 | |||
|
Independent Power & Renewable Electricity Producers |
1.5 | |||
|
Chemicals |
1.4 | |||
|
Multiline Retail |
1.4 | |||
|
Specialty Retail |
1.3 | |||
|
Equity Real Estate Investment Trusts (REITs) |
1.3 | |||
|
Construction Materials |
1.3 | |||
|
Electric Utilities |
1.3 | |||
|
Communications Equipment |
1.2 | |||
|
Media |
1.2 | |||
|
Tobacco |
1.1 |
|
Building Products |
1.0 | % | ||
|
Consumer Finance |
1.0 | |||
|
Household Products |
1.0 | |||
|
Automobiles |
0.9 | |||
|
Life Sciences Tools & Services |
0.8 | |||
|
Gas Utilities |
0.8 | |||
|
Electronic Equipment, Instruments & Components |
0.7 | |||
|
Diversified Financial Services |
0.7 | |||
|
Food & Staples Retailing |
0.6 | |||
|
Distributors |
0.6 | |||
|
Household Durables |
0.5 | |||
|
Real Estate Management & Development |
0.4 | |||
|
Construction & Engineering |
0.4 | |||
|
Machinery |
0.4 | |||
|
Entertainment |
0.4 | |||
|
Trading Companies & Distributors |
0.3 | |||
|
Textiles, Apparel & Luxury Goods |
0.3 | |||
|
Electrical Equipment |
0.3 | |||
|
Personal Products |
0.2 | |||
|
Commercial Services & Supplies |
0.1 | |||
|
Metals & Mining |
0.1 | |||
|
Multi-Utilities |
0.1 | |||
|
U.S. Treasury Obligation |
0.1 | |||
|
Energy Equipment & Services |
0.1 | |||
|
Mortgage Real Estate Investment Trusts (REITs) |
0.0 | * | ||
|
|
|
|||
| 103.7 | ||||
|
Liabilities in excess of other assets |
(3.7 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instrumentsis equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Derivatives not accounted for as hedging
|
Asset Derivatives |
Liability Derivatives |
||||||||||
|
Statement of
|
Fair Value |
Statement of
|
Fair Value |
|||||||||
|
Equity contracts |
Due from/to broker — variation margin futures | $ | 301,611 | * | — | $ | — | |||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A116
| AST QMA LARGE-CAP PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
|
Amount of Realized Gain (Loss) on Derivatives Recognized in Income |
||||
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Futures | |||
|
Equity contracts |
$ | 8,928,730 | ||
|
|
|
|||
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Futures | |||
|
Equity contracts |
$ | (375,547 | ) | |
|
|
|
|||
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Futures Contracts— Long Positions(1) |
|
$40,719,932 |
| (1) |
Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 77,836,099 | $ | (77,836,099 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A117
| AST QMA LARGE-CAP PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $77,836,099: |
||||
|
Unaffiliated investments (cost $1,770,309,166) |
$ | 2,082,281,939 | ||
|
Affiliated investments (cost $108,912,384) |
108,915,996 | |||
|
Dividends and interest receivable |
1,518,853 | |||
|
Due from broker-variation margin futures |
74,305 | |||
|
Tax reclaim receivable |
7,379 | |||
|
Prepaid expenses and other assets |
45,635 | |||
|
|
|
|||
|
Total Assets |
2,192,844,107 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
79,353,326 | |||
|
Management fee payable |
365,238 | |||
|
Accrued expenses and other liabilities |
216,874 | |||
|
Distribution fee payable |
86,997 | |||
|
Payable to affiliate |
7,379 | |||
|
Payable for Portfolio shares repurchased |
1,332 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
80,031,503 | |||
|
|
|
|||
| NET ASSETS | $ | 2,112,812,604 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 2,112,812,604 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $2,112,812,604 / 97,714,855 outstanding shares of beneficial interest |
$ | 21.62 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
| NET INVESTMENT INCOME (LOSS) | ||||
| INCOME | ||||
|
Unaffiliated dividend income (net of $2,294 foreign withholding tax) |
$ | 44,781,487 | ||
|
Affiliated dividend income |
740,112 | |||
|
Affiliated income from securities lending, net |
134,952 | |||
|
Interest income |
49,438 | |||
|
|
|
|||
|
Total income |
45,705,989 | |||
|
|
|
|||
| EXPENSES | ||||
|
Management fee |
12,373,149 | |||
|
Distribution fee |
5,528,574 | |||
|
Custodian and accounting fees |
162,253 | |||
|
Trustees’ fees |
34,070 | |||
|
Audit fee |
26,200 | |||
|
Legal fees and expenses |
19,153 | |||
|
Transfer agent’s fees and expenses (including affiliated expense of $2,188) |
7,008 | |||
|
Shareholders’ reports |
5,756 | |||
|
Miscellaneous |
56,725 | |||
|
|
|
|||
|
Total expenses |
18,212,888 | |||
|
Less: Fee waiver and/or expense reimbursement |
(331,714 | ) | ||
|
|
|
|||
|
Net expenses |
17,881,174 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) | 27,824,815 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
|
Net realized gain (loss) on: |
||||
|
Investment transactions (including affiliated of $23,359) |
177,359,420 | |||
|
Futures transactions |
8,928,730 | |||
|
|
|
|||
| 186,288,150 | ||||
|
|
|
|||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments (including affiliated of $5,523) |
276,667,273 | |||
|
Futures |
(375,547 | ) | ||
|
|
|
|||
| 276,291,726 | ||||
|
|
|
|||
| NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 462,579,876 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 490,404,691 | ||
|
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS
|
||||||||
| Year Ended December 31, | ||||||||
| 2019 | 2018 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 27,824,815 | $ | 24,744,767 | ||||
|
Net realized gain (loss) on investment transactions |
186,288,150 | 252,810,146 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments |
276,291,726 | (424,619,455 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
490,404,691 | (147,064,542 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [8,248,232 and 7,081,205 shares, respectively] |
156,445,063 | 128,823,206 | ||||||
|
Portfolio shares repurchased [32,754,414 and 27,550,854 shares, respectively] |
(644,233,839 | ) | (525,185,809 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(487,788,776 | ) | (396,362,603 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 22 | 2,819 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 2,615,937 | (543,424,326 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
2,110,196,667 | 2,653,620,993 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 2,112,812,604 | $ | 2,110,196,667 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A118
| AST SMALL-CAP GROWTH PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 98.0% | ||||||||
| COMMON STOCKS — 97.7% | Shares | Value | ||||||
|
Aerospace & Defense — 2.6% |
||||||||
|
Aerojet Rocketdyne Holdings, Inc.*(a) |
71,191 | $ | 3,250,581 | |||||
|
Kratos Defense & Security Solutions,
|
363,213 | 6,541,466 | ||||||
|
Mercury Systems, Inc.* |
179,370 | 12,396,261 | ||||||
|
|
|
|||||||
| 22,188,308 | ||||||||
|
|
|
|||||||
|
Air Freight & Logistics — 0.3% |
||||||||
|
Air Transport Services Group, Inc.* |
127,609 | 2,993,707 | ||||||
|
|
|
|||||||
|
Airlines — 0.7% |
||||||||
|
SkyWest, Inc. |
90,227 | 5,831,371 | ||||||
|
|
|
|||||||
|
Auto Components — 0.6% |
||||||||
|
Visteon Corp.* |
58,818 | 5,093,051 | ||||||
|
|
|
|||||||
|
Banks — 3.7% |
||||||||
|
Ameris Bancorp |
68,150 | 2,899,101 | ||||||
|
CenterState Bank Corp. |
8,324 | 207,933 | ||||||
|
Columbia Banking System, Inc. |
103,120 | 4,195,437 | ||||||
|
FB Financial Corp. |
35,248 | 1,395,468 | ||||||
|
National Bank Holdings Corp. (Class A Stock) |
137,348 | 4,837,397 | ||||||
|
Pacific Premier Bancorp, Inc. |
161,829 | 5,276,434 | ||||||
|
Pinnacle Financial Partners, Inc. |
86,745 | 5,551,680 | ||||||
|
Sandy Spring Bancorp, Inc. |
28,170 | 1,067,080 | ||||||
|
Webster Financial Corp. |
118,649 | 6,331,111 | ||||||
|
|
|
|||||||
| 31,761,641 | ||||||||
|
|
|
|||||||
|
Beverages — 0.3% |
||||||||
|
Boston Beer Co., Inc. (The) (Class A Stock)* |
6,743 | 2,547,842 | ||||||
|
|
|
|||||||
|
Biotechnology — 11.7% |
||||||||
|
Adamas Pharmaceuticals, Inc.*(a) |
118,263 | 448,217 | ||||||
|
Aimmune Therapeutics, Inc.*(a) |
110,200 | 3,688,394 | ||||||
|
Allogene Therapeutics, Inc.*(a) |
82,171 | 2,134,803 | ||||||
|
Argenx SE (Netherlands), ADR*(a) |
20,551 | 3,298,847 | ||||||
|
Assembly Biosciences, Inc.* |
78,570 | 1,607,542 | ||||||
|
Avrobio, Inc.*(a) |
187,369 | 3,771,738 | ||||||
|
Biohaven Pharmaceutical Holding Co. Ltd.* |
87,144 | 4,744,119 | ||||||
|
Blueprint Medicines Corp.* |
42,493 | 3,404,114 | ||||||
|
Bridgebio Pharma, Inc.*(a) |
33,668 | 1,180,063 | ||||||
|
ChemoCentryx, Inc.* |
31,570 | 1,248,594 | ||||||
|
CRISPR Therapeutics AG
|
40,200 | 2,448,381 | ||||||
|
Dicerna Pharmaceuticals, Inc.* |
127,462 | 2,807,988 | ||||||
|
Exact Sciences Corp.* |
74,367 | 6,877,460 | ||||||
|
G1 Therapeutics, Inc.*(a) |
103,994 | 2,748,561 | ||||||
|
Gritstone Oncology, Inc.*(a) |
171,143 | 1,535,153 | ||||||
|
Immunomedics, Inc.*(a) |
217,393 | 4,600,036 | ||||||
|
Insmed, Inc.*(a) |
112,614 | 2,689,222 | ||||||
|
Karyopharm Therapeutics, Inc.*(a) |
94,122 | 1,804,319 | ||||||
|
Ligand Pharmaceuticals, Inc.*(a) |
22,675 | 2,364,776 | ||||||
|
MeiraGTx Holdings PLC* |
179,314 | 3,589,866 | ||||||
|
Mirati Therapeutics, Inc.* |
36,560 | 4,711,122 | ||||||
|
Moderna, Inc.*(a) |
212,191 | 4,150,456 | ||||||
|
Momenta Pharmaceuticals, Inc.* |
172,650 | 3,406,384 | ||||||
|
NuCana PLC (United Kingdom), ADR*(a) |
82,700 | 504,470 | ||||||
|
COMMON STOCKS (continued) |
Shares | Value | ||||||
|
Biotechnology (continued) |
||||||||
|
Oyster Point Pharma, Inc.*(a) |
71,073 | $ | 1,737,024 | |||||
|
Portola Pharmaceuticals, Inc.*(a) |
91,820 | 2,192,662 | ||||||
|
PTC Therapeutics, Inc.* |
79,380 | 3,812,621 | ||||||
|
Ra Pharmaceuticals, Inc.* |
77,277 | 3,626,610 | ||||||
|
Radius Health, Inc.* |
160,072 | 3,227,052 | ||||||
|
REGENXBIO, Inc.* |
41,952 | 1,718,773 | ||||||
|
Replimune Group, Inc.*(a) |
163,270 | 2,342,924 | ||||||
|
Twist Bioscience Corp.*(a) |
60,619 | 1,272,999 | ||||||
|
Vanda Pharmaceuticals, Inc.* |
50,400 | 827,064 | ||||||
|
Vericel Corp.* |
107,200 | 1,865,280 | ||||||
|
Voyager Therapeutics, Inc.*(a) |
127,467 | 1,778,165 | ||||||
|
Xencor, Inc.*(a) |
85,936 | 2,955,339 | ||||||
|
Zymeworks, Inc. (Canada)* |
75,085 | 3,413,364 | ||||||
|
|
|
|||||||
| 100,534,502 | ||||||||
|
|
|
|||||||
|
Building Products — 1.3% |
||||||||
|
Trex Co., Inc.*(a) |
125,220 | 11,254,774 | ||||||
|
|
|
|||||||
|
Capital Markets — 0.4% |
||||||||
|
Moelis & Co. (Class A Stock) |
100,260 | 3,200,299 | ||||||
|
|
|
|||||||
|
Chemicals — 0.9% |
||||||||
|
Ingevity Corp.* |
62,215 | 5,436,347 | ||||||
|
PQ Group Holdings, Inc.* |
133,550 | 2,294,389 | ||||||
|
|
|
|||||||
| 7,730,736 | ||||||||
|
|
|
|||||||
|
Commercial Services & Supplies — 1.3% |
|
|||||||
|
Tetra Tech, Inc. |
83,271 | 7,174,629 | ||||||
|
US Ecology, Inc.(a) |
64,239 | 3,720,081 | ||||||
|
|
|
|||||||
| 10,894,710 | ||||||||
|
|
|
|||||||
|
Communications Equipment — 1.7% |
||||||||
|
Ciena Corp.* |
162,412 | 6,933,368 | ||||||
|
Lumentum Holdings, Inc.*(a) |
37,689 | 2,988,738 | ||||||
|
Viavi Solutions, Inc.* |
310,370 | 4,655,550 | ||||||
|
|
|
|||||||
| 14,577,656 | ||||||||
|
|
|
|||||||
|
Construction & Engineering — 2.1% |
||||||||
|
Arcosa, Inc. |
44,930 | 2,001,631 | ||||||
|
EMCOR Group, Inc. |
71,236 | 6,147,667 | ||||||
|
MasTec, Inc.*(a) |
90,543 | 5,809,239 | ||||||
|
NV5 Global, Inc.*(a) |
46,458 | 2,343,806 | ||||||
|
Tutor Perini Corp.*(a) |
128,793 | 1,656,278 | ||||||
|
|
|
|||||||
| 17,958,621 | ||||||||
|
|
|
|||||||
|
Diversified Consumer Services — 2.2% |
||||||||
|
Chegg, Inc.*(a) |
498,390 | 18,893,965 | ||||||
|
|
|
|||||||
|
Diversified Telecommunication Services — 1.0% |
|
|||||||
|
Cogent Communications Holdings, Inc. |
65,920 | 4,338,195 | ||||||
|
Vonage Holdings Corp.* |
640,611 | 4,746,928 | ||||||
|
|
|
|||||||
| 9,085,123 | ||||||||
|
|
|
|||||||
|
Electrical Equipment — 1.7% |
||||||||
|
Generac Holdings, Inc.* |
73,865 | 7,430,080 | ||||||
|
Regal Beloit Corp. |
66,200 | 5,667,382 | ||||||
|
Vicor Corp.* |
28,750 | 1,343,200 | ||||||
|
|
|
|||||||
| 14,440,662 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A119
| AST SMALL-CAP GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS (continued) |
Shares | Value | ||||||
|
Entertainment — 0.7% |
||||||||
|
Glu Mobile, Inc.* |
981,979 | $ | 5,940,973 | |||||
|
|
|
|||||||
|
Equity Real Estate Investment Trusts (REITs) — 2.6% |
|
|||||||
|
Agree Realty Corp.(a) |
24,990 | 1,753,548 | ||||||
|
Industrial Logistics Properties Trust |
17,680 | 396,385 | ||||||
|
Monmouth Real Estate Investment Corp. |
169,660 | 2,456,677 | ||||||
|
QTS Realty Trust, Inc. (Class A Stock)(a) |
194,685 | 10,565,555 | ||||||
|
Ryman Hospitality Properties, Inc. |
64,741 | 5,610,455 | ||||||
|
STAG Industrial, Inc. |
59,803 | 1,887,981 | ||||||
|
|
|
|||||||
| 22,670,601 | ||||||||
|
|
|
|||||||
|
Food & Staples Retailing — 1.7% |
||||||||
|
Grocery Outlet Holding Corp.*(a) |
181,087 | 5,876,273 | ||||||
|
Performance Food Group Co.* |
172,725 | 8,891,883 | ||||||
|
|
|
|||||||
| 14,768,156 | ||||||||
|
|
|
|||||||
|
Food Products — 1.9% |
||||||||
|
Freshpet, Inc.* |
146,320 | 8,646,049 | ||||||
|
Simply Good Foods Co. (The)* |
263,018 | 7,506,533 | ||||||
|
|
|
|||||||
| 16,152,582 | ||||||||
|
|
|
|||||||
|
Health Care Equipment & Supplies — 5.9% |
|
|||||||
|
AtriCure, Inc.* |
70,428 | 2,289,614 | ||||||
|
Haemonetics Corp.* |
69,798 | 8,019,790 | ||||||
|
Integer Holdings Corp.* |
67,190 | 5,404,092 | ||||||
|
LivaNova PLC* |
39,419 | 2,973,375 | ||||||
|
Merit Medical Systems, Inc.* |
72,090 | 2,250,650 | ||||||
|
Novocure Ltd.*(a) |
75,795 | 6,387,245 | ||||||
|
Sientra, Inc.*(a) |
495,482 | 4,429,609 | ||||||
|
STAAR Surgical Co.* |
156,182 | 5,492,921 | ||||||
|
Tandem Diabetes Care, Inc.* |
149,526 | 8,913,245 | ||||||
|
TransMedics Group, Inc.*(a) |
83,232 | 1,582,240 | ||||||
|
Varex Imaging Corp.* |
58,710 | 1,750,145 | ||||||
|
ViewRay, Inc.*(a) |
315,868 | 1,332,963 | ||||||
|
|
|
|||||||
| 50,825,889 | ||||||||
|
|
|
|||||||
|
Health Care Providers & Services — 1.2% |
|
|||||||
|
Addus HomeCare Corp.* |
38,495 | 3,742,484 | ||||||
|
LHC Group, Inc.* |
46,973 | 6,471,000 | ||||||
|
|
|
|||||||
| 10,213,484 | ||||||||
|
|
|
|||||||
|
Health Care Technology — 2.8% |
|
|||||||
|
Livongo Health, Inc.*(a) |
101,621 | 2,546,622 | ||||||
|
Tabula Rasa HealthCare, Inc.*(a) |
169,345 | 8,243,714 | ||||||
|
Teladoc Health, Inc.*(a) |
141,615 | 11,856,008 | ||||||
|
Vocera Communications, Inc.*(a) |
64,659 | 1,342,321 | ||||||
|
|
|
|||||||
| 23,988,665 | ||||||||
|
|
|
|||||||
|
Hotels, Restaurants & Leisure — 6.5% |
|
|||||||
|
Churchill Downs, Inc. |
58,502 | 8,026,474 | ||||||
|
Chuy’s Holdings, Inc.*(a) |
79,867 | 2,070,153 | ||||||
|
Del Taco Restaurants, Inc.* |
169,500 | 1,339,898 | ||||||
|
Everi Holdings, Inc.* |
331,350 | 4,450,030 | ||||||
|
Jack in the Box, Inc.(a) |
59,229 | 4,621,639 | ||||||
|
Noodles & Co.*(a) |
182,850 | 1,012,989 | ||||||
|
Planet Fitness, Inc. (Class A Stock)*(a) |
229,733 | 17,156,460 | ||||||
|
PlayAGS, Inc.* |
117,464 | 1,424,838 | ||||||
|
COMMON STOCKS (continued) |
Shares | Value | ||||||
|
Hotels, Restaurants & Leisure (continued) |
|
|||||||
|
SeaWorld Entertainment, Inc.*(a) |
153,022 | $ | 4,852,328 | |||||
|
Shake Shack, Inc. (Class A Stock)* |
86,179 | 5,133,683 | ||||||
|
Wendy’s Co. (The) |
282,251 | 6,268,795 | ||||||
|
|
|
|||||||
| 56,357,287 | ||||||||
|
|
|
|||||||
|
Household Durables — 1.3% |
||||||||
|
Meritage Homes Corp.* |
80,221 | 4,902,305 | ||||||
|
Sonos, Inc.*(a) |
250,428 | 3,911,685 | ||||||
|
Taylor Morrison Home Corp.* |
120,580 | 2,635,879 | ||||||
|
|
|
|||||||
| 11,449,869 | ||||||||
|
|
|
|||||||
|
Insurance — 0.9% |
||||||||
|
BRP Group, Inc. (Class A Stock)*(a) |
159,670 | 2,562,703 | ||||||
|
eHealth, Inc.*(a) |
25,379 | 2,438,414 | ||||||
|
Palomar Holdings, Inc.* |
59,930 | 3,025,866 | ||||||
|
|
|
|||||||
| 8,026,983 | ||||||||
|
|
|
|||||||
|
Interactive Media & Services — 0.2% |
|
|||||||
|
EverQuote, Inc. (Class A Stock)*(a) |
50,240 | 1,725,744 | ||||||
|
|
|
|||||||
|
IT Services — 1.8% |
||||||||
|
Evo Payments, Inc. (Class A Stock)* |
63,500 | 1,677,035 | ||||||
|
Perficient, Inc.* |
94,442 | 4,350,943 | ||||||
|
USA Technologies, Inc.*(a) |
221,062 | 1,635,859 | ||||||
|
Wix.com Ltd. (Israel)* |
62,400 | 7,636,512 | ||||||
|
|
|
|||||||
| 15,300,349 | ||||||||
|
|
|
|||||||
|
Leisure Products — 0.5% |
||||||||
|
YETI Holdings, Inc.*(a) |
131,800 | 4,584,004 | ||||||
|
|
|
|||||||
|
Life Sciences Tools & Services — 2.2% |
|
|||||||
|
10X Genomics, Inc. (Class A Stock)*(a) |
12,900 | 983,625 | ||||||
|
Adaptive Biotechnologies Corp.*(a) |
22,476 | 672,482 | ||||||
|
Charles River Laboratories International, Inc.* |
17,710 | 2,705,380 | ||||||
|
NanoString Technologies, Inc.* |
223,183 | 6,208,951 | ||||||
|
NeoGenomics, Inc.*(a) |
279,505 | 8,175,521 | ||||||
|
|
|
|||||||
| 18,745,959 | ||||||||
|
|
|
|||||||
|
Machinery — 4.4% |
||||||||
|
Altra Industrial Motion Corp. |
173,256 | 6,273,600 | ||||||
|
Chart Industries, Inc.* |
167,653 | 11,314,901 | ||||||
|
Harsco Corp.* |
189,282 | 4,355,379 | ||||||
|
Kadant, Inc. |
49,686 | 5,233,923 | ||||||
|
Kennametal, Inc.(a) |
104,199 | 3,843,901 | ||||||
|
Woodward, Inc. |
56,034 | 6,636,667 | ||||||
|
|
|
|||||||
| 37,658,371 | ||||||||
|
|
|
|||||||
|
Metals & Mining — 0.2% |
||||||||
|
Carpenter Technology Corp.(a) |
29,344 | 1,460,744 | ||||||
|
|
|
|||||||
|
Multiline Retail — 0.9% |
||||||||
|
Ollie’s Bargain Outlet Holdings, Inc.*(a) |
117,783 | 7,692,408 | ||||||
|
|
|
|||||||
|
Oil, Gas & Consumable Fuels — 0.8% |
|
|||||||
|
Matador Resources Co.*(a) |
143,220 | 2,573,663 | ||||||
|
New Fortress Energy LLC*(a) |
148,735 | 2,330,678 | ||||||
|
Viper Energy Partners LP |
93,950 | 2,316,807 | ||||||
|
|
|
|||||||
| 7,221,148 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A120
| AST SMALL-CAP GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Paper & Forest Products — 0.6% |
||||||||
|
Boise Cascade Co. |
152,041 | $ | 5,554,058 | |||||
|
|
|
|||||||
|
Personal Products — 0.7% |
||||||||
|
BellRing Brands, Inc. (Class A Stock)* |
298,423 | 6,353,426 | ||||||
|
|
|
|||||||
|
Pharmaceuticals — 3.0% |
||||||||
|
Amphastar Pharmaceuticals, Inc.* |
116,611 | 2,249,426 | ||||||
|
BioDelivery Sciences International, Inc.* |
420,292 | 2,656,245 | ||||||
|
Collegium Pharmaceutical, Inc.* |
279,367 | 5,749,373 | ||||||
|
Horizon Therapeutics PLC* |
228,508 | 8,271,990 | ||||||
|
Reata Pharmaceuticals, Inc. (Class A Stock)*(a) |
18,880 | 3,859,638 | ||||||
|
Zogenix, Inc.* |
66,567 | 3,470,138 | ||||||
|
|
|
|||||||
| 26,256,810 | ||||||||
|
|
|
|||||||
|
Professional Services — 1.8% |
||||||||
|
ASGN, Inc.* |
85,935 | 6,098,807 | ||||||
|
Insperity, Inc. |
46,473 | 3,998,537 | ||||||
|
TriNet Group, Inc.* |
98,180 | 5,557,970 | ||||||
|
|
|
|||||||
| 15,655,314 | ||||||||
|
|
|
|||||||
|
Road & Rail — 0.5% |
||||||||
|
Werner Enterprises, Inc.(a) |
130,802 | 4,759,885 | ||||||
|
|
|
|||||||
|
Semiconductors & Semiconductor Equipment — 2.8% |
|
|||||||
|
MACOM Technology Solutions Holdings, Inc.* |
102,630 | 2,729,958 | ||||||
|
MaxLinear, Inc.* |
175,562 | 3,725,426 | ||||||
|
Monolithic Power Systems, Inc. |
25,254 | 4,495,717 | ||||||
|
PDF Solutions, Inc.* |
105,661 | 1,784,614 | ||||||
|
Universal Display Corp. |
56,069 | 11,554,139 | ||||||
|
|
|
|||||||
| 24,289,854 | ||||||||
|
|
|
|||||||
|
Software — 12.4% |
||||||||
|
8x8, Inc.*(a) |
288,631 | 5,281,947 | ||||||
|
Alarm.com Holdings, Inc.*(a) |
42,059 | 1,807,275 | ||||||
|
Alteryx, Inc. (Class A Stock)*(a) |
81,821 | 8,187,827 | ||||||
|
Bill.Com Holdings, Inc.* |
24,671 | 938,732 | ||||||
|
Cloudflare, Inc. (Class A Stock)*(a) |
315,331 | 5,379,547 | ||||||
|
Crowdstrike Holdings, Inc. (Class A Stock)* |
85,253 | 4,251,567 | ||||||
|
ForeScout Technologies, Inc.* |
147,770 | 4,846,856 | ||||||
|
j2 Global, Inc.(a) |
58,358 | 5,468,728 | ||||||
|
LivePerson, Inc.*(a) |
194,260 | 7,187,620 | ||||||
|
Model N, Inc.* |
152,869 | 5,361,116 | ||||||
|
New Relic, Inc.* |
20,731 | 1,362,234 | ||||||
|
Pluralsight, Inc. (Class A Stock)*(a) |
232,790 | 4,006,316 | ||||||
|
Proofpoint, Inc.* |
57,497 | 6,599,506 | ||||||
|
PROS Holdings, Inc.* |
97,935 | 5,868,265 | ||||||
|
Q2 Holdings, Inc.*(a) |
33,634 | 2,727,045 | ||||||
|
Rapid7, Inc.* |
129,092 | 7,231,734 | ||||||
|
SailPoint Technologies Holding, Inc.* |
144,790 | 3,417,044 | ||||||
|
Sprout Social, Inc. (Class A Stock)*(a) |
143,925 | 2,309,996 | ||||||
|
SVMK, Inc.* |
184,549 | 3,297,891 | ||||||
|
Tenable Holdings, Inc.* |
208,317 | 4,991,275 | ||||||
|
Upland Software, Inc.* |
87,766 | 3,134,124 | ||||||
|
Varonis Systems, Inc.* |
167,145 | 12,988,838 | ||||||
|
|
|
|||||||
| 106,645,483 | ||||||||
|
|
|
|||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $236,057,967; cash collateral of $240,657,792 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
A121
| AST SMALL-CAP GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as the manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 22,188,308 | $ | — | $ | — | ||||||
|
Air Freight & Logistics |
2,993,707 | — | — | |||||||||
|
Airlines |
5,831,371 | — | — | |||||||||
|
Auto Components |
5,093,051 | — | — | |||||||||
|
Banks |
31,761,641 | — | — | |||||||||
|
Beverages |
2,547,842 | — | — | |||||||||
|
Biotechnology |
100,534,502 | — | — | |||||||||
|
Building Products |
11,254,774 | — | — | |||||||||
|
Capital Markets |
3,200,299 | — | — | |||||||||
|
Chemicals |
7,730,736 | — | — | |||||||||
|
Commercial Services & Supplies |
10,894,710 | — | — | |||||||||
|
Communications Equipment |
14,577,656 | — | — | |||||||||
|
Construction & Engineering |
17,958,621 | — | — | |||||||||
|
Diversified Consumer Services |
18,893,965 | — | — | |||||||||
|
Diversified Telecommunication Services |
9,085,123 | — | — | |||||||||
|
Electrical Equipment |
14,440,662 | — | — | |||||||||
|
Entertainment |
5,940,973 | — | — | |||||||||
|
Equity Real Estate Investment Trusts (REITs) |
22,670,601 | — | — | |||||||||
|
Food & Staples Retailing |
14,768,156 | — | — | |||||||||
|
Food Products |
16,152,582 | — | — | |||||||||
|
Health Care Equipment & Supplies |
50,825,889 | — | — | |||||||||
|
Health Care Providers & Services |
10,213,484 | — | — | |||||||||
|
Health Care Technology |
23,988,665 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
56,357,287 | — | — | |||||||||
|
Household Durables |
11,449,869 | — | — | |||||||||
|
Insurance |
8,026,983 | — | — | |||||||||
|
Interactive Media & Services |
1,725,744 | — | — | |||||||||
|
IT Services |
15,300,349 | — | — | |||||||||
|
Leisure Products |
4,584,004 | — | — | |||||||||
|
Life Sciences Tools & Services |
18,745,959 | — | — | |||||||||
|
Machinery |
37,658,371 | — | — | |||||||||
|
Metals & Mining |
1,460,744 | — | — | |||||||||
|
Multiline Retail |
7,692,408 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
7,221,148 | — | — | |||||||||
|
Paper & Forest Products |
5,554,058 | — | — | |||||||||
|
Personal Products |
6,353,426 | — | — | |||||||||
|
Pharmaceuticals |
26,256,810 | — | — | |||||||||
|
Professional Services |
15,655,314 | — | — | |||||||||
|
Road & Rail |
4,759,885 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
24,289,854 | — | — | |||||||||
|
Software |
106,645,483 | — | — | |||||||||
|
Specialty Retail |
29,143,744 | — | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A122
| AST SMALL-CAP GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Textiles, Apparel & Luxury Goods |
$ | 11,392,059 | $ | — | $ | — | ||||||
|
Thrifts & Mortgage Finance |
17,752,486 | — | — | |||||||||
|
Wireless Telecommunication Services |
1,201,653 | — | — | |||||||||
|
Exchange-Traded Fund |
3,191,878 | — | — | |||||||||
|
Affiliated Mutual Funds |
247,744,311 | — | — | |||||||||
|
Unaffiliated Fund |
9,173,600 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 1,102,884,745 | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Affiliated Mutual Funds (27.9% represents investments purchased with collateral from securities on loan) |
28.7 | % | ||
|
Software |
12.4 | |||
|
Biotechnology |
11.7 | |||
|
Hotels, Restaurants & Leisure |
6.5 | |||
|
Health Care Equipment & Supplies |
5.9 | |||
|
Machinery |
4.4 | |||
|
Banks |
3.7 | |||
|
Specialty Retail |
3.4 | |||
|
Pharmaceuticals |
3.0 | |||
|
Semiconductors & Semiconductor Equipment |
2.8 | |||
|
Health Care Technology |
2.8 | |||
|
Equity Real Estate Investment Trusts (REITs) |
2.6 | |||
|
Aerospace & Defense |
2.6 | |||
|
Diversified Consumer Services |
2.2 | |||
|
Life Sciences Tools & Services |
2.2 | |||
|
Construction & Engineering |
2.1 | |||
|
Thrifts & Mortgage Finance |
2.1 | |||
|
Food Products |
1.9 | |||
|
Professional Services |
1.8 | |||
|
IT Services |
1.8 | |||
|
Food & Staples Retailing |
1.7 | |||
|
Communications Equipment |
1.7 | |||
|
Electrical Equipment |
1.7 | |||
|
Household Durables |
1.3 | |||
|
Textiles, Apparel & Luxury Goods |
1.3 | |||
|
Building Products |
1.3 |
|
Commercial Services & Supplies |
1.3 | % | ||
|
Health Care Providers & Services |
1.2 | |||
|
Unaffiliated Fund |
1.1 | |||
|
Diversified Telecommunication Services |
1.0 | |||
|
Insurance |
0.9 | |||
|
Chemicals |
0.9 | |||
|
Multiline Retail |
0.9 | |||
|
Oil, Gas & Consumable Fuels |
0.8 | |||
|
Personal Products |
0.7 | |||
|
Entertainment |
0.7 | |||
|
Airlines |
0.7 | |||
|
Paper & Forest Products |
0.6 | |||
|
Auto Components |
0.6 | |||
|
Road & Rail |
0.5 | |||
|
Leisure Products |
0.5 | |||
|
Capital Markets |
0.4 | |||
|
Exchange-Traded Fund |
0.3 | |||
|
Air Freight & Logistics |
0.3 | |||
|
Beverages |
0.3 | |||
|
Interactive Media & Services |
0.2 | |||
|
Metals & Mining |
0.2 | |||
|
Wireless Telecommunication Services |
0.1 | |||
|
|
|
|||
| 127.8 | ||||
|
Liabilities in excess of other assets |
(27.8 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 236,057,967 | $ | (236,057,967 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A123
| AST SMALL-CAP GROWTH PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
|
ASSETS |
||||
|
Investments at value, including securities on loan of $236,057,967: |
||||
|
Unaffiliated investments (cost $682,372,464) |
$ | 855,140,434 | ||
|
Affiliated investments (cost $247,727,783) |
247,744,311 | |||
|
Receivable for investments sold |
2,876,565 | |||
|
Dividends receivable |
342,088 | |||
|
Receivable for Portfolio shares sold |
13,242 | |||
|
Prepaid expenses |
6,145 | |||
|
|
|
|||
|
Total Assets |
1,106,122,785 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
240,657,792 | |||
|
Payable for investments purchased |
1,695,271 | |||
|
Accrued expenses and other liabilities |
416,398 | |||
|
Management fee payable |
340,966 | |||
|
Payable for Portfolio shares repurchased |
311,160 | |||
|
Distribution fee payable |
35,697 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
243,457,641 | |||
|
|
|
|||
| NET ASSETS | $ | 862,665,144 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 862,665,144 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $862,665,144 / 16,261,885 outstanding shares of beneficial interest |
$ | 53.05 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
| NET INVESTMENT INCOME (LOSS) | ||||
| INCOME | ||||
|
Unaffiliated dividend income |
$ | 4,556,072 | ||
|
Income from securities lending, net (including affiliated income of $736,380) |
1,183,140 | |||
|
Affiliated dividend income |
197,531 | |||
|
|
|
|||
|
Total income |
5,936,743 | |||
|
|
|
|||
| EXPENSES | ||||
|
Management fee |
6,030,885 | |||
|
Distribution fee |
2,091,062 | |||
|
Custodian and accounting fees |
121,522 | |||
|
Audit fee |
25,265 | |||
|
Trustees’ fees |
18,680 | |||
|
Legal fees and expenses |
14,679 | |||
|
Shareholders’ reports |
9,164 | |||
|
Transfer agent’s fees and expenses (including affiliated expense of $2,188) |
7,008 | |||
|
Miscellaneous |
29,231 | |||
|
|
|
|||
|
Total expenses |
8,347,496 | |||
|
Less: Fee waiver and/or expense reimbursement |
(33,457 | ) | ||
|
|
|
|||
|
Net expenses |
8,314,039 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) | (2,377,296 | ) | ||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
|
Net realized gain (loss) on investment transactions (including affiliated of $766) |
84,242,952 | |||
|
Net change in unrealized appreciation (depreciation) on investments (including affiliated of $43,338) |
127,395,366 | |||
|
|
|
|||
| NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 211,638,318 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 209,261,022 | ||
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | (2,377,296 | ) | $ | (3,475,619 | ) | ||
|
Net realized gain (loss) on investment transactions |
84,242,952 | 101,465,391 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments |
127,395,366 | (166,168,598 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
209,261,022 | (68,178,826 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [2,784,960 and 2,928,394 shares, respectively] |
132,811,793 | 138,905,374 | ||||||
|
Portfolio shares repurchased [3,188,938 and 6,127,040 shares, respectively] |
(158,959,559 | ) | (275,370,432 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(26,147,766 | ) | (136,465,058 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 760 | — | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 183,114,016 | (204,643,884 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
679,551,128 | 884,195,012 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 862,665,144 | $ | 679,551,128 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A124
| AST SMALL-CAP GROWTH OPPORTUNITIES PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 98.8% | ||||||||
| COMMON STOCKS — 98.0% | Shares | Value | ||||||
|
Aerospace & Defense — 2.9% |
||||||||
|
Aerojet Rocketdyne Holdings, Inc.*(a) |
89,326 | $ | 4,078,625 | |||||
|
Axon Enterprise, Inc.*(a) |
101,050 | 7,404,944 | ||||||
|
Curtiss-Wright Corp. |
25,958 | 3,657,223 | ||||||
|
Mercury Systems, Inc.* |
111,838 | 7,729,124 | ||||||
|
|
|
|||||||
| 22,869,916 | ||||||||
|
|
|
|||||||
|
Airlines — 0.7% |
||||||||
|
Azul SA (Brazil), ADR*(a) |
134,500 | 5,756,600 | ||||||
|
|
|
|||||||
|
Auto Components — 0.2% |
||||||||
|
Visteon Corp.* |
22,308 | 1,931,650 | ||||||
|
|
|
|||||||
|
Automobiles — 0.4% |
||||||||
|
Thor Industries, Inc.(a) |
47,187 | 3,505,522 | ||||||
|
|
|
|||||||
|
Banks — 2.2% |
||||||||
|
First Busey Corp. |
74,417 | 2,046,467 | ||||||
|
First Hawaiian, Inc. |
91,855 | 2,650,017 | ||||||
|
Seacoast Banking Corp. of Florida* |
77,698 | 2,375,228 | ||||||
|
Sterling Bancorp |
148,653 | 3,133,605 | ||||||
|
Triumph Bancorp, Inc.* |
67,177 | 2,554,070 | ||||||
|
Western Alliance Bancorp |
84,153 | 4,796,721 | ||||||
|
|
|
|||||||
| 17,556,108 | ||||||||
|
|
|
|||||||
|
Biotechnology — 14.9% |
||||||||
|
Abeona Therapeutics, Inc.*(a) |
76,186 | 249,128 | ||||||
|
ACADIA Pharmaceuticals, Inc.*(a) |
38,960 | 1,666,709 | ||||||
|
Acceleron Pharma, Inc.* |
46,450 | 2,462,779 | ||||||
|
Aimmune Therapeutics, Inc.*(a) |
201,658 | 6,749,493 | ||||||
|
Allakos, Inc.*(a) |
22,720 | 2,166,579 | ||||||
|
Amicus Therapeutics, Inc.* |
311,752 | 3,036,464 | ||||||
|
Apellis Pharmaceuticals, Inc.* |
230,434 | 7,055,889 | ||||||
|
Arena Pharmaceuticals, Inc.* |
117,420 | 5,333,216 | ||||||
|
Ascendis Pharma A/S (Denmark), ADR* |
31,190 | 4,339,153 | ||||||
|
Assembly Biosciences, Inc.* |
68,990 | 1,411,535 | ||||||
|
Biohaven Pharmaceutical Holding Co. Ltd.* |
38,455 | 2,093,490 | ||||||
|
Bluebird Bio, Inc.*(a) |
56,110 | 4,923,652 | ||||||
|
Blueprint Medicines Corp.* |
83,200 | 6,665,152 | ||||||
|
Celyad SA (Belgium), ADR*(a) |
56,345 | 587,115 | ||||||
|
Constellation Pharmaceuticals, Inc.*(a) |
37,797 | 1,780,617 | ||||||
|
CytomX Therapeutics, Inc.* |
180,440 | 1,499,456 | ||||||
|
Epizyme, Inc.*(a) |
192,520 | 4,735,992 | ||||||
|
Equillium, Inc.*(a) |
124,460 | 420,675 | ||||||
|
Fate Therapeutics, Inc.* |
264,160 | 5,169,611 | ||||||
|
G1 Therapeutics, Inc.* |
41,845 | 1,105,963 | ||||||
|
Global Blood Therapeutics, Inc.* |
35,845 | 2,849,319 | ||||||
|
Gossamer Bio, Inc.* |
96,060 | 1,501,418 | ||||||
|
Heron Therapeutics, Inc.*(a) |
114,349 | 2,687,202 | ||||||
|
Immunomedics, Inc.* |
140,980 | 2,983,137 | ||||||
|
Intercept Pharmaceuticals, Inc.*(a) |
24,956 | 3,092,548 | ||||||
|
Invitae Corp.*(a) |
178,070 | 2,872,269 | ||||||
|
Iovance Biotherapeutics, Inc.* |
268,594 | 7,434,682 | ||||||
|
Karyopharm Therapeutics, Inc.*(a) |
47,200 | 904,824 | ||||||
|
Kodiak Sciences, Inc.*(a) |
42,571 | 3,062,983 | ||||||
|
Kura Oncology, Inc.*(a) |
139,110 | 1,912,763 | ||||||
|
Ligand Pharmaceuticals, Inc.*(a) |
14,557 | 1,518,150 | ||||||
|
Madrigal Pharmaceuticals, Inc.*(a) |
13,927 | 1,268,889 | ||||||
|
Mirati Therapeutics, Inc.* |
48,074 | 6,194,816 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Biotechnology (continued) |
||||||||
|
Myovant Sciences Ltd.* |
173,490 | $ | 2,692,565 | |||||
|
Portola Pharmaceuticals, Inc.*(a) |
56,560 | 1,350,653 | ||||||
|
Principia Biopharma, Inc.*(a) |
52,647 | 2,884,003 | ||||||
|
Radius Health, Inc.* |
61,403 | 1,237,884 | ||||||
|
REGENXBIO, Inc.* |
33,763 | 1,383,270 | ||||||
|
Rhythm Pharmaceuticals, Inc.*(a) |
76,581 | 1,758,300 | ||||||
|
Spectrum Pharmaceuticals, Inc.* |
100,969 | 367,527 | ||||||
|
Ultragenyx Pharmaceutical, Inc.* |
49,066 | 2,095,609 | ||||||
|
Y-mAbs Therapeutics, Inc.* |
48,199 | 1,506,219 | ||||||
|
|
|
|||||||
| 117,011,698 | ||||||||
|
|
|
|||||||
|
Building Products — 2.2% |
||||||||
|
American Woodmark Corp.* |
24,442 | 2,554,433 | ||||||
|
Armstrong World Industries, Inc. |
54,755 | 5,145,327 | ||||||
|
Patrick Industries, Inc. |
66,097 | 3,465,466 | ||||||
|
Simpson Manufacturing Co., Inc. |
33,160 | 2,660,427 | ||||||
|
Trex Co., Inc.*(a) |
39,010 | 3,506,219 | ||||||
|
|
|
|||||||
| 17,331,872 | ||||||||
|
|
|
|||||||
|
Capital Markets — 0.6% |
||||||||
|
Blucora, Inc.* |
86,293 | 2,255,699 | ||||||
|
Evercore, Inc. (Class A Stock) |
36,582 | 2,734,870 | ||||||
|
|
|
|||||||
| 4,990,569 | ||||||||
|
|
|
|||||||
|
Chemicals — 1.5% |
||||||||
|
Ingevity Corp.* |
78,369 | 6,847,883 | ||||||
|
Livent Corp.*(a) |
210,830 | 1,802,597 | ||||||
|
PolyOne Corp. |
81,460 | 2,996,913 | ||||||
|
|
|
|||||||
| 11,647,393 | ||||||||
|
|
|
|||||||
|
Commercial Services & Supplies — 1.1% |
|
|||||||
|
Clean Harbors, Inc.* |
43,333 | 3,715,805 | ||||||
|
MSA Safety, Inc. |
30,742 | 3,884,559 | ||||||
|
Viad Corp. |
17,296 | 1,167,480 | ||||||
|
|
|
|||||||
| 8,767,844 | ||||||||
|
|
|
|||||||
|
Communications Equipment — 0.5% |
||||||||
|
Lumentum Holdings, Inc.*(a) |
48,697 | 3,861,672 | ||||||
|
|
|
|||||||
|
Consumer Finance — 1.5% |
||||||||
|
FirstCash, Inc. |
75,910 | 6,120,623 | ||||||
|
OneMain Holdings, Inc. |
59,554 | 2,510,201 | ||||||
|
SLM Corp. |
326,617 | 2,910,158 | ||||||
|
|
|
|||||||
| 11,540,982 | ||||||||
|
|
|
|||||||
|
Containers & Packaging — 0.4% |
||||||||
|
Graphic Packaging Holding Co. |
197,510 | 3,288,541 | ||||||
|
|
|
|||||||
|
Distributors — 0.2% |
||||||||
|
Core-Mark Holding Co., Inc. |
46,730 | 1,270,589 | ||||||
|
|
|
|||||||
|
Diversified Consumer Services — 2.0% |
|
|||||||
|
Arco Platform Ltd. (Brazil) (Class A Stock)*(a) |
105,460 | 4,661,332 | ||||||
|
frontdoor, Inc.* |
62,070 | 2,943,360 | ||||||
|
Regis Corp.*(a) |
116,990 | 2,090,611 | ||||||
|
Strategic Education, Inc. |
39,460 | 6,270,194 | ||||||
|
|
|
|||||||
| 15,965,497 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A125
| AST SMALL-CAP GROWTH OPPORTUNITIES PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Diversified Telecommunication Services — 0.7% |
|
|||||||
|
Bandwidth, Inc. (Class A Stock)* |
68,290 | $ | 4,373,975 | |||||
|
ORBCOMM, Inc.* |
202,226 | 851,371 | ||||||
|
|
|
|||||||
| 5,225,346 | ||||||||
|
|
|
|||||||
|
Electrical Equipment — 1.9% |
||||||||
|
AZZ, Inc. |
49,550 | 2,276,823 | ||||||
|
EnerSys |
46,519 | 3,481,017 | ||||||
|
Generac Holdings, Inc.* |
93,660 | 9,421,259 | ||||||
|
|
|
|||||||
| 15,179,099 | ||||||||
|
|
|
|||||||
|
Electronic Equipment, Instruments & Components — 2.2% |
|
|||||||
|
CTS Corp. |
82,797 | 2,484,738 | ||||||
|
Itron, Inc.* |
118,557 | 9,952,861 | ||||||
|
Littelfuse, Inc. |
14,237 | 2,723,538 | ||||||
|
Rogers Corp.* |
17,223 | 2,148,225 | ||||||
|
|
|
|||||||
| 17,309,362 | ||||||||
|
|
|
|||||||
|
Energy Equipment & Services — 0.3% |
||||||||
|
Newpark Resources, Inc.* |
383,840 | 2,406,677 | ||||||
|
|
|
|||||||
|
Equity Real Estate Investment Trusts (REITs) — 1.6% |
|
|||||||
|
Columbia Property Trust, Inc. |
100,744 | 2,106,557 | ||||||
|
CoreSite Realty Corp. |
20,466 | 2,294,648 | ||||||
|
Corporate Office Properties Trust |
76,778 | 2,255,738 | ||||||
|
Independence Realty Trust, Inc. |
45,500 | 640,640 | ||||||
|
Pebblebrook Hotel Trust |
81,002 | 2,171,664 | ||||||
|
PS Business Parks, Inc. |
20,896 | 3,445,123 | ||||||
|
|
|
|||||||
| 12,914,370 | ||||||||
|
|
|
|||||||
|
Food & Staples Retailing — 1.3% |
||||||||
|
BJ’s Wholesale Club Holdings, Inc.*(a) |
142,950 | 3,250,683 | ||||||
|
Casey’s General Stores, Inc. |
9,224 | 1,466,524 | ||||||
|
Performance Food Group Co.* |
105,328 | 5,422,285 | ||||||
|
|
|
|||||||
| 10,139,492 | ||||||||
|
|
|
|||||||
|
Food Products — 2.6% |
||||||||
|
B&G Foods, Inc.(a) |
75,277 | 1,349,717 | ||||||
|
Freshpet, Inc.* |
95,374 | 5,635,650 | ||||||
|
Hostess Brands, Inc.*(a) |
547,368 | 7,958,731 | ||||||
|
Nomad Foods Ltd. (United Kingdom)* |
190,620 | 4,264,169 | ||||||
|
Post Holdings, Inc.* |
13,872 | 1,513,435 | ||||||
|
|
|
|||||||
| 20,721,702 | ||||||||
|
|
|
|||||||
|
Health Care Equipment & Supplies — 5.8% |
|
|||||||
|
AtriCure, Inc.* |
82,151 | 2,670,729 | ||||||
|
Cardiovascular Systems, Inc.* |
56,547 | 2,747,619 | ||||||
|
CryoPort, Inc.*(a) |
141,730 | 2,332,876 | ||||||
|
Globus Medical, Inc. (Class A Stock)* |
82,261 | 4,843,528 | ||||||
|
Haemonetics Corp.* |
36,532 | 4,197,527 | ||||||
|
ICU Medical, Inc.* |
5,177 | 968,720 | ||||||
|
Integer Holdings Corp.* |
44,658 | 3,591,843 | ||||||
|
Integra LifeSciences Holdings Corp.* |
55,032 | 3,207,265 | ||||||
|
iRhythm Technologies, Inc.*(a) |
66,817 | 4,549,569 | ||||||
|
Masimo Corp.* |
24,560 | 3,881,954 | ||||||
|
Nevro Corp.*(a) |
34,670 | 4,075,112 | ||||||
|
NuVasive, Inc.* |
25,459 | 1,968,999 | ||||||
|
OraSure Technologies, Inc.*(a) |
126,525 | 1,015,996 | ||||||
|
Silk Road Medical, Inc.*(a) |
64,730 | 2,613,797 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Health Care Equipment & Supplies (continued) |
|
|||||||
|
Tandem Diabetes Care, Inc.* |
47,296 | $ | 2,819,314 | |||||
|
|
|
|||||||
| 45,484,848 | ||||||||
|
|
|
|||||||
|
Health Care Providers & Services — 3.3% |
|
|||||||
|
Addus HomeCare Corp.* |
22,767 | 2,213,408 | ||||||
|
Hanger, Inc.* |
131,070 | 3,618,843 | ||||||
|
HealthEquity, Inc.* |
48,960 | 3,626,467 | ||||||
|
LHC Group, Inc.* |
70,742 | 9,745,418 | ||||||
|
Providence Service Corp. (The)* |
26,261 | 1,554,126 | ||||||
|
R1 RCM, Inc.* |
272,125 | 3,532,182 | ||||||
|
US Physical Therapy, Inc.(a) |
13,881 | 1,587,292 | ||||||
|
|
|
|||||||
| 25,877,736 | ||||||||
|
|
|
|||||||
|
Health Care Technology — 2.4% |
||||||||
|
Health Catalyst, Inc.*(a) |
77,140 | 2,676,758 | ||||||
|
HMS Holdings Corp.* |
126,314 | 3,738,894 | ||||||
|
Inspire Medical Systems, Inc.* |
53,870 | 3,997,693 | ||||||
|
Omnicell, Inc.* |
68,490 | 5,597,003 | ||||||
|
Teladoc Health, Inc.*(a) |
37,132 | 3,108,691 | ||||||
|
|
|
|||||||
| 19,119,039 | ||||||||
|
|
|
|||||||
|
Hotels, Restaurants & Leisure — 2.9% |
||||||||
|
Dine Brands Global, Inc.(a) |
46,390 | 3,874,493 | ||||||
|
Dunkin’ Brands Group, Inc.(a) |
31,818 | 2,403,532 | ||||||
|
Eldorado Resorts, Inc.*(a) |
83,980 | 5,008,567 | ||||||
|
Marriott Vacations Worldwide Corp. |
30,300 | 3,901,428 | ||||||
|
Planet Fitness, Inc. (Class A Stock)*(a) |
55,410 | 4,138,019 | ||||||
|
Wingstop, Inc.(a) |
41,206 | 3,553,193 | ||||||
|
|
|
|||||||
| 22,879,232 | ||||||||
|
|
|
|||||||
|
Household Durables — 0.9% |
||||||||
|
Skyline Champion Corp.* |
55,870 | 1,771,079 | ||||||
|
TopBuild Corp.* |
48,996 | 5,050,508 | ||||||
|
|
|
|||||||
| 6,821,587 | ||||||||
|
|
|
|||||||
|
Insurance — 1.2% |
||||||||
|
eHealth, Inc.*(a) |
32,300 | 3,103,384 | ||||||
|
James River Group Holdings Ltd. |
81,624 | 3,363,725 | ||||||
|
Kemper Corp. |
36,394 | 2,820,535 | ||||||
|
|
|
|||||||
| 9,287,644 | ||||||||
|
|
|
|||||||
|
Interactive Media & Services — 0.5% |
||||||||
|
Cargurus, Inc.*(a) |
51,670 | 1,817,750 | ||||||
|
QuinStreet, Inc.* |
145,280 | 2,224,237 | ||||||
|
|
|
|||||||
| 4,041,987 | ||||||||
|
|
|
|||||||
|
IT Services — 3.9% |
||||||||
|
CACI International, Inc. (Class A Stock)* |
14,376 | 3,593,856 | ||||||
|
Evo Payments, Inc. (Class A Stock)* |
183,970 | 4,858,648 | ||||||
|
LiveRamp Holdings, Inc.* |
118,210 | 5,682,354 | ||||||
|
Science Applications International Corp. |
69,592 | 6,055,896 | ||||||
|
Wix.com Ltd. (Israel)* |
50,910 | 6,230,366 | ||||||
|
WNS Holdings Ltd. (India), ADR* |
70,567 | 4,668,007 | ||||||
|
|
|
|||||||
| 31,089,127 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A126
| AST SMALL-CAP GROWTH OPPORTUNITIES PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Leisure Products — 0.7% |
||||||||
|
American Outdoor Brands Corp.* |
215,650 | $ | 2,001,232 | |||||
|
YETI Holdings, Inc.*(a) |
96,966 | 3,372,477 | ||||||
|
|
|
|||||||
| 5,373,709 | ||||||||
|
|
|
|||||||
|
Life Sciences Tools & Services — 0.8% |
||||||||
|
NanoString Technologies, Inc.* |
64,549 | 1,795,753 | ||||||
|
Repligen Corp.* |
17,612 | 1,629,110 | ||||||
|
Syneos Health, Inc.* |
47,900 | 2,848,853 | ||||||
|
|
|
|||||||
| 6,273,716 | ||||||||
|
|
|
|||||||
|
Machinery — 4.9% |
||||||||
|
Albany International Corp. (Class A Stock) |
60,240 | 4,573,421 | ||||||
|
Altra Industrial Motion Corp. |
92,345 | 3,343,812 | ||||||
|
ESCO Technologies, Inc. |
53,520 | 4,950,600 | ||||||
|
ITT, Inc. |
59,530 | 4,399,862 | ||||||
|
John Bean Technologies Corp. |
46,645 | 5,255,026 | ||||||
|
Rexnord Corp.* |
98,884 | 3,225,596 | ||||||
|
SPX Corp.* |
95,430 | 4,855,478 | ||||||
|
SPX FLOW, Inc.* |
51,634 | 2,523,354 | ||||||
|
Watts Water Technologies, Inc. (Class A Stock) |
54,580 | 5,444,901 | ||||||
|
|
|
|||||||
| 38,572,050 | ||||||||
|
|
|
|||||||
|
Media — 0.5% |
||||||||
|
Cardlytics, Inc.*(a) |
66,838 | 4,201,437 | ||||||
|
|
|
|||||||
|
Multiline Retail — 0.3% |
||||||||
|
Nordstrom, Inc.(a) |
57,146 | 2,338,986 | ||||||
|
|
|
|||||||
|
Oil, Gas & Consumable Fuels — 0.4% |
||||||||
|
Kosmos Energy Ltd. (Ghana) |
294,162 | 1,676,723 | ||||||
|
PDC Energy, Inc.* |
45,415 | 1,188,511 | ||||||
|
|
|
|||||||
| 2,865,234 | ||||||||
|
|
|
|||||||
|
Paper & Forest Products — 0.6% |
||||||||
|
Boise Cascade Co. |
71,867 | 2,625,301 | ||||||
|
Louisiana-Pacific Corp. |
77,616 | 2,302,867 | ||||||
|
|
|
|||||||
| 4,928,168 | ||||||||
|
|
|
|||||||
|
Personal Products — 0.5% |
||||||||
|
BellRing Brands, Inc. (Class A Stock)* |
174,743 | 3,720,278 | ||||||
|
|
|
|||||||
|
Pharmaceuticals — 2.2% |
||||||||
|
Aerie Pharmaceuticals, Inc.*(a) |
46,525 | 1,124,509 | ||||||
|
Catalent, Inc.* |
38,045 | 2,141,934 | ||||||
|
GW Pharmaceuticals PLC (United Kingdom), ADR*(a) |
32,020 | 3,348,011 | ||||||
|
Intersect ENT, Inc.*(a) |
63,826 | 1,589,268 | ||||||
|
MyoKardia, Inc.* |
51,158 | 3,728,651 | ||||||
|
Reata Pharmaceuticals, Inc. (Class A Stock)*(a) |
12,145 | 2,482,802 | ||||||
|
Revance Therapeutics, Inc.*(a) |
86,549 | 1,404,690 | ||||||
|
Theravance Biopharma, Inc.* |
43,256 | 1,119,898 | ||||||
|
|
|
|||||||
| 16,939,763 | ||||||||
|
|
|
|||||||
|
Professional Services — 2.3% |
||||||||
|
ASGN, Inc.* |
74,699 | 5,301,388 | ||||||
|
Exponent, Inc. |
61,284 | 4,229,209 | ||||||
|
FTI Consulting, Inc.* |
28,470 | 3,150,490 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Professional Services (continued) |
||||||||
|
Huron Consulting Group, Inc.* |
29,544 | $ | 2,030,264 | |||||
|
Insperity, Inc. |
38,358 | 3,300,322 | ||||||
|
|
|
|||||||
| 18,011,673 | ||||||||
|
|
|
|||||||
|
Road & Rail — 0.2% |
||||||||
|
Marten Transport Ltd. |
80,892 | 1,738,369 | ||||||
|
|
|
|||||||
|
Semiconductors & Semiconductor Equipment — 4.8% |
|
|||||||
|
Advanced Energy Industries, Inc.* |
86,530 | 6,160,936 | ||||||
|
Cabot Microelectronics Corp. |
34,670 | 5,003,574 | ||||||
|
Cohu, Inc. |
153,103 | 3,498,404 | ||||||
|
Entegris, Inc.(a) |
81,797 | 4,097,212 | ||||||
|
FormFactor, Inc.* |
172,775 | 4,486,967 | ||||||
|
Inphi Corp.* |
14,350 | 1,062,187 | ||||||
|
Lattice Semiconductor Corp.* |
155,650 | 2,979,141 | ||||||
|
MACOM Technology Solutions Holdings, Inc.* |
69,040 | 1,836,464 | ||||||
|
Monolithic Power Systems, Inc. |
8,325 | 1,482,016 | ||||||
|
Onto Innovation, Inc.* |
48,600 | 1,775,844 | ||||||
|
Silicon Laboratories, Inc.* |
46,850 | 5,433,663 | ||||||
|
|
|
|||||||
| 37,816,408 | ||||||||
|
|
|
|||||||
|
Software — 8.6% |
||||||||
|
8x8, Inc.*(a) |
100,714 | 1,843,066 | ||||||
|
ACI Worldwide, Inc.* |
184,820 | 7,001,906 | ||||||
|
Blackbaud, Inc.(a) |
51,421 | 4,093,111 | ||||||
|
Cornerstone OnDemand, Inc.* |
103,680 | 6,070,464 | ||||||
|
Envestnet, Inc.* |
41,960 | 2,921,675 | ||||||
|
Everbridge, Inc.*(a) |
107,047 | 8,358,230 | ||||||
|
Five9, Inc.* |
86,910 | 5,699,558 | ||||||
|
ForeScout Technologies, Inc.* |
61,417 | 2,014,477 | ||||||
|
Instructure, Inc.* |
31,626 | 1,524,689 | ||||||
|
Paylocity Holding Corp.* |
27,628 | 3,338,015 | ||||||
|
Pegasystems, Inc. |
34,349 | 2,735,898 | ||||||
|
PROS Holdings, Inc.* |
42,202 | 2,528,744 | ||||||
|
Q2 Holdings, Inc.*(a) |
62,596 | 5,075,284 | ||||||
|
Rapid7, Inc.* |
48,154 | 2,697,587 | ||||||
|
SailPoint Technologies Holding, Inc.* |
69,685 | 1,644,566 | ||||||
|
SVMK, Inc.* |
143,967 | 2,572,690 | ||||||
|
Varonis Systems, Inc.* |
98,880 | 7,683,965 | ||||||
|
|
|
|||||||
| 67,803,925 | ||||||||
|
|
|
|||||||
|
Specialty Retail — 2.6% |
||||||||
|
Aaron’s, Inc. |
38,990 | 2,226,719 | ||||||
|
American Eagle Outfitters, Inc.(a) |
193,544 | 2,845,097 | ||||||
|
Caleres, Inc. |
149,688 | 3,555,090 | ||||||
|
Floor & Decor Holdings, Inc. (Class A Stock)* |
60,097 | 3,053,529 | ||||||
|
Foot Locker, Inc.(a) |
63,047 | 2,458,202 | ||||||
|
Monro, Inc.(a) |
53,030 | 4,146,946 | ||||||
|
Urban Outfitters, Inc.*(a) |
74,416 | 2,066,532 | ||||||
|
|
|
|||||||
| 20,352,115 | ||||||||
|
|
|
|||||||
|
Technology Hardware, Storage & Peripherals — 0.3% |
|
|||||||
|
Pure Storage, Inc. (Class A Stock)* |
114,941 | 1,966,640 | ||||||
|
|
|
|||||||
|
Textiles, Apparel & Luxury Goods — 2.5% |
|
|||||||
|
Carter’s, Inc. |
28,294 | 3,093,666 | ||||||
|
Oxford Industries, Inc.(a) |
47,886 | 3,611,562 | ||||||
|
Steven Madden Ltd. |
185,846 | 7,993,237 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A127
| AST SMALL-CAP GROWTH OPPORTUNITIES PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Shares | Value | |||||||
| UNAFFILIATED FUND — 0.6% |
|
|||||||
|
Morgan Stanley Institutional Liquidity Funds – Government Portfolio |
4,895,036 | $ | 4,895,036 | |||||
|
|
|
|||||||
|
(cost $4,895,036) |
||||||||
|
TOTAL SHORT-TERM INVESTMENTS
|
|
190,825,220 | ||||||
|
|
|
|||||||
|
TOTAL INVESTMENTS — 123.0%
|
969,643,909 | |||||||
|
Liabilities in excess of other assets — (23.0)% |
|
(181,568,884 | ) | |||||
|
|
|
|||||||
|
NET ASSETS — 100.0% |
$ | 788,075,025 | ||||||
|
|
|
|||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $174,984,106; cash collateral of $178,291,942 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 22,869,916 | $ | — | $ | — | ||||||
|
Airlines |
5,756,600 | — | — | |||||||||
|
Auto Components |
1,931,650 | — | — | |||||||||
|
Automobiles |
3,505,522 | — | — | |||||||||
|
Banks |
17,556,108 | — | — | |||||||||
|
Biotechnology |
117,011,698 | — | — | |||||||||
|
Building Products |
17,331,872 | — | — | |||||||||
|
Capital Markets |
4,990,569 | — | — | |||||||||
|
Chemicals |
11,647,393 | — | — | |||||||||
|
Commercial Services & Supplies |
8,767,844 | — | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A128
| AST SMALL-CAP GROWTH OPPORTUNITIES PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Communications Equipment |
$ | 3,861,672 | $ | — | $ | — | ||||||
|
Consumer Finance |
11,540,982 | — | — | |||||||||
|
Containers & Packaging |
3,288,541 | — | — | |||||||||
|
Distributors |
1,270,589 | — | — | |||||||||
|
Diversified Consumer Services |
15,965,497 | — | — | |||||||||
|
Diversified Telecommunication Services |
5,225,346 | — | — | |||||||||
|
Electrical Equipment |
15,179,099 | — | — | |||||||||
|
Electronic Equipment, Instruments & Components |
17,309,362 | — | — | |||||||||
|
Energy Equipment & Services |
2,406,677 | — | — | |||||||||
|
Equity Real Estate Investment Trusts (REITs) |
12,914,370 | — | — | |||||||||
|
Food & Staples Retailing |
10,139,492 | — | — | |||||||||
|
Food Products |
20,721,702 | — | — | |||||||||
|
Health Care Equipment & Supplies |
45,484,848 | — | — | |||||||||
|
Health Care Providers & Services |
25,877,736 | — | — | |||||||||
|
Health Care Technology |
19,119,039 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
22,879,232 | — | — | |||||||||
|
Household Durables |
6,821,587 | — | — | |||||||||
|
Insurance |
9,287,644 | — | — | |||||||||
|
Interactive Media & Services |
4,041,987 | — | — | |||||||||
|
IT Services |
31,089,127 | — | — | |||||||||
|
Leisure Products |
5,373,709 | — | — | |||||||||
|
Life Sciences Tools & Services |
6,273,716 | — | — | |||||||||
|
Machinery |
38,572,050 | — | — | |||||||||
|
Media |
4,201,437 | — | — | |||||||||
|
Multiline Retail |
2,338,986 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
2,865,234 | — | — | |||||||||
|
Paper & Forest Products |
4,928,168 | — | — | |||||||||
|
Personal Products |
3,720,278 | — | — | |||||||||
|
Pharmaceuticals |
16,939,763 | — | — | |||||||||
|
Professional Services |
18,011,673 | — | — | |||||||||
|
Road & Rail |
1,738,369 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
37,816,408 | — | — | |||||||||
|
Software |
67,803,925 | — | — | |||||||||
|
Specialty Retail |
20,352,115 | — | — | |||||||||
|
Technology Hardware, Storage & Peripherals |
1,966,640 | — | — | |||||||||
|
Textiles, Apparel & Luxury Goods |
19,868,175 | — | — | |||||||||
|
Thrifts & Mortgage Finance |
12,928,274 | — | — | |||||||||
|
Trading Companies & Distributors |
10,845,913 | — | — | |||||||||
|
Exchange-Traded Fund |
6,480,155 | — | — | |||||||||
|
Affiliated Mutual Funds |
185,930,184 | — | — | |||||||||
|
Unaffiliated Fund |
4,895,036 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 969,643,909 | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Affiliated Mutual Funds (22.6% represents investments purchased with collateral from securities on loan) |
23.6 | % | ||
|
Biotechnology |
14.9 | |||
|
Software |
8.6 | |||
|
Health Care Equipment & Supplies |
5.8 | |||
|
Machinery |
4.9 | |||
|
Semiconductors & Semiconductor Equipment |
4.8 | |||
|
IT Services |
3.9 | |||
|
Health Care Providers & Services |
3.3 |
|
Hotels, Restaurants & Leisure |
2.9 | % | ||
|
Aerospace & Defense |
2.9 | |||
|
Food Products |
2.6 | |||
|
Specialty Retail |
2.6 | |||
|
Textiles, Apparel & Luxury Goods |
2.5 | |||
|
Health Care Technology |
2.4 | |||
|
Professional Services |
2.3 | |||
|
Banks |
2.2 | |||
|
Building Products |
2.2 |
SEE NOTES TO FINANCIAL STATEMENTS.
A129
| AST SMALL-CAP GROWTH OPPORTUNITIES PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Industry Classification (continued): | ||||
|
Electronic Equipment, Instruments & Components |
2.2 | % | ||
|
Pharmaceuticals |
2.2 | |||
|
Diversified Consumer Services |
2.0 | |||
|
Electrical Equipment |
1.9 | |||
|
Thrifts & Mortgage Finance |
1.6 | |||
|
Equity Real Estate Investment Trusts (REITs) |
1.6 | |||
|
Chemicals |
1.5 | |||
|
Consumer Finance |
1.5 | |||
|
Trading Companies & Distributors |
1.4 | |||
|
Food & Staples Retailing |
1.3 | |||
|
Insurance |
1.2 | |||
|
Commercial Services & Supplies |
1.1 | |||
|
Household Durables |
0.9 | |||
|
Exchange-Traded Fund |
0.8 | |||
|
Life Sciences Tools & Services |
0.8 | |||
|
Airlines |
0.7 | |||
|
Leisure Products |
0.7 | |||
|
Diversified Telecommunication Services |
0.7 | |||
|
Capital Markets |
0.6 | |||
|
Paper & Forest Products |
0.6 | |||
|
Unaffiliated Fund |
0.6 | % | ||
|
Media |
0.5 | |||
|
Interactive Media & Services |
0.5 | |||
|
Communications Equipment |
0.5 | |||
|
Personal Products |
0.5 | |||
|
Automobiles |
0.4 | |||
|
Containers & Packaging |
0.4 | |||
|
Oil, Gas & Consumable Fuels |
0.4 | |||
|
Energy Equipment & Services |
0.3 | |||
|
Multiline Retail |
0.3 | |||
|
Technology Hardware, Storage & Peripherals |
0.3 | |||
|
Auto Components |
0.2 | |||
|
Road & Rail |
0.2 | |||
|
Distributors |
0.2 | |||
|
|
|
|||
| 123.0 | ||||
|
Liabilities in excess of other assets |
(23.0 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 174,984,106 | $ | (174,984,106 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A130
| AST SMALL-CAP GROWTH OPPORTUNITIES PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $174,984,106: |
||||
|
Unaffiliated investments (cost $659,195,706) |
$ | 783,713,725 | ||
|
Affiliated investments (cost $185,920,345) |
185,930,184 | |||
|
Receivable for investments sold |
1,757,667 | |||
|
Dividends receivable |
358,274 | |||
|
Receivable for Portfolio shares sold |
80,907 | |||
|
Tax reclaim receivable |
35,498 | |||
|
Prepaid expenses and other assets |
26,966 | |||
|
|
|
|||
|
Total Assets |
971,903,221 | |||
|
|
|
|||
|
LIABILITIES |
||||
|
Payable to broker for collateral for securities on loan |
178,291,942 | |||
|
Payable for Portfolio shares repurchased |
2,572,372 | |||
|
Payable for investments purchased |
2,245,033 | |||
|
Management fee payable |
352,620 | |||
|
Accrued expenses and other liabilities |
304,201 | |||
|
Distribution fee payable |
32,662 | |||
|
Payable to affiliate |
29,009 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
183,828,196 | |||
|
|
|
|||
| NET ASSETS | $ | 788,075,025 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 788,075,025 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $788,075,025 / 32,662,332 outstanding shares of beneficial interest |
$ | 24.13 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | (3,804,175 | ) | $ | (3,723,378 | ) | ||
|
Net realized gain (loss) on investment and foreign currency transactions |
88,013,443 | 134,815,609 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
141,378,326 | (208,321,879 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
225,587,594 | (77,229,648 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [5,243,176 and 5,617,990 shares, respectively] |
107,839,140 | 116,284,297 | ||||||
|
Portfolio shares repurchased [7,411,955 and 13,785,662 shares, respectively] |
(161,293,622 | ) | (275,713,514 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(53,454,482 | ) | (159,429,217 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 8,412 | 146,529 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 172,141,524 | (236,512,336 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
615,933,501 | 852,445,837 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 788,075,025 | $ | 615,933,501 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A131
| AST SMALL-CAP VALUE PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 98.5% | ||||||||
| COMMON STOCKS — 98.2% | Shares | Value | ||||||
|
Aerospace & Defense — 1.6% |
||||||||
|
BWX Technologies, Inc. |
71,133 | $ | 4,415,937 | |||||
|
Hexcel Corp. |
28,802 | 2,111,474 | ||||||
|
Moog, Inc. (Class A Stock) |
17,250 | 1,471,942 | ||||||
|
Vectrus, Inc.* |
66,407 | 3,404,023 | ||||||
|
|
|
|||||||
| 11,403,376 | ||||||||
|
|
|
|||||||
|
Air Freight & Logistics — 0.3% |
||||||||
|
Echo Global Logistics, Inc.* |
107,600 | 2,227,320 | ||||||
|
|
|
|||||||
|
Airlines — 0.5% |
||||||||
|
Hawaiian Holdings, Inc. |
34,900 | 1,022,221 | ||||||
|
SkyWest, Inc. |
45,100 | 2,914,813 | ||||||
|
|
|
|||||||
| 3,937,034 | ||||||||
|
|
|
|||||||
|
Auto Components — 0.2% |
||||||||
|
Dana, Inc. |
77,700 | 1,414,140 | ||||||
|
Modine Manufacturing Co.* |
16,100 | 123,970 | ||||||
|
|
|
|||||||
| 1,538,110 | ||||||||
|
|
|
|||||||
|
Banks — 15.8% |
||||||||
|
1st Source Corp. |
4,450 | 230,866 | ||||||
|
Amalgamated Bank (Class A Stock) |
55,400 | 1,077,530 | ||||||
|
Ameris Bancorp |
62,480 | 2,657,899 | ||||||
|
Banc of California, Inc.(a) |
131,497 | 2,259,118 | ||||||
|
Bancorp, Inc. (The)* |
193,800 | 2,513,586 | ||||||
|
Bank of Commerce Holdings |
11,400 | 131,898 | ||||||
|
Bank of NT Butterfield & Son Ltd. (The) (Bermuda) |
146,091 | 5,408,289 | ||||||
|
BankUnited, Inc. |
141,069 | 5,157,483 | ||||||
|
Banner Corp. |
13,100 | 741,329 | ||||||
|
Berkshire Hills Bancorp, Inc. |
140,579 | 4,622,238 | ||||||
|
Boston Private Financial Holdings, Inc. |
154,600 | 1,859,838 | ||||||
|
Cathay General Bancorp |
18,000 | 684,900 | ||||||
|
Central Valley Community Bancorp |
9,800 | 212,366 | ||||||
|
Chemung Financial Corp. |
2,900 | 123,250 | ||||||
|
Community Trust Bancorp, Inc. |
13,746 | 641,113 | ||||||
|
ConnectOne Bancorp, Inc. |
71,300 | 1,833,836 | ||||||
|
Customers Bancorp, Inc.* |
156,740 | 3,731,979 | ||||||
|
Dime Community Bancshares, Inc. |
47,400 | 990,186 | ||||||
|
East West Bancorp, Inc. |
12,183 | 593,312 | ||||||
|
Farmers National Banc Corp. |
30,600 | 499,392 | ||||||
|
Financial Institutions, Inc. |
44,700 | 1,434,870 | ||||||
|
First BanCorp. (Puerto Rico) |
443,400 | 4,695,606 | ||||||
|
First Bancorp/Southern Pines NC |
13,300 | 530,803 | ||||||
|
First Business Financial Services, Inc. |
18,800 | 495,004 | ||||||
|
First Commonwealth Financial Corp. |
33,100 | 480,281 | ||||||
|
First Financial Corp. |
8,200 | 374,904 | ||||||
|
First Hawaiian, Inc. |
14,600 | 421,210 | ||||||
|
First Horizon National Corp. |
215,549 | 3,569,491 | ||||||
|
Flushing Financial Corp. |
14,800 | 319,754 | ||||||
|
FNB Corp. |
492,571 | 6,255,652 | ||||||
|
Franklin Financial Network, Inc. |
6,000 | 205,980 | ||||||
|
Great Southern Bancorp, Inc. |
19,000 | 1,203,080 | ||||||
|
Hancock Whitney Corp. |
116,000 | 5,090,080 | ||||||
|
Hanmi Financial Corp. |
133,775 | 2,674,831 | ||||||
|
Heritage Commerce Corp. |
20,500 | 263,015 | ||||||
|
Hilltop Holdings, Inc. |
126,600 | 3,156,138 | ||||||
|
HomeTrust Bancshares, Inc. |
11,300 | 303,179 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Banks (continued) |
||||||||
|
IBERIABANK Corp. |
136,501 | $ | 10,214,370 | |||||
|
Independent Bank Corp. |
45,100 | 1,021,515 | ||||||
|
Investors Bancorp, Inc. |
421,100 | 5,017,407 | ||||||
|
LCNB Corp. |
18,100 | 349,330 | ||||||
|
Midland States Bancorp, Inc. |
10,700 | 309,872 | ||||||
|
Northrim BanCorp, Inc. |
8,800 | 337,040 | ||||||
|
OFG Bancorp (Puerto Rico) |
14,500 | 342,345 | ||||||
|
Old Second Bancorp, Inc. |
34,500 | 464,715 | ||||||
|
Orrstown Financial Services, Inc. |
18,200 | 411,684 | ||||||
|
Pacific Mercantile Bancorp* |
19,600 | 159,152 | ||||||
|
PacWest Bancorp |
15,669 | 599,653 | ||||||
|
Peoples Bancorp, Inc. |
38,500 | 1,334,410 | ||||||
|
Premier Financial Bancorp, Inc. |
7,912 | 143,524 | ||||||
|
Republic Bancorp, Inc. (Class A Stock) |
7,546 | 353,153 | ||||||
|
SB One Bancorp |
21,000 | 523,320 | ||||||
|
Shore Bancshares, Inc. |
10,000 | 173,600 | ||||||
|
Sierra Bancorp |
12,300 | 358,176 | ||||||
|
Simmons First National Corp. (Class A Stock)(a) |
13,000 | 348,270 | ||||||
|
Sterling Bancorp |
324,060 | 6,831,185 | ||||||
|
TriCo Bancshares |
42,900 | 1,750,749 | ||||||
|
TriState Capital Holdings, Inc.* |
9,500 | 248,140 | ||||||
|
Umpqua Holdings Corp. |
99,500 | 1,761,150 | ||||||
|
United Community Banks, Inc. |
141,500 | 4,369,520 | ||||||
|
Univest Financial Corp. |
125,207 | 3,353,043 | ||||||
|
Veritex Holdings, Inc. |
90,101 | 2,624,642 | ||||||
|
West Bancorporation, Inc. |
10,100 | 258,863 | ||||||
|
Wintrust Financial Corp. |
50,400 | 3,573,360 | ||||||
|
|
|
|||||||
| 114,676,474 | ||||||||
|
|
|
|||||||
|
Biotechnology — 0.9% |
||||||||
|
Acceleron Pharma, Inc.* |
19,200 | 1,017,984 | ||||||
|
Acorda Therapeutics, Inc.*(a) |
20,300 | 41,412 | ||||||
|
Akero Therapeutics, Inc.*(a) |
42,000 | 932,190 | ||||||
|
AMAG Pharmaceuticals, Inc.*(a) |
21,500 | 261,655 | ||||||
|
BioCryst Pharmaceuticals, Inc.* |
127,100 | 438,495 | ||||||
|
Karyopharm Therapeutics, Inc.*(a) |
82,100 | 1,573,857 | ||||||
|
Minerva Neurosciences, Inc.* |
132,600 | 942,786 | ||||||
|
Scholar Rock Holding Corp.* |
66,000 | 869,880 | ||||||
|
Spero Therapeutics, Inc.* |
61,800 | 594,207 | ||||||
|
|
|
|||||||
| 6,672,466 | ||||||||
|
|
|
|||||||
|
Building Products — 0.5% |
||||||||
|
Builders FirstSource, Inc.* |
44,700 | 1,135,827 | ||||||
|
JELD-WEN Holding, Inc.* |
15,300 | 358,173 | ||||||
|
Masonite International Corp.* |
29,141 | 2,104,272 | ||||||
|
Quanex Building Products Corp. |
14,200 | 242,536 | ||||||
|
Universal Forest Products, Inc. |
2,900 | 138,330 | ||||||
|
|
|
|||||||
| 3,979,138 | ||||||||
|
|
|
|||||||
|
Capital Markets — 1.1% |
||||||||
|
Artisan Partners Asset Management, Inc. (Class A Stock) |
43,700 | 1,412,384 | ||||||
|
BGC Partners, Inc. (Class A Stock) |
83,700 | 497,178 | ||||||
|
Brightsphere Investment Group, Inc. |
30,000 | 306,600 | ||||||
|
Hercules Capital, Inc.(a) |
327,634 | 4,593,429 | ||||||
|
Houlihan Lokey, Inc. |
5,500 | 268,785 | ||||||
|
Moelis & Co. (Class A Stock) |
10,700 | 341,544 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A132
| AST SMALL-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Capital Markets (continued) |
||||||||
|
Stifel Financial Corp. |
5,800 | $ | 351,770 | |||||
|
|
|
|||||||
| 7,771,690 | ||||||||
|
|
|
|||||||
|
Chemicals — 4.1% |
||||||||
|
AdvanSix, Inc.* |
6,200 | 123,752 | ||||||
|
Cabot Corp. |
27,128 | 1,289,123 | ||||||
|
FutureFuel Corp. |
36,400 | 450,996 | ||||||
|
HB Fuller Co.(a) |
51,404 | 2,650,904 | ||||||
|
Ingevity Corp.* |
23,462 | 2,050,110 | ||||||
|
Koppers Holdings, Inc.* |
70,000 | 2,675,400 | ||||||
|
Kraton Corp.* |
47,700 | 1,207,764 | ||||||
|
Livent Corp.*(a) |
367,047 | 3,138,252 | ||||||
|
Olin Corp. |
128,058 | 2,209,000 | ||||||
|
Sensient Technologies Corp. |
62,038 | 4,100,091 | ||||||
|
Stepan Co. |
9,500 | 973,180 | ||||||
|
Trinseo SA |
45,100 | 1,678,171 | ||||||
|
Valhi, Inc. |
15,000 | 28,050 | ||||||
|
Valvoline, Inc. |
125,773 | 2,692,800 | ||||||
|
WR Grace & Co. |
61,563 | 4,300,176 | ||||||
|
|
|
|||||||
| 29,567,769 | ||||||||
|
|
|
|||||||
|
Commercial Services & Supplies — 2.6% |
|
|||||||
|
ABM Industries, Inc.(a) |
55,600 | 2,096,676 | ||||||
|
ACCO Brands Corp. |
250,700 | 2,346,552 | ||||||
|
Clean Harbors, Inc.* |
44,323 | 3,800,697 | ||||||
|
HNI Corp. |
17,500 | 655,550 | ||||||
|
Kimball International, Inc. (Class B Stock) |
54,600 | 1,128,582 | ||||||
|
Knoll, Inc. |
23,700 | 598,662 | ||||||
|
Matthews International Corp. (Class A Stock)(a) |
49,594 | 1,893,003 | ||||||
|
RR Donnelley & Sons Co.(a) |
280,600 | 1,108,370 | ||||||
|
Team, Inc.*(a) |
221,590 | 3,538,792 | ||||||
|
UniFirst Corp. |
6,700 | 1,353,266 | ||||||
|
VSE Corp. |
6,600 | 251,064 | ||||||
|
|
|
|||||||
| 18,771,214 | ||||||||
|
|
|
|||||||
|
Communications Equipment — 0.9% |
||||||||
|
Lumentum Holdings, Inc.*(a) |
21,100 | 1,673,230 | ||||||
|
Viavi Solutions, Inc.* |
324,897 | 4,873,455 | ||||||
|
|
|
|||||||
| 6,546,685 | ||||||||
|
|
|
|||||||
|
Construction & Engineering — 1.3% |
||||||||
|
EMCOR Group, Inc. |
71,470 | 6,167,861 | ||||||
|
Great Lakes Dredge & Dock Corp.* |
159,300 | 1,804,869 | ||||||
|
Sterling Construction Co., Inc.* |
60,500 | 851,840 | ||||||
|
Tutor Perini Corp.* |
58,300 | 749,738 | ||||||
|
|
|
|||||||
| 9,574,308 | ||||||||
|
|
|
|||||||
|
Containers & Packaging — 0.6% |
||||||||
|
Greif, Inc. (Class A Stock) |
10,600 | 468,520 | ||||||
|
O-I Glass, Inc. |
154,145 | 1,838,950 | ||||||
|
Silgan Holdings, Inc. |
72,695 | 2,259,360 | ||||||
|
|
|
|||||||
| 4,566,830 | ||||||||
|
|
|
|||||||
|
Diversified Consumer Services — 0.5% |
||||||||
|
American Public Education, Inc.* |
28,300 | 775,137 | ||||||
|
Carriage Services, Inc. |
2,400 | 61,440 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Diversified Consumer Services (continued) |
|
|||||||
|
K12, Inc.* |
73,800 | $ | 1,501,830 | |||||
|
WW International, Inc.* |
28,100 | 1,073,701 | ||||||
|
|
|
|||||||
| 3,412,108 | ||||||||
|
|
|
|||||||
|
Diversified Financial Services — 0.0% |
||||||||
|
Marlin Business Services Corp. |
14,300 | 314,314 | ||||||
|
|
|
|||||||
|
Diversified Telecommunication Services — 0.4% |
|
|||||||
|
Cogent Communications Holdings, Inc. |
40,001 | 2,632,466 | ||||||
|
|
|
|||||||
|
Electric Utilities — 2.6% |
||||||||
|
Hawaiian Electric Industries, Inc. |
57,061 | 2,673,878 | ||||||
|
IDACORP, Inc. |
47,752 | 5,099,914 | ||||||
|
PNM Resources, Inc. |
14,200 | 720,082 | ||||||
|
Portland General Electric Co. |
172,762 | 9,638,392 | ||||||
|
Spark Energy, Inc. (Class A Stock)(a) |
62,900 | 580,567 | ||||||
|
|
|
|||||||
| 18,712,833 | ||||||||
|
|
|
|||||||
|
Electrical Equipment — 0.8% |
||||||||
|
Encore Wire Corp. |
9,100 | 522,340 | ||||||
|
Generac Holdings, Inc.* |
21,460 | 2,158,661 | ||||||
|
Regal Beloit Corp. |
39,413 | 3,374,147 | ||||||
|
|
|
|||||||
| 6,055,148 | ||||||||
|
|
|
|||||||
|
Electronic Equipment, Instruments & Components — 2.1% |
|
|||||||
|
Anixter International, Inc.* |
9,200 | 847,320 | ||||||
|
Belden, Inc. |
34,707 | 1,908,885 | ||||||
|
Benchmark Electronics, Inc. |
60,600 | 2,082,216 | ||||||
|
Methode Electronics, Inc. |
24,800 | 975,880 | ||||||
|
Sanmina Corp.* |
143,768 | 4,922,616 | ||||||
|
Tech Data Corp.* |
14,894 | 2,138,779 | ||||||
|
TTM Technologies, Inc.* |
106,600 | 1,604,330 | ||||||
|
Vishay Intertechnology, Inc. |
28,500 | 606,765 | ||||||
|
Vishay Precision Group, Inc.* |
7,300 | 248,200 | ||||||
|
|
|
|||||||
| 15,334,991 | ||||||||
|
|
|
|||||||
|
Energy Equipment & Services — 1.1% |
||||||||
|
DMC Global, Inc.(a) |
40,256 | 1,809,104 | ||||||
|
Forum Energy Technologies, Inc.* |
175,500 | 294,840 | ||||||
|
Matrix Service Co.* |
86,200 | 1,972,256 | ||||||
|
Nine Energy Service, Inc.*(a) |
70,550 | 551,701 | ||||||
|
Select Energy Services, Inc. (Class A Stock)* |
398,685 | 3,699,797 | ||||||
|
|
|
|||||||
| 8,327,698 | ||||||||
|
|
|
|||||||
|
Equity Real Estate Investment Trusts (REITs) — 7.5% |
|
|||||||
|
Alexander & Baldwin, Inc. |
68,000 | 1,425,280 | ||||||
|
Armada Hoffler Properties, Inc. |
138,000 | 2,532,300 | ||||||
|
Ashford Hospitality Trust, Inc. |
290,800 | 811,332 | ||||||
|
Braemar Hotels & Resorts, Inc. |
104,200 | 930,506 | ||||||
|
CatchMark Timber Trust, Inc. (Class A Stock) |
21,300 | 244,311 | ||||||
|
Cedar Realty Trust, Inc. |
46,500 | 137,175 | ||||||
|
City Office REIT, Inc. |
129,800 | 1,754,896 | ||||||
|
Columbia Property Trust, Inc. |
180,533 | 3,774,945 | ||||||
|
CoreCivic, Inc. |
92,100 | 1,600,698 | ||||||
|
CorEnergy Infrastructure Trust, Inc.(a) |
11,100 | 496,281 | ||||||
|
CorePoint Lodging, Inc. |
18,700 | 199,716 | ||||||
|
Corporate Office Properties Trust |
130,018 | 3,819,929 | ||||||
|
Cousins Properties, Inc. |
96,539 | 3,977,407 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A133
| AST SMALL-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Equity Real Estate Investment Trusts (REITs) (continued) |
|
|||||||
|
DiamondRock Hospitality Co. |
222,400 | $ | 2,464,192 | |||||
|
First Industrial Realty Trust, Inc. |
72,500 | 3,009,475 | ||||||
|
Front Yard Residential Corp.(a) |
23,200 | 286,288 | ||||||
|
GEO Group, Inc. (The) |
15,850 | 263,268 | ||||||
|
Getty Realty Corp. |
58,200 | 1,913,034 | ||||||
|
Gladstone Commercial Corp. |
54,500 | 1,191,370 | ||||||
|
Hannon Armstrong Sustainable Infrastructure Capital, Inc.(a) |
24,400 | 785,192 | ||||||
|
Healthcare Realty Trust, Inc. |
21,000 | 700,770 | ||||||
|
Highwoods Properties, Inc. |
22,600 | 1,105,366 | ||||||
|
Hudson Pacific Properties, Inc. |
15,500 | 583,575 | ||||||
|
Investors Real Estate Trust |
25,000 | 1,812,500 | ||||||
|
Jernigan Capital, Inc.(a) |
28,000 | 535,920 | ||||||
|
Kite Realty Group Trust |
21,600 | 421,848 | ||||||
|
Lexington Realty Trust |
206,845 | 2,196,694 | ||||||
|
New Senior Investment Group, Inc. |
257,200 | 1,967,580 | ||||||
|
Office Properties Income Trust |
56,300 | 1,809,482 | ||||||
|
Physicians Realty Trust |
54,600 | 1,034,124 | ||||||
|
Rexford Industrial Realty, Inc. |
6,500 | 296,855 | ||||||
|
RLJ Lodging Trust |
11,222 | 198,854 | ||||||
|
Sabra Health Care REIT, Inc. |
77,700 | 1,658,118 | ||||||
|
Saul Centers, Inc. |
4,900 | 258,622 | ||||||
|
Senior Housing Properties Trust |
74,400 | 627,936 | ||||||
|
Sun Communities, Inc. |
8,100 | 1,215,810 | ||||||
|
Sunstone Hotel Investors, Inc. |
142,502 | 1,983,628 | ||||||
|
Terreno Realty Corp. |
2,700 | 146,178 | ||||||
|
Urban Edge Properties |
96,800 | 1,856,624 | ||||||
|
Urstadt Biddle Properties, Inc. (Class A Stock)(a) |
14,300 | 355,212 | ||||||
|
Xenia Hotels & Resorts, Inc.(a) |
100,100 | 2,163,161 | ||||||
|
|
|
|||||||
| 54,546,452 | ||||||||
|
|
|
|||||||
|
Food & Staples Retailing — 1.4% |
||||||||
|
BJ’s Wholesale Club Holdings, Inc.*(a) |
86,926 | 1,976,697 | ||||||
|
Grocery Outlet Holding Corp.*(a) |
19,100 | 619,795 | ||||||
|
Performance Food Group Co.* |
51,088 | 2,630,010 | ||||||
|
Rite Aid Corp.*(a) |
106,000 | 1,639,820 | ||||||
|
SpartanNash Co. |
216,300 | 3,080,112 | ||||||
|
|
|
|||||||
| 9,946,434 | ||||||||
|
|
|
|||||||
|
Food Products — 4.0% |
||||||||
|
Cal-Maine Foods, Inc.(a) |
67,740 | 2,895,885 | ||||||
|
Darling Ingredients, Inc.* |
230,734 | 6,479,011 | ||||||
|
Fresh Del Monte Produce, Inc. |
23,640 | 826,927 | ||||||
|
Hain Celestial Group, Inc. (The)*(a) |
158,941 | 4,125,314 | ||||||
|
Hostess Brands, Inc.*(a) |
260,166 | 3,782,814 | ||||||
|
Sanderson Farms, Inc.(a) |
21,988 | 3,874,725 | ||||||
|
TreeHouse Foods, Inc.*(a) |
138,103 | 6,697,995 | ||||||
|
|
|
|||||||
| 28,682,671 | ||||||||
|
|
|
|||||||
|
Gas Utilities — 1.0% |
||||||||
|
New Jersey Resources Corp.(a) |
9,400 | 418,958 | ||||||
|
ONE Gas, Inc. |
17,000 | 1,590,690 | ||||||
|
Southwest Gas Holdings, Inc. |
38,100 | 2,894,457 | ||||||
|
Spire, Inc. |
23,870 | 1,988,610 | ||||||
|
|
|
|||||||
| 6,892,715 | ||||||||
|
|
|
|||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Health Care Equipment & Supplies — 0.9% |
|
|||||||
|
Envista Holdings Corp.* |
152,420 | $ | 4,517,729 | |||||
|
Integra LifeSciences Holdings Corp.* |
35,037 | 2,041,956 | ||||||
|
|
|
|||||||
| 6,559,685 | ||||||||
|
|
|
|||||||
|
Health Care Providers & Services — 1.7% |
||||||||
|
American Renal Associates Holdings,
|
38,700 | 401,319 | ||||||
|
Cross Country Healthcare, Inc.* |
110,100 | 1,279,362 | ||||||
|
Magellan Health, Inc.* |
61,600 | 4,820,200 | ||||||
|
Owens & Minor, Inc.(a) |
558,734 | 2,888,655 | ||||||
|
Patterson Cos., Inc.(a) |
21,500 | 440,320 | ||||||
|
Tenet Healthcare Corp.* |
57,200 | 2,175,316 | ||||||
|
|
|
|||||||
| 12,005,172 | ||||||||
|
|
|
|||||||
|
Health Care Technology — 0.1% |
||||||||
|
Computer Programs & Systems, Inc. |
30,500 | 805,200 | ||||||
|
|
|
|||||||
|
Hotels, Restaurants & Leisure — 0.2% |
||||||||
|
Penn National Gaming, Inc.* |
42,712 | 1,091,719 | ||||||
|
|
|
|||||||
|
Household Durables — 1.4% |
||||||||
|
Bassett Furniture Industries, Inc. |
20,300 | 338,604 | ||||||
|
Hamilton Beach Brands Holding Co. (Class A Stock) |
10,000 | 191,000 | ||||||
|
Helen of Troy Ltd.* |
12,600 | 2,265,354 | ||||||
|
Lifetime Brands, Inc.(a) |
41,000 | 284,950 | ||||||
|
Meritage Homes Corp.* |
70,400 | 4,302,144 | ||||||
|
Taylor Morrison Home Corp.* |
142,100 | 3,106,306 | ||||||
|
|
|
|||||||
| 10,488,358 | ||||||||
|
|
|
|||||||
|
Household Products — 0.9% |
||||||||
|
Central Garden & Pet Co. (Class A Stock)* |
131,000 | 3,846,160 | ||||||
|
Spectrum Brands Holdings, Inc. |
36,336 | 2,336,041 | ||||||
|
|
|
|||||||
| 6,182,201 | ||||||||
|
|
|
|||||||
|
Independent Power & Renewable Electricity Producers — 1.0% |
|
|||||||
|
Atlantic Power Corp.* |
120,000 | 279,600 | ||||||
|
Clearway Energy, Inc. (Class A Stock) |
94,500 | 1,806,840 | ||||||
|
Clearway Energy, Inc. (Class C Stock) |
45,900 | 915,705 | ||||||
|
TerraForm Power, Inc. (Class A Stock) |
54,900 | 844,911 | ||||||
|
Vistra Energy Corp. |
134,108 | 3,083,143 | ||||||
|
|
|
|||||||
| 6,930,199 | ||||||||
|
|
|
|||||||
|
Insurance — 2.0% |
||||||||
|
American Equity Investment Life Holding Co. |
76,000 | 2,274,680 | ||||||
|
FedNat Holding Co. |
41,300 | 686,819 | ||||||
|
First American Financial Corp. |
33,500 | 1,953,720 | ||||||
|
Hanover Insurance Group, Inc. (The) |
12,534 | 1,713,022 | ||||||
|
Heritage Insurance Holdings, Inc. |
18,500 | 245,125 | ||||||
|
Kemper Corp. |
38,716 | 3,000,490 | ||||||
|
National General Holdings Corp. |
20,400 | 450,840 | ||||||
|
ProAssurance Corp. |
107,628 | 3,889,676 | ||||||
|
ProSight Global, Inc.* |
14,200 | 229,046 | ||||||
|
Third Point Reinsurance Ltd. (Bermuda)* |
34,900 | 367,148 | ||||||
|
|
|
|||||||
| 14,810,566 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A134
| AST SMALL-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Internet & Direct Marketing Retail — 0.1% |
|
|||||||
|
Stamps.com, Inc.* |
7,000 | $ | 584,640 | |||||
|
|
|
|||||||
|
IT Services — 4.3% |
||||||||
|
CACI International, Inc. (Class A Stock)* |
27,959 | 6,989,470 | ||||||
|
Conduent, Inc.* |
312,046 | 1,934,685 | ||||||
|
EVERTEC, Inc. (Puerto Rico) |
11,600 | 394,864 | ||||||
|
ExlService Holdings, Inc.* |
57,581 | 3,999,576 | ||||||
|
Hackett Group, Inc. (The) |
67,700 | 1,092,678 | ||||||
|
KBR, Inc. |
201,000 | 6,130,500 | ||||||
|
ManTech International Corp. (Class A Stock) |
61,902 | 4,944,732 | ||||||
|
Perspecta, Inc. |
10,700 | 282,908 | ||||||
|
Unisys Corp.*(a) |
164,800 | 1,954,528 | ||||||
|
Virtusa Corp.* |
76,156 | 3,452,152 | ||||||
|
|
|
|||||||
| 31,176,093 | ||||||||
|
|
|
|||||||
|
Leisure Products — 0.5% |
||||||||
|
Callaway Golf Co.(a) |
135,230 | 2,866,876 | ||||||
|
Vista Outdoor, Inc.*(a) |
127,900 | 956,692 | ||||||
|
|
|
|||||||
| 3,823,568 | ||||||||
|
|
|
|||||||
|
Machinery — 4.4% |
||||||||
|
Actuant Corp. (Class A Stock) |
81,405 | 2,118,972 | ||||||
|
Altra Industrial Motion Corp. |
75,002 | 2,715,822 | ||||||
|
CIRCOR International, Inc.* |
53,350 | 2,466,904 | ||||||
|
Commercial Vehicle Group, Inc.* |
115,600 | 734,060 | ||||||
|
EnPro Industries, Inc. |
42,015 | 2,809,963 | ||||||
|
Hillenbrand, Inc. |
41,092 | 1,368,775 | ||||||
|
Hurco Cos., Inc. |
18,400 | 705,824 | ||||||
|
ITT, Inc. |
68,803 | 5,085,230 | ||||||
|
LB Foster Co. (Class A Stock)* |
10,100 | 195,738 | ||||||
|
Meritor, Inc.* |
81,600 | 2,137,104 | ||||||
|
Mueller Industries, Inc. |
44,100 | 1,400,175 | ||||||
|
Navistar International Corp.* |
6,900 | 199,686 | ||||||
|
SPX FLOW, Inc.* |
31,358 | 1,532,465 | ||||||
|
Standex International Corp. |
41,200 | 3,269,220 | ||||||
|
TriMas Corp.* |
72,924 | 2,290,543 | ||||||
|
Wabash National Corp.(a) |
174,900 | 2,569,281 | ||||||
|
|
|
|||||||
| 31,599,762 | ||||||||
|
|
|
|||||||
|
Marine — 0.1% |
||||||||
|
Costamare, Inc. (Monaco)(a) |
91,000 | 867,230 | ||||||
|
|
|
|||||||
|
Media — 2.0% |
||||||||
|
EW Scripps Co. (The) (Class A Stock) |
21,900 | 344,049 | ||||||
|
Gray Television, Inc.*(a) |
88,000 | 1,886,720 | ||||||
|
Liberty Latin America Ltd. (Chile) (Class A Stock)* |
189,400 | 3,655,420 | ||||||
|
Meredith Corp.(a) |
15,200 | 493,544 | ||||||
|
National CineMedia, Inc. |
37,300 | 271,917 | ||||||
|
Nexstar Media Group, Inc. (Class A Stock) |
38,101 | 4,467,342 | ||||||
|
Sinclair Broadcast Group, Inc. (Class A Stock) |
45,716 | 1,524,172 | ||||||
|
TEGNA, Inc. |
125,900 | 2,101,271 | ||||||
|
|
|
|||||||
| 14,744,435 | ||||||||
|
|
|
|||||||
|
Metals & Mining — 1.1% |
||||||||
|
Allegheny Technologies, Inc.*(a) |
125,117 | 2,584,917 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Metals & Mining (continued) |
||||||||
|
Cleveland-Cliffs, Inc.(a) |
26,200 | $ | 220,080 | |||||
|
Commercial Metals Co. |
125,900 | 2,803,793 | ||||||
|
Ramaco Resources, Inc.* |
16,800 | 60,144 | ||||||
|
Warrior Met Coal, Inc. |
92,900 | 1,962,977 | ||||||
|
|
|
|||||||
| 7,631,911 | ||||||||
|
|
|
|||||||
|
Mortgage Real Estate Investment Trusts (REITs) — 2.5% |
|
|||||||
|
AG Mortgage Investment Trust, Inc. |
147,100 | 2,268,282 | ||||||
|
ARMOUR Residential REIT, Inc. |
49,200 | 879,204 | ||||||
|
Blackstone Mortgage Trust, Inc. (Class A Stock)(a) |
152,539 | 5,677,502 | ||||||
|
Colony Credit Real Estate, Inc. |
131,600 | 1,731,856 | ||||||
|
Dynex Capital, Inc. |
98,849 | 1,674,502 | ||||||
|
Invesco Mortgage Capital, Inc. |
17,200 | 286,380 | ||||||
|
KKR Real Estate Finance Trust, Inc.(a) |
49,000 | 1,000,580 | ||||||
|
Ladder Capital Corp. |
66,900 | 1,206,876 | ||||||
|
PennyMac Mortgage Investment Trust |
40,400 | 900,516 | ||||||
|
Redwood Trust, Inc.(a) |
129,000 | 2,133,660 | ||||||
|
|
|
|||||||
| 17,759,358 | ||||||||
|
|
|
|||||||
|
Multi-Utilities — 0.6% |
||||||||
|
Black Hills Corp. |
33,666 | 2,644,128 | ||||||
|
NorthWestern Corp. |
13,100 | 938,877 | ||||||
|
Unitil Corp. |
8,900 | 550,198 | ||||||
|
|
|
|||||||
| 4,133,203 | ||||||||
|
|
|
|||||||
|
Oil, Gas & Consumable Fuels — 2.7% |
||||||||
|
Amplify Energy Corp.(a) |
80,800 | 534,088 | ||||||
|
Arch Coal, Inc. (Class A Stock)(a) |
31,900 | 2,288,506 | ||||||
|
Berry Petroleum Corp. |
217,500 | 2,051,025 | ||||||
|
Callon Petroleum Co.*(a) |
594,882 | 2,873,280 | ||||||
|
CVR Energy, Inc.(a) |
27,900 | 1,127,997 | ||||||
|
Delek US Holdings, Inc.(a) |
79,800 | 2,675,694 | ||||||
|
Denbury Resources, Inc.*(a) |
1,518,300 | 2,140,803 | ||||||
|
Dorian LPG Ltd.* |
86,500 | 1,339,020 | ||||||
|
Evolution Petroleum Corp. |
61,200 | 334,764 | ||||||
|
Gulfport Energy Corp.*(a) |
131,800 | 400,672 | ||||||
|
Par Pacific Holdings, Inc.* |
28,300 | 657,692 | ||||||
|
REX American Resources Corp.* |
3,000 | 245,880 | ||||||
|
SRC Energy, Inc.* |
171,521 | 706,666 | ||||||
|
W&T Offshore, Inc.* |
365,600 | 2,032,736 | ||||||
|
|
|
|||||||
| 19,408,823 | ||||||||
|
|
|
|||||||
|
Paper & Forest Products — 0.8% |
||||||||
|
Boise Cascade Co. |
58,700 | 2,144,311 | ||||||
|
Schweitzer-Mauduit International, Inc. |
84,347 | 3,541,730 | ||||||
|
Verso Corp. (Class A Stock)* |
11,800 | 212,754 | ||||||
|
|
|
|||||||
| 5,898,795 | ||||||||
|
|
|
|||||||
|
Pharmaceuticals — 1.4% |
||||||||
|
Endo International PLC* |
400,900 | 1,880,221 | ||||||
|
Kala Pharmaceuticals, Inc.*(a) |
114,600 | 422,874 | ||||||
|
Lannett Co., Inc.*(a) |
162,500 | 1,433,250 | ||||||
|
Prestige Consumer Healthcare, Inc.*(a) |
99,392 | 4,025,376 | ||||||
|
Revance Therapeutics, Inc.* |
69,800 | 1,132,854 | ||||||
|
WaVe Life Sciences Ltd.*(a) |
49,800 | 399,147 | ||||||
|
Zogenix, Inc.* |
19,400 | 1,011,322 | ||||||
|
|
|
|||||||
| 10,305,044 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A135
| AST SMALL-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Professional Services — 2.5% |
||||||||
|
Acacia Research Corp.* |
111,400 | $ | 296,324 | |||||
|
CRA International, Inc. |
11,600 | 631,852 | ||||||
|
Heidrick & Struggles International, Inc. |
53,900 | 1,751,750 | ||||||
|
Huron Consulting Group, Inc.* |
66,767 | 4,588,228 | ||||||
|
Kelly Services, Inc. (Class A Stock) |
245,765 | 5,549,374 | ||||||
|
Korn Ferry |
84,594 | 3,586,785 | ||||||
|
TrueBlue, Inc.* |
82,800 | 1,992,168 | ||||||
|
|
|
|||||||
| 18,396,481 | ||||||||
|
|
|
|||||||
|
Real Estate Management & Development — 0.1% |
|
|||||||
|
Newmark Group, Inc. (Class A Stock) |
40,753 | 548,332 | ||||||
|
Realogy Holdings Corp. |
48,300 | 467,544 | ||||||
|
|
|
|||||||
| 1,015,876 | ||||||||
|
|
|
|||||||
|
Road & Rail — 0.3% |
||||||||
|
ArcBest Corp. |
79,500 | 2,194,200 | ||||||
|
Covenant Transportation Group, Inc. (Class A Stock)* |
12,400 | 160,270 | ||||||
|
|
|
|||||||
| 2,354,470 | ||||||||
|
|
|
|||||||
|
Semiconductors & Semiconductor Equipment — 3.0% |
|
|||||||
|
Alpha & Omega Semiconductor Ltd.* |
122,119 | 1,663,261 | ||||||
|
Amkor Technology, Inc.* |
165,200 | 2,147,600 | ||||||
|
MACOM Technology Solutions Holdings, Inc.*(a) |
257,383 | 6,846,388 | ||||||
|
NeoPhotonics Corp.* |
226,500 | 1,997,730 | ||||||
|
Photronics, Inc.* |
94,800 | 1,494,048 | ||||||
|
Rambus, Inc.* |
296,500 | 4,084,287 | ||||||
|
Semtech Corp.* |
29,594 | 1,565,523 | ||||||
|
SMART Global Holdings, Inc.* |
29,300 | 1,111,642 | ||||||
|
Ultra Clean Holdings, Inc.* |
48,600 | 1,140,642 | ||||||
|
|
|
|||||||
| 22,051,121 | ||||||||
|
|
|
|||||||
|
Software — 0.3% |
||||||||
|
Avaya Holdings Corp.* |
115,800 | 1,563,300 | ||||||
|
TiVo Corp. |
50,700 | 429,936 | ||||||
|
|
|
|||||||
| 1,993,236 | ||||||||
|
|
|
|||||||
|
Specialty Retail — 3.5% |
||||||||
|
Cato Corp. (The) (Class A Stock) |
70,700 | 1,230,180 | ||||||
|
Citi Trends, Inc. |
28,800 | 665,856 | ||||||
|
Hibbett Sports, Inc.*(a) |
92,300 | 2,588,092 | ||||||
|
Michaels Cos., Inc. (The)*(a) |
113,533 | 918,482 | ||||||
|
Murphy USA, Inc.* |
72,880 | 8,526,960 | ||||||
|
Office Depot, Inc. |
810,200 | 2,219,948 | ||||||
|
Rent-A-Center, Inc. |
148,000 | 4,268,320 | ||||||
|
RH*(a) |
4,800 | 1,024,800 | ||||||
|
Sportsman’s Warehouse Holdings, Inc.* |
259,300 | 2,082,179 | ||||||
|
Tilly’s, Inc. (Class A Stock) |
137,100 | 1,679,475 | ||||||
|
|
|
|||||||
| 25,204,292 | ||||||||
|
|
|
|||||||
|
Textiles, Apparel & Luxury Goods — 1.4% |
|
|||||||
|
Carter’s, Inc. |
29,843 | 3,263,034 | ||||||
|
Culp, Inc. |
13,600 | 185,232 | ||||||
|
Deckers Outdoor Corp.* |
13,100 | 2,212,066 | ||||||
|
Oxford Industries, Inc.(a) |
28,530 | 2,151,733 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A136
| AST SMALL-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Shares | Value | |||||||
|
AFFILIATED MUTUAL FUNDS (continued) |
|
|||||||
|
PGIM Institutional Money Market Fund (cost $79,772,216; includes $79,639,700 of cash collateral for securities on loan)(b)(w) |
79,761,179 | $ | 79,777,131 | |||||
|
|
|
|||||||
|
TOTAL SHORT-TERM INVESTMENTS
|
|
90,163,064 | ||||||
|
|
|
|||||||
|
TOTAL INVESTMENTS — 111.0%
|
|
804,065,213 | ||||||
|
Liabilities in excess of other assets(z) — (11.0)% |
|
(79,470,573 | ) | |||||
|
|
|
|||||||
|
NET ASSETS — 100.0% |
$ | 724,594,640 | ||||||
|
|
|
|||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $77,835,011; cash collateral of $79,639,700 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at December 31, 2019:
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
| Long Position: | ||||||||||||||||
| 102 | Russell 2000 E-Mini Index | Mar. 2020 | $ | 8,520,060 | $ | 108,680 | ||||||||||
|
|
|
|||||||||||||||
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||||
|
Goldman Sachs & Co. LLC |
$ | 506,000 | $ | — | ||||||
|
|
|
|
|
|||||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 11,403,376 | $ | — | $ | — | ||||||
|
Air Freight & Logistics |
2,227,320 | — | — | |||||||||
|
Airlines |
3,937,034 | — | — | |||||||||
|
Auto Components |
1,538,110 | — | — | |||||||||
|
Banks |
114,676,474 | — | — | |||||||||
|
Biotechnology |
6,672,466 | — | — | |||||||||
|
Building Products |
3,979,138 | — | — | |||||||||
|
Capital Markets |
7,771,690 | — | — | |||||||||
|
Chemicals |
29,567,769 | — | — | |||||||||
|
Commercial Services & Supplies |
18,771,214 | — | — | |||||||||
|
Communications Equipment |
6,546,685 | — | — | |||||||||
|
Construction & Engineering |
9,574,308 | — | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A137
| AST SMALL-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Containers & Packaging |
$ | 4,566,830 | $ | — | $ | — | ||||||
|
Diversified Consumer Services |
3,412,108 | — | — | |||||||||
|
Diversified Financial Services |
314,314 | — | — | |||||||||
|
Diversified Telecommunication Services |
2,632,466 | — | — | |||||||||
|
Electric Utilities |
18,712,833 | — | — | |||||||||
|
Electrical Equipment |
6,055,148 | — | — | |||||||||
|
Electronic Equipment, Instruments & Components |
15,334,991 | — | — | |||||||||
|
Energy Equipment & Services |
8,327,698 | — | — | |||||||||
|
Equity Real Estate Investment Trusts (REITs) |
54,546,452 | — | — | |||||||||
|
Food & Staples Retailing |
9,946,434 | — | — | |||||||||
|
Food Products |
28,682,671 | — | — | |||||||||
|
Gas Utilities |
6,892,715 | — | — | |||||||||
|
Health Care Equipment & Supplies |
6,559,685 | — | — | |||||||||
|
Health Care Providers & Services |
12,005,172 | — | — | |||||||||
|
Health Care Technology |
805,200 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
1,091,719 | — | — | |||||||||
|
Household Durables |
10,488,358 | — | — | |||||||||
|
Household Products |
6,182,201 | — | — | |||||||||
|
Independent Power & Renewable Electricity Producers |
6,930,199 | — | — | |||||||||
|
Insurance |
14,810,566 | — | — | |||||||||
|
Internet & Direct Marketing Retail |
584,640 | — | — | |||||||||
|
IT Services |
31,176,093 | — | — | |||||||||
|
Leisure Products |
3,823,568 | — | — | |||||||||
|
Machinery |
31,599,762 | — | — | |||||||||
|
Marine |
867,230 | — | — | |||||||||
|
Media |
14,744,435 | — | — | |||||||||
|
Metals & Mining |
7,631,911 | — | — | |||||||||
|
Mortgage Real Estate Investment Trusts (REITs) |
17,759,358 | — | — | |||||||||
|
Multi-Utilities |
4,133,203 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
19,408,823 | — | — | |||||||||
|
Paper & Forest Products |
5,898,795 | — | — | |||||||||
|
Pharmaceuticals |
10,305,044 | — | — | |||||||||
|
Professional Services |
18,396,481 | — | — | |||||||||
|
Real Estate Management & Development |
1,015,876 | — | — | |||||||||
|
Road & Rail |
2,354,470 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
22,051,121 | — | — | |||||||||
|
Software |
1,993,236 | — | — | |||||||||
|
Specialty Retail |
25,204,292 | — | — | |||||||||
|
Textiles, Apparel & Luxury Goods |
9,852,674 | — | — | |||||||||
|
Thrifts & Mortgage Finance |
29,925,800 | — | — | |||||||||
|
Trading Companies & Distributors |
17,303,427 | — | — | |||||||||
|
Water Utilities |
749,816 | — | — | |||||||||
|
Wireless Telecommunication Services |
122,300 | — | — | |||||||||
|
Exchange-Traded Fund |
2,036,450 | — | — | |||||||||
|
Affiliated Mutual Funds |
90,163,064 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 804,065,213 | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 108,680 | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A138
| AST SMALL-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Banks |
15.8 | % | ||
|
Affiliated Mutual Funds (11.0% represents investments purchased with collateral from securities on loan) |
12.5 | |||
|
Equity Real Estate Investment Trusts (REITs) |
7.5 | |||
|
Machinery |
4.4 | |||
|
IT Services |
4.3 | |||
|
Thrifts & Mortgage Finance |
4.1 | |||
|
Chemicals |
4.1 | |||
|
Food Products |
4.0 | |||
|
Specialty Retail |
3.5 | |||
|
Semiconductors & Semiconductor Equipment |
3.0 | |||
|
Oil, Gas & Consumable Fuels |
2.7 | |||
|
Commercial Services & Supplies |
2.6 | |||
|
Electric Utilities |
2.6 | |||
|
Professional Services |
2.5 | |||
|
Mortgage Real Estate Investment Trusts (REITs) |
2.5 | |||
|
Trading Companies & Distributors |
2.4 | |||
|
Electronic Equipment, Instruments & Components |
2.1 | |||
|
Insurance |
2.0 | |||
|
Media |
2.0 | |||
|
Health Care Providers & Services |
1.7 | |||
|
Aerospace & Defense |
1.6 | |||
|
Household Durables |
1.4 | |||
|
Pharmaceuticals |
1.4 | |||
|
Food & Staples Retailing |
1.4 | |||
|
Textiles, Apparel & Luxury Goods |
1.4 | |||
|
Construction & Engineering |
1.3 | |||
|
Energy Equipment & Services |
1.1 | |||
|
Capital Markets |
1.1 | |||
|
Metals & Mining |
1.1 | |||
|
Independent Power & Renewable Electricity Producers |
1.0 | |||
|
Gas Utilities |
1.0 | |||
|
Biotechnology |
0.9 |
|
Health Care Equipment & Supplies |
0.9 | % | ||
|
Communications Equipment |
0.9 | |||
|
Household Products |
0.9 | |||
|
Electrical Equipment |
0.8 | |||
|
Paper & Forest Products |
0.8 | |||
|
Containers & Packaging |
0.6 | |||
|
Multi-Utilities |
0.6 | |||
|
Building Products |
0.5 | |||
|
Airlines |
0.5 | |||
|
Leisure Products |
0.5 | |||
|
Diversified Consumer Services |
0.5 | |||
|
Diversified Telecommunication Services |
0.4 | |||
|
Road & Rail |
0.3 | |||
|
Air Freight & Logistics |
0.3 | |||
|
Exchange-Traded Fund |
0.3 | |||
|
Software |
0.3 | |||
|
Auto Components |
0.2 | |||
|
Hotels, Restaurants & Leisure |
0.2 | |||
|
Real Estate Management & Development |
0.1 | |||
|
Marine |
0.1 | |||
|
Health Care Technology |
0.1 | |||
|
Water Utilities |
0.1 | |||
|
Internet & Direct Marketing Retail |
0.1 | |||
|
Diversified Financial Services |
0.0 | * | ||
|
Wireless Telecommunication Services |
0.0 | * | ||
|
|
|
|||
| 111.0 | ||||
|
Liabilities in excess of other assets |
(11.0 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Asset Derivatives |
Liability Derivatives |
|||||||||||
|
Derivatives not accounted for as hedging
|
Statement of
|
Fair Value |
Statement of
|
Fair Value |
||||||||
|
Equity contracts |
Due from/to broker- variation margin futures | $ | 108,680 | * | — | $ | — | |||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A139
| AST SMALL-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
|
Amount of Realized Gain (Loss) on Derivatives Recognized in Income |
||||
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Futures | |||
|
Equity contracts |
$ | 2,550,711 | ||
|
|
|
|||
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Futures | |||
|
Equity contracts |
$ | (33,570 | ) | |
|
|
|
|||
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Futures
Contracts— Long Positions(1) |
||
| $ | 11,039,184 | |
|
|
|
|
| (1) |
Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 77,835,011 | $ | (77,835,011 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A140
| AST SMALL-CAP VALUE PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $77,835,011: |
||||
|
Unaffiliated investments (cost $653,431,559) |
$ | 713,902,149 | ||
|
Affiliated investments (cost $90,158,149) |
90,163,064 | |||
|
Receivable for investments sold |
2,400,042 | |||
|
Dividends receivable |
1,175,688 | |||
|
Deposit with broker for centrally cleared/exchange-traded derivatives |
506,000 | |||
|
Due from broker-variation margin futures |
11,220 | |||
|
Tax reclaim receivable |
7,451 | |||
|
Receivable for Portfolio shares sold |
2,134 | |||
|
Prepaid expenses and other assets |
9,074 | |||
|
|
|
|||
|
Total Assets |
808,176,822 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
79,639,700 | |||
|
Payable for investments purchased |
2,834,144 | |||
|
Payable for Portfolio shares repurchased |
605,862 | |||
|
Management fee payable |
283,721 | |||
|
Accrued expenses and other liabilities |
181,076 | |||
|
Distribution fee payable |
29,871 | |||
|
Payable to affiliate |
7,451 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
83,582,182 | |||
|
|
|
|||
| NET ASSETS | $ | 724,594,640 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 724,594,640 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $724,594,640 / 25,012,838 outstanding shares of beneficial interest |
$ | 28.97 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 6,333,255 | $ | 5,715,741 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
(8,658,937 | ) | 68,432,130 | |||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
131,516,092 | (218,635,065 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
129,190,410 | (144,487,194 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [11,488,119 and 6,747,603 shares, respectively] |
302,641,390 | 189,168,006 | ||||||
|
Portfolio shares repurchased [11,278,707 and 16,109,019 shares, respectively] |
(296,271,100 | ) | (434,217,320 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
6,370,290 | (245,049,314 | ) | |||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 913 | 2,132 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 135,561,613 | (389,534,376 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
589,033,027 | 978,567,403 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 724,594,640 | $ | 589,033,027 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A141
| AST T. ROWE PRICE LARGE-CAP GROWTH PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 99.3% | ||||||||
| COMMON STOCKS | Shares | Value | ||||||
|
Aerospace & Defense — 4.5% |
||||||||
|
Boeing Co. (The) |
401,926 | $ | 130,931,414 | |||||
|
|
|
|||||||
|
Auto Components — 1.5% |
||||||||
|
Aptiv PLC(a) |
462,552 | 43,928,563 | ||||||
|
|
|
|||||||
|
Biotechnology — 2.0% |
||||||||
|
Alexion Pharmaceuticals, Inc.* |
104,158 | 11,264,688 | ||||||
|
Vertex Pharmaceuticals, Inc.* |
222,547 | 48,726,665 | ||||||
|
|
|
|||||||
| 59,991,353 | ||||||||
|
|
|
|||||||
|
Capital Markets — 1.7% |
||||||||
|
Charles Schwab Corp. (The) |
406,070 | 19,312,689 | ||||||
|
Intercontinental Exchange, Inc. |
202,876 | 18,776,174 | ||||||
|
TD Ameritrade Holding Corp. |
233,014 | 11,580,796 | ||||||
|
|
|
|||||||
| 49,669,659 | ||||||||
|
|
|
|||||||
|
Diversified Financial Services — 0.1% |
||||||||
|
XP, Inc. (Brazil) (Class A Stock)*(a) |
82,437 | 3,175,473 | ||||||
|
|
|
|||||||
|
Electric Utilities — 1.3% |
||||||||
|
NextEra Energy, Inc. |
157,842 | 38,223,019 | ||||||
|
|
|
|||||||
|
Entertainment — 2.9% |
||||||||
|
Netflix, Inc.* |
123,821 | 40,064,761 | ||||||
|
Spotify Technology SA* |
218,374 | 32,657,832 | ||||||
|
Tencent Music Entertainment Group (China), ADR*(a) |
1,016,206 | 11,930,258 | ||||||
|
|
|
|||||||
| 84,652,851 | ||||||||
|
|
|
|||||||
|
Health Care Equipment & Supplies — 6.1% |
|
|||||||
|
Becton, Dickinson & Co. |
205,562 | 55,906,697 | ||||||
|
Intuitive Surgical, Inc.* |
102,487 | 60,585,190 | ||||||
|
Stryker Corp. |
304,156 | 63,854,511 | ||||||
|
|
|
|||||||
| 180,346,398 | ||||||||
|
|
|
|||||||
|
Health Care Providers & Services — 6.8% |
|
|||||||
|
Centene Corp.*(a) |
341,229 | 21,453,067 | ||||||
|
Cigna Corp. |
290,451 | 59,394,325 | ||||||
|
HCA Healthcare, Inc. |
346,205 | 51,172,561 | ||||||
|
Humana, Inc. |
46,300 | 16,969,876 | ||||||
|
UnitedHealth Group, Inc. |
172,689 | 50,767,112 | ||||||
|
|
|
|||||||
| 199,756,941 | ||||||||
|
|
|
|||||||
|
Hotels, Restaurants & Leisure — 1.8% |
||||||||
|
Hilton Worldwide Holdings, Inc. |
232,720 | 25,810,975 | ||||||
|
Las Vegas Sands Corp. |
63,470 | 4,381,969 | ||||||
|
Restaurant Brands International, Inc. (Canada) |
226,743 | 14,459,401 | ||||||
|
Wynn Resorts Ltd. |
58,924 | 8,182,776 | ||||||
|
|
|
|||||||
| 52,835,121 | ||||||||
|
|
|
|||||||
|
Industrial Conglomerates — 0.5% |
||||||||
|
Honeywell International, Inc. |
82,421 | 14,588,517 | ||||||
|
|
|
|||||||
|
Interactive Media & Services — 16.6% |
||||||||
|
Alphabet, Inc. (Class A Stock)* |
110,781 | 148,378,964 | ||||||
|
Alphabet, Inc. (Class C Stock)* |
54,505 | 72,874,275 | ||||||
|
Facebook, Inc. (Class A Stock)* |
834,133 | 171,205,798 | ||||||
|
IAC/InterActiveCorp* |
107,219 | 26,709,325 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Interactive Media & Services (continued) |
|
|||||||
|
Tencent Holdings Ltd. (China), ADR(a) |
1,440,296 | $ | 69,148,611 | |||||
|
|
|
|||||||
| 488,316,973 | ||||||||
|
|
|
|||||||
|
Internet & Direct Marketing Retail — 11.5% |
|
|||||||
|
Alibaba Group Holding Ltd. (China), ADR* |
376,947 | 79,950,459 | ||||||
|
Amazon.com, Inc.* |
121,698 | 224,878,432 | ||||||
|
Booking Holdings, Inc.* |
16,261 | 33,395,704 | ||||||
|
|
|
|||||||
| 338,224,595 | ||||||||
|
|
|
|||||||
|
IT Services — 10.1% |
||||||||
|
Fidelity National Information Services, Inc. |
127,343 | 17,712,138 | ||||||
|
Global Payments, Inc. |
425,871 | 77,747,010 | ||||||
|
Okta, Inc.*(a) |
50,184 | 5,789,728 | ||||||
|
PayPal Holdings, Inc.* |
375,969 | 40,668,567 | ||||||
|
Visa, Inc. (Class A Stock)(a) |
822,129 | 154,478,039 | ||||||
|
|
|
|||||||
| 296,395,482 | ||||||||
|
|
|
|||||||
|
Life Sciences Tools & Services — 0.7% |
|
|||||||
|
Avantor, Inc.* |
1,045,922 | 18,983,484 | ||||||
|
|
|
|||||||
|
Multiline Retail — 1.5% |
||||||||
|
Dollar General Corp. |
282,586 | 44,077,764 | ||||||
|
|
|
|||||||
|
Multi-Utilities — 0.7% |
||||||||
|
Sempra Energy |
142,216 | 21,542,880 | ||||||
|
|
|
|||||||
|
Oil, Gas & Consumable Fuels — 0.6% |
|
|||||||
|
Concho Resources, Inc. |
189,420 | 16,587,509 | ||||||
|
|
|
|||||||
|
Professional Services — 0.7% |
||||||||
|
CoStar Group, Inc.* |
35,165 | 21,039,219 | ||||||
|
|
|
|||||||
|
Road & Rail — 1.2% |
||||||||
|
J.B. Hunt Transport Services, Inc.(a) |
117,503 | 13,722,000 | ||||||
|
Norfolk Southern Corp. |
78,637 | 15,265,801 | ||||||
|
Uber Technologies, Inc.* |
219,098 | 6,515,975 | ||||||
|
|
|
|||||||
| 35,503,776 | ||||||||
|
|
|
|||||||
|
Semiconductors & Semiconductor Equipment — 3.1% |
|
|||||||
|
Advanced Micro Devices, Inc.* |
497,382 | 22,809,939 | ||||||
|
ASML Holding NV (Netherlands)(a) |
142,925 | 42,297,224 | ||||||
|
Marvell Technology Group Ltd. |
984,020 | 26,135,571 | ||||||
|
|
|
|||||||
| 91,242,734 | ||||||||
|
|
|
|||||||
|
Software — 16.5% |
||||||||
|
Atlassian Corp. PLC (Class A Stock)* |
24,061 | 2,895,501 | ||||||
|
Intuit, Inc. |
233,475 | 61,154,107 | ||||||
|
Microsoft Corp. |
1,454,240 | 229,333,648 | ||||||
|
Paycom Software, Inc.* |
23,638 | 6,258,397 | ||||||
|
salesforce.com, Inc.* |
324,477 | 52,772,939 | ||||||
|
ServiceNow, Inc.*(a) |
110,813 | 31,284,726 | ||||||
|
Slack Technologies, Inc. (Class A Stock)*(a) |
383,827 | 8,628,431 | ||||||
|
Splunk, Inc.*(a) |
261,901 | 39,224,913 | ||||||
|
VMware, Inc. (Class A Stock)* |
211,594 | 32,117,853 | ||||||
|
Workday, Inc. (Class A Stock)* |
133,623 | 21,974,302 | ||||||
|
Zoom Video Communications, Inc. (Class A Stock)*(a) |
7,332 | 498,869 | ||||||
|
|
|
|||||||
| 486,143,686 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A142
| AST T. ROWE PRICE LARGE-CAP GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $310,904,667; cash collateral of $317,310,800 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as the manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 130,931,414 | $ | — | $ | — | ||||||
|
Auto Components |
43,928,563 | — | — | |||||||||
|
Biotechnology |
59,991,353 | — | — | |||||||||
|
Capital Markets |
49,669,659 | — | — | |||||||||
|
Diversified Financial Services |
3,175,473 | — | — | |||||||||
|
Electric Utilities |
38,223,019 | — | — | |||||||||
|
Entertainment |
84,652,851 | — | — | |||||||||
|
Health Care Equipment & Supplies |
180,346,398 | — | — | |||||||||
|
Health Care Providers & Services |
199,756,941 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
52,835,121 | — | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A143
| AST T. ROWE PRICE LARGE-CAP GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Industrial Conglomerates |
$ | 14,588,517 | $ | — | $ | — | ||||||
|
Interactive Media & Services |
488,316,973 | — | — | |||||||||
|
Internet & Direct Marketing Retail |
338,224,595 | — | — | |||||||||
|
IT Services |
296,395,482 | — | — | |||||||||
|
Life Sciences Tools & Services |
18,983,484 | — | — | |||||||||
|
Multiline Retail |
44,077,764 | — | — | |||||||||
|
Multi-Utilities |
21,542,880 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
16,587,509 | — | — | |||||||||
|
Professional Services |
21,039,219 | — | — | |||||||||
|
Road & Rail |
35,503,776 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
91,242,734 | — | — | |||||||||
|
Software |
486,143,686 | — | — | |||||||||
|
Specialty Retail |
43,968,402 | — | — | |||||||||
|
Technology Hardware, Storage & Peripherals |
101,047,608 | — | — | |||||||||
|
Textiles, Apparel & Luxury Goods |
45,838,548 | — | — | |||||||||
|
Tobacco |
10,866,504 | — | — | |||||||||
|
Affiliated Mutual Funds |
334,936,231 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 3,252,814,704 | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Interactive Media & Services |
16.6 | % | ||
|
Software |
16.5 | |||
|
Internet & Direct Marketing Retail |
11.5 | |||
|
Affiliated Mutual Funds (10.8% represents investments purchased with collateral from securities on loan) |
11.4 | |||
|
IT Services |
10.1 | |||
|
Health Care Providers & Services |
6.8 | |||
|
Health Care Equipment & Supplies |
6.1 | |||
|
Aerospace & Defense |
4.5 | |||
|
Technology Hardware, Storage & Peripherals |
3.4 | |||
|
Semiconductors & Semiconductor Equipment |
3.1 | |||
|
Entertainment |
2.9 | |||
|
Biotechnology |
2.0 | |||
|
Hotels, Restaurants & Leisure |
1.8 | |||
|
Capital Markets |
1.7 | |||
|
Textiles, Apparel & Luxury Goods |
1.6 | |||
|
Multiline Retail |
1.5 |
|
Specialty Retail |
1.5 | % | ||
|
Auto Components |
1.5 | |||
|
Electric Utilities |
1.3 | |||
|
Road & Rail |
1.2 | |||
|
Multi-Utilities |
0.7 | |||
|
Professional Services |
0.7 | |||
|
Life Sciences Tools & Services |
0.7 | |||
|
Oil, Gas & Consumable Fuels |
0.6 | |||
|
Industrial Conglomerates |
0.5 | |||
|
Tobacco |
0.4 | |||
|
Diversified Financial Services |
0.1 | |||
|
|
|
|||
| 110.7 | ||||
|
Liabilities in excess of other assets |
(10.7 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 310,904,667 | $ | (310,904,667 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A144
| AST T. ROWE PRICE LARGE-CAP GROWTH PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $310,904,667: |
||||
|
Unaffiliated investments (cost $1,891,049,947) |
$ | 2,917,878,473 | ||
|
Affiliated investments (cost $334,920,030) |
334,936,231 | |||
|
Receivable for investments sold |
5,241,982 | |||
|
Dividends receivable |
750,955 | |||
|
Receivable for Portfolio shares sold |
525,686 | |||
|
Tax reclaim receivable |
134,113 | |||
|
Prepaid expenses and other assets |
20,826 | |||
|
|
|
|||
|
Total Assets |
3,259,488,266 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
317,310,800 | |||
|
Payable for Portfolio shares repurchased |
1,447,262 | |||
|
Management fee payable |
830,864 | |||
|
Payable for investments purchased |
493,285 | |||
|
Accrued expenses and other liabilities |
473,648 | |||
|
Distribution fee payable |
121,596 | |||
|
Payable to affiliate |
117,433 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
320,795,245 | |||
|
|
|
|||
| NET ASSETS | $ | 2,938,693,021 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 2,938,693,021 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $2,938,693,021 / 63,675,357 outstanding shares of beneficial interest |
$ | 46.15 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | (2,566,112 | ) | $ | 3,169,570 | |||
|
Net realized gain (loss) on investment and foreign currency transactions |
145,300,898 | 405,421,994 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
526,415,851 | (293,870,079 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
669,150,637 | 114,721,485 | ||||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [7,382,267 and 5,887,534 shares, respectively] |
302,135,030 | 223,402,820 | ||||||
|
Portfolio shares repurchased [9,644,265 and 15,612,940 shares, respectively] |
(405,477,496 | ) | (586,774,058 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(103,342,466 | ) | (363,371,238 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 1,156 | 12,774 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 565,809,327 | (248,636,979 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
2,372,883,694 | 2,621,520,673 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 2,938,693,021 | $ | 2,372,883,694 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A145
|
AST T. ROWE PRICE LARGE-CAP VALUE PORTFOLIO |
||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 97.9% | ||||||||
| COMMON STOCKS — 96.5% | Shares | Value | ||||||
|
Aerospace & Defense — 2.4% |
||||||||
|
Boeing Co. (The) |
132,110 | $ | 43,036,154 | |||||
|
Raytheon Co. |
142,492 | 31,311,192 | ||||||
|
|
|
|||||||
| 74,347,346 | ||||||||
|
|
|
|||||||
|
Air Freight & Logistics — 1.8% |
||||||||
|
United Parcel Service, Inc. (Class B Stock) |
471,134 | 55,150,946 | ||||||
|
|
|
|||||||
|
Airlines — 1.1% |
||||||||
|
Southwest Airlines Co.(a) |
638,977 | 34,491,978 | ||||||
|
|
|
|||||||
|
Auto Components — 0.7% |
||||||||
|
Magna International, Inc. (Canada) |
378,921 | 20,780,028 | ||||||
|
|
|
|||||||
|
Banks — 11.6% |
||||||||
|
Citigroup, Inc. |
227,661 | 18,187,837 | ||||||
|
Fifth Third Bancorp |
1,668,822 | 51,299,588 | ||||||
|
JPMorgan Chase & Co. |
845,961 | 117,926,963 | ||||||
|
Signature Bank |
136,963 | 18,710,516 | ||||||
|
U.S. Bancorp |
602,974 | 35,750,329 | ||||||
|
Wells Fargo & Co. |
2,146,071 | 115,458,620 | ||||||
|
|
|
|||||||
| 357,333,853 | ||||||||
|
|
|
|||||||
|
Beverages — 0.6% |
||||||||
|
PepsiCo, Inc. |
143,385 | 19,596,428 | ||||||
|
|
|
|||||||
|
Biotechnology — 1.7% |
||||||||
|
AbbVie, Inc. |
354,200 | 31,360,868 | ||||||
|
Gilead Sciences, Inc. |
344,881 | 22,410,367 | ||||||
|
|
|
|||||||
| 53,771,235 | ||||||||
|
|
|
|||||||
|
Building Products — 1.4% |
||||||||
|
Fortune Brands Home & Security, Inc. |
329,340 | 21,519,076 | ||||||
|
Johnson Controls International PLC |
521,530 | 21,231,486 | ||||||
|
|
|
|||||||
| 42,750,562 | ||||||||
|
|
|
|||||||
|
Capital Markets — 4.4% |
||||||||
|
Charles Schwab Corp. (The) |
405,600 | 19,290,336 | ||||||
|
Franklin Resources, Inc.(a) |
481,933 | 12,520,619 | ||||||
|
Morgan Stanley |
1,422,612 | 72,723,926 | ||||||
|
State Street Corp. |
399,400 | 31,592,540 | ||||||
|
|
|
|||||||
| 136,127,421 | ||||||||
|
|
|
|||||||
|
Chemicals — 2.4% |
||||||||
|
CF Industries Holdings, Inc. |
622,738 | 29,729,512 | ||||||
|
Dow, Inc. |
301,805 | 16,517,788 | ||||||
|
DuPont de Nemours, Inc. |
429,118 | 27,549,375 | ||||||
|
|
|
|||||||
| 73,796,675 | ||||||||
|
|
|
|||||||
|
Commercial Services & Supplies — 0.5% |
|
|||||||
|
Stericycle, Inc.*(a) |
240,260 | 15,330,991 | ||||||
|
|
|
|||||||
|
Communications Equipment — 1.4% |
||||||||
|
Cisco Systems, Inc. |
923,064 | 44,270,149 | ||||||
|
|
|
|||||||
|
Containers & Packaging — 1.2% |
||||||||
|
International Paper Co. |
803,578 | 37,004,767 | ||||||
|
|
|
|||||||
|
Diversified Financial Services — 0.7% |
||||||||
|
AXA Equitable Holdings, Inc. |
842,042 | 20,865,801 | ||||||
|
|
|
|||||||
|
Diversified Telecommunication Services — 2.0% |
|
|||||||
|
Verizon Communications, Inc. |
987,617 | 60,639,684 | ||||||
|
|
|
|||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Electric Utilities — 5.5% |
||||||||
|
Edison International |
486,983 | $ | 36,723,388 | |||||
|
Evergy, Inc. |
247,134 | 16,085,952 | ||||||
|
NextEra Energy, Inc. |
168,724 | 40,858,204 | ||||||
|
Southern Co. (The) |
1,182,768 | 75,342,322 | ||||||
|
|
|
|||||||
| 169,009,866 | ||||||||
|
|
|
|||||||
|
Electronic Equipment, Instruments & Components — 0.7% |
|
|||||||
|
TE Connectivity Ltd. |
223,424 | 21,412,956 | ||||||
|
|
|
|||||||
|
Entertainment — 0.8% |
||||||||
|
Walt Disney Co. (The) |
163,727 | 23,679,836 | ||||||
|
|
|
|||||||
|
Equity Real Estate Investment Trusts (REITs) — 2.1% |
|
|||||||
|
SL Green Realty Corp.(a) |
284,110 | 26,104,027 | ||||||
|
Weyerhaeuser Co. |
1,337,125 | 40,381,175 | ||||||
|
|
|
|||||||
| 66,485,202 | ||||||||
|
|
|
|||||||
|
Food & Staples Retailing — 1.2% |
||||||||
|
Walmart, Inc. |
319,401 | 37,957,615 | ||||||
|
|
|
|||||||
|
Food Products — 4.1% |
||||||||
|
Bunge Ltd. |
454,535 | 26,158,489 | ||||||
|
Conagra Brands, Inc.(a) |
820,692 | 28,100,494 | ||||||
|
Tyson Foods, Inc. (Class A Stock) |
800,779 | 72,902,920 | ||||||
|
|
|
|||||||
| 127,161,903 | ||||||||
|
|
|
|||||||
|
Health Care Equipment & Supplies — 5.0% |
|
|||||||
|
Becton, Dickinson & Co. |
104,286 | 28,362,663 | ||||||
|
Hologic, Inc.* |
541,674 | 28,280,800 | ||||||
|
Medtronic PLC |
633,027 | 71,816,913 | ||||||
|
Zimmer Biomet Holdings, Inc. |
167,883 | 25,128,728 | ||||||
|
|
|
|||||||
| 153,589,104 | ||||||||
|
|
|
|||||||
|
Health Care Providers & Services — 1.7% |
|
|||||||
|
CVS Health Corp. |
730,016 | 54,232,889 | ||||||
|
|
|
|||||||
|
Hotels, Restaurants & Leisure — 1.5% |
||||||||
|
Carnival Corp.(a) |
514,325 | 26,143,140 | ||||||
|
Las Vegas Sands Corp. |
301,784 | 20,835,167 | ||||||
|
|
|
|||||||
| 46,978,307 | ||||||||
|
|
|
|||||||
|
Household Products — 1.4% |
||||||||
|
Kimberly-Clark Corp. |
318,762 | 43,845,713 | ||||||
|
|
|
|||||||
|
Industrial Conglomerates — 2.5% |
||||||||
|
General Electric Co. |
6,969,679 | 77,781,618 | ||||||
|
|
|
|||||||
|
Insurance — 7.2% |
||||||||
|
American International Group, Inc. |
1,348,722 | 69,229,900 | ||||||
|
Chubb Ltd. |
431,912 | 67,231,422 | ||||||
|
Loews Corp. |
132,539 | 6,956,972 | ||||||
|
Marsh & McLennan Cos., Inc. |
367,972 | 40,995,761 | ||||||
|
MetLife, Inc. |
721,734 | 36,786,782 | ||||||
|
|
|
|||||||
| 221,200,837 | ||||||||
|
|
|
|||||||
|
IT Services — 0.5% |
||||||||
|
Cognizant Technology Solutions Corp. (Class A Stock) |
226,957 | 14,075,873 | ||||||
|
|
|
|||||||
|
Leisure Products — 0.2% |
||||||||
|
Mattel, Inc.*(a) |
420,193 | 5,693,615 | ||||||
|
|
|
|||||||
|
Life Sciences Tools & Services — 0.5% |
|
|||||||
|
Thermo Fisher Scientific, Inc. |
49,458 | 16,067,420 | ||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A146
|
AST T. ROWE PRICE LARGE-CAP VALUE PORTFOLIO (continued) |
||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $146,336,537; cash collateral of $149,586,171 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
A147
| AST T. ROWE PRICE LARGE-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 74,347,346 | $ | — | $ | — | ||||||
|
Air Freight & Logistics |
55,150,946 | — | — | |||||||||
|
Airlines |
34,491,978 | — | — | |||||||||
|
Auto Components |
20,780,028 | — | — | |||||||||
|
Banks |
357,333,853 | — | — | |||||||||
|
Beverages |
19,596,428 | — | — | |||||||||
|
Biotechnology |
53,771,235 | — | — | |||||||||
|
Building Products |
42,750,562 | — | — | |||||||||
|
Capital Markets |
136,127,421 | — | — | |||||||||
|
Chemicals |
73,796,675 | — | — | |||||||||
|
Commercial Services & Supplies |
15,330,991 | — | — | |||||||||
|
Communications Equipment |
44,270,149 | — | — | |||||||||
|
Containers & Packaging |
37,004,767 | — | — | |||||||||
|
Diversified Financial Services |
20,865,801 | — | — | |||||||||
|
Diversified Telecommunication Services |
60,639,684 | — | — | |||||||||
|
Electric Utilities |
169,009,866 | — | — | |||||||||
|
Electronic Equipment, Instruments & Components |
21,412,956 | — | — | |||||||||
|
Entertainment |
23,679,836 | — | — | |||||||||
|
Equity Real Estate Investment Trusts (REITs) |
66,485,202 | — | — | |||||||||
|
Food & Staples Retailing |
37,957,615 | — | — | |||||||||
|
Food Products |
127,161,903 | — | — | |||||||||
|
Health Care Equipment & Supplies |
153,589,104 | — | — | |||||||||
|
Health Care Providers & Services |
54,232,889 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
46,978,307 | — | — | |||||||||
|
Household Products |
43,845,713 | — | — | |||||||||
|
Industrial Conglomerates |
77,781,618 | — | — | |||||||||
|
Insurance |
221,200,837 | — | — | |||||||||
|
IT Services |
14,075,873 | — | — | |||||||||
|
Leisure Products |
5,693,615 | — | — | |||||||||
|
Life Sciences Tools & Services |
16,067,420 | — | — | |||||||||
|
Machinery |
26,523,627 | — | — | |||||||||
|
Media |
89,719,334 | — | — | |||||||||
|
Multiline Retail |
8,437,269 | — | — | |||||||||
|
Multi-Utilities |
32,025,502 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
259,944,027 | — | — | |||||||||
|
Pharmaceuticals |
155,011,811 | — | — | |||||||||
|
Professional Services |
17,726,731 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
156,566,208 | — | — | |||||||||
|
Software |
65,866,717 | — | — | |||||||||
|
Tobacco |
44,117,633 | — | — | |||||||||
|
Preferred Stocks |
||||||||||||
|
Electric Utilities |
12,785,188 | — | — | |||||||||
|
Health Care Equipment & Supplies |
6,606,681 | — | — | |||||||||
|
Multi-Utilities |
24,741,078 | — | — | |||||||||
|
Affiliated Mutual Fund |
149,821,253 | — | — | |||||||||
|
Unaffiliated Fund |
52,581,430 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 3,227,905,107 | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Banks |
11.6 | % | ||
|
Oil, Gas & Consumable Fuels |
8.4 |
|
Insurance |
7.2 | % | ||
|
Electric Utilities |
5.9 |
SEE NOTES TO FINANCIAL STATEMENTS.
A148
| AST T. ROWE PRICE LARGE-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Industry Classification (continued):
|
Health Care Equipment & Supplies |
5.2 | % | ||
|
Semiconductors & Semiconductor Equipment |
5.1 | |||
|
Pharmaceuticals |
5.0 | |||
|
Affiliated Mutual Fund (4.8% represents investments purchased with collateral from securities on loan) |
4.9 | |||
|
Capital Markets |
4.4 | |||
|
Food Products |
4.1 | |||
|
Media |
2.9 | |||
|
Industrial Conglomerates |
2.5 | |||
|
Aerospace & Defense |
2.4 | |||
|
Chemicals |
2.4 | |||
|
Equity Real Estate Investment Trusts (REITs) |
2.1 | |||
|
Software |
2.1 | |||
|
Diversified Telecommunication Services |
2.0 | |||
|
Multi-Utilities |
1.8 | |||
|
Air Freight & Logistics |
1.8 | |||
|
Health Care Providers & Services |
1.7 | |||
|
Biotechnology |
1.7 | |||
|
Unaffiliated Fund |
1.7 | |||
|
Hotels, Restaurants & Leisure |
1.5 | |||
|
Communications Equipment |
1.4 | |||
|
Tobacco |
1.4 |
|
Household Products |
1.4 | % | ||
|
Building Products |
1.4 | |||
|
Food & Staples Retailing |
1.2 | |||
|
Containers & Packaging |
1.2 | |||
|
Airlines |
1.1 | |||
|
Machinery |
0.9 | |||
|
Entertainment |
0.8 | |||
|
Electronic Equipment, Instruments & Components |
0.7 | |||
|
Diversified Financial Services |
0.7 | |||
|
Auto Components |
0.7 | |||
|
Beverages |
0.6 | |||
|
Professional Services |
0.6 | |||
|
Life Sciences Tools & Services |
0.5 | |||
|
Commercial Services & Supplies |
0.5 | |||
|
IT Services |
0.5 | |||
|
Multiline Retail |
0.3 | |||
|
Leisure Products |
0.2 | |||
|
|
|
|||
| 104.5 | ||||
|
Liabilities in excess of other assets |
(4.5 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 146,336,537 | $ | (146,336,537 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A149
| AST T. ROWE PRICE LARGE-CAP VALUE PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $146,336,537: |
||||
|
Unaffiliated investments (cost $2,814,542,871) |
$ | 3,078,083,854 | ||
|
Affiliated investments (cost $149,811,083) |
149,821,253 | |||
|
Receivable for investments sold |
7,961,786 | |||
|
Dividends and interest receivable |
5,941,211 | |||
|
Tax reclaim receivable |
1,300,860 | |||
|
Receivable for Portfolio shares sold |
584,671 | |||
|
Prepaid expenses and other assets |
26,270 | |||
|
|
|
|||
|
Total Assets |
3,243,719,905 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
149,586,171 | |||
|
Payable for investments purchased |
2,211,039 | |||
|
Payable to affiliate |
1,051,016 | |||
|
Management fee payable |
708,836 | |||
|
Accrued expenses and other liabilities |
278,399 | |||
|
Distribution fee payable |
127,052 | |||
|
Payable for Portfolio shares repurchased |
37,372 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
154,000,242 | |||
|
|
|
|||
| NET ASSETS | $ | 3,089,719,663 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 3,089,719,663 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $3,089,719,663 / 179,373,986 outstanding shares of beneficial interest |
$ | 17.23 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 50,866,983 | $ | 21,916,667 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
188,957,766 | 88,418,995 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
217,540,386 | (236,873,511 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
457,365,135 | (126,537,849 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [18,749,445 and 38,213,416 shares, respectively] |
290,593,451 | 561,542,253 | ||||||
|
Portfolio shares issued in merger [102,592,839 and 0, respectively] |
1,616,863,138 | — | ||||||
|
Portfolio shares repurchased [37,193,215 and 27,011,930 shares, respectively] |
(577,304,137 | ) | (404,855,718 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
1,330,152,452 | 156,686,535 | ||||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 826 | 6,285 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 1,787,518,413 | 30,154,971 | ||||||
| NET ASSETS: | ||||||||
|
Beginning of year |
1,302,201,250 | 1,272,046,279 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 3,089,719,663 | $ | 1,302,201,250 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A150
| AST T. ROWE PRICE NATURAL RESOURCES PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 99.6% | ||||||||
| COMMON STOCKS — 98.4% | Shares | Value | ||||||
|
Agricultural & Farm Machinery — 1.9% |
||||||||
|
AGCO Corp. |
21,639 | $ | 1,671,613 | |||||
|
CNH Industrial NV (United Kingdom) |
175,252 | 1,925,135 | ||||||
|
Deere & Co. |
8,400 | 1,455,384 | ||||||
|
Toro Co. (The) |
33,814 | 2,693,961 | ||||||
|
|
|
|||||||
| 7,746,093 | ||||||||
|
|
|
|||||||
|
Aluminum — 0.4% |
||||||||
|
Alumina Ltd. (Australia) |
1,034,659 | 1,670,563 | ||||||
|
|
|
|||||||
|
Biotechnology — 0.0% |
||||||||
|
Calyxt, Inc.*(a) |
15,592 | 109,300 | ||||||
|
|
|
|||||||
|
Commodity Chemicals — 0.9% |
||||||||
|
Orion Engineered Carbons SA (Luxembourg) |
45,041 | 869,291 | ||||||
|
Westlake Chemical Corp. |
43,552 | 3,055,173 | ||||||
|
|
|
|||||||
| 3,924,464 | ||||||||
|
|
|
|||||||
|
Construction & Engineering — 1.1% |
||||||||
|
Jacobs Engineering Group, Inc. |
33,882 | 3,043,620 | ||||||
|
Valmont Industries, Inc. |
10,088 | 1,510,981 | ||||||
|
|
|
|||||||
| 4,554,601 | ||||||||
|
|
|
|||||||
|
Construction Machinery & Heavy Trucks — 2.2% |
|
|||||||
|
Bucher Industries AG (Switzerland) |
3,680 | 1,291,803 | ||||||
|
Caterpillar, Inc. |
24,800 | 3,662,464 | ||||||
|
Epiroc AB (Sweden), (Class B Stock) |
221,656 | 2,624,541 | ||||||
|
FLSmidth & Co. A/S (Denmark) |
38,488 | 1,535,815 | ||||||
|
|
|
|||||||
| 9,114,623 | ||||||||
|
|
|
|||||||
|
Copper — 2.2% |
||||||||
|
Antofagasta PLC (Chile) |
106,916 | 1,306,577 | ||||||
|
ERO Copper Corp. (Canada)* |
130,168 | 2,366,691 | ||||||
|
Lundin Mining Corp. (Chile) |
375,900 | 2,246,340 | ||||||
|
Southern Copper Corp. (Peru) |
78,650 | 3,341,052 | ||||||
|
|
|
|||||||
| 9,260,660 | ||||||||
|
|
|
|||||||
|
Diversified Chemicals — 0.8% |
||||||||
|
Eastman Chemical Co. |
18,700 | 1,482,162 | ||||||
|
Incitec Pivot Ltd. (Australia) |
776,441 | 1,733,731 | ||||||
|
|
|
|||||||
| 3,215,893 | ||||||||
|
|
|
|||||||
|
Diversified Metals & Mining — 5.3% |
||||||||
|
BHP Group Ltd. (Australia) |
116,107 | 3,175,900 | ||||||
|
Boliden AB (Sweden) |
212,781 | 5,653,384 | ||||||
|
Independence Group NL (Australia) |
635,117 | 2,785,248 | ||||||
|
Rio Tinto PLC (Australia) |
42,584 | 2,548,683 | ||||||
|
South32 Ltd. (Australia) |
1,746,908 | 3,310,475 | ||||||
|
Sumitomo Metal Mining Co. Ltd. (Japan) |
60,000 | 1,939,788 | ||||||
|
Teck Resources Ltd. (Canada), (Class B Stock)(a) |
154,449 | 2,682,779 | ||||||
|
|
|
|||||||
| 22,096,257 | ||||||||
|
|
|
|||||||
|
Electric Utilities — 5.3% |
||||||||
|
American Electric Power Co., Inc. |
29,648 | 2,802,033 | ||||||
|
Entergy Corp. |
26,748 | 3,204,410 | ||||||
|
Eversource Energy |
33,078 | 2,813,945 | ||||||
|
NextEra Energy, Inc. |
40,629 | 9,838,719 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Electric Utilities (continued) |
||||||||
|
Xcel Energy, Inc. |
50,663 | $ | 3,216,594 | |||||
|
|
|
|||||||
| 21,875,701 | ||||||||
|
|
|
|||||||
|
Electrical Components & Equipment — 0.6% |
|
|||||||
|
Schneider Electric SE (France) |
20,970 | 2,154,710 | ||||||
|
SGL Carbon SE (Germany)*(a) |
77,795 | 420,228 | ||||||
|
|
|
|||||||
| 2,574,938 | ||||||||
|
|
|
|||||||
|
Fertilizers & Agricultural Chemicals — 1.8% |
|
|||||||
|
CF Industries Holdings, Inc. |
101,796 | 4,859,741 | ||||||
|
Yara International ASA (Norway) |
57,902 | 2,431,971 | ||||||
|
|
|
|||||||
| 7,291,712 | ||||||||
|
|
|
|||||||
|
Forest Products — 1.2% |
||||||||
|
Interfor Corp. (Canada)* |
122,146 | 1,379,910 | ||||||
|
West Fraser Timber Co. Ltd. (Canada) |
81,891 | 3,612,272 | ||||||
|
|
|
|||||||
| 4,992,182 | ||||||||
|
|
|
|||||||
|
Gas Utilities — 1.0% |
||||||||
|
Atmos Energy Corp. |
35,255 | 3,943,624 | ||||||
|
|
|
|||||||
|
Gold — 2.9% |
||||||||
|
Alacer Gold Corp.* |
222,738 | 1,183,545 | ||||||
|
Franco-Nevada Corp. (Canada) |
14,190 | 1,465,278 | ||||||
|
Kirkland Lake Gold Ltd. (Canada) |
92,142 | 4,061,614 | ||||||
|
Northern Star Resources Ltd. (Australia) |
599,685 | 4,728,199 | ||||||
|
Perseus Mining Ltd. (Australia)* |
598,591 | 481,257 | ||||||
|
SEMAFO, Inc. (Canada)* |
158,477 | 329,512 | ||||||
|
|
|
|||||||
| 12,249,405 | ||||||||
|
|
|
|||||||
|
Heavy Electrical Equipment — 0.0% |
||||||||
|
Bloom Energy Corp. (Class A Stock)*(a) |
16,829 | 125,713 | ||||||
|
|
|
|||||||
|
Industrial Gases — 5.6% |
||||||||
|
Air Products & Chemicals, Inc. |
47,764 | 11,224,062 | ||||||
|
Linde PLC (United Kingdom) |
57,562 | 12,254,950 | ||||||
|
|
|
|||||||
| 23,479,012 | ||||||||
|
|
|
|||||||
|
Industrial Machinery — 3.4% |
||||||||
|
Flowserve Corp. |
43,204 | 2,150,263 | ||||||
|
Rotork PLC (United Kingdom) |
212,613 | 943,509 | ||||||
|
Sandvik AB (Sweden) |
163,889 | 3,191,837 | ||||||
|
Valmet OYJ (Finland) |
69,613 | 1,668,523 | ||||||
|
Wartsila OYJ Abp (Finland) |
203,628 | 2,253,615 | ||||||
|
Weir Group PLC (The) (United Kingdom) |
112,969 | 2,260,021 | ||||||
|
Xylem, Inc. |
20,572 | 1,620,868 | ||||||
|
|
|
|||||||
| 14,088,636 | ||||||||
|
|
|
|||||||
|
Integrated Oil & Gas — 14.6% |
||||||||
|
BP PLC (United Kingdom) |
1,840,555 | 11,542,327 | ||||||
|
Chevron Corp. |
32,971 | 3,973,335 | ||||||
|
Eni SpA (Italy) |
132,422 | 2,055,422 | ||||||
|
Equinor ASA (Norway) |
300,620 | 6,002,524 | ||||||
|
Exxon Mobil Corp. |
34,880 | 2,433,927 | ||||||
|
Galp Energia SGPS SA (Portugal) |
293,282 | 4,915,308 | ||||||
|
Occidental Petroleum Corp. |
108,582 | 4,474,664 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A151
| AST T. ROWE PRICE NATURAL RESOURCES PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Integrated Oil & Gas (continued) |
||||||||
|
Royal Dutch Shell PLC (Netherlands), (Class B Stock) |
41,237 | $ | 1,227,409 | |||||
|
Suncor Energy, Inc. (Canada) |
81,832 | 2,684,090 | ||||||
|
TOTAL SA (France) |
389,239 | 21,552,911 | ||||||
|
|
|
|||||||
| 60,861,917 | ||||||||
|
|
|
|||||||
|
IT Consulting & Other Services — 0.5% |
|
|||||||
|
KBR, Inc. |
66,690 | 2,034,045 | ||||||
|
|
|
|||||||
|
Metal & Glass Containers — 1.8% |
||||||||
|
Ball Corp. |
83,907 | 5,426,266 | ||||||
|
Verallia SASU (France), 144A* |
59,407 | 2,024,010 | ||||||
|
|
|
|||||||
| 7,450,276 | ||||||||
|
|
|
|||||||
|
Multi-Utilities — 0.6% |
||||||||
|
Sempra Energy |
17,700 | 2,681,196 | ||||||
|
|
|
|||||||
|
Oil & Gas Equipment & Services — 6.4% |
|
|||||||
|
Apergy Corp.* |
63,100 | 2,131,518 | ||||||
|
Cactus, Inc. (Class A Stock) |
30,140 | 1,034,405 | ||||||
|
Dril-Quip, Inc.*(a) |
29,274 | 1,373,243 | ||||||
|
Enerflex Ltd. (Canada) |
79,311 | 746,967 | ||||||
|
Halliburton Co. |
196,953 | 4,819,440 | ||||||
|
Liberty Oilfield Services, Inc. (Class A Stock)(a) |
185,231 | 2,059,769 | ||||||
|
National Oilwell Varco, Inc. |
45,900 | 1,149,795 | ||||||
|
Schlumberger Ltd. |
195,519 | 7,859,864 | ||||||
|
Schoeller-Bleckmann Oilfield Equipment AG (Austria) |
18,004 | 1,022,730 | ||||||
|
Tenaris SA (Luxembourg) |
258,145 | 2,915,597 | ||||||
|
TGS NOPEC Geophysical Co. ASA (Norway) |
48,795 | 1,502,577 | ||||||
|
|
|
|||||||
| 26,615,905 | ||||||||
|
|
|
|||||||
|
Oil & Gas Exploration & Production — 17.1% |
|
|||||||
|
Aker BP ASA (Norway) |
26,301 | 863,469 | ||||||
|
Cairn Energy PLC (United Kingdom)* |
562,451 | 1,518,347 | ||||||
|
Concho Resources, Inc. |
118,143 | 10,345,782 | ||||||
|
ConocoPhillips |
142,941 | 9,295,453 | ||||||
|
Contango Oil & Gas Co. (original cost $870,753; purchased 12/23/2019)*(f) |
348,301 | 1,217,521 | ||||||
|
Continental Resources, Inc. |
128,139 | 4,395,168 | ||||||
|
Devon Energy Corp. |
136,498 | 3,544,853 | ||||||
|
Diamondback Energy, Inc.(a) |
61,579 | 5,718,226 | ||||||
|
EOG Resources, Inc. |
125,989 | 10,552,839 | ||||||
|
Hurricane Energy PLC (United Kingdom)*(a) |
1,117,233 | 497,690 | ||||||
|
Jagged Peak Energy, Inc.* |
171,719 | 1,457,894 | ||||||
|
Kelt Exploration Ltd. (Canada)* |
316,556 | 1,187,192 | ||||||
|
Kosmos Energy Ltd. (Ghana) |
407,922 | 2,325,155 | ||||||
|
Lundin Petroleum AB (Sweden) |
130,552 | 4,436,779 | ||||||
|
Magnolia Oil & Gas Corp. (Class A Stock)*(a) |
157,772 | 1,984,772 | ||||||
|
Noble Energy, Inc. |
37,000 | 919,080 | ||||||
|
Pioneer Natural Resources Co. |
52,616 | 7,964,484 | ||||||
|
WPX Energy, Inc.* |
206,292 | 2,834,452 | ||||||
|
|
|
|||||||
| 71,059,156 | ||||||||
|
|
|
|||||||
|
Oil & Gas Refining & Marketing — 2.3% |
|
|||||||
|
Marathon Petroleum Corp. |
52,755 | 3,178,489 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A152
| AST T. ROWE PRICE NATURAL RESOURCES PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report:
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $28,556,313; cash collateral of $29,042,255 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (f) |
Indicates a restricted security; the aggregate original cost of such securities is $870,753. The aggregate value of $1,217,521 is 0.3% of net assets. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Australia |
$ | — | $ | 20,434,056 | $ | — | ||||||
|
Austria |
— | 1,022,730 | — | |||||||||
|
Belgium |
— | 2,108,414 | — | |||||||||
|
Canada |
32,980,446 | — | — | |||||||||
|
Chile |
2,246,340 | 1,306,577 | — | |||||||||
|
Denmark |
— | 1,535,815 | — | |||||||||
|
Finland |
— | 3,922,138 | — | |||||||||
|
France |
— | 25,731,631 | — | |||||||||
|
Germany |
— | 3,001,704 | — | |||||||||
|
Ghana |
2,325,155 | — | — | |||||||||
|
Italy |
— | 2,055,422 | — | |||||||||
|
Japan |
— | 3,381,807 | — | |||||||||
|
Luxembourg |
869,291 | 2,915,597 | — | |||||||||
|
Netherlands |
— | 9,186,799 | — | |||||||||
|
Norway |
— | 10,800,541 | — | |||||||||
|
Peru |
3,341,052 | — | — | |||||||||
|
Portugal |
— | 4,915,308 | — | |||||||||
|
Sweden |
— | 15,906,541 | — | |||||||||
|
Switzerland |
— | 1,291,803 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A153
| AST T. ROWE PRICE NATURAL RESOURCES PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
United Kingdom |
$ | 12,254,950 | $ | 26,441,531 | $ | — | ||||||
|
United States |
218,453,597 | — | 1,217,521 | |||||||||
|
Preferred Stocks |
||||||||||||
|
United States |
5,020,739 | — | — | |||||||||
|
Affiliated Mutual Funds |
30,069,714 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 307,561,284 | $ | 135,958,414 | $ | 1,217,521 | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Oil & Gas Exploration & Production |
17.1 | % | ||
|
Integrated Oil & Gas |
14.6 | |||
|
Specialty Chemicals |
10.5 | |||
|
Affiliated Mutual Funds (7.0% represents investments purchased with collateral from securities on loan) |
7.2 | |||
|
Oil & Gas Equipment & Services |
6.4 | |||
|
Electric Utilities |
5.9 | |||
|
Industrial Gases |
5.6 | |||
|
Diversified Metals & Mining |
5.3 | |||
|
Industrial Machinery |
3.4 | |||
|
Oil & Gas Storage & Transportation |
2.9 | |||
|
Gold |
2.9 | |||
|
Paper Packaging |
2.3 | |||
|
Oil & Gas Refining & Marketing |
2.3 | |||
|
Copper |
2.2 | |||
|
Construction Machinery & Heavy Trucks |
2.2 | |||
|
Agricultural & Farm Machinery |
1.9 | |||
|
Fertilizers & Agricultural Chemicals |
1.8 | |||
|
Metal & Glass Containers |
1.8 | |||
|
Packaged Foods & Meats |
1.2 | |||
|
Forest Products |
1.2 |
|
Multi-Utilities |
1.2 | % | ||
|
Construction & Engineering |
1.1 | |||
|
Gas Utilities |
1.0 | |||
|
Commodity Chemicals |
0.9 | |||
|
Paper Products |
0.8 | |||
|
Diversified Chemicals |
0.8 | |||
|
Electrical Components & Equipment |
0.6 | |||
|
IT Consulting & Other Services |
0.5 | |||
|
Semiconductor Equipment |
0.4 | |||
|
Aluminum |
0.4 | |||
|
Trading Companies & Distributors |
0.4 | |||
|
Heavy Electrical Equipment |
0.0 | * | ||
|
Biotechnology |
0.0 | * | ||
|
|
|
|||
| 106.8 | ||||
|
Liabilities in excess of other assets |
(6.8 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 28,556,313 | $ | (28,556,313 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A154
| AST T. ROWE PRICE NATURAL RESOURCES PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $28,556,313: |
||||
|
Unaffiliated investments (cost $389,001,144) |
$ | 414,667,505 | ||
|
Affiliated investments (cost $30,068,757) |
30,069,714 | |||
|
Foreign currency, at value (cost $577,246) |
583,474 | |||
|
Cash |
4,468 | |||
|
Tax reclaim receivable |
946,231 | |||
|
Dividends receivable |
515,760 | |||
|
Receivable for investments sold |
83,250 | |||
|
Receivable for Portfolio shares sold |
5,242 | |||
|
Prepaid expenses and other assets |
3,566 | |||
|
|
|
|||
|
Total Assets |
446,879,210 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
29,042,255 | |||
|
Payable to affiliate |
786,157 | |||
|
Payable for investments purchased |
173,769 | |||
|
Management fee payable |
167,669 | |||
|
Accrued expenses and other liabilities |
104,595 | |||
|
Payable for Portfolio shares repurchased |
27,942 | |||
|
Distribution fee payable |
17,066 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
30,319,810 | |||
|
|
|
|||
| NET ASSETS | $ | 416,559,400 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 416,559,400 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $416,559,400 / 18,497,976 outstanding shares of beneficial interest |
$ | 22.52 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 7,224,255 | $ | 6,876,849 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
(11,285,761 | ) | 9,640,890 | |||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
60,789,961 | (91,540,433 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
56,728,455 | (75,022,694 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [3,965,693 and 1,517,679 shares, respectively] |
82,854,244 | 32,956,298 | ||||||
|
Portfolio shares repurchased [2,329,943 and 8,150,515 shares, respectively] |
(48,004,403 | ) | (176,360,352 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
34,849,841 | (143,404,054 | ) | |||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 50,946 | 254,207 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 91,629,242 | (218,172,541 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
324,930,158 | 543,102,699 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 416,559,400 | $ | 324,930,158 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A155
|
AST TEMPLETON GLOBAL BOND PORTFOLIO |
||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A156
| AST TEMPLETON GLOBAL BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A157
| AST TEMPLETON GLOBAL BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (n) |
Rate shown reflects yield to maturity at purchased date. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Forward foreign currency exchange contracts outstanding at December 31, 2019:
|
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 01/15/20 |
JPMorgan Chase Bank, N.A. | AUD | 4,194 | $ | 2,848,536 | $ | 2,943,921 | $ | 95,385 | $ | — | |||||||||||||||||
|
Euro, |
||||||||||||||||||||||||||||
|
Expiring 02/03/20 |
JPMorgan Chase Bank, N.A. | EUR | 3,035 | 3,392,205 | 3,411,555 | 19,350 | — | |||||||||||||||||||||
|
Expiring 03/09/20 |
Deutsche Bank AG | EUR | 1,860 | 2,075,779 | 2,095,366 | 19,587 | — | |||||||||||||||||||||
|
Expiring 04/08/20 |
Deutsche Bank AG | EUR | 1,860 | 2,079,214 | 2,099,316 | 20,102 | — | |||||||||||||||||||||
|
Expiring 04/08/20 |
Goldman Sachs Bank USA | EUR | 4,160 | 4,653,168 | 4,695,244 | 42,076 | — | |||||||||||||||||||||
|
Expiring 04/29/20 |
Goldman Sachs Bank USA | EUR | 272 | 305,184 | 307,951 | 2,767 | — | |||||||||||||||||||||
|
Expiring 04/30/20 |
Deutsche Bank AG | EUR | 2,423 | 2,713,026 | 2,738,991 | 25,965 | — | |||||||||||||||||||||
|
Expiring 04/30/20 |
HSBC Bank PLC | EUR | 900 | 1,007,751 | 1,017,173 | 9,422 | — | |||||||||||||||||||||
|
Expiring 07/23/20 |
UBS AG | EUR | 3,416 | 3,850,413 | 3,880,775 | 30,362 | — | |||||||||||||||||||||
|
Japanese Yen, |
||||||||||||||||||||||||||||
|
Expiring 02/26/20 |
Citibank, N.A. | JPY | 392,167 | 3,733,862 | 3,620,935 | — | (112,927 | ) | ||||||||||||||||||||
|
Expiring 02/27/20 |
Citibank, N.A. | JPY | 267,408 | 2,543,503 | 2,469,158 | — | (74,345 | ) | ||||||||||||||||||||
|
Expiring 02/27/20 |
JPMorgan Chase Bank, N.A. | JPY | 264,295 | 2,513,817 | 2,440,420 | — | (73,397 | ) | ||||||||||||||||||||
|
Expiring 02/28/20 |
Citibank, N.A. | JPY | 513,529 | 4,918,929 | 4,742,044 | — | (176,885 | ) | ||||||||||||||||||||
|
Expiring 03/06/20 |
HSBC Bank PLC | JPY | 158,576 | 1,494,705 | 1,464,911 | — | (29,794 | ) | ||||||||||||||||||||
|
Expiring 03/06/20 |
JPMorgan Chase Bank, N.A. | JPY | 150,607 | 1,421,131 | 1,391,298 | — | (29,833 | ) | ||||||||||||||||||||
|
Expiring 03/23/20 |
HSBC Bank PLC | JPY | 364,888 | 3,436,827 | 3,374,081 | — | (62,746 | ) | ||||||||||||||||||||
|
Expiring 03/23/20 |
HSBC Bank PLC | JPY | 340,383 | 3,200,794 | 3,147,486 | — | (53,308 | ) | ||||||||||||||||||||
|
Expiring 03/23/20 |
JPMorgan Chase Bank, N.A. | JPY | 238,972 | 2,246,778 | 2,209,745 | — | (37,033 | ) | ||||||||||||||||||||
|
Expiring 03/23/20 |
JPMorgan Chase Bank, N.A. | JPY | 238,457 | 2,242,922 | 2,204,987 | — | (37,935 | ) | ||||||||||||||||||||
|
Expiring 03/24/20 |
JPMorgan Chase Bank, N.A. | JPY | 123,913 | 1,176,347 | 1,145,876 | — | (30,471 | ) | ||||||||||||||||||||
|
Expiring 06/08/20 |
HSBC Bank PLC | JPY | 158,576 | 1,503,378 | 1,472,639 | — | (30,739 | ) | ||||||||||||||||||||
|
Expiring 06/08/20 |
JPMorgan Chase Bank, N.A. | JPY | 150,607 | 1,429,493 | 1,398,637 | — | (30,856 | ) | ||||||||||||||||||||
|
Expiring 06/18/20 |
HSBC Bank PLC | JPY | 486,490 | 4,486,880 | 4,520,385 | 33,505 | — | |||||||||||||||||||||
|
Expiring 06/22/20 |
JPMorgan Chase Bank, N.A. | JPY | 238,972 | 2,259,737 | 2,220,979 | — | (38,758 | ) | ||||||||||||||||||||
|
Expiring 06/24/20 |
BNP Paribas S.A. | JPY | 603,905 | 5,768,004 | 5,613,263 | — | (154,741 | ) | ||||||||||||||||||||
|
Expiring 08/31/20 |
Citibank, N.A. | JPY | 321,753 | 3,113,250 | 3,001,964 | — | (111,286 | ) | ||||||||||||||||||||
|
Norwegian Krone, |
||||||||||||||||||||||||||||
|
Expiring 01/03/20 |
Deutsche Bank AG | NOK | 6,414 | 702,603 | 730,594 | 27,991 | — | |||||||||||||||||||||
|
Expiring 02/26/20 |
Deutsche Bank AG | NOK | 15,722 | 1,755,670 | 1,791,103 | 35,433 | — | |||||||||||||||||||||
|
Expiring 03/23/20 |
Deutsche Bank AG | NOK | 12,841 | 1,436,185 | 1,462,927 | 26,742 | — | |||||||||||||||||||||
|
Expiring 03/24/20 |
Deutsche Bank AG | NOK | 9,658 | 1,074,054 | 1,100,344 | 26,290 | — | |||||||||||||||||||||
|
Expiring 06/15/20 |
JPMorgan Chase Bank, N.A. | NOK | 23,469 | 2,564,673 | 2,673,908 | 109,235 | — | |||||||||||||||||||||
|
Expiring 06/16/20 |
JPMorgan Chase Bank, N.A. | NOK | 23,326 | 2,564,677 | 2,657,639 | 92,962 | — | |||||||||||||||||||||
|
Expiring 06/19/20 |
JPMorgan Chase Bank, N.A. | NOK | 23,896 | 2,651,314 | 2,722,479 | 71,165 | — | |||||||||||||||||||||
|
Expiring 09/21/20 |
JPMorgan Chase Bank, N.A. | NOK | 20,939 | 2,320,786 | 2,385,074 | 64,288 | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 85,485,595 | $ | 85,153,168 | 752,627 | (1,085,054 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
|
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 01/15/20 |
JPMorgan Chase Bank, N.A. | AUD | 4,194 | $ | 2,938,029 | $ | 2,943,921 | $ | — | $ | (5,892 | ) | ||||||||||||||||
|
Brazilian Real, |
||||||||||||||||||||||||||||
|
Expiring 02/04/20 |
JPMorgan Chase Bank, N.A. | BRL | 6,947 | 1,687,516 | 1,725,120 | — | (37,604 | ) | ||||||||||||||||||||
|
Expiring 03/03/20 |
JPMorgan Chase Bank, N.A. | BRL | 8,711 | 2,109,415 | 2,160,171 | — | (50,756 | ) | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A158
| AST TEMPLETON GLOBAL BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019 (continued):
|
Sale Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts (continued): |
|
|||||||||||||||||||||||||
|
Brazilian Real (continued), |
||||||||||||||||||||||||||
|
Expiring 05/05/20 |
JPMorgan Chase Bank, N.A. | BRL | 7,879 | $ | 1,900,852 | $ | 1,947,681 | $ | — | $ | (46,829 | ) | ||||||||||||||
|
Euro, |
||||||||||||||||||||||||||
|
Expiring 02/03/20 |
JPMorgan Chase Bank, N.A. | EUR | 3,035 | 3,430,278 | 3,411,554 | 18,724 | — | |||||||||||||||||||
|
Expiring 03/09/20 |
Deutsche Bank AG | EUR | 1,860 | 2,072,691 | 2,095,366 | — | (22,675 | ) | ||||||||||||||||||
|
Expiring 04/08/20 |
Deutsche Bank AG | EUR | 1,860 | 2,068,692 | 2,099,316 | — | (30,624 | ) | ||||||||||||||||||
|
Expiring 04/08/20 |
Goldman Sachs Bank USA | EUR | 4,160 | 4,623,632 | 4,695,244 | — | (71,612 | ) | ||||||||||||||||||
|
Expiring 04/29/20 |
Goldman Sachs Bank USA | EUR | 272 | 306,206 | 307,951 | — | (1,745 | ) | ||||||||||||||||||
|
Expiring 04/30/20 |
Deutsche Bank AG | EUR | 2,423 | 2,721,318 | 2,738,991 | — | (17,673 | ) | ||||||||||||||||||
|
Expiring 04/30/20 |
HSBC Bank PLC | EUR | 5,863 | 6,594,848 | 6,626,375 | — | (31,527 | ) | ||||||||||||||||||
|
Expiring 05/20/20 |
Bank of America, N.A. | EUR | 2,938 | 3,287,308 | 3,325,081 | — | (37,773 | ) | ||||||||||||||||||
|
Expiring 05/20/20 |
JPMorgan Chase Bank, N.A. | EUR | 3,089 | 3,459,439 | 3,495,590 | — | (36,151 | ) | ||||||||||||||||||
|
Expiring 05/26/20 |
Deutsche Bank AG | EUR | 2,744 | 2,711,963 | 2,744,458 | — | (32,495 | ) | ||||||||||||||||||
|
Expiring 05/29/20 |
Bank of America, N.A. | EUR | 17,587 | 19,604,053 | 19,912,220 | — | (308,167 | ) | ||||||||||||||||||
|
Expiring 07/23/20 |
UBS AG | EUR | 3,925 | 4,456,261 | 4,458,648 | — | (2,387 | ) | ||||||||||||||||||
|
Expiring 10/13/20 |
HSBC Bank PLC | EUR | 2,191 | 2,461,630 | 2,501,229 | — | (39,599 | ) | ||||||||||||||||||
|
Expiring 10/15/20 |
Deutsche Bank AG | EUR | 4,105 | 4,630,522 | 4,687,732 | — | (57,210 | ) | ||||||||||||||||||
|
Japanese Yen, |
||||||||||||||||||||||||||
|
Expiring 02/26/20 |
Citibank, N.A. | JPY | 205,667 | 1,930,382 | 1,898,954 | 31,428 | — | |||||||||||||||||||
|
Expiring 02/26/20 |
Citibank, N.A. | JPY | 186,500 | 1,776,123 | 1,721,981 | 54,142 | — | |||||||||||||||||||
|
Expiring 02/27/20 |
Citibank, N.A. | JPY | 267,408 | 2,510,026 | 2,469,158 | 40,868 | — | |||||||||||||||||||
|
Expiring 02/27/20 |
JPMorgan Chase Bank, N.A. | JPY | 180,858 | 1,692,484 | 1,669,986 | 22,498 | — | |||||||||||||||||||
|
Expiring 02/28/20 |
Citibank, N.A. | JPY | 271,575 | 2,539,781 | 2,507,785 | 31,996 | — | |||||||||||||||||||
|
Expiring 02/28/20 |
Citibank, N.A. | JPY | 241,954 | 2,271,235 | 2,234,258 | 36,977 | — | |||||||||||||||||||
|
Expiring 03/06/20 |
HSBC Bank PLC | JPY | 158,576 | 1,512,506 | 1,464,911 | 47,595 | — | |||||||||||||||||||
|
Expiring 03/06/20 |
JPMorgan Chase Bank, N.A. | JPY | 150,607 | 1,431,577 | 1,391,298 | 40,279 | — | |||||||||||||||||||
|
Expiring 03/23/20 |
HSBC Bank PLC | JPY | 705,271 | 6,733,123 | 6,521,568 | 211,555 | — | |||||||||||||||||||
|
Expiring 03/23/20 |
JPMorgan Chase Bank, N.A. | JPY | 477,429 | 4,542,386 | 4,414,732 | 127,654 | — | |||||||||||||||||||
|
Expiring 03/24/20 |
JPMorgan Chase Bank, N.A. | JPY | 123,913 | 1,179,005 | 1,145,876 | 33,129 | — | |||||||||||||||||||
|
Expiring 06/08/20 |
HSBC Bank PLC | JPY | 158,576 | 1,520,453 | 1,472,639 | 47,814 | — | |||||||||||||||||||
|
Expiring 06/08/20 |
JPMorgan Chase Bank, N.A. | JPY | 150,607 | 1,439,128 | 1,398,637 | 40,491 | — | |||||||||||||||||||
|
Expiring 06/22/20 |
JPMorgan Chase Bank, N.A. | JPY | 238,972 | 2,285,161 | 2,220,979 | 64,182 | — | |||||||||||||||||||
|
Expiring 08/31/20 |
Citibank, N.A. | JPY | 321,753 | 3,042,611 | 3,001,964 | 40,647 | — | |||||||||||||||||||
|
Mexican Peso, |
||||||||||||||||||||||||||
|
Expiring 04/06/20 |
HSBC Bank PLC | MXN | 183,320 | 9,000,420 | 9,557,750 | — | (557,330 | ) | ||||||||||||||||||
|
Expiring 04/08/20 |
Citibank, N.A. | MXN | 13,269 | 660,698 | 691,604 | — | (30,906 | ) | ||||||||||||||||||
|
Expiring 06/17/20 |
Citibank, N.A. | MXN | 22,084 | 1,086,640 | 1,139,454 | — | (52,814 | ) | ||||||||||||||||||
|
Expiring 06/17/20 |
Citibank, N.A. | MXN | 13,349 | 655,732 | 688,760 | — | (33,028 | ) | ||||||||||||||||||
|
Expiring 06/17/20 |
Citibank, N.A. | MXN | 10,064 | 495,495 | 519,266 | — | (23,771 | ) | ||||||||||||||||||
|
Expiring 10/07/20 |
HSBC Bank PLC | MXN | 136,710 | 6,551,405 | 6,943,339 | — | (391,934 | ) | ||||||||||||||||||
|
Expiring 10/08/20 |
Citibank, N.A. | MXN | 13,615 | 660,705 | 691,398 | — | (30,693 | ) | ||||||||||||||||||
|
Expiring 10/09/20 |
Citibank, N.A. | MXN | 10,226 | 495,530 | 519,228 | — | (23,698 | ) | ||||||||||||||||||
|
Expiring 10/13/20 |
Citibank, N.A. | MXN | 22,457 | 1,086,654 | 1,139,653 | — | (52,999 | ) | ||||||||||||||||||
|
Expiring 10/13/20 |
Citibank, N.A. | MXN | 11,636 | 562,088 | 590,506 | — | (28,418 | ) | ||||||||||||||||||
|
Expiring 10/15/20 |
Citibank, N.A. | MXN | 50,183 | 2,435,619 | 2,546,020 | — | (110,401 | ) | ||||||||||||||||||
|
Expiring 10/16/20 |
Citibank, N.A. | MXN | 45,950 | 2,250,719 | 2,330,949 | — | (80,230 | ) | ||||||||||||||||||
|
Norwegian Krone, |
||||||||||||||||||||||||||
|
Expiring 01/03/20 |
Deutsche Bank AG | NOK | 6,414 | 697,993 | 730,594 | — | (32,601 | ) | ||||||||||||||||||
|
Expiring 02/26/20 |
Deutsche Bank AG | NOK | 15,722 | 1,710,904 | 1,791,103 | — | (80,199 | ) | ||||||||||||||||||
|
Expiring 03/23/20 |
Deutsche Bank AG | NOK | 12,841 | 1,408,012 | 1,462,927 | — | (54,915 | ) | ||||||||||||||||||
|
Expiring 03/24/20 |
Deutsche Bank AG | NOK | 9,658 | 1,051,028 | 1,100,344 | — | (49,316 | ) | ||||||||||||||||||
|
South Korean Won, |
||||||||||||||||||||||||||
|
Expiring 02/21/20 |
Citibank, N.A. | KRW | 1,296,000 | 1,113,306 | 1,122,369 | — | (9,063 | ) | ||||||||||||||||||
|
Expiring 03/09/20 |
Goldman Sachs Bank USA | KRW | 2,198,000 | 1,892,624 | 1,904,665 | — | (12,041 | ) | ||||||||||||||||||
|
Expiring 03/20/20 |
Citibank, N.A. | KRW | 1,245,000 | 1,057,639 | 1,079,530 | — | (21,891 | ) | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A159
| AST TEMPLETON GLOBAL BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019 (continued):
|
Sale Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts (continued): |
|
|||||||||||||||||||||||
|
South Korean Won (continued), |
|
|||||||||||||||||||||||
|
Expiring 05/29/20 |
Deutsche Bank AG | KRW | 11,797,000 | $ | 10,119,231 | $ | 10,251,423 | $ | — | $ | (132,192 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $ | 152,463,076 | $ | 154,212,256 | 889,979 | (2,639,159 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $ | 1,642,606 | $ | (3,724,213 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
Cross currency exchange contracts outstanding at December 31, 2019:
|
Settlement |
Type |
Notional
Amount (000) |
In Exchange
For (000) |
Unrealized
Appreciation |
Unrealized
Depreciation |
Counterparty |
||||||||||||||||||||||||
|
OTC Cross Currency Exchange Contracts: |
||||||||||||||||||||||||||||||
|
01/14/20 |
Buy | JPY | 329,337 | AUD | 4,490 | $ | — | $ | (118,566 | ) |
JPMorgan Chase Bank, N.A. |
|||||||||||||||||||
|
02/10/20 |
Buy | CHF | 2,018 | EUR | 1,837 | 25,912 | — |
UBS AG |
||||||||||||||||||||||
|
02/12/20 |
Buy | CHF | 1,980 | EUR | 1,803 | 24,800 | — |
Goldman Sachs Bank USA |
||||||||||||||||||||||
|
02/13/20 |
Buy | SEK | 24,264 | EUR | 2,273 | 39,656 | — |
Deutsche Bank AG |
||||||||||||||||||||||
|
02/21/20 |
Buy | JPY | 516,021 | AUD | 7,211 | — | (303,658 | ) |
JPMorgan Chase Bank, N.A. |
|||||||||||||||||||||
|
02/25/20 |
Buy | JPY | 218,242 | AUD | 3,053 | — | (130,266 | ) |
Citibank, N.A. |
|||||||||||||||||||||
|
02/25/20 |
Buy | JPY | 322,995 | EUR | 2,737 | — | (98,916 | ) |
HSBC Bank PLC |
|||||||||||||||||||||
|
03/06/20 |
Buy | JPY | 728,315 | AUD | 10,170 | — | (419,966 | ) |
Citibank, N.A. |
|||||||||||||||||||||
|
03/12/20 |
Buy | JPY | 252,623 | AUD | 3,430 | — | (76,774 | ) |
HSBC Bank PLC |
|||||||||||||||||||||
|
03/12/20 |
Buy | JPY | 302,980 | AUD | 4,060 | — | (54,312 | ) |
JPMorgan Chase Bank, N.A. |
|||||||||||||||||||||
|
03/13/20 |
Buy | JPY | 130,113 | AUD | 1,750 | — | (27,820 | ) |
HSBC Bank PLC |
|||||||||||||||||||||
|
03/13/20 |
Buy | SEK | 24,264 | EUR | 2,272 | 39,544 | — |
Deutsche Bank AG |
||||||||||||||||||||||
|
03/25/20 |
Buy | JPY | 323,596 | EUR | 2,737 | — | (94,130 | ) |
HSBC Bank PLC |
|||||||||||||||||||||
|
03/31/20 |
Buy | JPY | 143,144 | EUR | 1,215 | — | (46,111 | ) |
Citibank, N.A. |
|||||||||||||||||||||
|
04/02/20 |
Buy | JPY | 444,241 | EUR | 3,769 | — | (142,188 | ) |
JPMorgan Chase Bank, N.A. |
|||||||||||||||||||||
|
04/02/20 |
Buy | JPY | 592,222 | EUR | 5,024 | — | (188,994 | ) |
Citibank, N.A. |
|||||||||||||||||||||
|
04/15/20 |
Buy | SEK | 24,264 | EUR | 2,232 | 82,954 | — |
Deutsche Bank AG |
||||||||||||||||||||||
|
04/30/20 |
Buy | JPY | 146,946 | EUR | 1,215 | — | (11,198 | ) |
Citibank, N.A. |
|||||||||||||||||||||
|
05/08/20 |
Buy | CHF | 2,018 | EUR | 1,838 | 25,842 | — |
UBS AG |
||||||||||||||||||||||
|
05/12/20 |
Buy | CHF | 1,980 | EUR | 1,805 | 24,745 | — |
Goldman Sachs Bank USA |
||||||||||||||||||||||
|
05/13/20 |
Buy | SEK | 24,264 | EUR | 2,279 | 28,740 | — |
Deutsche Bank AG |
||||||||||||||||||||||
|
05/21/20 |
Buy | JPY | 514,276 | AUD | 7,211 | — | (305,869 | ) |
JPMorgan Chase Bank, N.A. |
|||||||||||||||||||||
|
05/21/20 |
Buy | JPY | 531,626 | AUD | 7,211 | — | (144,903 | ) |
JPMorgan Chase Bank, N.A. |
|||||||||||||||||||||
|
05/22/20 |
Buy | JPY | 323,200 | EUR | 2,737 | — | (99,107 | ) |
HSBC Bank PLC |
|||||||||||||||||||||
|
05/22/20 |
Buy | JPY | 328,766 | EUR | 2,737 | — | (47,461 | ) |
HSBC Bank PLC |
|||||||||||||||||||||
|
06/12/20 |
Buy | JPY | 128,882 | AUD | 1,740 | — | (28,503 | ) |
JPMorgan Chase Bank, N.A. |
|||||||||||||||||||||
|
06/12/20 |
Buy | JPY | 131,975 | AUD | 1,780 | — | (27,941 | ) |
HSBC Bank PLC |
|||||||||||||||||||||
|
06/12/20 |
Buy | JPY | 228,428 | AUD | 3,110 | — | (68,867 | ) |
JPMorgan Chase Bank, N.A. |
|||||||||||||||||||||
|
06/12/20 |
Buy | JPY | 231,599 | AUD | 3,120 | — | (46,452 | ) |
JPMorgan Chase Bank, N.A. |
|||||||||||||||||||||
|
06/12/20 |
Buy | JPY | 251,865 | AUD | 3,430 | — | (76,575 | ) |
HSBC Bank PLC |
|||||||||||||||||||||
|
06/15/20 |
Buy | SEK | 24,264 | EUR | 2,269 | 39,124 | — |
Deutsche Bank AG |
||||||||||||||||||||||
|
06/15/20 |
Buy | SEK | 24,264 | EUR | 2,312 | — | (9,742 | ) |
Deutsche Bank AG |
|||||||||||||||||||||
|
06/30/20 |
Buy | JPY | 143,120 | EUR | 1,215 | — | (47,321 | ) |
Citibank, N.A. |
|||||||||||||||||||||
|
08/10/20 |
Buy | CHF | 2,018 | EUR | 1,840 | 25,796 | — |
UBS AG |
||||||||||||||||||||||
|
08/12/20 |
Buy | CHF | 1,980 | EUR | 1,806 | 24,598 | — |
Goldman Sachs Bank USA |
||||||||||||||||||||||
|
08/21/20 |
Buy | JPY | 512,476 | AUD | 7,211 | — | (308,069 | ) |
JPMorgan Chase Bank, N.A. |
|||||||||||||||||||||
|
08/24/20 |
Buy | JPY | 216,101 | AUD | 3,045 | — | (132,466 | ) |
Citibank, N.A. |
|||||||||||||||||||||
|
08/24/20 |
Buy | JPY | 323,443 | EUR | 2,737 | — | (99,162 | ) |
HSBC Bank PLC |
|||||||||||||||||||||
|
09/30/20 |
Buy | JPY | 143,168 | EUR | 1,215 | — | (47,912 | ) |
Citibank, N.A. |
|||||||||||||||||||||
|
09/30/20 |
Buy | JPY | 147,376 | EUR | 1,215 | — | (8,591 | ) |
Citibank, N.A. |
|||||||||||||||||||||
|
11/09/20 |
Buy | CHF | 2,018 | EUR | 1,841 | 25,739 | — |
UBS AG |
||||||||||||||||||||||
|
11/12/20 |
Buy | CHF | 1,980 | EUR | 1,807 | 24,637 | — |
Goldman Sachs Bank USA |
||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 432,087 | $ | (3,211,840 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A160
| AST TEMPLETON GLOBAL BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Interest rate swap agreements outstanding at December 31, 2019:
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciaton (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements: |
||||||||||||||||||||||||
| 8,150 | 03/31/44 | 3.489%(S) |
3 Month LIBOR(1)(Q) |
$ | — | $ | (2,318,446 | ) | $ | (2,318,446 | ) | |||||||||||||
| 3,500 | 03/13/47 | 2.794%(S) |
3 Month LIBOR(1)(Q) |
— | (548,102 | ) | (548,102 | ) | ||||||||||||||||
| 9,100 | 07/29/47 | 2.587%(S) |
3 Month LIBOR(1)(Q) |
— | (1,048,498 | ) | (1,048,498 | ) | ||||||||||||||||
| 4,344 | 02/20/48 | 2.980%(S) |
3 Month LIBOR(1)(Q) |
— | (886,966 | ) | (886,966 | ) | ||||||||||||||||
| 4,344 | 02/22/48 | 3.002%(S) |
3 Month LIBOR(1)(Q) |
— | (908,586 | ) | (908,586 | ) | ||||||||||||||||
| 4,344 | 02/23/48 | 3.019%(S) |
3 Month LIBOR(1)(Q) |
— | (924,815 | ) | (924,815 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | — | $ | (6,635,413 | ) | $ | (6,635,413 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||
|
Citigroup Global Markets Inc. |
$ | 1,745,853 | $ | — | ||||
|
JPMorgan Securities LLC |
2,484,082 | — | ||||||
|
|
|
|
|
|||||
|
Total |
$ | 4,229,935 | $ | — | ||||
|
|
|
|
|
|||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Sovereign Bonds |
||||||||||||
|
Argentina |
$ | — | $ | 2,379,958 | $ | — | ||||||
|
Brazil |
— | 33,920,310 | — | |||||||||
|
Colombia |
— | 4,611,764 | — | |||||||||
|
Ghana |
— | 4,614,847 | — | |||||||||
|
Indonesia |
— | 27,149,032 | — | |||||||||
|
Mexico |
— | 33,503,162 | — | |||||||||
|
Norway |
— | 12,319,973 | — | |||||||||
|
South Korea |
— | 14,236,187 | — | |||||||||
|
Thailand |
— | 14,372,928 | — | |||||||||
|
U.S. Treasury Obligations |
— | 67,084,556 | — | |||||||||
|
Foreign Treasury Obligations |
||||||||||||
|
Argentina |
— | 1,697,089 | — | |||||||||
|
Japan |
— | 37,781,068 | — | |||||||||
|
Mexico |
— | 1,973,996 | — | |||||||||
|
Norway |
— | 2,638,593 | — | |||||||||
|
Thailand |
— | 78,728 | — | |||||||||
|
U.S. Government Agency Obligation |
— | 47,896,155 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | — | $ | 306,258,346 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A161
| AST TEMPLETON GLOBAL BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts |
$ | — | $ | 1,642,606 | $ | — | ||||||
|
OTC Cross Currency Exchange Contracts |
— | 432,087 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | — | $ | 2,074,693 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts |
$ | — | $ | (3,724,213 | ) | $ | — | |||||
|
OTC Cross Currency Exchange Contracts |
— | (3,211,840 | ) | — | ||||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | (6,635,413 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | — | $ | (13,571,466 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Sovereign Bonds |
44.4 | % | ||
|
U.S. Treasury Obligations |
20.3 | |||
|
U.S. Government Agency Obligation |
14.5 | |||
|
Foreign Treasury Obligations |
13.3 | |||
|
|
|
|||
| 92.5 | ||||
|
Other assets in excess of liabilities |
7.5 | |||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are equity contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Asset Derivatives |
Liability Derivatives |
|||||||||||
|
Derivatives not accounted for as hedging
|
Statement of Assets and
|
Fair Value |
Statement of Assets and
|
Fair Value | ||||||||
|
Foreign exchange contracts |
Unrealized appreciation on OTC
cross currency exchange contracts |
$ | 432,087 |
Unrealized depreciation on OTC
cross currency exchange contracts |
$ | 3,211,840 | ||||||
|
Foreign exchange contracts |
Unrealized appreciation on OTC
forward foreign currency exchange contracts |
1,642,606 |
Unrealized depreciation on OTC
forward foreign currency exchange contracts |
3,724,213 | ||||||||
|
Interest rate contracts |
— | — |
Due from/to broker — variation
margin swaps |
6,635,413 | * | |||||||
|
|
|
|
|
|||||||||
| $ | 2,074,693 | $ | 13,571,466 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A162
| AST TEMPLETON GLOBAL BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Options
|
Options
|
Forward Foreign
|
||
| $15 | $994 | $67,575,275 |
|
Forward Foreign
|
Cross
Exchange
|
Interest Rate
|
||
| $221,885,904 | $45,051,449 | $60,924,800 |
| (1) |
Cost. |
| (2) |
Notional Amount in USD. |
| (3) |
Value at Settlement Date. |
| (4) |
Value at Trade Date. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives where the legal right to set-off exists is presented in the summary below.
Offsetting of OTC derivative assets and liabilities:
|
Counterparty |
Gross Amounts of
Recognized Assets(1) |
Gross Amounts of
Recognized Liabilities(1) |
Net Amounts of
Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||||||||
|
Bank of America, N.A. |
$ | — | $ | (345,940 | ) | $ | (345,940 | ) | $ | 280,000 | $ | (65,940 | ) | |||||||
|
BNP Paribas S.A. |
— | (154,741 | ) | (154,741 | ) | — | (154,741 | ) | ||||||||||||
|
Citibank, N.A. |
236,058 | (2,006,180 | ) | (1,770,122 | ) | 1,670,000 | (100,122 | ) | ||||||||||||
|
Deutsche Bank AG |
412,128 | (519,642 | ) | (107,514 | ) | — | (107,514 | ) | ||||||||||||
|
Goldman Sachs Bank USA |
143,623 | (85,398 | ) | 58,225 | (20,000 | ) | 38,225 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A163
| AST TEMPLETON GLOBAL BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Counterparty |
Gross Amounts of
Recognized Assets(1) |
Gross Amounts of
Recognized Liabilities(1) |
Net Amounts of
Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||||||||
|
HSBC Bank PLC |
$ | 349,891 | $ | (1,844,863 | ) | $ | (1,494,972 | ) | $ | 1,494,972 | $ | — | ||||||||
|
JPMorgan Chase Bank, N.A. |
799,342 | (1,976,902 | ) | (1,177,560 | ) | 1,177,560 | — | |||||||||||||
|
UBS AG |
133,651 | (2,387 | ) | 131,264 | (124,563 | ) | 6,701 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 2,074,693 | $ | (6,936,053 | ) | $ | (4,861,360 | ) | $ | 4,477,969 | $ | (383,391 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the and the Portfolios OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A164
| AST TEMPLETON GLOBAL BOND PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value: |
||||
|
Unaffiliated investments (cost $328,886,473) |
$ | 306,258,346 | ||
|
Cash |
13,479,300 | |||
|
Cash segregated for counterparty — OTC |
4,751,922 | |||
|
Foreign currency, at value (cost $1,598,839) |
1,127,214 | |||
|
Deposit with broker for centrally cleared/exchange-traded derivatives |
4,229,935 | |||
|
Interest receivable |
3,507,986 | |||
|
Receivable for Portfolio shares sold |
2,480,212 | |||
|
Unrealized appreciation on OTC forward foreign currency exchange contracts |
1,642,606 | |||
|
Unrealized appreciation on OTC cross currency exchange contracts |
432,087 | |||
|
Tax reclaim receivable |
420,561 | |||
|
Due from broker-variation margin swaps |
294,942 | |||
|
Prepaid expenses |
21,733 | |||
|
|
|
|||
|
Total Assets |
338,646,844 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Unrealized depreciation on OTC forward foreign currency exchange contracts |
3,724,213 | |||
|
Unrealized depreciation on OTC cross currency exchange contracts |
3,211,840 | |||
|
Payable to affiliate |
420,561 | |||
|
Management fee payable |
115,109 | |||
|
Accrued expenses and other liabilities |
48,762 | |||
|
Distribution fee payable |
13,435 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
7,534,277 | |||
|
|
|
|||
| NET ASSETS | $ | 331,112,567 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 331,112,567 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $331,112,567 / 29,012,862 outstanding shares of beneficial interest |
$ | 11.41 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 16,118,896 | $ | 14,504,370 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
3,170,995 | 6,903,203 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
(13,974,689 | ) | (16,519,618 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
5,315,202 | 4,887,955 | ||||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [3,555,997 and 1,824,341 shares, respectively] |
40,825,031 | 20,174,440 | ||||||
|
Portfolio shares repurchased [2,285,694 and 6,863,555 shares, respectively] |
(26,213,638 | ) | (76,302,569 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
14,611,393 | (56,128,129 | ) | |||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 1,086 | 1,673,128 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 19,927,681 | (49,567,046 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
311,184,886 | 360,751,932 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 331,112,567 | $ | 311,184,886 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A165
| AST WEDGE CAPITAL MID-CAP VALUE PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 97.2% | ||||||||
| COMMON STOCKS | Shares | Value | ||||||
|
Aerospace & Defense — 4.4% |
|
|||||||
|
TransDigm Group, Inc. |
26,571 | $ | 14,879,760 | |||||
|
|
|
|||||||
|
Airlines — 1.8% |
|
|||||||
|
Alaska Air Group, Inc.(a) |
91,494 | 6,198,719 | ||||||
|
|
|
|||||||
|
Auto Components — 2.2% |
|
|||||||
|
Dana, Inc. |
399,977 | 7,279,581 | ||||||
|
|
|
|||||||
|
Banks — 5.4% |
|
|||||||
|
Fifth Third Bancorp |
186,610 | 5,736,391 | ||||||
|
Pinnacle Financial Partners, Inc. |
61,383 | 3,928,512 | ||||||
|
Signature Bank |
62,285 | 8,508,754 | ||||||
|
|
|
|||||||
| 18,173,657 | ||||||||
|
|
|
|||||||
|
Chemicals — 4.9% |
|
|||||||
|
Ashland Global Holdings, Inc. |
155,136 | 11,872,558 | ||||||
|
Eastman Chemical Co. |
59,841 | 4,742,998 | ||||||
|
|
|
|||||||
| 16,615,556 | ||||||||
|
|
|
|||||||
|
Commercial Services & Supplies — 3.2% |
|
|||||||
|
Republic Services, Inc. |
118,605 | 10,630,566 | ||||||
|
|
|
|||||||
|
Consumer Finance — 4.5% |
|
|||||||
|
Ally Financial, Inc. |
379,439 | 11,595,656 | ||||||
|
SLM Corp. |
384,324 | 3,424,327 | ||||||
|
|
|
|||||||
| 15,019,983 | ||||||||
|
|
|
|||||||
|
Containers & Packaging — 2.6% |
|
|||||||
|
Packaging Corp. of America(a) |
79,727 | 8,928,627 | ||||||
|
|
|
|||||||
|
Diversified Consumer Services — 2.4% |
|
|||||||
|
Adtalem Global Education, Inc.* |
231,315 | 8,089,086 | ||||||
|
|
|
|||||||
|
Electric Utilities — 7.7% |
|
|||||||
|
Entergy Corp. |
75,377 | 9,030,165 | ||||||
|
Evergy, Inc. |
87,232 | 5,677,931 | ||||||
|
FirstEnergy Corp. |
233,162 | 11,331,673 | ||||||
|
|
|
|||||||
| 26,039,769 | ||||||||
|
|
|
|||||||
|
Equity Real Estate Investment Trusts (REITs) — 11.0% |
|
|||||||
|
AvalonBay Communities, Inc. |
42,336 | 8,877,859 | ||||||
|
EPR Properties |
139,418 | 9,848,488 | ||||||
|
Lamar Advertising Co.
|
133,755 | 11,938,971 | ||||||
|
MGM Growth Properties LLC (Class A Stock)(a) |
208,351 | 6,452,630 | ||||||
|
|
|
|||||||
| 37,117,948 | ||||||||
|
|
|
|||||||
|
Food & Staples Retailing — 1.5% |
|
|||||||
|
US Foods Holding Corp.* |
123,640 | 5,179,280 | ||||||
|
|
|
|||||||
|
Gas Utilities — 1.7% |
|
|||||||
|
UGI Corp. |
130,000 | 5,870,800 | ||||||
|
|
|
|||||||
|
Health Care Equipment & Supplies — 3.6% |
|
|||||||
|
Zimmer Biomet Holdings, Inc. |
81,222 | 12,157,309 | ||||||
|
|
|
|||||||
|
Health Care Providers & Services — 4.2% |
|
|||||||
|
Universal Health Services, Inc. (Class B Stock) |
99,901 | 14,331,797 | ||||||
|
|
|
|||||||
|
Hotels, Restaurants & Leisure — 4.2% |
|
|||||||
|
Marriott Vacations Worldwide Corp. |
48,840 | 6,288,638 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A166
| AST WEDGE CAPITAL MID-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $39,746,942; cash collateral of $40,393,933 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
|
|||||||||||
|
Assets |
|
|||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 14,879,760 | $ | — | $ | — | ||||||
|
Airlines |
6,198,719 | — | — | |||||||||
|
Auto Components |
7,279,581 | — | — | |||||||||
|
Banks |
18,173,657 | — | — | |||||||||
|
Chemicals |
16,615,556 | — | — | |||||||||
|
Commercial Services & Supplies |
10,630,566 | — | — | |||||||||
|
Consumer Finance |
15,019,983 | — | — | |||||||||
|
Containers & Packaging |
8,928,627 | — | — | |||||||||
|
Diversified Consumer Services |
8,089,086 | — | — | |||||||||
|
Electric Utilities |
26,039,769 | — | — | |||||||||
|
Equity Real Estate Investment Trusts (REITs) |
37,117,948 | — | — | |||||||||
|
Food & Staples Retailing |
5,179,280 | — | — | |||||||||
|
Gas Utilities |
5,870,800 | — | — | |||||||||
|
Health Care Equipment & Supplies |
12,157,309 | — | — | |||||||||
|
Health Care Providers & Services |
14,331,797 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
14,029,526 | — | — | |||||||||
|
Insurance |
21,087,837 | — | — | |||||||||
|
Internet & Direct Marketing Retail |
5,838,053 | — | — | |||||||||
|
IT Services |
8,002,541 | — | — | |||||||||
|
Machinery |
9,562,200 | — | — | |||||||||
|
Media |
8,311,305 | — | — | |||||||||
|
Mortgage Real Estate Investment Trusts (REITs) |
5,140,349 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
23,825,030 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
7,218,264 | — | — | |||||||||
|
Specialty Retail |
9,363,470 | — | — | |||||||||
|
Trading Companies & Distributors |
9,454,701 | — | — | |||||||||
|
Affiliated Mutual Funds |
50,550,521 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 378,896,235 | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Affiliated Mutual Funds (12.0% represents investments
|
15.0 | % | ||
|
Equity Real Estate Investment Trusts (REITs) |
11.0 | |||
|
Electric Utilities |
7.7 |
|
Oil, Gas & Consumable Fuels |
7.1 | % | ||
|
Insurance |
6.2 | |||
|
Banks |
5.4 | |||
|
Chemicals |
4.9 |
SEE NOTES TO FINANCIAL STATEMENTS.
A167
| AST WEDGE CAPITAL MID-CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Industry Classification (continued):
|
Consumer Finance |
4.5 | % | ||
|
Aerospace & Defense |
4.4 | |||
|
Health Care Providers & Services |
4.2 | |||
|
Hotels, Restaurants & Leisure |
4.2 | |||
|
Health Care Equipment & Supplies |
3.6 | |||
|
Commercial Services & Supplies |
3.2 | |||
|
Machinery |
2.8 | |||
|
Trading Companies & Distributors |
2.8 | |||
|
Specialty Retail |
2.8 | |||
|
Containers & Packaging |
2.6 | |||
|
Media |
2.5 | |||
|
Diversified Consumer Services |
2.4 | |||
|
IT Services |
2.4 |
|
Auto Components |
2.2 | % | ||
|
Semiconductors & Semiconductor Equipment |
2.1 | |||
|
Airlines |
1.8 | |||
|
Gas Utilities |
1.7 | |||
|
Internet & Direct Marketing Retail |
1.7 | |||
|
Food & Staples Retailing |
1.5 | |||
|
Mortgage Real Estate Investment Trusts (REITs) |
1.5 | |||
|
|
|
|||
| 112.2 | ||||
|
Liabilities in excess of other assets |
(12.2 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 39,746,942 | $ | (39,746,942 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A168
| AST WEDGE CAPITAL MID-CAP VALUE PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $39,746,942: |
||||
|
Unaffiliated investments (cost $288,540,083) |
$ | 328,345,714 | ||
|
Affiliated investments (cost $50,547,054) |
50,550,521 | |||
|
Dividends receivable |
1,544,066 | |||
|
Receivable for Portfolio shares sold |
43,501 | |||
|
Prepaid expenses and other assets |
10,795 | |||
|
|
|
|||
|
Total Assets |
380,494,597 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
40,393,933 | |||
|
Payable for investments purchased |
2,265,998 | |||
|
Management fee payable |
131,454 | |||
|
Accrued expenses and other liabilities |
93,265 | |||
|
Payable for Portfolio shares repurchased |
20,310 | |||
|
Distribution fee payable |
13,835 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
42,919,152 | |||
|
|
|
|||
| NET ASSETS | $ | 337,575,445 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 337,575,445 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $337,575,445 / 13,168,375 outstanding shares of beneficial interest |
$ | 25.64 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
| NET INVESTMENT INCOME (LOSS) | ||||
| INCOME | ||||
|
Unaffiliated dividend income |
$ | 8,745,874 | ||
|
Affiliated dividend income |
311,256 | |||
|
Affiliated income from securities lending, net |
72,961 | |||
|
|
|
|||
|
Total income |
9,130,091 | |||
|
|
|
|||
| EXPENSES | ||||
|
Management fee |
2,586,905 | |||
|
Distribution fee |
827,477 | |||
|
Custodian and accounting fees |
58,010 | |||
|
Audit fee |
27,509 | |||
|
Trustees’ fees |
13,370 | |||
|
Legal fees and expenses |
13,074 | |||
|
Transfer agent’s fees and expenses (including affiliated expense of $2,188) |
7,009 | |||
|
Shareholders’ reports |
4,178 | |||
|
Miscellaneous |
18,669 | |||
|
|
|
|||
|
Total expenses |
3,556,201 | |||
|
Less: Fee waiver and/or expense reimbursement |
(33,099 | ) | ||
|
|
|
|||
|
Net expenses |
3,523,102 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) | 5,606,989 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
|
Net realized gain (loss) on investment transactions (including affiliated of $1,680) |
(3,599,715 | ) | ||
|
Net change in unrealized appreciation (depreciation) on investments (including affiliated of $5,836) |
54,318,854 | |||
|
|
|
|||
|
NET GAIN (LOSS) ON INVESTMENT
TRANSACTIONS |
50,719,139 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 56,326,128 | ||
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS
| Year Ended | Year Ended | |||||||
| December 31, 2019 | December 31, 2018 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 5,606,989 | $ | 2,998,840 | ||||
|
Net realized gain (loss) on investment transactions |
(3,599,715 | ) | 28,280,071 | |||||
|
Net change in unrealized appreciation (depreciation) on investments |
54,318,854 | (92,367,315 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
56,326,128 | (61,088,404 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [1,043,318 and 897,019 shares, respectively] |
24,969,767 | 21,251,496 | ||||||
|
Portfolio shares repurchased [1,712,102 and 3,593,640 shares, respectively] |
(41,526,876 | ) | (88,557,476 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(16,557,109 | ) | (67,305,980 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 215 | — | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 39,769,234 | (128,394,384 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
297,806,211 | 426,200,595 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 337,575,445 | $ | 297,806,211 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A169
| AST WELLINGTON MANAGEMENT HEDGED EQUITY PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 87.4% | ||||||||
| COMMON STOCKS — 87.1% | Shares | Value | ||||||
|
Aerospace & Defense — 2.7% |
||||||||
|
Airbus SE (France) |
18,467 | $ | 2,707,128 | |||||
|
Astronics Corp.* |
70,539 | 1,971,565 | ||||||
|
Boeing Co. (The) |
6,884 | 2,242,532 | ||||||
|
BWX Technologies, Inc.(a) |
146,179 | 9,074,793 | ||||||
|
General Dynamics Corp. |
66,738 | 11,769,246 | ||||||
|
Leonardo SpA (Italy) |
79,773 | 935,086 | ||||||
|
Lockheed Martin Corp.(k) |
61,489 | 23,942,587 | ||||||
|
Moog, Inc. (Class A Stock) |
23,722 | 2,024,198 | ||||||
|
Safran SA (France) |
10,748 | 1,661,597 | ||||||
|
Thales SA (France) |
12,014 | 1,249,610 | ||||||
|
|
|
|||||||
| 57,578,342 | ||||||||
|
|
|
|||||||
|
Air Freight & Logistics — 0.4% |
||||||||
|
Expeditors International of Washington, Inc. |
75,904 | 5,922,030 | ||||||
|
Forward Air Corp. |
37,380 | 2,614,731 | ||||||
|
|
|
|||||||
| 8,536,761 | ||||||||
|
|
|
|||||||
|
Airlines — 0.1% |
||||||||
|
Hawaiian Holdings, Inc.(a) |
38,722 | 1,134,167 | ||||||
|
Ryanair Holdings PLC (Ireland), ADR* |
22,116 | 1,937,583 | ||||||
|
|
|
|||||||
| 3,071,750 | ||||||||
|
|
|
|||||||
|
Auto Components — 0.3% |
||||||||
|
Cooper Tire & Rubber Co. |
61,190 | 1,759,212 | ||||||
|
Gentherm, Inc.* |
53,610 | 2,379,748 | ||||||
|
Toyo Tire Corp. (Japan) |
168,660 | 2,421,757 | ||||||
|
|
|
|||||||
| 6,560,717 | ||||||||
|
|
|
|||||||
|
Automobiles — 0.2% |
||||||||
|
Isuzu Motors Ltd. (Japan) |
228,300 | 2,704,382 | ||||||
|
Suzuki Motor Corp. (Japan) |
44,300 | 1,845,755 | ||||||
|
|
|
|||||||
| 4,550,137 | ||||||||
|
|
|
|||||||
|
Banks — 7.0% |
||||||||
|
1st Source Corp. |
35,600 | 1,846,928 | ||||||
|
ABN AMRO Bank NV (Netherlands), 144A, CVA |
228,306 | 4,162,005 | ||||||
|
Atlantic Union Bankshares Corp. |
67,890 | 2,549,269 | ||||||
|
Banc of California, Inc.(a) |
184,660 | 3,172,459 | ||||||
|
Bank of America Corp. |
660,555 | 23,264,747 | ||||||
|
Bank of Nova Scotia (The) (Canada) |
76,086 | 4,297,800 | ||||||
|
China Merchants Bank Co. Ltd.
|
381,000 | 1,962,831 | ||||||
|
First Citizens BancShares, Inc.
|
4,862 | 2,587,605 | ||||||
|
First Midwest Bancorp, Inc. |
116,660 | 2,690,180 | ||||||
|
First Republic Bank(a) |
42,805 | 5,027,447 | ||||||
|
Great Western Bancorp, Inc. |
71,760 | 2,492,942 | ||||||
|
Hancock Whitney Corp. |
74,020 | 3,247,997 | ||||||
|
HDFC Bank Ltd. (India) |
146,603 | 2,618,356 | ||||||
|
HDFC Bank Ltd. (India), ADR |
30,484 | 1,931,771 | ||||||
|
ICICI Bank Ltd. (India) |
219,945 | 1,663,376 | ||||||
|
International Bancshares Corp. |
75,431 | 3,248,813 | ||||||
|
JPMorgan Chase & Co.(k) |
154,790 | 21,577,726 | ||||||
|
KB Financial Group, Inc. (South Korea) |
22,947 | 941,363 | ||||||
|
M&T Bank Corp. |
76,857 | 13,046,476 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Banks (continued) |
||||||||
|
Mitsubishi UFJ Financial Group, Inc. (Japan) |
1,383,200 | $ | 7,481,798 | |||||
|
PNC Financial Services Group, Inc. (The) |
116,955 | 18,669,527 | ||||||
|
Royal Bank of Canada (Canada) |
38,209 | 3,023,353 | ||||||
|
Signature Bank |
22,344 | 3,052,414 | ||||||
|
Standard Chartered PLC (United Kingdom) |
613,647 | 5,795,296 | ||||||
|
Synovus Financial Corp. |
64,168 | 2,515,386 | ||||||
|
Webster Financial Corp. |
50,805 | 2,710,955 | ||||||
|
Zions Bancorp NA |
57,568 | 2,988,930 | ||||||
|
|
|
|||||||
| 148,567,750 | ||||||||
|
|
|
|||||||
|
Beverages — 2.0% |
||||||||
|
C&C Group PLC (Ireland) |
531,399 | 2,854,859 | ||||||
|
Coca-Cola Co. (The) |
272,721 | 15,095,107 | ||||||
|
Diageo PLC (United Kingdom) |
255,812 | 10,868,768 | ||||||
|
Heineken NV (Netherlands) |
15,698 | 1,671,969 | ||||||
|
PepsiCo, Inc. |
87,053 | 11,897,534 | ||||||
|
|
|
|||||||
| 42,388,237 | ||||||||
|
|
|
|||||||
|
Biotechnology — 0.1% |
||||||||
|
Galapagos NV (Belgium)* |
5,037 | 1,054,272 | ||||||
|
|
|
|||||||
|
Building Products — 1.1% |
||||||||
|
American Woodmark Corp.* |
39,890 | 4,168,904 | ||||||
|
Cie de Saint-Gobain (France) |
77,717 | 3,184,709 | ||||||
|
Fortune Brands Home & Security, Inc. |
41,181 | 2,690,767 | ||||||
|
Lennox International, Inc. |
40,188 | 9,804,666 | ||||||
|
Tyman PLC (United Kingdom) |
851,278 | 3,056,367 | ||||||
|
|
|
|||||||
| 22,905,413 | ||||||||
|
|
|
|||||||
|
Capital Markets — 1.9% |
||||||||
|
Ares Capital Corp. |
74,465 | 1,388,772 | ||||||
|
Charles Schwab Corp. (The) |
176,996 | 8,417,930 | ||||||
|
E*TRADE Financial Corp. |
42,854 | 1,944,286 | ||||||
|
FactSet Research Systems, Inc. |
11,675 | 3,132,402 | ||||||
|
Hamilton Lane, Inc. (Class A Stock) |
37,630 | 2,242,748 | ||||||
|
Intercontinental Exchange, Inc. |
30,137 | 2,789,179 | ||||||
|
London Stock Exchange Group PLC (United Kingdom) |
29,303 | 3,017,131 | ||||||
|
Moody’s Corp. |
13,965 | 3,315,431 | ||||||
|
Solar Capital Ltd. |
71,217 | 1,468,495 | ||||||
|
TD Ameritrade Holding Corp.(k) |
110,196 | 5,476,741 | ||||||
|
UBS Group AG (Switzerland)* |
516,652 | 6,523,589 | ||||||
|
|
|
|||||||
| 39,716,704 | ||||||||
|
|
|
|||||||
|
Chemicals — 2.1% |
||||||||
|
Celanese Corp. |
111,875 | 13,774,050 | ||||||
|
Ingevity Corp.* |
25,202 | 2,202,151 | ||||||
|
Linde PLC (United Kingdom) |
46,200 | 9,835,980 | ||||||
|
Orion Engineered Carbons SA (Luxembourg) |
188,490 | 3,637,857 | ||||||
|
Sensient Technologies Corp.(a) |
35,245 | 2,329,342 | ||||||
|
Sherwin-Williams Co. (The) |
12,534 | 7,314,090 | ||||||
|
Stepan Co. |
25,770 | 2,639,879 | ||||||
|
Synthomer PLC (United Kingdom) |
497,649 | 2,335,707 | ||||||
|
|
|
|||||||
| 44,069,056 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A170
| AST WELLINGTON MANAGEMENT HEDGED EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Commercial Services & Supplies — 2.4% |
|
|||||||
|
ACCO Brands Corp. |
307,225 | $ | 2,875,626 | |||||
|
Babcock International Group PLC (United Kingdom) |
259,433 | 2,163,442 | ||||||
|
BrightView Holdings, Inc.* |
95,890 | 1,617,664 | ||||||
|
Cintas Corp. |
55,754 | 15,002,286 | ||||||
|
Clean Harbors, Inc.* |
104,945 | 8,999,034 | ||||||
|
Copart, Inc.* |
54,584 | 4,963,869 | ||||||
|
Edenred (France) |
74,664 | 3,866,275 | ||||||
|
Matthews International Corp.
|
44,545 | 1,700,283 | ||||||
|
Steelcase, Inc. (Class A Stock) |
122,680 | 2,510,033 | ||||||
|
Waste Connections, Inc. |
71,451 | 6,487,036 | ||||||
|
|
|
|||||||
| 50,185,548 | ||||||||
|
|
|
|||||||
|
Communications Equipment —1.1% |
||||||||
|
Cisco Systems, Inc. |
275,235 | 13,200,271 | ||||||
|
Motorola Solutions, Inc. |
60,797 | 9,796,828 | ||||||
|
|
|
|||||||
| 22,997,099 | ||||||||
|
|
|
|||||||
|
Construction & Engineering — 0.9% |
||||||||
|
Primoris Services Corp. |
78,190 | 1,738,946 | ||||||
|
Valmont Industries, Inc. |
22,580 | 3,382,032 | ||||||
|
Vinci SA (France) |
131,251 | 14,608,387 | ||||||
|
|
|
|||||||
| 19,729,365 | ||||||||
|
|
|
|||||||
|
Construction Materials — 0.2% |
||||||||
|
CRH PLC (Ireland) |
67,309 | 2,715,776 | ||||||
|
Guangdong Tapai Group Co. Ltd. (China) (Class A Stock) |
639,400 | 1,158,269 | ||||||
|
|
|
|||||||
| 3,874,045 | ||||||||
|
|
|
|||||||
|
Consumer Finance — 0.9% |
||||||||
|
American Express Co. |
98,739 | 12,292,018 | ||||||
|
Credit Acceptance Corp.* |
16,885 | 7,468,742 | ||||||
|
|
|
|||||||
| 19,760,760 | ||||||||
|
|
|
|||||||
|
Containers & Packaging — 1.1% |
||||||||
|
Ball Corp. |
145,401 | 9,403,083 | ||||||
|
Packaging Corp. of America(a) |
29,731 | 3,329,575 | ||||||
|
Sealed Air Corp. |
82,910 | 3,302,305 | ||||||
|
Smurfit Kappa Group PLC (Ireland) |
54,023 | 2,075,503 | ||||||
|
Vidrala SA (Spain) |
52,049 | 5,479,561 | ||||||
|
|
|
|||||||
| 23,590,027 | ||||||||
|
|
|
|||||||
|
Diversified Financial Services — 0.6% |
||||||||
|
Berkshire Hathaway, Inc.
|
35,740 | 8,095,110 | ||||||
|
Cerved Group SpA (Italy) |
482,412 | 4,717,235 | ||||||
|
XP, Inc. (Brazil) (Class A Stock)*(a) |
9,400 | 362,088 | ||||||
|
|
|
|||||||
| 13,174,433 | ||||||||
|
|
|
|||||||
|
Diversified Telecommunication Services — 1.2% |
|
|||||||
|
BT Group PLC (United Kingdom) |
1,110,472 | 2,831,495 | ||||||
|
Cellnex Telecom SA (Spain), 144A |
47,901 | 2,069,337 | ||||||
|
Hellenic Telecommunications Organization SA (Greece) |
234,366 | 3,742,757 | ||||||
|
Koninklijke KPN NV (Netherlands) |
1,123,108 | 3,315,603 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Diversified Telecommunication Services (continued) |
|
|||||||
|
Verizon Communications, Inc. |
224,402 | $ | 13,778,283 | |||||
|
|
|
|||||||
| 25,737,475 | ||||||||
|
|
|
|||||||
|
Electric Utilities — 0.5% |
||||||||
|
Avangrid, Inc. |
84,070 | 4,301,021 | ||||||
|
Edison International |
45,798 | 3,453,627 | ||||||
|
Iberdrola SA (Spain) |
200,485 | 2,070,220 | ||||||
|
|
|
|||||||
| 9,824,868 | ||||||||
|
|
|
|||||||
|
Electrical Equipment — 0.7% |
||||||||
|
AMETEK, Inc. |
31,271 | 3,118,969 | ||||||
|
Emerson Electric Co. |
38,154 | 2,909,624 | ||||||
|
Schneider Electric SE (France) |
59,399 | 6,103,367 | ||||||
|
Thermon Group Holdings, Inc.* |
115,294 | 3,089,879 | ||||||
|
|
|
|||||||
| 15,221,839 | ||||||||
|
|
|
|||||||
|
Electronic Equipment, Instruments & Components — 1.1% |
|
|||||||
|
Belden, Inc. |
72,145 | 3,967,975 | ||||||
|
Coherent, Inc.* |
11,880 | 1,976,238 | ||||||
|
CTS Corp. |
67,500 | 2,025,675 | ||||||
|
Hitachi Ltd. (Japan) |
37,400 | 1,575,565 | ||||||
|
TE Connectivity Ltd. |
109,600 | 10,504,064 | ||||||
|
Zebra Technologies Corp.
|
8,863 | 2,263,965 | ||||||
|
|
|
|||||||
| 22,313,482 | ||||||||
|
|
|
|||||||
|
Energy Equipment & Services — 0.1% |
||||||||
|
Era Group, Inc.* |
51,560 | 524,365 | ||||||
|
SEACOR Holdings, Inc.* |
38,920 | 1,679,398 | ||||||
|
SEACOR Marine Holdings, Inc.* |
62,826 | 866,371 | ||||||
|
|
|
|||||||
| 3,070,134 | ||||||||
|
|
|
|||||||
|
Entertainment — 0.4% |
||||||||
|
CTS Eventim AG & Co. KGaA (Germany) |
50,352 | 3,171,452 | ||||||
|
Nexon Co. Ltd. (Japan)* |
207,034 | 2,746,532 | ||||||
|
Spotify Technology SA* |
18,378 | 2,748,430 | ||||||
|
|
|
|||||||
| 8,666,414 | ||||||||
|
|
|
|||||||
|
Equity Real Estate Investment Trusts (REITs) — 4.0% |
|
|||||||
|
Alexander & Baldwin, Inc. |
146,070 | 3,061,627 | ||||||
|
American Tower Corp. |
97,467 | 22,399,866 | ||||||
|
Brandywine Realty Trust |
216,570 | 3,410,978 | ||||||
|
Brixmor Property Group, Inc. |
74,348 | 1,606,660 | ||||||
|
Corporate Office Properties Trust |
114,290 | 3,357,840 | ||||||
|
Crown Castle International Corp. |
98,140 | 13,950,601 | ||||||
|
DiamondRock Hospitality Co. |
129,150 | 1,430,982 | ||||||
|
Gaming & Leisure Properties, Inc. |
81,563 | 3,511,287 | ||||||
|
Hibernia REIT PLC (Ireland) |
753,981 | 1,195,280 | ||||||
|
Medical Properties Trust, Inc. |
169,418 | 3,576,414 | ||||||
|
Physicians Realty Trust |
209,730 | 3,972,286 | ||||||
|
PotlatchDeltic Corp. |
59,710 | 2,583,652 | ||||||
|
Public Storage |
65,705 | 13,992,537 | ||||||
|
RPT Realty |
264,510 | 3,978,230 | ||||||
|
STORE Capital Corp. |
56,061 | 2,087,712 | ||||||
|
Summit Hotel Properties, Inc.(a) |
145,471 | 1,795,112 | ||||||
|
|
|
|||||||
| 85,911,064 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A171
| AST WELLINGTON MANAGEMENT HEDGED EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Food & Staples Retailing — 0.3% |
||||||||
|
Matsumotokiyoshi Holdings Co. Ltd. (Japan) |
49,665 | $ | 1,921,331 | |||||
|
Performance Food Group Co.* |
93,222 | 4,799,069 | ||||||
|
|
|
|||||||
| 6,720,400 | ||||||||
|
|
|
|||||||
|
Food Products — 2.2% |
||||||||
|
Archer-Daniels-Midland Co. |
398,254 | 18,459,073 | ||||||
|
CJ CheilJedang Corp. (South Korea)* |
8,609 | 1,877,030 | ||||||
|
Conagra Brands, Inc.(a) |
74,307 | 2,544,271 | ||||||
|
Cranswick PLC (United Kingdom) |
191,539 | 8,612,227 | ||||||
|
Ingredion, Inc. |
26,305 | 2,445,050 | ||||||
|
Kellogg Co. |
53,272 | 3,684,291 | ||||||
|
Mondelez International, Inc.
|
47,801 | 2,632,879 | ||||||
|
Nestle SA (Switzerland) |
17,709 | 1,917,060 | ||||||
|
Nomad Foods Ltd. (United Kingdom)* |
61,762 | 1,381,616 | ||||||
|
Post Holdings, Inc.* |
20,290 | 2,213,639 | ||||||
|
|
|
|||||||
| 45,767,136 | ||||||||
|
|
|
|||||||
|
Gas Utilities — 0.9% |
||||||||
|
New Jersey Resources Corp. |
26,040 | 1,160,603 | ||||||
|
Rubis SCA (France) |
122,581 | 7,528,272 | ||||||
|
Spire, Inc. |
20,545 | 1,711,604 | ||||||
|
UGI Corp. |
185,282 | 8,367,335 | ||||||
|
|
|
|||||||
| 18,767,814 | ||||||||
|
|
|
|||||||
|
Health Care Equipment & Supplies — 3.4% |
|
|||||||
|
Alcon, Inc. (Switzerland)* |
31,007 | 1,754,005 | ||||||
|
Baxter International, Inc. |
100,956 | 8,441,941 | ||||||
|
Danaher Corp. |
59,686 | 9,160,607 | ||||||
|
Envista Holdings Corp.* |
4,998 | 148,148 | ||||||
|
Haemonetics Corp.* |
17,955 | 2,063,029 | ||||||
|
Hologic, Inc.* |
56,655 | 2,957,957 | ||||||
|
Insulet Corp.* |
16,760 | 2,869,312 | ||||||
|
Koninklijke Philips NV (Netherlands) |
110,553 | 5,406,429 | ||||||
|
Medtronic PLC |
266,226 | 30,203,339 | ||||||
|
Natus Medical, Inc.* |
31,500 | 1,039,185 | ||||||
|
Nipro Corp. (Japan) |
141,900 | 1,707,847 | ||||||
|
Smith & Nephew PLC (United Kingdom) |
216,415 | 5,270,758 | ||||||
|
STERIS PLC |
14,250 | 2,171,985 | ||||||
|
Venus MedTech Hangzhou, Inc. (China) (Class H Stock), 144A* |
17,500 | 84,218 | ||||||
|
|
|
|||||||
| 73,278,760 | ||||||||
|
|
|
|||||||
|
Health Care Providers & Services — 2.9% |
|
|||||||
|
AmerisourceBergen Corp. |
20,678 | 1,758,044 | ||||||
|
AMN Healthcare Services, Inc.* |
31,400 | 1,956,534 | ||||||
|
HCA Healthcare, Inc. |
69,272 | 10,239,094 | ||||||
|
Laboratory Corp. of America Holdings* |
28,463 | 4,815,086 | ||||||
|
Quest Diagnostics, Inc. |
24,599 | 2,626,927 | ||||||
|
UnitedHealth Group, Inc. |
126,264 | 37,119,091 | ||||||
|
Universal Health Services, Inc.
|
26,787 | 3,842,863 | ||||||
|
|
|
|||||||
| 62,357,639 | ||||||||
|
|
|
|||||||
|
Health Care Technology — 0.1% |
||||||||
|
Allscripts Healthcare Solutions, Inc.*(a) |
262,024 | 2,571,766 | ||||||
|
|
|
|||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Hotels, Restaurants & Leisure — 2.2% |
|
|||||||
|
Accor SA (France) |
22,458 | $ | 1,052,534 | |||||
|
Aramark |
104,910 | 4,553,094 | ||||||
|
Choice Hotels International, Inc.(a) |
89,774 | 9,285,325 | ||||||
|
Compass Group PLC (United Kingdom) |
326,453 | 8,191,122 | ||||||
|
Marriott Vacations Worldwide Corp. |
21,029 | 2,707,694 | ||||||
|
McDonald’s Corp. |
74,417 | 14,705,543 | ||||||
|
OPAP SA (Greece) |
83,934 | 1,090,105 | ||||||
|
Planet Fitness, Inc. (Class A Stock)*(a) |
36,541 | 2,728,882 | ||||||
|
Sands China Ltd. (Macau) |
361,897 | 1,937,132 | ||||||
|
|
|
|||||||
| 46,251,431 | ||||||||
|
|
|
|||||||
|
Household Durables — 1.0% |
||||||||
|
Cairn Homes PLC (Ireland) |
1,702,762 | 2,423,091 | ||||||
|
Glenveagh Properties PLC (Ireland), 144A* |
1,202,858 | 1,186,598 | ||||||
|
Helen of Troy Ltd.* |
9,980 | 1,794,304 | ||||||
|
NVR, Inc.* |
3,413 | 12,998,104 | ||||||
|
TRI Pointe Group, Inc.* |
200,910 | 3,130,178 | ||||||
|
|
|
|||||||
| 21,532,275 | ||||||||
|
|
|
|||||||
|
Household Products — 0.7% |
||||||||
|
Colgate-Palmolive Co. |
164,489 | 11,323,423 | ||||||
|
Spectrum Brands Holdings, Inc. |
59,935 | 3,853,221 | ||||||
|
|
|
|||||||
| 15,176,644 | ||||||||
|
|
|
|||||||
|
Independent Power & Renewable Electricity Producers — 0.1% |
|
|||||||
|
China Longyuan Power Group Corp. Ltd. (China) (Class H Stock) |
2,633,200 | 1,669,387 | ||||||
|
|
|
|||||||
|
Industrial Conglomerates — 0.1% |
||||||||
|
Nava Bharat Ventures Ltd. (India) |
1,165,725 | 1,215,509 | ||||||
|
Rheinmetall AG (Germany) |
9,089 | 1,046,648 | ||||||
|
|
|
|||||||
| 2,262,157 | ||||||||
|
|
|
|||||||
|
Insurance — 7.8% |
||||||||
|
AIA Group Ltd. (Hong Kong) |
886,179 | 9,314,156 | ||||||
|
Alleghany Corp.*(k) |
11,812 | 9,444,521 | ||||||
|
Argo Group International Holdings Ltd. |
10,660 | 700,895 | ||||||
|
Arthur J Gallagher & Co. |
77,207 | 7,352,423 | ||||||
|
Assured Guaranty Ltd. |
45,035 | 2,207,616 | ||||||
|
AXA SA (France) |
168,646 | 4,751,922 | ||||||
|
Chubb Ltd. |
80,817 | 12,579,974 | ||||||
|
Cincinnati Financial Corp. |
17,961 | 1,888,599 | ||||||
|
CNO Financial Group, Inc. |
103,600 | 1,878,268 | ||||||
|
Enstar Group Ltd. (Bermuda)* |
25,328 | 5,239,350 | ||||||
|
Globe Life, Inc. |
63,632 | 6,697,268 | ||||||
|
Intact Financial Corp. (Canada) |
174,244 | 18,842,049 | ||||||
|
Kemper Corp. |
39,120 | 3,031,800 | ||||||
|
Markel Corp.* |
12,076 | 13,804,921 | ||||||
|
Marsh & McLennan Cos., Inc.(a) |
76,925 | 8,570,214 | ||||||
|
MetLife, Inc. |
253,763 | 12,934,300 | ||||||
|
Ping An Insurance Group Co. of China Ltd. (China) (Class H Stock) |
97,650 | 1,159,114 | ||||||
|
Progressive Corp. (The) |
210,860 | 15,264,155 | ||||||
|
Reinsurance Group of America, Inc. |
17,830 | 2,907,360 | ||||||
|
Sony Financial Holdings, Inc. (Japan) |
397,329 | 9,520,253 | ||||||
|
T&D Holdings, Inc. (Japan) |
195,700 | 2,478,382 | ||||||
|
Tokio Marine Holdings, Inc. (Japan) |
57,500 | 3,207,204 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A172
| AST WELLINGTON MANAGEMENT HEDGED EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Insurance (continued) |
|
|||||||
|
White Mountains Insurance Group Ltd. |
8,578 | $ | 9,568,845 | |||||
|
Willis Towers Watson PLC |
14,142 | 2,855,836 | ||||||
|
|
|
|||||||
| 166,199,425 | ||||||||
|
|
|
|||||||
|
Interactive Media & Services — 0.4% |
|
|||||||
|
Pinterest, Inc. (Class A Stock)*(a) |
42,129 | 785,285 | ||||||
|
Tencent Holdings Ltd. (China) |
70,308 | 3,384,188 | ||||||
|
Yandex NV (Russia)
|
105,041 | 4,568,233 | ||||||
|
|
|
|||||||
| 8,737,706 | ||||||||
|
|
|
|||||||
|
Internet & Direct Marketing Retail — 0.5% |
|
|||||||
|
Alibaba Group Holding Ltd. (China), ADR* |
24,143 | 5,120,730 | ||||||
|
Amazon.com, Inc.* |
1,260 | 2,328,278 | ||||||
|
eBay, Inc. |
46,825 | 1,690,851 | ||||||
|
Trip.com Group Ltd. (China), ADR* |
67,105 | 2,250,702 | ||||||
|
|
|
|||||||
| 11,390,561 | ||||||||
|
|
|
|||||||
|
IT Services — 2.4% |
|
|||||||
|
Accenture PLC (Class A Stock) |
34,650 | 7,296,251 | ||||||
|
Amdocs Ltd. |
29,707 | 2,144,548 | ||||||
|
Black Knight, Inc.* |
99,254 | 6,399,898 | ||||||
|
DXC Technology Co. |
131,990 | 4,961,504 | ||||||
|
Fidelity National Information Services, Inc. |
56,058 | 7,797,107 | ||||||
|
GoDaddy, Inc. (Class A Stock)* |
32,583 | 2,213,037 | ||||||
|
Leidos Holdings, Inc. |
24,851 | 2,432,664 | ||||||
|
Pagseguro Digital Ltd. (Brazil)
|
43,137 | 1,473,560 | ||||||
|
Perspecta, Inc. |
60,360 | 1,595,918 | ||||||
|
StoneCo Ltd. (Brazil)
|
33,568 | 1,339,028 | ||||||
|
Visa, Inc. (Class A Stock)(a) |
30,206 | 5,675,708 | ||||||
|
WNS Holdings Ltd. (India), ADR* |
60,160 | 3,979,584 | ||||||
|
Worldline SA (France), 144A* |
40,323 | 2,858,550 | ||||||
|
|
|
|||||||
| 50,167,357 | ||||||||
|
|
|
|||||||
|
Leisure Products — 0.1% |
|
|||||||
|
BRP, Inc. |
46,392 | 2,113,550 | ||||||
|
|
|
|||||||
|
Life Sciences Tools & Services — 0.1% |
|
|||||||
|
Thermo Fisher Scientific, Inc. |
8,167 | 2,653,213 | ||||||
|
|
|
|||||||
|
Machinery — 4.4% |
|
|||||||
|
Albany International Corp.
|
10,685 | 811,205 | ||||||
|
Alstom SA (France) |
43,768 | 2,079,349 | ||||||
|
Deere & Co. |
131,710 | 22,820,075 | ||||||
|
Dover Corp. |
33,658 | 3,879,421 | ||||||
|
ESCO Technologies, Inc. |
35,310 | 3,266,175 | ||||||
|
FANUC Corp. (Japan) |
12,550 | 2,317,905 | ||||||
|
Fortive Corp.(a) |
184,361 | 14,083,337 | ||||||
|
IDEX Corp. |
61,004 | 10,492,688 | ||||||
|
Ingersoll-Rand PLC |
100,757 | 13,392,620 | ||||||
|
Luxfer Holdings PLC (United Kingdom) |
157,775 | 2,920,415 | ||||||
|
Mueller Industries, Inc. |
127,120 | 4,036,060 | ||||||
|
NGK Insulators Ltd. (Japan) |
60,200 | 1,045,376 | ||||||
|
PACCAR, Inc. |
98,795 | 7,814,684 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Machinery (continued) |
|
|||||||
|
TriMas Corp.* |
163,290 | $ | 5,128,939 | |||||
|
|
|
|||||||
| 94,088,249 | ||||||||
|
|
|
|||||||
|
Marine — 0.4% |
|
|||||||
|
Irish Continental Group PLC (Ireland), UTS |
1,394,315 | 7,605,843 | ||||||
|
|
|
|||||||
|
Media — 0.9% |
|
|||||||
|
Comcast Corp. (Class A Stock) |
441,472 | 19,852,996 | ||||||
|
|
|
|||||||
|
Metals & Mining — 0.2% |
|
|||||||
|
Northern Star Resources Ltd. (Australia) |
15,818 | 124,717 | ||||||
|
Vale SA (Brazil), ADR |
278,202 | 3,672,266 | ||||||
|
|
|
|||||||
| 3,796,983 | ||||||||
|
|
|
|||||||
|
Multiline Retail — 0.4% |
|
|||||||
|
B&M European Value Retail SA
|
680,379 | 3,691,387 | ||||||
|
Marui Group Co. Ltd. (Japan) |
199,260 | 4,870,057 | ||||||
|
|
|
|||||||
| 8,561,444 | ||||||||
|
|
|
|||||||
|
Multi-Utilities — 1.0% |
|
|||||||
|
E.ON SE (Germany) |
297,203 | 3,178,450 | ||||||
|
Engie SA (France) |
64,433 | 1,041,614 | ||||||
|
National Grid PLC (United Kingdom) |
272,176 | 3,413,869 | ||||||
|
RWE AG (Germany) |
35,328 | 1,088,442 | ||||||
|
Sempra Energy |
79,753 | 12,080,985 | ||||||
|
|
|
|||||||
| 20,803,360 | ||||||||
|
|
|
|||||||
|
Oil, Gas & Consumable Fuels — 3.2% |
|
|||||||
|
Canadian Natural Resources Ltd. (Canada)(a) |
65,332 | 2,113,490 | ||||||
|
CNOOC Ltd. (China) |
982,000 | 1,640,958 | ||||||
|
Diamondback Energy, Inc.(a) |
21,746 | 2,019,334 | ||||||
|
Dorian LPG Ltd.* |
117,376 | 1,816,980 | ||||||
|
Enbridge, Inc. (Canada) |
116,695 | 4,639,762 | ||||||
|
Exxon Mobil Corp. |
108,941 | 7,601,903 | ||||||
|
Galp Energia SGPS SA (Portugal) |
254,078 | 4,258,262 | ||||||
|
Kosmos Energy Ltd. (Ghana) |
477,140 | 2,719,698 | ||||||
|
Magnolia Oil & Gas Corp.
|
172,690 | 2,172,440 | ||||||
|
Pembina Pipeline Corp. (Canada)(a) |
47,037 | 1,743,191 | ||||||
|
Petroleo Brasileiro SA (Brazil), ADR |
104,925 | 1,672,504 | ||||||
|
Scorpio Tankers, Inc. (Monaco) |
64,661 | 2,543,764 | ||||||
|
Suncor Energy, Inc. (Canada) |
363,261 | 11,914,961 | ||||||
|
TC Energy Corp. (Canada), (XFRA)(a) |
205,536 | 10,957,124 | ||||||
|
TC Energy Corp. (Canada), (XTSE) |
106,863 | 5,691,460 | ||||||
|
TOTAL SA (France) |
86,047 | 4,764,588 | ||||||
|
|
|
|||||||
| 68,270,419 | ||||||||
|
|
|
|||||||
|
Paper & Forest Products — 0.3% |
|
|||||||
|
Louisiana-Pacific Corp. |
64,735 | 1,920,688 | ||||||
|
Mondi PLC (United Kingdom) |
44,439 | 1,049,800 | ||||||
|
Neenah, Inc. |
45,370 | 3,195,409 | ||||||
|
|
|
|||||||
| 6,165,897 | ||||||||
|
|
|
|||||||
|
Personal Products — 0.1% |
|
|||||||
|
Unilever NV (United Kingdom) |
33,623 | 1,936,209 | ||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A173
| AST WELLINGTON MANAGEMENT HEDGED EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Pharmaceuticals — 4.1% |
|
|||||||
|
AstraZeneca PLC (United Kingdom) |
41,069 | $ | 4,144,149 | |||||
|
AstraZeneca PLC (United Kingdom), ADR |
50,603 | 2,523,066 | ||||||
|
CSPC Pharmaceutical Group Ltd. (China) |
916,312 | 2,192,045 | ||||||
|
Eisai Co. Ltd. (Japan) |
13,300 | 996,150 | ||||||
|
Eli Lilly & Co. |
103,239 | 13,568,702 | ||||||
|
Johnson & Johnson |
97,099 | 14,163,831 | ||||||
|
Livzon Pharmaceutical Group, Inc. (China) (Class A Stock) |
417,200 | 2,021,385 | ||||||
|
Merck & Co., Inc. |
36,776 | 3,344,777 | ||||||
|
Nippon Shinyaku Co. Ltd. (Japan) |
30,400 | 2,637,403 | ||||||
|
Novartis AG (Switzerland) |
195,661 | 18,559,514 | ||||||
|
Ono Pharmaceutical Co. Ltd. (Japan) |
66,655 | 1,525,341 | ||||||
|
Pfizer, Inc. |
449,935 | 17,628,453 | ||||||
|
Roche Holding AG (Switzerland) |
12,044 | 3,908,287 | ||||||
|
|
|
|||||||
| 87,213,103 | ||||||||
|
|
|
|||||||
|
Professional Services — 0.7% |
|
|||||||
|
CBIZ, Inc.* |
35,500 | 957,080 | ||||||
|
Forrester Research, Inc.* |
48,370 | 2,017,029 | ||||||
|
Huron Consulting Group, Inc.* |
58,920 | 4,048,983 | ||||||
|
ICF International, Inc. |
27,870 | 2,553,449 | ||||||
|
Insperity, Inc. |
61,380 | 5,281,135 | ||||||
|
|
|
|||||||
| 14,857,676 | ||||||||
|
|
|
|||||||
|
Real Estate Management & Development — 0.6% |
|
|||||||
|
Aedas Homes SAU (Spain), 144A* |
50,766 | 1,223,315 | ||||||
|
China Overseas Land & Investment Ltd. (China) |
760,000 | 2,961,787 | ||||||
|
Nexity SA (France) |
83,003 | 4,171,509 | ||||||
|
StorageVault Canada, Inc. (Canada) |
335,374 | 958,174 | ||||||
|
Tricon Capital Group, Inc. (Canada)(a) |
364,905 | 2,987,132 | ||||||
|
|
|
|||||||
| 12,301,917 | ||||||||
|
|
|
|||||||
|
Road & Rail — 2.3% |
|
|||||||
|
AMERCO |
18,124 | 6,811,362 | ||||||
|
Canadian National Railway Co. (Canada) |
242,915 | 21,974,683 | ||||||
|
CJ Logistics Corp. (South Korea)* |
7,512 | 1,006,017 | ||||||
|
Kansas City Southern(a) |
10,232 | 1,567,133 | ||||||
|
Localiza Rent a Car SA (Brazil) |
256,725 | 3,025,663 | ||||||
|
Saia, Inc.* |
19,640 | 1,828,877 | ||||||
|
Uber Technologies, Inc.* |
83,105 | 2,471,543 | ||||||
|
Union Pacific Corp. |
54,351 | 9,826,117 | ||||||
|
|
|
|||||||
| 48,511,395 | ||||||||
|
|
|
|||||||
|
Semiconductors & Semiconductor Equipment — 2.1% |
|
|||||||
|
Advanced Micro Devices, Inc.*(a) |
57,023 | 2,615,075 | ||||||
|
Entegris, Inc.(a) |
41,530 | 2,080,238 | ||||||
|
Intel Corp. |
191,474 | 11,459,719 | ||||||
|
Marvell Technology Group Ltd.(a) |
225,364 | 5,985,668 | ||||||
|
MediaTek, Inc. (Taiwan) |
177,000 | 2,626,526 | ||||||
|
Onto Innovation, Inc.* |
95,991 | 3,507,511 | ||||||
|
Realtek Semiconductor Corp. (Taiwan) |
173,000 | 1,361,001 | ||||||
|
SK Hynix, Inc. (South Korea) |
37,334 | 3,012,811 | ||||||
|
Skyworks Solutions, Inc.(a) |
25,877 | 3,128,012 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Semiconductors & Semiconductor Equipment (continued) |
|
|||||||
|
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) |
438,000 | $ | 4,862,617 | |||||
|
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan), ADR |
35,380 | 2,055,578 | ||||||
|
Texas Instruments, Inc. |
19,756 | 2,534,497 | ||||||
|
|
|
|||||||
| 45,229,253 | ||||||||
|
|
|
|||||||
|
Software — 2.3% |
|
|||||||
|
CDK Global, Inc. |
104,774 | 5,729,042 | ||||||
|
Constellation Software, Inc. (Canada) |
12,490 | 12,130,367 | ||||||
|
Descartes Systems Group, Inc. (The) (Canada)* |
64,257 | 2,746,343 | ||||||
|
Guidewire Software, Inc.*(a) |
16,340 | 1,793,642 | ||||||
|
Microsoft Corp. |
77,455 | 12,214,654 | ||||||
|
Mimecast Ltd.* |
48,519 | 2,104,754 | ||||||
|
Open Text Corp. (Canada) |
51,685 | 2,277,758 | ||||||
|
ServiceNow, Inc.*(a) |
8,397 | 2,370,641 | ||||||
|
Splunk, Inc.*(a) |
17,444 | 2,612,588 | ||||||
|
SS&C Technologies Holdings, Inc. |
45,443 | 2,790,200 | ||||||
|
Workday, Inc. (Class A Stock)* |
16,788 | 2,760,787 | ||||||
|
|
|
|||||||
| 49,530,776 | ||||||||
|
|
|
|||||||
|
Specialty Retail — 2.1% |
|
|||||||
|
Burlington Stores, Inc.* |
11,227 | 2,560,093 | ||||||
|
Camping World Holdings, Inc. (Class A Stock)(a) |
163,442 | 2,409,135 | ||||||
|
CarMax, Inc.* |
74,329 | 6,516,423 | ||||||
|
Cato Corp. (The) (Class A Stock) |
57,360 | 998,064 | ||||||
|
Home Depot, Inc. (The) |
72,965 | 15,934,097 | ||||||
|
Lowe’s Cos., Inc. |
33,881 | 4,057,589 | ||||||
|
TJX Cos., Inc. (The) |
181,317 | 11,071,216 | ||||||
|
|
|
|||||||
| 43,546,617 | ||||||||
|
|
|
|||||||
|
Technology Hardware, Storage & Peripherals — 0.3% |
|
|||||||
|
Apple, Inc. |
6,318 | 1,855,281 | ||||||
|
Samsung Electronics Co. Ltd. (South Korea) |
73,443 | 3,534,717 | ||||||
|
|
|
|||||||
| 5,389,998 | ||||||||
|
|
|
|||||||
|
Textiles, Apparel & Luxury Goods — 0.9% |
|
|||||||
|
Kontoor Brands, Inc.(a) |
61,720 | 2,591,623 | ||||||
|
NIKE, Inc. (Class B Stock) |
132,386 | 13,412,026 | ||||||
|
Under Armour, Inc. (Class A Stock)*(a) |
139,646 | 3,016,353 | ||||||
|
Under Armour, Inc. (Class C Stock)* |
7,137 | 136,888 | ||||||
|
|
|
|||||||
| 19,156,890 | ||||||||
|
|
|
|||||||
|
Thrifts & Mortgage Finance — 0.1% |
|
|||||||
|
Northwest Bancshares, Inc.(a) |
169,210 | 2,813,962 | ||||||
|
|
|
|||||||
|
Tobacco — 0.9% |
|
|||||||
|
Philip Morris International, Inc. |
221,847 | 18,876,961 | ||||||
|
|
|
|||||||
|
Trading Companies & Distributors — 0.9% |
|
|||||||
|
Brenntag AG (Germany) |
88,168 | 4,826,601 | ||||||
|
Fastenal Co.(a) |
123,570 | 4,565,911 | ||||||
|
Ferguson PLC |
52,964 | 4,813,099 | ||||||
|
GATX Corp.(a) |
34,580 | 2,864,953 | ||||||
|
Triton International Ltd. (Bermuda) |
72,610 | 2,918,922 | ||||||
|
|
|
|||||||
| 19,989,486 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A174
| AST WELLINGTON MANAGEMENT HEDGED EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Value | ||||||
|
OPTIONS WRITTEN*~ — (0.8)% |
||||||
|
(premiums received $36,893,494) |
$ | (16,481,031 | ) | |||
|
|
|
|||||
|
TOTAL INVESTMENTS, NET OF OPTIONS
|
2,235,123,408 | |||||
|
Liabilities in excess of other assets(z) — (5.1)% |
(108,068,035 | ) | ||||
|
|
|
|||||
|
NET ASSETS — 100.0% |
$ | 2,127,055,373 | ||||
|
|
|
|||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $114,625,806; cash collateral of $117,011,646 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
Exchange Traded
|
Description |
Call/
Put |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | ||||||||||||||||||
|
S&P 500 Index |
Put | 03/20/20 | $ | 2,850.00 | 1,725 | 173 | $ | 2,501,250 | ||||||||||||||||
|
S&P 500 Index |
Put | 06/19/20 | $ | 2,700.00 | 2,099 | 210 | 5,383,935 | |||||||||||||||||
|
S&P 500 Index |
Put | 09/18/20 | $ | 2,775.00 | 1,382 | 138 | 7,704,650 | |||||||||||||||||
|
S&P 500 Index |
Put | 12/18/20 | $ | 2,875.00 | 1,659 | 166 | 16,166,955 | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
|
Total Options Purchased (cost $ 73,442,454) |
$ | 31,756,790 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
Options Written:
Exchange Traded
|
Description |
Call/
Put |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | ||||||||||||||||||
|
S&P 500 Index |
Put | 03/20/20 | $ | 2,625.00 | 432 | 43 | $ | (241,920 | ) | |||||||||||||||
|
S&P 500 Index |
Put | 06/19/20 | $ | 2,475.00 | 2,099 | 210 | (2,621,651 | ) | ||||||||||||||||
|
S&P 500 Index |
Put | 09/18/20 | $ | 2,550.00 | 1,382 | 138 | (4,277,290 | ) | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A175
| AST WELLINGTON MANAGEMENT HEDGED EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Options Written (continued):
Exchange Traded
|
Description |
Call/
Put |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | ||||||||||||||||||||
|
S&P 500 Index |
Put | 12/18/20 | $ | 2,625.00 | 1,659 | 166 | $ | (9,340,170 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||||||||
|
Total Options Written (premiums received $36,893,494) |
$ | (16,481,031 | ) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
Futures contracts outstanding at December 31, 2019:
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||||||
|
Short Positions: |
||||||||||||||||||||
| 1,475 |
Mini MSCI Emerging Markets Index |
Mar. 2020 | $ | 82,614,750 | $ | (2,647,438 | ) | |||||||||||||
| 515 |
Russell 2000 E-Mini Index |
Mar. 2020 | 43,017,950 | (717,836 | ) | |||||||||||||||
| 473 |
S&P/TSX 60 Index |
Mar. 2020 | 73,753,833 | (30,171 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||
| $ | (3,395,445 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||||
|
Goldman Sachs & Co. LLC |
$ | 8,028,227 | $ | — | ||||||
|
Morgan Stanley |
— | 20,004,899 | ||||||||
|
|
|
|
|
|||||||
|
Total |
$ | 8,028,227 | $ | 20,004,899 | ||||||
|
|
|
|
|
|||||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 51,024,921 | $ | 6,553,421 | $ | — | ||||||
|
Air Freight & Logistics |
8,536,761 | — | — | |||||||||
|
Airlines |
3,071,750 | — | — | |||||||||
|
Auto Components |
4,138,960 | 2,421,757 | — | |||||||||
|
Automobiles |
— | 4,550,137 | — | |||||||||
|
Banks |
123,942,725 | 24,625,025 | — | |||||||||
|
Beverages |
26,992,641 | 15,395,596 | — | |||||||||
|
Biotechnology |
— | 1,054,272 | — | |||||||||
|
Building Products |
16,664,337 | 6,241,076 | — | |||||||||
|
Capital Markets |
30,175,984 | 9,540,720 | — | |||||||||
|
Chemicals |
41,733,349 | 2,335,707 | — | |||||||||
|
Commercial Services & Supplies |
44,155,831 | 6,029,717 | — | |||||||||
|
Communications Equipment |
22,997,099 | — | — | |||||||||
|
Construction & Engineering |
5,120,978 | 14,608,387 | — | |||||||||
|
Construction Materials |
— | 3,874,045 | — | |||||||||
.
SEE NOTES TO FINANCIAL STATEMENTS.
A176
| AST WELLINGTON MANAGEMENT HEDGED EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Consumer Finance |
$ | 19,760,760 | $ | — | $ | — | ||||||
|
Containers & Packaging |
16,034,963 | 7,555,064 | — | |||||||||
|
Diversified Financial Services |
8,457,198 | 4,717,235 | — | |||||||||
|
Diversified Telecommunication Services |
13,778,283 | 11,959,192 | — | |||||||||
|
Electric Utilities |
7,754,648 | 2,070,220 | — | |||||||||
|
Electrical Equipment |
9,118,472 | 6,103,367 | — | |||||||||
|
Electronic Equipment, Instruments & Components |
20,737,917 | 1,575,565 | — | |||||||||
|
Energy Equipment & Services |
3,070,134 | — | — | |||||||||
|
Entertainment |
2,748,430 | 5,917,984 | — | |||||||||
|
Equity Real Estate Investment Trusts (REITs) |
84,715,784 | 1,195,280 | — | |||||||||
|
Food & Staples Retailing |
4,799,069 | 1,921,331 | — | |||||||||
|
Food Products |
33,360,819 | 12,406,317 | — | |||||||||
|
Gas Utilities |
11,239,542 | 7,528,272 | — | |||||||||
|
Health Care Equipment & Supplies |
59,139,721 | 14,139,039 | — | |||||||||
|
Health Care Providers & Services |
62,357,639 | — | — | |||||||||
|
Health Care Technology |
2,571,766 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
33,980,538 | 12,270,893 | — | |||||||||
|
Household Durables |
17,922,586 | 3,609,689 | — | |||||||||
|
Household Products |
15,176,644 | — | — | |||||||||
|
Independent Power & Renewable Electricity Producers |
— | 1,669,387 | — | |||||||||
|
Industrial Conglomerates |
— | 2,262,157 | — | |||||||||
|
Insurance |
135,768,394 | 30,431,031 | — | |||||||||
|
Interactive Media & Services |
5,353,518 | 3,384,188 | — | |||||||||
|
Internet & Direct Marketing Retail |
11,390,561 | — | — | |||||||||
|
IT Services |
47,308,807 | 2,858,550 | — | |||||||||
|
Leisure Products |
2,113,550 | — | — | |||||||||
|
Life Sciences Tools & Services |
2,653,213 | — | — | |||||||||
|
Machinery |
88,645,619 | 5,442,630 | — | |||||||||
|
Marine |
— | 7,605,843 | — | |||||||||
|
Media |
19,852,996 | — | — | |||||||||
|
Metals & Mining |
3,672,266 | 124,717 | — | |||||||||
|
Multiline Retail |
— | 8,561,444 | — | |||||||||
|
Multi-Utilities |
12,080,985 | 8,722,375 | — | |||||||||
|
Oil, Gas & Consumable Fuels |
57,606,611 | 10,663,808 | — | |||||||||
|
Paper & Forest Products |
5,116,097 | 1,049,800 | — | |||||||||
|
Personal Products |
— | 1,936,209 | — | |||||||||
|
Pharmaceuticals |
51,228,829 | 35,984,274 | — | |||||||||
|
Professional Services |
14,857,676 | — | — | |||||||||
|
Real Estate Management & Development |
3,945,306 | 8,356,611 | — | |||||||||
|
Road & Rail |
47,505,378 | 1,006,017 | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
33,366,298 | 11,862,955 | — | |||||||||
|
Software |
49,530,776 | — | — | |||||||||
|
Specialty Retail |
43,546,617 | — | — | |||||||||
|
Technology Hardware, Storage & Peripherals |
1,855,281 | 3,534,717 | — | |||||||||
|
Textiles, Apparel & Luxury Goods |
19,156,890 | — | — | |||||||||
|
Thrifts & Mortgage Finance |
2,813,962 | — | — | |||||||||
|
Tobacco |
18,876,961 | — | — | |||||||||
|
Trading Companies & Distributors |
10,349,786 | 9,639,700 | — | |||||||||
|
Water Utilities |
— | 6,792,988 | — | |||||||||
|
Wireless Telecommunication Services |
— | 6,580,963 | — | |||||||||
|
Preferred Stock |
||||||||||||
|
Automobiles |
— | 5,787,110 | — | |||||||||
|
Affiliated Mutual Fund |
117,189,810 | — | — | |||||||||
|
Unaffiliated Fund |
244,324,431 | — | — | |||||||||
|
Options Purchased |
2,501,250 | 29,255,540 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 1,857,892,117 | $ | 393,712,322 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A177
| AST WELLINGTON MANAGEMENT HEDGED EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Liabilities |
||||||||||||
|
Options Written |
$ | (2,863,571 | ) | $ | (13,617,460 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (3,395,445 | ) | $ | — | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Unaffiliated Fund |
11.5 | % | ||
|
Insurance |
7.8 | |||
|
Banks |
7.0 | |||
|
Affiliated Mutual Fund (5.5% represents investments purchased with collateral from securities on loan) |
5.5 | |||
|
Machinery |
4.4 | |||
|
Pharmaceuticals |
4.1 | |||
|
Equity Real Estate Investment Trusts (REITs) |
4.0 | |||
|
Health Care Equipment & Supplies |
3.4 | |||
|
Oil, Gas & Consumable Fuels |
3.2 | |||
|
Health Care Providers & Services |
2.9 | |||
|
Aerospace & Defense |
2.7 | |||
|
Commercial Services & Supplies |
2.4 | |||
|
IT Services |
2.4 | |||
|
Software |
2.3 | |||
|
Road & Rail |
2.3 | |||
|
Hotels, Restaurants & Leisure |
2.2 | |||
|
Food Products |
2.2 | |||
|
Semiconductors & Semiconductor Equipment |
2.1 | |||
|
Chemicals |
2.1 | |||
|
Specialty Retail |
2.1 | |||
|
Beverages |
2.0 | |||
|
Capital Markets |
1.9 | |||
|
Options Purchased |
1.5 | |||
|
Diversified Telecommunication Services |
1.2 | |||
|
Containers & Packaging |
1.1 | |||
|
Communications Equipment |
1.1 | |||
|
Building Products |
1.1 | |||
|
Electronic Equipment, Instruments & Components |
1.1 | |||
|
Household Durables |
1.0 | |||
|
Multi-Utilities |
1.0 | |||
|
Trading Companies & Distributors |
0.9 | |||
|
Media |
0.9 | |||
|
Consumer Finance |
0.9 | |||
|
Construction & Engineering |
0.9 | |||
|
Textiles, Apparel & Luxury Goods |
0.9 | |||
|
Tobacco |
0.9 | |||
|
Gas Utilities |
0.9 |
|
Electrical Equipment |
0.7 | % | ||
|
Household Products |
0.7 | |||
|
Professional Services |
0.7 | |||
|
Diversified Financial Services |
0.6 | |||
|
Real Estate Management & Development |
0.6 | |||
|
Internet & Direct Marketing Retail |
0.5 | |||
|
Automobiles |
0.5 | |||
|
Electric Utilities |
0.5 | |||
|
Interactive Media & Services |
0.4 | |||
|
Entertainment |
0.4 | |||
|
Multiline Retail |
0.4 | |||
|
Air Freight & Logistics |
0.4 | |||
|
Marine |
0.4 | |||
|
Water Utilities |
0.3 | |||
|
Food & Staples Retailing |
0.3 | |||
|
Wireless Telecommunication Services |
0.3 | |||
|
Auto Components |
0.3 | |||
|
Paper & Forest Products |
0.3 | |||
|
Technology Hardware, Storage & Peripherals |
0.3 | |||
|
Construction Materials |
0.2 | |||
|
Metals & Mining |
0.2 | |||
|
Airlines |
0.1 | |||
|
Energy Equipment & Services |
0.1 | |||
|
Thrifts & Mortgage Finance |
0.1 | |||
|
Life Sciences Tools & Services |
0.1 | |||
|
Health Care Technology |
0.1 | |||
|
Industrial Conglomerates |
0.1 | |||
|
Leisure Products |
0.1 | |||
|
Personal Products |
0.1 | |||
|
Independent Power & Renewable Electricity Producers |
0.1 | |||
|
Biotechnology |
0.1 | |||
|
|
|
|||
| 105.9 | ||||
|
Options Written |
(0.8 | ) | ||
|
Liabilities in excess of other assets |
(5.1 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
SEE NOTES TO FINANCIAL STATEMENTS.
A178
| AST WELLINGTON MANAGEMENT HEDGED EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Asset Derivatives |
Liability Derivatives |
|||||||||||
|
Derivatives not accounted for as hedging
|
Statement of
|
Fair Value |
Statement of
|
Fair Value |
||||||||
|
Equity contracts |
— | $ | — | Due from/to broker — variation margin futures | $ | 3,395,445 | * | |||||
|
Equity contracts |
Unaffiliated investments | 31,756,790 | Options written outstanding, at value | 16,481,031 | ||||||||
|
|
|
|
|
|||||||||
| $ | 31,756,790 | $ | 19,876,476 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Options
|
Options
|
Futures
|
Futures
|
|||
| $62,739,198 | $606,920 | $9,973,200 | $119,651,312 |
| (1) |
Cost. |
| (2) |
Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
SEE NOTES TO FINANCIAL STATEMENTS.
A179
| AST WELLINGTON MANAGEMENT HEDGED EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 114,625,806 | $ | (114,625,806 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A180
| AST WELLINGTON MANAGEMENT HEDGED EQUITY PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $114,625,806: |
||||
|
Unaffiliated investments (cost $1,862,480,731) |
$ | 2,134,414,629 | ||
|
Affiliated investments (cost $117,183,916) |
117,189,810 | |||
|
Foreign currency, at value (cost $237,396) |
240,447 | |||
|
Cash |
51,802 | |||
|
Deposit with broker for centrally cleared/exchange-traded derivatives |
8,028,227 | |||
|
Dividends and interest receivable |
2,813,538 | |||
|
Tax reclaim receivable |
1,850,544 | |||
|
Receivable for investments sold |
256,625 | |||
|
Receivable for Portfolio shares sold |
11,009 | |||
|
Receivable from affiliate |
2,131 | |||
|
Prepaid expenses and other assets |
65,911 | |||
|
|
|
|||
|
Total Assets |
2,264,924,673 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
117,011,646 | |||
|
Options written outstanding, at value (proceeds received $36,893,494) |
16,481,031 | |||
|
Payable for investments purchased |
1,907,181 | |||
|
Payable to affiliate |
853,522 | |||
|
Management fee payable |
758,101 | |||
|
Payable for Portfolio shares repurchased |
285,518 | |||
|
Accrued expenses and other liabilities |
280,683 | |||
|
Due to broker-variation margin futures |
176,579 | |||
|
Distribution fee payable |
87,348 | |||
|
Foreign capital gains tax liability accrued |
27,334 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
137,869,300 | |||
|
|
|
|||
| NET ASSETS | $ | 2,127,055,373 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 2,127,055,373 | ||
|
|
|
|||
|
Net asset value and redemption price per share,
|
$ | 17.42 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
|
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS |
||||||||
|
Net investment income (loss) |
$ | 19,919,825 | $ | 19,221,149 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
123,212,297 | 139,057,399 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
229,084,101 | (257,037,911 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
372,216,223 | (98,759,363 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [7,663,080 and 2,988,433 shares, respectively] |
117,692,061 | 44,693,498 | ||||||
|
Portfolio shares repurchased [8,696,987 and 26,519,235 shares, respectively] |
(141,636,423 | ) | (397,889,098 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(23,944,362 | ) | (353,195,600 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 9,316 | 157,857 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 348,281,177 | (451,797,106 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
1,778,774,196 | 2,230,571,302 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 2,127,055,373 | $ | 1,778,774,196 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A181
NOTES TO FINANCIAL STATEMENTS OF
ADVANCED SERIES TRUST
Advanced Series Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Trust operates as a series company and at December 31, 2019 consisted of 90 separate Portfolios (each, a “Portfolio” and collectively, the “Portfolios”). The information presented in these financial statements pertains only to the 25 Portfolios listed below together with their investment objective(s). Each Portfolio is a diversified portfolio except for AST Cohen & Steers Realty Portfolio and AST Templeton Global Bond Portfolio, each of which are non-diversified portfolios for purposes of the 1940 Act.
Shares of each Portfolio may only be purchased by separate accounts of participating insurance companies for investing assets which are attributable to variable annuity contracts and variable life insurance policies. These separate accounts place orders to purchase and redeem shares of the Portfolios primarily based upon the amount of premium payments to be invested, and the amount of surrender and transfer requests to be effected on a specific day under the variable annuity contracts and variable life insurance policies. Shares of the Portfolios may also be sold directly to certain qualified retirement plans.
The Portfolios have the following investment objective(s) and subadviser(s):
|
Portfolio |
Objective(s) |
Subadviser(s) |
||
|
AST AQR Emerging Markets Equity Portfolio (“AQR Emerging Markets Equity”) |
Long-term capital appreciation. | AQR Capital Management, LLC | ||
|
AST Cohen & Steers Realty Portfolio (“Cohen & Steers Realty”) |
Maximize total return through investment in real estate securities. | Cohen & Steers Capital Management, Inc. | ||
|
AST Goldman Sachs Small-Cap Value Portfolio (“Goldman Sachs Small-Cap Value”) |
Long-term capital appreciation. | Goldman Sachs Asset Management, L.P. (“GSAM”) | ||
|
AST Hotchkis & Wiley Large-Cap Value Portfolio (“Hotchkis & Wiley Large-Cap Value”) |
Current income and long-term growth of income, as well as capital appreciation. | Hotchkis & Wiley Capital Management, LLC | ||
|
AST International Growth Portfolio (“International Growth”) |
Long-term growth of capital. | Jennison Associates, LLC (“Jennison”) (a wholly-owned subsidiary of PGIM, Inc.)/ Neuberger Berman Investment Advisers, LLC (“Neuberger Berman”) /William Blair Investment Management, LLC | ||
|
AST International Value Portfolio (“International Value”) |
Capital growth. | Lazard Asset Management, LLC / LSV Asset Management (“LSV”) | ||
|
AST J.P. Morgan International Equity Portfolio (“J.P. Morgan International Equity”) |
Capital growth. | J.P. Morgan Investment Management, Inc. (“J.P. Morgan”) | ||
|
AST Jennison Large-Cap Growth Portfolio (“Jennison Large-Cap Growth”) |
Long-term growth of capital. | Jennison | ||
B1
|
Portfolio |
Objective(s) |
Subadviser(s) |
||
|
AST Loomis Sayles Large-Cap Growth Portfolio (“Loomis Sayles Large-Cap Growth”) |
Capital growth. | Loomis, Sayles & Company, L.P. | ||
|
AST MFS Global Equity Portfolio (“MFS Global Equity”) |
Capital growth. | Massachusetts Financial Services Company (“MFS”) | ||
|
AST MFS Growth Portfolio (“MFS Growth”) |
Long-term growth of capital and future, rather than current, income. | MFS | ||
|
AST MFS Large-Cap Value Portfolio (“MFS Large-Cap Value”) |
Capital appreciation. | MFS | ||
|
AST Mid-Cap Growth Portfolio (“Mid-Cap Growth”) formerly known as AST Goldman Sachs Mid-Cap Growth |
Long-term growth of capital. | MFS/Victory Capital Management, Inc. (“Victory Capital”) Prior to April 29, 2019 GSAM | ||
|
AST Neuberger Berman/LSV Mid-Cap Value Portfolio (“Neuberger Berman/LSV Mid-Cap Value”) |
Capital growth. | LSV/Neuberger Berman | ||
|
AST Parametric Emerging Markets Equity Portfolio (“Parametric Emerging Markets Equity”) |
Long-term capital appreciation. | Parametric Portfolio Associates, LLC | ||
|
AST QMA Large-Cap Portfolio (“QMA Large-Cap”) |
Long-term capital appreciation. | QMA LLC (formerly known as Quantitative Management Associates, LLC (a wholly-owned subsidiary of PGIM, Inc.) | ||
|
AST Small-Cap Growth Portfolio (“Small-Cap Growth”) |
Long-term capital growth. | Emerald Mutual Fund Advisers Trust / UBS Asset Management (Americas), Inc. | ||
|
AST Small-Cap Growth Opportunities Portfolio (“Small-Cap Growth Opportunities”) |
Capital growth. | Victory Capital/ Wellington Management Company, LLP (“Wellington”) | ||
|
AST Small-Cap Value Portfolio (“Small-Cap Value”) |
Long-term capital growth by investing primarily in small-capitalization stocks that appear to be undervalued. | J.P. Morgan/LMCG Investments, LLC | ||
B2
|
Portfolio |
Objective(s) |
Subadviser(s) |
||
|
AST T. Rowe Price Large-Cap Growth Portfolio (“T. Rowe Price Large-Cap Growth”) |
Long-term capital growth by investing predominantly in the equity securities of a limited number of large, carefully selected, high quality U.S. companies that are judged likely to achieve superior earnings growth. | T. Rowe Price Associates, Inc. (“T. Rowe”) | ||
|
AST T. Rowe Price Large-Cap Value Portfolio (“T. Rowe Price Large-Cap Value”) |
Maximum growth of capital by investing primarily in the value stocks of larger companies. | T. Rowe | ||
|
AST T. Rowe Price Natural Resources Portfolio (“T. Rowe Price Natural Resources”) |
Long-term capital growth by investing primarily in common stocks of companies that own or develop natural resources (such as energy products, precious metals and forest products) and other basic commodities. | T. Rowe | ||
|
AST Templeton Global Bond Portfolio (“Templeton Global Bond”) |
Current income with capital appreciation and growth of income. | Franklin Advisers, Inc. | ||
|
AST WEDGE Capital Mid-Cap Value Portfolio (“WEDGE Capital Mid-Cap Value”) |
Capital growth by investing primarily in mid-capitalization stocks that appear to be undervalued. | WEDGE Capital Management, LLP | ||
|
AST Wellington Management Hedged Equity Portfolio (“Wellington Management Hedged Equity”) |
To outperform a mix of 50% Russell 3000 Index, 20% MSCI EAFE Index, and 30% Bank of America Merrill Lynch Three-Month US Treasury Bill Index over a full market cycle by preserving capital in adverse markets utilizing an options strategy while maintaining equity exposure to benefit from up markets through investments in Wellington Management’s equity investment strategies. | Wellington | ||
B3
| 1. | Accounting Policies |
The Trust follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Trust and the Portfolios consistently follow such policies in the preparation of their financial statements.
Securities Valuation: Each Portfolio holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Trust’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to AST Investment Services, Inc. and PGIM Investments LLC (“PGIM Investments”), as applicable, the co-managers of the Trust (collectively, the “Investment Manager”). Pursuant to the Board’s delegation, the Investment Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.
For the fiscal reporting year-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Portfolios’ foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.
Various inputs determine how the Portfolios’ investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 — Fair Value Measurements and Disclosures.
Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Foreign equities traded on foreign securities exchanges are generally valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements up to the time each Portfolio is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.
Participatory notes (“P-notes”) are generally valued based upon the value of a related underlying security that trades actively in the market and are classified as Level 2 in the fair value hierarchy.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on evaluating observable inputs, including but not limited to, yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations and reported trades. Certain
B4
Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing transaction prices for identical securities that have been used in excess of five business days. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
OTC and centrally cleared derivative instruments are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach when quoted prices in broker-dealer markets are available but also include consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing unobservable inputs in the income approach. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the Investment Manager regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other unaffiliated mutual funds to calculate their net asset values.
Illiquid Securities: Pursuant to Rule 22e-4 under the 1940 Act, the Trust has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that each Portfolio limit its illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser(s) and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable.
Restricted Securities: Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Portfolios’ LRMP because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Portfolios’ investments in restricted securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
B5
Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.
Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on investment transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) arise from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates.
P-notes: Certain Portfolios gain exposure to securities in certain foreign markets through investments in P-notes. Certain Portfolios purchase P-notes due to restrictions applicable to foreign investors when investing directly in a foreign market. P-notes are generally issued by banks or broker-dealers and are designed to offer a return linked to a particular underlying security. P-notes involve transaction costs, which may be higher than those applicable to the equity securities. An investment in a P-note may involve risks, including counterparty risk, beyond those normally associated with a direct investment in the underlying security. A Portfolio must rely on the creditworthiness of the counterparty and would have no rights against the issuer of the underlying security. Furthermore, the P-note’s performance may differ from that of the underlying security. The holder of the P-note is entitled to receive from the bank or broker-dealer, an amount equal to dividends paid by the issuer of the underlying security; however, the holder is not entitled to the same rights (e.g., dividends, voting rights) as an owner of the underlying security. There is also no assurance that there will be a secondary trading market for a P-note or that the trading price of a P-note will equal the value of the underlying security.
Forward and Cross Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios entered into forward currency contracts, as defined in the prospectus, in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation (depreciation) on forward and cross currency contracts. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on forward and cross currency contract transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Portfolios’ maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.
Options: Certain Portfolios purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns or intends to purchase. The Portfolios may also use options to gain additional market exposure. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain (loss). The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also
B6
treated as a realized gain (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on options written transactions.
The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial instruments may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security or financial instrument underlying the written option. The Portfolio, as purchaser of an OTC option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options and guarantees the options contracts against default.
When a Portfolio writes an option on a swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio becomes obligated to pay a variable interest rate and receive a fixed interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.
Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolios are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolios each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.
Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in prevailing interest rates. Should interest rates move unexpectedly, the Portfolios may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Since futures contracts are exchange-traded, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.
Swap Agreements: Certain Portfolios entered into certain types of swap agreements detailed in the disclosures below. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount known as “variation margin”, based on daily changes in the valuation of the swap contract. For OTC-traded, upfront premiums paid and received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.
Interest Rate Swaps: Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objective. Certain Portfolios used interest rate swaps to maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments. The Portfolios’ maximum risk of loss from counterparty credit risk is the discounted net present value of the cash flows to be received from the counterparty over the contract’s remaining life.
B7
Master Netting Arrangements: The Trust, on behalf of the Portfolios, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of all or a portion of a Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolios to cover the Portfolios’ exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
The Trust, on behalf of certain Portfolios, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.
In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in the portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/insolvency of either party. Such OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.
As of December 31, 2019, the Portfolios have not met conditions under such agreements which give the counterparty the right to call for an early termination.
Forward currency contracts, forward rate agreements, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.
Warrants and Rights: Certain Portfolios held warrants and rights acquired either through a direct purchase or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolios until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.
B8
Delayed-Delivery Transactions: Certain Portfolios purchased or sold securities on a when-issued or delayed-delivery and forward commitment basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a realized gain (loss). When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains (losses) with respect to the security.
Securities Lending: Certain Portfolios lend their portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral.
The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed in the Statement of Operations.
Equity and Mortgage Real Estate Investment Trusts (collectively equity REITs): Certain Portfolios invested in equity REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from equity REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. When material, these estimates are adjusted periodically when the actual source of distributions is disclosed by the equity REITs.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual.
Taxes: For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. Each Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolio is the responsibility of the Portfolio’s shareholders (participating insurance companies). Each Portfolio is not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued in accordance with each Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded taking into account any agreements in place with Prudential Financial, Inc. (“Prudential”) as referenced in Note 3. Each Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
B9
| 2. | Agreements |
The Trust, on behalf of the Portfolios, has entered into investment management agreements with the Investment Manager which provide that the Investment Manager will furnish each Portfolio with investment advice, investment management and administrative services. At December 31, 2019, the Investment Manager had engaged the firms referenced in Note 1 as subadvisers for their respective Portfolios.
Management Fees and Expense Limitations: The Investment Manager receives a management fee, accrued daily and payable monthly, based on the annual rates specified below, using the value of each Portfolio’s average daily net assets, at the respective annual rate specified below. The Investment Manager pays each subadviser a fee as compensation for advisory services provided to the Portfolios. All amounts paid or payable by the Portfolios to the Investment Manager, under the agreements, are reflected in the Statement of Operations.
The Investment Manager has contractually agreed to waive a portion of its management fee and/or reimburse certain Portfolios so that management fees plus other annual ordinary operating expenses, excluding taxes (such as income and foreign withholdings taxes, stamp duty and deferred tax expenses), interest, brokerage, extraordinary and certain other expenses such as dividend, broker charges and interest expense on short sales, do not exceed the percentage stated below, of the Portfolio’s average daily net assets unless otherwise noted. Expenses waived/reimbursed by the Investment Manager in accordance with these agreements may be recouped by the Investment Manager within the same fiscal year during which such waiver/reimbursement is made if such recoupment can be realized without exceeding the expense limit in effect at the time of the recoupment for that fiscal year.
Each voluntary waiver/reimbursement, if any, may be modified or terminated by the Investment Manager at any time without notice.
|
Portfolio |
Management Fee |
Effective
Management Fees, Net of Waiver, if Applicable |
||||
|
AQR Emerging Markets Equity |
0.9325% first $300 million; 0.9225% on next $200 million; 0.9125% on next $250 million; 0.9025% on next $2.5 billion; 0.8925% on next $2.75 billion; 0.8625% on next $4 billion; 0.8425% in excess of $10 billion |
|
0.93
|
%
|
||
|
Cohen & Steers Realty |
0.8325% first $300 million; 0.8225% on next $200 million; 0.8125% on next $250 million; 0.8025% on next $2.5 billion; 0.7925% on next $2.75 billion; 0.7625% on next $4 billion; 0.7425% in excess of $10 billion |
|
0.77
|
%
|
||
|
Goldman Sachs Small-Cap Value |
0.7825% first $300 million; 0.7725% on next $200 million; 0.7625% on next $250 million; 0.7525% on next $2.5 billion; 0.7425% on next $2.75 billion; 0.7125% on next $4 billion; 0.6925% in excess of $10 billion |
|
0.76
|
%
|
||
|
Hotchkis & Wiley Large-Cap Value |
0.5825% first $300 million; 0.5725% on next $200 million; 0.5625% on next $250 million; 0.5525% on next $2.5 billion; 0.5425% on next $2.75 billion; 0.5125% on next $4 billion; 0.4925% in excess of $10 billion |
|
0.55
|
%
|
||
B10
|
Portfolio |
Management Fee |
Effective
Management Fees, Net of Waiver, if Applicable |
||||
|
International Growth |
0.8325% first $300 million; 0.8225% on next $200 million; 0.8125% on next $250 million; 0.8025% on next $2.5 billion; 0.7925% on next $2.75 billion; 0.7625% on next $4 billion; 0.7425% in excess of $10 billion |
|
0.79
|
%
|
||
|
International Value |
0.8325% first $300 million; 0.8225% on next $200 million; 0.8125% on next $250 million; 0.8025% on next $2.5 billion; 0.7925% on next $2.75 billion; 0.7625% on next $4 billion; 0.7425% in excess of $10 billion |
|
0.81
|
%
|
||
|
J.P. Morgan International Equity |
0.8325% first $75 million; 0.6825% on next $225 million; 0.6725% on next $200 million; 0.6625% on next $250 million; 0.6525% on next $2.5 billion; 0.6425% on next $2.75 billion; 0.6125% on next $4 billion; 0.5925% in excess of $10 billion |
|
0.71
|
%
|
||
|
Jennison Large-Cap Growth |
0.7325% first $300 million; 0.7225% on next $200 million; 0.7125% on next $250 million; 0.7025% on next $2.5 billion; 0.6925% on next $2.75 billion; 0.6625% on next $4 billion; 0.6425% in excess of $10 billion |
|
0.72
|
%
|
||
|
Loomis Sayles Large-Cap Growth |
0.7325% first $300 million; 0.7225% on next $200 million; 0.7125% on next $250 million; 0.7025% on next $2.5 billion; 0.6925% on next $2.75 billion; 0.6625% on next $4 billion; 0.6425% in excess of $10 billion |
|
0.65
|
%
|
||
|
MFS Global Equity |
0.8325% first $300 million; 0.8225% on next $200 million; 0.8125% on next $250 million; 0.8025% on next $2.5 billion; 0.7925% on next $2.75 billion; 0.7625% on next $4 billion; 0.7425% in excess of $10 billion |
|
0.82
|
%
|
||
|
MFS Growth |
0.7325% first $300 million; 0.7225% on next $200 million; 0.7125% on next $250 million; 0.7025% on next $2.5 billion; 0.6925% on next $2.75 billion; 0.6625% on next $4 billion; 0.6425% in excess of $10 billion |
|
0.70
|
%
|
||
|
MFS Large-Cap Value |
0.6825% first $300 million; 0.6725% on next $200 million; 0.6625% on next $250 million; 0.6525% on next $2.5 billion; 0.6425% on next $2.75 billion; 0.6125% on next $4 billion; 0.5925% in excess of $10 billion |
|
0.66
|
%
|
||
B11
|
Portfolio |
Management Fee |
Effective
Management Fees, Net of Waiver, if Applicable |
||||
|
Mid-Cap Growth |
0.8325% first $300 million; 0.8225% on next $200 million; 0.8125% on next $250 million; 0.8025% on next $2.5 billion; 0.7925% on next $2.75 billion; 0.7625% on next $4 billion; 0.7425% in excess of $10 billion |
|
0.73
|
%
|
||
|
Neuberger Berman/LSV Mid-Cap Value |
0.7325% first $300 million; 0.7225% on next $200 million; 0.7125% on next $250 million; 0.7025% on next $250 million; 0.6525% on next $2.25 billion; 0.6425% on next $2.75 billion; 0.6125% on next $4 billion; 0.5925% in excess of $10 billion |
|
0.72
|
%
|
||
|
Parametric Emerging Markets Equity |
0.9325% first $300 million; 0.9225% on next $200 million; 0.9125% on next $250 million; 0.9025% on next $2.5 billion; 0.8925% on next $2.75 billion; 0.8625% on next $4 billion; 0.8425% in excess of $10 billion |
|
0.93
|
%
|
||
|
QMA Large-Cap |
0.5825% of first $300 million; 0.5725% on next $200 million; 0.5625% on next $250 million; 0.5525% on next $2.5 billion; 0.5425% on next $2.75 billion; 0.5125% on next $4 billion; 0.4925% in excess of $10 billion |
|
0.54
|
%
|
||
|
Small-Cap Growth |
0.7325% first $300 million; 0.7225% on next $200 million; 0.7125% on next $250 million; 0.7025% on next $2.5 billion; 0.6925% on next $2.75 billion; 0.6625% on next $4 billion; 0.6425% in excess of $10 billion |
|
0.72
|
%
|
||
|
Small-Cap Growth Opportunities |
0.7825% first $300 million; 0.7725% on next $200 million; 0.7625% on next $250 million; 0.7525% on next $2.5 billion; 0.7425% on next $2.75 billion; 0.7125% on next $4 billion; 0.6925% in excess of $10 billion |
|
0.77
|
%
|
||
|
Small-Cap Value |
0.7325% first $300 million; 0.7225% on next $200 million; 0.7125% on next $250 million; 0.7025% on next $2.5 billion; 0.6925% on next $2.75 billion; 0.6625% on next $4 billion; 0.6425% in excess of $10 billion |
|
0.72
|
%
|
||
|
T. Rowe Price Large-Cap Growth |
0.7325% first $300 million; 0.7225% on next $200 million; 0.7125% on next $250 million; 0.7025% on next $250 million; 0.6525% on next $2.25 billion; 0.6425% on next $2.75 billion; 0.6125% on next $4 billion; 0.5925% in excess of $10 billion |
|
0.64
|
%
|
||
B12
|
Portfolio |
Management Fee |
Effective
Management Fees, Net of Waiver, if Applicable |
||||
|
T. Rowe Price Large-Cap Value* |
0.5825% first $300 million; 0.5725% on next $200 million; 0.5625% on next $250 million; 0.5525% on next $2.5 billion; 0.5425% on next $2.75 billion; 0.5125% on next $4 billion; 0.4925% in excess of $10 billion |
|
0.53
|
%
|
||
|
T. Rowe Price Natural Resources |
0.7325% first $300 million; 0.7225% on next $200 million; 0.7125% on next $250 million; 0.7025% on next $2.5 billion; 0.6925% on next $2.75 billion; 0.6625% on next $4 billion; 0.6425% in excess of $10 billion |
|
0.72
|
%
|
||
|
Templeton Global Bond |
0.6325% first $300 million; 0.6225% on next $200 million; 0.6125% on next $250 million; 0.6025% on next $2.5 billion; 0.5925% on next $2.75 billion; 0.5625% on next $4 billion; 0.5425% in excess of $10 billion |
|
0.63
|
%
|
||
|
WEDGE Capital Mid-Cap Value |
0.7825% first $300 million; 0.7725% on next $200 million; 0.7625% on next $250 million; 0.7525% on next $2.5 billion; 0.7425% on next $2.75 billion; 0.7125% on next $4 billion; 0.6925% in excess of $10 billion |
|
0.77
|
%
|
||
|
Wellington Management Hedged Equity |
0.8325% first $300 million; 0.8225% on next $200 million; 0.8125% on next $250 million; 0.8025% on next $2.5 billion; 0.7925% on next $2.75 billion; 0.7625% on next $4 billion; 0.7425% in excess of $10 billion |
|
0.76
|
%
|
||
|
Portfolio |
Fee Waivers and/or
|
|
|
Cohen & Steers Realty |
contractually waive 0.052%
through June 30, 2020 |
|
|
Goldman Sachs Small-Cap Value |
contractually waive 0.013% through June 30, 2019 effective July 1, 2019 | |
|
Hotchkis & Wiley Large-Cap Value |
contractually waive 0.01% through June 30, 2020 effective
contractually waive 0.009% through June 30, 2020 |
|
|
International Growth |
contractually waive 0.02% through June 30, 2020 effective July 1, 2019 | |
|
International Value |
contractually limit expenses to 1.085% through June 30, 2020 | |
|
Loomis Sayles Large-Cap Growth |
contractually waive 0.06% through June 30, 2020 |
B13
|
Portfolio |
Fee Waivers and/or
|
|
|
MFS Growth |
contractually waive 0.014% through June 30, 2020 | |
|
Mid-Cap Growth |
contractually waive 0.10% through June 30, 2019; effective July 1, 2019 contractually limit expenses to 1.02% through June 30, 2020 | |
|
Neuberger Berman/LSV Mid-Cap Value |
contractually waive 0.002% through June 30, 2020 | |
|
QMA Large-Cap |
contractually waive 0.015% through June 30, 2020 | |
|
Small-Cap Growth |
contractually waive 0.004% through June 30, 2020 | |
|
T. Rowe Price Large-Cap Growth |
contractually waive 0.036% through June 30, 2020; effective September 1, 2019 contractually waive additional 0.0013% through June 30, 2021 | |
|
T. Rowe Price Large-Cap Value |
contractually waive 0.040% through June 30, 2020,** effective April 27, 2019 contractually limit expenses to 0.79% through June 30, 2020; effective September 1, 2019 contractually waive additional 0.0011% through June 30, 2021 | |
|
T. Rowe Price Natural Resources |
contractually waive 0.012% through June 30, 2020; effective April 27, 2019 contractually waive 0.001% through June 30, 2020; effective September 1, 2019 contractually waive additional 0.0022% through June 30, 2021 | |
|
WEDGE Capital Mid-Cap Value |
contractually waive 0.01% through June 30, 2020 | |
|
Wellington Management Hedged Equity |
contractually waive 0.055% through June 30, 2020 |
| * |
Prior to April 27, 2019, the contractual management fee rate was: 0.6825% on first $300 million; 0.6725% on next $200 million; 0.6625% on next $250 million; 0.6525% on next $2.5 billion; 0.6425% on next $2.75 billion; 0.6125% on next $4 billion and 0.5925% in excess of $10 billion of average daily net assets. |
| ** |
Effective December 1, 2018, the Investment Manager had voluntarily agreed to waive an additional 0.027% of their net management fee through April 26, 2019. |
The Trust, on behalf of the Portfolios, has entered into an agreement with Prudential Annuities Distributors, Inc. (“PAD”), which serves as the distributor for the shares of each Portfolio. The Trust, on behalf of the Portfolios, has adopted a Shareholder Services and Distribution Plan pursuant to Rule 12b-1 under the 1940 Act (the 12b-1 Plan) for the shares of each Portfolio. Under the 12b-1 Plan, the shares of each covered Portfolio are charged an annual fee, primarily to compensate PAD and its affiliates for providing various administrative and distribution services to each covered Portfolio. The annual shareholder services and distribution (12b-1) fee for each covered Portfolio’s shares is 0.25% of the average daily net assets of the Portfolios.
The Trust, on behalf of certain Portfolios, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid
B14
solely to those Portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the year ended December 31, 2019, brokerage commission recaptured under these agreements was as follows:
|
Portfolio |
Amount | |||
|
Cohen & Steers Realty |
$ | 38,362 | ||
|
International Growth |
74,238 | |||
|
International Value |
1,510 | |||
|
J.P. Morgan International Equity |
18 | |||
|
Jennison Large-Cap Growth |
27,754 | |||
|
Loomis Sayles Large-Cap Growth |
41,657 | |||
|
Mid-Cap Growth |
5,892 | |||
|
Neuberger Berman/LSV Mid-Cap Value |
23,602 | |||
|
Small-Cap Growth |
85,339 | |||
|
Small-Cap Growth Opportunities |
14,781 | |||
|
Small-Cap Value |
75,696 | |||
|
WEDGE Capital Mid-Cap Value |
4,434 | |||
|
Wellington Management Hedged Equity |
6,159 | |||
AST Investment Services, Inc., Jennison, PAD, PGIM, Inc., PGIM Investments and QMA are indirect, wholly-owned subsidiaries of Prudential.
| 3. | Other Transactions with Affiliates |
a.) Related Parties
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolios. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
Certain officers and a Trustee are officers, employees or directors of the Investment Manager. The Trust pays no compensation directly to its officers, employees or interested Trustees. The Investment Manager also pays for occupancy and certain clerical and administrative expenses. The Trust bears all other costs and expenses.
The Portfolios may invest their overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and their securities lending cash collateral in the PGIM Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. Through the Portfolios’ investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or reimbursed for providing their services. In addition to the realized and unrealized gains on investments in the Core Fund and Money Market Fund, earnings from such investments are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
Certain Portfolios may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the Securities and Exchange Commission (“SEC”), the Trust’s Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such 17a-7 transactions were effected in accordance with the Trust’s Rule 17a-7 procedures.
For the reporting period ended December 31, 2019, the Portfolios’ purchase and sales transactions under Rule 17a-7 and realized gain as a result of 17a-7 sales transactions were as follows:
|
Portfolio |
Purchases | Sales |
Realized
Gain |
|||||||||
|
MFS Global Equity |
$ | 16,083 | $ | 73,242 | $ | 17,742 | ||||||
|
MFS Growth |
101,754 | — | — | |||||||||
B15
|
Portfolio |
Purchases | Sales |
Realized
Gain |
|||||||||
|
MFS Large-Cap Value |
$ | 85,465 | $ | 86,925 | $ | 37,547 | ||||||
|
Mid-Cap Growth |
1,043,278 | 366,812 | 21,009 | |||||||||
|
Small-Cap Growth Opportunities |
524,341 | — | — | |||||||||
|
T. Rowe Price Large-Cap Growth |
915,080 | 8,204,736 | 2,696,381 | |||||||||
|
T. Rowe Price Natural Resources |
48,928 | 517,394 | 20,428 | |||||||||
|
Wellington Management Hedged Equity |
4,167,994 | 2,914,067 | 368,023 | |||||||||
In March 2019, the following Portfolios were reimbursed by the Investment Manager for costs incurred due to a portfolio allocation error. The reimbursement amount for each affected Portfolio is disclosed below and such amount is also disclosed in the Portfolio’s “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the year ended December 31, 2019.
|
Portfolio |
Capital
Contributions |
|||
|
Cohen & Steers Realty |
$ | 217 | ||
|
Goldman Sachs Small-Cap Value |
1,210 | |||
|
Hotchkis & Wiley Large-Cap Value |
1,541 | |||
|
International Growth |
306 | |||
|
International Value |
1,065 | |||
|
J.P. Morgan International Equity |
659 | |||
|
Jennison Large-Cap Growth |
49 | |||
|
Loomis Sayles Large-Cap Growth |
1,108 | |||
|
MFS Global Equity |
2,522 | |||
|
MFS Growth |
111 | |||
|
MFS Large-Cap Value |
67 | |||
|
Mid-Cap Growth |
1,786 | |||
|
Neuberger Berman/LSV Mid-Cap Value |
1,212 | |||
|
Parametric Emerging Markets Equity |
29,398 | |||
|
QMA Large-Cap |
22 | |||
|
Small-Cap Growth |
760 | |||
|
Small-Cap Growth Opportunities |
544 | |||
|
Small-Cap Value |
913 | |||
|
T. Rowe Price Large-Cap Growth |
1,156 | |||
|
T. Rowe Price Large-Cap Value |
826 | |||
|
T. Rowe Price Natural Resources |
650 | |||
|
Templeton Global Bond |
92 | |||
|
WEDGE Capital Mid-Cap Value |
215 | |||
|
Wellington Management Hedged Equity |
568 | |||
b.) Securities Lending and Foreign Withholding Tax Reclaim Matters
In September 2019, the Investment Manager reached a settlement with the SEC relating to the securities lending and foreign withholding tax reclaim matters described below. Under the settlement, the Investment Manager agreed to pay to the SEC disgorgement of fees and a civil penalty. The settlement does not affect the Investment Manager’s ability to manage the Portfolios.
In February 2016, Prudential, the parent company of the Investment Manager, self-reported to the SEC and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of the Trust due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction.At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Portfolios. The per share amount of opportunity loss payment to the Portfolios is disclosed in the Portfolios’ “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2016.
B16
In March 2018, Prudential further notified the SEC that it failed to timely reimburse certain Portfolios for amounts due under protocols established to ensure that the Portfolios were not harmed as a result of their tax status as partnerships instead of regulated investment companies (RICs). Specifically, as a result of their partnership status, the Portfolios are subject to higher foreign withholding tax rates on dividend and interest income in certain foreign jurisdictions and/or are subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”). Prudential’s protocols were intended to protect the Portfolios from these differences and delays. In consultation with the Trust’s independent trustees, Prudential paid each of the affected Portfolios an amount equal to the excess withholding tax in addition to an amount equal to the applicable Portfolio’s rate of return (“opportunity loss”) applied to these excess withholding tax amounts for periods from the various transaction dates, beginning January 2, 2006 (the date when the Portfolios were converted to partnerships for tax purposes), through February 28, 2018 (the date through which the previously established protocols were not uniformly implemented). The amount due to each Portfolio was calculated by Prudential with the help of a third-party consultant. Those amounts and the methodology used by Prudential to derive them, were evaluated and confirmed by a consultant retained by the Trust’s independent trustees. The excess withholding tax analysis considered detriments to the Portfolios due to their tax status as partnerships arising from both timing differences (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is reclaimable) as described above as well as permanent tax detriments (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is not reclaimable). Further, the opportunity loss due to each Portfolio also was calculated by a third-party consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the Trust’s independent trustees. In May 2019, Prudential made an additional payment to the Portfolios relating to the opportunity loss upon the final review of the methodology used for the Portfolios’ rate of return calculation. The aggregate previously unreimbursed excess withholding tax and/or opportunity loss payments for each affected Portfolio are disclosed in the Portfolios’ “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the fiscal years ended December 31, 2018 and December 31, 2019.
In addition to the above, Prudential committed to the Trust’s independent trustees that it would pay all consulting, legal, audit, and other charges, fees and expenses incurred with the matters described above. Prudential has made and continues to make these payments.
During the reporting period and in consultation with the Trust’s independent trustees, Prudential instituted a process to reimburse the affected Portfolios for any future excess withholding tax on the first business day following the pay-date of the applicable dividend or interest income event regardless of whether the excess withholding tax is due to timing differences or permanent detriments resulting from the Portfolios’ partnership tax status.
In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the affected Portfolios have the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid a Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by an applicable Portfolio from a foreign tax authority for reclaims for which a Portfolio previously received reimbursement from Prudential will be payable to Prudential. Pending tax reclaim amounts due to Prudential for excess withholding tax which Prudential previously paid to the Portfolios are reported as “Payable to affiliate” on the “Statement of Assets and Liabilities” and any amounts accrued but not yet reimbursed by Prudential for excess withholding tax is recorded as “Receivable from affiliate” on the Statement of Assets and Liabilities. The full amount of tax reclaims due to a Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolios do not incur an excess withholding tax is included as “Tax reclaim receivable” on the “Statement of Assets and Liabilities.” To the extent that there are costs associated with the filing of any reclaim attributable to excess withholding tax, those costs are borne by Prudential.
The following amounts have been paid by Prudential for excess withholding taxes related to permanent tax detriments as described above for certain countries due to the Portfolios’ status as partnership for tax purposes.
|
Portfolio |
2019 Payments | |||
|
AQR Emerging Markets Equity |
$ | 26,171 | ||
|
International Growth |
168,774 | |||
|
International Value |
864,502 | |||
|
J.P. Morgan International Equity |
75,982 | |||
|
MFS Global Equity |
13,379 | |||
B17
|
Portfolio |
2019 Payments | |||
|
Neuberger Berman/LSV Mid-Cap Value |
$ | 2 | ||
|
Parametric Emerging Markets Equity |
94,366 | |||
|
T. Rowe Price Large-Cap Value |
31,552 | |||
|
T. Rowe Price Natural Resources |
5,890 | |||
|
Templeton Global Bond |
198,122 | |||
|
Wellington Management Hedged Equity |
114,337 | |||
The following amounts have been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.
|
Portfolio |
2019 Payments | |||
|
Hotchkis & Wiley Large-Cap Value |
$ | 130,618 | ||
|
International Growth |
555,774 | |||
|
International Value |
60,653 | |||
|
J.P. Morgan International Equity |
75,367 | |||
|
Jennison Large-Cap Growth |
66,577 | |||
|
Loomis Sayles Large-Cap Growth |
303,909 | |||
|
MFS Global Equity |
253,451 | |||
|
MFS Growth |
4,444 | |||
|
MFS Large-Cap Value |
54,189 | |||
|
Mid-Cap Growth |
2,373 | |||
|
Neuberger Berman/LSV Mid-Cap Value |
160 | |||
|
T. Rowe Price Large-Cap Growth |
63,619 | |||
|
T. Rowe Price Large-Cap Value |
590,947 | |||
|
T. Rowe Price Natural Resources |
134,605 | |||
|
Wellington Management Hedged Equity |
241,965 | |||
The following capital contributions, as described above, have been paid in 2019 by Prudential for the opportunity loss associated with excess withholding taxes related to permanent tax detriments and timing differences for certain countries due to the Portfolios’ status as partnerships for tax purposes.
|
Portfolio |
Capital Contributions | |||
|
AQR Emerging Markets Equity |
$ | 18,772 | ||
|
Hotchkis & Wiley Large-Cap Value |
736 | |||
|
International Growth |
559,297 | |||
|
International Value |
751,067 | |||
|
J.P. Morgan International Equity |
219,744 | |||
|
Loomis Sayles Large-Cap Growth |
871 | |||
|
MFS Global Equity |
37,151 | |||
|
MFS Growth |
1,445 | |||
|
Parametric Emerging Markets Equity |
60,949 | |||
|
Small-Cap Growth Opportunities |
7,868 | |||
|
T. Rowe Price Natural Resources |
50,296 | |||
|
Templeton Global Bond |
994 | |||
|
Wellington Management Hedged Equity |
8,748 | |||
| 4. | Portfolio Securities |
The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Government securities) for the year ended December 31, 2019, were as follows:
|
Portfolio |
Cost of Purchases | Proceeds from Sales | ||||||
|
AQR Emerging Markets Equity |
$ | 236,814,189 | $ | 212,372,058 | ||||
B18
|
Portfolio |
Cost of Purchases | Proceeds from Sales | ||||||
|
Cohen & Steers Realty |
$ | 468,474,201 | $ | 504,045,570 | ||||
|
Goldman Sachs Small-Cap Value |
513,875,618 | 511,135,589 | ||||||
|
Hotchkis & Wiley Large-Cap Value |
251,539,562 | 790,612,752 | ||||||
|
International Growth |
584,703,551 | 701,110,215 | ||||||
|
International Value |
539,484,755 | 413,922,157 | ||||||
|
J.P. Morgan International Equity |
110,870,092 | 103,734,781 | ||||||
|
Jennison Large-Cap Growth |
498,228,472 | 514,055,098 | ||||||
|
Loomis Sayles Large-Cap Growth |
341,319,842 | 451,099,527 | ||||||
|
MFS Global Equity |
68,957,041 | 91,498,457 | ||||||
|
MFS Growth |
183,379,865 | 240,869,491 | ||||||
|
MFS Large-Cap Value |
453,338,241 | 263,912,589 | ||||||
|
Mid-Cap Growth |
1,688,722,061 | 1,772,497,054 | ||||||
|
Neuberger Berman/LSV Mid-Cap Value |
139,849,673 | 148,100,908 | ||||||
|
Parametric Emerging Markets Equity |
117,425,031 | 72,098,167 | ||||||
|
QMA Large-Cap |
2,009,376,888 | 2,415,404,248 | ||||||
|
Small-Cap Growth |
406,273,565 | 434,248,163 | ||||||
|
Small-Cap Growth Opportunities |
530,570,606 | 578,374,141 | ||||||
|
Small-Cap Value |
485,562,038 | 455,234,791 | ||||||
|
T. Rowe Price Large-Cap Growth |
753,479,366 | 815,082,316 | ||||||
|
T. Rowe Price Large-Cap Value |
1,761,164,175 | 1,998,685,314 | ||||||
|
T. Rowe Price Natural Resources |
246,739,627 | 194,682,051 | ||||||
|
Templeton Global Bond |
59,379,536 | 81,626,055 | ||||||
|
WEDGE Capital Mid-Cap Value |
80,229,643 | 87,085,604 | ||||||
|
Wellington Management Hedged Equity |
999,786,217 | 1,069,925,159 | ||||||
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the year ended December 31, 2019, is presented as follows:
AQR Emerging Markets Equity
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ 7,356,374 | $ | 161,630,225 | $ | 154,145,920 | $ | — | $ | — | $ | 14,840,679 | 14,840,679 | $ | 297,444 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 7,015,488 | 69,542,820 | 75,007,483 | 239 | 723 | 1,551,787 | 1,551,477 | 8,153 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $14,371,862 | $ | 231,173,045 | $ | 229,153,403 | $ | 239 | $ | 723 | $ | 16,392,466 | $ | 305,597 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Cohen & Steers Realty
|
Value,
of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ 4,759,234 | $ | 163,352,235 | $ | 158,870,472 | $ | — | $ | — | $ | 9,240,997 | 9,240,997 | $ | 158,208 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 48,771,746 | 500,536,192 | 488,812,914 | 7,418 | 5,246 | 60,507,688 | 60,495,588 | 143,911 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $53,530,980 | $ | 663,888,427 | $ | 647,683,386 | $ | 7,418 | $ | 5,246 | $ | 69,748,685 | $ | 302,119 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
B19
Goldman Sachs Small-Cap Value
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ 20,625,129 | $ | 155,910,243 | $ | 161,072,722 | $ | — | $ | — | $ | 15,462,650 | 15,462,650 | $ | 540,288 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 124,803,974 | 419,702,287 | 407,224,330 | 30,053 | 5,575 | 137,317,559 | 137,290,101 | 318,632 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $145,429,103 | $ | 575,612,530 | $ | 568,297,052 | $ | 30,053 | $ | 5,575 | $ | 152,780,209 | $ | 858,920 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Hotchkis & Wiley Large-Cap Value
|
Value,
of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $149,392,626 | $ | 289,685,369 | $ | 428,840,073 | $ | — | $ | — | $ | 10,237,922 | 10,237,922 | $ | 733,050 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 79,751,260 | 1,234,149,225 | 1,181,826,278 | 14,232 | 24,386 | 132,112,825 | 132,086,407 | 296,480 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $229,143,886 | $ | 1,523,834,594 | $ | 1,610,666,351 | $ | 14,232 | $ | 24,386 | $ | 142,350,747 | $ | 1,029,530 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
International Growth
|
Value,
of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ 19,011,640 | $ | 404,524,524 | $ | 400,288,444 | $ | — | $ | — | $ | 23,247,720 | 23,247,720 | $ | 847,310 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 141,471,726 | 954,091,071 | 1,015,603,964 | 14,370 | 13,157 | 79,986,360 | 79,970,366 | 341,049 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $160,483,366 | $ | 1,358,615,595 | $ | 1,415,892,408 | $ | 14,370 | $ | 13,157 | $ | 103,234,080 | $ | 1,188,359 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
International Value
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $26,957,572 | $ | 379,982,634 | $ | 385,699,214 | $ | — | $ | — | $ | 21,240,992 | 21,240,992 | $ | 856,571 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 19,744,599 | 441,741,302 | 457,267,895 | 1,934 | (2,474 | ) | 4,217,466 | 4,216,623 | 436,372 | ** | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $46,702,171 | $ | 821,723,936 | $ | 842,967,109 | $ | 1,934 | $ | (2,474 | ) | $ | 25,458,458 | $ | 1,292,943 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
J.P. Morgan International Equity
B20
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| $ — | $ | 82,346,842 | $ | 82,346,234 | $ | — | $ | (608 | ) | $ | — | — | $ | 27,168 | ** | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $6,313,697 | $ | 166,050,878 | $ | 169,141,006 | $ | — | $ | (608 | ) | $ | 3,222,961 | $ | 229,842 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Jennison Large-Cap Growth
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $21,280,973 | $ | 281,037,637 | $ | 299,724,020 | $ | — | $ | — | $ | 2,594,590 | 2,594,590 | $ | 341,455 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 73,989,977 | 770,637,350 | 752,207,801 | 19,314 | (8,018 | ) | 92,430,822 | 92,412,340 | 207,226 | ** | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $95,270,950 | $ | 1,051,674,987 | $ | 1,051,931,821 | $ | 19,314 | $ | (8,018 | ) | $ | 95,025,412 | $ | 548,681 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Loomis Sayles Large-Cap Growth
|
Value,
of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ 68,153,849 | $ | 536,984,292 | $ | 576,724,173 | $ | — | $ | — | $ | 28,413,968 | 28,413,968 | $ | 674,003 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 199,927,858 | 2,392,346,888 | 2,363,696,428 | 45,849 | 23,890 | 228,648,057 | 228,602,337 | 504,989 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $268,081,707 | $ | 2,929,331,180 | $ | 2,940,420,601 | $ | 45,849 | $ | 23,890 | $ | 257,062,025 | $ | 1,178,992 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
MFS Global Equity
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ 8,424,409 | $ | 85,095,456 | $ | 87,983,646 | $ | — | $ | — | $ | 5,536,219 | 5,536,219 | $ | 134,681 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 20,325,866 | 289,901,389 | 252,093,006 | 1,418 | (1,273 | ) | 58,134,394 | 58,122,769 | 91,274 | ** | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $28,750,275 | $ | 374,996,845 | $ | 340,076,652 | $ | 1,418 | $ | (1,273 | ) | $ | 63,670,613 | $ | 225,955 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
MFS Growth
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $28,693,412 | $ | 218,498,033 | $ | 236,969,930 | $ | — | $ | — | $ | 10,221,515 | 10,221,515 | $ | 348,456 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 22,168,220 | 784,381,396 | 711,183,415 | 7,851 | (13,357 | ) | 95,360,695 | 95,341,627 | 114,931 | ** | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $50,861,632 | $ | 1,002,879,429 | $ | 948,153,345 | $ | 7,851 | $ | (13,357 | ) | $ | 105,582,210 | $ | 463,387 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
B21
MFS Large-Cap Value
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ 3,493,060 | $ | 386,277,148 | $ | 360,782,070 | $ | — | $ | — | $ | 28,988,138 | 28,988,138 | $ | 666,005 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 67,034,470 | 961,054,978 | 973,940,678 | 6,155 | (934 | ) | 54,153,991 | 54,143,162 | 147,514 | ** | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $70,527,530 | $ | 1,347,332,126 | $ | 1,334,722,748 | $ | 6,155 | $ | (934 | ) | $ | 83,142,129 | $ | 813,519 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Mid-Cap Growth
|
Value,
of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ 17,818,299 | $ | 493,758,802 | $ | 501,042,744 | $ | — | $ | — | $ | 10,534,357 | 10,534,357 | $ | 900,955 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 127,390,040 | 1,156,014,045 | 1,052,405,402 | 29,683 | 19,736 | 231,048,102 | 231,001,902 | 373,301 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $145,208,339 | $ | 1,649,772,847 | $ | 1,553,448,146 | $ | 29,683 | $ | 19,736 | $ | 241,582,459 | $ | 1,274,256 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Neuberger Berman/LSV Mid-Cap Value
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ 3,805,360 | $ | 67,084,231 | $ | 68,970,020 | $ | — | $ | — | $ | 1,919,571 | 1,919,571 | $ | 114,119 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 109,765,136 | 469,386,901 | 463,507,802 | 21,798 | 9,421 | 115,675,454 | 115,652,324 | 306,712 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $113,570,496 | $ | 536,471,132 | $ | 532,477,822 | $ | 21,798 | $ | 9,421 | $ | 117,595,025 | $ | 420,831 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Parametric Emerging Markets Equity
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ — | $ | 102,193,491 | $ | 94,868,116 | $ | — | $ | — | $ | 7,325,375 | 7,325,375 | $ | 55,018 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 9,862,724 | 92,770,142 | 96,412,350 | 1,044 | (313 | ) | 6,221,247 | 6,220,003 | 66,146 | ** | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $9,862,724 | $ | 194,963,633 | $ | 191,280,466 | $ | 1,044 | $ | (313 | ) | $ | 13,546,622 | $ | 121,164 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
QMA Large-Cap
B22
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 26,796,253 | $ | 712,124,371 | $ | 659,434,262 | $ | 5,523 | $ | 23,359 | $ | 79,515,244 | 79,499,344 | 134,952 | ** | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $107,467,325 | $ | 1,121,533,025 | $ | 1,120,113,236 | $ | 5,523 | $ | 23,359 | $ | 108,915,996 | $ | 875,064 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Small-Cap Growth
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ 4,240,309 | $ | 129,550,508 | $ | 127,109,347 | $ | — | $ | — | $ | 6,681,470 | 6,681,470 | $ | 197,531 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 163,511,098 | 727,547,894 | 650,040,255 | 43,338 | 766 | 241,062,841 | 241,014,637 | 736,380 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $167,751,407 | $ | 857,098,402 | $ | 777,149,602 | $ | 43,338 | $ | 766 | $ | 247,744,311 | $ | 933,911 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Small-Cap Growth Opportunities
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ 4,983,334 | $ | 139,745,876 | $ | 137,386,176 | $ | — | $ | — | $ | 7,343,034 | 7,343,034 | $ | 201,631 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 145,020,636 | 554,272,829 | 520,754,335 | 31,159 | 16,861 | 178,587,150 | 178,551,440 | 502,334 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $150,003,970 | $ | 694,018,705 | $ | 658,140,511 | $ | 31,159 | $ | 16,861 | $ | 185,930,184 | $ | 703,965 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Small-Cap Value
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ 27,365,230 | $ | 366,974,240 | $ | 383,953,537 | $ | — | $ | — | $ | 10,385,933 | 10,385,933 | $ | 484,434 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 83,821,353 | 308,971,338 | 313,038,875 | 13,453 | 9,862 | 79,777,131 | 79,761,179 | 272,610 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $111,186,583 | $ | 675,945,578 | $ | 696,992,412 | $ | 13,453 | $ | 9,862 | $ | 90,163,064 | $ | 757,044 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
T. Rowe Price Large-Cap Growth
|
Value,
of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ 63,294,472 | $ | 554,686,475 | $ | 600,799,325 | $ | — | $ | — | $ | 17,181,622 | 17,181,622 | $ | 1,244,288 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 230,485,901 | 1,832,046,991 | 1,744,827,892 | 34,004 | 15,605 | 317,754,609 | 317,691,071 | 518,276 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $293,780,373 | $ | 2,386,733,466 | $ | 2,345,627,217 | $ | 34,004 | $ | 15,605 | $ | 334,936,231 | $ | 1,762,564 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
B23
T. Rowe Price Large-Cap Value
|
Value,
of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| $73,291,812 | $ | 1,112,531,423 | $ | 1,036,019,575 | $ | 17,333 | $ | 260 | $ | 149,821,253 | 149,791,295 | $ | 224,604 | ** | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
T. Rowe Price Natural Resources
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ 6,744,251 | $ | 89,394,213 | $ | 95,154,534 | $ | — | $ | — | $ | 983,930 | 983,930 | $ | 138,498 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 38,000,347 | 374,739,179 | 383,667,430 | 2,218 | 11,470 | 29,085,784 | 29,079,968 | 104,205 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $44,744,598 | $ | 464,133,392 | $ | 478,821,964 | $ | 2,218 | $ | 11,470 | $ | 30,069,714 | $ | 242,703 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Templeton Global Bond
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| $ 1,549 | $ | 68,354,039 | $ | 68,353,858 | $ | — | $ | (1,730 | ) | $ | — | — | $ | 7,482 | ** | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
WEDGE Capital Mid-Cap Value
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $11,303,113 | $ | 70,902,187 | $ | 72,112,811 | $ | — | $ | — | $ | 10,092,489 | 10,092,489 | $ | 311,256 | |||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 37,449,510 | 335,920,642 | 332,919,636 | 5,836 | 1,680 | 40,458,032 | 40,449,942 | 72,961 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $48,752,623 | $ | 406,822,829 | $ | 405,032,447 | $ | 5,836 | $ | 1,680 | $ | 50,550,521 | $ | 384,217 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Wellington Management Hedged Equity
|
Value, Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| $126,807,837 | $ | 903,973,449 | $ | 913,632,843 | $ | 16,968 | $ | 24,399 | $ | 117,189,810 | 117,166,376 | $ | 356,486 | ** | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| * |
The Fund did not have any capital gain distributions during the reporting period. |
| ** |
Represents the affiliated amount of securities lending income shown on the Statement of Operations. |
| 5. | Tax Information |
All Portfolios are treated as partnerships for federal income tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.
B24
With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.
The Investment Manager has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current reporting period. Since tax authorities can examine previously filed tax returns, the Portfolios’ U.S. federal and state tax returns for each of the four fiscal years up to the most recent fiscal year ended December 31, 2019 are subject to such review.
| 6. | Borrowings |
The Trust, on behalf of the Portfolios, along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The table below provides details of the current SCA in effect at the reporting period-end as well as the prior SCA.
|
Current SCA |
Prior SCA |
|||
|
Term of Commitment |
10/3/2019—10/1/2020 | 10/4/2018—10/2/2019 | ||
|
Total Commitment |
$ 900 million | $ 900 million | ||
|
Annualized Commitment Fee on the Unused Portion of the SCA |
0.15% | 0.15% | ||
|
Annualized Interest Rate on Borrowings |
1.20% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent | 1.25% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent |
Certain affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Investment Manager to allocate available funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.
B25
The following Portfolios utilized the SCA during the year ended December 31, 2019. The average balance outstanding is for the number of days the Portfolios utilized the credit facility.
|
Portfolio |
Average
Balance Outstanding |
Weighted
Average Interest Rates |
Number
of Days Outstanding |
Maximum
Balance Outstanding |
Balance
Outstanding at December 31, 2019 |
|||||||||||||||
|
Cohen & Steers Realty |
$ | 1,397,583 | 3.39 | % | 12 | $ | 3,353,000 | $ | — | |||||||||||
|
Hotchkis & Wiley Large-Cap Value |
3,540,750 | 3.69 | 4 | 6,297,000 | — | |||||||||||||||
|
International Growth |
840,385 | 3.49 | 13 | 3,957,000 | — | |||||||||||||||
|
International Value |
2,128,321 | 3.43 | 53 | 6,964,000 | 3,583,000 | |||||||||||||||
|
Jennison Large-Cap Growth |
1,904,000 | 3.27 | 14 | 5,251,000 | — | |||||||||||||||
|
Loomis Sayles Large-Cap Growth |
790,667 | 3.58 | 3 | 1,210,000 | — | |||||||||||||||
|
MFS Global Equity |
1,128,100 | 3.39 | 20 | 2,692,000 | — | |||||||||||||||
|
MFS Growth |
2,778,000 | 3.31 | 5 | 5,533,000 | — | |||||||||||||||
|
MFS Large-Cap Value |
3,373,000 | 3.68 | 1 | 3,373,000 | — | |||||||||||||||
|
Mid-Cap Growth |
898,333 | 3.36 | 9 | 1,811,000 | — | |||||||||||||||
|
Neuberger Berman/LSV Mid-Cap Value |
374,000 | 3.08 | 3 | 564,000 | — | |||||||||||||||
|
Parametric Emerging Markets Equity |
1,379,488 | 3.52 | 43 | 7,662,000 | — | |||||||||||||||
|
QMA Large-Cap |
2,287,143 | 3.68 | 7 | 10,404,000 | — | |||||||||||||||
|
Small-Cap Growth Opportunities |
224,500 | 3.09 | 6 | 227,000 | — | |||||||||||||||
|
Small-Cap Value |
531,429 | 3.67 | 7 | 1,248,000 | — | |||||||||||||||
|
T. Rowe Price Large-Cap Growth |
1,193,000 | 3.34 | 2 | 2,210,000 | — | |||||||||||||||
|
T. Rowe Price Natural Resources |
1,089,100 | 3.33 | 10 | 5,197,000 | — | |||||||||||||||
| 7. | Capital and Ownership |
The Agreement and Declaration of Trust permits the Trust’s Board of Trustees to issue multiple classes of shares, and within each class, an unlimited number of shares of beneficial interest of the Portfolios with a par value of $0.001 per share. As of December 31, 2019, all Portfolios offer only a single share class to investors.
As of December 31, 2019, all shares of the Portfolios were owned of record directly or by other Portfolios as part of their investments by insurance affiliates of Prudential Financial, Inc.
The following number of shareholders of record, each holding greater than 5% of the Portfolio, held the following percentage of outstanding shares, on behalf of multiple beneficial owners:
|
Portfolio |
Number of Shareholders | Percentage of Outstanding Shares | ||||||||
|
AQR Emerging Markets Equity |
4 | 91 | % | |||||||
|
Cohen & Steers Realty |
5 | 100 | ||||||||
|
Goldman Sachs Small-Cap Value |
6 | 91 | ||||||||
|
Hotchkis & Wiley Large-Cap Value |
4 | 88 | ||||||||
|
International Growth |
6 | 95 | ||||||||
|
International Value |
6 | 95 | ||||||||
|
J.P. Morgan International Equity |
3 | 100 | ||||||||
|
Jennison Large-Cap Growth |
5 | 93 | ||||||||
|
Loomis Sayles Large-Cap Growth |
5 | 94 | ||||||||
|
MFS Global Equity |
3 | 100 | ||||||||
|
MFS Growth |
5 | 94 | ||||||||
|
MFS Large-Cap Value |
4 | 87 | ||||||||
|
Mid-Cap Growth |
3 | 86 | ||||||||
|
Neuberger Berman/LSV Mid-Cap Value |
3 | 88 | ||||||||
|
Parametric Emerging Markets Equity |
4 | 96 | ||||||||
B26
|
Portfolio |
Number of Shareholders | Percentage of Outstanding Shares | ||||||||
|
QMA Large-Cap |
4 | 99 | % | |||||||
|
Small-Cap Growth |
5 | 90 | ||||||||
|
Small-Cap Growth Opportunities |
5 | 91 | ||||||||
|
Small-Cap Value |
6 | 92 | ||||||||
|
T. Rowe Price Large-Cap Growth |
4 | 90 | ||||||||
|
T. Rowe Price Large-Cap Value |
5 | 92 | ||||||||
|
T. Rowe Price Natural Resources |
3 | 96 | ||||||||
|
Templeton Global Bond |
3 | 99 | ||||||||
|
WEDGE Capital Mid-Cap Value |
5 | 94 | ||||||||
|
Wellington Management Hedged Equity |
3 | 100 | ||||||||
| 8. | Risks of Investing in the Portfolios |
The Portfolios’ risks include, but are not limited to, some or all of the risks discussed below:
Bond Obligations Risk: The Portfolios’ holdings, share price, yield and total return may fluctuate in response to bond market movements. The value of bonds may decline for issuer-related reasons, including management performance, financial leverage and reduced demand for the issuer’s goods and services. Certain types of fixed-income obligations also may be subject to “call and redemption risk,” which is the risk that the issuer may call a bond held by the Portfolios for redemption before it matures and the Portfolios may not be able to reinvest at the same level and therefore would earn less income.
Derivatives Risk: Derivatives involve special risks and costs and may result in losses to the Portfolios. The successful use of derivatives requires sophisticated management, and, to the extent that derivatives are used, the Portfolios will depend on the subadviser’s ability to analyze and manage derivative transactions. The prices of derivatives may move in unexpected ways, especially in abnormal market conditions. Some derivatives are “leveraged” and therefore may magnify or otherwise increase investment losses to the Portfolios. Other risks arise from the potential inability to terminate or sell derivatives positions. A liquid secondary market may not always exist for the Portfolios’ derivatives positions. In fact, many OTC derivative instruments will not have liquidity beyond the counterparty to the instrument. OTC derivative instruments also involve the risk that the other party will not meet its obligations to the Portfolios.
Emerging Markets Risk: The risks of foreign investments are greater for investments in or exposed to emerging markets. Emerging market countries typically have economic and political systems that are less fully developed, and can be expected to be less stable, than those of more developed countries. For example, the economies of such countries can be subject to rapid and unpredictable rates of inflation or deflation. Low trading volumes may result in a lack of liquidity and price volatility.
Equity and Equity-Related Securities Risks: The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the Portfolios invest could go down. The Portfolios’ holdings can vary significantly from broad market indexes and the performance of the Portfolios can deviate from the performance of these indexes. Different parts of a market can react differently to adverse issuer, market, regulatory, political and economic developments.
Foreign Securities Risk: The Portfolios’ investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Portfolios may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the Portfolios’ investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.
Geographic Concentration Risk: The Portfolios’ performance may be closely tied to the market, economic, political, regulatory or other conditions in the countries or regions in which the Portfolios invest. This can result in more pronounced risks based upon conditions that impact one or more countries or regions more or less than other countries or regions.
Interest Rate Risk: The value of an investment may go down when interest rates rise. A rise in rates tends to have a greater impact on the prices of longer term or duration securities. When interest rates fall, the issuers of debt obligations may prepay principal more quickly than expected, and the Portfolios may be required to reinvest the proceeds at a lower interest rate. This is referred to as “prepayment risk.” When interest rates rise, debt obligations may be repaid more slowly than expected, and the value of the Portfolios’ holdings may fall sharply. This is referred
B27
to as “extension risk”. The Portfolios may face a heightened level of interest rate risk as a result of the U.S. Federal Reserve Board’s policies. The Portfolios’ investments may lose value if short-term or long-term interest rates rise sharply or in a manner not anticipated by the subadviser.
Liquidity Risk: The Portfolios may invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk exists when particular investments made by the Portfolios are difficult to purchase or sell. Liquidity risk includes the risk that the Portfolios may make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. If the Portfolios are forced to sell these investments to pay redemption proceeds or for other reasons, the Portfolios may lose money. In addition, when there is no willing buyer and investments may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment, the Portfolios may incur higher transaction costs when executing trade orders of a given size. The reduction in dealer market-making capacity in the fixed-income markets that has occurred in recent years also has the potential to reduce liquidity. An inability to sell a portfolio position can adversely affect the Portfolios’ value or prevent the Portfolios from being able to take advantage of other investment opportunities.
Market and Credit Risk: Securities markets may be volatile and the market prices of the Portfolios’ securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Portfolios fall, the value of an investment in the Portfolios will decline. Additionally, the Portfolios may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolios has unsettled or open transactions defaults.
Non-diversification Risk: A non-diversified Portfolio may invest a greater percentage of its assets in the securities of a single company or industry than a diversified portfolio. Investing in a non-diversified portfolio involves greater risk than investing in a diversified portfolio because a loss resulting from the decline in value of any one security may represent a greater portion of the total assets of a non-diversified portfolio.
Risks of Investing in equity REITs: Real estate securities are subject to similar risks as direct investments in real estate and mortgages, and their value will depend on the value of the underlying properties or the underlying loans or interests. The underlying loans may be subject to the risks of default or of payments that occur earlier or later than expected, and such loans may also include so-called “subprime” mortgages. The value of these securities will rise and fall in response to many factors, including economic conditions, the demand for rental property and interest rates. In particular, the value of these securities may decline when interest rates rise and will also be affected by the real estate market and by the management of the underlying properties.
In addition, investing in equity REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the equity REITs, while mortgage REITs may be affected by the quality of any credit extended. Equity REITs are dependent upon management skills, may not be diversified geographically or by property/mortgage asset type, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Since equity REITs are relatively smaller in size when compared to the broader market, and smaller companies tend to be more volatile than larger companies, they may be more volatile and/or more illiquid than other types of equity securities. Equity REITs are subject to interest rate risks. Equity REITs may incur significant amounts of leverage. The Portfolios will indirectly bear a portion of the expenses, including management fees, paid by each equity REIT in which they invest, in addition to the expenses of the Portfolios.
U.S. Government and Agency Securities Risk: U.S. Government and agency securities are subject to market risk, interest rate risk and credit risk. Not all U.S. Government securities are insured or guaranteed by the full faith and credit of the U.S. Government; some are only insured or guaranteed by the issuing agency, which must rely on its own resources to repay the debt. In addition, the value of U.S. Government securities may be affected by changes in the credit rating of the U.S. Government.
| 9. | Reorganization |
On November 27-28, 2018, the Board approved an Agreement and Plan of Reorganization (the “Plan”) which provided for the transfer of all the assets of AST Goldman Sachs Large Cap Value Portfolio (the “Merged Portfolio”) for shares of AST T. Rowe Price Large Cap Value Portfolio (the “Acquiring Portfolio) and the assumption of the liabilities of the Merged Portfolio by the Acquiring Portfolio. Shareholders approved the Plan at a meeting on March 5, 2019 and the reorganization took place at the close of business on April 26, 2019.
B28
On the reorganization date, the Merged Portfolio had the following total investment cost and value, representing the principal assets acquired by the Acquiring Portfolio:
|
Merged Portfolio |
Total Investment
Value |
Total Investment
Cost |
||||
| AST Goldman Sachs Large-Cap Value Portfolio | $ | 1,578,334,194 | $1,443,490,798 | |||
The purpose of the transaction was to combine two portfolios with substantially similar investment objectives and policies.
The acquisition was accomplished by a tax-free exchange of the following shares on April 26, 2019:
|
Merged Portfolio |
Shares |
Acquiring Portfolio |
Shares | Value | ||||||||||
| AST Goldman Sachs Large-Cap Value Portfolio | 49,497,578 | AST T. Rowe Price Large-Cap Value Portfolio | 102,592,839 | $ | 1,616,863,138 | |||||||||
For financial reporting purposes, assets received and shares issued by the Acquiring Portfolio were recorded at fair value; however, the cost basis of the investments received from the Merged Portfolio were carried forward to reflect the tax-free status of the acquisition.
The net assets and net unrealized appreciation immediately before the acquisition were as follows:
|
Merged Portfolio |
Net Assets |
Unrealized
Appreciation on investments |
Acquiring Portfolio |
Net Assets | ||||||||||
| AST Goldman Sachs Large-Cap Value Portfolio | $ | 1,616,863,138 | $ | 134,843,396 | AST T. Rowe Price Large-Cap Value Portfolio | $ | 1,414,119,765 | |||||||
Assuming the acquisition had been completed on January 1, 2019, the Acquiring Portfolio’s unaudited pro forma results of operations for the year ended December 31, 2019 would have been as follows:
|
Acquiring Portfolio |
Net
investment income(a) |
Net realized and
|
Net increase
in net assets resulting from operations |
|||||||
| AST T. Rowe Price Large-Cap Value Portfolio | $ | 57,982,152 | $615,088,121 | $ | 673,067,273 | |||||
| (a) |
Net investment income as reported in the Statement of Operations (Year ended December 31, 2019) of the Acquiring Portfolio, plus net investment income from the Merged Portfolio pre-merger as follows: AST Goldman Sachs Large-Cap Value Portfolio $7,115,169. |
| (b) |
Net realized and unrealized gain on investments as reported in the Statement of Operations (Year ended December 31, 2019) of the Acquiring Portfolio, plus net realized and unrealized gain (loss) on investments from the Merged Portfolio pre-merger as follows: AST Goldman Sachs Large-Cap Value Portfolio $208,589,969. |
Since both the Merged Portfolio and the Acquiring Portfolio sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.
Since the combined investment portfolio had been managed as a single integrated portfolio since the acquisition was completed, it is also not practicable to separate the amounts of revenue and earnings of the Merged Portfolio that have been included in the Acquiring Portfolio’s Statement of Operations since April 26, 2019.
| 10. | Recent Accounting Pronouncements and Reporting Updates |
In August 2018, the FASB issued Accounting Standards Update (“ASU”) No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Portfolios’ policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within
B29
those fiscal years. The Investment Manager has evaluated the implications of certain provisions of the ASU and has adopted the aspects related to the removal and modification of certain fair value measurement disclosures under the ASU. The Investment Manager continues to evaluate certain other provisions of the ASU and does not expect a material impact to financial statement disclosures.
| 11. | Subsequent Event |
On January 24, 2020, the Board of Trustees approved the reorganization (the Reorganization) of AST AQR Emerging Markets Equity Portfolio (the Target Portfolio) into AST Parametric Emerging Markets Equity Portfolio (the Acquiring Portfolio), which will be renamed to AST Emerging Markets Equity Portfolio on April 27, 2020. The Reorganization is subject to shareholder approval by the Target Portfolio. A special meeting of the Target Portfolio shareholders will be held on July 15, 2020. It is expected that the Reorganization, if approved, would be completed on or around August 14, 2020.
On January 24, 2020, the Board of Trustees approved the reorganization (the Reorganization) of AST AQR Large-Cap Portfolio (the Target Portfolio) into AST QMA Large-Cap Portfolio (the Acquiring Portfolio), which will be renamed to AST Large-Cap Core Portfolio on April 27, 2020. The Reorganization is subject to shareholder approval by the Target Portfolio. A special meeting of the Target Portfolio shareholders will be held on July 15, 2020. It is expected that the Reorganization, if approved, would be completed on or around August 14, 2020.
B30
Financial Highlights
| AST AQR Emerging Markets Equity Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 10.39 | $ | 12.82 | $ | 9.50 | $ | 8.38 | $ | 9.92 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.15 | 0.14 | 0.13 | 0.09 | 0.10 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
1.69 | (2.58 | ) | 3.19 | 1.03 | (1.64 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
1.84 | (2.44 | ) | 3.32 | 1.12 | (1.54 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c) | 0.01 | (b) | — | — | (c)(d) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 12.23 | $ | 10.39 | $ | 12.82 | $ | 9.50 | $ | 8.38 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(e) |
17.81 | %(f) | (18.95 | )%(g) | 34.95 | % | 13.37 | %(f) | (15.52 | )% | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 192 | $ | 148 | $ | 271 | $ | 163 | $ | 159 | ||||||||||
|
Average net assets (in millions) |
$ | 182 | $ | 225 | $ | 218 | $ | 147 | $ | 221 | ||||||||||
|
Ratios to average net assets(h): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
1.34 | % | 1.31 | % | 1.39 | % | 1.45 | % | 1.37 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
1.34 | % | 1.31 | % | 1.39 | % | 1.45 | % | 1.37 | % | ||||||||||
|
Net investment income (loss) |
1.34 | % | 1.14 | % | 1.13 | % | 0.99 | % | 1.04 | % | ||||||||||
|
Portfolio turnover rate(i) |
127 | % | 112 | % | 114 | % | 81 | % | 59 | % | ||||||||||
| AST Cohen & Steers Realty Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 11.02 | $ | 11.57 | $ | 10.89 | $ | 10.39 | $ | 9.91 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.19 | 0.21 | 0.18 | 0.13 | 0.12 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment transactions |
3.25 | (0.76 | ) | 0.50 | 0.37 | 0.36 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
3.44 | (0.55 | ) | 0.68 | 0.50 | 0.48 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (c)(j) | — | — | — | (c)(d) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 14.46 | $ | 11.02 | $ | 11.57 | $ | 10.89 | $ | 10.39 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(e) |
31.22 | %(f) | (4.75 | )% | 6.24 | % | 4.81 | %(f) | 4.84 | % | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 616 | $ | 506 | $ | 656 | $ | 676 | $ | 759 | ||||||||||
|
Average net assets (in millions) |
$ | 600 | $ | 596 | $ | 654 | $ | 720 | $ | 817 | ||||||||||
|
Ratios to average net assets(h): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
1.05 | % | 1.05 | % | 1.04 | % | 1.03 | % | 1.03 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
1.10 | % | 1.11 | % | 1.10 | % | 1.10 | % | 1.10 | % | ||||||||||
|
Net investment income (loss) |
1.45 | % | 1.89 | % | 1.63 | % | 1.19 | % | 1.14 | % | ||||||||||
|
Portfolio turnover rate(i) |
79 | % | 56 | % | 79 | % | 88 | % | 59 | % | ||||||||||
| (a) |
Calculated based on average shares outstanding during the year. |
| (b) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (c) |
Less than $0.005 per share. |
| (d) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
| (e) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (f) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
| (g) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (19.03)%. |
| (h) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (i) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| (j) |
Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
| AST Goldman Sachs Small-Cap Value Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 20.41 | $ | 23.75 | $ | 21.17 | $ | 17.03 | $ | 18.02 | ||||||||||
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|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.17 | 0.10 | 0.11 | 0.13 | 0.11 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
4.45 | (3.44 | ) | 2.47 | 4.00 | (1.10 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
4.62 | (3.34 | ) | 2.58 | 4.13 | (0.99 | ) | |||||||||||||
|
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|
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|
|||||||||||
|
Capital Contributions |
— | (b)(c) | — | (c)(d) | — | 0.01 | (e) | — | ||||||||||||
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|
|
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|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 25.03 | $ | 20.41 | $ | 23.75 | $ | 21.17 | $ | 17.03 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
22.64 | %(g) | (14.06 | )%(g) | 12.19 | % | 24.31 | %(h) | (5.49 | )% | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 956 | $ | 791 | $ | 1,025 | $ | 933 | $ | 801 | ||||||||||
|
Average net assets (in millions) |
$ | 911 | $ | 981 | $ | 965 | $ | 814 | $ | 898 | ||||||||||
|
Ratios to average net assets(i): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
1.03 | % | 1.03 | % | 1.03 | % | 1.04 | % | 1.04 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
1.04 | % | 1.04 | % | 1.04 | % | 1.05 | % | 1.05 | % | ||||||||||
|
Net investment income (loss) |
0.73 | % | 0.43 | % | 0.49 | % | 0.71 | % | 0.60 | % | ||||||||||
|
Portfolio turnover rate(j) |
58 | % | 55 | % | 56 | % | 70 | % | 47 | % | ||||||||||
| AST Hotchkis & Wiley Large-Cap Value Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 25.54 | $ | 29.76 | $ | 24.96 | $ | 20.83 | $ | 22.59 | ||||||||||
|
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|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.51 | 0.52 | 0.38 | 0.34 | 0.35 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
7.03 | (4.78 | ) | 4.42 | 3.75 | (2.11 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
7.54 | (4.26 | ) | 4.80 | 4.09 | (1.76 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c)(d) | 0.04 | (d) | — | 0.04 | (e) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 33.08 | $ | 25.54 | $ | 29.76 | $ | 24.96 | $ | 20.83 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
29.52 | %(g) | (14.18 | )%(k) | 19.23 | % | 19.83 | %(l) | (7.79 | )% | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 1,531 | $ | 1,704 | $ | 1,884 | $ | 1,438 | $ | 1,489 | ||||||||||
|
Average net assets (in millions) |
$ | 1,599 | $ | 1,856 | $ | 1,679 | $ | 1,264 | $ | 1,455 | ||||||||||
|
Ratios to average net assets(i): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
0.82 | % | 0.83 | % | 0.83 | % | 0.84 | % | 0.84 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
0.83 | % | 0.83 | % | 0.83 | % | 0.84 | % | 0.84 | % | ||||||||||
|
Net investment income (loss) |
1.71 | % | 1.73 | % | 1.41 | % | 1.57 | % | 1.56 | % | ||||||||||
|
Portfolio turnover rate(j) |
16 | % | 44 | % | 33 | % | 43 | % | 48 | % | ||||||||||
| (a) |
Calculated based on average shares outstanding during the year. |
| (b) |
Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
| (c) |
Less than $0.005 per share. |
| (d) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (e) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
| (f) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (g) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
| (h) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 24.25%. |
| (i) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (j) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| (k) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (14.31)%. |
| (l) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 19.64%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
| AST International Growth Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 15.54 | $ | 17.93 | $ | 13.24 | $ | 13.76 | $ | 13.34 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.11 | 0.13 | 0.11 | 0.10 | 0.09 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
4.88 | (2.54 | ) | 4.58 | (0.64 | ) | 0.33 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
4.99 | (2.41 | ) | 4.69 | (0.54 | ) | 0.42 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c)(d) | 0.02 | (c) | — | 0.02 | (e) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 20.53 | $ | 15.54 | $ | 17.93 | $ | 13.24 | $ | 13.76 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
32.11 | %(g) | (13.33 | )%(h) | 35.42 | % | (3.78 | )%(i) | 3.15 | % | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 2,207 | $ | 1,776 | $ | 2,577 | $ | 1,959 | $ | 2,224 | ||||||||||
|
Average net assets (in millions) |
$ | 2,082 | $ | 2,412 | $ | 2,353 | $ | 2,047 | $ | 2,408 | ||||||||||
|
Ratios to average net assets(j): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
1.08 | % | 1.08 | % | 1.08 | % | 1.09 | % | 1.09 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
1.10 | % | 1.09 | % | 1.09 | % | 1.10 | % | 1.10 | % | ||||||||||
|
Net investment income (loss) |
0.61 | % | 0.70 | % | 0.67 | % | 0.78 | % | 0.64 | % | ||||||||||
|
Portfolio turnover rate(k) |
29 | % | 38 | % | 48 | % | 61 | % | 50 | % | ||||||||||
| AST International Value Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 17.88 | $ | 21.32 | $ | 17.36 | $ | 17.26 | $ | 17.12 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.51 | 0.49 | 0.42 | 0.38 | 0.35 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
3.06 | (3.95 | ) | 3.54 | (0.32 | ) | (0.21 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
3.57 | (3.46 | ) | 3.96 | 0.06 | 0.14 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
0.01 | (b)(c) | 0.02 | (c) | — | 0.04 | (e) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 21.46 | $ | 17.88 | $ | 21.32 | $ | 17.36 | $ | 17.26 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
20.02 | %(l) | (16.14 | )%(m) | 22.81 | % | 0.58 | %(n) | 0.82 | % | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 1,993 | $ | 1,582 | $ | 2,322 | $ | 1,908 | $ | 2,029 | ||||||||||
|
Average net assets (in millions) |
$ | 1,829 | $ | 2,080 | $ | 2,184 | $ | 1,901 | $ | 2,215 | ||||||||||
|
Ratios to average net assets(j): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
1.09 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.11 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.11 | % | ||||||||||
|
Net investment income (loss) |
2.58 | % | 2.37 | % | 2.18 | % | 2.26 | % | 1.96 | % | ||||||||||
|
Portfolio turnover rate(k) |
23 | % | 26 | % | 21 | % | 28 | % | 22 | % | ||||||||||
| (a) |
Calculated based on average shares outstanding during the year. |
| (b) |
Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
| (c) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (d) |
Less than $0.005 per share. |
| (e) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
| (f) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (g) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
| (h) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (13.44)%. |
| (i) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (3.93)%. |
| (j) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (k) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| (l) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 19.96%. |
| (m) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (16.23)%. |
| (n) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 0.35%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
| AST J.P. Morgan International Equity Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 25.42 | $ | 30.80 | $ | 23.76 | $ | 23.31 | $ | 23.98 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.50 | 0.58 | 0.43 | 0.42 | 0.41 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
6.40 | (5.98 | ) | 6.61 | (0.02 | ) | (1.08 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
6.90 | (5.40 | ) | 7.04 | 0.40 | (0.67 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
0.02 | (b)(c) | 0.02 | (c) | — | 0.05 | (d) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 32.34 | $ | 25.42 | $ | 30.80 | $ | 23.76 | $ | 23.31 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(e) |
27.22 | %(f) | (17.47 | )%(g) | 29.63 | % | 1.93 | %(h) | (2.79 | )% | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 448 | $ | 358 | $ | 481 | $ | 359 | $ | 389 | ||||||||||
|
Average net assets (in millions) |
$ | 422 | $ | 448 | $ | 430 | $ | 362 | $ | 438 | ||||||||||
|
Ratios to average net assets(i): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
1.01 | % | 1.01 | % | 1.01 | % | 1.03 | % | 1.02 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
1.01 | % | 1.01 | % | 1.01 | % | 1.03 | % | 1.02 | % | ||||||||||
|
Net investment income (loss) |
1.72 | % | 1.96 | % | 1.57 | % | 1.81 | % | 1.63 | % | ||||||||||
|
Portfolio turnover rate(j) |
25 | % | 31 | % | 18 | % | 24 | % | 13 | % | ||||||||||
| AST Jennison Large-Cap Growth Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 30.55 | $ | 31.05 | $ | 22.86 | $ | 23.20 | $ | 20.97 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
(0.08 | ) | (0.06 | ) | (0.03 | ) | (0.03 | ) | (0.06 | ) | ||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
10.03 | (0.44 | ) | 8.22 | (0.31 | ) | 2.29 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
9.95 | (0.50 | ) | 8.19 | (0.34 | ) | 2.23 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(k) | — | (c)(k) | — | — | (d)(k) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 40.50 | $ | 30.55 | $ | 31.05 | $ | 22.86 | $ | 23.20 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(e) |
32.60 | %(l) | (1.61 | )%(l) | 35.83 | % | (1.47 | )%(l) | 10.63 | % | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 1,255 | $ | 952 | $ | 1,152 | $ | 784 | $ | 1,097 | ||||||||||
|
Average net assets (in millions) |
$ | 1,147 | $ | 1,190 | $ | 789 | $ | 858 | $ | 1,044 | ||||||||||
|
Ratios to average net assets(i): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
0.99 | % | 0.99 | % | 0.99 | % | 1.00 | % | 0.99 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
0.99 | % | 0.99 | % | 0.99 | % | 1.00 | % | 0.99 | % | ||||||||||
|
Net investment income (loss) |
(0.22 | )% | (0.17 | )% | (0.12 | )% | (0.15 | )% | (0.27 | )% | ||||||||||
|
Portfolio turnover rate(j) |
44 | % | 39 | % | 61 | % | 42 | % | 36 | % | ||||||||||
| (a) |
Calculated based on average shares outstanding during the year. |
| (b) |
Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
| (c) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (d) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
| (e) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (f) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 27.14%. |
| (g) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (17.53)%. |
| (h) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 1.72%. |
| (i) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (j) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| (k) |
Less than $0.005 per share. |
| (l) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
Financial Highlights
| AST Loomis Sayles Large-Cap Growth Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 48.53 | $ | 49.87 | $ | 37.50 | $ | 35.52 | $ | 32.27 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.18 | 0.16 | 0.18 | 0.22 | 0.17 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
15.16 | (1.52 | ) | 12.19 | 1.71 | 3.08 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
15.34 | (1.36 | ) | 12.37 | 1.93 | 3.25 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c)(d) | 0.02 | (c) | — | 0.05 | (e) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 63.87 | $ | 48.53 | $ | 49.87 | $ | 37.50 | $ | 35.52 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
31.63 | %(g) | (2.69 | )%(h) | 32.99 | % | 5.57 | %(i) | 10.07 | % | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 2,899 | $ | 2,318 | $ | 2,954 | $ | 2,293 | $ | 2,434 | ||||||||||
|
Average net assets (in millions) |
$ | 2,708 | $ | 2,849 | $ | 2,679 | $ | 2,364 | $ | 2,613 | ||||||||||
|
Ratios to average net assets(j): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
0.91 | % | 0.91 | % | 0.91 | % | 0.92 | % | 0.92 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
0.97 | % | 0.97 | % | 0.97 | % | 0.98 | % | 0.98 | % | ||||||||||
|
Net investment income (loss) |
0.32 | % | 0.31 | % | 0.41 | % | 0.61 | % | 0.49 | % | ||||||||||
|
Portfolio turnover rate(k) |
13 | % | 8 | % | 13 | % | 13 | % | 10 | % | ||||||||||
| AST MFS Global Equity Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 18.56 | $ | 20.52 | $ | 16.57 | $ | 15.47 | $ | 15.70 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.22 | 0.18 | 0.15 | 0.13 | 0.13 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
5.34 | (2.15 | ) | 3.80 | 0.95 | (0.36 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
5.56 | (1.97 | ) | 3.95 | 1.08 | (0.23 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c)(d) | 0.01 | (c) | — | 0.02 | (e) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 24.12 | $ | 18.56 | $ | 20.52 | $ | 16.57 | $ | 15.47 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
29.96 | %(g) | (9.55 | )%(l) | 23.84 | % | 7.11 | %(m) | (1.46 | )% | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 725 | $ | 586 | $ | 754 | $ | 615 | $ | 620 | ||||||||||
|
Average net assets (in millions) |
$ | 685 | $ | 707 | $ | 699 | $ | 607 | $ | 666 | ||||||||||
|
Ratios to average net assets(j): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
1.11 | % | 1.11 | % | 1.11 | % | 1.13 | % | 1.12 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
1.11 | % | 1.11 | % | 1.11 | % | 1.13 | % | 1.12 | % | ||||||||||
|
Net investment income (loss) |
1.03 | % | 0.90 | % | 0.81 | % | 0.81 | % | 0.80 | % | ||||||||||
|
Portfolio turnover rate(k) |
10 | % | 10 | % | 10 | % | 28 | % | 17 | % | ||||||||||
| (a) |
Calculated based on average shares outstanding during the year. |
| (b) |
Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
| (c) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (d) |
Less than $0.005 per share. |
| (e) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
| (f) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (g) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
| (h) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (2.73)%. |
| (i) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 5.43%. |
| (j) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (k) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| (l) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (9.60)%. |
| (m) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 6.98%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C5
Financial Highlights
| AST MFS Growth Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 24.22 | $ | 23.71 | $ | 18.14 | $ | 17.80 | $ | 16.59 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
(0.08 | ) | (0.06 | ) | (0.02 | ) | (0.03 | ) | (0.02 | ) | ||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
9.23 | 0.56 | 5.59 | 0.36 | 1.23 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
9.15 | 0.50 | 5.57 | 0.33 | 1.21 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c)(d) | 0.01 | (c) | — | 0.01 | (e) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 33.37 | $ | 24.22 | $ | 23.71 | $ | 18.14 | $ | 17.80 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
37.78 | %(g) | 2.15 | %(h) | 30.71 | % | 1.91 | %(i) | 7.29 | % | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 1,393 | $ | 1,057 | $ | 1,217 | $ | 1,070 | $ | 1,182 | ||||||||||
|
Average net assets (in millions) |
$ | 1,282 | $ | 1,266 | $ | 1,097 | $ | 1,132 | $ | 1,262 | ||||||||||
|
Ratios to average net assets(j): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
0.97 | % | 0.97 | % | 0.99 | % | 0.99 | % | 0.99 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
0.98 | % | 0.98 | % | 0.99 | % | 0.99 | % | 0.99 | % | ||||||||||
|
Net investment income (loss) |
(0.28 | )% | (0.24 | )% | (0.11 | )% | (0.16 | )% | (0.12 | )% | ||||||||||
|
Portfolio turnover rate(k) |
15 | % | 17 | % | 29 | % | 29 | % | 30 | % | ||||||||||
| AST MFS Large-Cap Value Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 18.06 | $ | 20.10 | $ | 17.13 | $ | 15.10 | $ | 15.21 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.31 | 0.29 | 0.24 | 0.24 | 0.22 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
4.99 | (2.33 | ) | 2.73 | 1.79 | (0.33 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
5.30 | (2.04 | ) | 2.97 | 2.03 | (0.11 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c)(d) | — | (c)(d) | — | — | (d)(e) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 23.36 | $ | 18.06 | $ | 20.10 | $ | 17.13 | $ | 15.10 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
29.35 | %(g) | (10.15 | )%(g) | 17.34 | % | 13.44 | %(g) | (0.72 | )% | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 1,974 | $ | 1,360 | $ | 1,579 | $ | 1,160 | $ | 588 | ||||||||||
|
Average net assets (in millions) |
$ | 1,737 | $ | 1,537 | $ | 1,341 | $ | 970 | $ | 612 | ||||||||||
|
Ratios to average net assets(j): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
0.93 | % | 0.93 | % | 0.93 | % | 0.95 | % | 0.96 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
0.93 | % | 0.93 | % | 0.93 | % | 0.95 | % | 0.96 | % | ||||||||||
|
Net investment income (loss) |
1.46 | % | 1.46 | % | 1.29 | % | 1.47 | % | 1.45 | % | ||||||||||
|
Portfolio turnover rate(k) |
15 | % | 9 | % | 16 | % | 33 | % | 17 | % | ||||||||||
| (a) |
Calculated based on average shares outstanding during the year. |
| (b) |
Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
| (c) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (d) |
Less than $0.005 per share. |
| (e) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
| (f) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (g) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
| (h) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 2.11%. |
| (i) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 1.85%. |
| (j) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (k) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C6
Financial Highlights
| AST Mid-Cap Growth Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 9.02 | $ | 9.43 | $ | 7.42 | $ | 7.30 | $ | 7.74 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
(0.03 | ) | (0.02 | ) | (0.02 | ) | (0.02 | ) | (0.02 | ) | ||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
2.75 | (0.39 | ) | 2.03 | 0.13 | (0.42 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
2.72 | (0.41 | ) | 2.01 | 0.11 | (0.44 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c) | — | (c)(d) | — | 0.01 | (e) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 11.74 | $ | 9.02 | $ | 9.43 | $ | 7.42 | $ | 7.30 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
30.16 | %(g) | (4.35 | )%(g) | 27.09 | % | 1.64 | %(h) | (5.68 | )% | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 1,417 | $ | 1,160 | $ | 1,437 | $ | 1,183 | $ | 1,330 | ||||||||||
|
Average net assets (in millions) |
$ | 1,378 | $ | 1,410 | $ | 1,338 | $ | 1,221 | $ | 795 | ||||||||||
|
Ratios to average net assets(i): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
1.00 | % | 0.98 | % | 0.98 | % | 0.98 | % | 1.03 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
1.08 | % | 1.08 | % | 1.08 | % | 1.08 | % | 1.10 | % | ||||||||||
|
Net investment income (loss) |
(0.30 | )% | (0.24 | )% | (0.25 | )% | (0.21 | )% | (0.29 | )% | ||||||||||
|
Portfolio turnover rate(j) |
125 | % | 66 | % | 57 | % | 71 | % | 128 | % | ||||||||||
| AST Neuberger Berman/LSV Mid-Cap Value Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 29.16 | $ | 34.91 | $ | 30.68 | $ | 25.95 | $ | 27.50 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.51 | 0.43 | 0.40 | 0.34 | 0.39 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
5.63 | (6.18 | ) | 3.83 | 4.36 | (1.94 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
6.14 | (5.75 | ) | 4.23 | 4.70 | (1.55 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c) | — | (c)(d) | — | 0.03 | (e) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 35.30 | $ | 29.16 | $ | 34.91 | $ | 30.68 | $ | 25.95 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
21.01 | %(g) | (16.47 | )%(g) | 13.79 | % | 18.23 | %(k) | (5.64 | )% | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 849 | $ | 715 | $ | 1,009 | $ | 919 | $ | 810 | ||||||||||
|
Average net assets (in millions) |
$ | 821 | $ | 922 | $ | 968 | $ | 816 | $ | 934 | ||||||||||
|
Ratios to average net assets(i): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
1.00 | % | 0.99 | % | 0.99 | % | 1.00 | % | 1.00 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
1.00 | % | 0.99 | % | 0.99 | % | 1.00 | % | 1.00 | % | ||||||||||
|
Net investment income (loss) |
1.54 | % | 1.25 | % | 1.23 | % | 1.25 | % | 1.43 | % | ||||||||||
|
Portfolio turnover rate(j) |
18 | % | 20 | % | 27 | % | 30 | % | 22 | % | ||||||||||
| (a) |
Calculated based on average shares outstanding during the year. |
| (b) |
Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
| (c) |
Less than $0.005 per share. |
| (d) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (e) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
| (f) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (g) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
| (h) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 1.50%. |
| (i) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (j) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| (k) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 18.11%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C7
Financial Highlights
| AST Parametric Emerging Markets Equity Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 8.69 | $ | 10.11 | $ | 8.00 | $ | 7.12 | $ | 8.55 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.18 | 0.17 | 0.12 | 0.10 | 0.12 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
0.98 | (1.61 | ) | 1.99 | 0.78 | (1.55 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
1.16 | (1.44 | ) | 2.11 | 0.88 | (1.43 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c)(d) | 0.02 | (c) | — | — | (d)(e) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 9.85 | $ | 8.69 | $ | 10.11 | $ | 8.00 | $ | 7.12 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
13.35 | %(g) | (14.05 | )%(h) | 26.38 | % | 12.36 | %(g) | (16.73 | )% | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 417 | $ | 337 | $ | 511 | $ | 412 | $ | 402 | ||||||||||
|
Average net assets (in millions) |
$ | 398 | $ | 449 | $ | 458 | $ | 401 | $ | 525 | ||||||||||
|
Ratios to average net assets(i): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
1.38 | % | 1.41 | % | 1.39 | % | 1.48 | % | 1.45 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
1.38 | % | 1.41 | % | 1.39 | % | 1.48 | % | 1.45 | % | ||||||||||
|
Net investment income (loss) |
1.92 | % | 1.74 | % | 1.30 | % | 1.28 | % | 1.42 | % | ||||||||||
|
Portfolio turnover rate(j) |
18 | % | 9 | % | 13 | % | 34 | % | 12 | % | ||||||||||
| AST QMA Large-Cap Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 17.27 | $ | 18.60 | $ | 15.32 | $ | 13.82 | $ | 13.61 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.25 | 0.19 | 0.17 | 0.19 | 0.20 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
4.10 | (1.52 | ) | 3.11 | 1.31 | 0.01 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
4.35 | (1.33 | ) | 3.28 | 1.50 | 0.21 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(d) | — | (c)(d) | — | — | (d)(e) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 21.62 | $ | 17.27 | $ | 18.60 | $ | 15.32 | $ | 13.82 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
25.19 | %(g) | (7.15 | )%(g) | 21.41 | % | 10.85 | %(g) | 1.54 | % | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 2,113 | $ | 2,110 | $ | 2,654 | $ | 2,947 | $ | 2,904 | ||||||||||
|
Average net assets (in millions) |
$ | 2,211 | $ | 2,535 | $ | 2,770 | $ | 2,863 | $ | 2,986 | ||||||||||
|
Ratios to average net assets(i): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
0.81 | % | 0.81 | % | 0.81 | % | 0.80 | % | 0.81 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
0.83 | % | 0.82 | % | 0.82 | % | 0.82 | % | 0.82 | % | ||||||||||
|
Net investment income (loss) |
1.26 | % | 0.98 | % | 1.05 | % | 1.34 | % | 1.45 | % | ||||||||||
|
Portfolio turnover rate(j) |
93 | % | 82 | % | 87 | % | 90 | % | 96 | % | ||||||||||
| (a) |
Calculated based on average shares outstanding during the year. |
| (b) |
Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
| (c) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (d) |
Less than $0.005 per share. |
| (e) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
| (f) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (g) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
| (h) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (14.25)%. |
| (i) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (j) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C8
Financial Highlights
| AST Small-Cap Growth Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 40.78 | $ | 44.51 | $ | 35.92 | $ | 32.05 | $ | 31.80 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
(0.14 | ) | (0.18 | ) | (0.19 | ) | (0.10 | ) | (0.20 | ) | ||||||||||
|
Net realized and unrealized gain (loss) on investment |
12.41 | (3.55 | ) | 8.78 | 3.96 | 0.45 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
12.27 | (3.73 | ) | 8.59 | 3.86 | 0.25 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c) | — | — | 0.01 | (d) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 53.05 | $ | 40.78 | $ | 44.51 | $ | 35.92 | $ | 32.05 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(e) |
30.12 | %(f) | (8.38 | )% | 23.91 | % | 12.07 | %(g) | 0.79 | % | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 863 | $ | 680 | $ | 884 | $ | 756 | $ | 737 | ||||||||||
|
Average net assets (in millions) |
$ | 836 | $ | 904 | $ | 805 | $ | 697 | $ | 807 | ||||||||||
|
Ratios to average net assets(h): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
0.99 | % | 0.99 | % | 0.99 | % | 1.00 | % | 1.00 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
0.99 | % | 0.99 | % | 0.99 | % | 1.01 | % | 1.00 | % | ||||||||||
|
Net investment income (loss) |
(0.28 | )% | (0.38 | )% | (0.49 | )% | (0.31 | )% | (0.59 | )% | ||||||||||
|
Portfolio turnover rate(i) |
50 | % | 56 | % | 60 | % | 91 | % | 46 | % | ||||||||||
| AST Small-Cap Growth Opportunities Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 17.68 | $ | 19.82 | $ | 15.53 | $ | 14.41 | $ | 14.23 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
(0.11 | ) | (0.09 | ) | (0.08 | ) | (0.04 | ) | (0.04 | ) | ||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
6.56 | (2.05 | ) | 4.37 | 1.15 | 0.22 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
6.45 | (2.14 | ) | 4.29 | 1.11 | 0.18 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c)(j) | — | (c)(j) | — | 0.01 | (d) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 24.13 | $ | 17.68 | $ | 19.82 | $ | 15.53 | $ | 14.41 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(e) |
36.48 | %(f) | (10.80 | )%(f) | 27.62 | % | 7.77 | %(k) | 1.26 | % | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 788 | $ | 616 | $ | 852 | $ | 722 | $ | 747 | ||||||||||
|
Average net assets (in millions) |
$ | 750 | $ | 857 | $ | 781 | $ | 690 | $ | 836 | ||||||||||
|
Ratios to average net assets(h): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
1.05 | % | 1.05 | % | 1.05 | % | 1.06 | % | 1.05 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
1.05 | % | 1.05 | % | 1.05 | % | 1.06 | % | 1.05 | % | ||||||||||
|
Net investment income (loss) |
(0.51 | )% | (0.43 | )% | (0.47 | )% | (0.27 | )% | (0.24 | )% | ||||||||||
|
Portfolio turnover rate(i) |
72 | % | 65 | % | 57 | % | 71 | % | 69 | % | ||||||||||
| (a) |
Calculated based on average shares outstanding during the year. |
| (b) |
Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
| (c) |
Less than $0.005 per share. |
| (d) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
| (e) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (f) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
| (g) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 12.04%. |
| (h) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (i) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| (j) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (k) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 7.70%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C9
Financial Highlights
| AST Small-Cap Value Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 23.75 | $ | 28.64 | $ | 26.68 | $ | 20.65 | $ | 21.58 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.24 | 0.18 | 0.14 | 0.11 | 0.15 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
4.98 | (5.07 | ) | 1.82 | 5.88 | (1.08 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
5.22 | (4.89 | ) | 1.96 | 5.99 | (0.93 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c) | — | (c)(d) | — | 0.04 | (e) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 28.97 | $ | 23.75 | $ | 28.64 | $ | 26.68 | $ | 20.65 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
21.98 | %(g) | (17.07 | )%(g) | 7.35 | % | 29.20 | %(h) | (4.31 | )% | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 725 | $ | 589 | $ | 979 | $ | 1,066 | $ | 941 | ||||||||||
|
Average net assets (in millions) |
$ | 703 | $ | 884 | $ | 1,035 | $ | 930 | $ | 1,042 | ||||||||||
|
Ratios to average net assets(i): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
1.01 | % | 1.00 | % | 0.99 | % | 1.00 | % | 1.00 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
1.01 | % | 1.00 | % | 0.99 | % | 1.00 | % | 1.00 | % | ||||||||||
|
Net investment income (loss) |
0.90 | % | 0.65 | % | 0.53 | % | 0.49 | % | 0.72 | % | ||||||||||
|
Portfolio turnover rate(j) |
67 | % | 51 | % | 50 | % | 52 | % | 63 | % | ||||||||||
| AST T. Rowe Price Large-Cap Growth Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 35.99 | $ | 34.65 | $ | 25.13 | $ | 24.47 | $ | 22.33 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
(0.04 | ) | 0.04 | (0.02 | ) | (0.01 | ) | (0.07 | ) | |||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
10.20 | 1.30 | 9.54 | 0.65 | 2.21 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
10.16 | 1.34 | 9.52 | 0.64 | 2.14 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c) | — | (c)(d) | — | 0.02 | (e) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 46.15 | $ | 35.99 | $ | 34.65 | $ | 25.13 | $ | 24.47 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
28.23 | %(g) | 3.87 | %(g) | 37.88 | % | 2.70 | %(k) | 9.58 | % | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 2,939 | $ | 2,373 | $ | 2,622 | $ | 1,664 | $ | 1,979 | ||||||||||
|
Average net assets (in millions) |
$ | 2,768 | $ | 2,763 | $ | 2,257 | $ | 1,688 | $ | 1,988 | ||||||||||
|
Ratios to average net assets(i): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
0.90 | % | 0.90 | % | 0.92 | % | 0.95 | % | 0.95 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
0.94 | % | 0.94 | % | 0.94 | % | 0.96 | % | 0.96 | % | ||||||||||
|
Net investment income (loss) |
(0.09 | )% | 0.11 | % | (0.08 | )% | (0.06 | )% | (0.31 | )% | ||||||||||
|
Portfolio turnover rate(j) |
28 | % | 33 | % | 41 | % | 42 | % | 47 | % | ||||||||||
| (a) |
Calculated based on average shares outstanding during the year. |
| (b) |
Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
| (c) |
Less than $0.005 per share. |
| (d) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (e) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
| (f) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (g) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
| (h) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 29.01%. |
| (i) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (j) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| (k) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 2.62%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C10
Financial Highlights
| AST T. Rowe Price Large-Cap Value Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 13.68 | $ | 15.14 | $ | 12.99 | $ | 12.24 | $ | 13.03 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.33 | 0.26 | 0.23 | 0.20 | 0.16 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
3.22 | (1.72 | ) | 1.92 | 0.54 | (0.95 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
3.55 | (1.46 | ) | 2.15 | 0.74 | (0.79 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c)(d) | — | (c)(d) | — | 0.01 | (e) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 17.23 | $ | 13.68 | $ | 15.14 | $ | 12.99 | $ | 12.24 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
25.97 | %(g) | (9.64 | )%(g) | 16.55 | % | 6.13 | %(h) | (6.06 | )% | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 3,090 | $ | 1,302 | $ | 1,272 | $ | 861 | $ | 709 | ||||||||||
|
Average net assets (in millions) |
$ | 2,451 | $ | 1,282 | $ | 1,098 | $ | 535 | $ | 794 | ||||||||||
|
Ratios to average net assets(i): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
0.79 | % | 0.88 | % | 0.83 | % | 0.81 | % | 0.80 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
0.84 | % | 0.93 | % | 0.94 | % | 0.96 | % | 0.95 | % | ||||||||||
|
Net investment income (loss) |
2.08 | % | 1.71 | % | 1.65 | % | 1.63 | % | 1.27 | % | ||||||||||
|
Portfolio turnover rate(j) |
73 | % | 44 | % | 41 | % | 167 | % | 63 | % | ||||||||||
| AST T. Rowe Price Natural Resources Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 19.27 | $ | 23.12 | $ | 20.96 | $ | 16.82 | $ | 20.83 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.39 | 0.33 | 0.41 | 0.21 | 0.17 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
2.86 | (4.19 | ) | 1.75 | 3.90 | (4.18 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
3.25 | (3.86 | ) | 2.16 | 4.11 | (4.01 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c)(d) | 0.01 | (c) | — | 0.03 | (e) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 22.52 | $ | 19.27 | $ | 23.12 | $ | 20.96 | $ | 16.82 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
16.87 | %(g) | (16.65 | )%(k) | 10.31 | % | 24.61 | %(l) | (19.25 | )% | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 417 | $ | 325 | $ | 543 | $ | 529 | $ | 417 | ||||||||||
|
Average net assets (in millions) |
$ | 394 | $ | 481 | $ | 551 | $ | 465 | $ | 538 | ||||||||||
|
Ratios to average net assets(i): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
1.03 | % | 1.02 | % | 1.02 | % | 1.03 | % | 1.04 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
1.04 | % | 1.03 | % | 1.02 | % | 1.03 | % | 1.04 | % | ||||||||||
|
Net investment income (loss) |
1.84 | % | 1.43 | % | 1.94 | % | 1.09 | % | 0.85 | % | ||||||||||
|
Portfolio turnover rate(j) |
50 | % | 49 | % | 84 | % | 93 | % | 87 | % | ||||||||||
| (a) |
Calculated based on average shares outstanding during the year. |
| (b) |
Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
| (c) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (d) |
Less than $0.005 per share. |
| (e) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
| (f) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (g) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
| (h) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 6.05%. |
| (i) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (j) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| (k) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (16.69)%. |
| (l) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 24.43%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C11
Financial Highlights
| AST Templeton Global Bond Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 11.22 | $ | 11.00 | $ | 10.78 | $ | 10.33 | $ | 10.83 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.56 | 0.46 | 0.42 | 0.28 | 0.21 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(0.37 | ) | (0.29 | ) | (0.20 | ) | 0.17 | (0.71 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total from investment operations |
0.19 | 0.17 | 0.22 | 0.45 | (0.50 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Capital Contributions |
— | (b)(c)(d) | 0.05 | (c) | — | — | (d)(e) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 11.41 | $ | 11.22 | $ | 11.00 | $ | 10.78 | $ | 10.33 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
1.60 | %(g) | 2.00 | %(h) | 2.04 | % | 4.36 | %(g) | (4.62 | )% | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 331 | $ | 311 | $ | 361 | $ | 341 | $ | 353 | ||||||||||
|
Average net assets (in millions) |
$ | 328 | $ | 348 | $ | 353 | $ | 338 | $ | 591 | ||||||||||
|
Ratios to average net assets(i): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
0.94 | % | 0.93 | % | 0.95 | % | 0.98 | % | 0.97 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
0.94 | % | 0.93 | % | 0.95 | % | 0.98 | % | 0.97 | % | ||||||||||
|
Net investment income (loss) |
4.91 | % | 4.16 | % | 3.80 | % | 2.69 | % | 1.98 | % | ||||||||||
|
Portfolio turnover rate(j) |
47 | % | 19 | % | 36 | % | 68 | % | 60 | % | ||||||||||
| AST WEDGE Capital Mid-Cap Value Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 21.52 | $ | 25.78 | $ | 21.75 | $ | 19.08 | $ | 20.43 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.41 | 0.20 | 0.17 | 0.25 | 0.20 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
3.71 | (4.46 | ) | 3.86 | 2.39 | (1.55 | ) | |||||||||||||
|
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|
|
|
|
|
|
|
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|
|||||||||||
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Total from investment operations |
4.12 | (4.26 | ) | 4.03 | 2.64 | (1.35 | ) | |||||||||||||
|
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|
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|
|
|||||||||||
|
Capital Contributions |
— | (b)(d) | — | — | 0.03 | (e) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net Asset Value, end of year |
$ | 25.64 | $ | 21.52 | $ | 25.78 | $ | 21.75 | $ | 19.08 | ||||||||||
|
|
|
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|
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|
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|
|||||||||||
|
Total Return(f) |
19.14 | %(g) | (16.52 | )% | 18.53 | % | 13.99 | %(k) | (6.61 | )% | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 338 | $ | 298 | $ | 426 | $ | 373 | $ | 360 | ||||||||||
|
Average net assets (in millions) |
$ | 331 | $ | 382 | $ | 402 | $ | 351 | $ | 430 | ||||||||||
|
Ratios to average net assets(i): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
1.06 | % | 1.06 | % | 1.06 | % | 1.06 | % | 1.07 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
1.07 | % | 1.07 | % | 1.07 | % | 1.07 | % | 1.07 | % | ||||||||||
|
Net investment income (loss) |
1.69 | % | 0.78 | % | 0.74 | % | 1.29 | % | 0.96 | % | ||||||||||
|
Portfolio turnover rate(j) |
25 | % | 33 | % | 27 | % | 35 | % | 58 | % | ||||||||||
| (a) |
Calculated based on average shares outstanding during the year. |
| (b) |
Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
| (c) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (d) |
Less than $0.005 per share. |
| (e) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
| (f) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (g) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
| (h) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 1.55%. |
| (i) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (j) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| (k) |
Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 13.83%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C12
Financial Highlights
| AST Wellington Management Hedged Equity Portfolio | ||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
|
Per Share Operating Performance(a): |
||||||||||||||||||||
|
Net Asset Value, beginning of year |
$ | 14.45 | $ | 15.21 | $ | 13.39 | $ | 12.57 | $ | 12.65 | ||||||||||
|
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|
|||||||||||
|
Income (Loss) From Investment Operations: |
||||||||||||||||||||
|
Net investment income (loss) |
0.16 | 0.14 | 0.11 | 0.09 | 0.08 | |||||||||||||||
|
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
2.81 | (0.90 | ) | 1.71 | 0.73 | (0.16 | ) | |||||||||||||
|
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|
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|
Total from investment operations |
2.97 | (0.76 | ) | 1.82 | 0.82 | (0.08 | ) | |||||||||||||
|
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|
|
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|
|||||||||||
|
Capital Contributions |
— | (b)(c)(d) | — | (c)(d) | — | — | (d)(e) | — | ||||||||||||
|
|
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|
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|
|||||||||||
|
Net Asset Value, end of year |
$ | 17.42 | $ | 14.45 | $ | 15.21 | $ | 13.39 | $ | 12.57 | ||||||||||
|
|
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|
|
|
|
|
|
|
|||||||||||
|
Total Return(f) |
20.55 | %(g) | (5.00 | )%(g) | 13.59 | % | 6.52 | %(g) | (0.63 | )% | ||||||||||
|
Ratios/Supplemental Data: |
||||||||||||||||||||
|
Net assets, end of year (in millions) |
$ | 2,127 | $ | 1,779 | $ | 2,231 | $ | 2,091 | $ | 2,122 | ||||||||||
|
Average net assets (in millions) |
$ | 2,031 | $ | 2,101 | $ | 2,169 | $ | 2,042 | $ | 2,200 | ||||||||||
|
Ratios to average net assets(h): |
||||||||||||||||||||
|
Expenses after waivers and/or expense reimbursement |
1.03 | % | 1.03 | % | 1.08 | % | 1.09 | % | 1.09 | % | ||||||||||
|
Expenses before waivers and/or expense reimbursement |
1.09 | % | 1.08 | % | 1.09 | % | 1.09 | % | 1.09 | % | ||||||||||
|
Net investment income (loss) |
0.98 | % | 0.92 | % | 0.80 | % | 0.71 | % | 0.62 | % | ||||||||||
|
Portfolio turnover rate(i) |
58 | % | 48 | % | 59 | % | 65 | % | 55 | % | ||||||||||
| (a) |
Calculated based on average shares outstanding during the year. |
| (b) |
Represents payment received by the Portfolio, from the Investment Manager, in connection for costs incurred due to a portfolio allocation error. |
| (c) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. |
| (d) |
Less than $0.005 per share. |
| (e) |
Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
| (f) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (g) |
Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
| (h) |
Does not include expenses of the underlying funds in which the Portfolio invests. |
| (i) |
The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
SEE NOTES TO FINANCIAL STATEMENTS.
C13
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE PORTFOLIOS AND BOARD OF TRUSTEES
ADVANCED SERIES TRUST:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of each of the portfolios listed in Appendix A, each a portfolio of Advanced Series Trust, (the Portfolios), including the schedule of investments, as of December 31, 2019, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years indicated therein. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Portfolios as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years indicated therein, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian, transfer agents, or brokers, or by other appropriate auditing procedures when replies were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more PGIM and/or Prudential Insurance investment companies since 2003.
New York, New York
February 12, 2020
D1
Appendix A
| AST AQR Emerging Markets Equity Portfolio |
| AST Cohen & Steers Realty Portfolio |
| AST Goldman Sachs Small-Cap Value Portfolio |
| AST Hotchkis & Wiley Large-Cap Value Portfolio |
| AST International Growth Portfolio |
| AST International Value Portfolio |
| AST J.P. Morgan International Equity Portfolio |
| AST Jennison Large-Cap Growth Portfolio |
| AST Loomis Sayles Large-Cap Growth Portfolio |
| AST MFS Global Equity Portfolio |
| AST MFS Growth Portfolio |
|
AST MFS Large Cap Value Portfolio AST Mid-Cap Growth Portfolio (formerly AST Goldman Sachs Mid-Cap Growth Portfolio) |
| AST Neuberger Berman/LSV Mid-Cap Value Portfolio |
| AST Parametric Emerging Markets Equity Portfolio |
| AST QMA Large-Cap Portfolio |
| AST Small-Cap Growth Portfolio |
| AST Small-Cap Growth Opportunities Portfolio |
| AST Small-Cap Value Portfolio |
| AST T. Rowe Price Large-Cap Growth Portfolio |
| AST T. Rowe Price Large-Cap Value Portfolio |
| AST T. Rowe Price Natural Resources Portfolio |
| AST Templeton Global Bond Portfolio |
| AST WEDGE Capital Mid-Cap Value Portfolio |
| AST Wellington Management Hedged Equity Portfolio |
D2
INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)
Information about the Trustees and the officers of the Trust is set forth below. Trustees who are not deemed to be “interested persons” of the Trust, as defined in the Investment Company Act of 1940 (1940 Act), are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Trust are referred to as “Interested Trustees.” The Trustees oversee the operations of the Trust and appoint officers who are responsible for day-to-day business decisions based on policies set by the Board.
| Independent Trustees | ||||||
|
Name Date of Birth No. of Portfolios Overseen |
Principal Occupation(s) During Past Five Years | Other Directorships Held | Length of Board Service | |||
|
Susan Davenport Austin 10/19/1967 No. of Portfolios Overseen: 109 |
Chief Financial Officer of Grace Church School (Since September 2019); formerly Senior Managing Director of Brock Capital (2014-2019); formerly Vice Chairman (2013-2017), Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; formerly President of Sheridan Gospel Network (2004-2014); formerly Vice President, Goldman, Sachs & Co. (2000-2001); formerly Associate Director, Bear, Stearns & Co. Inc. (1997-2000); formerly Vice President, Salomon Brothers Inc. (1993-1997); Member of the Board of Directors, The MacDowell Colony (Since 2010); formerly Chairman (2011-2014), formerly Presiding Director (2014-2017) and currently a Member (2007-present) of the Board of Directors, Broadcast Music, Inc.; Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | Director of NextEra Energy Partners, LP (NYSE: NEP) (Since February 2015); Director of Broadcast Music, Inc. (Since 2007). | Since February 2011 | |||
|
Sherry S. Barrat 11/13/1949 No. of Portfolios Overseen: 109 |
Formerly Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly President & CEO, Palm Beach/Martin County Region, Northern Trust. | Director of NextEra Energy, Inc. (NYSE: NEE) (1998-Present); Director of Arthur J. Gallagher & Company (Since July 2013). | Since January 2013 | |||
|
Jessica M. Bibliowicz 11/28/1959 No. of Portfolios Overseen: 109 |
Formerly Senior Adviser (2013-2019) of Bridge Growth Partners (private equity firm); formerly Director (2013-2016) of Realogy Holdings Corp. (residential real estate services); formerly Chief Executive Officer (1999-2013) of National Financial Partners (independent distributor of financial services products). | Formerly Director (2006-2019) of The Asia Pacific Fund, Inc.; Sotheby’s (Since 2014) (auction house and art-related finance). | Since September 2014 | |||
|
Kay Ryan Booth 11/1/1950 No. of Portfolios Overseen: 109 |
Partner, Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-2014); formerly Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995). | None. | Since January 2013 | |||
|
Stephen M. Chipman 10/26/1961 No. of Portfolios Overseen: 109 |
Formerly Group Managing Director, International Expansion and Regional Managing Director, Americas of Vistra (June 2018-June 2019); formerly Chief Executive Officer and Director of Radius (2016-2018); formerly Senior Vice Chairman (January 2015-October 2015) and Chief Executive Officer (January 2010-December 2014) of Grant Thornton LLP. | Non-Executive Chairman (Since September 2019) of Litera Microsystems. | Since January 2018 | |||
|
Robert F. Gunia 12/15/1946 No. of Portfolios Overseen: 109 |
Formerly Director of ICI Mutual Insurance Company (June 2016-June 2019; June 2012-June 2015); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of PGIM Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc. | Formerly Director (1989-2019) of The Asia Pacific Fund, Inc. | Since July 2003 | |||
|
Thomas T. Mooney 11/11/1941 No. of Portfolios Overseen: 109 |
Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004); formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976). | None. | Since July 2003 | |||
E1
| Independent Trustees | ||||||
|
Name Date of Birth No. of Portfolios Overseen |
Principal Occupation(s) During Past Five Years | Other Directorships Held | Length of Board Service | |||
|
Thomas M. O’Brien 12/5/1950 No. of Portfolios Overseen: 109 |
Vice Chairman of Emigrant Bank and President of its Naples Commercial Finance Division (Since October 2018); formerly Director, President and CEO Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (July 2014-February 2018); formerly Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); formerly President and COO (November 2006-April 2017) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York. | Formerly Director, Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (July 2014-February 2018); formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island. | Since July 2003 | |||
| Interested Trustee | ||||||
|
Timothy S. Cronin 12/21/1965 No. of Portfolios Overseen: 109 |
Vice President of Prudential Annuities (Since June 2015); Senior Vice President of PGIM Investments LLC (Since May 2009); Chief Investment Officer and Strategist of Prudential Annuities (Since January 2004); Director of Investment & Research Strategy (Since February 1998); President of AST Investment Services, Inc. (Since June 2005). | None. | Since October 2009 | |||
| Trust Officers(a) | ||||
|
Name Date of Birth Position with the Trust |
Principal Occupation(s) During the Past Five Years | Length of Service as Trust Officer | ||
|
Ken Allen 1/24/1969 Vice President |
Vice President of Investment Management (since December 2009) | Since June 2019 | ||
|
Raymond A. O’Hara 9/19/1955 Chief Legal Officer |
Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of PGIM Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.). | Since June 2012 | ||
|
Andrew R. French 12/22/1962 Secretary |
Vice President within PGIM Investments LLC (December 2018-Present); formerly Vice President and Corporate Counsel (February 2010-December 2018) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of PGIM Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC. | Since October 2006 | ||
|
Jonathan D. Shain 8/9/1958 Assistant Secretary |
Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PGIM Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | Since May 2005 | ||
|
Claudia DiGiacomo 10/14/1974 Assistant Secretary |
Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PGIM Investments LLC (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004). | Since December 2005 | ||
|
Melissa Gonzalez 2/10/1980 Assistant Secretary |
Vice President and Corporate Counsel (since September 2018) of Prudential; formerly Director and Corporate Counsel (March 2014-September 2018) of Prudential. | Since March 2019 | ||
|
Dino Capasso 8/19/1974 Chief Compliance Officer |
Chief Compliance Officer (July 2019-Present) of PGIM Investments LLC; Chief Compliance Officer (July 2019-Present) of the PGIM Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., PGIM Global High Yield Fund, Inc., and PGIM High Yield Bond Fund, Inc.; Vice President and Deputy Chief Compliance Officer (June 2017-July 2019) of PGIM Investments LLC; formerly, Senior Vice President and Senior Counsel (January 2016-June 2017), and Vice President and Counsel (February 2012-December 2015) of Pacific Investment Management Company LLC. | Since March 2018 | ||
E2
| Trust Officers(a) | ||||
|
Name Date of Birth Position with the Trust |
Principal Occupation(s) During the Past Five Years | Length of Service as Trust Officer | ||
|
Charles H. Smith 1/11/1973 Anti-Money Laundering Compliance Officer |
Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2015) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2016); formerly Global Head of Economic Sanctions Compliance at AIG Property Casualty (February 2007-December 2014); Assistant Attorney General at the New York State Attorney General’s Office, Division of Public Advocacy (August 1998-January 2007). | Since January 2017 | ||
|
Christian J. Kelly 5/5/1975 Treasurer and Principal Financial and Accounting Officer |
Vice President, Head of Fund Administration of PGIM Investments LLC (since November 2018); formerly, Director of Fund Administration of Lord Abbett & Co. LLC (2009-2018), Treasurer and Principal Accounting Officer of the Lord Abbett Family of Funds (2017-2018); Director of Accounting, Avenue Capital Group (2008-2009); Senior Manager, Investment Management Practice of Deloitte & Touche LLP (1998-2007). | Since January 2019 | ||
|
Lana Lomuti 6/7/1967 Assistant Treasurer |
Vice President (since 2007) and Director (2005-2007), within PGIM Investments Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc. | Since April 2014 | ||
|
Russ Shupak 10/08/73 Assistant Treasurer |
Vice President (since 2017) and Director (2013-2017), within PGIM Investments Fund Administration. | Since October 2019 | ||
|
Deborah Conway 3/26/69 Assistant Treasurer |
Vice President (since 2017) and Director (2007-2017), within PGIM Investments Fund Administration. | Since October 2019 | ||
|
Elyse M. McLaughlin 1/20/74 Assistant Treasurer |
Vice President (since 2017) and Director (2011-2017), within PGIM Investments Fund Administration. | Since October 2019 | ||
|
Alina Srodecka, CPA 8/19/1966 Assistant Treasurer |
Vice President of Tax at Prudential Financial, Inc. (Since August 2007); formerly Director of Tax at MetLife (January 2003-May 2006); formerly Tax Manager at Deloitte & Touché (October 1997-January 2003); formerly Staff Accountant at Marsh & McLennan (May 1994-May 1997). | Since June 2017 | ||
(a) Excludes Mr. Cronin, an Interested Trustee who also serves as President.
Explanatory Notes to Tables:
Trustees are deemed to be “Interested,” as defined in the 1940 Act, by reason of their affiliation with PGIM Investments and/or an affiliate of PGIM Investments. Timothy S. Cronin is an Interested Trustee because he is employed by an affiliate of the Manager.
Unless otherwise noted, the address of all Trustees and Officers is c/o PGIM Investments LLC, 655 Broad Street, Newark, New Jersey 07102.
There is no set term of office for Trustees or Officers. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 78, provided that the Board may extend the retirement age on a year-by-year basis for a Trustee.
“Other Directorships Held” includes only directorships of companies required to register or file reports with the SEC under the 1934 Act (that is, “public companies”) or other investment companies registered under the 1940 Act.
“No. of Portfolios Overseen” includes all investment companies managed by PGIM Investments and/or ASTIS that are overseen by the Trustee. The investment companies for which PGIM Investments and/or ASTIS serves as Manager include The Prudential Variable Contract Accounts, The Prudential Series Fund, Advanced Series Trust, Prudential’s Gibraltar Fund, Inc., the PGIM Funds, the PGIM High Yield Bond Fund, Inc. and PGIM Global High Yield Fund, Inc.
E3
The prospectuses for the Advanced Series Trust portfolios and the applicable variable annuity or variable life prospectuses contain information on the investment objectives, risks, charges and expenses of the portfolios and on the contracts and should be read carefully.
Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Trust’s website at www.prudential.com/variableinsuranceportfolios.
The Trust files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-PORT. Form N-PORT is available on the Commission’s website at www.sec.gov or call (800) SEC-0330.
The Trust’s Statement of Additional Information contains additional information about the Trust’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888. Owners of Individual Life Insurance contracts should call (800) 778-2255.
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AST-AR-A
Advanced Series Trust
| ANNUAL REPORT | December 31, 2019 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports for other portfolios. Please refer to your variable annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about each portfolio’s holdings are for the period covered by this report and are subject to change thereafter.
Please note that this report may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
AST Bond Portfolio 2020
AST Bond Portfolio 2021
AST Bond Portfolio 2022
AST Bond Portfolio 2023
AST Bond Portfolio 2024
AST Bond Portfolio 2025
AST Bond Portfolio 2026
AST Bond Portfolio 2027
AST Bond Portfolio 2028
AST Bond Portfolio 2029
AST Bond Portfolio 2030
AST Cohen & Steers Global Realty Portfolio
AST High Yield Portfolio
AST Investment Grade Bond Portfolio
AST Prudential Core Bond Portfolio
AST QMA US Equity Alpha Portfolio
AST Quantitative Modeling Portfolio
AST Western Asset Core Plus Bond Portfolio
AST Western Asset Emerging Markets Debt Portfolio
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Advanced Series Trust
Table of Contents |
Annual Report | December 31, 2019 |
| ∎ |
LETTER TO CONTRACT OWNERS |
| ∎ |
MARKET OVERVIEW |
| ∎ |
REPORT OF THE INVESTMENT MANAGERS AND PRESENTATION OF PORTFOLIO HOLDINGS |
| ∎ |
BENCHMARK GLOSSARY |
| ∎ |
FEES AND EXPENSES |
| ∎ |
FINANCIAL REPORTS |
| Section A | Schedule of Investments and Financial Statements | |||
| Glossary | A1 | |||
| AST Bond Portfolio 2020 | A2 | |||
| AST Bond Portfolio 2021 | A11 | |||
| AST Bond Portfolio 2022 | A20 | |||
| AST Bond Portfolio 2023 | A30 | |||
| AST Bond Portfolio 2024 | A40 | |||
| AST Bond Portfolio 2025 | A50 | |||
| AST Bond Portfolio 2026 | A60 | |||
| AST Bond Portfolio 2027 | A71 | |||
| AST Bond Portfolio 2028 | A81 | |||
| AST Bond Portfolio 2029 | A91 | |||
| AST Bond Portfolio 2030 | A101 | |||
| AST Cohen & Steers Global Realty Portfolio | A110 | |||
| AST High Yield Portfolio | A114 | |||
| AST Investment Grade Bond Portfolio | A141 | |||
| AST Prudential Core Bond Portfolio | A161 | |||
| AST QMA US Equity Alpha Portfolio | A194 | |||
| AST Quantitative Modeling Portfolio | A208 | |||
| AST Western Asset Core Plus Bond Portfolio | A211 | |||
| AST Western Asset Emerging Markets Debt Portfolio | A249 | |||
| Section B | Notes to Financial Statements | |||
| Section C | Financial Highlights | |||
| Section D | Report of Independent Registered Public Accounting Firm | |||
| Section E | Information about Trustees and Officers | |||
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
|
Advanced Series Trust Letter to Contract Owners |
Annual Report | December 31, 2019 |
| ∎ |
DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Advanced Series Trust annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 135 years. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
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Timothy S. Cronin President, Advanced Series Trust |
January 31, 2020 |
|
Market Overview — unaudited |
Annual Report | December 31, 2019 |
Equity Market Overview
US and international stock markets posted stellar returns in 2019 as many central banks, including the Federal Reserve (the Fed), cut interest rates or used other stimuli to spur growth. Although the markets fluctuated sharply at times in reaction to on-again-off-again trade tensions between the US and China, concerns about tariffs subsided later in the year.
In the US, the broad-based S&P 500® Index and Russell 3000® Index returned 31.46% and 31.02%, respectively, for the year. Internationally, the MSCI ACWI Ex-US Index, a broad measure of stock performance in developed and emerging markets outside the US, returned 21.51%. (All returns cited are in US dollars and include dividends.)
Global economic growth slowed, central banks cut rates
During 2019, the pace of global growth slowed and concerns about the economic outlook rose due in part to uncertainties regarding US-China tariffs and other geopolitical factors, which created a drag on manufacturing and export activity. Many central banks responded by loosening monetary policy — in some cases reversing their positions. For example, the Fed, which hiked rates four times in 2018, cut its federal funds rate target three times in 2019 and moved from tapering its balance sheet to expanding it through asset purchases. The European Central Bank, which had been rolling back its bond-buying program in 2018, restarted it to stimulate the eurozone economy.
Although US real gross domestic product (GDP) growth rose 2.1% (annualized) in the third quarter, down from 3.1% in the first quarter, the US economy expanded at a moderate pace. (Fourth-quarter GDP data had not been released when this overview was published.) Corporate earnings, consumer spending, and the labor market were strong, while inflation remained low.
Stock markets rallied, retreated, and rebounded to record highs
Early in the first quarter, stocks rallied as US-China trade negotiations appeared to be progressing, the Fed signaled that it planned to pause from hiking rates unless warranted, the US government’s partial shutdown ended, and corporate earnings rose sharply despite slower growth. The S&P 500 jumped nearly 8.0% in January alone.
Stocks sold off in May as trade-war worries resurfaced. However, equity markets rallied in June in anticipation of possible rate cuts and on hopes for a trade deal. During the first half of 2019, the Fed maintained its interest rate target.
Trade concerns re-emerged in the third quarter amid signs of slowing growth and renewed trade frictions. With inflation below its target, the Fed cut rates in July for the first time since the financial crisis in 2008 as a pre-emptive measure to help sustain the US economy’s expansion and withstand the risk of a global economic slowdown and further drop in business investment.
In August, concerns about tariffs, the growth of China’s industrial output, and the global economy intensified, driving investors toward less-risky investments like US Treasuries. The yield on the 10-year US Treasury note, which moves opposite to its price, briefly dropped below the rate on two-year Treasuries. Although many analysts didn’t interpret this particular “yield curve inversion” as indicative of a looming recession, as they often have in the past, stock prices — particularly in emerging markets — dropped sharply.
Although the Fed cut rates again in September and October to a range of 1.50%-1.75%, Chairman Jerome Powell conveyed that the central bank did not plan to cut rates further unless incoming information required its members to materially reassess their outlook for the economy. As expected, the Fed did not adjust rates through the remainder of the year.
During the fourth quarter, US stock indexes surged to new highs and emerging market stocks rallied amid reports the US and China were moving toward a “phase one” partial trade deal. (The agreement was signed in January 2020 after the reporting period ended.) Eurozone stock markets rose in reaction to improved economic results from Germany. United Kingdom investors were encouraged by the outcome of December elections that many hope will lead to a smoother potential exit of the UK from the European Union.
All S&P 500 sectors rose
The best-performing sectors in the S&P 500 were information technology (+50.3%), communication services (+32.7%), and financials (+32.1%). Next in line were industrials (+29.4%), real estate (+29.0%), consumer discretionary (+27.9%), consumer staples (+27.6%), utilities (+26.4%), materials (+24.6%), health care (+20.8%), and energy (+11.8%).
|
Market Overview — unaudited (continued) |
Annual Report | December 31, 2019 |
Growth outperformed value, large-cap stocks topped small caps
For the year, the Russell 3000® Growth Index returned 35.85%, outperforming the Russell 3000® Value Index, which rose 26.26%. Large-cap stocks, as measured by the Russell 1000® Index, rose 31.43%. The Russell Midcap® Index returned 30.54%, and the small-cap Russell 2000® Index lagged yet still returned 25.52%.
International stocks collectively rose but underperformed US equities
Stocks trading in emerging markets, as measured by the MSCI Emerging Markets Index, returned 18.4% for the year. Notable top-performing country components in the index included Russia (+50.9%), supported by a jump in oil prices, Taiwan (+36.4%), Brazil (+26.3%), and China (23.5%). Taiwan’s and China’s markets advanced in the fourth quarter as trade frictions diminished, although weak economic data from China dampened investor sentiment during the year. Notable countries that underperformed the index but still contributed positively to performance included South Korea (+12.5%), Mexico (+11.4%), and India (+7.6%). Malaysia (-2.0%) detracted from the index’s performance.
Equities in developed markets outside the US and Canada, as measured by the MSCI EAFE Index, rose 22.01%. For the year, the MSCI Europe Index rose 23.77%, the MSCI UK Index returned 21.05%, and the MSCI Japan Index rose 19.61%.
Fixed Income Market Overview
In 2019, for the first time in more than a decade, the Federal Reserve (the Fed) cut interest rates to help sustain the US economy’s expansion in the face of slowing global economic growth and US-China trade-war risks. The central bank was merely one of dozens that reduced rates throughout the year, igniting rallies in numerous global bond markets. During 2019, emerging markets debt, US high yield bonds, and corporate investment-grade bonds delivered robust returns, yet US government bonds and many other fixed income categories also posted solid results.
In the US, the economy grew at a healthy but slow pace. Although real gross domestic product (GDP) growth dropped from 3.1% (annualized) in the first quarter to 2.1% in the third, the economy continued to expand. (Fourth-quarter GDP data had not been released when this overview was published.) The national unemployment rate dropped to a 50-year low of 3.5% in September, corporate earnings were generally strong, and inflation remained low. Elsewhere, the European economy grew weakly. Notably, China’s growth rate dropped significantly from 6.6% in 2018 to 6.1% in 2019.
Bond markets fluctuated but closed higher
During the first quarter of 2019, global growth expectations softened. The Fed, which increased rates four times in 2018, signaled it would pause from hiking rates further based on its outlook at the time, sending bond markets higher. US high yield and emerging market bond prices rose sharply, supported by a tailwind of receding tariff worries and favorable corporate earnings.
In May, worries about the US-China trade war surfaced again. US Treasuries rallied while riskier assets such as high yield bonds dropped in price. The following month, however, the Fed hinted at the possibility of interest rate cuts ahead, trade fears cooled, and the high yield bond market rebounded. The Fed did not adjust rates during the first half of the year.
In July, the global economy showed signs of a slowdown and tariff fears returned. Later that month, for the first time since the financial crisis in 2008, the Fed cut rates as a pre-emptive measure to help sustain the expansion of the US economy and provide a cushion against the risk of a global economic slowdown. During August, the yield on 10-year US Treasuries dropped below yields on two-year Treasuries. Historically, when yields on longer-term Treasuries fall below yields on shorter-term issues, recessions have often followed. While many analysts questioned the “yield curve inversion” as a recessionary indicator in this instance, investors concerned about the economy gravitated to “safe-haven” securities like longer-term US Treasuries and other high-quality credits.
The investment-grade Bloomberg Barclays US Aggregate Bond Index returned 2.59% in August. US high yield bonds finished virtually flat, whereas emerging market sovereign debt markets dropped sharply due in part to a stronger US dollar versus most currencies.
In September, the Fed cut rates again and the European Central Bank restarted its bond-buying program to help stimulate the eurozone economy after rolling it back the previous year. After the Fed dropped its rate target to a range of 1.50% to 1.75% in October, Chairman Jerome Powell conveyed that the central bank had no plans for further cuts unless incoming data compelled its members to materially reassess their outlook for the economy. As expected, the Fed maintained its rate target through the remainder of the year.
During the fourth quarter, stronger-than-expected economic data and reports that the US and China were moving toward a “phase one” partial trade deal led to a “risk-on” rally. (The agreement was signed in January 2020 after the reporting period ended.) Over the final month of the year, high yield bonds and emerging markets bonds posted solid gains, while investment-grade US bonds dropped slightly.
|
Market Overview — unaudited (continued) |
Annual Report | December 31, 2019 |
Emerging market debt and high yield bonds surged by double digits
For the year, the Bloomberg Barclays Global Aggregate Bond Index (unhedged), which measures global investment-grade debt performance, returned 6.84%. (All returns cited are in US dollars.) Bonds trading in the US, based on the Bloomberg Barclays US Aggregate Bond Index, rose 8.72%. The US index’s leading component sectors included investment-grade corporate bonds (+14.5%), which benefited from the interest rate cuts and solid fundamentals, along with Treasury inflation-protected securities (+8.4%), commercial mortgage-backed securities (+8.3%), and US Treasury securities (+6.9%). Treasuries with longer maturities rallied in the second and third quarters when trade tensions escalated, which triggered a “flight to quality.” The 10-year US Treasury note’s yield, which moves opposite to its price, opened 2019 at approximately 2.65% and closed the year at 1.92% as trade tensions eased.
The Bloomberg Barclays Municipal Bond Index returned 7.54% for the year. US high yield bonds (debt rated below investment grade), as measured by the ICE BofAML US Cash High Yield Index, returned 14.40%. Accommodative monetary policies, strong corporate earnings, and investors’ quest for enhanced yield supported demand for high yield opportunities. Emerging market debt, based on the J.P. Morgan EMBI Global Diversified Index surged 15.04%. Despite a strong US dollar (relative to most currencies), sovereign debt yields in general drifted lower as inflation was contained in many countries, providing their central banks with latitude to reduce interest rates, which bolstered bond prices.
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AST Bond Portfolio 2020
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
3.50 | % | 1.63 | % | 4.26 | % | ||||||
|
Bloomberg Barclays Fixed Maturity (2020) Zero Coupon Swaps Index |
3.60 | 2.00 | 4.56 | |||||||||
|
Bloomberg Barclays US Government/Credit Index |
9.71 | 3.23 | 3.96 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST Bond Portfolio 2020 returned 3.50%. The Portfolio underperformed both the Bloomberg Barclays Fixed Maturity (2020) Zero Coupon Swaps Index and the Bloomberg Barclays US Government/Credit Index.
The investment objective of the Portfolio is to seek the highest total return for a specified period of time, consistent with the preservation of capital and liquidity needs. Total return is comprised of current income and capital appreciation.
What were the market conditions during the reporting period?
As 2019 concluded, we reached a juncture of several milestones: the end of a decade, two decades into the 21st century, and 40 years into what has undoubtedly been one of the best bond bull markets in history. It’s a logical point to reflect on where we are, where we may be headed, and what might be the most appropriate fixed income investment approach going forward.
In 2019, the 40-year bull market proved that it could still put up some big numbers, with all fixed income sectors posting positive total returns for the year, as the Federal Reserve cut interest rates three times, spreads tightened, and Treasury yields declined. (Spreads are yield differentials between securities of comparable maturity.) Some of the top-performing sectors included US long investment-grade corporates (23.9%), emerging markets hard currency debt (15.0%), US investment-grade corporates (14.5%), and US high yield bonds (14.4%). PGIM Fixed Income does not think 2019 was the fixed income market’s grand finale. For some time, long-term developed market interest rates have been low and range-bound, while credit spreads (yield differentials between corporate bonds and US Treasuries) have been tighter than average. And yet, the effect of rolling down spread and yield curves, combined with some spread compression and a slight decline in yields, has resulted in sizable returns in three out of the last four years. (Rolling down is a strategy of investing where spreads and yields can change most over a period of time.) Granted, based on current yield and spread levels, the market may be out of room for similar returns — at least for now.
PGIM Fixed Income’s conclusion is straightforward: Stay invested in the markets. While this conclusion may sound quaint — or even maniacal, considering the level of yields and spreads — it also has held true over the past several years. The bond market has put up respectable returns despite fears that interest rates have already approached rock-bottom levels and that the business cycle has surely neared its end. The culmination of these factors has proven, in PGIM Fixed Income’s view, that the resulting novel investment environment can provide fertile ground to add value through active management.
What strategies or holdings affected the Portfolio’s performance?
During the reporting period, sector allocation added to performance as the Portfolio’s exposure to non-Treasury sectors — including investment-grade corporate bonds, commercial mortgage-backed securities (CMBS), emerging markets, and collateralized loan obligations (CLOs) — all added value. Individual issue selection was strong, with security selection in Treasuries, CMBS, investment-grade corporates, and CLOs all adding value. Positioning in interest rate swaps was negative. Within its holdings of corporate bonds, the Portfolio benefited from positions in the banking sector, while positions in the technology sector weighed on performance. The combined impact of the Portfolio’s duration and yield curve strategies added to performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a negative impact on performance during the period. In addition, the Portfolio used futures and options to manage interest rate risk, a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. Overall versus the Index, the use of futures and options collectively added to the Portfolio’s performance during the period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
1
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AST Bond Portfolio 2020
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST Bond Portfolio 2020 (As of 12/31/2019) | ||
| Credit Quality | (% of Net Assets) | |
| AAA | 59.4% | |
| AA | 4.7% | |
| A | 8.8% | |
| BBB | 5.1% | |
| NR | -0.7% | |
| Cash & Equivalents | 22.7% | |
| Total | 100.0% | |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
2
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AST Bond Portfolio 2021
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | Since Inception | |||||||||
|
Portfolio |
5.07 | % | 2.09 | % | 4.81 | % | ||||||
|
Bloomberg Barclays Fixed Maturity (2021) Zero Coupon Swaps Index |
4.51 | 2.25 | 4.97 | |||||||||
|
Bloomberg Barclays US Government/Credit Index |
9.71 | 3.23 | 3.96 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio inception: 1/4/2010. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Index returns reflect performance beginning with the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST Bond Portfolio 2021 returned 5.07%. The Portfolio outperformed the Bloomberg Barclays Fixed Maturity (2021) Zero Coupon Swaps Index and underperformed the Bloomberg Barclays US Government/Credit Index.
The investment objective of the Portfolio is to seek the highest total return for a specified period of time, consistent with the preservation of capital and liquidity needs. Total return is comprised of current income and capital appreciation.
What were the market conditions during the reporting period?
As 2019 concluded, we reached a juncture of several milestones: the end of a decade, two decades into the 21st century, and 40 years into what has undoubtedly been one of the best bond bull markets in history. It’s a logical point to reflect on where we are, where we may be headed, and what might be the most appropriate fixed income investment approach going forward.
In 2019, the 40-year bull market proved that it could still put up some big numbers, with all fixed income sectors posting positive total returns for the year, as the Federal Reserve cut interest rates three times, spreads tightened, and Treasury yields declined. (Spreads are yield differentials between securities of comparable maturity.) Some of the top-performing sectors included US long investment-grade corporates (23.9%), emerging markets hard currency debt (15.0%), US investment-grade corporates (14.5%), and US high yield bonds (14.4%). PGIM Fixed Income does not think 2019 was the fixed income market’s grand finale. For some time, long-term developed market interest rates have been low and range-bound, while credit spreads (yield differentials between corporate bonds and US Treasuries) have been tighter than average. And yet, the effect of rolling down spread and yield curves, combined with some spread compression and a slight decline in yields, has resulted in sizable returns in three out of the last four years. (Rolling down is a strategy of investing where spreads and yields can change most over a period of time.) Granted, based on current yield and spread levels, the market may be out of room for similar returns — at least for now.
PGIM Fixed Income’s conclusion is straightforward: Stay invested in the markets. While this conclusion may sound quaint — or even maniacal, considering the level of yields and spreads — it also has held true over the past several years. The bond market has put up respectable returns despite fears that interest rates have already approached rock-bottom levels and that the business cycle has surely neared its end. The culmination of these factors has proven, in PGIM Fixed Income’s view, that the resulting novel investment environment can provide fertile ground to add value through active management.
What strategies or holdings affected the Portfolio’s performance?
During the reporting period, sector allocation added to performance as the Portfolio’s exposure to non-Treasury sectors — including investment-grade corporate bonds, commercial mortgage-backed securities (CMBS), emerging markets, and collateralized loan obligations (CLOs) — all added value. Individual issue selection was strong, with security selection in Treasuries, investment-grade corporates, CMBS, and CLOs all adding value. Positioning in interest rate swaps was negative. Within its holdings of corporate bonds, the Portfolio benefited from positions in the banking sector, while positions in the technology sector weighed on performance. The combined impact of the Portfolio’s duration and yield curve strategies added to performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a negative impact on performance during the period. In addition, the Portfolio used futures and options to manage interest rate risk, a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. Overall versus the Index, the use of futures and options collectively added to the Portfolio’s performance during the period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
3
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AST Bond Portfolio 2021
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST Bond Portfolio 2021 (As of 12/31/2019) | ||
| Credit Quality | (% of Net Assets) | |
| AAA | 49.9% | |
| AA | 4.5% | |
| A | 14.4% | |
| BBB | 13.8% | |
| BB | 0.1% | |
| NR | -2.6% | |
| Cash & Equivalents | 19.9% | |
| Total | 100.0% | |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
4
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AST Bond Portfolio 2022
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | Since Inception | |||||||||
|
Portfolio |
5.89 | % | 2.23 | % | 4.14 | % | ||||||
|
Bloomberg Barclays Fixed Maturity (2022) Zero Coupon Swaps Index |
5.37 | 2.50 | 4.58 | |||||||||
|
Bloomberg Barclays US Government/Credit Index |
9.71 | 3.23 | 3.67 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio inception: 1/3/2011. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Index returns reflect performance beginning with the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST Bond Portfolio 2022 returned 5.89%. The Portfolio outperformed the Bloomberg Barclays Fixed Maturity (2022) Zero Coupon Swaps Index and underperformed the Bloomberg Barclays US Government/Credit Index.
The investment objective of the Portfolio is to seek the highest total return for a specified period of time, consistent with the preservation of capital and liquidity needs. Total return is comprised of current income and capital appreciation.
What were the market conditions during the reporting period?
As 2019 concluded, we reached a juncture of several milestones: the end of a decade, two decades into the 21st century, and 40 years into what has undoubtedly been one of the best bond bull markets in history. It’s a logical point to reflect on where we are, where we may be headed, and what might be the most appropriate fixed income investment approach going forward.
In 2019, the 40-year bull market proved that it could still put up some big numbers, with all fixed income sectors posting positive total returns for the year, as the Federal Reserve cut interest rates three times, spreads tightened, and Treasury yields declined. (Spreads are yield differentials between securities of comparable maturity.) Some of the top-performing sectors included US long investment-grade corporates (23.9%), emerging markets hard currency debt (15.0%), US investment-grade corporates (14.5%), and US high yield bonds (14.4%). PGIM Fixed Income does not think 2019 was the fixed income market’s grand finale. For some time, long-term developed market interest rates have been low and range-bound, while credit spreads (yield differentials between corporate bonds and US Treasuries) have been tighter than average. And yet, the effect of rolling down spread and yield curves, combined with some spread compression and a slight decline in yields, has resulted in sizable returns in three out of the last four years. (Rolling down is a strategy of investing where spreads and yields can change most over a period of time.) Granted, based on current yield and spread levels, the market may be out of room for similar returns — at least for now.
PGIM Fixed Income’s conclusion is straightforward: Stay invested in the markets. While this conclusion may sound quaint — or even maniacal, considering the level of yields and spreads — it also has held true over the past several years. The bond market has put up respectable returns despite fears that interest rates have already approached rock-bottom levels and that the business cycle has surely neared its end. The culmination of these factors has proven, in PGIM Fixed Income’s view, that the resulting novel investment environment can provide fertile ground to add value through active management.
What strategies or holdings affected the Portfolio’s performance?
During the reporting period, sector allocation added to performance as the Portfolio’s exposure to non-Treasury sectors — including investment-grade corporate bonds, commercial mortgage-backed securities (CMBS), collateralized loan obligations (CLOs), and emerging markets — all added value. Individual issue selection was strong, with security selection in Treasuries, investment-grade corporates, CLOs, and asset-backed securities all adding value. Positioning in interest rate swaps was negative. Within its holdings of corporate bonds, the Portfolio benefited from positions in the upstream energy sector, while positions in the technology sector weighed on performance. The combined impact of the Portfolio’s duration and yield curve strategies added to performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. Overal versus the index, positioning in interest rate swaps detracted from performance for the reporting period. In addition, the Portfolio used futures and options to manage interest rate risk, a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. Overall versus the Index, the use of futures and options collectively added to the Portfolio’s performance during the period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
5
|
AST Bond Portfolio 2022
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST Bond Portfolio 2022 (As of 12/31/2019) | ||
| Credit Quality | (% of Net Assets) | |
| AAA | 63.4% | |
| AA | 6.3% | |
| A | 14.0% | |
| BBB | 14.2% | |
| BB | 0.2% | |
| NR | -1.6% | |
| Cash & Equivalents | 3.5% | |
| Total | 100.0% | |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
6
|
AST Bond Portfolio 2023
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | Since Inception | |||||||||
|
Portfolio |
6.51 | % | 2.49 | % | 2.42 | % | ||||||
|
Bloomberg Barclays Fixed Maturity (2023) Zero Coupon Swaps Index |
6.25 | 2.74 | 2.62 | |||||||||
|
Bloomberg Barclays US Government/Credit Index |
9.71 | 3.23 | 3.06 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio inception: 1/3/2012. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Index returns reflect performance beginning with the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST Bond Portfolio 2023 returned 6.51%. The Portfolio outperformed the Bloomberg Barclays Fixed Maturity (2023) Zero Coupon Swaps Index and underperformed the Bloomberg Barclays US Government/Credit Index.
The investment objective of the Portfolio is to seek the highest total return for a specified period of time, consistent with the preservation of capital and liquidity needs. Total return is comprised of current income and capital appreciation.
What were the market conditions during the reporting period?
As 2019 concluded, we reached a juncture of several milestones: the end of a decade, two decades into the 21st century, and 40 years into what has undoubtedly been one of the best bond bull markets in history. It’s a logical point to reflect on where we are, where we may be headed, and what might be the most appropriate fixed income investment approach going forward.
In 2019, the 40-year bull market proved that it could still put up some big numbers, with all fixed income sectors posting positive total returns for the year, as the Federal Reserve cut interest rates three times, spreads tightened, and Treasury yields declined. (Spreads are yield differentials between securities of comparable maturity.) Some of the top-performing sectors included US long investment-grade corporates (23.9%), emerging markets hard currency debt (15.0%), US investment-grade corporates (14.5%), and US high yield bonds (14.4%). PGIM Fixed Income does not think 2019 was the fixed income market’s grand finale. For some time, long-term developed market interest rates have been low and range-bound, while credit spreads (yield differentials between corporate bonds and US Treasuries) have been tighter than average. And yet, the effect of rolling down spread and yield curves, combined with some spread compression and a slight decline in yields, has resulted in sizable returns in three out of the last four years. (Rolling down is a strategy of investing where spreads and yields can change most over a period of time.) Granted, based on current yield and spread levels, the market may be out of room for similar returns — at least for now.
PGIM Fixed Income’s conclusion is straightforward: Stay invested in the markets. While this conclusion may sound quaint — or even maniacal, considering the level of yields and spreads — it also has held true over the past several years. The bond market has put up respectable returns despite fears that interest rates have already approached rock-bottom levels and that the business cycle has surely neared its end. The culmination of these factors has proven, in PGIM Fixed Income’s view, that the resulting novel investment environment can provide fertile ground to add value through active management.
What strategies or holdings affected the Portfolio’s performance?
During the reporting period, sector allocation added to performance as the Portfolio’s exposure to non-Treasury sectors — including investment-grade corporate bonds, commercial mortgage-backed securities, collateralized loan obligations (CLOs), asset-backed securities (ABS), and emerging markets — all added value. Individual issue selection was strong, with security selection in Treasuries, investment-grade corporates, CLOs, and ABS all adding value. Positioning in interest rate swaps was negative. Within its holdings of corporate bonds, the Portfolio benefited from positions in the banking sector, while positions in the foreign non-corporate sector weighed on performance. The combined impact of the Portfolio’s duration and yield curve strategies added to performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. Overall versus the index, positioning in interest rate swaps detracted from performance for the reporting period. In addition, the Portfolio used futures and options to manage interest rate risk, a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. Overall versus the Index, the use of futures and options collectively added to the Portfolio’s performance during the reporting period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
7
|
AST Bond Portfolio 2023
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST Bond Portfolio 2023 (As of 12/31/2019) | ||
| Credit Quality | (% of Net Assets) | |
| AAA | 72.5% | |
| AA | 2.8% | |
| A | 9.8% | |
| BBB | 11.1% | |
| BB | 0.2% | |
| NR | 0.6% | |
| Cash & Equivalents | 3.0% | |
| Total | 100.0% | |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
8
|
AST Bond Portfolio 2024
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | Since Inception | |||||||||
|
Portfolio |
7.96 | % | 2.71 | % | 2.23 | % | ||||||
|
Bloomberg Barclays Fixed Maturity (2024) Zero Coupon Swaps Index |
7.16 | 2.97 | 2.49 | |||||||||
|
Bloomberg Barclays US Government/Credit Index |
9.71 | 3.23 | 2.81 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio inception: 1/2/2013. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Index returns reflect performance beginning with the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST Bond Portfolio 2024 returned 7.96%. The Portfolio outperformed the Bloomberg Barclays Fixed Maturity (2024) Zero Coupon Swaps Index and underperformed the Bloomberg Barclays US Government/Credit Index.
The investment objective of the Portfolio is to seek the highest total return for a specified period of time, consistent with the preservation of capital and liquidity needs. Total return is comprised of current income and capital appreciation.
What were the market conditions during the reporting period?
As 2019 concluded, we reached a juncture of several milestones: the end of a decade, two decades into the 21st century, and 40 years into what has undoubtedly been one of the best bond bull markets in history. It’s a logical point to reflect on where we are, where we may be headed, and what might be the most appropriate fixed income investment approach going forward.
In 2019, the 40-year bull market proved that it could still put up some big numbers, with all fixed income sectors posting positive total returns for the year, as the Federal Reserve cut interest rates three times, spreads tightened, and Treasury yields declined. (Spreads are yield differentials between securities of comparable maturity.) Some of the top-performing sectors included US long investment-grade corporates (23.9%), emerging markets hard currency debt (15.0%), US investment-grade corporates (14.5%), and US high yield bonds (14.4%). PGIM Fixed Income does not think 2019 was the fixed income market’s grand finale. For some time, long-term developed market interest rates have been low and range-bound, while credit spreads (yield differentials between corporate bonds and US Treasuries) have been tighter than average. And yet, the effect of rolling down spread and yield curves, combined with some spread compression and a slight decline in yields, has resulted in sizable returns in three out of the last four years. (Rolling down is a strategy of investing where spreads and yields can change most over a period of time.) Granted, based on current yield and spread levels, the market may be out of room for similar returns — at least for now.
PGIM Fixed Income’s conclusion is straightforward: Stay invested in the markets. While this conclusion may sound quaint — or even maniacal, considering the level of yields and spreads — it also has held true over the past several years. The bond market has put up respectable returns despite fears that interest rates have already approached rock-bottom levels and that the business cycle has surely neared its end. The culmination of these factors has proven, in PGIM Fixed Income’s view, that the resulting novel investment environment can provide fertile ground to add value through active management.
What strategies or holdings affected the Portfolio’s performance?
During the reporting period, sector allocation added to performance as the Portfolio’s exposure to non-Treasury sectors — including investment-grade corporate bonds, collateralized loan obligations (CLOs), commercial mortgage-backed securities (CMBS), and asset-backed securities — all added value. Individual issue selection was strong, with security selection in Treasuries, investment-grade corporates, CLOs, and CMBS all adding value. Positioning in interest rate swaps was negative. Within its holdings of corporate bonds, the Portfolio benefited from positions in the banking sector, while positions in the midstream energy sector weighed on performance. The combined impact of the Portfolio’s duration and yield curve strategies added to performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. Overall versus the index, positioning in interest rate swaps detracted from performance for the reporting period. In addition, the Portfolio used futures and options to manage interest rate risk, a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. Overall versus the Index, the use of futures and options collectively added to the Portfolio’s performance during the period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
9
|
AST Bond Portfolio 2024
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST Bond Portfolio 2024 (As of 12/31/2019) | ||
| Credit Quality | (% of Net Assets) | |
| AAA | 65.9% | |
| AA | 6.6% | |
| A | 7.2% | |
| BBB | 17.7% | |
| BB | 0.6% | |
| NR | 0.3% | |
| Cash & Equivalents | 1.7% | |
| Total | 100.0% | |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
10
|
AST Bond Portfolio 2025
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | Since Inception | |||||||||
|
Portfolio |
8.72 | % | 2.81 | % | 4.77 | % | ||||||
|
Bloomberg Barclays Fixed Maturity (2025) Zero Coupon Swaps Index |
8.09 | 3.19 | 5.36 | |||||||||
|
Bloomberg Barclays US Government/Credit Index |
9.71 | 3.23 | 3.69 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio inception: 1/2/2014. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Index returns reflect performance beginning with the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST Bond Portfolio 2025 returned 8.72%. The Portfolio outperformed the Bloomberg Barclays Fixed Maturity (2025) Zero Coupon Swaps Index and underperformed the Bloomberg Barclays US Government/Credit Index.
The investment objective of the Portfolio is to seek the highest total return for a specified period of time, consistent with the preservation of capital and liquidity needs. Total return is comprised of current income and capital appreciation.
What were the market conditions during the reporting period?
As 2019 concluded, we reached a juncture of several milestones: the end of a decade, two decades into the 21st century, and 40 years into what has undoubtedly been one of the best bond bull markets in history. It’s a logical point to reflect on where we are, where we may be headed, and what might be the most appropriate fixed income investment approach going forward.
In 2019, the 40-year bull market proved that it could still put up some big numbers, with all fixed income sectors posting positive total returns for the year, as the Federal Reserve cut interest rates three times, spreads tightened, and Treasury yields declined. (Spreads are yield differentials between securities of comparable maturity.) Some of the top-performing sectors included US long investment-grade corporates (23.9%), emerging markets hard currency debt (15.0%), US investment-grade corporates (14.5%), and US high yield bonds (14.4%). PGIM Fixed Income does not think 2019 was the fixed income market’s grand finale. For some time, long-term developed market interest rates have been low and range-bound, while credit spreads (yield differentials between corporate bonds and US Treasuries) have been tighter than average. And yet, the effect of rolling down spread and yield curves, combined with some spread compression and a slight decline in yields, has resulted in sizable returns in three out of the last four years. (Rolling down is a strategy of investing where spreads and yields can change most over a period of time.) Granted, based on current yield and spread levels, the market may be out of room for similar returns — at least for now.
PGIM Fixed Income’s conclusion is straightforward: Stay invested in the markets. While this conclusion may sound quaint — or even maniacal, considering the level of yields and spreads — it also has held true over the past several years. The bond market has put up respectable returns despite fears that interest rates have already approached rock-bottom levels and that the business cycle has surely neared its end. The culmination of these factors has proven, in PGIM Fixed Income’s view, that the resulting novel investment environment can provide fertile ground to add value through active management.
What strategies or holdings affected the Portfolio’s performance?
During the reporting period, sector allocation added to performance as the Portfolio’s exposure to non-Treasury sectors — including investment-grade corporate bonds, collateralized loan obligations (CLOs), commercial mortgage-backed securities (CMBS), and asset-backed securities — all added value. Individual issue selection was strong, with security selection in Treasuries, investment-grade corporates, CMBS, and CLOs all adding value. Positioning in interest rate swaps was negative. Within its holdings of corporate bonds, the Portfolio benefited from positions in the banking sector, while positions in the midstream energy sector weighed on performance. The combined impact of the Portfolio’s duration and yield curve strategies added to performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
11
|
AST Bond Portfolio 2025 |
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. Overall versus the index, positioning in interest rate swaps detracted from performance for the reporting period. In addition, the Portfolio used futures and options to manage interest rate risk, a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. Overall versus the Index, the use of futures and options collectively added to the Portfolio’s performance during the period.
Presentation of Portfolio Holdings — unaudited
| AST Bond Portfolio 2025 (As of 12/31/2019) | ||
| Credit Quality | (% of Net Assets) | |
| AAA | 76.6% | |
| AA | 6.1% | |
| A | 5.5% | |
| BBB | 10.2% | |
| BB | 0.4% | |
| NR | 3.2% | |
| Cash & Equivalents | -2.0% | |
| Total | 100.0% | |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
12
|
AST Bond Portfolio 2026 |
December 31, 2019 |
Report of the Investment Manager - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | Since Inception | ||||||
|
Portfolio |
10.03 | % | 2.87 | % | ||||
|
Bloomberg Barclays Fixed Maturity (2026) Zero Coupon Swaps Index |
9.04 | 3.41 | ||||||
|
Bloomberg Barclays US Government/Credit Index |
9.71 | 3.23 | ||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio inception: 1/2/2015. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Index returns reflect performance beginning with the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST Bond Portfolio 2026 returned 10.03%. The Portfolio outperformed both the Bloomberg Barclays Fixed Maturity (2026) Zero Coupon Swaps Index and the Bloomberg Barclays US Government/Credit Index.
The investment objective of the Portfolio is to seek the highest total return for a specific period of time, consistent with the preservation of capital and liquidity needs. Total return is comprised of current income and capital appreciation.
What were the market conditions during the reporting period?
As 2019 concluded, we reached a juncture of several milestones: the end of a decade, two decades into the 21st century, and 40 years into what has undoubtedly been one of the best bond bull markets in history. It’s a logical point to reflect on where we are, where we may be headed, and what might be the most appropriate fixed income investment approach going forward.
In 2019, the 40-year bull market proved that it could still put up some big numbers, with all fixed income sectors posting positive total returns for the year, as the Federal Reserve cut interest rates three times, spreads tightened, and Treasury yields declined. (Spreads are yield differentials between securities of comparable maturity.) Some of the top-performing sectors included US long investment-grade corporates (23.9%), emerging markets hard currency debt (15.0%), US investment-grade corporates (14.5%), and US high yield bonds (14.4%). PGIM Fixed Income does not think 2019 was the fixed income market’s grand finale. For some time, long-term developed market interest rates have been low and range-bound, while credit spreads (yield differentials between corporate bonds and US Treasuries) have been tighter than average. And yet, the effect of rolling down spread and yield curves, combined with some spread compression and a slight decline in yields, has resulted in sizable returns in three out of the last four years. (Rolling down is a strategy of investing where spreads and yields can change most over a period of time.) Granted, based on current yield and spread levels, the market may be out of room for similar returns — at least for now.
PGIM Fixed Income’s conclusion is straightforward: Stay invested in the markets. While this conclusion may sound quaint — or even maniacal, considering the level of yields and spreads — it also has held true over the past several years. The bond market has put up respectable returns despite fears that interest rates have already approached rock-bottom levels and that the business cycle has surely neared its end. The culmination of these factors has proven, in PGIM Fixed Income’s view, that the resulting novel investment environment can provide fertile ground to add value through active management.
What strategies or holdings affected the Portfolio’s performance?
During the reporting period, sector allocation added to performance as the Portfolio’s exposure to non-Treasury sectors — including investment-grade corporate bonds, commercial mortgage-backed securities, collateralized loan obligations (CLOs), and asset-backed securities (ABS) — all added value. Individual issue selection was strong, with security selection in Treasuries, investment-grade corporates, CLOs, and ABS all adding value. Positioning in interest rate swaps was negative. Within its holdings of corporate bonds, the Portfolio benefited from positions in the banking sector, while positions in the electric utilities sector weighed on performance. The combined impact of the Portfolio’s duration and yield curve strategies added to performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. Overall versus the index, positioning in interest rate swaps detracted from performance for the reporting period. In addition, the Portfolio used futures and options to manage interest rate risk, a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. Overall versus the Index, the use of futures and options collectively added to the Portfolio’s performance during the period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
13
|
AST Bond Portfolio 2026 |
December 31, 2019 |
Report of the Investment Manager - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST Bond Portfolio 2026 (As of 12/31/2019) | ||
| Credit Quality | (% of Net Assets) | |
| AAA | 76.8% | |
| AA | 5.1% | |
| A | 7.1% | |
| BBB | 5.5% | |
| BB | 0.1% | |
| NR | -3.0% | |
| Cash & Equivalents | 8.4% | |
| Total | 100.0% |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
14
|
AST Bond Portfolio 2027 |
December 31, 2019 |
Report of the Investment Manager - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | Since Inception | ||||||
|
Portfolio |
10.69 | % | 3.09 | % | ||||
|
Bloomberg Barclays Fixed Maturity (2027) Zero Coupon Swaps Index |
10.00 | 3.43 | ||||||
|
Bloomberg Barclays US Government/Credit Index |
9.71 | 4.02 | ||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio inception: 1/4/2016. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Index returns reflect performance beginning with the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST Bond Portfolio 2027 returned 10.69%. The Portfolio outperformed both the Bloomberg Barclays Fixed Maturity (2027) Zero Coupon Swaps Index and the Bloomberg Barclays US Government/Credit Index.
The investment objective of the Portfolio is to seek the highest total return for a specific period of time, consistent with the preservation of capital and liquidity needs. Total return is comprised of current income and capital appreciation.
What were the market conditions during the reporting period?
As 2019 concluded, we reached a juncture of several milestones: the end of a decade, two decades into the 21st century, and 40 years into what has undoubtedly been one of the best bond bull markets in history. It’s a logical point to reflect on where we are, where we may be headed, and what might be the most appropriate fixed income investment approach going forward.
In 2019, the 40-year bull market proved that it could still put up some big numbers, with all fixed income sectors posting positive total returns for the year, as the Federal Reserve cut interest rates three times, spreads tightened, and Treasury yields declined. (Spreads are yield differentials between securities of comparable maturity.) Some of the top-performing sectors included US long investment-grade corporates (23.9%), emerging markets hard currency debt (15.0%), US investment-grade corporates (14.5%), and US high yield bonds (14.4%). PGIM Fixed Income does not think 2019 was the fixed income market’s grand finale. For some time, long-term developed market interest rates have been low and range-bound, while credit spreads (yield differentials between corporate bonds and US Treasuries) have been tighter than average. And yet, the effect of rolling down spread and yield curves, combined with some spread compression and a slight decline in yields, has resulted in sizable returns in three out of the last four years. (Rolling down is a strategy of investing where spreads and yields can change most over a period of time.) Granted, based on current yield and spread levels, the market may be out of room for similar returns — at least for now.
PGIM Fixed Income’s conclusion is straightforward: Stay invested in the markets. While this conclusion may sound quaint — or even maniacal, considering the level of yields and spreads — it also has held true over the past several years. The bond market has put up respectable returns despite fears that interest rates have already approached rock-bottom levels and that the business cycle has surely neared its end. The culmination of these factors has proven, in PGIM Fixed Income’s view, that the resulting novel investment environment can provide fertile ground to add value through active management.
What strategies or holdings affected the Portfolio’s performance?
During the reporting period, sector allocation added to performance as the Portfolio’s exposure to non-Treasury sectors — including investment-grade corporate bonds, commercial mortgage-backed securities (CMBS), collateralized loan obligations (CLOs), interest rate swaps, asset-backed securities, and agencies — all added value. Individual issue selection was strong, with security selection in investment-grade corporates, CLOs, CMBS, and interest rate swaps all adding value. Positioning in Treasuries was negative. Within its holdings of corporate bonds, the Portfolio benefited from positions in the banking sector, while positions in the electric utilities sector weighed on performance. The combined impact of the Portfolio’s duration and yield curve strategies added to performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the period. In addition, the Portfolio used futures and options to manage interest rate risk, a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. Overall versus the Index, the use of futures and options collectively detracted from the Portfolio’s performance during the period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
15
|
AST Bond Portfolio 2027 |
December 31, 2019 |
Report of the Investment Manager - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST Bond Portfolio 2027 (As of 12/31/2019) | ||
| Credit Quality | (% of Net Assets) | |
| AAA | 72.0% | |
| AA | 6.6% | |
| A | 7.1% | |
| BBB | 8.0% | |
| BB | 0.2% | |
| B | 0.2% | |
| NR | 1.4% | |
| Cash & Equivalents | 4.5% | |
| Total | 100.0% |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
16
|
AST Bond Portfolio 2028 |
December 31, 2019 |
Report of the Investment Manager - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | Since Inception | ||||||
|
Portfolio |
11.59 | % | 3.77 | % | ||||
|
Bloomberg Barclays Fixed Maturity (2028) Zero Coupon Swaps Index |
10.97 | 4.23 | ||||||
|
Bloomberg Barclays US Government/Credit Index |
9.71 | 4.35 | ||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio inception: 1/3/2017. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Index returns reflect performance beginning with the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST Bond Portfolio 2028 returned 11.59%. The Portfolio outperformed both the Bloomberg Barclays Fixed Maturity (2028) Zero Coupon Swaps Index and the Bloomberg Barclays US Government/Credit Index.
The investment objective of the Portfolio is to seek the highest total return for a specific period of time, consistent with the preservation of capital and liquidity needs. Total return is comprised of current income and capital appreciation.
What were the market conditions during the reporting period?
As 2019 concluded, we reached a juncture of several milestones: the end of a decade, two decades into the 21st century, and 40 years into what has undoubtedly been one of the best bond bull markets in history. It’s a logical point to reflect on where we are, where we may be headed, and what might be the most appropriate fixed income investment approach going forward.
In 2019, the 40-year bull market proved that it could still put up some big numbers, with all fixed income sectors posting positive total returns for the year, as the Federal Reserve cut interest rates three times, spreads tightened, and Treasury yields declined. (Spreads are yield differentials between securities of comparable maturity.) Some of the top-performing sectors included US long investment-grade corporates (23.9%), emerging markets hard currency debt (15.0%), US investment-grade corporates (14.5%), and US high yield bonds (14.4%). PGIM Fixed Income does not think 2019 was the fixed income market’s grand finale. For some time, long-term developed market interest rates have been low and range-bound, while credit spreads (yield differentials between corporate bonds and US Treasuries) have been tighter than average. And yet, the effect of rolling down spread and yield curves, combined with some spread compression and a slight decline in yields, has resulted in sizable returns in three out of the last four years. (Rolling down is a strategy of investing where spreads and yields can change most over a period of time.) Granted, based on current yield and spread levels, the market may be out of room for similar returns — at least for now.
PGIM Fixed Income’s conclusion is straightforward: Stay invested in the markets. While this conclusion may sound quaint — or even maniacal, considering the level of yields and spreads — it also has held true over the past several years. The bond market has put up respectable returns despite fears that interest rates have already approached rock-bottom levels and that the business cycle has surely neared its end. The culmination of these factors has proven, in PGIM Fixed Income’s view, that the resulting novel investment environment can provide fertile ground to add value through active management.
What strategies or holdings affected the Portfolio’s performance?
During the reporting period, sector allocation added to performance as the Portfolio’s exposure to non-Treasury sectors — including investment-grade corporate bonds, commercial mortgage-backed securities (CMBS), collateralized loan obligations, asset-backed securities (ABS), and emerging markets — all added value. Individual issue selection was strong, with security selection in interest rate swaps, investment-grade corporates, CMBS, agencies, and ABS all adding value. Positioning in Treasuries was negative. Within its holdings of corporate bonds, the Portfolio benefited from positions in the health care & pharmaceutical sector, while positions in the midstream energy sector weighed on performance. The combined impact of the Portfolio’s duration and yield curve strategies detracted from performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
17
|
AST Bond Portfolio 2028 |
December 31, 2019 |
Report of the Investment Manager - As of December 31, 2019 (Unaudited) (Continued)
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the period. In addition, the Portfolio used futures and options to manage interest rate risk, a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. The use of futures and options collectively detracted from the Portfolio’s performance during the period. The Portfolio also used credit derivatives in the form of CDX (an index of credit default swaps) to hedge credit risk or to increase or decrease credit risk. The use of CDX contributed to the performance for the period.
Presentation of Portfolio Holdings — unaudited
| AST Bond Portfolio 2028 (As of 12/31/2019) | ||
| Credit Quality | (% of Net Assets) | |
| AAA | 69.6% | |
| AA | 4.7% | |
| A | 8.4% | |
| BBB | 12.2% | |
| BB | 0.8% | |
| NR | 8.2% | |
| Cash & Equivalents | -3.9% | |
| Total | 100.0% |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
18
|
AST Bond Portfolio 2029 |
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | Since Inception | ||||||
|
Portfolio |
12.30 | % | 5.13 | % | ||||
|
Bloomberg Barclays Fixed Maturity (2029) Zero Coupon Swaps Index |
11.89 | 5.37 | ||||||
|
Bloomberg Barclays US Government/Credit Index |
9.71 | 4.52 | ||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio inception: 1/2/2018. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Index returns reflect performance beginning with the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST Bond Portfolio 2029 returned 12.30%. The Portfolio outperformed both the Bloomberg Barclays Fixed Maturity (2029) Zero Coupon Swaps Index and the Bloomberg Barclays US Government/Credit Index.
The investment objective of the Portfolio is to seek the highest total return for a specified period of time, consistent with the preservation of capital and liquidity needs. Total return is comprised of current income and capital appreciation.
What were the market conditions during the reporting period?
As 2019 concluded, we reached a juncture of several milestones: the end of a decade, two decades into the 21st century, and 40 years into what has undoubtedly been one of the best bond bull markets in history. It’s a logical point to reflect on where we are, where we may be headed, and what might be the most appropriate fixed income investment approach going forward.
In 2019, the 40-year bull market proved that it could still put up some big numbers, with all fixed income sectors posting positive total returns for the year, as the Federal Reserve cut interest rates three times, spreads tightened, and Treasury yields declined. (Spreads are yield differentials between securities of comparable maturity.) Some of the top-performing sectors included US long investment-grade corporates (23.9%), emerging markets hard currency debt (15.0%), US investment-grade corporates (14.5%), and US high yield bonds (14.4%). PGIM Fixed Income does not think 2019 was the fixed income market’s grand finale. For some time, long-term developed market interest rates have been low and range-bound, while credit spreads (yield differentials between corporate bonds and US Treasuries) have been tighter than average. And yet, the effect of rolling down spread and yield curves, combined with some spread compression and a slight decline in yields, has resulted in sizable returns in three out of the last four years. (Rolling down is a strategy of investing where spreads and yields can change most over a period of time.) Granted, based on current yield and spread levels, the market may be out of room for similar returns — at least for now.
PGIM Fixed Income’s conclusion is straightforward: Stay invested in the markets. While this conclusion may sound quaint — or even maniacal, considering the level of yields and spreads — it also has held true over the past several years. The bond market has put up respectable returns despite fears that interest rates have already approached rock-bottom levels and that the business cycle has surely neared its end. The culmination of these factors has proven, in PGIM Fixed Income’s view, that the resulting novel investment environment can provide fertile ground to add value through active management.
What strategies or holdings affected the Portfolio’s performance?
During the reporting period, sector allocation added to performance as the Portfolio’s exposure to non-Treasury sectors — including investment-grade corporate bonds, commercial mortgage-backed securities (CMBS), agencies, and asset-backed securities — all added value. Positioning in swaps hurt performance. Individual issue selection was strong, with security selection in Treasuries, investment-grade corporates, and CMBS, all adding value. Positioning in interest rate swaps was negative. Within its holdings of corporate bonds, the Portfolio benefited from positions in the banking sector, while positions in the capital goods sector modestly detracted from performance. The combined impact of the Portfolio’s duration and yield curve strategies added to performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. Overall versus the index, positioning in interest rate swaps detracted from performance for the reporting period. In addition, the Portfolio used futures and options to manage interest rate risk, a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. Overall versus the Index, the use of futures and options collectively added to the Portfolio’s performance during the period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
19
|
AST Bond Portfolio 2029 |
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST Bond Portfolio 2029 (As of 12/31/2019) | ||
| Credit Quality | (% of Net Assets) | |
| AAA | 81.5% | |
| AA | 6.1% | |
| A | 8.9% | |
| BBB | 4.6% | |
| BB | 0.1% | |
| NR | 4.5% | |
| Cash & Equivalents | -5.7% | |
| Total | 100.0% |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
20
|
AST Bond Portfolio 2030
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Cumulative Total Returns | Since Inception | |||
|
Portfolio |
14.40 | % | ||
|
Bloomberg Barclays Fixed Maturity (2030) Zero Coupon Swaps Index |
12.84 | |||
|
Bloomberg Barclays US Government/Credit Index |
9.71 | |||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio inception: 1/2/2019. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Index returns reflect performance beginning with the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST Bond Portfolio 2030 returned 14.40%. The Portfolio outperformed both the Bloomberg Barclays Fixed Maturity (2030) Zero Coupon Swaps Index and the Bloomberg Barclays US Government/Credit Index.
The investment objective of the Portfolio is to seek the highest total return for a specified period of time, consistent with the preservation of capital and liquidity needs. Total return is comprised of current income and capital appreciation.
What were the market conditions during the reporting period?
As 2019 concluded, we reached a juncture of several milestones: the end of a decade, two decades into the 21st century, and 40 years into what has undoubtedly been one of the best bond bull markets in history. It’s a logical point to reflect on where we are, where we may be headed, and what might be the most appropriate fixed income investment approach going forward.
In 2019, the 40-year bull market proved that it could still put up some big numbers, with all fixed income sectors posting positive total returns for the year, as the Federal Reserve cut interest rates three times, spreads tightened, and Treasury yields declined. (Spreads are yield differentials between securities of comparable maturity.) Some of the top-performing sectors included US long investment-grade corporates (23.9%), emerging markets hard currency debt (15.0%), US investment-grade corporates (14.5%), and US high yield bonds (14.4%). PGIM Fixed Income does not think 2019 was the fixed income market’s grand finale. For some time, long-term developed market interest rates have been low and range-bound, while credit spreads (yield differentials between corporate bonds and US Treasuries) have been tighter than average. And yet, the effect of rolling down spread and yield curves, combined with some spread compression and a slight decline in yields, has resulted in sizable returns in three out of the last four years. (Rolling down is a strategy of investing where spreads and yields can change most over a period of time.) Granted, based on current yield and spread levels, the market may be out of room for similar returns — at least for now.
PGIM Fixed Income’s conclusion is straightforward: Stay invested in the markets. While this conclusion may sound quaint — or even maniacal, considering the level of yields and spreads — it also has held true over the past several years. The bond market has put up respectable returns despite fears that interest rates have already approached rock-bottom levels and that the business cycle has surely neared its end. The culmination of these factors has proven, in PGIM Fixed Income’s view, that the resulting novel investment environment can provide fertile ground to add value through active management.
What strategies or holdings affected the Portfolio’s performance?
During the reporting period, sector allocation added to performance as the Portfolio’s exposure to non-Treasury sectors — including investment-grade corporate bonds, commercial mortgage-backed securities (CMBS), municipals, and agencies — all added value. Positioning in swaps hurt performance. Individual issue selection was hurt by positioning in interest rate swaps and Treasuries. Security selection in investment-grade corporates and CMBS helped to offset some of the losses. Within its holdings of corporate bonds, the Portfolio benefited from positions in the banking sector, while positions in the foreign non-corporate sector detracted from performance. The combined impact of the Portfolio’s duration and yield curve strategies added to performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
21
|
AST Bond Portfolio 2030 |
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a negative impact on performance during the period. In addition, the Portfolio used futures to manage interest rate risk, a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. The use of futures added to the Portfolio’s performance during the period. The Portfolio also used credit derivatives in the form of CDX (an index of credit default swaps) to hedge credit risk or to increase or decrease credit risk. The use of CDX contributed to performance for the period.
Presentation of Portfolio Holdings — unaudited
| AST Bond Portfolio 2030 (As of 12/31/2019) | ||
| Credit Quality | (% of Net Assets) | |
| AAA | 81.6% | |
| AA | 5.7% | |
| A | 6.7% | |
| BBB | 3.8% | |
| NR | 6.4% | |
| Cash & Equivalents | -4.2% | |
| Total | 100.0% | |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
22
|
AST Cohen & Steers Global Realty Portfolio |
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
25.13 | % | 5.91 | % | 8.65 | % | ||||||
|
FTSE EPRA/NAREIT Developed Real Estate Net Index |
21.91 | 5.56 | 8.37 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10-YEARS
For the year ended December 31, 2019, the AST Cohen & Steers Global Realty Portfolio returned 25.13%. The Portfolio outperformed the FTSE EPRA/NAREIT Developed Real Estate Net Index.
The Portfolio’s investment objective is capital appreciation and income.
What were the market conditions during the reporting period?
Global real estate securities generated substantial returns in 2019 (the reporting period). For much of the year, real estate investment trusts (REITs) were supported by overall healthy fundamentals and declining interest rates. Real estate securities also saw strong demand from investors seeking securities with defensive characteristics and attractive yields. While the fundamental backdrop remained favorable, sovereign rates in several countries moved higher in the fourth quarter. This was driven by a stabilizing global economy and the announcement of a “Phase 1” trade accord between the US and China. This backdrop generally favored more cyclically sensitive assets, while defensive sectors such as real estate securities lagged toward the end of the year.
By region, Europe generated the best results in 2019, fueled by relatively attractive valuations and surprisingly resilient economic strength. In North America, US REITs enjoyed their best year in more than a decade. Asia Pacific was the weakest region, largely due to Hong Kong, which was hampered by slowing growth in China and ongoing social unrest.
The continued influence of technology and the growth of e-commerce were critical drivers for real estate performance globally. Industrial landlords were the top-performing sector as supply struggled to keep pace with high demand resulting from the world’s massive need for logistics capabilities. At the same time, retail property owners struggled throughout the year as more shopping was conducted online and tenants closed stores and sought rent reductions.
What strategies or holdings affected the Portfolio’s performance?
Stock selection in the US contributed to relative performance. An underweight position in Simon Property Group Inc. was beneficial, as its shares fell sharply due to secular challenges for retail landlords. Cohen & Steers held an underweight position in Public Storage; its shares underperformed due to an oversupplied market that resulted in pricing pressures. Overweight positions in rental housing company Invitation Homes Inc. and industrial REIT Prologis Inc. also added to returns.
Security selection in the United Kingdom (UK) aided relative performance, including overweights in SEGRO plc and Assura Group Ltd. SEGRO benefited from strong e-commerce trends and a lack of modern logistical facilities in the UK. Assura Group, a health care REIT, experienced increasing demand given favorable demographic trends and government spending on health care in the country.
Stock selection in Australia also contributed, including an out-of-index position in Charter Hall Group, which manages office, industrial, and retail properties. Not owning Scentre Group was beneficial, as the shares underperformed amid a continued deceleration in shopping center fundamentals.
Stock selection in Germany detracted from relative performance due largely to an overweight position in residential housing company Deutsche Wohnen SE, which fell sharply on proposed rent control legislation that negatively affected investor sentiment. An overweight allocation and stock selection in Hong Kong also hindered relative performance. Cohen & Steers held overweight positions in several developers that underperformed as the
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
23
|
AST Cohen & Steers Global Realty Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
economy weakened amid heightened social unrest. Avoiding Switzerland also detracted. Investors saw the country as a safe haven at a time of slowing growth and political uncertainty. But from Cohen & Steers’ perspective, Switzerland was not attractively valued.
Presentation of Portfolio Holdings — unaudited
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
24
|
AST High Yield Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
15.30 | % | 6.21 | % | 7.08 | % | ||||||
|
Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Index |
14.32 | 6.14 | 7.55 | |||||||||
|
ICE BoFA Merrill Lynch US High Yield Master II Index |
14.41 | 6.13 | 7.50 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST High Yield Portfolio returned 15.30%. The Portfolio outperformed both the Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Index and the ICE BoFA Merrill Lynch US High Yield Master II Index.
The Portfolio’s investment objective is to seek to maximum total return, consistent with preservation of capital and prudent investment management.
What were market conditions during the reporting period?
The high yield market came roaring out of the gates to start 2019, as dovish language from the Federal Reserve (the Fed) and optimism surrounding US-China trade discussions fueled risky assets. Throughout the second quarter, fear of a global economic slowdown worsened, inducing volatility in the market. However, dovish commentary from the Fed in early June sparked a rebound in risky assets, leaving bond prices essentially flat for the quarter. Sentiment shifted somewhat during the third quarter amid a backdrop of weakening global economic data and the aggressive central bank actions across the globe to combat it. The high yield market posted solid returns in the fourth quarter, the bulk of which came in December, as an apparent “phase one” US-China trade deal, a resounding Conservative Party election victory in the United Kingdom that put Brexit back on track, and a Federal Open Market Committee meeting that left interest rates on hold all helped to alleviate uncertainties overhanging the market.
For the year, the US Corporate High Yield 2% Issuer Capped Index returned 14.32%. By quality, BB-rated credits fared the best, posting a total return of 15.70% while B-rated bonds and CCC-rated bonds returned 14.36% and 9.11% respectively. By industry, financials, retail, and cable were the outperformers, while energy, airlines, and paper lagged the broader market. Moody’s 12-month US speculative grade default rate ended November at 3.9%, up from 2.8% at the end of 2018.
What strategies or holdings affected the Portfolio’s performance?
During the reporting period, the Portfolio’s outperformance, relative to its benchmarks, was driven largely by broad-based issue selection, principally within the electric utilities, metals & mining, and healthcare & pharmaceutical sectors. Issue selection within the homebuilders and media & entertainment sectors also boosted returns.
A few of the overall largest single-name contributors included overweights to Genon (electric utilities) and Wind Tre Spa (telecom) and underweights to EP Energy (upstream energy) and Frontier (telecom). This was partially offset by issue selection within the midstream energy and automotive sectors, which detracted from performance. Overweights to Alta Mesa (upstream energy) and Digicel (telecom) were the largest single-name detractors from performance.
Having more “risk on” in the Portfolio relative to the benchmark was also a large contributor to returns as spreads rallied during the period. Overall industry selection was mixed during the period. Overweights to home builders and electric utilities added to performance. This was mostly offset by an underweight to financials, which detracted from returns.
During the period, the Portfolio used US Treasury futures to manage the Portfolio’s interest rate risk, a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. The use of futures and foreign exchange derivatives had no material impact on the Portfolio’s performance during the period. The Portfolio used credit derivatives to manage its overall risk profile. The impact was modestly negative.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
25
|
AST High Yield Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST High Yield (As of 12/31/2019) | ||
| Credit Quality | (% of Net Assets) | |
| AAA | 7.2% | |
| BBB | 1.5% | |
| BB | 28.8% | |
| B | 40.2% | |
| CCC and Below | 14.9% | |
| NR | 1.9% | |
| Cash & Equivalents | 5.5% | |
| Total | 100.0% | |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
26
|
AST Investment Grade Bond Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
11.23 | % | 4.06 | % | 5.56 | % | ||||||
|
Bloomberg Barclays US 5-10 Year Government/Credit Bond Index |
10.38 | 3.64 | 4.85 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10-YEARS
For the year ended December 31, 2019, the AST Investment Grade Bond Portfolio returned 11.23%. The Portfolio outperformed the Bloomberg Barclays US 5-10 Year Government/Credit Bond Index.
The Portfolio’s investment objective is to maximize total return, consistent with the preservation of capital and liquidity needs. Total return is comprised of current income and capital appreciation.
What were the market conditions during the reporting period?
As 2019 concluded, we reached a juncture of several milestones: the end of a decade, two decades into the 21st century, and 40 years into what has undoubtedly been one of the best bond bull markets in history. It’s a logical point to reflect on where we are, where we may be headed, and what might be the most appropriate fixed income investment approach going forward.
In 2019, the 40-year bull market proved that it could still put up some big numbers, with all fixed income sectors posting positive total returns for the year, as the Federal Reserve cut interest rates three times, spreads tightened, and Treasury yields declined. (Spreads are yield differentials between securities of comparable maturity.) Some of the top-performing sectors included US long investment-grade corporates (23.9%), emerging markets hard currency debt (15.0%), US investment-grade corporates (14.5%), and US high yield bonds (14.4%). PGIM Fixed Income does not think 2019 was the fixed income market’s grand finale. For some time, long-term developed market interest rates have been low and range-bound, while credit spreads (yield differentials between corporate bonds and US Treasuries) have been tighter than average. And yet, the effect of rolling down spread and yield curves, combined with some spread compression and a slight decline in yields, has resulted in sizable returns in three out of the last four years. (Rolling down is a strategy of investing where spreads and yields can change most over a period of time.) Granted, based on current yield and spread levels, the market may be out of room for similar returns — at least for now.
PGIM Fixed Income’s conclusion is straightforward: Stay invested in the markets. While this conclusion may sound quaint — or even maniacal, considering the level of yields and spreads — it also has held true over the past several years. The bond market has put up respectable returns despite fears that interest rates have already approached rock-bottom levels and that the business cycle has surely neared its end. The culmination of these factors has proven, in PGIM Fixed Income’s view, that the resulting novel investment environment can provide fertile ground to add value through active management.
What strategies or holdings affected the Portfolio’s performance?
During the reporting period, sector allocation added to performance as the Portfolio’s exposure to non-Treasury sectors — including high yield, commercial mortgage-backed securities (CMBS), investment-grade corporate bonds, and collateralized loan obligations — all added value. Positioning in emerging markets hurt performance. Individual issue selection was also positive, with positioning in investment-grade corporates, non-agency mortgages, and CMBS the largest contributors. Security selection in Treasuries limited results. Within its holdings of corporate bonds, the Portfolio benefited from positions in the health care & pharmaceutical sector, while positions in the electric utilities sector detracted from performance. The combined impact of the Portfolio’s duration and yield curve strategies added to performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a negligible impact on performance during the period. In addition, the Portfolio used futures to manage interest rate risk, a more efficient way of
For a complete list of holdings, please refer to the Schedule of Investments section of this report.
27
|
AST Investment Grade Bond Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
managing interest rate risk than through the purchase and sale of cash bonds. Overall, versus the Index the use of futures detracted from the Portfolio’s performance during the period. The Portfolio also used credit derivatives in the form of CDX (an index of credit default swaps) to hedge credit risk or to increase or decrease credit risk. The use of CDX contributed to performance for the period.
Presentation of Portfolio Holdings — unaudited
| AST Investment Grade Bond (As of 12/31/2019) | ||
| Credit Quality | (% of Net Assets) | |
| AAA | 35.2% | |
| AA | 3.3% | |
| A | 12.2% | |
| BBB | 42.9% | |
| BB | 2.4% | |
| B | 0.3% | |
| CCC | 0.2% | |
| NR | 2.2% | |
| Cash & Equivalents | 1.3% | |
| Total | 100.0% | |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
28
|
AST Prudential Core Bond Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | Since Inception | |||||||||
|
Portfolio |
9.75 | % | 3.64 | % | 3.68 | % | ||||||
|
Bloomberg Barclays US Aggregate Bond Index |
8.72 | 3.05 | 2.97 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio inception: 10/17/2011. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Index returns reflect performance beginning with the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST Prudential Core Bond Portfolio returned 9.75%. The Portfolio outperformed the Bloomberg Barclays US Aggregate Bond Index.
The Portfolio’s investment objective is to seek to maximize total return, consistent with the long-term preservation of capital.
What were the market conditions during the reporting period?
As 2019 concluded, we reached a juncture of several milestones: the end of a decade, two decades into the 21st century, and 40 years into what has undoubtedly been one of the best bond bull markets in history. It’s a logical point to reflect on where we are, where we may be headed, and what might be the most appropriate fixed income investment approach going forward.
In 2019, the 40-year bull market proved that it could still put up some big numbers, with all fixed income sectors posting positive total returns for the year, as the Federal Reserve cut interest rates three times, spreads tightened, and Treasury yields declined. (Spreads are yield differentials between securities of comparable maturity.) Some of the top-performing sectors included US long investment-grade corporates (23.9%), emerging markets hard currency debt (15.0%), US investment-grade corporates (14.5%), and US high yield bonds (14.4%). PGIM Fixed Income does not think 2019 was the fixed income market’s grand finale. For some time, long-term developed market interest rates have been low and range-bound, while credit spreads (yield differentials between corporate bonds and US Treasuries) have been tighter than average. And yet, the effect of rolling down spread and yield curves, combined with some spread compression and a slight decline in yields, has resulted in sizable returns in three out of the last four years. (Rolling down is a strategy of investing where spreads and yields can change most over a period of time.) Granted, based on current yield and spread levels, the market may be out of room for similar returns — at least for now.
PGIM Fixed Income’s conclusion is straightforward: Stay invested in the markets. While this conclusion may sound quaint — or even maniacal, considering the level of yields and spreads — it also has held true over the past several years. The bond market has put up respectable returns despite fears that interest rates have already approached rock-bottom levels and that the business cycle has surely neared its end. The culmination of these factors has proven, in PGIM Fixed Income’s view, that the resulting novel investment environment can provide fertile ground to add value through active management.
What strategies or holdings affected the Portfolio’s performance?
During the reporting period, sector allocation added to performance as the Portfolio’s overweights to high yield, commercial mortgage-backed securities, collateralized loan obligations, and emerging markets all added value. Underweights to investment-grade corporates and mortgage-backed securities hurt performance. Individual issue selection was also positive, with positioning in sovereigns, investment-grade corporates, non-agency mortgages, emerging markets, and high yield the largest contributors. Security selection in Treasuries limited results. Within its holdings of corporate bonds, the Portfolio benefited from positions in the foreign non-corporate and banking sectors, while positions in the electric utilities and life insurance sectors detracted from performance. The combined impact of the Portfolio’s duration and yield curve strategies added to performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a negative impact on performance during the period. In addition, the Portfolio used futures and options to manage interest rate risk, a more efficient
For a complete list of holdings, please refer to the Schedule of Investments section of this report.
29
|
AST Prudential Core Bond Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
way of managing interest rate risk than through the purchase and sale of cash bonds. The use of futures and options detracted from the Portfolio’s performance during the period. The Portfolio also used credit derivatives in the form of CDX (an index of credit default swaps) to hedge credit risk or to increase or decrease credit risk. The use of CDX contributed to performance for the period.
Presentation of Portfolio Holdings — unaudited
| AST Prudential Core Bond (As of 12/31/2019) | ||
| Credit Quality | (% of Net Assets) | |
| AAA | 7.8% | |
| AA | 2.3% | |
| A | 23.7% | |
| BBB | 60.8% | |
| Cash & Equivalents | 5.4% | |
| Total | 100.0% | |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
30
|
AST QMA US Equity Alpha Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
24.47 | % | 10.58 | % | 13.76 | % | ||||||
|
Russell 1000® Index |
31.43 | 11.48 | 13.54 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower. The Russell 1000® Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2019, the AST QMA US Equity Alpha Portfolio returned 24.47%. The Portfolio underperformed the Russell 1000 Index.
The Portfolio’s investment objective is long-term capital appreciation.
What were the market conditions during the reporting period?
US equities performed robustly in 2019, despite headwinds from slowing global growth and trade policy conflicts, specifically between the US and China. Helping offset some of these risks was the Federal Reserve’s monetary policy, which became increasingly accommodative to growth with three interest rate cuts during the period. In December, the US and China agreed to sign “phase one” of a trade agreement, which catapulted US equity prices even higher. Investors favored growth stocks in the beginning of the period, while stocks priced more reasonably relative to their earnings trailed the market averages. Later in the period, investors’ focus shifted to stocks of profitable companies and away from speculative growth stocks of companies with little to no earnings.
What strategies or holdings affected the Portfolio’s performance?
QMA uses a proprietary stock selection model that analyzes stocks based on metrics that measure a company’s relative value, growth prospects, and quality. QMA applied these metrics when it built the Portfolio, using bottom-up (stock-by-stock) security selection and holding similar sector weights to the Russell 1000 Index. QMA aims to add value from both long and short positions in the Portfolio.
Over the period, the Portfolio struggled due to its focus on high-quality, cheaply priced stocks while the markets favored faster-growing, lower-quality stocks in which the Portfolio was either underweight or short. This effect was most prevalent in the consumer discretionary sector, where the Portfolio struggled the most.
However, the Portfolio eventually benefited from QMA’s commitment to its investment strategy. QMA maintained its focus on high-quality, reasonably priced stocks, and those companies began to outperform toward the end of the period.
The Portfolio also benefited from good risk control in 2019. In a period where stock selection strategy did not work well, diversification across sectors and stocks allowed the Portfolio to share in what was a stellar year for US equities.
Index futures were used by the Portfolio to equitize cash by linking the futures to equities and providing exposure to the Index. Index futures do not add or detract from the Portfolio’s performance relative to the benchmark and, therefore, had no impact on the Portfolio’s performance during the period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
31
|
AST QMA US Equity Alpha Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
| AST QMA US Equity Alpha (As of 12/31/2019) |
|
|||||
| Ten Largest Holdings—Long | Line of Business | (% of Net Assets | ) | |||
| Apple, Inc. | Technology Hardware, Storage & Peripherals | 5.2% | ||||
| Microsoft Corp. | Software | 4.7% | ||||
| Facebook, Inc. (Class A Stock) | Interactive Media & Services | 2.4% | ||||
| Bank of America Corp. | Banks | 1.7% | ||||
| Intel Corp. | Semiconductors & Semiconductor Equipment | 1.6% | ||||
| Amazon.com, Inc. | Internet & Direct Marketing Retail | 1.5% | ||||
| AT&T, Inc. | Diversified Telecommunication Services | 1.4% | ||||
| Alphabet, Inc. (Class A Stock) | Interactive Media & Services | 1.4% | ||||
| Citigroup, Inc. | Banks | 1.4% | ||||
| Adobe, Inc. | Software | 1.3% | ||||
| AST QMA US Equity Alpha (As of 12/31/2019) |
|
|||||
| Ten Largest Holdings—Short | Line of Business | (% of Net Assets | ) | |||
| Coupa Software, Inc. | Software | (1.4)% | ||||
| Sarepta Therapeutics, Inc. | Biotechnology | (1.1)% | ||||
| Roku, Inc. | Entertainment | (1.0)% | ||||
| International Flavors & Fragrances, Inc. | Chemicals | (1.0)% | ||||
| Guardant Health, Inc. | Health Care Providers & Services | (0.9)% | ||||
| Americold Realty Trust | Equity Real Estate Investment Trusts (REITs) | (0.8)% | ||||
| Okta, Inc. | IT Services | (0.8)% | ||||
| Square, Inc. (Class A Stock) | IT Services | (0.7)% | ||||
| Penumbra, Inc. | Health Care Equipment & Supplies | (0.7)% | ||||
| Pure Storage, Inc. (Class A Stock) | Technology Hardware, Storage & Peripherals | (0.7)% | ||||
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
32
|
AST Quantitative Modeling Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | Since Inception | |||||||||
|
Portfolio |
21.20 | % | 7.35 | % | 7.64 | % | ||||||
|
Blended Index |
24.09 | 8.58 | 9.13 | |||||||||
|
S&P 500 Index |
31.46 | 11.69 | 12.80 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio inception: 5/2/2011. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Index returns reflect performance beginning with the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST Quantitative Modeling Portfolio returned 21.20%. The Portfolio underperformed both the Blended Index and the S&P 500 Index.
The Portfolio’s investment objective is to seek a high potential return while attempting to mitigate downside risk during adverse market cycles.
What were the market conditions during the reporting period?
Global economic growth in 2019 was the weakest in a decade, weighed down by an escalation of the US-China trade war. However, it was a great year for financial markets, with solid gains across most asset classes, driven by valuations for equities and lower yields for fixed income. The subadvisor, QMA, expects a moderate improvement in global economic growth in 2020 rather than a strong rebound, fueled by monetary stimulus, potential fiscal stimulus, and reduced geopolitical uncertainty.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio seeks a high potential return while attempting to mitigate risk during adverse market cycles. The portfolio’s fund-of-funds structure is subadvised by QMA.
The Portfolio rose 21.20% in 2019. Total asset allocation had a negative impact on performance during the reporting period, largely attributable to the impact of a nearly 24% allocation to the defensive bond segment. This position was added following large global equity market declines in late 2018. The defensive bond allocation detracted from performance, as global equity markets rebounded sharply in January 2019. Tactical allocations within the Capital Growth sleeve slightly detracted, as trade tensions increased volatility during the period. Most of the value was lost in May when the Portfolio was positioned toward equities, which fell more than 6% that month. Out-of-benchmark positions in high yield and emerging market bonds added value, while out-of-benchmark positions in emerging market equities and cash detracted from relative performance.
Overall, underlying fund manager gross performance detracted from Portfolio results during the period, largely driven by domestic equity fund managers. Specifically, large-cap core equity fund managers, in aggregate, underperformed, as did domestic growth fund managers. This negative result was partially offset by strong returns for large-cap value and international growth equity fund managers. Domestic fixed income fund managers also added value, largely outperforming the Bloomberg Barclays US Aggregate Bond Index.
A small cash position, used to assist in the day-to-day management of cash flows, detracted from performance for the period, as both equity and fixed income markets produced better returns than cash. Underlying fund managers may from time to time use derivatives such as index futures to gain market exposure.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
33
|
AST Quantitative Modeling Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
34
|
AST Western Asset Core Plus Bond Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | 10 Years | |||||||||
|
Portfolio |
12.30 | % | 4.43 | % | 4.92 | % | ||||||
|
Bloomberg Barclays US Aggregate Bond Index |
8.72 | 3.05 | 3.75 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED OVER 10-YEARS
For the year ended December 31, 2019, the AST Western Asset Core Plus Bond Portfolio returned 12.30%. The Portfolio outperformed the Bloomberg Barclays US Aggregate Bond Index.
The Portfolio’s investment objective is to seek to maximize total return, consistent with prudent investment management and liquidity needs by investing to obtain an average duration specified for the Portfolio.
What were the market conditions during the reporting period?
2019 was ultimately a strong year for the fixed income markets. As the year came to a close, there were positive developments on a number of issues that had weighed on the markets, alleviating fears of a more hawkish Federal Reserve (Fed) and the prospect of a US recession.
The year began with an unambiguous dovish pivot by the Fed, which was made clear in remarks by Chairman Jerome Powell at a conference in January. Then, as 2019 progressed, the Fed cut interest rates three times, with its accommodative policy stance echoed by other global central banks that eased monetary policy as well. Geopolitical concerns, including fears about ongoing trade wars and anxiety about the United Kingdom’s pending exit from the European Union (known as Brexit), caused market volatility throughout the year. In December, however, the markets were buoyed by several positive developments, which materially reduced these uncertainties heading into year-end. The US and China announced they had reached a “phase one” trade deal, and the trade deal between the US, Mexico, and Canada was passed by the House of Representatives, with many observers expecting it would eventually pass the Senate and go into effect. In the UK, Boris Johnson won a sizeable majority in the general election, clearing the way for the UK to leave the European Union after an extended period of uncertainty.
What strategies or holdings affected the Portfolio’s performance?
For most of the reporting period, the Portfolio was long US duration, holding an overweight in the short-to-intermediate segment of the US Treasury yield curve, as well as a larger overweight in the long-term end of the curve. (Duration is a measure of the interest rate sensitivity of a bond portfolio or debt securities that is expressed as a number of years.) The Portfolio’s overall duration overweight served as a hedge against its overweights in spread (non-government bond) sectors, helping to mute downside volatility during risk-off periods. With regard to the Portfolio’s yield curve positioning, Western Asset’s investment view was that the Fed had set a high bar for hiking rates again. Thus, the back (or long-term) end of the US Treasury yield curve could steepen if the Fed allowed inflation to run above its target, while the front (or short-term) end could provide a useful hedge if growth and inflation surprised to the downside, forcing the Fed to cut rates significantly. In aggregate, these positions were advantageous for the Portfolio during the period. Its duration positioning benefited as yields declined, and its yield curve positioning detracted modestly as the yield curve steepened.
Corporate credit exposures, including investment-grade and high yield bonds, were significant positive contributors to the Portfolio’s performance, as both sectors produced meaningful excess returns over US Treasuries. Emerging markets exposure (both US dollar-denominated and local currency-denominated) also added to performance, as spreads (yield differentials) narrowed and yields fell. In addition, the Portfolio’s currency positions were a net contributor to returns.
The US dollar’s performance was mixed throughout 2019, but it weakened overall against other currencies. Non-US developed markets exposure also contributed positively, as the Portfolio’s British pound- and Canadian dollar-denominated long positions benefited from US dollar weakness. Finally, structured product positions were positive for performance, in particular the Portfolio’s holdings of non-agency mortgage-backed securities, as spreads were generally tighter.
Apart from the Portfolio’s yield curve positioning, there were no meaningful detractors from performance during the reporting period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
35
|
AST Western Asset Core Plus Bond Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
The Portfolio used interest rate futures and options (forms of derivative securities) to adjust its duration and yield curve positioning. Swap derivatives — such as interest rate, credit default, and index swaps — were used to manage portfolio risk, fine-tune investment strategy, and capture relative value opportunities. Currency futures and forwards were used to adjust the Portfolio’s exposure to various foreign currencies. Overall versus the Index, the net impact of all derivatives used had a positive impact on the Portfolio’s performance during the period.
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
36
|
AST Western Asset Emerging Markets Debt Portfolio
|
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited)
| Average Annual Total Returns | 1 Year | 5 Years | Since Inception | |||||||||
|
Portfolio |
14.85 | % | 4.66 | % | 2.76 | % | ||||||
|
J.P. Morgan EMBI Global Index |
14.42 | 5.88 | 4.45 | |||||||||
Past performance is no guarantee of future returns. The investment return and principal value of an investment will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance.
Portfolio inception: 8/20/2012. Portfolio performance is net of fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Index returns reflect performance beginning with the closest month-end date to the Portfolio’s inception. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, performance would be lower.
$10,000 INVESTED SINCE INCEPTION
For the year ended December 31, 2019, the AST Western Asset Emerging Markets Debt Portfolio returned 14.85%. The Portfolio outperformed the J.P. Morgan EMBI Global Index.
The Portfolio’s investment objective is to seek to maximize total return.
What were the market conditions during the reporting period?
In 2019, Western Asset’s investment strategy was underpinned by two dominant investment themes. The first was that global and US economic growth would prove to be resilient. The second was that global, and particularly US, monetary policy would need to become much more accommodative. The investment implications were straightforward. Spread (or non-government bond) sectors should handily outperform government bonds. Indeed, greater central bank accommodation came to fruition during the year. The idea that global economic growth would be merely resilient looked like too low a bar near the start of 2019, though market anxiety about this view rose as global economic growth decelerated. Because these two investment themes broadly played out, spread sectors generated strong performance during the reporting period.
Underlying Western Asset’s economic outlook was a strongly held view that inflation would remain very subdued. This outlook also views inflation normalization as a long process that would require sustained monetary policy stimulus. Indeed, it appeared that central banks finally came to this conclusion during 2019. Almost 10 years into the global economic expansion, developed market core inflation rates remained below central bank targets and have barely risen. The risk of a market sell-off if economic growth faltered galvanized central bank efforts to more directly target inflation outcomes.
What strategies or holdings affected the Portfolio’s performance?
From a sector perspective, the Portfolio’s off-benchmark allocation to local-currency-denominated securities detracted from performance during the reporting period. Exposure to the Argentine peso detracted the most, while exposures to the Russian ruble and Indonesian rupiah benefited performance. On the positive side, the Portfolio’s off-benchmark exposure to corporate sectors was beneficial.
Country selection contributed positively to performance during the period. Overweight exposure to Indonesia and underweight exposure to Lebanon enhanced performance. Conversely, the Portfolio’s underweight allocation to Mexico and its overweight allocation to Argentina detracted from returns.
Industry selection was also beneficial. The Portfolio’s overweight exposure to Brazil’s oil and gas sector and its overweight exposure to Turkish financials bolstered results, while an overweight in the South African industrial sector and an overweight in Mexican financials detracted from performance.
Currency derivatives were used for hedging purposes and/or to adjust currency exposures. The Portfolio also used US Treasury futures to manage duration exposure and swaps to manage risk. (Duration is a measure of the interest rate sensitivity of a bond portfolio or debt securities that is expressed as a number of years.) The use of these instruments contributed to the Portfolio’s performance during the period.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
37
|
AST Western Asset Emerging Markets Debt Portfolio |
December 31, 2019 |
Report of the Investment Managers - As of December 31, 2019 (Unaudited) (Continued)
Presentation of Portfolio Holdings — unaudited
|
AST Western Asset Emerging Markets Debt (As of 12/31/2019) |
||
| Credit Quality | (% of Net Assets) | |
| AA | 5.0% | |
| A | 12.6% | |
| BBB | 37.4% | |
| BB | 18.8% | |
| B | 18.5% | |
| CCC and Below | 1.6% | |
| Cash & Equivalents | 6.1% | |
| Total | 100.0% |
Credit ratings reflect the middle rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investor Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch, Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent, and are widely used. The Not Rated (NR) category consists of securities that have not been rated by a NRSRO. Ratings category may include derivative instruments that could have a negative value. Credit ratings are subject to change.
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Credit Quality/Country Allocation/Holdings/Line of Business are subject to change.
38
|
Advanced Series Trust
Benchmark Glossary — unaudited |
|
December 31, 2019 |
The indexes are unmanaged and include reinvestment of any income or distributions. They do not reflect any fees, expenses or sales charges. Investors cannot invest directly in a market index.
For Russell Indexes: Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Russell Investment Group.
AST Quantitative Modeling Portfolio Blended Index consists of Russell 3000 Index (60%) an unmanaged market cap-weighted index that measures the performance of the largest 3000 US companies representing approximately 98% of the investable US equity market, MSCI EAFE (Morgan Stanley Capital International Europe, Australasia, Far East) Index (GD) (15%), an unmanaged capitalization-weighted index generally accepted as a benchmark for major overseas markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends, Bloomberg Barclays US Aggregate Bond Index (25%) an unmanaged index that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market.
Bloomberg Barclays Fixed Maturity (2020 — 2030) Zero Coupon Swaps Index reflect the returns of nominal zero-coupon bonds that are priced in the relevant swap curve. A zero coupon bond is a bond that makes no periodic interest payments, but rather sells at a deep discount from its face value. Upon maturity, the owner receives the face value of the bond.
Bloomberg Barclays US 5-10 Year Government/Credit Bond Index is an unmanaged index that includes all medium and larger issues of US government, investment grade corporate, and investment-grade Yankee bonds that have maturities between five and ten years and are publicly issued.
Bloomberg Barclays US Aggregate Bond Index is an unmanaged index that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market.
Bloomberg Barclays US Government/Credit Index is an unmanaged, market-weighted index comprised of government and investment-grade corporate debt instruments with maturities of one year or greater.
Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Index is an unmanaged index of the 2% Issuer Cap component of the Bloomberg Barclays High Yield Corporate Bond Index, which is an unmanaged market value-weighted index of fixed rate, non-investment grade debt.
FTSE EPRA/NAREIT Developed Real Estate Net Index is an unmanaged index that reflects the stock performance of companies engaged in specific aspects of the major real estate markets/regions of the world.
ICE BoFA Merrill Lynch US High Yield Master II Index is an unmanaged index that tracks the performance of below investment grade US dollar-denominated corporate bonds publicly issued in the US domestic market.
J.P. Morgan Emerging Markets Bond Index Global Index (“J.P. Morgan EMBI Global Index”) is an unmanaged global index that tracks total returns for traded external debt instruments in the emerging markets, and is an expanded version of the J.P. Morgan Emerging Markets Bond Index Plus (EMBI+) that tracks total returns for traded external debt instruments (external meaning foreign currency denominated fixed income) in the emerging markets.
Russell 1000 Index is an unmanaged, capitalization-weighted index which is comprised of 1,000 of the smallest capitalized US domiciled companies whose common stock is traded in the US on the New York Stock Exchange, American Stock Exchange, and the over-the-counter market.
S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market.
ICE BOFA MERRILL LYNCH IS LICENSING THE BOFA MERRILL LYNCH INDICES “AS IS,” MAKES NO WARRANTIES REGARDING THE SAME, DOES NOT GUARANTEE THE SUITABILITY, QUALITY, ACCURACY, TIMELINESS, AND/OR COMPLETENESS OF THE ICE BOFA MERRILL LYNCH INDICES OR ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM, ASSUMES NO LIABILITY IN CONNECTION WITH THEIR USE, AND DOES NOT SPONSOR, ENDORSE, OR RECOMMEND THE FUND, OR ANY OF ITS PRODUCTS OR SERVICES.
|
Advanced Series Trust
Fees and Expenses — unaudited |
|
December 31, 2019 |
As a contract owner investing in Portfolios of the Trust through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Trust and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2019 through December 31, 2019.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fees and charges were included, your costs would have been higher.
|
Advanced Series Trust Portfolios |
Beginning
Account Value July 1, 2019 |
Ending
Account Value December 31, 2019 |
Annualized Expense
Ratio based on the Six-Month period |
Expenses Paid
During the Six-Month period* |
||||||||||||||
| AST Bond Portfolio 2020 | Actual | $ | 1,000.00 | $ | 1,010.00 | 0.89 | % | $ | 4.51 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.72 | 0.89 | % | $ | 4.53 | ||||||||||
| AST Bond Portfolio 2021 | Actual | $ | 1,000.00 | $ | 1,013.00 | 0.96 | % | $ | 4.87 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.37 | 0.96 | % | $ | 4.89 | ||||||||||
| AST Bond Portfolio 2022 | Actual | $ | 1,000.00 | $ | 1,012.00 | 0.93 | % | $ | 4.72 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.52 | 0.93 | % | $ | 4.74 | ||||||||||
| AST Bond Portfolio 2023 | Actual | $ | 1,000.00 | $ | 1,010.90 | 0.93 | % | $ | 4.71 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.52 | 0.93 | % | $ | 4.74 | ||||||||||
| AST Bond Portfolio 2024 | Actual | $ | 1,000.00 | $ | 1,013.90 | 0.94 | % | $ | 4.77 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.47 | 0.94 | % | $ | 4.79 | ||||||||||
| AST Bond Portfolio 2025 | Actual | $ | 1,000.00 | $ | 1,013.80 | 0.97 | % | $ | 4.92 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.32 | 0.97 | % | $ | 4.94 | ||||||||||
| AST Bond Portfolio 2026 | Actual | $ | 1,000.00 | $ | 1,016.80 | 0.87 | % | $ | 4.42 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.82 | 0.87 | % | $ | 4.43 | ||||||||||
| AST Bond Portfolio 2027 | Actual | $ | 1,000.00 | $ | 1,016.20 | 0.91 | % | $ | 4.62 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.62 | 0.91 | % | $ | 4.63 | ||||||||||
| AST Bond Portfolio 2028 | Actual | $ | 1,000.00 | $ | 1,017.30 | 0.94 | % | $ | 4.78 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.47 | 0.94 | % | $ | 4.79 | ||||||||||
| AST Bond Portfolio 2029 | Actual | $ | 1,000.00 | $ | 1,019.40 | 0.93 | % | $ | 4.73 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.52 | 0.93 | % | $ | 4.74 | ||||||||||
|
Advanced Series Trust
Fees and Expenses — unaudited (continued) |
|
December 31, 2019 |
|
Advanced Series Trust Portfolios |
Beginning
Account Value July 1, 2019 |
Ending
Account Value December 31, 2019 |
Annualized Expense
Ratio based on the Six-Month period |
Expenses Paid
During the Six-Month period* |
||||||||||||||
| AST Bond Portfolio 2030 | Actual | $ | 1,000.00 | $ | 1,019.60 | 0.93 | % | $ | 4.73 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.52 | 0.93 | % | $ | 4.74 | ||||||||||
| AST Cohen & Steers Global Realty Portfolio | Actual | $ | 1,000.00 | $ | 1,075.60 | 1.11 | % | $ | 5.81 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,019.61 | 1.11 | % | $ | 5.65 | ||||||||||
| AST High Yield Portfolio | Actual | $ | 1,000.00 | $ | 1,041.20 | 0.88 | % | $ | 4.53 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.77 | 0.88 | % | $ | 4.48 | ||||||||||
| AST Investment Grade Bond Portfolio | Actual | $ | 1,000.00 | $ | 1,024.60 | 0.75 | % | $ | 3.83 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.42 | 0.75 | % | $ | 3.82 | ||||||||||
| AST Prudential Core Bond Portfolio | Actual | $ | 1,000.00 | $ | 1,027.60 | 0.73 | % | $ | 3.73 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.53 | 0.73 | % | $ | 3.72 | ||||||||||
| AST QMA US Equity Alpha Portfolio | Actual | $ | 1,000.00 | $ | 1,102.70 | 1.51 | % | $ | 8.00 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,017.59 | 1.51 | % | $ | 7.68 | ||||||||||
| AST Quantitative Modeling Portfolio | Actual | $ | 1,000.00 | $ | 1,068.30 | 1.16 | % | $ | 6.05 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,019.36 | 1.16 | % | $ | 5.90 | ||||||||||
| AST Western Asset Core Plus Bond Portfolio | Actual | $ | 1,000.00 | $ | 1,038.40 | 0.76 | % | $ | 3.90 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.37 | 0.76 | % | $ | 3.87 | ||||||||||
| AST Western Asset Emerging Markets Debt Portfolio | Actual | $ | 1,000.00 | $ | 1,030.40 | 1.07 | % | $ | 5.48 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,019.81 | 1.07 | % | $ | 5.45 | ||||||||||
* Portfolio expenses (net of fee waivers or subsidies, if any) are equal to the annualized expense ratio (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2019, and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2019 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
| Glossary | ||||||
The following abbreviations are used in the Portfolios’ descriptions:
| ARS | Argentine Peso | |
| AUD | Australian Dollar | |
| BRL | Brazilian Real | |
| CAD | Canadian Dollar | |
| CHF | Swiss Franc | |
| CNH | Chinese Renminbi | |
| COP | Colombian Peso | |
| EUR | Euro | |
| GBP | British Pound | |
| IDR | Indonesian Rupiah | |
| INR | Indian Rupee | |
| JPY | Japanese Yen | |
| MXN | Mexican Peso | |
| PHP | Philippine Peso | |
| RUB | Russian Ruble | |
| SAR | Saudi Arabian Riyal | |
| USD | US Dollar | |
| ZAR | South African Rand |
| 144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. | |
| A | Annual payment frequency for swaps | |
| ABS | Asset-Backed Security | |
| Aces | Alternative Credit Enhancements Securities | |
| ADR | American Depositary Receipt | |
| BABs | Build America Bonds | |
| BROIS | Brazil Overnight Index Swap | |
| BTP | Buoni del Tesoro Poliennali | |
| CDX | Credit Derivative Index | |
| CLO | Collateralized Loan Obligation | |
| CMBX | Commercial Mortgage-Backed Index | |
| CMS | Constant Maturity Swap | |
| CVT | Convertible Security | |
| EMTN | Euro Medium Term Note | |
| EONIA | Euro Overnight Index Average | |
| EURIBOR | Euro Interbank Offered Rate | |
| FHLMC | Federal Home Loan Mortgage Corporation | |
| FREMF | Freddie Mac Mortgage Trust | |
| GMTN | Global Medium Term Note | |
| IO | Interest Only (Principal amount represents notional) | |
| LIBOR | London Interbank Offered Rate | |
| M | Monthly payment frequency for swaps | |
| MTN | Medium Term Note | |
| OAT | Obligations Assimilables du Tresor | |
| OJSC | Open Joint-Stock Company | |
| OTC | Over-the-counter | |
| PIK | Payment-in-Kind | |
| PJSC | Public Joint-Stock Company | |
| PO | Principal Only | |
| Q | Quarterly payment frequency for swaps | |
| REITs | Real Estate Investment Trust | |
| REMICS | Real Estate Mortgage Investment Conduit Security | |
| S | Semiannual payment frequency for swaps | |
| S&P | Standard & Poor’s | |
| SONIA | Sterling Overnight Index Average | |
| STACR | Structured Agency Credit Risk | |
| Strips | Separate Trading of Registered Interest and Principal of Securities | |
| T | Swap payment upon termination | |
| TBA |
To Be Announced |
|
| TIPS | Treasury Inflation-Protected Securities | |
| USOIS | United States Overnight Index Swap | |
| UTS | Unit Trust Security |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
|
AST BOND PORTFOLIO 2020 |
||||||
|
SCHEDULE OF INVESTMENTS
|
as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
| AST BOND PORTFOLIO 2020 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
| AST BOND PORTFOLIO 2020 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A4
|
AST BOND PORTFOLIO 2020 (continued) |
||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Value | ||||
|
OPTIONS PURCHASED*~ — 0.0%
|
$ | 5,526 | ||
|
|
|
|||
|
TOTAL SHORT-TERM INVESTMENTS
|
25,540,582 | |||
|
|
|
|||
|
TOTAL INVESTMENTS — 99.3%
|
125,371,692 | |||
|
Other assets in excess of liabilities(z) — 0.7% |
901,839 | |||
|
|
|
|||
|
NET ASSETS — 100.0% |
$ | 126,273,531 | ||
|
|
|
|||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $778,512; cash collateral of $793,730 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (n) |
Rate shown is the effective yield at purchase date. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded
|
Description |
Call/
Put |
Counterparty |
Expiration
|
Strike | Contracts |
Notional
Amount (000)# |
Value | |||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 135 | $ | 1,406 | |||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 131 | 1,364 | ||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 140 | 1,473 | ||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 131 | 1,283 | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
|
Total Options Purchased
|
$ | 5,526 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A5
| AST BOND PORTFOLIO 2020 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Futures contracts outstanding at December 31, 2019:
| Number of Contracts | Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
| Long Position: | ||||||||||||||||
| 5 | 5 Year U.S. Treasury Notes | Mar. 2020 | $ | 593,047 | $ | (1,712 | ) | |||||||||
|
|
|
|||||||||||||||
| Short Positions: | ||||||||||||||||
| 19 | 90 Day Euro Dollar | Dec. 2020 | 4,673,050 | 11,963 | ||||||||||||
| 155 | 2 Year U.S. Treasury Notes | Mar. 2020 | 33,402,500 | 18,453 | ||||||||||||
| 43 | 10 Year U.S. Treasury Notes | Mar. 2020 | 5,522,141 | 44,578 | ||||||||||||
| 14 | 20 Year U.S. Treasury Bonds | Mar. 2020 | 2,182,687 | 32,292 | ||||||||||||
| 44 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2020 | 7,992,875 | 227,233 | ||||||||||||
|
|
|
|||||||||||||||
| 334,519 | ||||||||||||||||
|
|
|
|||||||||||||||
| $ | 332,807 | |||||||||||||||
|
|
|
|||||||||||||||
Interest rate swap agreements outstanding at December 31, 2019:
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements: |
||||||||||||||||||||||||
| 56,370 | 01/08/21 | 1.683%(S) |
3 Month LIBOR(2)(Q) |
$ | 331,917 | $ | 136,234 | $ | (195,683 | ) | ||||||||||||||
| 63,637 | 06/15/21 | 1.830%(S) |
3 Month LIBOR(2)(Q) |
198,925 | 101,141 | (97,784 | ) | |||||||||||||||||
| 3,431 | 09/15/21 | 1.381%(S) |
3 Month LIBOR(2)(Q) |
(8,688 | ) | (17,613 | ) | (8,925 | ) | |||||||||||||||
| 20,480 | 02/15/24 | 2.167%(S) |
3 Month LIBOR(1)(Q) |
(325,111 | ) | (492,205 | ) | (167,094 | ) | |||||||||||||||
| 1,830 | 03/29/24 | 1.949%(A) |
1 Day USOIS(1)(A) |
— | (33,895 | ) | (33,895 | ) | ||||||||||||||||
| 460 | 02/12/25 | 2.408%(A) |
1 Day USOIS(1)(A) |
— | (21,704 | ) | (21,704 | ) | ||||||||||||||||
| 396 | 02/15/27 | 1.824%(A) |
1 Day USOIS(1)(A) |
4,862 | (5,910 | ) | (10,772 | ) | ||||||||||||||||
| 130 | 02/15/27 | 1.965%(A) |
1 Day USOIS(1)(A) |
— | (3,351 | ) | (3,351 | ) | ||||||||||||||||
| 130 | 02/15/27 | 2.067%(A) |
1 Day USOIS(1)(A) |
(181 | ) | (4,378 | ) | (4,197 | ) | |||||||||||||||
| 2,639 | 08/15/28 | 2.579%(A) |
1 Day USOIS(1)(A) |
(30,268 | ) | (214,822 | ) | (184,554 | ) | |||||||||||||||
| 4,255 | 08/15/28 | 2.835%(S) |
3 Month LIBOR(1)(Q) |
(481,686 | ) | (371,636 | ) | 110,050 | ||||||||||||||||
| 665 | 02/15/36 | 2.338%(S) |
3 Month LIBOR(2)(Q) |
(4,900 | ) | 33,495 | 38,395 | |||||||||||||||||
| 190 | 08/09/49 | 1.508%(A) |
1 Day USOIS(1)(A) |
— | 15,088 | 15,088 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | (315,130 | ) | $ | (879,556 | ) | $ | (564,426 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||
|
Citigroup Global Markets, Inc. |
$918,000 | $493,407 | ||
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A6
| AST BOND PORTFOLIO 2020 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Automobiles |
$ | — | $ | 5,423,502 | $ | — | ||||||
|
Collateralized Loan Obligations |
— | 1,073,120 | — | |||||||||
|
Credit Cards |
— | 636,733 | — | |||||||||
|
Student Loans |
— | 70,868 | — | |||||||||
|
Commercial Mortgage-Backed Securities |
— | 4,071,037 | — | |||||||||
|
Corporate Bonds |
— | 18,086,995 | — | |||||||||
|
Residential Mortgage-Backed Security |
— | 500,075 | — | |||||||||
|
Sovereign Bonds |
— | 7,782,495 | — | |||||||||
|
U.S. Government Agency Obligations |
— | 3,406,126 | — | |||||||||
|
U.S. Treasury Obligations |
— | 58,780,159 | — | |||||||||
|
Affiliated Mutual Funds |
23,532,314 |
|
—
|
|
— | |||||||
|
Commercial Paper |
— | 2,002,742 | — | |||||||||
|
Options Purchased |
— | 5,526 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 23,532,314 | $ | 101,839,378 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 334,519 | $ | — | $ | — | ||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | 163,533 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 334,519 | $ | 163,533 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (1,712 | ) | $ | — | $ | — | |||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | (727,959 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (1,712 | ) | $ | (727,959 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
U.S. Treasury Obligations |
46.6 | % | ||
|
Affiliated Mutual Funds (0.6% represents investments purchased with collateral from securities on loan) |
18.6 | |||
|
Sovereign Bonds |
6.2 | |||
|
Banks |
5.5 | |||
|
Automobiles |
4.3 | |||
|
Commercial Mortgage-Backed Securities |
3.2 | |||
|
U.S. Government Agency Obligations |
2.7 | |||
|
Commercial Paper |
1.6 | |||
|
Pharmaceuticals |
1.5 | |||
|
Auto Manufacturers |
1.3 | |||
|
Insurance |
1.2 | |||
|
Biotechnology |
1.1 | |||
|
Collateralized Loan Obligations |
0.8 | |||
|
Oil & Gas |
0.6 | |||
|
Oil & Gas Services |
0.6 | |||
|
Credit Cards |
0.5 | |||
|
Software |
0.5 | |||
|
Computers |
0.4 |
|
Residential Mortgage-Backed Security |
0.4 | % | ||
|
Commercial Services |
0.3 | |||
|
Electric |
0.3 | |||
|
Healthcare-Services |
0.3 | |||
|
Pipelines |
0.2 | |||
|
Telecommunications |
0.2 | |||
|
Chemicals |
0.2 | |||
|
Airlines |
0.1 | |||
|
Student Loans |
0.1 | |||
|
Machinery-Diversified |
0.0 | * | ||
|
Options Purchased |
0.0 | * | ||
|
|
|
|||
| 99.3 | ||||
|
Other assets in excess of liabilities |
0.7 | |||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
SEE NOTES TO FINANCIAL STATEMENTS.
A7
| AST BOND PORTFOLIO 2020 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
| Asset Derivatives | Liability Derivatives | |||||||||||
|
Derivatives not accounted for as hedging
|
Statement of Assets and
Liabilities Location |
Fair Value |
Statement of Assets and
Liabilities Location |
Fair Value | ||||||||
|
Interest rate contracts |
Due from/to broker —
variation margin futures |
$ | 334,519 | * |
Due from/to broker —
variation margin futures |
$ | 1,712 | * | ||||
|
Interest rate contracts |
Due from/to broker —
variation margin swaps |
163,533 | * |
Due from/to broker —
variation margin swaps |
727,959 | * | ||||||
|
Interest rate contracts |
Unaffiliated investments | 5,526 | — | — | ||||||||
|
|
|
|
|
|||||||||
| $ | 503,578 | $ | 729,671 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A8
| AST BOND PORTFOLIO 2020 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Options
|
Options
|
Futures
Positions(2) |
Futures
|
|||
| $10,444 | $87,200 | $8,228,756 | $49,304,112 |
|
Inflation
Swap
|
Interest Rate Swap Agreements(2) |
|||||||||
| $120,000 | $131,845,800 | |||||||||
|
Credit
Default
|
||||||||||
| $36,000 | ||||||||||
| (1) |
Cost. |
| (2) |
Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross
Market Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 778,512 | $ | (778,512 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
Offsetting of OTC derivative assets and liabilities:
|
Counterparty |
Gross
Amounts of Recognized Assets(1) |
Gross Amounts of
Recognized Liabilities(1) |
Net Amounts
of Recognized Assets/(Liabilities) |
Collateral
Pledged/ (Received)(2) |
Net Amount | |||||||||||||||
|
Bank of America, N.A. |
$ | 1,473 | $ | — | $ | 1,473 | $ | — | $ | 1,473 | ||||||||||
|
Barclays Bank PLC |
4,053 | — | 4,053 | — | 4,053 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 5,526 | $ | — | $ | 5,526 | $ | — | $ | 5,526 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A9
| AST BOND PORTFOLIO 2020 (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
|
ASSETS |
||||
|
Investments at value, including securities on loan of $778,512: |
||||
|
Unaffiliated investments (cost $100,573,101) |
$ | 101,839,378 | ||
|
Affiliated investments (cost $23,568,441) |
23,532,314 | |||
|
Cash |
35,420 | |||
|
Deposit with broker for centrally cleared/exchange-traded derivatives |
918,000 | |||
|
Dividends and interest receivable |
533,601 | |||
|
Receivable for Portfolio shares sold |
210,671 | |||
|
Due from broker-variation margin futures |
53,245 | |||
|
Due from broker-variation margin swaps |
31,029 | |||
|
Prepaid expenses and other assets |
1,084 | |||
|
|
|
|||
|
Total Assets |
127,154,742 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
793,730 | |||
|
Accrued expenses and other liabilities |
56,649 | |||
|
Management fee payable |
21,738 | |||
|
Distribution fee payable |
5,123 | |||
|
Payable for investments purchased |
2,970 | |||
|
Payable for Portfolio shares repurchased |
644 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
881,211 | |||
|
|
|
|||
| NET ASSETS | $ | 126,273,531 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 126,273,531 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $126,273,531 / 17,789,365 outstanding shares of beneficial interest |
$ | 7.10 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
|
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS |
||||||||
|
Net investment income (loss) |
$ | 1,532,306 | $ | 832,911 | ||||
|
Net realized gain (loss) on investment transactions |
(968,097 | ) | 43,530 | |||||
|
Net change in unrealized appreciation (depreciation) on investments |
2,310,267 | (788,115 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
2,874,476 | 88,326 | ||||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [14,044,754 and 2,815,234 shares, respectively] |
98,227,318 | 19,144,255 | ||||||
|
Portfolio shares repurchased [3,966,785 and 3,599,862 shares, respectively] |
(27,762,662 | ) | (24,447,844 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
70,464,656 | (5,303,589 | ) | |||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | — | 758 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 73,339,132 | (5,214,505 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
52,934,399 | 58,148,904 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 126,273,531 | $ | 52,934,399 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A10
| AST BOND PORTFOLIO 2021 | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest
|
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| ASSET-BACKED SECURITIES (continued) | ||||||||||||||||
|
Collateralized Loan Obligations (continued) |
|
|||||||||||||||
|
TICP CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2018-03R, Class A, 144A, 3 Month LIBOR + 0.840%
|
|
|||||||||||||||
|
2.806%(c) |
04/20/28 | 750 | $ | 748,886 | ||||||||||||
|
Voya CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 0.900%
|
|
|||||||||||||||
|
2.903%(c) |
01/18/29 | 500 | 497,255 | |||||||||||||
|
|
|
|||||||||||||||
| 3,120,405 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Student Loans — 0.4% |
|
|||||||||||||||
|
Navient Private Education Refi Loan Trust, |
|
|||||||||||||||
|
Series 2018-A, Class A1, 144A |
|
|||||||||||||||
|
2.530% |
02/18/42 | 60 | 60,176 | |||||||||||||
|
SoFi Professional Loan Program LLC, |
|
|||||||||||||||
|
Series 2017-F, Class A1FX, 144A |
|
|||||||||||||||
|
2.050% |
01/25/41 | 102 | 101,619 | |||||||||||||
|
Series 2018-A, Class A2A, 144A |
|
|||||||||||||||
|
2.390% |
02/25/42 | 89 | 89,814 | |||||||||||||
|
|
|
|||||||||||||||
| 251,609 | ||||||||||||||||
|
|
|
|||||||||||||||
|
TOTAL ASSET-BACKED SECURITIES
|
|
5,120,671 | ||||||||||||||
|
|
|
|||||||||||||||
|
COMMERCIAL MORTGAGE-BACKED
SECURITIES — 22.9% |
||||||||||||||||
|
Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2014-CR19, Class A4 |
|
|||||||||||||||
|
3.532% |
08/10/47 | 1,000 | 1,047,253 | |||||||||||||
|
Series 2014-UBS04, Class A2 |
|
|||||||||||||||
|
2.963% |
08/10/47 | 56 | 56,401 | |||||||||||||
|
Series 2015-CR26, Class A3 |
|
|||||||||||||||
|
3.359% |
10/10/48 | 1,400 | 1,461,899 | |||||||||||||
|
Series 2015-DC01, Class A2 |
|
|||||||||||||||
|
2.870% |
02/10/48 | 176 | 176,594 | |||||||||||||
|
DBJPM Mortgage Trust, |
|
|||||||||||||||
|
Series 2017-C06, Class A1 |
|
|||||||||||||||
|
1.907% |
06/10/50 | 407 | 406,017 | |||||||||||||
|
Fannie Mae Multifamily Remic Trust, |
|
|||||||||||||||
|
Series 2015-M12, Class A1 |
|
|||||||||||||||
|
2.331% |
05/25/25 | 633 | 635,318 | |||||||||||||
|
FHLMC Multifamily Structured Pass-Through Certificates, |
|
|||||||||||||||
|
Series K054, Class A2 |
|
|||||||||||||||
|
2.745% |
01/25/26 | 2,200 | 2,259,399 | |||||||||||||
|
Series K055, Class A2 |
|
|||||||||||||||
|
2.673% |
03/25/26 | 200 | 204,628 | |||||||||||||
|
GS Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2015-GC32, Class A3 |
|
|||||||||||||||
|
3.498% |
07/10/48 | 2,200 | 2,314,094 | |||||||||||||
|
JPMBB Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2014-C19, Class A3 |
|
|||||||||||||||
|
3.669% |
04/15/47 | 1,140 | 1,175,450 | |||||||||||||
|
Series 2014-C21, Class A4 |
|
|||||||||||||||
|
3.493% |
08/15/47 | 291 | 302,899 | |||||||||||||
|
Morgan Stanley Bank of America Merrill Lynch Trust, |
|
|||||||||||||||
|
Series 2015-C24, Class A3 |
|
|||||||||||||||
|
3.479% |
05/15/48 | 2,200 | 2,307,884 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A11
| AST BOND PORTFOLIO 2021 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A12
| AST BOND PORTFOLIO 2021 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A13
| AST BOND PORTFOLIO 2021 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Value | ||||
|
OPTIONS PURCHASED*~ —0.0%
|
$ | 39,419 | ||
|
|
|
|||
|
TOTAL SHORT-TERM INVESTMENTS
|
11,034,546 | |||
|
|
|
|||
|
TOTAL INVESTMENTS — 100.8%
|
59,687,188 | |||
|
Liabilities in excess of other assets(z) — (0.8)% |
(484,767 | ) | ||
|
|
|
|||
|
NET ASSETS — 100.0% |
$ | 59,202,421 | ||
|
|
|
|||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| # |
Principal or notional amounts is shown in U.S. dollars unless otherwise stated. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $1,165,702; cash collateral of $1,190,432 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded
|
Description |
Call/
Put |
Counterparty |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | |||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 257 | $ | 2,677 | |||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 250 | 2,602 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 626 | 5,974 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 1,242 | 12,461 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 1,260 | 13,256 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 250 | 2,449 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
|
Total Options Purchased
|
$ | 39,419 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
Futures contracts outstanding at December 31, 2019:
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
| Long Positions: | ||||||||||||||||
| 40 | 5 Year U.S. Treasury Notes | Mar. 2020 | $ | 4,744,375 | $ | (4,218 | ) | |||||||||
| 127 | 10 Year U.S. Treasury Notes | Mar. 2020 | 16,309,579 | (127,336 | ) | |||||||||||
| 81 | 10 Year U.S. Ultra Treasury Notes | Mar. 2020 | 11,396,954 | (110,336 | ) | |||||||||||
|
|
|
|||||||||||||||
| (241,890 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| Short Positions: | ||||||||||||||||
| 15 | 90 Day Euro Dollar | Dec. 2020 | 3,689,250 | 9,446 | ||||||||||||
| 329 | 2 Year U.S. Treasury Notes | Mar. 2020 | 70,899,500 | 38,999 | ||||||||||||
| 37 | 20 Year U.S. Treasury Bonds | Mar. 2020 | 5,768,531 | 82,507 | ||||||||||||
| 18 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2020 | 3,269,812 | 93,505 | ||||||||||||
|
|
|
|||||||||||||||
| 224,457 | ||||||||||||||||
|
|
|
|||||||||||||||
| $ | (17,433 | ) | ||||||||||||||
|
|
|
|||||||||||||||
Interest rate swap agreements outstanding at December 31, 2019:
SEE NOTES TO FINANCIAL STATEMENTS.
A14
| AST BOND PORTFOLIO 2021 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements (continued): |
||||||||||||||||||||||||
| 2,570 | 05/31/21 | 1.849%(S) |
3 Month LIBOR(2)(Q) |
$ | 147 | $ | 4,268 | $ | 4,121 | |||||||||||||||
| 2,707 | 05/31/21 | 1.948%(S) |
3 Month LIBOR(2)(Q) |
161 | 8,489 | 8,328 | ||||||||||||||||||
| 715 | 05/31/21 | 1.953%(S) |
3 Month LIBOR(2)(Q) |
1,762 | 2,292 | 530 | ||||||||||||||||||
| 47,637 | 06/15/21 | 1.830%(S) |
3 Month LIBOR(2)(Q) |
99,572 | 75,711 | (23,861 | ) | |||||||||||||||||
| 22,305 | 09/15/21 | 1.604%(S) |
3 Month LIBOR(2)(Q) |
— | (31,731 | ) | (31,731 | ) | ||||||||||||||||
| 37,000 | 05/11/22 | 1.982%(S) |
3 Month LIBOR(2)(Q) |
465,161 | 263,872 | (201,289 | ) | |||||||||||||||||
| 2,960 | 07/11/23 | 1.400%(S) |
3 Month LIBOR(2)(Q) |
171 | (23,197 | ) | (23,368 | ) | ||||||||||||||||
| 2,675 | 02/15/24 | 2.115%(S) |
3 Month LIBOR(1)(Q) |
6,623 | (58,229 | ) | (64,852 | ) | ||||||||||||||||
| 4,156 | 02/15/24 | 2.151%(S) |
3 Month LIBOR(1)(Q) |
(5,526 | ) | (96,974 | ) | (91,448 | ) | |||||||||||||||
| 6,315 | 02/15/24 | 2.167%(S) |
3 Month LIBOR(1)(Q) |
(34,080 | ) | (151,763 | ) | (117,683 | ) | |||||||||||||||
| 5,655 | 02/15/24 | 2.183%(S) |
3 Month LIBOR(1)(Q) |
(8,328 | ) | (139,982 | ) | (131,654 | ) | |||||||||||||||
| 1,940 | 03/29/24 | 1.949%(A) |
1 Day USOIS(1)(A) |
— | (35,933 | ) | (35,933 | ) | ||||||||||||||||
| 1,980 | 05/15/24 | 1.956%(S) |
3 Month LIBOR(1)(Q) |
5,059 | (20,467 | ) | (25,526 | ) | ||||||||||||||||
| 870 | 08/15/24 | 2.168%(S) |
3 Month LIBOR(1)(Q) |
— | (22,299 | ) | (22,299 | ) | ||||||||||||||||
| 10,340 | 08/15/24 | 2.170%(S) |
3 Month LIBOR(1)(Q) |
39,509 | (265,861 | ) | (305,370 | ) | ||||||||||||||||
| 865 | 08/15/24 | 2.176%(S) |
3 Month LIBOR(1)(Q) |
1,352 | (22,474 | ) | (23,826 | ) | ||||||||||||||||
| 985 | 11/15/24 | 2.334%(S) |
3 Month LIBOR(1)(Q) |
3,685 | (28,403 | ) | (32,088 | ) | ||||||||||||||||
| 805 | 02/12/25 | 2.408%(A) |
1 Day USOIS(1)(A) |
— | (37,982 | ) | (37,982 | ) | ||||||||||||||||
| 7,966 | 05/31/25 | 2.998%(S) |
3 Month LIBOR(1)(Q) |
(5,391 | ) | (525,355 | ) | (519,964 | ) | |||||||||||||||
| 3,062 | 07/31/25 | 3.109%(S) |
3 Month LIBOR(1)(Q) |
125 | (252,240 | ) | (252,365 | ) | ||||||||||||||||
| 1,450 | 11/12/25 | 2.263%(S) |
3 Month LIBOR(1)(Q) |
160 | (41,575 | ) | (41,735 | ) | ||||||||||||||||
| 6,900 | 06/15/26 | 1.504%(S) |
3 Month LIBOR(1)(Q) |
206 | 116,527 | 116,321 | ||||||||||||||||||
| 670 | 10/06/26 | 2.312%(S) |
3 Month LIBOR(2)(Q) |
(1,634 | ) | 22,888 | 24,522 | |||||||||||||||||
| 657 | 02/15/27 | 1.824%(A) |
1 Day USOIS(1)(A) |
9,056 | (9,805 | ) | (18,861 | ) | ||||||||||||||||
| 130 | 02/15/27 | 1.965%(A) |
1 Day USOIS(1)(A) |
— | (3,351 | ) | (3,351 | ) | ||||||||||||||||
| 395 | 02/15/27 | 2.067%(A) |
1 Day USOIS(1)(A) |
(181 | ) | (13,302 | ) | (13,121 | ) | |||||||||||||||
| 260 | 05/15/27 | 2.295%(S) |
3 Month LIBOR(1)(Q) |
— | (8,931 | ) | (8,931 | ) | ||||||||||||||||
| 2,765 | 08/15/28 | 2.579%(A) |
1 Day USOIS(1)(A) |
(31,786 | ) | (225,044 | ) | (193,258 | ) | |||||||||||||||
| 255 | 08/15/28 | 2.835%(S) |
3 Month LIBOR(1)(Q) |
— | (22,271 | ) | (22,271 | ) | ||||||||||||||||
| 2,113 | 08/15/29 | 1.611%(A) |
1 Day USOIS(1)(A) |
644 | 6,533 | 5,889 | ||||||||||||||||||
| 805 | 02/15/36 | 2.338%(S) |
3 Month LIBOR(2)(Q) |
(4,180 | ) | 40,547 | 44,727 | |||||||||||||||||
| 145 | 08/09/49 | 1.508%(A) |
1 Day USOIS(1)(A) |
— | 11,515 | 11,515 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 530,628 | $ | (1,549,533 | ) | $ | (2,080,161 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||||
|
Citigroup Global Markets, Inc. |
$ | 410,000 | $ | 994,202 | ||||||
|
|
|
|
|
|||||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A15
| AST BOND PORTFOLIO 2021 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Automobiles |
$ | — | $ | 1,748,657 | $ | — | ||||||
|
Collateralized Loan Obligations |
— | 3,120,405 | — | |||||||||
|
Student Loans |
— | 251,609 | — | |||||||||
|
Commercial Mortgage-Backed Securities |
— | 13,549,661 | — | |||||||||
|
Corporate Bonds |
— | 17,383,751 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 724,930 | — | |||||||||
|
Sovereign Bonds |
— | 1,805,614 | — | |||||||||
|
U.S. Government Agency Obligations |
— | 5,534,100 | — | |||||||||
|
U.S. Treasury Obligations |
— | 4,533,915 | — | |||||||||
|
Affiliated Mutual Funds |
10,995,127 | — | — | |||||||||
|
Options Purchased |
— | 39,419 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 10,995,127 | $ | 48,692,061 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 224,457 | $ | — | $ | — | ||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | 248,320 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 224,457 | $ | 248,320 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (241,890 | ) | $ | — | $ | — | |||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | (2,328,481 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (241,890 | ) | $ | (2,328,481 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Commercial Mortgage-Backed Securities |
22.9 | % | ||
|
Affiliated Mutual Funds (2.0% represents investments purchased with collateral from securities on loan) |
18.6 | |||
|
Banks |
9.8 | |||
|
U.S. Government Agency Obligations |
9.3 | |||
|
U.S. Treasury Obligations |
7.7 | |||
|
Collateralized Loan Obligations |
5.3 | |||
|
Sovereign Bonds |
3.1 | |||
|
Biotechnology |
3.0 | |||
|
Automobiles |
2.9 | |||
|
Pipelines |
2.8 | |||
|
Pharmaceuticals |
2.5 | |||
|
Chemicals |
2.1 | |||
|
Insurance |
1.5 | |||
|
Telecommunications |
1.4 | |||
|
Computers |
1.3 | |||
|
Residential Mortgage-Backed Securities |
1.2 |
|
Software |
1.1 | % | ||
|
Machinery-Diversified |
1.0 | |||
|
Transportation |
0.8 | |||
|
Electric |
0.7 | |||
|
Healthcare-Services |
0.7 | |||
|
Student Loans |
0.4 | |||
|
Auto Manufacturers |
0.3 | |||
|
Multi-National |
0.3 | |||
|
Oil & Gas |
0.1 | |||
|
Options Purchased |
0.0 | * | ||
|
|
|
|||
| 100.8 | ||||
|
Liabilities in excess of other assets |
(0.8 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
SEE NOTES TO FINANCIAL STATEMENTS.
A16
| AST BOND PORTFOLIO 2021 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
| Asset Derivatives | Liability Derivatives | |||||||||||
|
Derivatives not accounted for as hedging
|
Statement of Assets and
Liabilities Location |
Fair Value |
Statement of Assets and
Liabilities Location |
Fair Value | ||||||||
|
Interest rate contracts |
Due from/to broker —
variation margin futures |
$ | 224,457 | * |
Due from/to broker —
variation margin futures |
$ | 241,890 | * | ||||
|
Interest rate contracts |
Due from/to broker —
variation margin swaps |
248,320 | * |
Due from/to broker —
variation margin swaps |
2,328,481 | * | ||||||
|
Interest rate contracts |
Unaffiliated investments | 39,419 | — | — | ||||||||
|
|
|
|
|
|||||||||
| $ | 512,196 | $ | 2,570,371 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Options
|
Options
|
Futures
|
Futures
|
|||||||||
| $10,813 | $80,800 | $31,295,522 | $74,122,080 |
|
Inflation Swap
|
Interest Rate
Swap
|
|||||||||||
| $216,000 | $218,881,000 |
|
Credit Default
|
||||||||||||
| $32,000 |
| (1) |
Cost. |
| (2) |
Notional Amount in USD. |
SEE NOTES TO FINANCIAL STATEMENTS.
A17
| AST BOND PORTFOLIO 2021 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||||||
|
Securities on Loan |
$ | 1,165,702 | $ | (1,165,702 | ) | $ | — | |||||||||
|
|
|
|
|
|
|
|||||||||||
Offsetting of OTC derivative assets and liabilities:
|
Counterparty |
Gross Amounts of
Recognized Assets(1) |
Gross Amounts of
Recognized Liabilities(1) |
Net Amounts of
Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||||||||
|
Bank of America, N.A. |
$ | 31,691 | $ | — | $ | 31,691 | $ | — | $ | 31,691 | ||||||||||
|
Barclays Bank PLC |
7,728 | — | 7,728 | — | 7,728 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 39,419 | $ | — | $ | 39,419 | $ | — | $ | 39,419 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A18
| AST BOND PORTFOLIO 2021 (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $1,165,702: |
||||
|
Unaffiliated investments (cost $47,897,000) |
$ | 48,692,061 | ||
|
Affiliated investments (cost $11,056,515) |
10,995,127 | |||
|
Cash |
62,036 | |||
|
Deposit with broker for centrally cleared/exchange-traded derivatives |
410,000 | |||
|
Dividends and interest receivable |
357,014 | |||
|
Due from broker-variation margin swaps |
58,471 | |||
|
Prepaid expenses and other assets |
1,020 | |||
|
|
|
|||
|
Total Assets |
60,575,729 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
1,190,432 | |||
|
Payable for Portfolio shares repurchased |
107,119 | |||
|
Accrued expenses and other liabilities |
55,306 | |||
|
Due to broker-variation margin futures |
10,451 | |||
|
Management fee payable |
7,363 | |||
|
Distribution fee payable |
2,280 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
1,373,308 | |||
|
|
|
|||
| NET ASSETS | $ | 59,202,421 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 59,202,421 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $59,202,421 / 3,808,055 outstanding shares of beneficial interest |
$ | 15.55 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
| NET INVESTMENT INCOME (LOSS) | ||||
| INCOME | ||||
|
Interest income (net of $425 foreign withholding tax) |
$ | 1,865,334 | ||
|
Affiliated dividend income |
310,155 | |||
|
Income from securities lending, net (including affiliated income of $1,431) |
1,464 | |||
|
|
|
|||
|
Total income |
2,176,953 | |||
|
|
|
|||
| EXPENSES | ||||
|
Management fee |
360,321 | |||
|
Distribution fee |
189,951 | |||
|
Custodian and accounting fees |
60,040 | |||
|
Audit fee |
52,310 | |||
|
Legal fees and expenses |
12,280 | |||
|
Trustees’ fees |
10,680 | |||
|
Transfer agent’s fees and expenses (including affiliated expense of $2,188) |
7,009 | |||
|
Shareholders’ reports |
6,400 | |||
|
Miscellaneous |
16,755 | |||
|
|
|
|||
|
Total expenses |
715,746 | |||
|
Less: Fee waiver and/or expense reimbursement |
(7,125 | ) | ||
|
|
|
|||
|
Net expenses |
708,621 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) | 1,468,332 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
|
Net realized gain (loss) on: |
||||
|
Investment transactions (including affiliated of $28) |
880,583 | |||
|
Futures transactions |
662,289 | |||
|
Options written transactions |
18,627 | |||
|
Swap agreements transactions |
948,286 | |||
|
|
|
|||
| 2,509,785 | ||||
|
|
|
|||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments (including affiliated of $(381)) |
1,146,407 | |||
|
Futures |
73,578 | |||
|
Swap agreements |
(1,273,556 | ) | ||
|
|
|
|||
| (53,571 | ) | |||
|
|
|
|||
| NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 2,456,214 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,924,546 | ||
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
|
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS |
||||||||
|
Net investment income (loss) |
$ | 1,468,332 | $ | 1,800,117 | ||||
|
Net realized gain (loss) on investment transactions |
2,509,785 | 466,497 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments |
(53,571 | ) | (2,371,533 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
3,924,546 | (104,919 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [70,263 and 2,085,556 shares, respectively] |
1,082,753 | 30,464,583 | ||||||
|
Portfolio shares repurchased [2,753,392 and 3,168,794 shares, respectively] |
(41,864,590 | ) | (46,323,874 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(40,781,837 | ) | (15,859,291 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | — | 871 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | (36,857,291 | ) | (15,963,339 | ) | ||||
| NET ASSETS: | ||||||||
|
Beginning of year |
96,059,712 | 112,023,051 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 59,202,421 | $ | 96,059,712 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A19
| AST BOND PORTFOLIO 2022 | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A20
| AST BOND PORTFOLIO 2022 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A21
| AST BOND PORTFOLIO 2022 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest
|
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| CORPORATE BONDS (continued) |
|
|||||||||||||||
|
Biotechnology (continued) |
|
|||||||||||||||
|
Gilead Sciences, Inc., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
4.400% |
12/01/21 | (a) | 385 | $ | 401,617 | |||||||||||
|
|
|
|||||||||||||||
| 1,140,479 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Chemicals — 1.5% |
|
|||||||||||||||
|
LYB International Finance BV, |
|
|||||||||||||||
|
Gtd. Notes |
|
|||||||||||||||
|
4.000% |
07/15/23 | 500 | 529,334 | |||||||||||||
|
Nutrien Ltd. (Canada), |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
3.150% |
10/01/22 | 150 | 153,268 | |||||||||||||
|
|
|
|||||||||||||||
| 682,602 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Computers — 2.4% |
|
|||||||||||||||
|
Apple, Inc., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
2.500% |
02/09/22 | 1,110 | 1,126,395 | |||||||||||||
|
|
|
|||||||||||||||
|
Electric — 1.9% |
|
|||||||||||||||
|
Alabama Power Co., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
2.450% |
03/30/22 | 360 | 364,304 | |||||||||||||
|
Dominion Energy, Inc., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes, Series B |
|
|||||||||||||||
|
2.750% |
01/15/22 | 410 | 415,587 | |||||||||||||
|
NextEra Energy Capital Holdings, Inc., |
|
|||||||||||||||
|
Gtd. Notes |
|
|||||||||||||||
|
4.500% |
06/01/21 | 125 | 128,725 | |||||||||||||
|
|
|
|||||||||||||||
| 908,616 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Electronics — 0.3% |
|
|||||||||||||||
|
Fortive Corp., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
2.350% |
06/15/21 | 115 | 115,299 | |||||||||||||
|
|
|
|||||||||||||||
|
Healthcare-Services — 1.5% |
|
|||||||||||||||
|
Aetna, Inc., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
2.750% |
11/15/22 | (a) | 575 | 584,020 | ||||||||||||
|
UnitedHealth Group, Inc., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
4.700% |
02/15/21 | 125 | 128,035 | |||||||||||||
|
|
|
|||||||||||||||
| 712,055 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Insurance — 1.8% |
|
|||||||||||||||
|
Lincoln National Corp., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
6.250% |
02/15/20 | 400 | 401,845 | |||||||||||||
|
Swiss Re Treasury US Corp. (Switzerland), |
|
|||||||||||||||
|
Gtd. Notes, 144A |
|
|||||||||||||||
|
2.875% |
12/06/22 | 175 | 177,557 | |||||||||||||
|
W.R. Berkley Corp., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
4.625% |
03/15/22 | 245 | 258,500 | |||||||||||||
|
|
|
|||||||||||||||
| 837,902 | ||||||||||||||||
|
|
|
|||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A22
| AST BOND PORTFOLIO 2022 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest
|
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| U.S. TREASURY OBLIGATIONS (continued) |
|
|||||||||||||||
|
2.027%(s) |
05/15/39 | 40 | $ | 25,087 | ||||||||||||
|
2.394%(s) |
11/15/43 | 135 | 74,466 | |||||||||||||
|
2.673%(s) |
08/15/23 | 165 | 155,100 | |||||||||||||
|
|
|
|||||||||||||||
|
TOTAL U.S. TREASURY OBLIGATIONS
|
|
8,792,207 | ||||||||||||||
|
|
|
|||||||||||||||
|
TOTAL LONG-TERM INVESTMENTS
|
|
45,745,681 | ||||||||||||||
|
|
|
|||||||||||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $888,524; cash collateral of $906,832 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
A23
| AST BOND PORTFOLIO 2022 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded
|
Description |
Call/
Put |
Counterparty |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | |||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 187 | $ | 1,948 | |||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 182 | 1,894 | ||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 456 | 4,352 | ||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 904 | 9,070 | ||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 920 | 9,679 | ||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 182 | 1,783 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
|
Total Options Purchased
|
$ | 28,726 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
Futures contracts outstanding at December 31, 2019:
|
Number of
|
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||
|
Long Positions: |
||||||||||||||
| 115 |
10 Year U.S. Treasury Notes |
Mar. 2020 | $ | 14,768,516 | $ | (110,469 | ) | |||||||
| 50 |
10 Year U.S. Ultra Treasury Notes |
Mar. 2020 | 7,035,156 | (73,665 | ) | |||||||||
|
|
|
|||||||||||||
| (184,134 | ) | |||||||||||||
|
|
|
|||||||||||||
|
Short Positions: |
||||||||||||||
| 11 |
90 Day Euro Dollar |
Dec. 2020 | 2,705,450 | 6,928 | ||||||||||
| 290 |
2 Year U.S.Treasury Notes |
Mar. 2020 | 62,495,000 | 11,536 | ||||||||||
| 26 |
5 Year U.S.Treasury Notes |
Mar. 2020 | 3,083,844 | 11,249 | ||||||||||
| 14 |
20 Year U.S. Treasury Bonds |
Mar. 2020 | 2,182,688 | 31,167 | ||||||||||
| 11 |
30 Year U.S. Ultra Treasury Bonds |
Mar. 2020 | 1,998,219 | 58,359 | ||||||||||
|
|
|
|||||||||||||
| 119,239 | ||||||||||||||
|
|
|
|||||||||||||
| $ | (64,895 | ) | ||||||||||||
|
|
|
|||||||||||||
Interest rate swap agreements outstanding at December 31, 2019:
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements: |
||||||||||||||||||||||||
| 30,000 | 09/03/20 | 1.600%(S) |
3 Month LIBOR(1)(Q) |
$ | 272 | $ | (68,582 | ) | $ | (68,854 | ) | |||||||||||||
| 2,571 | 06/15/21 | 1.830%(S) |
3 Month LIBOR(2)(Q) |
— | 4,086 | 4,086 | ||||||||||||||||||
| 7,785 | 09/15/21 | 1.604%(S) |
3 Month LIBOR(2)(Q) |
— | (11,075 | ) | (11,075 | ) | ||||||||||||||||
| 17,700 | 05/11/22 | 1.982%(S) |
3 Month LIBOR(2)(Q) |
223,592 | 126,230 | (97,362 | ) | |||||||||||||||||
| 15,000 | 05/21/22 | 1.893%(S) |
3 Month LIBOR(2)(Q) |
537,232 | 75,706 | (461,526 | ) | |||||||||||||||||
| 6,100 | 06/07/22 | 1.771%(S) |
3 Month LIBOR(2)(Q) |
174,181 | 13,166 | (161,015 | ) | |||||||||||||||||
| 51,500 | 09/03/22 | 1.919%(S) |
3 Month LIBOR(2)(Q) |
355 | 568,226 | 567,871 | ||||||||||||||||||
| 1,400 | 03/29/24 | 1.949%(A) |
1 Day USOIS(1)(A) |
— | (25,931 | ) | (25,931 | ) | ||||||||||||||||
| 370 | 11/15/24 | 2.334%(S) |
3 Month LIBOR(1)(Q) |
3,126 | (10,670 | ) | (13,796 | ) | ||||||||||||||||
| 575 | 02/12/25 | 2.408%(A) |
1 Day USOIS(1)(A) |
— | (27,130 | ) | (27,130 | ) | ||||||||||||||||
| 240 | 02/28/25 | 3.019%(S) |
3 Month LIBOR(1)(Q) |
— | (17,261 | ) | (17,261 | ) | ||||||||||||||||
| 6,072 | 05/31/25 | 2.998%(S) |
3 Month LIBOR(1)(Q) |
(4,152 | ) | (400,446 | ) | (396,294 | ) | |||||||||||||||
| 2,592 | 07/31/25 | 3.109%(S) |
3 Month LIBOR(1)(Q) |
125 | (213,523 | ) | (213,648 | ) | ||||||||||||||||
| 526 | 02/15/27 | 1.824%(A) |
1 Day USOIS(1)(A) |
7,440 | (7,851 | ) | (15,291 | ) | ||||||||||||||||
| 130 | 02/15/27 | 1.965%(A) |
1 Day USOIS(1)(A) |
— | (3,351 | ) | (3,351 | ) | ||||||||||||||||
| 130 | 02/15/27 | 2.067%(A) |
1 Day USOIS(1)(A) |
(181 | ) | (4,378 | ) | (4,197 | ) | |||||||||||||||
| 10,260 | 05/15/27 | 2.295%(S) |
3 Month LIBOR(1)(Q) |
7,162 | (352,448 | ) | (359,610 | ) | ||||||||||||||||
| 5,027 | 08/15/28 | 2.579%(A) |
1 Day USOIS(1)(A) |
(57,493 | ) | (409,116 | ) | (351,623 | ) | |||||||||||||||
| 509 | 08/15/28 | 2.835%(S) |
3 Month LIBOR(1)(Q) |
— | (44,455 | ) | (44,455 | ) | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A24
| AST BOND PORTFOLIO 2022 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements (continued): |
||||||||||||||||||||||||
| 845 | 08/15/29 | 1.611%(A) |
1 Day USOIS(1)(A) |
$ | 276 | $ | 2,613 | $ | 2,337 | |||||||||||||||
| 665 | 02/15/36 | 2.338%(S) |
3 Month LIBOR(2)(Q) |
(4,900 | ) | 33,495 | 38,395 | |||||||||||||||||
| 110 | 08/09/49 | 1.508%(A) |
1 Day USOIS(1)(A) |
— | 8,735 | 8,735 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 887,035 | $ | (763,960 | ) | $ | (1,650,995 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||||
|
Citigroup Global Markets, Inc. |
$ | — | $ | 1,206,647 | ||||||
|
|
|
|
|
|||||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Automobiles |
$ | — | $ | 3,369,288 | $ | — | ||||||
|
Collateralized Loan Obligations |
— | 4,887,400 | — | |||||||||
|
Consumer Loans |
— | 401,939 | — | |||||||||
|
Credit Cards |
— | 302,042 | — | |||||||||
|
Student Loans |
— | 256,814 | — | |||||||||
|
Commercial Mortgage-Backed Securities |
— | 9,594,108 | — | |||||||||
|
Corporate Bonds |
— | 15,402,374 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 719,244 | — | |||||||||
|
Sovereign Bonds |
— | 1,230,008 | — | |||||||||
|
U.S. Government Agency Obligation |
— | 790,257 | — | |||||||||
|
U.S. Treasury Obligations |
— | 8,792,207 | — | |||||||||
|
Affiliated Mutual Funds |
1,788,252 | — | — | |||||||||
|
Options Purchased |
— | 28,726 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 1,788,252 | $ | 45,774,407 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 119,239 | $ | — | $ | — | ||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | 621,424 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 119,239 | $ | 621,424 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A25
|
AST BOND PORTFOLIO 2022 (continued) |
||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Other Financial Instruments* (continued) |
||||||||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (184,134 | ) | $ | — | $ | — | |||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | (2,272,419 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (184,134 | ) | $ | (2,272,419 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Commercial Mortgage-Backed Securities |
20.5 | % | ||
|
U.S. Treasury Obligations |
18.7 | |||
|
Collateralized Loan Obligations |
10.4 | |||
|
Banks |
10.4 | |||
|
Automobiles |
7.2 | |||
|
Affiliated Mutual Funds (1.9% represents investments purchased with collateral from securities on loan) |
3.8 | |||
|
Pharmaceuticals |
2.7 | |||
|
Sovereign Bonds |
2.6 | |||
|
Biotechnology |
2.4 | |||
|
Computers |
2.4 | |||
|
Electric |
1.9 | |||
|
Software |
1.9 | |||
|
Auto Manufacturers |
1.8 | |||
|
Insurance |
1.8 | |||
|
U.S. Government Agency Obligation |
1.7 | |||
|
Residential Mortgage-Backed Securities |
1.5 | |||
|
Healthcare-Services |
1.5 |
|
Chemicals |
1.5 | % | ||
|
Pipelines |
1.3 | |||
|
Telecommunications |
1.1 | |||
|
Consumer Loans |
0.9 | |||
|
Credit Cards |
0.6 | |||
|
Oil & Gas |
0.6 | |||
|
Student Loans |
0.6 | |||
|
Transportation |
0.5 | |||
|
Airlines |
0.3 | |||
|
Machinery-Diversified |
0.3 | |||
|
Electronics |
0.3 | |||
|
Multi-National |
0.2 | |||
|
Options Purchased |
0.1 | |||
|
|
|
|||
| 101.5 | ||||
|
Liabilities in excess of other assets |
(1.5 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Asset Derivatives |
Liability Derivatives |
|||||||||||
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Statement of Assets and
|
Fair Value |
Statement of Assets and
|
Fair Value | ||||||||
|
Interest rate contracts |
Due from/to broker —
variation margin futures |
$ | 119,239 | * |
Due from/to broker —
variation margin futures |
$ | 184,134 | * | ||||
|
Interest rate contracts |
Due from/to broker —
variation margin swaps |
621,424 | * |
Due from/to broker —
variation margin swaps |
2,272,419 | * | ||||||
|
Interest rate contracts |
Unaffiliated investments | 28,726 | — | — | ||||||||
|
|
|
|
|
|||||||||
| $ | 769,389 | $ | 2,456,553 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
| AST BOND PORTFOLIO 2022 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Options
|
Options Written(2) |
Futures Contracts— Long Positions(2) |
Futures Contracts— Short Positions(2) |
|||||||||
| $7,620 | $57,800 | $21,462,756 | $52,311,706 |
|
Inflation Swap
|
Interest Rate Swap Agreements(2) |
|||||||||||
| $72,000 | $167,225,920 |
|
Credit Default Swap Agreements— Sell Protection(2) |
||||||||||||
| $24,000 |
| (1) |
Cost. |
| (2) |
Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net
Amount |
|||||||||
|
Securities on Loan |
$ | 888,524 | $ | (888,524 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A27
| AST BOND PORTFOLIO 2022 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Offsetting of OTC derivative assets and liabilities:
|
Counterparty |
Gross Amounts
of Recognized Assets(1) |
Gross Amounts
of Recognized Liabilities(1) |
Net Amounts
of Recognized Assets/(Liabilities) |
Collateral
Pledged/ (Received)(2) |
Net Amount | |||||||||||||||
|
Bank of America, N.A. |
$ | 23,101 | $ | — | $ | 23,101 | $ | — | $ | 23,101 | ||||||||||
|
Barclays Bank PLC |
5,625 | — | 5,625 | — | 5,625 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 28,726 | $ | — | $ | 28,726 | $ | — | $ | 28,726 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A28
| AST BOND PORTFOLIO 2022 (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $888,524: |
||||
|
Unaffiliated investments (cost $45,122,844) |
$ | 45,774,407 | ||
|
Affiliated investments (cost $1,788,181) |
1,788,252 | |||
|
Cash |
30,887 | |||
|
Dividends and interest receivable |
278,104 | |||
|
Due from broker-variation margin swaps |
27,704 | |||
|
Prepaid expenses and other assets |
1,107 | |||
|
|
|
|||
|
Total Assets |
47,900,461 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
906,832 | |||
|
Accrued expenses and other liabilities |
53,917 | |||
|
Payable for Portfolio shares repurchased |
36,184 | |||
|
Due to broker-variation margin futures |
16,487 | |||
|
Management fee payable |
5,372 | |||
|
Distribution fee payable |
1,801 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
1,020,950 | |||
|
|
|
|||
| NET ASSETS | $ | 46,879,511 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 46,879,511 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $46,879,511 / 3,260,439 outstanding shares of beneficial interest |
$ | 14.38 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
| NET INVESTMENT INCOME (LOSS) | ||||
| INCOME | ||||
|
Interest income (net of $425 foreign withholding tax) |
$ | 1,521,782 | ||
|
Affiliated dividend income |
19,238 | |||
|
Income from securities lending, net (including affiliated income of $1,010) |
1,040 | |||
|
|
|
|||
|
Total income |
1,542,060 | |||
|
|
|
|||
| EXPENSES | ||||
|
Management fee |
264,499 | |||
|
Distribution fee |
139,436 | |||
|
Custodian and accounting fees |
59,274 | |||
|
Audit fee |
51,810 | |||
|
Legal fees and expenses |
12,157 | |||
|
Trustees’ fees |
10,220 | |||
|
Transfer agent’s fees and expenses (including affiliated expense of $2,188) |
7,009 | |||
|
Shareholders’ reports |
6,580 | |||
|
Miscellaneous |
15,862 | |||
|
|
|
|||
|
Total expenses |
566,847 | |||
|
Less: Fee waiver and/or expense reimbursement |
(47,270 | ) | ||
|
|
|
|||
|
Net expenses |
519,577 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) | 1,022,483 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
|
Net realized gain (loss) on: |
||||
|
Investment transactions (including affiliated of $131) |
365,921 | |||
|
Futures transactions |
98,531 | |||
|
Options written transactions |
13,375 | |||
|
Swap agreements transactions |
772,289 | |||
|
|
|
|||
| 1,250,116 | ||||
|
|
|
|||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments (including affiliated of $71) |
1,113,814 | |||
|
Futures |
260,416 | |||
|
Swap agreements |
(309,976 | ) | ||
|
|
|
|||
| 1,064,254 | ||||
|
|
|
|||
| NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 2,314,370 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,336,853 | ||
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 1,022,483 | $ | 1,239,580 | ||||
|
Net realized gain (loss) on investment transactions |
1,250,116 | 354,999 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments |
1,064,254 | (1,999,991 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
3,336,853 | (405,412 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [102,378 and 1,216,369 shares, respectively] |
1,456,192 | 16,201,930 | ||||||
|
Portfolio shares repurchased [1,850,587 and 2,655,688 shares, respectively] |
(25,923,286 | ) | (35,470,429 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(24,467,094 | ) | (19,268,499 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | — | 429 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | (21,130,241 | ) | (19,673,482 | ) | ||||
| NET ASSETS: | ||||||||
|
Beginning of year |
68,009,752 | 87,683,234 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 46,879,511 | $ | 68,009,752 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A29
| AST BOND PORTFOLIO 2023 | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A30
| AST BOND PORTFOLIO 2023 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
|||||||||||||||
|
Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2012-LC04, Class A4 |
|
|||||||||||||||
|
3.288% |
12/10/44 | 212 | $ | 215,255 | ||||||||||||
|
Series 2013-LC06, Class A3 |
|
|||||||||||||||
|
2.666% |
01/10/46 | 73 | 74,118 | |||||||||||||
|
Series 2014-UBS02, Class A2 |
|
|||||||||||||||
|
2.820% |
03/10/47 | 50 | 49,731 | |||||||||||||
|
Series 2015-CR27, Class A1 |
|
|||||||||||||||
|
1.577% |
10/10/48 | 93 | 92,641 | |||||||||||||
|
Series 2016-CR28, Class A1 |
|
|||||||||||||||
|
1.770% |
02/10/49 | 8 | 7,831 | |||||||||||||
|
Series 2017-COR2, Class A1 |
|
|||||||||||||||
|
2.111% |
09/10/50 | 104 | 103,587 | |||||||||||||
|
DBJPM Mortgage Trust, |
|
|||||||||||||||
|
Series 2016-C03, Class A1 |
|
|||||||||||||||
|
1.502% |
08/10/49 | 133 | 131,764 | |||||||||||||
|
Series 2016-C03, Class A2 |
|
|||||||||||||||
|
1.886% |
08/10/49 | 100 | 99,267 | |||||||||||||
|
Series 2017-C06, Class A1 |
|
|||||||||||||||
|
1.907% |
06/10/50 | 138 | 137,470 | |||||||||||||
|
Fannie Mae-Aces, |
|
|||||||||||||||
|
Series 2019-M25, Class AV1 |
|
|||||||||||||||
|
2.050% |
12/25/26 | 322 | 320,754 | |||||||||||||
|
FHLMC Multifamily Structured Pass-Through Certificates, |
|
|||||||||||||||
|
Series K054, Class A2 |
|
|||||||||||||||
|
2.745% |
01/25/26 | 380 | 390,260 | |||||||||||||
|
GS Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2015-GC32, Class A3 |
|
|||||||||||||||
|
3.498% |
07/10/48 | 300 | 315,558 | |||||||||||||
|
JPMBB Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2015-C28, Class A2 |
|
|||||||||||||||
|
2.773% |
10/15/48 | 58 | 58,288 | |||||||||||||
|
Series 2015-C28, Class A3 |
|
|||||||||||||||
|
2.912% |
10/15/48 | 240 | 245,068 | |||||||||||||
|
JPMCC Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2017-JP07, Class A1 |
|
|||||||||||||||
|
1.969% |
09/15/50 | 142 | 141,710 | |||||||||||||
|
JPMorgan Chase Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2014-C20, Class A3A2, 144A |
|
|||||||||||||||
|
3.472% |
07/15/47 | 177 | 179,567 | |||||||||||||
|
Series 2016-JP02, Class A1 |
|
|||||||||||||||
|
1.324% |
08/15/49 | 22 | 21,886 | |||||||||||||
|
LCCM, |
|
|||||||||||||||
|
Series 2017-LC26, Class A1, 144A |
|
|||||||||||||||
|
1.976% |
07/12/50 | 235 | 234,298 | |||||||||||||
|
Morgan Stanley Bank of America Merrill Lynch Trust, |
|
|||||||||||||||
|
Series 2014-C14, Class A3 |
|
|||||||||||||||
|
3.669% |
02/15/47 | 59 | 59,194 | |||||||||||||
|
Series 2015-C24, Class A3 |
|
|||||||||||||||
|
3.479% |
05/15/48 | 400 | 419,615 | |||||||||||||
|
Series 2016-C32, Class A1 |
|
|||||||||||||||
|
1.968% |
12/15/49 | 38 | 37,442 | |||||||||||||
|
Morgan Stanley Capital I Trust, |
|
|||||||||||||||
|
Series 2016-UB12, Class A1 |
|
|||||||||||||||
|
1.779% |
12/15/49 | 118 | 117,636 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A31
| AST BOND PORTFOLIO 2023 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A32
| AST BOND PORTFOLIO 2023 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A33
| AST BOND PORTFOLIO 2023 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $297,686; cash collateral of $304,223 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded
|
Description |
Call/
Put |
Counterparty |
Expiration
|
Strike | Contracts |
Notional
Amount (000)# |
Value | |||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 99 | $ | 1,031 | |||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 96 | 999 | ||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 240 | 2,291 | ||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 477 | 4,786 | ||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 480 | 5,050 | ||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 96 | 940 | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
|
Total Options Purchased
|
$ | 15,097 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
Futures contracts outstanding at December 31, 2019:
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||
|
Long Position: |
||||||||||||||
| 22 |
10 Year U.S. Ultra Treasury Notes |
Mar. 2020 | $ | 3,095,469 | $ | (17,298 | ) | |||||||
|
|
|
|||||||||||||
| Short Positions: | ||||||||||||||
| 7 |
90 Day Euro Dollar |
Dec. 2020 | 1,721,650 | 4,411 | ||||||||||
| 33 |
2 Year U.S. Treasury Notes |
Mar. 2020 | 7,111,500 | 4,584 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A34
| AST BOND PORTFOLIO 2023 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Futures contracts outstanding at December 31, 2019 (continued):
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
| Short Positions (continued): | ||||||||||||||||
| 27 | 5 Year U.S. Treasury Notes | Mar. 2020 | $ | 3,202,453 | $ | 10,258 | ||||||||||
| 2 | 10 Year U.S. Treasury Notes | Mar. 2020 | 256,844 | 1,841 | ||||||||||||
|
10
|
20 Year U.S. Treasury Bonds | Mar. 2020 | 1,559,062 | 22,954 | ||||||||||||
| 2 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2020 | 363,313 | 9,091 | ||||||||||||
|
|
|
|||||||||||||||
| 53,139 | ||||||||||||||||
|
|
|
|||||||||||||||
| $ | 35,841 | |||||||||||||||
|
|
|
|||||||||||||||
Interest rate swap agreements outstanding at December 31, 2019:
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements: |
||||||||||||||||||||||||
| 434 | 03/31/21 | 2.173%(A) |
1 Day USOIS(2)(A) |
$ | — | $ | 4,095 | $ | 4,095 | |||||||||||||||
| 1,504 | 12/15/21 | 1.554%(S) |
3 Month LIBOR(2)(Q) |
— | (2,205 | ) | (2,205 | ) | ||||||||||||||||
| 645 | 05/31/22 | 2.217%(S) |
3 Month LIBOR(1)(Q) |
153 | (8,247 | ) | (8,400 | ) | ||||||||||||||||
| 230 | 05/31/22 | 2.353%(A) |
1 Day USOIS(1)(A) |
— | (5,276 | ) | (5,276 | ) | ||||||||||||||||
| 10,230 | 12/31/23 | 0.000%(T) |
3 Month LIBOR(2)(T) |
(93,776 | ) | (432,368 | ) | (338,592 | ) | |||||||||||||||
| 810 | 03/29/24 | 1.949%(A) |
1 Day USOIS(1)(A) |
— | (15,003 | ) | (15,003 | ) | ||||||||||||||||
| 8,050 | 05/11/24 | 2.139%(S) |
3 Month LIBOR(2)(Q) |
(556,746 | ) | 147,310 | 704,056 | |||||||||||||||||
| 230 | 02/12/25 | 2.408%(A) |
1 Day USOIS(1)(A) |
— | (10,852 | ) | (10,852 | ) | ||||||||||||||||
| 235 | 07/31/25 | 3.109%(S) |
3 Month LIBOR(1)(Q) |
— | (19,359 | ) | (19,359 | ) | ||||||||||||||||
| 210 | 11/12/25 | 2.263%(S) |
3 Month LIBOR(1)(Q) |
152 | (6,021 | ) | (6,173 | ) | ||||||||||||||||
| 122 | 01/31/26 | 2.269%(A) |
1 Day USOIS(1)(A) |
(1,094 | ) | (5,502 | ) | (4,408 | ) | |||||||||||||||
| 125 | 04/30/26 | 1.875%(S) |
3 Month LIBOR(1)(Q) |
(492 | ) | (768 | ) | (276 | ) | |||||||||||||||
| 131 | 02/15/27 | 1.824%(A) |
1 Day USOIS(1)(A) |
1,615 | (1,955 | ) | (3,570 | ) | ||||||||||||||||
| 130 | 02/15/27 | 1.965%(A) |
1 Day USOIS(1)(A) |
— | (3,351 | ) | (3,351 | ) | ||||||||||||||||
| 130 | 05/15/27 | 2.295%(S) |
3 Month LIBOR(1)(Q) |
— | (4,466 | ) | (4,466 | ) | ||||||||||||||||
| 1,005 | 08/15/28 | 2.579%(A) |
1 Day USOIS(1)(A) |
(11,335 | ) | (81,813 | ) | (70,478 | ) | |||||||||||||||
| 127 | 08/15/28 | 2.835%(S) |
3 Month LIBOR(1)(Q) |
— | (11,092 | ) | (11,092 | ) | ||||||||||||||||
| 1,550 | 08/15/29 | 1.611%(A) |
1 Day USOIS(1)(A) |
460 | 4,792 | 4,332 | ||||||||||||||||||
| 282 | 08/15/29 | 1.717%(S) |
3 Month LIBOR(1)(Q) |
— | 3,968 | 3,968 | ||||||||||||||||||
| 405 | 02/15/36 | 2.338%(S) |
3 Month LIBOR(2)(Q) |
(2,863 | ) | 20,399 | 23,262 | |||||||||||||||||
| 65 | 08/09/49 | 1.508%(A) |
1 Day USOIS(1)(A) |
— | 5,162 | 5,162 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | (663,926 | ) | $ | (422,552 | ) | $ | 241,374 | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating
|
Fair
Value |
Upfront
Premiums Paid(Received) |
Unrealized
Appreciaton (Depreciation) |
Counterparty |
|||||||||||||||||||
|
OTC Interest Rate Swap Agreements: |
||||||||||||||||||||||||||
| 3,750 | 12/31/23 | 0.000%(T) |
3 Month LIBOR(2)(T) |
$ | 421,956 | $ | — | $ | 421,956 |
JPMorgan Chase Bank, N.A. |
||||||||||||||||
| 2,000 | 12/31/23 | 0.000%(T) |
3 Month LIBOR(2)(T) |
150,311 | — | 150,311 |
JPMorgan Chase Bank, N.A. |
|||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 572,267 | $ | — | $ | 572,267 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
| Premiums Paid | Premiums Received |
Unrealized
Appreciation |
Unrealized
Depreciation |
|||||||||||||
|
OTC Swap Agreements |
$ | — | $ | — | $ | 572,267 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A35
| AST BOND PORTFOLIO 2023 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||||
|
Citigroup Global Markets, Inc. |
$ | 368,000 | $ | 585,098 | ||||||
|
|
|
|
|
|||||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Automobiles |
$ | — | $ | 1,352,118 | $ | — | ||||||
|
Collateralized Loan Obligations |
— | 3,237,517 | — | |||||||||
|
Consumer Loans |
— | 334,342 | — | |||||||||
|
Credit Cards |
— | 1,336,951 | — | |||||||||
|
Equipment |
— | 200,490 | — | |||||||||
|
Student Loans |
— | 203,110 | — | |||||||||
|
Commercial Mortgage-Backed Securities |
— | 5,430,203 | — | |||||||||
|
Corporate Bonds |
— | 5,926,357 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 378,280 | — | |||||||||
|
Sovereign Bonds |
— | 766,117 | — | |||||||||
|
U.S. Government Agency Obligation |
— | 71,520 | — | |||||||||
|
U.S. Treasury Obligations |
— | 8,795,401 | — | |||||||||
|
Affiliated Mutual Funds |
438,192 | — | — | |||||||||
|
Options Purchased |
— | 15,097 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 438,192 | $ | 28,047,503 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 53,139 | $ | — | $ | — | ||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | 744,875 | — | |||||||||
|
OTC Interest Rate Swap Agreements |
— | 572,267 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 53,139 | $ | 1,317,142 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (17,298 | ) | $ | — | $ | — | |||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | (503,501 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (17,298 | ) | $ | (503,501 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
U.S. Treasury Obligations |
30.1 | % | ||
|
Commercial Mortgage-Backed Securities |
18.6 |
|
Collateralized Loan Obligations |
11.1 | % | ||
|
Banks |
7.4 |
SEE NOTES TO FINANCIAL STATEMENTS.
A36
| AST BOND PORTFOLIO 2023 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Industry Classification (con’t):
|
Automobiles |
4.6 | % | ||
|
Credit Cards |
4.6 | |||
|
Sovereign Bonds |
2.6 | |||
|
Insurance |
2.3 | |||
|
Pharmaceuticals |
1.8 | |||
|
Pipelines |
1.8 | |||
|
Auto Manufacturers |
1.8 | |||
|
Electric |
1.5 | |||
|
Affiliated Mutual Funds (1.0% represents investments purchased with collateral from securities on loan) |
1.5 | |||
|
Residential Mortgage-Backed Securities |
1.3 | |||
|
Consumer Loans |
1.1 | |||
|
Healthcare-Services |
1.1 | |||
|
Chemicals |
1.0 |
|
Student Loans |
0.7 | |||
|
Equipment |
0.7 | % | ||
|
Computers |
0.3 | |||
|
Miscellaneous Manufacturing |
0.3 | |||
|
U.S. Government Agency Obligation |
0.2 | |||
|
Airlines |
0.2 | |||
|
Biotechnology |
0.2 | |||
|
Machinery-Diversified |
0.2 | |||
|
Telecommunications |
0.2 | |||
|
Oil & Gas |
0.2 | |||
|
Options Purchased |
0.1 | |||
|
|
|
|||
| 97.5 | ||||
|
Other assets in excess of liabilities |
2.5 | |||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Asset Derivatives |
Liability Derivatives |
|||||||||||
|
Derivatives not accounted for as hedging
|
Statement of Assets and
|
Fair Value |
Statement of Assets and
|
Fair Value | ||||||||
|
Interest rate contracts |
Due from/to broker — variation margin futures | $ | 53,139 | * | Due from/to broker — variation margin futures | $ | 17,298 | * | ||||
|
Interest rate contracts |
Due from/to broker — variation margin swaps | 744,875 | * | Due from/to broker — variation margin swaps | 503,501 | * | ||||||
|
Interest rate contracts |
Unaffiliated investments | 15,097 | — | — | ||||||||
|
Interest rate contracts |
Unrealized appreciation on OTC swap agreements | 572,267 | — | — | ||||||||
|
|
|
|
|
|||||||||
| $ | 1,385,378 | $ | 520,799 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A37
| AST BOND PORTFOLIO 2023 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
|
Derivatives not accounted for as hedging
|
Options
|
Futures |
Swaps |
|||||
|
Interest rate contracts |
$899 | $ | 117,146 | $799,012 | ||||
|
|
|
|
|
|||||
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Options Purchased(1) |
Options
|
Futures
|
Futures
|
|||
| $4,603 | $35,200 | $5,099,369 | $14,482,182 |
|
Inflation Swap
|
Interest Rate
Swap
|
|
| $144,000 | $35,549,000 |
|
Credit Default
Swap Agreements—
|
| $14,000 |
| (1) |
Cost. |
| (2) |
Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 297,686 | $ | (297,686 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
Offsetting of OTC derivative assets and liabilities:
|
Counterparty |
Gross Amounts of
Recognized Assets(1) |
Gross Amounts of
Recognized Liabilities(1) |
Net Amounts of
Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||||||||
|
Bank of America, N.A. |
$ | 12,127 | $ | — | $ | 12,127 | $ | — | $ | 12,127 | ||||||||||
|
Barclays Bank PLC |
2,970 | — | 2,970 | — | 2,970 | |||||||||||||||
|
JPMorgan Chase Bank, N.A. |
572,267 | — | 572,267 | (572,267 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 587,364 | $ | — | $ | 587,364 | $ | (572,267 | ) | $ | 15,097 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A38
| AST BOND PORTFOLIO 2023 (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $297,686: |
||||
|
Unaffiliated investments (cost $27,624,459) |
$ | 28,047,503 | ||
|
Affiliated investments (cost $438,192) |
438,192 | |||
|
Unrealized appreciation on OTC swap agreements |
572,267 | |||
|
Deposit with broker for centrally cleared/exchange-traded derivatives |
368,000 | |||
|
Dividends and interest receivable |
164,874 | |||
|
Due from broker-variation margin futures |
1,361 | |||
|
Prepaid expenses |
812 | |||
|
|
|
|||
|
Total Assets |
29,593,009 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
304,223 | |||
|
Audit fee payable |
26,655 | |||
|
Custodian and accounting fees payable |
21,343 | |||
|
Accrued expenses and other liabilities |
6,834 | |||
|
Due to broker-variation margin swaps |
5,212 | |||
|
Payable for Portfolio shares repurchased |
3,979 | |||
|
Distribution fee payable |
1,217 | |||
|
Management fee payable |
1,025 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
370,845 | |||
|
|
|
|||
| NET ASSETS | $ | 29,222,164 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 29,222,164 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $29,222,164 / 2,413,734 outstanding shares of beneficial interest |
$ | 12.11 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 581,080 | $ | 571,771 | ||||
|
Net realized gain (loss) on investment transactions |
66,420 | 60,164 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments |
1,581,327 | (636,378 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
2,228,827 | (4,443 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [341,989 and 1,604,559 shares, respectively] |
3,971,440 | 17,828,827 | ||||||
|
Portfolio shares repurchased [1,351,153 and 1,272,477 shares, respectively] |
(15,884,966 | ) | (14,157,713 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(11,913,526 | ) | 3,671,114 | |||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | — | 7,029 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | (9,684,699 | ) | 3,673,700 | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
38,906,863 | 35,233,163 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 29,222,164 | $ | 38,906,863 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A39
| AST BOND PORTFOLIO 2024 | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| LONG-TERM INVESTMENTS — 98.0% |
|
|||||||||||||||
| ASSET-BACKED SECURITIES — 32.2% |
|
|||||||||||||||
|
Automobiles — 12.3% |
|
|||||||||||||||
|
AmeriCredit Automobile Receivables Trust, |
|
|||||||||||||||
|
Series 2018-02, Class C |
|
|||||||||||||||
|
3.590% |
06/18/24 | 400 | $ | 411,872 | ||||||||||||
|
ARI Fleet Lease Trust, |
|
|||||||||||||||
|
Series 2017-A, Class A2, 144A |
|
|||||||||||||||
|
1.910% |
04/15/26 | 19 | 19,331 | |||||||||||||
|
Avis Budget Rental Car Funding AESOP LLC, |
|
|||||||||||||||
|
Series 2019-01A, Class A, 144A |
|
|||||||||||||||
|
3.450% |
03/20/23 | 100 | 102,257 | |||||||||||||
|
Bank of The West Auto Trust, |
|
|||||||||||||||
|
Series 2017-01, Class A3, 144A |
|
|||||||||||||||
|
2.110% |
01/15/23 | 75 | 75,030 | |||||||||||||
|
CarMax Auto Owner Trust, |
|
|||||||||||||||
|
Series 2017-04, Class A3 |
|
|||||||||||||||
|
2.110% |
10/17/22 | 84 | 83,993 | |||||||||||||
|
Series 2018-01, Class A3 |
|
|||||||||||||||
|
2.480% |
11/15/22 | 100 | 100,368 | |||||||||||||
|
Series 2018-04, Class B |
|
|||||||||||||||
|
3.670% |
05/15/24 | 400 | 414,967 | |||||||||||||
|
Series 2019-01, Class A2A |
|
|||||||||||||||
|
3.020% |
07/15/22 | 136 | 136,178 | |||||||||||||
|
Chesapeake Funding II LLC (Canada), |
|
|||||||||||||||
|
Series 2017-03A, Class A2, 144A, 1 Month LIBOR + 0.340%
|
|
|||||||||||||||
|
2.080%(c) |
08/15/29 | 38 | 38,071 | |||||||||||||
|
Series 2017-04A, Class A1, 144A |
|
|||||||||||||||
|
2.120% |
11/15/29 | 48 | 48,059 | |||||||||||||
|
Enterprise Fleet Financing LLC, |
|
|||||||||||||||
|
Series 2017-01, Class A2, 144A |
|
|||||||||||||||
|
2.130% |
07/20/22 | 62 | 62,221 | |||||||||||||
|
Series 2017-03, Class A2, 144A |
|
|||||||||||||||
|
2.130% |
05/22/23 | 37 | 37,466 | |||||||||||||
|
Series 2018-01, Class A2, 144A |
|
|||||||||||||||
|
2.870% |
10/20/23 | 113 | 113,124 | |||||||||||||
|
Ford Credit Auto Owner Trust, |
|
|||||||||||||||
|
Series 2018-02, Class A, 144A |
|
|||||||||||||||
|
3.470% |
01/15/30 | 200 | 208,500 | |||||||||||||
|
Ford Credit Floorplan Master Owner Trust, |
|
|||||||||||||||
|
Series 2018-02, Class A |
|
|||||||||||||||
|
3.170% |
03/15/25 | 400 | 412,074 | |||||||||||||
|
GM Financial Consumer Automobile Receivables Trust, |
|
|||||||||||||||
|
Series 2018-04, Class C |
|
|||||||||||||||
|
3.620% |
06/17/24 | 100 | 103,064 | |||||||||||||
|
OneMain Direct Auto Receivables Trust, |
|
|||||||||||||||
|
Series 2017-02A, Class A, 144A |
|
|||||||||||||||
|
2.310% |
12/14/21 | 35 | 34,823 | |||||||||||||
|
Series 2018-01A, Class A, 144A |
|
|||||||||||||||
|
3.430% |
12/16/24 | 400 | 406,430 | |||||||||||||
|
World Omni Automobile Lease Securitization Trust, |
|
|||||||||||||||
|
Series 2018-A, Class A2 |
|
|||||||||||||||
|
2.590% |
11/16/20 | 10 | 9,970 | |||||||||||||
|
|
|
|||||||||||||||
| 2,817,798 | ||||||||||||||||
|
|
|
|||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A40
| AST BOND PORTFOLIO 2024 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
|||||||||||||||
|
Series 2016-DC02, Class A1 |
|
|||||||||||||||
|
1.820% |
02/10/49 | 481 | $ | 480,002 | ||||||||||||
|
CSAIL Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2015-C04, Class A1 |
|
|||||||||||||||
|
2.010% |
11/15/48 | 53 | 53,173 | |||||||||||||
|
DBJPM Mortgage Trust, |
|
|||||||||||||||
|
Series 2017-C06, Class A1 |
|
|||||||||||||||
|
1.907% |
06/10/50 | 372 | 370,850 | |||||||||||||
|
Fannie Mae-Aces, |
|
|||||||||||||||
|
Series 2018-M04, Class A1 |
|
|||||||||||||||
|
2.945%(cc) |
03/25/28 | 224 | 232,078 | |||||||||||||
|
GS Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2013-GC14, Class A3 |
|
|||||||||||||||
|
3.526% |
08/10/46 | 4 | 3,689 | |||||||||||||
|
Series 2014-GC22, Class A3 |
|
|||||||||||||||
|
3.516% |
06/10/47 | 232 | 236,771 | |||||||||||||
|
Series 2015-GC32, Class A3 |
|
|||||||||||||||
|
3.498% |
07/10/48 | 100 | 105,186 | |||||||||||||
|
Series 2017-GS07, Class A1 |
|
|||||||||||||||
|
1.950% |
08/10/50 | 203 | 202,181 | |||||||||||||
|
JPMCC Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2017-JP07, Class A1 |
|
|||||||||||||||
|
1.969% |
09/15/50 | 301 | 299,898 | |||||||||||||
|
JPMDB Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2016-C02, Class A1 |
|
|||||||||||||||
|
1.423% |
06/15/49 | 253 | 252,381 | |||||||||||||
|
Series 2017-C07, Class A1 |
|
|||||||||||||||
|
2.081% |
10/15/50 | 99 | 98,728 | |||||||||||||
|
JPMorgan Chase Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2013-LC11, Class A4 |
|
|||||||||||||||
|
2.694% |
04/15/46 | 240 | 243,504 | |||||||||||||
|
Morgan Stanley Bank of America Merrill Lynch Trust, |
|
|||||||||||||||
|
Series 2015-C24, Class A3 |
|
|||||||||||||||
|
3.479% |
05/15/48 | 150 | 157,356 | |||||||||||||
|
Series 2016-C32, Class A3 |
|
|||||||||||||||
|
3.459% |
12/15/49 | 400 | 422,094 | |||||||||||||
|
Series 2017-C33, Class A1 |
|
|||||||||||||||
|
2.031% |
05/15/50 | 105 | 105,321 | |||||||||||||
|
Morgan Stanley Capital I Trust, |
|
|||||||||||||||
|
Series 2016-UB12, Class A1 |
|
|||||||||||||||
|
1.779% |
12/15/49 | 257 | 256,279 | |||||||||||||
|
Wells Fargo Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2015-NXS03, Class A1 |
|
|||||||||||||||
|
1.504% |
09/15/57 | 16 | 16,316 | |||||||||||||
|
Series 2016-C35, Class A1 |
|
|||||||||||||||
|
1.392% |
07/15/48 | 255 | 253,880 | |||||||||||||
|
Series 2017-C38, Class A1 |
|
|||||||||||||||
|
1.968% |
07/15/50 | 147 | 146,492 | |||||||||||||
|
Series 2017-C41, Class ASB |
|
|||||||||||||||
|
3.390% |
11/15/50 | 300 | 314,086 | |||||||||||||
|
Series 2017-RB01, Class A1 |
|
|||||||||||||||
|
2.056% |
03/15/50 | 132 | 132,005 | |||||||||||||
|
|
|
|||||||||||||||
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
|
|
6,237,924 | ||||||||||||||
|
|
|
|||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A41
| AST BOND PORTFOLIO 2024 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A42
| AST BOND PORTFOLIO 2024 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Shares | ||||||||
| SHORT-TERM INVESTMENTS — 0.7% |
|
|||||||
|
AFFILIATED MUTUAL FUNDS — 0.5% |
|
|||||||
|
PGIM Core Ultra Short Bond Fund(w) |
238 | 238 | ||||||
|
PGIM Institutional Money Market Fund (cost $120,291; includes $119,972 of cash collateral for securities on loan)(b)(w) |
120,280 | 120,304 | ||||||
|
|
|
|||||||
|
TOTAL AFFILIATED MUTUAL FUNDS
|
|
120,542 | ||||||
|
|
|
|||||||
|
OPTIONS PURCHASED*~ —
0.2%
|
|
35,006 | ||||||
|
|
|
|||||||
|
TOTAL SHORT-TERM INVESTMENTS
|
|
155,548 | ||||||
|
|
|
|||||||
|
TOTAL INVESTMENTS — 98.7%
|
|
22,557,173 | ||||||
|
Other assets in excess of liabilities(z) — 1.3% |
|
295,539 | ||||||
|
|
|
|||||||
|
NET ASSETS — 100.0% |
|
$ | 22,852,712 | |||||
|
|
|
|||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $117,528; cash collateral of $119,972 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
A43
| AST BOND PORTFOLIO 2024 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (cc) |
Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
| (ff) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded
|
Description |
Call/
Put |
Counterparty |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | |||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 228 | $ | 2,375 | |||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 222 | 2,310 | ||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 556 | 5,306 | ||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 1,102 | 11,057 | ||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 1,120 | 11,783 | ||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 222 | 2,175 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
|
Total Options Purchased
|
|
$ | 35,006 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
Futures contracts outstanding at December 31, 2019:
|
Number of
|
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||
|
Long Positions: |
||||||||||||||
| 42 |
10 Year U.S. Treasury Notes |
Mar. 2020 | $ | 5,393,719 | $ | (49,795 | ) | |||||||
| 57 |
10 Year U.S. Ultra Treasury Notes |
Mar. 2020 | 8,020,078 | (90,519 | ) | |||||||||
| 3 |
30 Year U.S. Ultra Treasury Bonds |
Mar. 2020 | 544,969 | (14,848 | ) | |||||||||
|
|
|
|||||||||||||
| (155,162 | ) | |||||||||||||
|
|
|
|||||||||||||
|
Short Positions: |
||||||||||||||
| 8 |
90 Day Euro Dollar |
Dec. 2020 | 1,967,600 | 5,034 | ||||||||||
| 23 |
2 Year U.S. Treasury Notes |
Mar. 2020 | 4,956,500 | (197 | ) | |||||||||
| 147 |
5 Year U.S. Treasury Notes |
Mar. 2020 | 17,435,579 | 63,602 | ||||||||||
| 17 |
20 Year U.S. Treasury Bonds |
Mar. 2020 | 2,650,406 | 39,584 | ||||||||||
|
|
|
|||||||||||||
| 108,023 | ||||||||||||||
|
|
|
|||||||||||||
| $ | (47,139 | ) | ||||||||||||
|
|
|
|||||||||||||
Interest rate swap agreements outstanding at December 31, 2019:
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements: |
||||||||||||||||||||||||
| 795 | 05/31/21 | 1.953%(S) |
3 Month LIBOR(2)(Q) |
$ | 51 | $ | 2,549 | $ | 2,498 | |||||||||||||||
| 48,675 | 07/10/24 | 2.187%(S) |
3 Month LIBOR(2)(Q) |
(1,095,402 | ) | 1,277,917 | 2,373,319 | |||||||||||||||||
| 4,352 | 05/31/25 | 2.998%(S) |
3 Month LIBOR(1)(Q) |
(4,325 | ) | (287,013 | ) | (282,688 | ) | |||||||||||||||
| 4,358 | 07/31/25 | 3.109%(S) |
3 Month LIBOR(1)(Q) |
188 | (359,001 | ) | (359,189 | ) | ||||||||||||||||
| 125 | 01/31/26 | 2.236%(S) |
3 Month LIBOR(1)(Q) |
— | (4,175 | ) | (4,175 | ) | ||||||||||||||||
| 2,550 | 01/31/26 | 2.406%(S) |
3 Month LIBOR(1)(Q) |
(38,324 | ) | (112,157 | ) | (73,833 | ) | |||||||||||||||
| 5,751 | 04/30/26 | 1.876%(S) |
3 Month LIBOR(1)(Q) |
(3,822 | ) | (35,336 | ) | (31,514 | ) | |||||||||||||||
| 131 | 02/15/27 | 1.824%(A) |
1 Day USOIS(1)(A) |
1,615 | (1,955 | ) | (3,570 | ) | ||||||||||||||||
| 4,147 | 08/15/28 | 2.579%(A) |
1 Day USOIS(1)(A) |
(48,491 | ) | (337,493 | ) | (289,002 | ) | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A44
| AST BOND PORTFOLIO 2024 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements (continued): |
||||||||||||||||||||||||
| 1,592 | 08/15/28 | 2.835%(S) |
3 Month LIBOR(1)(Q) |
$ | (114,129 | ) | $ | (139,046 | ) | $ | (24,917 | ) | ||||||||||||
| 422 | 08/15/29 | 1.611%(A) |
1 Day USOIS(1)(A) |
184 | 1,305 | 1,121 | ||||||||||||||||||
| 175 | 05/11/30 | 2.000%(S) |
3 Month LIBOR(1)(Q) |
(4,026 | ) | (1,601 | ) | 2,425 | ||||||||||||||||
| 405 | 02/15/36 | 2.338%(S) |
3 Month LIBOR(2)(Q) |
(2,863 | ) | 20,399 | 23,262 | |||||||||||||||||
| 85 | 08/09/49 | 1.508%(A) |
1 Day USOIS(1)(A) |
— | 6,750 | 6,750 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | (1,309,344 | ) | $ | 31,143 | $ | 1,340,487 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||
|
Citigroup Global Markets Inc. |
$ | 280,000 | $ | 893,013 | ||||
|
|
|
|
|
|||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Automobiles |
$ | — | $ | 2,817,798 | $ | — | ||||||
|
Collateralized Loan Obligations |
— | 3,099,358 | — | |||||||||
|
Consumer Loans |
— | 371,931 | — | |||||||||
|
Equipment |
— | 200,490 | — | |||||||||
|
Student Loans |
— | 859,487 | — | |||||||||
|
Commercial Mortgage-Backed Securities |
— | 6,237,924 | — | |||||||||
|
Corporate Bonds |
— | 5,768,047 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 556,919 | — | |||||||||
|
Sovereign Bonds |
— | 610,303 | — | |||||||||
|
U.S. Government Agency Obligation |
— | 986,355 | — | |||||||||
|
U.S. Treasury Obligations |
— | 893,013 | — | |||||||||
|
Affiliated Mutual Funds |
120,542 | — | — | |||||||||
|
Options Purchased |
— | 35,006 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 120,542 | $ | 22,436,631 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 108,220 | $ | — | $ | — | ||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | 2,409,375 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 108,220 | $ | 2,409,375 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A45
|
AST BOND PORTFOLIO 2024 (continued) |
||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Other Financial Instruments* (continued) |
||||||||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (155,359 | ) | $ | — | $ | — | |||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | (1,068,888 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (155,359 | ) | $ | (1,068,888 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Commercial Mortgage-Backed Securities |
27.3 | % | ||
|
Collateralized Loan Obligations |
13.6 | |||
|
Automobiles |
12.3 | |||
|
Banks |
6.4 | |||
|
Pharmaceuticals |
4.4 | |||
|
Pipelines |
4.3 | |||
|
U.S. Government Agency Obligation |
4.3 | |||
|
U.S. Treasury Obligations |
3.9 | |||
|
Student Loans |
3.8 | |||
|
Sovereign Bonds |
2.7 | |||
|
Electric |
2.5 | |||
|
Residential Mortgage-Backed Securities |
2.4 | |||
|
Consumer Loans |
1.6 | |||
|
Oil & Gas |
1.6 | |||
|
Auto Manufacturers |
1.3 | |||
|
Healthcare – Services |
0.9 |
|
Equipment |
0.9 | % | ||
|
Multi-National |
0.8 | |||
|
Airlines |
0.8 | |||
|
Affiliated Mutual Funds (0.5% represents investments purchased with collateral from securities on loan) |
0.5 | |||
|
Miscellaneous Manufacturing |
0.5 | |||
|
Chemicals |
0.5 | |||
|
Real Estate Investment Trusts (REITs) |
0.5 | |||
|
Foods |
0.4 | |||
|
Insurance |
0.3 | |||
|
Options Purchased |
0.2 | |||
|
|
|
|||
| 98.7 | ||||
|
Other assets in excess of liabilities |
1.3 | |||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk and interst rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Asset Derivatives |
Liability Derivatives |
||||||||||
|
Statement of Assets and Liabilities Location |
Fair Value |
Statement of Assets and Liabilities Location |
Fair Value | |||||||||
|
Interest rate contracts |
Due from/to broker —
variation margin futures |
$ | 108,220 | * | Due from/to broker — variation margin futures | $ | 155,359 | * | ||||
|
Interest rate contracts |
Due from/to broker —
variation margin swaps |
2,409,375 | * |
Due from/to broker —
variation margin swaps |
1,068,888 | * | ||||||
|
Interest rate contracts |
Unaffiliated investments | 35,006 | — | — | ||||||||
|
|
|
|
|
|||||||||
| $ | 2,552,601 | $ | 1,224,247 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A46
| AST BOND PORTFOLIO 2024 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Options
|
Options
|
Futures
|
Futures
|
|||
| $8,429 | $61,600 | $26,163,025 | $44,872,900 |
|
Inflation Swap
|
Interest Rate
|
|
| $96,000 | $84,212,200 |
|
Credit Default
|
| $24,000 |
| (1) |
Cost. |
| (2) |
Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net
Amount |
|||||||||
|
Securities on Loan |
$ | 117,528 | $ | (117,528 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A47
| AST BOND PORTFOLIO 2024 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Offsetting of OTC derivative assets and liabilities:
|
Counterparty |
Gross
Amounts of Recognized Assets(1) |
Gross
Amounts of Recognized Liabilities(1) |
Net
Amounts of Recognized Assets/ (Liabilities) |
Collateral
Pledged/ (Received)(2) |
Net
Amount |
|||||||||||||||
|
Bank of America, N.A. |
$ | 28,146 | $ | — | $ | 28,146 | $ | — | $ | 28,146 | ||||||||||
|
Barclays Bank PLC |
6,860 | — | 6,860 | — | 6,860 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 35,006 | $ | — | $ | 35,006 | $ | — | $ | 35,006 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A48
| AST BOND PORTFOLIO 2024 (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $117,528: |
||||
|
Unaffiliated investments (cost $21,980,881) |
$ | 22,436,631 | ||
|
Affiliated investments (cost $120,529) |
120,542 | |||
|
Receivable for investments sold |
308,878 | |||
|
Deposit with broker for centrally cleared/exchange-traded derivatives |
280,000 | |||
|
Dividends and interest receivable |
103,846 | |||
|
Prepaid expenses and other assets |
918 | |||
|
|
|
|||
|
Total Assets |
23,250,815 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
119,972 | |||
|
Payable to custodian |
105,881 | |||
|
Payable for Portfolio shares repurchased |
98,395 | |||
|
Audit fee payable |
27,155 | |||
|
Custodian and accounting fees payable |
21,682 | |||
|
Due to broker-variation margin futures |
9,614 | |||
|
Accrued expenses and other liabilities |
8,583 | |||
|
Due to broker-variation margin swaps |
4,587 | |||
|
Distribution fee payable |
987 | |||
|
Management fee payable |
890 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
398,103 | |||
|
|
|
|||
| NET ASSETS | $ | 22,852,712 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 22,852,712 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $22,852,712 / 1,959,037 outstanding shares of beneficial interest |
$ | 11.67 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
| NET INVESTMENT INCOME (LOSS) | ||||
| INCOME | ||||
|
Interest income (net of $425 foreign withholding tax) |
$ | 1,590,828 | ||
|
Affiliated dividend income |
8,116 | |||
|
Income from securities lending, net (including affiliated income of $1,106) |
1,112 | |||
|
|
|
|||
|
Total income |
1,600,056 | |||
|
|
|
|||
| EXPENSES | ||||
|
Management fee |
247,160 | |||
|
Distribution fee |
130,300 | |||
|
Custodian and accounting fees |
65,809 | |||
|
Audit fee |
54,310 | |||
|
Legal fees and expenses |
12,380 | |||
|
Trustees’ fees |
10,150 | |||
|
Shareholders’ reports |
8,408 | |||
|
Transfer agent’s fees and expenses (including affiliated expense of $2,188) |
7,008 | |||
|
Miscellaneous |
27,753 | |||
|
|
|
|||
|
Total expenses |
563,278 | |||
|
Less: Fee waiver and/or expense reimbursement |
(70,362 | ) | ||
|
|
|
|||
|
Net expenses |
492,916 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) | 1,107,140 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
|
Net realized gain (loss) on: |
||||
|
Investment transactions (including affiliated of $51) |
1,031,138 | |||
|
Futures transactions |
(139,866 | ) | ||
|
Options written transactions |
13,678 | |||
|
Swap agreements transactions |
(136,020 | ) | ||
|
|
|
|||
| 768,930 | ||||
|
|
|
|||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments (including affiliated of $13) |
551,849 | |||
|
Futures |
460,673 | |||
|
Swap agreements |
1,691,896 | |||
|
|
|
|||
| 2,704,418 | ||||
|
|
|
|||
| NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 3,473,348 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 4,580,488 | ||
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
|
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS |
||||||||
|
Net investment income (loss) |
$ | 1,107,140 | $ | 1,476,026 | ||||
|
Net realized gain (loss) on investment transactions |
768,930 | (390,950 | ) | |||||
|
Net change in unrealized appreciation (depreciation) on investments |
2,704,418 | (892,188 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
4,580,488 | 192,888 | ||||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [241,953 and 7,324,677 shares, respectively] |
2,817,900 | 77,165,835 | ||||||
|
Portfolio shares repurchased [7,019,711 and 5,829,102 shares, respectively] |
(78,987,345 | ) | (61,712,810 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(76,169,445 | ) | 15,453,025 | |||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | — | 463 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | (71,588,957 | ) | 15,646,376 | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
94,441,669 | 78,795,293 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 22,852,712 | $ | 94,441,669 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A49
| AST BOND PORTFOLIO 2025 | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest
|
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
|
LONG-TERM INVESTMENTS — 98.5%
|
|
|||||||||||||||
| ASSET-BACKED SECURITIES — 39.0% |
|
|||||||||||||||
|
Automobiles — 16.4% |
|
|||||||||||||||
|
AmeriCredit Automobile Receivables Trust, |
|
|||||||||||||||
|
Series 2018-02, Class C |
|
|||||||||||||||
|
3.590% |
06/18/24 | 300 | $ | 308,904 | ||||||||||||
|
ARI Fleet Lease Trust, |
|
|||||||||||||||
|
Series 2017-A, Class A2, 144A |
|
|||||||||||||||
|
1.910% |
04/15/26 | 16 | 16,109 | |||||||||||||
|
BMW Floorplan Master Owner Trust, |
|
|||||||||||||||
|
Series 2018-01, Class A1, 144A |
|
|||||||||||||||
|
3.150% |
05/15/23 | 200 | 203,107 | |||||||||||||
|
CarMax Auto Owner Trust, |
|
|||||||||||||||
|
Series 2018-04, Class B |
|
|||||||||||||||
|
3.670% |
05/15/24 | 400 | 414,967 | |||||||||||||
|
Series 2019-01, Class A3 |
|
|||||||||||||||
|
3.050% |
03/15/24 | 1,100 | 1,118,616 | |||||||||||||
|
Chesapeake Funding II LLC (Canada), |
|
|||||||||||||||
|
Series 2018-03A, Class A1, 144A |
|
|||||||||||||||
|
3.390% |
01/15/31 | 336 | 340,429 | |||||||||||||
|
Enterprise Fleet Financing LLC, |
|
|||||||||||||||
|
Series 2018-01, Class A2, 144A |
|
|||||||||||||||
|
2.870% |
10/20/23 | 56 | 56,562 | |||||||||||||
|
Series 2018-02, Class A2, 144A |
|
|||||||||||||||
|
3.140% |
02/20/24 | 74 | 74,742 | |||||||||||||
|
Ford Credit Auto Owner Trust, |
|
|||||||||||||||
|
Series 2015-01, Class A, 144A |
|
|||||||||||||||
|
2.120% |
07/15/26 | 200 | 200,000 | |||||||||||||
|
Series 2015-02, Class A, 144A |
|
|||||||||||||||
|
2.440% |
01/15/27 | 500 | 500,972 | |||||||||||||
|
Series 2018-02, Class A, 144A |
|
|||||||||||||||
|
3.470% |
01/15/30 | 200 | 208,500 | |||||||||||||
|
Series 2019-01, Class A, 144A |
|
|||||||||||||||
|
3.520% |
07/15/30 | 500 | 524,531 | |||||||||||||
|
Ford Credit Floorplan Master Owner Trust, |
|
|||||||||||||||
|
Series 2018-02, Class A |
|
|||||||||||||||
|
3.170% |
03/15/25 | 500 | 515,092 | |||||||||||||
|
GM Financial Consumer Automobile Receivables Trust, |
|
|||||||||||||||
|
Series 2018-04, Class C |
|
|||||||||||||||
|
3.620% |
06/17/24 | 100 | 103,064 | |||||||||||||
|
Hyundai Auto Receivables Trust, |
|
|||||||||||||||
|
Series 2018-B, Class A3 |
|
|||||||||||||||
|
3.200% |
12/15/22 | 500 | 507,279 | |||||||||||||
|
OneMain Direct Auto Receivables Trust, |
|
|||||||||||||||
|
Series 2017-02A, Class A, 144A |
|
|||||||||||||||
|
2.310% |
12/14/21 | 47 | 46,431 | |||||||||||||
|
Series 2018-01A, Class A, 144A |
|
|||||||||||||||
|
3.430% |
12/16/24 | 300 | 304,823 | |||||||||||||
|
Toyota Auto Loan Extended Note Trust, |
|
|||||||||||||||
|
Series 2019-01A, Class A, 144A |
|
|||||||||||||||
|
2.560% |
11/25/31 | 300 | 304,464 | |||||||||||||
|
World Omni Automobile Lease Securitization Trust, |
|
|||||||||||||||
|
Series 2018-A, Class A2 |
|
|||||||||||||||
|
2.590% |
11/16/20 | 5 | 4,985 | |||||||||||||
|
|
|
|||||||||||||||
| 5,753,577 | ||||||||||||||||
|
|
|
|||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A50
| AST BOND PORTFOLIO 2025 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
|||||||||||||||
|
CFCRE Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2016-C07, Class A2 |
|
|||||||||||||||
|
3.585% |
12/10/54 | 1,220 | $ | 1,295,460 | ||||||||||||
|
Series 2017-C08, Class A1 |
|
|||||||||||||||
|
1.965% |
06/15/50 | 44 | 44,133 | |||||||||||||
|
CGMS Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2017-B01, Class A3 |
|
|||||||||||||||
|
3.197% |
08/15/50 | 250 | 260,105 | |||||||||||||
|
Citigroup Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2015-P01, Class A1 |
|
|||||||||||||||
|
1.648% |
09/15/48 | 20 | 20,059 | |||||||||||||
|
Series 2016-C01, Class A1 |
|
|||||||||||||||
|
1.506% |
05/10/49 | 123 | 122,100 | |||||||||||||
|
Series 2016-C02, Class A1 |
|
|||||||||||||||
|
1.499% |
08/10/49 | 77 | 76,940 | |||||||||||||
|
Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2014-CR19, Class A4 |
|
|||||||||||||||
|
3.532% |
08/10/47 | 110 | 115,198 | |||||||||||||
|
Series 2014-UBS02, Class A2 |
|
|||||||||||||||
|
2.820% |
03/10/47 | 30 | 29,839 | |||||||||||||
|
Series 2014-UBS04, Class A2 |
|
|||||||||||||||
|
2.963% |
08/10/47 | 3 | 3,049 | |||||||||||||
|
Series 2015-CR26, Class A3 |
|
|||||||||||||||
|
3.359% |
10/10/48 | 164 | 171,251 | |||||||||||||
|
Series 2016-DC02, Class A1 |
|
|||||||||||||||
|
1.820% |
02/10/49 | 37 | 36,608 | |||||||||||||
|
CSAIL Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2015-C03, Class A1 |
|
|||||||||||||||
|
1.717% |
08/15/48 | 21 | 20,969 | |||||||||||||
|
Series 2015-C04, Class A1 |
|
|||||||||||||||
|
2.010% |
11/15/48 | 32 | 31,700 | |||||||||||||
|
DBJPM Mortgage Trust, |
|
|||||||||||||||
|
Series 2016-C03, Class A1 |
|
|||||||||||||||
|
1.502% |
08/10/49 | 108 | 107,058 | |||||||||||||
|
Series 2017-C06, Class A1 |
|
|||||||||||||||
|
1.907% |
06/10/50 | 279 | 278,138 | |||||||||||||
|
Fannie Mae-Aces, |
|
|||||||||||||||
|
Series 2018-M04, Class A1 |
|
|||||||||||||||
|
2.945%(cc) |
03/25/28 | 163 | 168,784 | |||||||||||||
|
Series 2019-M01, Class A1 |
|
|||||||||||||||
|
3.355% |
06/25/28 | 374 | 393,938 | |||||||||||||
|
GS Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2014-GC20, Class A4 |
|
|||||||||||||||
|
3.721% |
04/10/47 | 18 | 18,022 | |||||||||||||
|
Series 2014-GC22, Class A3 |
|
|||||||||||||||
|
3.516% |
06/10/47 | 45 | 46,108 | |||||||||||||
|
Series 2017-GS07, Class A1 |
|
|||||||||||||||
|
1.950% |
08/10/50 | 122 | 121,309 | |||||||||||||
|
JPMBB Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2013-C12, Class A4 |
|
|||||||||||||||
|
3.363% |
07/15/45 | 19 | 19,471 | |||||||||||||
|
Series 2014-C19, Class A3 |
|
|||||||||||||||
|
3.669% |
04/15/47 | 90 | 92,799 | |||||||||||||
|
Series 2014-C21, Class A4 |
|
|||||||||||||||
|
3.493% |
08/15/47 | 145 | 151,449 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A51
| AST BOND PORTFOLIO 2025 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A52
| AST BOND PORTFOLIO 2025 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A53
| AST BOND PORTFOLIO 2025 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Value | ||||||
| OPTIONS PURCHASED*~ — 0.1% | ||||||
|
(cost $1,040) |
$ | 27,968 | ||||
|
|
|
|||||
|
TOTAL SHORT-TERM INVESTMENTS
|
471,371 | |||||
|
|
|
|||||
|
TOTAL INVESTMENTS — 99.8%
|
34,967,423 | |||||
|
Other assets in excess of liabilities(z) — 0.2% |
60,826 | |||||
|
|
|
|||||
|
NET ASSETS — 100.0% |
$ | 35,028,249 | ||||
|
|
|
|||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (cc) |
Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
| (ff) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded
|
Description |
Call/
Put |
Counterparty |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | |||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 182 | $ | 1,896 | |||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 177 | 1,842 | ||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 442 | 4,218 | ||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 878 | 8,809 | ||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 900 | 9,469 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A54
| AST BOND PORTFOLIO 2025 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Options Purchased (continued):
OTC Traded
|
Description |
Call/
Put |
Counterparty |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | |||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 177 | $ | 1,734 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
|
Total Options Purchased
|
|
$ | 27,968 | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
Futures contracts outstanding at December 31, 2019:
| Number of Contracts | Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
| Long Positions: | ||||||||||||||||
| 37 | 10 Year U.S. Treasury Notes | Mar. 2020 | $ | 4,751,610 | $ | (43,658 | ) | |||||||||
| 64 | 10 Year U.S. Ultra Treasury Notes | Mar. 2020 | 9,005,000 | (89,452 | ) | |||||||||||
|
|
|
|||||||||||||||
| (133,110 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| Short Positions: | ||||||||||||||||
| 11 | 90 Day Euro Dollar | Dec. 2020 | 2,705,450 | 6,929 | ||||||||||||
| 19 | 2 Year U.S. Treasury Notes | Mar. 2020 | 4,094,500 | (3,767 | ) | |||||||||||
| 188 | 5 Year U.S. Treasury Notes | Mar. 2020 | 22,298,563 | 76,321 | ||||||||||||
| 5 | 20 Year U.S. Treasury Bonds | Mar. 2020 | 779,531 | 8,586 | ||||||||||||
| 3 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2020 | 544,969 | 17,583 | ||||||||||||
|
|
|
|||||||||||||||
| 105,652 | ||||||||||||||||
|
|
|
|||||||||||||||
| $ | (27,458 | ) | ||||||||||||||
|
|
|
|||||||||||||||
Interest rate swap agreements outstanding at December 31, 2019:
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements: |
||||||||||||||||||||||||
| 1,504 | 12/15/21 | 1.554%(S) |
3 Month LIBOR(2)(Q) |
$ | — | $ | (2,205 | ) | $ | (2,205 | ) | |||||||||||||
| 35,345 | 06/10/25 | 2.467%(S) |
3 Month LIBOR(2)(Q) |
(1,478,377 | ) | 1,341,823 | 2,820,200 | |||||||||||||||||
| 3,770 | 08/15/28 | 2.579%(A) |
1 Day USOIS(1)(A) |
(43,935 | ) | (306,825 | ) | (262,890 | ) | |||||||||||||||
| 350 | 08/15/28 | 2.835%(S) |
3 Month LIBOR(1)(Q) |
— | (30,568 | ) | (30,568 | ) | ||||||||||||||||
| 1,408 | 08/15/29 | 1.611%(A) |
1 Day USOIS(1)(A) |
552 | 4,353 | 3,801 | ||||||||||||||||||
| 282 | 08/15/29 | 1.717%(S) |
3 Month LIBOR(1)(Q) |
— | 3,968 | 3,968 | ||||||||||||||||||
| 405 | 02/15/36 | 2.338%(S) |
3 Month LIBOR(2)(Q) |
(2,863 | ) | 20,399 | 23,262 | |||||||||||||||||
| 110 | 08/09/49 | 1.508%(A) |
1 Day USOIS(1)(A) |
— | 8,735 | 8,735 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | (1,524,623 | ) | $ | 1,039,680 | $ | 2,564,303 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||||
|
Citigroup Global Markets, Inc. |
$ | — | $ | 1,528,735 | ||||||
|
|
|
|
|
|||||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
A55
| AST BOND PORTFOLIO 2025 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Automobiles |
$ | — | $ | 5,753,577 | $ | — | ||||||
|
Collateralized Loan Obligations |
— | 5,709,098 | — | |||||||||
|
Consumer Loans |
— | 495,908 | — | |||||||||
|
Credit Cards |
— | 1,129,534 | — | |||||||||
|
Student Loans |
— | 580,417 | — | |||||||||
|
Commercial Mortgage-Backed Securities |
— | 8,767,730 | — | |||||||||
|
Corporate Bonds |
— | 5,708,437 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 887,508 | — | |||||||||
|
Sovereign Bonds |
— | 1,535,756 | — | |||||||||
|
U.S. Government Agency Obligations |
— | 3,357,883 | — | |||||||||
|
U.S. Treasury Obligations |
— | 570,204 | — | |||||||||
|
Affiliated Mutual Fund |
443,403 | — | — | |||||||||
|
Options Purchased |
— | 27,968 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 443,403 | $ | 34,524,020 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 109,419 | $ | — | $ | — | ||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | 2,859,966 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 109,419 | $ | 2,859,966 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (136,877 | ) | $ | — | $ | — | |||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | (295,663 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (136,877 | ) | $ | (295,663 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Commercial Mortgage-Backed Securities |
25.0 | % | ||
|
Automobiles |
16.4 | |||
|
Collateralized Loan Obligations |
16.3 | |||
|
U.S. Government Agency Obligations |
9.6 | |||
|
Banks |
5.1 | |||
|
Sovereign Bonds |
4.4 | |||
|
Pharmaceuticals |
3.9 | |||
|
Credit Cards |
3.2 | |||
|
Residential Mortgage-Backed Securities |
2.6 | |||
|
Student Loans |
1.7 | |||
|
U.S. Treasury Obligations |
1.6 | |||
|
Diversified Financial Services |
1.5 | |||
|
Consumer Loans |
1.4 | |||
|
Pipelines |
1.3 | |||
|
Affiliated Mutual Fund |
1.2 |
|
Commercial Services |
1.0 | % | ||
|
Real Estate Investment Trusts (REITs) |
0.7 | |||
|
Healthcare-Services |
0.6 | |||
|
Telecommunications |
0.6 | |||
|
Electric |
0.4 | |||
|
Packaging & Containers |
0.4 | |||
|
Insurance |
0.3 | |||
|
Chemicals |
0.3 | |||
|
Multi-National |
0.2 | |||
|
Options Purchased |
0.1 | |||
|
|
|
|||
| 99.8 | ||||
|
Other assets in excess of liabilities |
0.2 | |||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of
SEE NOTES TO FINANCIAL STATEMENTS.
A56
| AST BOND PORTFOLIO 2025 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Options
|
Options
|
Futures
Contracts—
|
Futures
Contracts—
|
|||
| $10,432 | $76,300 | $23,475,081 | $57,019,881 |
|
Inflation Swap
|
Interest
Rate
|
|
| $48,000 | $74,826,440 |
|
Credit Default
|
| $30,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A57
| AST BOND PORTFOLIO 2025 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| (1) |
Cost. |
| (2) |
Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives where the legal right to set-off exists is presented in the summary below.
Offsetting of OTC derivative assets and liabilities:
|
Counterparty |
Gross Amounts
of Recognized Assets(1) |
Gross Amounts
of Recognized Liabilities(1) |
Net Amounts of
Recognized Assets/(Liabilities) |
Collateral
Pledged/ (Received)(2) |
Net Amount | |||||||||||||||
|
Bank of America, N.A. |
$ | 22,496 | $ | — | $ | 22,496 | $ | — | $ | 22,496 | ||||||||||
|
Barclays Bank PLC |
5,472 | — | 5,472 | — | 5,472 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 27,968 | $ | — | $ | 27,968 | $ | — | $ | 27,968 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A58
| AST BOND PORTFOLIO 2025 (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value: |
||||
|
Unaffiliated investments (cost $33,661,881) |
$ | 34,524,020 | ||
|
Affiliated investments (cost $443,403) |
443,403 | |||
|
Dividends and interest receivable |
168,174 | |||
|
Prepaid expenses |
956 | |||
|
|
|
|||
|
Total Assets |
35,136,553 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Accrued expenses and other liabilities |
61,137 | |||
|
Due to broker-variation margin swaps |
30,586 | |||
|
Payable for Portfolio shares repurchased |
6,938 | |||
|
Due to broker-variation margin futures |
6,709 | |||
|
Distribution fee payable |
1,338 | |||
|
Management fee payable |
1,239 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
108,304 | |||
|
|
|
|||
| NET ASSETS | $ | 35,028,249 | ||
|
|
|
|||
|
Net assets were comprised of: Partners’ Equity |
$ | 35,028,249 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $35,028,249 / 2,650,476 outstanding shares of beneficial interest |
$ | 13.22 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
|
NET INVESTMENT INCOME (LOSS) INCOME |
||||
|
Interest income |
$ | 2,117,516 | ||
|
Affiliated dividend income |
12,217 | |||
|
Affiliated income from securities lending, net |
25 | |||
|
|
|
|||
|
Total income |
2,129,758 | |||
|
|
|
|||
| EXPENSES | ||||
|
Management fee |
322,582 | |||
|
Distribution fee |
170,058 | |||
|
Custodian and accounting fees |
72,045 | |||
|
Audit fee |
54,310 | |||
|
Legal fees and expenses |
12,194 | |||
|
Trustees’ fees |
10,300 | |||
|
Shareholders’ reports |
9,243 | |||
|
Transfer agent’s fees and expenses (including affiliated expense of $2,188) |
7,008 | |||
|
Miscellaneous |
36,553 | |||
|
|
|
|||
|
Total expenses |
694,293 | |||
|
Less: Fee waiver and/or expense reimbursement |
(49,922 | ) | ||
|
|
|
|||
|
Net expenses |
644,371 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) | 1,485,387 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
|
Net realized gain (loss) on: |
||||
|
Investment transactions (including affiliated of $(1)) |
2,336,103 | |||
|
Futures transactions |
(756,470 | ) | ||
|
Options written transactions |
17,159 | |||
|
Swap agreements transactions |
1,147,494 | |||
|
|
|
|||
| 2,744,286 | ||||
|
|
|
|||
|
Net change in unrealized appreciation (depreciation)on: |
||||
|
Investments |
(303,086 | ) | ||
|
Futures |
752,980 | |||
|
Swap agreements |
1,819,972 | |||
|
|
|
|||
| 2,269,866 | ||||
|
|
|
|||
| NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 5,014,152 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 6,499,539 | ||
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
|
INCREASE (DECREASE) IN NET ASSETS OPERATIONS |
||||||||
|
Net investment income (loss) |
$ | 1,485,387 | $ | 1,358,559 | ||||
|
Net realized gain (loss) on investment transactions |
2,744,286 | (289,864 | ) | |||||
|
Net change in unrealized appreciation (depreciation) on investments |
2,269,866 | 1,871,949 | ||||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
6,499,539 | 2,940,644 | ||||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [456,194 and 12,053,217 shares, respectively] |
6,033,579 | 142,637,395 | ||||||
|
Portfolio shares repurchased [7,952,552 and 2,988,015 shares, respectively] |
(100,891,321 | ) | (35,446,548 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(94,857,742 | ) | 107,190,847 | |||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | — | 166 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | (88,358,203 | ) | 110,131,657 | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
123,386,452 | 13,254,795 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 35,028,249 | $ | 123,386,452 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A59
| AST BOND PORTFOLIO 2026 | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A60
| AST BOND PORTFOLIO 2026 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A61
| AST BOND PORTFOLIO 2026 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A62
| AST BOND PORTFOLIO 2026 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A63
| AST BOND PORTFOLIO 2026 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A64
| AST BOND PORTFOLIO 2026 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Value | ||||
|
OPTIONS PURCHASED*~ — 0.1%
|
$ | 91,282 | ||
|
|
|
|||
|
TOTAL SHORT-TERM INVESTMENTS
|
10,101,076 | |||
|
|
|
|||
|
TOTAL INVESTMENTS — 101.7%
|
136,452,795 | |||
|
Liabilities in excess of other
|
(2,328,772 | ) | ||
|
|
|
|||
| NET ASSETS — 100.0% | $ | 134,124,023 | ||
|
|
|
|||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $2,819,159; cash collateral of $2,876,792 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (cc) |
Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
| (ff) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (w) |
PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded
|
Description |
Call/
Put |
Counterparty |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | |||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 596 | $ | 6,208 | |||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 579 | 6,026 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 1,448 | 13,820 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 2,874 | 28,835 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 2,920 | 30,721 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 579 | 5,672 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
|
Total Options Purchased
|
$ | 91,282 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
Futures contracts outstanding at December 31, 2019:
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
| Long Positions: | ||||||||||||||||
| 45 | 10 Year U.S. Treasury Notes | Mar. 2020 | $ | 5,778,985 | $ | (3,111 | ) | |||||||||
| 121 | 10 Year U.S. Ultra Treasury Notes | Mar. 2020 | 17,025,079 | (203,063 | ) | |||||||||||
|
|
|
|||||||||||||||
| (206,174 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| Short Positions: | ||||||||||||||||
| 29 | 90 Day Euro Dollar | Dec. 2020 | 7,132,550 | 18,256 | ||||||||||||
| 77 | 2 Year U.S. Treasury Notes | Mar. 2020 | 16,593,500 | 9,174 | ||||||||||||
| 126 | 5 Year U.S. Treasury Notes | Mar. 2020 | 14,944,782 | 49,761 | ||||||||||||
| 34 | 20 Year U.S. Treasury Bonds | Mar. 2020 | 5,300,812 | 70,574 | ||||||||||||
| 32 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2020 | 5,813,000 | 168,228 | ||||||||||||
|
|
|
|||||||||||||||
| 315,993 | ||||||||||||||||
|
|
|
|||||||||||||||
| $ | 109,819 | |||||||||||||||
|
|
|
|||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A65
| AST BOND PORTFOLIO 2026 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Interest rate swap agreements outstanding at December 31, 2019:
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements: |
||||||||||||||||||||||||
| 3,660 | 03/29/24 | 1.949%(A) |
1 Day USOIS(1)(A) |
$ | — | $ | (67,791 | ) | $ | (67,791 | ) | |||||||||||||
| 730 | 05/15/24 | 1.808%(A) |
1 Day USOIS(1)(A) |
— | (9,285 | ) | (9,285 | ) | ||||||||||||||||
| 1,720 | 02/12/25 | 2.408%(A) |
1 Day USOIS(1)(A) |
— | (81,153 | ) | (81,153 | ) | ||||||||||||||||
| 2,250 | 02/28/25 | 2.454%(A) |
1 Day USOIS(1)(A) |
3,777 | (113,107 | ) | (116,884 | ) | ||||||||||||||||
| 1,300 | 05/11/25 | 1.900%(S) |
3 Month LIBOR(1)(Q) |
(17,894 | ) | (10,528 | ) | 7,366 | ||||||||||||||||
| 26,840 | 05/31/25 | 2.998%(S) |
3 Month LIBOR(1)(Q) |
(19,009 | ) | (1,770,088 | ) | (1,751,079 | ) | |||||||||||||||
| 85,640 | 10/20/26 | 1.583%(S) |
3 Month LIBOR(2)(Q) |
(803,241 | ) | (1,205,454 | ) | (402,213 | ) | |||||||||||||||
| 56,095 | 11/14/26 | 1.981%(S) |
3 Month LIBOR(2)(Q) |
(1,941,299 | ) | 694,708 | 2,636,007 | |||||||||||||||||
| 785 | 02/15/27 | 2.067%(A) |
1 Day USOIS(1)(A) |
(543 | ) | (26,436 | ) | (25,893 | ) | |||||||||||||||
| 21,503 | 08/15/28 | 2.579%(A) |
1 Day USOIS(1)(A) |
(241,922 | ) | (1,750,133 | ) | (1,508,211 | ) | |||||||||||||||
| 1,325 | 02/15/36 | 2.338%(S) |
3 Month LIBOR(2)(Q) |
(9,130 | ) | 66,739 | 75,869 | |||||||||||||||||
| 290 | 08/09/49 | 1.508%(A) |
1 Day USOIS(1)(A) |
— | 23,030 | 23,030 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | (3,029,261 | ) | $ | (4,249,498 | ) | $ | (1,220,237 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||||
|
Citigroup Global Markets, Inc. |
$ | — | $ | 3,658,878 | ||||||
|
|
|
|
|
|||||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Automobiles |
$ | — | $ | 9,730,817 | $ | — | ||||||
|
Collateralized Loan Obligations |
— | 20,332,676 | — | |||||||||
|
Consumer Loans |
— | 1,070,047 | — | |||||||||
|
Credit Cards |
— | 5,223,363 | — | |||||||||
|
Equipment |
— | 608,777 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 311,907 | — | |||||||||
|
Student Loans |
— | 598,412 | — | |||||||||
|
Commercial Mortgage-Backed Securities |
— | 23,842,834 | — | |||||||||
|
Corporate Bonds |
— | 18,879,382 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 2,192,760 | — | |||||||||
|
Sovereign Bonds |
— | 3,812,273 | — | |||||||||
|
U.S. Government Agency Obligations |
— | 18,110,066 | — | |||||||||
|
U.S. Treasury Obligations |
— | 21,638,405 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A66
| AST BOND PORTFOLIO 2026 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Affiliated Mutual Funds |
$ | 10,009,794 | $ | — | $ | — | ||||||
|
Options Purchased |
— | 91,282 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 10,009,794 | $ | 126,443,001 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 315,993 | $ | — | $ | — | ||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | 2,742,272 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 315,993 | $ | 2,742,272 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (206,174 | ) | $ | — | $ | — | |||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | (3,962,509 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (206,174 | ) | $ | (3,962,509 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Commercial Mortgage-Backed Securities |
17.8 | % | ||
|
U.S. Treasury Obligations |
16.1 | |||
|
Collateralized Loan Obligations |
15.2 | |||
|
U.S. Government Agency Obligations |
13.5 | |||
|
Affiliated Mutual Funds (2.1% represents investments purchased with collateral from securities on loan) |
7.4 | |||
|
Automobiles |
7.3 | |||
|
Banks |
6.0 | |||
|
Credit Cards |
3.9 | |||
|
Sovereign Bonds |
2.9 | |||
|
Pharmaceuticals |
2.0 | |||
|
Residential Mortgage-Backed Securities |
1.8 | |||
|
Electric |
1.5 | |||
|
Computers |
1.1 | |||
|
Consumer Loans |
0.8 | |||
|
Multi-National |
0.8 |
|
Insurance |
0.7 | % | ||
|
Telecommunications |
0.6 | |||
|
Equipment |
0.4 | |||
|
Student Loans |
0.4 | |||
|
Diversified Financial Services |
0.4 | |||
|
Media |
0.4 | |||
|
Oil & Gas |
0.3 | |||
|
Agriculture |
0.2 | |||
|
Software |
0.1 | |||
|
Options Purchased |
0.1 | |||
|
|
|
|||
| 101.7 | ||||
|
Liabilities in excess of other assets |
(1.7 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Asset Derivatives |
Liability Derivatives |
|||||||||||
|
Derivatives not accounted for as hedging
|
Statement of Assets and
|
Fair Value |
Statement of Assets and
|
Fair Value | ||||||||
|
Interest rate contracts |
Due from/to broker — variation margin futures | $ | 315,993 | * | Due from/to broker — variation margin futures | $ | 206,174 | * | ||||
|
Interest rate contracts |
Due from/to broker — variation margin swaps | 2,742,272 | * | Due from/to broker — variation margin swaps | 3,962,509 | * | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A67
| AST BOND PORTFOLIO 2026 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Asset Derivatives |
Liability Derivatives |
|||||||||||
|
Derivatives not accounted for as hedging
|
Statement of Assets and
|
Fair Value |
Statement of Assets and
|
Fair Value | ||||||||
|
Interest rate contracts |
Unaffiliated investments | $ | 91,282 | — | $ | — | ||||||
|
|
|
|
|
|||||||||
| $ | 3,149,547 | $ | 4,168,683 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Options
|
Options
|
Futures
Contracts—
|
Futures
|
|||
| $21,532 | $156,200 | $29,705,829 | $69,507,337 |
|
Inflation Swap
|
Interest Rate
|
|
| $144,000 | $421,564,200 |
|
Credit Default
|
| $62,000 |
| (1) |
Cost. |
| (2) |
Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
SEE NOTES TO FINANCIAL STATEMENTS.
A68
| AST BOND PORTFOLIO 2026 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 2,819,159 | $ | (2,819,159 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
Offsetting of OTC derivative assets and liabilities:
|
Counterparty |
Gross Amounts of
Recognized Assets(1) |
Gross Amounts of
Recognized Liabilities(1) |
Net Amounts of
Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||||||||
|
Bank of America, N.A. |
$ | 73,376 | $ | — | $ | 73,376 | $ | — | $ | 73,376 | ||||||||||
|
Barclays Bank PLC |
17,906 | — | 17,906 | — | 17,906 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 91,282 | $ | — | $ | 91,282 | $ | — | $ | 91,282 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A69
| AST BOND PORTFOLIO 2026 (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $2,819,159: |
||||
|
Unaffiliated investments (cost $124,612,704) |
$ | 126,443,001 | ||
|
Affiliated investments (cost $10,012,188) |
10,009,794 | |||
|
Dividends and interest receivable |
612,081 | |||
|
Receivable for Portfolio shares sold |
166,148 | |||
|
Due from broker-variation margin futures |
22,973 | |||
|
Prepaid expenses |
1,340 | |||
|
|
|
|||
|
Total Assets |
137,255,337 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
2,876,792 | |||
|
Due to broker-variation margin swaps |
161,032 | |||
|
Accrued expenses and other liabilities |
62,996 | |||
|
Management fee payable |
22,041 | |||
|
Distribution fee payable |
5,229 | |||
|
Payable for investments purchased |
2,855 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
Payable for Portfolio shares repurchased |
12 | |||
|
|
|
|||
|
Total Liabilities |
3,131,314 | |||
|
|
|
|||
| NET ASSETS | $ | 134,124,023 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 134,124,023 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $134,124,023 / 11,645,754 outstanding shares of beneficial interest |
$ | 11.52 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
| NET INVESTMENT INCOME (LOSS) INCOME | ||||
|
Interest income (net of $625 foreign withholding tax) |
$ | 4,192,993 | ||
|
Affiliated dividend income |
62,477 | |||
|
Affiliated income from securities lending, net |
3,152 | |||
|
|
|
|||
|
Total income |
4,258,622 | |||
|
|
|
|||
| EXPENSES | ||||
|
Management fee |
700,670 | |||
|
Distribution fee |
369,376 | |||
|
Custodian and accounting fees |
69,286 | |||
|
Audit fee |
52,310 | |||
|
Legal fees and expenses |
12,465 | |||
|
Trustees’ fees |
11,239 | |||
|
Shareholders’ reports |
7,757 | |||
|
Transfer agent’s fees and expenses (including affiliated expense of $2,188) |
7,008 | |||
|
Miscellaneous |
29,135 | |||
|
|
|
|||
|
Total expenses |
1,259,246 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) | 2,999,376 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
|
Net realized gain (loss) on: |
||||
|
Investment transactions (including affiliated of $(443)) |
812,073 | |||
|
Futures transactions |
(517,546 | ) | ||
|
Options written transactions |
36,566 | |||
|
Swap agreements transactions |
(3,791,311 | ) | ||
|
|
|
|||
| (3,460,218 | ) | |||
|
|
|
|||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments (including affiliated of $(2,394)) |
3,642,481 | |||
|
Futures |
1,798,690 | |||
|
Swap agreements |
10,230,218 | |||
|
|
|
|||
| 15,671,389 | ||||
|
|
|
|||
| NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 12,211,171 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 15,210,547 | ||
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
|
INCREASE (DECREASE) IN NET ASSETS OPERATIONS |
||||||||
|
Net investment income (loss) |
$ | 2,999,376 | $ | 4,178,256 | ||||
|
Net realized gain (loss) on investment transactions |
(3,460,218 | ) | (180,274 | ) | ||||
|
Net change in unrealized appreciation (depreciation) on investments |
15,671,389 | (5,610,603 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
15,210,547 | (1,612,621 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [3,321,417 and 12,803,604 shares, respectively] |
38,019,926 | 129,546,445 | ||||||
|
Portfolio shares repurchased [10,314,318 and 14,490,767 shares, respectively] |
(114,332,634 | ) | (147,702,031 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(76,312,708 | ) | (18,155,586 | ) | ||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | (61,102,161 | ) | (19,768,207 | ) | ||||
| NET ASSETS: | ||||||||
|
Beginning of year |
195,226,184 | 214,994,391 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 134,124,023 | $ | 195,226,184 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A70
| AST BOND PORTFOLIO 2027 | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A71
| AST BOND PORTFOLIO 2027 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest
|
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
|||||||||||||||
|
Series 2015-DC01, Class A5 |
|
|||||||||||||||
|
3.350% |
02/10/48 | 750 | $ | 780,981 | ||||||||||||
|
Series 2015-PC01, Class A2 |
|
|||||||||||||||
|
3.148% |
07/10/50 | 712 | 712,468 | |||||||||||||
|
Series 2016-COR01, Class A3 |
|
|||||||||||||||
|
2.826% |
10/10/49 | 1,600 | 1,627,436 | |||||||||||||
|
Series 2016-DC02, Class A5 |
|
|||||||||||||||
|
3.765% |
02/10/49 | 390 | 416,267 | |||||||||||||
|
CSAIL Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2015-C04, Class A1 |
|
|||||||||||||||
|
2.010% |
11/15/48 | 168 | 168,246 | |||||||||||||
|
DBJPM Mortgage Trust, |
|
|||||||||||||||
|
Series 2017-C06, Class A1 |
|
|||||||||||||||
|
1.907% |
06/10/50 | 1,096 | 1,093,369 | |||||||||||||
|
Fannie Mae-Aces, |
|
|||||||||||||||
|
Series 2018-M04, Class A1 |
|
|||||||||||||||
|
2.945%(cc) |
03/25/28 | 652 | 675,137 | |||||||||||||
|
Series 2019-M01, Class A1 |
|
|||||||||||||||
|
3.355% |
06/25/28 | 689 | 725,675 | |||||||||||||
|
Series 2019-M25, Class AV1 |
|
|||||||||||||||
|
2.050% |
12/25/26 | 1,091 | 1,085,627 | |||||||||||||
|
FHLMC Multifamily Structured Pass-Through Certificates, |
|
|||||||||||||||
|
Series K055, Class A2 |
|
|||||||||||||||
|
2.673% |
03/25/26 | 200 | 204,628 | |||||||||||||
|
GS Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2013-GC14, Class A3 |
|
|||||||||||||||
|
3.526% |
08/10/46 | 10 | 9,838 | |||||||||||||
|
Series 2017-GS07, Class A1 |
|
|||||||||||||||
|
1.950% |
08/10/50 | 652 | 650,349 | |||||||||||||
|
JPMBB Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2015-C28, Class A2 |
|
|||||||||||||||
|
2.773% |
10/15/48 | 51 | 50,516 | |||||||||||||
|
JPMDB Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2016-C04, Class A2 |
|
|||||||||||||||
|
2.882% |
12/15/49 | 1,400 | 1,430,929 | |||||||||||||
|
JPMorgan Chase Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2013-LC11, Class A4 |
|
|||||||||||||||
|
2.694% |
04/15/46 | 897 | 909,696 | |||||||||||||
|
Series 2016-JP02, Class A1 |
|
|||||||||||||||
|
1.324% |
08/15/49 | 157 | 155,897 | |||||||||||||
|
Morgan Stanley Bank of America Merrill Lynch Trust, |
|
|||||||||||||||
|
Series 2015-C26, Class A3 |
|
|||||||||||||||
|
3.211% |
10/15/48 | 370 | 381,261 | |||||||||||||
|
Series 2016-C32, Class A1 |
|
|||||||||||||||
|
1.968% |
12/15/49 | 258 | 257,103 | |||||||||||||
|
Morgan Stanley Capital I Trust, |
|
|||||||||||||||
|
Series 2016-BNK02, Class A1 |
|
|||||||||||||||
|
1.424% |
11/15/49 | 1,178 | 1,169,876 | |||||||||||||
|
UBS Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2017-C05, Class A1 |
|
|||||||||||||||
|
2.139% |
11/15/50 | 1,602 | 1,601,561 | |||||||||||||
|
UBS-Barclays Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2012-C02, Class A3 |
|
|||||||||||||||
|
3.058% |
05/10/63 | 513 | 518,398 | |||||||||||||
|
Wells Fargo Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2016-C37, Class A1 |
|
|||||||||||||||
|
1.944% |
12/15/49 | 951 | 949,628 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A72
| AST BOND PORTFOLIO 2027 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A73
| AST BOND PORTFOLIO 2027 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A74
| AST BOND PORTFOLIO 2027 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $2,301,751; cash collateral of $2,349,162 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (cc) |
Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
| (ff) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (w) |
PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded
|
Description |
Call/
Put |
Counterparty |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | |||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 688 | $ | 7,167 | |||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 669 | 6,962 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 1,672 | 15,957 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 3,319 | 33,300 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 3,360 | 35,351 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 669 | 6,553 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
|
Total Options Purchased
|
$ | 105,290 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
Futures contracts outstanding at December 31, 2019:
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
| Long Positions: | ||||||||||||||||
| 150 | 5 Year U.S. Treasury Notes | Mar. 2020 | $ | 17,791,407 | $ | (69,736 | ) | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A75
| AST BOND PORTFOLIO 2027 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Futures contracts outstanding at December 31, 2019 (continued):
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
|
Long Positions (continued) |
||||||||||||||||
| 76 | 10 Year U.S. Ultra Treasury Notes | Mar. 2020 | $ | 10,693,438 | $ | (105,360 | ) | |||||||||
| 3 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2020 | 544,968 | (16,473 | ) | |||||||||||
|
|
|
|||||||||||||||
| (191,569 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| Short Positions: | ||||||||||||||||
| 26 | 90 Day Euro Dollar | Dec. 2020 | 6,394,700 | 16,375 | ||||||||||||
| 101 | 2 Year U.S. Treasury Notes | Mar. 2020 | 21,765,500 | 11,815 | ||||||||||||
| 100 | 10 Year U.S. Treasury Notes | Mar. 2020 | 12,842,188 | 112,306 | ||||||||||||
| 3 | 20 Year U.S. Treasury Bonds | Mar. 2020 | 467,719 | 7,331 | ||||||||||||
|
|
|
|||||||||||||||
| 147,827 | ||||||||||||||||
|
|
|
|||||||||||||||
| $ | (43,742 | ) | ||||||||||||||
|
|
|
|||||||||||||||
Interest rate swap agreements outstanding at December 31, 2019:
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements: |
||||||||||||||||||||||||
| 1,200 | 02/15/24 | 2.167%(S) |
3 Month LIBOR(1)(Q) |
$ | (10,996 | ) | $ | (28,839 | ) | $ | (17,843 | ) | ||||||||||||
| 9,830 | 02/15/24 | 2.183%(S) |
3 Month LIBOR(1)(Q) |
(12,358 | ) | (243,329 | ) | (230,971 | ) | |||||||||||||||
| 3,600 | 03/29/24 | 1.949%(A) |
1 Day USOIS(1)(A) |
— | (66,679 | ) | (66,679 | ) | ||||||||||||||||
| 28,945 | 08/15/24 | 2.170%(S) |
3 Month LIBOR(1)(Q) |
81,116 | (744,229 | ) | (825,345 | ) | ||||||||||||||||
| 2,065 | 02/12/25 | 2.408%(A) |
1 Day USOIS(1)(A) |
— | (97,431 | ) | (97,431 | ) | ||||||||||||||||
| 2,960 | 02/28/25 | 2.454%(A) |
1 Day USOIS(1)(A) |
4,050 | (148,798 | ) | (152,848 | ) | ||||||||||||||||
| 119,240 | 12/31/27 | 2.255%(S) |
3 Month LIBOR(2)(Q) |
(914,706 | ) | 3,799,953 | 4,714,659 | |||||||||||||||||
| 16,834 | 08/15/28 | 2.579%(A) |
1 Day USOIS(1)(A) |
(203,536 | ) | (1,370,122 | ) | (1,166,586 | ) | |||||||||||||||
| 1,832 | 08/15/29 | 1.611%(A) |
1 Day USOIS(1)(A) |
552 | 5,664 | 5,112 | ||||||||||||||||||
| 145 | 11/15/43 | 2.659%(S) |
3 Month LIBOR(1)(Q) |
— | (16,315 | ) | (16,315 | ) | ||||||||||||||||
| 255 | 08/09/49 | 1.508%(A) |
1 Day USOIS(1)(A) |
— | 20,250 | 20,250 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | (1,055,878 | ) | $ | 1,110,125 | $ | 2,166,003 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||||
|
Citigroup Global Markets, Inc. |
$ | — | $ | 3,408,070 | ||||||
|
|
|
|
|
|||||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A76
| AST BOND PORTFOLIO 2027 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Automobiles |
$ | — | $ | 11,980,321 | $ | — | ||||||
|
Collateralized Loan Obligations |
— | 12,354,419 | — | |||||||||
|
Consumer Loans |
— | 1,250,404 | — | |||||||||
|
Credit Cards |
— | 2,632,760 | — | |||||||||
|
Equipment |
— | 1,112,670 | — | |||||||||
|
Student Loans |
— | 878,140 | — | |||||||||
|
Commercial Mortgage-Backed Securities |
— | 20,188,728 | — | |||||||||
|
Corporate Bonds |
— | 15,937,901 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 2,259,752 | — | |||||||||
|
Sovereign Bonds |
— | 5,280,560 | — | |||||||||
|
U.S. Government Agency Obligations |
— | 17,113,992 | — | |||||||||
|
U.S. Treasury Obligations |
— | 3,661,173 | — | |||||||||
|
Affiliated Mutual Funds |
8,304,699 | — | — | |||||||||
|
Options Purchased |
— | 105,290 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 8,304,699 | $ | 94,756,110 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 147,827 | $ | — | $ | — | ||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | 4,740,021 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 147,827 | $ | 4,740,021 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (191,569 | ) | $ | — | $ | — | |||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | (2,574,018 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (191,569 | ) | $ | (2,574,018 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Commercial Mortgage-Backed Securities |
20.0 | % | ||
|
U.S. Government Agency Obligations |
17.0 | |||
|
Collateralized Loan Obligations |
12.3 | |||
|
Automobiles |
11.9 | |||
|
Affiliated Mutual Funds (2.3% represents investments purchased with collateral from securities on loan) |
8.3 | |||
|
Banks |
6.2 | |||
|
Sovereign Bonds |
5.2 | |||
|
U.S. Treasury Obligations |
3.6 | |||
|
Credit Cards |
2.6 | |||
|
Residential Mortgage-Backed Securities |
2.2 | |||
|
Electric |
1.7 | |||
|
Telecommunications |
1.3 | |||
|
Consumer Loans |
1.2 | |||
|
Multi-National |
1.2 | |||
|
Equipment |
1.1 | |||
|
Oil & Gas |
1.0 |
|
Student Loans |
0.9 | % | ||
|
Commercial Services |
0.8 | |||
|
Insurance |
0.8 | |||
|
Diversified Financial Services |
0.8 | |||
|
Packaging & Containers |
0.7 | |||
|
Media |
0.7 | |||
|
Pipelines |
0.3 | |||
|
Auto Manufacturers |
0.3 | |||
|
Options Purchased |
0.1 | |||
|
Healthcare-Services |
0.0 | * | ||
|
|
|
|||
| 102.2 | ||||
|
Liabilities in excess of other assets |
(2.2 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
SEE NOTES TO FINANCIAL STATEMENTS.
A77
| AST BOND PORTFOLIO 2027 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk and interest rate contract risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Derivatives not accounted for as hedging
|
Asset Derivatives |
Liability Derivatives |
||||||||||
|
Statement of Assets and
|
Fair Value |
Statement of Assets and
|
Fair Value | |||||||||
|
Interest rate contracts |
Due from/to broker —
variation margin futures |
$ | 147,827 | * | Due from/to broker — variation margin futures | $ | 191,569 | * | ||||
|
Interest rate contracts |
Due from/to broker — variation margin swaps | 4,740,021 | * | Due from/to broker — variation margin swaps | 2,574,018 | * | ||||||
|
Interest rate contracts |
Unaffiliated investments | 105,290 | — | — | ||||||||
|
|
|
|
|
|||||||||
| $ | 4,993,138 | $ | 2,765,587 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Options Purchased(1) |
Options Written(2) |
Futures
Contracts—
Positions(2) |
Futures
Contracts—
Positions(2) |
|||
| $23,949 | $170,400 | $49,340,932 | $60,078,797 |
|
Inflation Swap
|
Interest Rate
Swap
|
|
| $168,000 | $493,288,200 |
SEE NOTES TO FINANCIAL STATEMENTS.
A78
| AST BOND PORTFOLIO 2027 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Credit Default
Swap Agreements—
|
| $66,000 |
| (1) |
Cost. |
| (2) |
Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 2,301,751 | $ | (2,301,751 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
Offsetting of OTC derivative assets and liabilities:
|
Counterparty |
Gross Amounts of
Recognized Assets(1) |
Gross Amounts of
Recognized Liabilities(1) |
Net Amounts of
Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||||||||
|
Bank of America, N.A. |
$ | 84,608 | $ | — | $ | 84,608 | $ | — | $ | 84,608 | ||||||||||
|
Barclays Bank PLC |
20,682 | — | 20,682 | — | 20,682 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 105,290 | $ | — | $ | 105,290 | $ | — | $ | 105,290 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A79
| AST BOND PORTFOLIO 2027 (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $2,301,751: |
||||
|
Unaffiliated investments (cost $93,164,188) |
$ | 94,756,110 | ||
|
Affiliated investments (cost $8,340,671) |
8,304,699 | |||
|
Dividends and interest receivable |
469,036 | |||
|
Prepaid expenses and other assets |
1,796 | |||
|
|
|
|||
|
Total Assets |
103,531,641 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
2,349,162 | |||
|
Due to broker-variation margin swaps |
187,910 | |||
|
Accrued expenses and other liabilities |
64,066 | |||
|
Payable for Portfolio shares repurchased |
24,185 | |||
|
Management fee payable |
15,908 | |||
|
Due to broker-variation margin futures |
12,394 | |||
|
Distribution fee payable |
3,844 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
2,657,826 | |||
|
|
|
|||
| NET ASSETS | $ | 100,873,815 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 100,873,815 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $100,873,815 / 8,931,987 outstanding shares of beneficial interest |
$ | 11.29 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 3,191,421 | $ | 4,893,530 | ||||
|
Net realized gain (loss) on investment transactions |
(12,456,084 | ) | (525,545 | ) | ||||
|
Net change in unrealized appreciation (depreciation) on investments |
27,264,760 | (6,598,885 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
18,000,097 | (2,230,900 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [377,835 and 15,976,897 shares, respectively] |
3,920,036 | 157,085,382 | ||||||
|
Portfolio shares repurchased [14,585,559 and 17,757,318 shares, respectively] |
(157,014,860 | ) | (176,170,366 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(153,094,824 | ) | (19,084,984 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | — | 4,721 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | (135,094,727 | ) | (21,311,163 | ) | ||||
| NET ASSETS: | ||||||||
|
Beginning of year |
235,968,542 | 257,279,705 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 100,873,815 | $ | 235,968,542 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A80
| AST BOND PORTFOLIO 2028 | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A81
| AST BOND PORTFOLIO 2028 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A82
| AST BOND PORTFOLIO 2028 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest
|
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| CORPORATE BONDS (continued) |
|
|||||||||||||||
|
Pharmaceuticals — 4.7% |
|
|||||||||||||||
|
AmerisourceBergen Corp., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
3.450% |
12/15/27 | 30 | $ | 31,292 | ||||||||||||
|
Bristol-Myers Squibb Co., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
|
|||||||||||||||
|
3.450% |
11/15/27 | 185 | 197,163 | |||||||||||||
|
Cardinal Health, Inc., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
3.079% |
06/15/24 | (a) | 265 | 272,773 | ||||||||||||
|
Cigna Corp., |
|
|||||||||||||||
|
Gtd. Notes, 144A |
|
|||||||||||||||
|
4.500% |
02/25/26 | 220 | 241,877 | |||||||||||||
|
Mylan, Inc., |
||||||||||||||||
|
Gtd. Notes |
||||||||||||||||
|
4.550% |
04/15/28 | 190 | 204,380 | |||||||||||||
|
Shire Acquisitions Investments Ireland DAC, |
|
|||||||||||||||
|
Gtd. Notes |
||||||||||||||||
|
3.200% |
09/23/26 | 65 | 66,931 | |||||||||||||
|
|
|
|||||||||||||||
| 1,014,416 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Pipelines — 3.3% |
|
|||||||||||||||
|
EnLink Midstream Partners LP, |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
4.400% |
04/01/24 | 115 | 111,556 | |||||||||||||
|
MPLX LP, |
||||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
4.000% |
03/15/28 | 85 | 88,114 | |||||||||||||
|
4.125% |
03/01/27 | 15 | 15,720 | |||||||||||||
|
ONEOK, Inc., |
|
|||||||||||||||
|
Gtd. Notes |
||||||||||||||||
|
4.000% |
07/13/27 | 235 | 249,263 | |||||||||||||
|
Transcontinental Gas Pipe Line Co. LLC, |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
4.000% |
03/15/28 | 195 | 206,820 | |||||||||||||
|
Williams Cos., Inc. (The), |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
3.350% |
08/15/22 | 50 | 51,271 | |||||||||||||
|
|
|
|||||||||||||||
| 722,744 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Retail — 0.9% |
|
|||||||||||||||
|
Alimentation Couche-Tard, Inc. (Canada), |
|
|||||||||||||||
|
Gtd. Notes, 144A |
|
|||||||||||||||
|
3.550% |
07/26/27 | 190 | 196,383 | |||||||||||||
|
|
|
|||||||||||||||
|
Telecommunications — 0.8% |
|
|||||||||||||||
|
AT&T, Inc., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
4.350% |
03/01/29 | 155 | 172,138 | |||||||||||||
|
|
|
|||||||||||||||
|
TOTAL CORPORATE BONDS
|
|
4,616,962 | ||||||||||||||
|
|
|
|||||||||||||||
|
RESIDENTIAL MORTGAGE-BACKED
SECURITIES — 2.7% |
|
|||||||||||||||
|
Gosforth Funding PLC (United Kingdom), |
|
|||||||||||||||
|
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 0.450% (Cap N/A, Floor 0.000%) |
|
|||||||||||||||
|
2.360%(c) |
08/25/60 | 132 | 132,034 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A83
| AST BOND PORTFOLIO 2028 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Shares |
Value | |||||||
| SHORT-TERM INVESTMENTS — 7.6% |
|
|||||||
|
AFFILIATED MUTUAL FUNDS — 7.5% |
|
|||||||
|
PGIM Core Ultra Short Bond Fund(w) |
948,139 | $ | 948,139 | |||||
|
PGIM Institutional Money Market Fund (cost $662,398; includes $661,422 of cash collateral for securities on loan)(b)(w) |
662,333 | 662,465 | ||||||
|
|
|
|||||||
|
TOTAL AFFILIATED MUTUAL FUNDS
|
1,610,604 | |||||||
|
|
|
|||||||
|
OPTIONS PURCHASED*~ — 0.1%
|
|
29,983 | ||||||
|
|
|
|||||||
|
TOTAL SHORT-TERM INVESTMENTS (cost $1,611,653) |
1,640,587 | |||||||
|
|
|
|||||||
|
TOTAL INVESTMENTS — 103.4%
|
22,368,337 | |||||||
|
Liabilities in excess of other assets(z) — (3.4)% |
|
(740,480 | ) | |||||
|
|
|
|||||||
|
NET ASSETS — 100.0% |
$ | 21,627,857 | ||||||
|
|
|
|||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $646,975; cash collateral of $661,422 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. (c) Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (cc) |
Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
| (ff) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (w) |
PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
SEE NOTES TO FINANCIAL STATEMENTS.
A84
| AST BOND PORTFOLIO 2028 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Options Purchased:
OTC Traded
|
Description |
Call/
Put |
Counterparty |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | |||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 195 | $ | 2,031 | |||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/13/21 | 0.11 | % | — | 190 | 1,977 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 476 | 4,543 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 944 | 9,471 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 960 | 10,100 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 190 | 1,861 | ||||||||||||||||||||
|
Total Options Purchased
|
$ | 29,983 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
Futures contracts outstanding at December 31, 2019:
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
| Long Positions: | ||||||||||||||||
| 6 | 2 Year U.S.Treasury Notes | Mar. 2020 | $ | 1,293,000 | $ | (680 | ) | |||||||||
| 49 | 10 Year U.S. Treasury Notes | Mar. 2020 | 6,292,672 | (55,132 | ) | |||||||||||
| 1 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2020 | 181,656 | (4,408 | ) | |||||||||||
|
|
|
|||||||||||||||
| (60,220 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| Short Positions: | ||||||||||||||||
| 38 | 5 Year U.S.Treasury Notes | Mar. 2020 | 4,507,157 | 16,442 | ||||||||||||
| 15 | 10 Year U.S. Ultra Treasury Notes | Mar. 2020 | 2,110,547 | 28,267 | ||||||||||||
| 8 | 20 Year U.S. Treasury Bonds | Mar. 2020 | 1,247,250 | 19,301 | ||||||||||||
|
|
|
|||||||||||||||
| 64,010 | ||||||||||||||||
|
|
|
|||||||||||||||
| $ | 3,790 | |||||||||||||||
|
|
|
|||||||||||||||
Credit default swap agreements outstanding at December 31, 2019:
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 |
SEE NOTES TO FINANCIAL STATEMENTS.
A85
| AST BOND PORTFOLIO 2028 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
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.
Interest rate swap agreements outstanding at December 31, 2019:
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements: |
||||||||||||||||||||||||
| 1,504 | 12/15/21 | 1.554%(S) |
3 Month LIBOR(2)(Q) |
$ | — | $ | (2,205 | ) | $ | (2,205 | ) | |||||||||||||
| 1,485 | 05/31/22 | 2.353%(A) |
1 Day USOIS(1)(A) |
— | (34,064 | ) | (34,064 | ) | ||||||||||||||||
| 990 | 03/29/24 | 1.949%(A) |
1 Day USOIS(1)(A) |
— | (18,337 | ) | (18,337 | ) | ||||||||||||||||
| 575 | 02/12/25 | 2.408%(A) |
1 Day USOIS(1)(A) |
— | (27,130 | ) | (27,130 | ) | ||||||||||||||||
| 1,895 | 02/28/25 | 2.454%(A) |
1 Day USOIS(1)(A) |
2,969 | (95,261 | ) | (98,230 | ) | ||||||||||||||||
| 8,441 | 05/31/25 | 2.998%(S) |
3 Month LIBOR(1)(Q) |
(5,882 | ) | (556,681 | ) | (550,799 | ) | |||||||||||||||
| 8,126 | 04/30/26 | 1.876%(S) |
3 Month LIBOR(1)(Q) |
(3,606 | ) | (49,928 | ) | (46,322 | ) | |||||||||||||||
| 6,115 | 08/15/28 | 2.579%(A) |
1 Day USOIS(1)(A) |
(25,273 | ) | (497,668 | ) | (472,395 | ) | |||||||||||||||
| 34,778 | 12/29/28 | 2.900%(S) |
3 Month LIBOR(2)(Q) |
734,438 | 3,014,803 | 2,280,365 | ||||||||||||||||||
| 845 | 08/15/29 | 1.611%(A) |
1 Day USOIS(1)(A) |
276 | 2,613 | 2,337 | ||||||||||||||||||
| 282 | 08/15/29 | 1.717%(S) |
3 Month LIBOR(1)(Q) |
— | 3,968 | 3,968 | ||||||||||||||||||
| 65 | 08/09/49 | 1.508%(A) |
1 Day USOIS(1)(A) |
— | 5,162 | 5,162 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 702,922 | $ | 1,745,272 | $ | 1,042,350 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||
|
Citigroup Global Markets, Inc. |
$ | — | $ | 1,393,392 | ||||
|
|
|
|
|
|||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Automobiles |
$ | — | $ | 1,873,654 | $ | — | ||||||
|
Collateralized Loan Obligations |
— | 1,986,992 | — | |||||||||
|
Consumer Loans |
— | 349,058 | — | |||||||||
|
Credit Cards |
— | 831,472 | — | |||||||||
|
Equipment |
— | 102,923 | — | |||||||||
|
Student Loans |
— | 870,648 | — | |||||||||
|
Commercial Mortgage-Backed Securities |
— | 5,587,810 | — | |||||||||
|
Corporate Bonds |
— | 4,616,962 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 578,132 | — | |||||||||
|
Sovereign Bonds |
— | 864,047 | — | |||||||||
|
U.S. Government Agency Obligations |
— | 1,509,448 | — | |||||||||
|
U.S. Treasury Obligations |
— | 1,556,604 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A86
| AST BOND PORTFOLIO 2028 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Affiliated Mutual Funds |
$ | 1,610,604 | $ | — | $ | — | ||||||
|
Options Purchased |
— | 29,983 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 1,610,604 | $ | 20,757,733 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 64,010 | $ | — | $ | — | ||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | 2,291,832 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 64,010 | $ | 2,291,832 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (60,220 | ) | $ | — | $ | — | |||||
|
Centrally Cleared Credit Default Swap Agreement |
— | (20,936 | ) | — | ||||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | (1,249,482 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (60,220 | ) | $ | (1,270,418 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Commercial Mortgage-Backed Securities |
25.8 | % | ||
|
Collateralized Loan Obligations |
9.2 | |||
|
Automobiles |
8.7 | |||
|
Affiliated Mutual Funds (3.1% represents investments purchased with collateral from securities on loan) |
7.5 | |||
|
U.S. Treasury Obligations |
7.2 | |||
|
U.S. Government Agency Obligations |
7.0 | |||
|
Banks |
5.3 | |||
|
Pharmaceuticals |
4.7 | |||
|
Student Loans |
4.0 | |||
|
Sovereign Bonds |
4.0 | |||
|
Credit Cards |
3.8 | |||
|
Pipelines |
3.3 | |||
|
Residential Mortgage-Backed Securities |
2.7 | |||
|
Multi-National |
2.1 | |||
|
Oil & Gas |
1.7 |
|
Consumer Loans |
1.6 | % | ||
|
Packaging & Containers |
1.1 | |||
|
Retail |
0.9 | |||
|
Telecommunications |
0.8 | |||
|
Electric |
0.7 | |||
|
Equipment |
0.5 | |||
|
Building Materials |
0.3 | |||
|
Media |
0.2 | |||
|
Options Purchased |
0.1 | |||
|
Auto Manufacturers |
0.1 | |||
|
Computers |
0.1 | |||
|
|
|
|||
| 103.4 | ||||
|
Liabilities in excess of other assets |
(3.4 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
SEE NOTES TO FINANCIAL STATEMENTS.
A87
| AST BOND PORTFOLIO 2028 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Derivatives not accounted for as hedging
|
Asset Derivatives |
Liability Derivatives |
||||||||||
|
Statement of Assets
|
Fair Value |
Statement of Assets and
|
Fair Value | |||||||||
|
Interest rate contracts |
Due from/to broker — variation margin futures | $ | 64,010 | * | Due from/to broker — variation margin futures | $ | 60,220 | * | ||||
|
Interest rate contracts |
Due from/to broker — variation margin swaps | 2,291,832 | * | Due from/to broker — variation margin swaps | 1,249,482 | * | ||||||
|
Interest rate contracts |
Unaffiliated investments | 29,983 | — | — | ||||||||
|
|
|
|
|
|||||||||
| $ | 2,385,825 | $ | 1,330,638 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Options
|
Options
|
Futures
|
Futures
|
|||
| $6,091 | $39,800 | $17,748,963 | $36,100,213 |
|
Inflation Swap
|
Interest
Rate
|
Credit Default
|
||
| $312,000 | $86,249,200 | $2,960,000 |
| (1) |
Cost. |
| (2) |
Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The
SEE NOTES TO FINANCIAL STATEMENTS.
A88
| AST BOND PORTFOLIO 2028 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross
Market Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net
Amount |
|||||||||
|
Securities on Loan |
$ | 646,975 | $ | (646,975 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
Offsetting of OTC derivative assets and liabilities:
|
Counterparty |
Gross Amounts of
Recognized Assets(1) |
Gross Amounts of
Recognized Liabilities(1) |
Net Amounts of
Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net
Amount |
|||||||||||||||
|
Bank of America, N.A. |
$ | 24,114 | $ | — | $ | 24,114 | $ | — | $ | 24,114 | ||||||||||
|
Barclays Bank PLC |
5,869 | — | 5,869 | — | 5,869 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 29,983 | $ | — | $ | 29,983 | $ | — | $ | 29,983 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A89
| AST BOND PORTFOLIO 2028 (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $646,975: |
||||
|
Unaffiliated investments (cost $20,065,430) |
$ | 20,757,733 | ||
|
Affiliated investments (cost $1,610,537) |
1,610,604 | |||
|
Dividends and interest receivable |
105,649 | |||
|
Due from Manager |
1,238 | |||
|
Prepaid expenses and other assets |
1,721 | |||
|
|
|
|||
|
Total Assets |
22,476,945 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
661,422 | |||
|
Payable for Portfolio shares repurchased |
84,828 | |||
|
Accrued expenses and other liabilities |
56,371 | |||
|
Due to broker-variation margin swaps |
45,234 | |||
|
Distribution fee payable |
860 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
Due to broker-variation margin futures |
16 | |||
|
|
|
|||
|
Total Liabilities |
849,088 | |||
|
|
|
|||
| NET ASSETS | $ | 21,627,857 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 21,627,857 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $21,627,857 / 1,936,884 outstanding shares of beneficial interest |
$ | 11.17 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 727,103 | $ | 1,312,448 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
2,835,219 | 98,851 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments |
1,088,367 | 575,772 | ||||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
4,650,689 | 1,987,071 | ||||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [4,452,892 and 13,760,569 shares, respectively] |
44,708,432 | 133,263,445 | ||||||
|
Portfolio shares repurchased [10,098,389 and 7,440,087 shares, respectively] |
(103,763,879 | ) | (72,246,868 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(59,055,447 | ) | 61,016,577 | |||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 135,042 | 87 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | (54,269,716 | ) | 63,003,735 | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
75,897,573 | 12,893,838 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 21,627,857 | $ | 75,897,573 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A90
| AST BOND PORTFOLIO 2029 | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A91
| AST BOND PORTFOLIO 2029 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest
|
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
|||||||||||||||
|
Series 2014-UBS05, Class A4 |
|
|||||||||||||||
|
3.838% |
09/10/47 | 1,150 | $ | 1,222,997 | ||||||||||||
|
Series 2015-PC01, Class A4 |
|
|||||||||||||||
|
3.620% |
07/10/50 | 100 | 104,977 | |||||||||||||
|
Series 2016-DC02, Class A1 |
|
|||||||||||||||
|
1.820% |
02/10/49 | 59 | 58,573 | |||||||||||||
|
CSAIL Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2015-C03, Class A1 |
|
|||||||||||||||
|
1.717% |
08/15/48 | 2 | 2,127 | |||||||||||||
|
Series 2015-C04, Class A1 |
|
|||||||||||||||
|
2.010% |
11/15/48 | 4 | 3,749 | |||||||||||||
|
DBJPM Mortgage Trust, |
|
|||||||||||||||
|
Series 2016-C03, Class A1 |
|
|||||||||||||||
|
1.502% |
08/10/49 | 85 | 84,411 | |||||||||||||
|
Series 2017-C06, Class A1 |
|
|||||||||||||||
|
1.907% |
06/10/50 | 26 | 25,576 | |||||||||||||
|
Fannie Mae-Aces, |
|
|||||||||||||||
|
Series 2015-M17, Class A2 |
|
|||||||||||||||
|
2.934%(cc) |
11/25/25 | 65 | 67,282 | |||||||||||||
|
Series 2017-M13, Class A1 |
|
|||||||||||||||
|
2.746% |
09/25/27 | 47 | 47,898 | |||||||||||||
|
Series 2018-M04, Class A1 |
|
|||||||||||||||
|
2.945%(cc) |
03/25/28 | 20 | 21,098 | |||||||||||||
|
Series 2019-M01, Class A1 |
|
|||||||||||||||
|
3.355% |
06/25/28 | 44 | 46,650 | |||||||||||||
|
Series 2019-M25, Class AV1 |
|
|||||||||||||||
|
2.050% |
12/25/26 | 546 | 542,814 | |||||||||||||
|
FHLMC Multifamily Structured Pass-Through Certificates, |
|
|||||||||||||||
|
Series K062, Class A2 |
|
|||||||||||||||
|
3.413% |
12/25/26 | 1,200 | 1,282,181 | |||||||||||||
|
GS Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2013-GC14, Class A5 |
|
|||||||||||||||
|
4.243% |
08/10/46 | 450 | 478,425 | |||||||||||||
|
Series 2016-GS03, Class A1 |
|
|||||||||||||||
|
1.429% |
10/10/49 | 68 | 67,650 | |||||||||||||
|
Series 2017-GS07, Class A1 |
|
|||||||||||||||
|
1.950% |
08/10/50 | 51 | 50,545 | |||||||||||||
|
Series 2017-GS08, Class A3 |
|
|||||||||||||||
|
3.205% |
11/10/50 | 80 | 83,141 | |||||||||||||
|
JPMBB Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2014-C26, Class A4 |
|
|||||||||||||||
|
3.494% |
01/15/48 | 75 | 78,732 | |||||||||||||
|
JPMCC Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2017-JP07, Class A1 |
|
|||||||||||||||
|
1.969% |
09/15/50 | 53 | 52,729 | |||||||||||||
|
JPMDB Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2016-C02, Class A1 |
|
|||||||||||||||
|
1.423% |
06/15/49 | 18 | 18,027 | |||||||||||||
|
JPMorgan Chase Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2012-LC09, Class A5 |
|
|||||||||||||||
|
2.840% |
12/15/47 | 40 | 40,331 | |||||||||||||
|
Series 2013-LC11, Class A4 |
|
|||||||||||||||
|
2.694% |
04/15/46 | 18 | 18,378 | |||||||||||||
|
Series 2016-JP02, Class A1 |
|
|||||||||||||||
|
1.324% |
08/15/49 | 35 | 35,018 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A92
| AST BOND PORTFOLIO 2029 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest
|
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
|||||||||||||||
|
Morgan Stanley Bank of America Merrill Lynch Trust, |
|
|||||||||||||||
|
Series 2013-C09, Class A3 |
|
|||||||||||||||
|
2.834% |
05/15/46 | 177 | $ | 180,023 | ||||||||||||
|
Series 2015-C21, Class A3 |
|
|||||||||||||||
|
3.077% |
03/15/48 | 50 | 51,408 | |||||||||||||
|
Morgan Stanley Capital I Trust, |
|
|||||||||||||||
|
Series 2016-UB11, Class A1 |
|
|||||||||||||||
|
1.445% |
08/15/49 | 34 | 33,542 | |||||||||||||
|
UBS Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2017-C05, Class A1 |
|
|||||||||||||||
|
2.139% |
11/15/50 | 38 | 37,832 | |||||||||||||
|
Series 2017-C07, Class A3 |
|
|||||||||||||||
|
3.418% |
12/15/50 | 160 | 169,059 | |||||||||||||
|
Series 2018-C08, Class ASB |
|
|||||||||||||||
|
3.903% |
02/15/51 | 60 | 64,326 | |||||||||||||
|
Series 2018-C11, Class A1 |
|
|||||||||||||||
|
3.211% |
06/15/51 | 26 | 26,888 | |||||||||||||
|
Series 2019-C17, Class A2 |
|
|||||||||||||||
|
2.313% |
10/15/52 | 850 | 845,237 | |||||||||||||
|
UBS-Barclays Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2012-C02, Class A3 |
|
|||||||||||||||
|
3.058% |
05/10/63 | 14 | 14,074 | |||||||||||||
|
Wells Fargo Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2015-LC20, Class A5 |
|
|||||||||||||||
|
3.184% |
04/15/50 | 600 | 622,069 | |||||||||||||
|
Series 2015-NXS03, Class A1 |
|
|||||||||||||||
|
1.504% |
09/15/57 | 1 | 1,020 | |||||||||||||
|
Series 2016-BNK01, Class A1 |
|
|||||||||||||||
|
1.321% |
08/15/49 | 21 | 21,167 | |||||||||||||
|
Series 2016-C32, Class A1 |
|
|||||||||||||||
|
1.577% |
01/15/59 | 10 | 9,913 | |||||||||||||
|
Series 2016-C33, Class A1 |
|
|||||||||||||||
|
1.775% |
03/15/59 | 23 | 23,157 | |||||||||||||
|
Series 2016-C35, Class A1 |
|
|||||||||||||||
|
1.392% |
07/15/48 | 30 | 29,776 | |||||||||||||
|
Series 2016-C37, Class A1 |
|
|||||||||||||||
|
1.944% |
12/15/49 | 72 | 72,140 | |||||||||||||
|
Series 2017-C38, Class A1 |
|
|||||||||||||||
|
1.968% |
07/15/50 | 11 | 11,269 | |||||||||||||
|
WFRBS Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2014-LC14, Class A2 |
|
|||||||||||||||
|
2.862% |
03/15/47 | 1 | 882 | |||||||||||||
|
|
|
|||||||||||||||
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
|
|
8,764,155 | ||||||||||||||
|
|
|
|||||||||||||||
| CORPORATE BONDS — 11.6% |
|
|||||||||||||||
|
Airlines — 0.1% |
||||||||||||||||
|
United Airlines 2018-1 Class AA Pass-Through Trust, |
|
|||||||||||||||
|
Pass-Through Certificates |
|
|||||||||||||||
|
3.500% |
09/01/31 | 10 | 9,956 | |||||||||||||
|
United Airlines 2019-2 Class AA Pass-Through Trust, |
|
|||||||||||||||
|
Pass-Through Certificates |
|
|||||||||||||||
|
2.700% |
11/01/33 | 35 | 35,144 | |||||||||||||
|
|
|
|||||||||||||||
| 45,100 | ||||||||||||||||
|
|
|
|||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A93
| AST BOND PORTFOLIO 2029 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A94
| AST BOND PORTFOLIO 2029 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A95
| AST BOND PORTFOLIO 2029 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $187,546; cash collateral of $191,656 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (cc) |
Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
| (ff) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (p) |
Interest rate not available as of December 31, 2019. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (w) |
PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at December 31, 2019:
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
|
Long Position: |
||||||||||||||||||||||||
| 155 |
10 Year U.S. Ultra Treasury Notes |
Mar. 2020 | $ | 21,808,985 | $ | (148,505 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
|
Short Positions: |
||||||||||||||||||||||||
| 8 |
90 Day Euro Dollar |
Dec. 2020 | 1,967,600 | 5,034 | ||||||||||||||||||||
| 100 |
2 Year U.S. Treasury Notes |
Mar. 2020 | 21,550,000 | 11,667 | ||||||||||||||||||||
| 143 |
5 Year U.S. Treasury Notes |
Mar. 2020 | 16,961,141 | 61,222 | ||||||||||||||||||||
| 105 |
10 Year U.S. Treasury Notes |
Mar. 2020 | 13,484,298 | 86,067 | ||||||||||||||||||||
| 32 |
20 Year U.S. Treasury Bonds |
Mar. 2020 | 4,989,000 | 82,885 | ||||||||||||||||||||
| 60 |
30 Year U.S. Ultra Treasury Bonds |
Mar. 2020 | 10,899,375 | 309,362 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| 556,237 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | 407,732 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
Interest rate swap agreements outstanding at December 31, 2019:
SEE NOTES TO FINANCIAL STATEMENTS.
A96
| AST BOND PORTFOLIO 2029 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements (continued): |
||||||||||||||||||||||||
| 2,035 | 01/04/23 | 2.289%(S) |
3 Month LIBOR(1)(Q) |
$ | 16,700 | $ | (48,657 | ) | $ | (65,357 | ) | |||||||||||||
| 4,205 | 05/11/24 | 2.139%(S) |
3 Month LIBOR(2)(Q) |
138,585 | 76,949 | (61,636 | ) | |||||||||||||||||
| 1,000 | 01/04/25 | 2.360%(S) |
3 Month LIBOR(1)(Q) |
— | (36,660 | ) | (36,660 | ) | ||||||||||||||||
| 120 | 05/31/25 | 2.998%(S) |
3 Month LIBOR(1)(Q) |
— | (7,914 | ) | (7,914 | ) | ||||||||||||||||
| 2,677 | 08/15/29 | 1.611%(A) |
1 Day USOIS(1)(A) |
828 | 8,277 | 7,449 | ||||||||||||||||||
| 38,962 | 12/28/29 | 2.490%(S) |
3 Month LIBOR(2)(Q) |
1,613,480 | 2,136,338 | 522,858 | ||||||||||||||||||
| 80 | 08/09/49 | 1.508%(A) |
1 Day USOIS(1)(A) |
— | 6,353 | 6,353 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 1,769,593 | $ | 2,168,396 | $ | 398,803 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (1) |
The Fund pays the fixed rate and receives the floating rate. |
| (2) |
The Fund pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||||
|
Citigroup Global Markets, Inc. |
$ | — | $ | 2,808,033 | ||||||
|
|
|
|
|
|||||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Automobiles |
$ | — | $ | 2,132,286 | $ | — | ||||||
|
Collateralized Loan Obligations |
— | 3,748,625 | — | |||||||||
|
Consumer Loans |
— | 123,977 | — | |||||||||
|
Credit Cards |
— | 905,478 | — | |||||||||
|
Student Loan |
— | 99,504 | — | |||||||||
|
Commercial Mortgage-Backed Securities |
— | 8,764,155 | — | |||||||||
|
Corporate Bonds |
— | 5,619,706 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 298,150 | — | |||||||||
|
Sovereign Bonds |
— | 4,476,649 | — | |||||||||
|
U.S. Government Agency Obligations |
— | 2,703,964 | — | |||||||||
|
U.S. Treasury Obligations |
— | 19,871,263 | — | |||||||||
|
Affiliated Mutual Funds |
|
192,673
|
|
— | — | |||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 192,673 | $ | 48,743,757 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 556,237 | $ | — | $ | — | ||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | 570,370 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 556,237 | $ | 570,370 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A97
| AST BOND PORTFOLIO 2029 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Other Financial Instruments* (continued) |
||||||||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (148,505 | ) | $ | — | $ | — | |||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | (171,567 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (148,505 | ) | $ | (171,567 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
U.S. Treasury Obligations |
41.1 | % | ||
|
Commercial Mortgage-Backed Securities |
18.2 | |||
|
Sovereign Bonds |
9.3 | |||
|
Collateralized Loan Obligations |
7.8 | |||
|
U.S. Government Agency Obligations |
5.6 | |||
|
Automobiles |
4.4 | |||
|
Banks |
4.3 | |||
|
Credit Cards |
1.9 | |||
|
Pharmaceuticals |
1.2 | |||
|
Oil & Gas |
1.0 | |||
|
Commercial Services |
1.0 | |||
|
Multi-National |
0.8 | |||
|
Electric |
0.7 | |||
|
Residential Mortgage-Backed Securities |
0.6 | |||
|
Pipelines |
0.5 | |||
|
Healthcare-Services |
0.4 | |||
|
Foods |
0.4 | |||
|
Affiliated Mutual Funds (0.4% represents investments purchased with collateral from securities on loan) |
0.4 | |||
|
Insurance |
0.3 |
|
Consumer Loans |
0.2 | % | ||
|
Machinery-Construction & Mining |
0.2 | |||
|
Student Loan |
0.2 | |||
|
Diversified Financial Services |
0.2 | |||
|
Telecommunications |
0.1 | |||
|
Gas |
0.1 | |||
|
Airlines |
0.1 | |||
|
Media |
0.1 | |||
|
Healthcare-Products |
0.1 | |||
|
Biotechnology |
0.1 | |||
|
Chemicals |
0.0 | * | ||
|
Semiconductors |
0.0 | * | ||
|
|
|
|||
| 101.3 | ||||
|
Liabilities in excess of other assets |
(1.3 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Asset Derivatives |
Liability Derivatives |
|||||||||||
|
Derivatives not accounted for as hedging
|
Statement of Assets and
|
Fair Value |
Statement of Assets and
|
Fair Value | ||||||||
|
Interest rate contracts |
Due from/to broker —
variation margin futures |
$ | 556,237 | * |
Due from/to broker —
variation margin futures |
$ | 148,505 | * | ||||
|
Interest rate contracts |
Due from/to broker —
variation margin swaps |
570,370 | * |
Due from/to broker —
variation margin swaps |
171,567 | * | ||||||
|
|
|
|
|
|||||||||
| $ | 1,126,607 | $ | 320,072 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A98
| AST BOND PORTFOLIO 2029 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Options
|
Futures
|
Futures
|
||
| $96 | $10,368,956 | $38,099,886 |
|
Inflation
Swap
|
Interest
Rate
|
|||||||
| $384,000 | $40,647,800 | |||||||
|
Credit Default
|
||||||||
| $8,000 | ||||||||
| (1) |
Cost. |
| (2) |
Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 187,546 | $ | (187,546 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A99
| AST BOND PORTFOLIO 2029 (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $187,546: |
||||
|
Unaffiliated investments (cost $48,742,235) |
$ | 48,743,757 | ||
|
Affiliated investments (cost $192,665) |
192,673 | |||
|
Receivable for investments sold |
284,921 | |||
|
Dividends and interest receivable |
252,349 | |||
|
Due from broker-variation margin futures |
63,957 | |||
|
Prepaid expenses |
809 | |||
|
|
|
|||
|
Total Assets |
49,538,466 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable for investments purchased |
750,000 | |||
|
Payable to broker for collateral for securities on loan |
191,656 | |||
|
Payable for Portfolio shares repurchased |
119,781 | |||
|
Due to broker-variation margin swaps |
102,886 | |||
|
Accrued expenses and other liabilities |
50,041 | |||
|
Payable to custodian |
5,601 | |||
|
Management fee payable |
4,978 | |||
|
Distribution fee payable |
2,017 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
1,227,317 | |||
|
|
|
|||
| NET ASSETS | $ | 48,311,149 | ||
|
|
|
|||
|
Net assets were comprised of: Partners’ Equity |
$ | 48,311,149 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $48,311,149 / 4,372,765 outstanding shares of beneficial interest |
$ | 11.05 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
| NET INVESTMENT INCOME (LOSS) | ||||
| INCOME | ||||
|
Interest income |
$ | 723,387 | ||
|
Affiliated dividend income |
76,640 | |||
|
Affiliated income from securities lending, net |
471 | |||
|
|
|
|||
|
Total income |
800,498 | |||
|
|
|
|||
| EXPENSES | ||||
|
Management fee |
159,361 | |||
|
Distribution fee |
83,987 | |||
|
Custodian and accounting fees |
60,480 | |||
|
Audit fee |
44,600 | |||
|
Legal fees and expenses |
12,227 | |||
|
Trustees’ fees |
9,770 | |||
|
Transfer agent’s fees and expenses (including affiliated expense of $2,188) |
7,008 | |||
|
Shareholders’ reports |
5,542 | |||
|
Miscellaneous |
14,585 | |||
|
|
|
|||
|
Total expenses |
397,560 | |||
|
Less: Fee waiver and/or expense reimbursement |
(84,259 | ) | ||
|
|
|
|||
|
Net expenses |
313,301 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) | 487,197 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
|
Net realized gain (loss) on: |
||||
|
Investment transactions (including affiliated of $(49)) |
41,231 | |||
|
Futures transactions |
271,407 | |||
|
Swap agreements transactions |
411,281 | |||
|
|
|
|||
| 723,919 | ||||
|
|
|
|||
|
Net change in unrealized appreciation (depreciation)on: |
||||
|
Investments (including affiliated of $8) |
(76,827 | ) | ||
|
Futures |
482,791 | |||
|
Swap agreements |
352,638 | |||
|
|
|
|||
| 758,602 | ||||
|
|
|
|||
| NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 1,482,521 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,969,718 | ||
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
January 02, 2018*
through December 31, 2018 |
|||||||
|
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS |
||||||||
|
Net investment income (loss) |
$ | 487,197 | $ | 133,527 | ||||
|
Net realized gain (loss) on investment transactions |
723,919 | 57,593 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments |
758,602 | 49,463 | ||||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
1,969,718 | 240,583 | ||||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [4,686,422 and 2,073,772 shares, respectively] |
51,230,248 | 20,039,312 | ||||||
|
Portfolio shares repurchased [1,896,574 and 490,855 shares, respectively] |
(20,471,960 | ) | (4,696,752 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
30,758,288 | 15,342,560 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 32,728,006 | 15,583,143 | ||||||
| NET ASSETS: | ||||||||
|
Beginning of period |
15,583,143 | — | ||||||
|
|
|
|
|
|||||
|
End of period |
$ | 48,311,149 | $ | 15,583,143 | ||||
|
|
|
|
|
|||||
| * |
Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A100
| AST BOND PORTFOLIO 2030 | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A101
| AST BOND PORTFOLIO 2030 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A102
|
AST BOND PORTFOLIO 2030 (continued) |
||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A103
| AST BOND PORTFOLIO 2030 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $122,947; cash collateral of $125,670 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (ff) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (w) |
PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
A104
|
AST BOND PORTFOLIO 2030 (continued) |
||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at December 31, 2019:
|
Number
of Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
| Long Position: | ||||||||||||||||
| 76 | 10 Year U.S. Ultra Treasury Notes | Mar. 2020 | $ | 10,693,438 | $ | (127,546 | ) | |||||||||
| Short Positions: | ||||||||||||||||
| 4 | 90 Day Euro Dollar | Dec. 2020 | 983,800 | 2,517 | ||||||||||||
| 36 | 2 Year U.S. Treasury Notes | Mar. 2020 | 7,758,000 | 4,289 | ||||||||||||
| 106 | 5 Year U.S. Treasury Notes | Mar. 2020 | 12,572,595 | 44,977 | ||||||||||||
| 48 | 10 Year U.S. Treasury Notes | Mar. 2020 | 6,164,250 | 53,738 | ||||||||||||
| 12 | 20 Year U.S. Treasury Bonds | Mar. 2020 | 1,870,875 | 29,076 | ||||||||||||
| 25 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2020 | 4,541,406 | 128,165 | ||||||||||||
|
|
|
|||||||||||||||
| 262,762 | ||||||||||||||||
|
|
|
|||||||||||||||
| $ | 135,216 | |||||||||||||||
|
|
|
|||||||||||||||
Credit default swap agreements outstanding at December 31, 2019:
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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A105
| AST BOND PORTFOLIO 2030 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Interest rate swap agreements outstanding at December 31, 2019:
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements: |
||||||||||||||||||||||||
| 3,130 | 05/11/24 | 2.139%(S) | 3 Month LIBOR(2)(Q) | $ | 91,579 | $ | 57,279 | $ | (34,300 | ) | ||||||||||||||
| 300 | 05/11/25 | 1.900%(S) | 3 Month LIBOR(1)(Q) | (4,129 | ) | (2,430 | ) | 1,699 | ||||||||||||||||
| 25,757 | 12/27/30 | 2.750%(S) | 3 Month LIBOR(2)(Q) | 2,469,247 | 2,137,169 | (332,078 | ) | |||||||||||||||||
| 705 | 05/11/39 | 2.200%(S) | 3 Month LIBOR(2)(Q) | 67,725 | 16,557 | (51,168 | ) | |||||||||||||||||
| 40 | 08/09/49 | 1.508%(A) | 1 Day USOIS(1)(A) | — | 3,176 | 3,176 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 2,624,422 | $ | 2,211,751 | $ | (412,671 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||||
|
Citigroup Global Markets, Inc. |
$ | 70,000 | $ | 2,113,745 | ||||||
|
|
|
|
|
|||||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Automobiles |
$ | — | $ | 1,032,752 | $ | — | ||||||
|
Collateralized Loan Obligation |
— | 249,978 | — | |||||||||
|
Credit Cards |
— | 707,904 | — | |||||||||
|
Student Loan |
— | 99,504 | — | |||||||||
|
Commercial Mortgage-Backed Securities |
— | 5,924,724 | — | |||||||||
|
Corporate Bonds |
— | 4,238,178 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 149,075 | — | |||||||||
|
Sovereign Bonds |
— | 3,013,907 | — | |||||||||
|
U.S. Government Agency Obligations |
— | 1,742,248 | — | |||||||||
|
U.S. Treasury Obligations |
— | 16,190,857 | — | |||||||||
|
Affiliated Mutual Funds |
1,005,021 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 1,005,021 | $ | 33,349,127 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 262,762 | $ | — | $ | — | ||||||
|
Centrally Cleared Credit Default Swap Agreement |
— | 1,859 | — | |||||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | 4,875 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 262,762 | $ | 6,734 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A106
| AST BOND PORTFOLIO 2030 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Other Financial Instruments* (continued) |
||||||||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (127,546 | ) | $ | — | $ | — | |||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | (417,546 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (127,546 | ) | $ | (417,546 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
U.S. Treasury Obligations |
47.1 | % | ||
|
Commercial Mortgage-Backed Securities |
17.3 | |||
|
Sovereign Bonds |
8.8 | |||
|
Banks |
5.4 | |||
|
U.S. Government Agency Obligations |
5.1 | |||
|
Automobiles |
3.0 | |||
|
Affiliated Mutual Funds (0.4% represents investments purchased with collateral from securities on loan) |
2.9 | |||
|
Credit Cards |
2.1 | |||
|
Multi-National |
1.3 | |||
|
Diversified Financial Services |
0.9 | |||
|
Pharmaceuticals |
0.8 | |||
|
Collateralized Loan Obligation |
0.7 | |||
|
Commercial Services |
0.7 | |||
|
Oil & Gas |
0.6 | |||
|
Electric |
0.6 | |||
|
Residential Mortgage-Backed Securities |
0.4 | |||
|
Healthcare-Services |
0.4 | |||
|
Foods |
0.4 |
|
Media |
0.3 | % | ||
|
Student Loan |
0.3 | |||
|
Machinery-Construction & Mining |
0.2 | |||
|
Telecommunications |
0.2 | |||
|
Insurance |
0.2 | |||
|
Pipelines |
0.1 | |||
|
Gas |
0.1 | |||
|
Chemicals |
0.1 | |||
|
Airlines |
0.0 | * | ||
|
Semiconductors |
0.0 | * | ||
|
Mining |
0.0 | * | ||
|
Agriculture |
0.0 | * | ||
|
|
|
|||
| 100.0 | ||||
|
Other assets in excess of liabilities |
0.0 | * | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Asset Derivatives |
Liability Derivatives |
|||||||||||
|
Derivatives not accounted for as hedging
|
Statement of Assets and
|
Fair Value |
Statement of Assets and
|
Fair Value | ||||||||
|
Credit contracts |
Due from/to broker —
variation margin swaps |
$ | 1,859 | * | — | $ | — | |||||
|
Interest rate contracts |
Due from/to broker —
variation margin futures |
262,762 | * |
Due from/to broker —
variation margin futures |
127,546 | * | ||||||
|
Interest rate contracts |
Due from/to broker —
variation margin swaps |
4,875 | * |
Due from/to broker —
variation margin swaps |
417,546 | * | ||||||
|
|
|
|
|
|||||||||
| $ | 269,496 | $ | 545,092 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A107
| AST BOND PORTFOLIO 2030 (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
The effects of derivative instruments on the Statement of Operations for the period ended December 31, 2019 are as follows:
For the period ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Futures
|
Futures
|
|
| $5,137,821 | $21,860,931 |
|
Interest
Rate
|
| $18,239,750 |
|
Credit Default
|
| $300,000 |
| (1) |
Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market Value
of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net
Amount |
|||||||||
|
Securities on Loan |
$ | 122,947 | $ | (122,947 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A108
| AST BOND PORTFOLIO 2030 (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $122,947: |
||||
|
Unaffiliated investments (cost $33,311,444) |
$ | 33,349,127 | ||
|
Affiliated investments (cost $1,005,021) |
1,005,021 | |||
|
Dividends and interest receivable |
172,989 | |||
|
Deposit with broker for centrally cleared/exchange-traded derivatives |
70,000 | |||
|
Due from broker-variation margin futures |
26,059 | |||
|
Receivable for Portfolio shares sold |
8,638 | |||
|
Prepaid expenses |
1,414 | |||
|
|
|
|||
|
Total Assets |
34,633,248 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
125,670 | |||
|
Due to broker-variation margin swaps |
93,520 | |||
|
Audit fee payable |
22,300 | |||
|
Custodian and accounting fees payable |
19,693 | |||
|
Accrued expenses and other liabilities |
5,507 | |||
|
Distribution fee payable |
1,412 | |||
|
Management fee payable |
1,133 | |||
|
Payable for Portfolio shares repurchased |
412 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
270,004 | |||
|
|
|
|||
| NET ASSETS | $ | 34,363,244 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 34,363,244 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $34,363,244 / 3,003,214 outstanding shares of beneficial interest |
$ | 11.44 | ||
|
|
|
STATEMENT OF OPERATIONS
For the Period January 2, 2019* through December 31, 2019
| NET INVESTMENT INCOME (LOSS) | ||||
| INCOME | ||||
|
Interest income |
$ | 359,385 | ||
|
Affiliated dividend income |
60,707 | |||
|
Affiliated income from securities lending, net |
188 | |||
|
|
|
|||
|
Total income |
420,280 | |||
|
|
|
|||
| EXPENSES | ||||
|
Management fee |
90,181 | |||
|
Distribution fee |
47,535 | |||
|
Custodian and accounting fees |
49,480 | |||
|
Audit fee |
44,600 | |||
|
Legal fees and expenses |
11,880 | |||
|
Trustees’ fees |
9,620 | |||
|
Transfer agent’s fees and expenses (including affiliated expense of $2,188) |
7,002 | |||
|
Shareholders’ reports |
6,000 | |||
|
Miscellaneous |
8,104 | |||
|
|
|
|||
|
Total expenses |
274,402 | |||
|
Less: Fee waiver and/or expense reimbursement |
(97,573 | ) | ||
|
|
|
|||
|
Net expenses |
176,829 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) | 243,451 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
|
Net realized gain (loss) on: |
||||
|
Investment transactions (including affiliated of $(24)) |
(144,405 | ) | ||
|
Futures transactions |
151,890 | |||
|
Swap agreements transactions |
386,667 | |||
|
|
|
|||
| 394,152 | ||||
|
|
|
|||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments |
37,683 | |||
|
Futures |
135,216 | |||
|
Swap agreements |
(410,812 | ) | ||
|
|
|
|||
| (237,913 | ) | |||
|
|
|
|||
| NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 156,239 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 399,690 | ||
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| * |
Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A109
| AST COHEN & STEERS GLOBAL REALTY PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
LONG-TERM INVESTMENTS — 98.3% |
||||||||
| COMMON STOCKS | Shares | Value | ||||||
|
Australia — 2.9% |
||||||||
|
Charter Hall Group, REIT |
311,207 | $ | 2,421,926 | |||||
|
Goodman Group, REIT |
187,067 | 1,760,138 | ||||||
|
Mirvac Group, REIT |
2,797,022 | 6,242,855 | ||||||
|
|
|
|||||||
| 10,424,919 | ||||||||
|
|
|
|||||||
|
Austria — 0.7% |
||||||||
|
CA Immobilien Anlagen AG |
54,540 | 2,291,555 | ||||||
|
|
|
|||||||
|
Belgium — 1.2% |
||||||||
|
Aedifica SA, REIT |
17,472 | 2,220,453 | ||||||
|
Warehouses De Pauw SCA |
12,063 | 2,195,971 | ||||||
|
|
|
|||||||
| 4,416,424 | ||||||||
|
|
|
|||||||
|
Canada — 3.0% |
||||||||
|
Allied Properties Real Estate Investment Trust, REIT |
131,473 | 5,271,880 | ||||||
|
Boardwalk Real Estate Investment Trust, REIT(a) |
151,869 | 5,371,640 | ||||||
|
|
|
|||||||
| 10,643,520 | ||||||||
|
|
|
|||||||
|
China — 2.6% |
||||||||
|
China Overseas Land & Investment Ltd. |
652,000 | 2,540,901 | ||||||
|
ESR Cayman Ltd., 144A* |
969,600 | 2,183,454 | ||||||
|
GDS Holdings Ltd., ADR*(a) |
51,360 | 2,649,149 | ||||||
|
Shimao Property Holdings Ltd. |
518,000 | 2,008,988 | ||||||
|
|
|
|||||||
| 9,382,492 | ||||||||
|
|
|
|||||||
|
France — 2.7% |
||||||||
|
ARGAN SA, REIT |
20,844 | 1,814,300 | ||||||
|
Covivio, REIT |
9,370 | 1,062,913 | ||||||
|
Gecina SA, REIT |
12,565 | 2,250,459 | ||||||
|
Klepierre SA, REIT |
96,737 | 3,675,079 | ||||||
|
Unibail-Rodamco-Westfield, REIT |
5,651 | 892,209 | ||||||
|
|
|
|||||||
| 9,694,960 | ||||||||
|
|
|
|||||||
|
Germany — 4.7% |
||||||||
|
alstria office REIT-AG, REIT |
95,050 | 1,791,891 | ||||||
|
Deutsche Wohnen SE |
114,649 | 4,705,736 | ||||||
|
Instone Real Estate Group AG, 144A* |
50,063 | 1,241,692 | ||||||
|
LEG Immobilien AG |
46,427 | 5,510,165 | ||||||
|
Vonovia SE |
66,881 | 3,606,989 | ||||||
|
|
|
|||||||
| 16,856,473 | ||||||||
|
|
|
|||||||
|
Hong Kong — 4.5% |
||||||||
|
Link REIT, REIT |
299,000 | 3,171,829 | ||||||
|
New World Development Co. Ltd. |
3,158,000 | 4,331,649 | ||||||
|
Sun Hung Kai Properties Ltd. |
436,500 | 6,698,052 | ||||||
|
Wharf Real Estate Investment Co. Ltd. |
297,506 | 1,817,850 | ||||||
|
|
|
|||||||
| 16,019,380 | ||||||||
|
|
|
|||||||
|
Japan — 11.6% |
||||||||
|
Activia Properties, Inc., REIT |
949 | 4,746,935 | ||||||
|
GLP J-REIT, REIT |
3,391 | 4,212,109 | ||||||
|
Japan Retail Fund Investment Corp., REIT |
1,479 | 3,175,381 | ||||||
|
Mitsubishi Estate Co. Ltd. |
188,350 | 3,598,096 | ||||||
|
Mitsui Fudosan Co. Ltd. |
296,700 | 7,257,093 | ||||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
Japan (continued) |
||||||||
|
Mitsui Fudosan Logistics Park, Inc., REIT |
406 | $ | 1,802,543 | |||||
|
Nippon Building Fund, Inc., REIT |
577 | 4,224,875 | ||||||
|
NIPPON REIT Investment Corp., REIT |
547 | 2,406,855 | ||||||
|
Nomura Real Estate Master Fund, Inc., REIT |
1,876 | 3,200,790 | ||||||
|
Sumitomo Realty & Development Co. Ltd. |
136,600 | 4,775,008 | ||||||
|
Tokyu Fudosan Holdings Corp. |
308,000 | 2,124,799 | ||||||
|
|
|
|||||||
| 41,524,484 | ||||||||
|
|
|
|||||||
|
Netherlands — 1.8% |
||||||||
|
InterXion Holding NV* |
75,354 | 6,315,419 | ||||||
|
|
|
|||||||
|
Norway — 0.9% |
||||||||
|
Entra ASA, 144A |
202,222 | 3,341,043 | ||||||
|
|
|
|||||||
|
Singapore — 3.0% |
||||||||
|
CapitaLand Ltd. |
470,600 | 1,312,694 | ||||||
|
City Developments Ltd. |
358,200 | 2,924,380 | ||||||
|
Keppel DC REIT, REIT |
1,531,700 | 2,368,865 | ||||||
|
Mapletree Industrial Trust, REIT |
815,200 | 1,576,657 | ||||||
|
Parkway Life Real Estate Investment Trust, REIT |
938,500 | 2,316,963 | ||||||
|
|
|
|||||||
| 10,499,559 | ||||||||
|
|
|
|||||||
|
Spain — 1.0% |
||||||||
|
Inmobiliaria Colonial Socimi SA, REIT |
99,986 | 1,276,013 | ||||||
|
Merlin Properties Socimi SA, REIT |
152,201 | 2,187,854 | ||||||
|
|
|
|||||||
| 3,463,867 | ||||||||
|
|
|
|||||||
|
Sweden — 1.8% |
||||||||
|
Castellum AB |
111,235 | 2,614,549 | ||||||
|
Catena AB |
30,917 | 1,365,436 | ||||||
|
Fastighets AB Balder (Class B Stock)* |
52,197 | 2,428,654 | ||||||
|
|
|
|||||||
| 6,408,639 | ||||||||
|
|
|
|||||||
|
United Kingdom — 5.3% |
||||||||
|
Assura PLC, REIT |
2,103,782 | 2,168,982 | ||||||
|
Derwent London PLC, REIT |
60,763 | 3,228,256 | ||||||
|
Land Securities Group PLC, REIT |
331,960 | 4,363,103 | ||||||
|
LondonMetric Property PLC, REIT |
615,139 | 1,929,648 | ||||||
|
Safestore Holdings PLC, REIT |
124,721 | 1,332,682 | ||||||
|
Segro PLC, REIT |
348,844 | 4,156,070 | ||||||
|
UNITE Group PLC (The), REIT |
111,030 | 1,854,818 | ||||||
|
|
|
|||||||
| 19,033,559 | ||||||||
|
|
|
|||||||
|
United States — 50.6% |
||||||||
|
Agree Realty Corp., REIT(a) |
34,747 | 2,438,197 | ||||||
|
Americold Realty Trust, REIT(a) |
95,665 | 3,354,015 | ||||||
|
Boyd Gaming Corp.(a) |
154,796 | 4,634,592 | ||||||
|
Columbia Property Trust, Inc., REIT |
112,089 | 2,343,781 | ||||||
|
Digital Realty Trust, Inc., REIT(a) |
26,021 | 3,115,754 | ||||||
|
Empire State Realty Trust, Inc. (Class A Stock), REIT |
198,120 | 2,765,755 | ||||||
|
Equinix, Inc., REIT |
7,979 | 4,657,342 | ||||||
|
Equity Residential, REIT |
84,657 | 6,850,444 | ||||||
|
Essex Property Trust, Inc., REIT |
28,600 | 8,604,596 | ||||||
|
Extra Space Storage, Inc., REIT |
91,695 | 9,684,826 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A110
| AST COHEN & STEERS GLOBAL REALTY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
COMMON STOCKS
(continued) |
Shares | Value | ||||||
|
United States (continued) |
||||||||
|
Healthcare Trust of America, Inc. (Class A Stock), REIT(a) |
119,265 | $ | 3,611,344 | |||||
|
Healthpeak Properties, Inc., REIT |
53,046 | 1,828,496 | ||||||
|
Hilton Worldwide Holdings, Inc. |
32,855 | 3,643,948 | ||||||
|
Invitation Homes, Inc., REIT |
264,510 | 7,927,365 | ||||||
|
Jones Lang LaSalle, Inc. |
21,106 | 3,674,344 | ||||||
|
Kilroy Realty Corp., REIT |
107,352 | 9,006,833 | ||||||
|
Kimco Realty Corp., REIT |
336,109 | 6,960,817 | ||||||
|
Medical Properties Trust, Inc., REIT |
221,156 | 4,668,603 | ||||||
|
Park Hotels & Resorts, Inc., REIT(a) |
215,501 | 5,575,011 | ||||||
|
Pebblebrook Hotel Trust, REIT |
52,203 | 1,399,562 | ||||||
|
Prologis, Inc., REIT |
184,801 | 16,473,161 | ||||||
|
Public Storage, REIT |
12,064 | 2,569,149 | ||||||
|
Realty Income Corp., REIT |
48,520 | 3,572,528 | ||||||
|
Regency Centers Corp., REIT |
107,081 | 6,755,740 | ||||||
|
Simon Property Group, Inc., REIT |
60,174 | 8,963,519 | ||||||
|
SITE Centers Corp., REIT |
114,100 | 1,599,682 | ||||||
|
Sun Communities, Inc., REIT |
28,225 | 4,236,573 | ||||||
|
Taubman Centers, Inc., REIT |
41,900 | 1,302,671 | ||||||
|
UDR, Inc., REIT |
278,845 | 13,022,062 | ||||||
|
VEREIT, Inc., REIT |
656,372 | 6,064,877 | ||||||
|
VICI Properties, Inc., REIT(a) |
215,809 | 5,513,920 | ||||||
|
Welltower, Inc., REIT(a) |
169,983 | 13,901,210 | ||||||
|
|
|
|||||||
| 180,720,717 | ||||||||
|
|
|
|||||||
|
TOTAL LONG-TERM INVESTMENTS
|
|
351,037,010 | ||||||
|
|
|
|||||||
|
SHORT-TERM
INVESTMENTS — 10.5% |
Shares | Value | ||||||
|
AFFILIATED MUTUAL FUNDS |
||||||||
|
PGIM Core Ultra Short Bond Fund(w) |
5,014,053 | $ | 5,014,053 | |||||
|
PGIM Institutional Money Market Fund
|
32,251,600 | 32,258,051 | ||||||
|
|
|
|||||||
|
TOTAL SHORT-TERM INVESTMENTS
|
|
37,272,104 | ||||||
|
|
|
|||||||
|
TOTAL INVESTMENTS—108.8%
|
|
388,309,114 | ||||||
|
Liabilities in excess of other assets — (8.8)% |
|
(31,305,144 | ) | |||||
|
|
|
|||||||
|
NET ASSETS — 100.0% |
|
$ | 357,003,970 | |||||
|
|
|
|||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $31,456,465; cash collateral of $32,202,493 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as the manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Australia |
$ | — | $ | 10,424,919 | $ | — | ||||||
|
Austria |
— | 2,291,555 | — | |||||||||
|
Belgium |
— | 4,416,424 | — | |||||||||
|
Canada |
10,643,520 | — | — | |||||||||
|
China |
2,649,149 | 6,733,343 | — | |||||||||
|
France |
— | 9,694,960 | — | |||||||||
|
Germany |
— | 16,856,473 | — | |||||||||
|
Hong Kong |
— | 16,019,380 | — | |||||||||
|
Japan |
— | 41,524,484 | — | |||||||||
|
Netherlands |
6,315,419 | — | — | |||||||||
|
Norway |
— | 3,341,043 | — | |||||||||
|
Singapore |
— | 10,499,559 | — | |||||||||
|
Spain |
— | 3,463,867 | — | |||||||||
|
Sweden |
— | 6,408,639 | — | |||||||||
|
United Kingdom |
— | 19,033,559 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A111
| AST COHEN & STEERS GLOBAL REALTY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
United States |
$ | 180,720,717 | $ | — | $ | — | ||||||
|
Affiliated Mutual Funds |
37,272,104 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 237,600,909 | $ | 150,708,205 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Residential REITs |
13.3 | % | ||
|
Retail REITs |
12.1 | |||
|
Diversified REITs |
10.7 | |||
|
Affiliated Mutual Funds (9.0% represents investments purchased with collateral from securities on loan) |
10.5 | |||
|
Industrial REITs |
9.9 | |||
|
Diversified Real Estate Activities |
9.8 | |||
|
Specialized REITs |
8.7 | |||
|
Health Care REITs |
8.6 | |||
|
Office REITs |
8.0 | |||
|
Real Estate Operating Companies |
7.7 | |||
|
Hotel & Resort REITs |
2.0 |
|
IT Consulting & Other Services |
1.8 | % | ||
|
Real Estate Development |
1.7 | |||
|
Casinos & Gaming |
1.3 | |||
|
Real Estate Services |
1.0 | |||
|
Hotels, Resorts & Cruise Lines |
1.0 | |||
|
Internet Services & Infrastructure |
0.7 | |||
|
|
|
|||
| 108.8 | ||||
|
Liabilities in excess of other assets |
(8.8 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net
Amount |
|||||||||||||
|
Securities on Loan |
$ | 31,456,465 | $ | (31,456,465 | ) | $ | — | |||||||||
|
|
|
|
|
|
|
|||||||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A112
| AST COHEN & STEERS GLOBAL REALTY PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $31,456,465: |
||||
|
Unaffiliated investments (cost $321,114,656) |
$ | 351,037,010 | ||
|
Affiliated investments (cost $37,271,296) |
37,272,104 | |||
|
Foreign currency, at value (cost $164,743) |
164,895 | |||
|
Dividends receivable |
1,208,420 | |||
|
Tax reclaim receivable |
781,013 | |||
|
Receivable for investments sold |
139,154 | |||
|
Receivable for Portfolio shares sold |
10,490 | |||
|
Receivable from affiliate |
10,079 | |||
|
Prepaid expenses and other assets |
7,543 | |||
|
|
|
|||
|
Total Assets |
390,630,708 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
32,202,493 | |||
|
Payable to affiliate |
687,084 | |||
|
Payable for investments purchased |
468,828 | |||
|
Accrued expenses and other liabilities |
122,623 | |||
|
Management fee payable |
122,602 | |||
|
Distribution fee payable |
14,508 | |||
|
Payable for Portfolio shares repurchased |
8,243 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
33,626,738 | |||
|
|
|
|||
| NET ASSETS | $ | 357,003,970 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 357,003,970 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $357,003,970 / 23,896,703 outstanding shares of beneficial interest |
$ | 14.94 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 5,346,135 | $ | 7,767,183 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
37,260,633 | 9,086,481 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
32,726,107 | (36,556,632 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
75,332,875 | (19,702,968 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [1,403,570 and 1,089,014 shares, respectively] |
18,941,425 | 13,226,141 | ||||||
|
Portfolio shares repurchased [5,660,676 and 7,248,005 shares, respectively] |
(73,490,190 | ) | (87,537,764 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(54,548,765 | ) | (74,311,623 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 8,141 | 178,221 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 20,792,251 | (93,836,370 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
336,211,719 | 430,048,089 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 357,003,970 | $ | 336,211,719 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A113
| AST HIGH YIELD PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| ASSET-BACKED SECURITIES (continued) |
|
|||||||||||||||
|
Collateralized Loan Obligations(c) (continued) |
|
|||||||||||||||
|
Wellfleet CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2015-01A, Class AR3, 144A, 3 Month LIBOR + 1.280%
|
|
|||||||||||||||
|
3.246% |
07/20/29 | 2,000 | $ | 1,998,016 | ||||||||||||
|
|
|
|||||||||||||||
|
TOTAL ASSET-BACKED SECURITIES
|
|
50,686,627 | ||||||||||||||
|
|
|
|||||||||||||||
| BANK LOANS — 5.4% |
|
|||||||||||||||
|
Aerospace & Defense — 0.1% |
|
|||||||||||||||
|
TransDigm, Inc., |
|
|||||||||||||||
|
2018 New Tranche E Term Loan, 1 Month LIBOR + 2.500% |
|
|||||||||||||||
|
4.299%(c) |
05/30/25 | 73 | 72,931 | |||||||||||||
|
2018 New Tranche F Term Loan, 1 Month LIBOR + 2.500% |
|
|||||||||||||||
|
4.299%(c) |
06/09/23 | 192 | 192,659 | |||||||||||||
|
New Tranche G Term Loans, 1 Month LIBOR + 2.500% |
|
|||||||||||||||
|
4.299%(c) |
08/22/24 | 146 | 145,995 | |||||||||||||
|
|
|
|||||||||||||||
| 411,585 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Auto Parts & Equipment — 0.0% |
|
|||||||||||||||
|
Adient US LLC, |
|
|||||||||||||||
|
Initial Term Loan, 3 Month LIBOR + 4.250% |
|
|||||||||||||||
|
6.169%(c) |
05/06/24 | 264 | 265,548 | |||||||||||||
|
American Axle & Manufacturing, Inc., |
|
|||||||||||||||
|
Tranche B Term Loan, 1 - 3 Month LIBOR +2.250% |
|
|||||||||||||||
|
4.143%(c) |
04/06/24 | 11 | 10,497 | |||||||||||||
|
|
|
|||||||||||||||
| 276,045 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Biotechnology — 0.1% |
|
|||||||||||||||
|
Concordia International Corp. (Canada), |
|
|||||||||||||||
|
Term Loan, 3 Month LIBOR + 5.500% |
|
|||||||||||||||
|
7.447%(c) |
09/06/24 | 462 | 429,684 | |||||||||||||
|
|
|
|||||||||||||||
|
Chemicals — 0.4% |
|
|||||||||||||||
|
Axalta Coating Systems US Holdings, Inc., |
|
|||||||||||||||
|
Term B-3 Dollar Loan, 3 Month LIBOR + 1.750% |
|
|||||||||||||||
|
3.695%(c) |
06/01/24 | 227 | 227,157 | |||||||||||||
|
Solenis International LP, |
|
|||||||||||||||
|
First Lien Initial Dollar Term Loan, 3 Month LIBOR + 4.000% |
|
|||||||||||||||
|
5.909%(c) |
06/26/25 | 199 | 196,337 | |||||||||||||
|
Second Lien Initial Term Loan, 3 Month LIBOR + 8.500% |
|
|||||||||||||||
|
10.409%(c) |
06/26/26^ | 1,971 | 1,754,413 | |||||||||||||
|
Starfruit Finco BV (Netherlands), |
|
|||||||||||||||
|
Initial Dollar Term Loan, 1 Month LIBOR + 3.250% |
|
|||||||||||||||
|
4.960%(c) |
10/01/25 | 499 | 498,711 | |||||||||||||
|
|
|
|||||||||||||||
| 2,676,618 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Commercial Services — 0.1% |
|
|||||||||||||||
|
Syniverse Holdings, Inc., |
|
|||||||||||||||
|
Tranche C Term Loan, 2 Month LIBOR + 5.000% |
|
|||||||||||||||
|
6.846%(c) |
03/09/23 | 549 | 507,832 | |||||||||||||
|
|
|
|||||||||||||||
|
Computers — 0.7% |
|
|||||||||||||||
|
McAfee LLC, |
|
|||||||||||||||
|
Second Lien Initial Loan, 3 Month LIBOR + 8.500% |
|
|||||||||||||||
|
10.305%(c) |
09/29/25 | 2,931 | 2,944,074 | |||||||||||||
|
Term B USD Loan, 1 Month LIBOR + 3.750% |
|
|||||||||||||||
|
5.555%(c) |
09/30/24 | 1,701 | 1,707,631 | |||||||||||||
|
|
|
|||||||||||||||
| 4,651,705 | ||||||||||||||||
|
|
|
|||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A114
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest
|
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| BANK LOANS (continued) |
|
|||||||||||||||
|
Media (continued) |
|
|||||||||||||||
|
Meredith Corp., |
|
|||||||||||||||
|
Tranche B-1 Term Loan, 1 Month LIBOR + 2.750% |
|
|||||||||||||||
|
4.549%(c) |
01/31/25 | 221 | $ | 221,810 | ||||||||||||
|
|
|
|||||||||||||||
| 567,332 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Mining — 0.3% |
|
|||||||||||||||
|
Aleris International, Inc., |
|
|||||||||||||||
|
Initial Term Loan, 1 Month LIBOR + 4.750% |
|
|||||||||||||||
|
6.555%(c) |
02/27/23 | 1,776 | 1,773,988 | |||||||||||||
|
|
|
|||||||||||||||
|
Miscellaneous Manufacturing — 0.0% |
|
|||||||||||||||
|
FGI Operating Co. LLC, |
|
|||||||||||||||
|
Term Loan |
|
|||||||||||||||
|
—%(p) |
05/15/22^ | 25 | 25,062 | |||||||||||||
|
|
|
|||||||||||||||
|
Oil & Gas — 0.8% |
|
|||||||||||||||
|
California Resources Corp., |
|
|||||||||||||||
|
Term Loan (11/17), 1 Month LIBOR + 4.750% |
|
|||||||||||||||
|
6.555%(c) |
12/31/22 | 1,102 | 973,869 | |||||||||||||
|
Chesapeake Energy Corp., |
|
|||||||||||||||
|
Class A Loan, 3 Month LIBOR + 8.000% |
|
|||||||||||||||
|
9.928%(c) |
05/23/24 | 2,875 | 2,954,062 | |||||||||||||
|
CITGO Petroleum Corp., |
|
|||||||||||||||
|
2019 Incremental Term B Loan, 3 Month LIBOR + 5.000% |
|
|||||||||||||||
|
6.945%(c) |
03/28/24^ | 620 | 621,863 | |||||||||||||
|
Term B Loan, 3 Month LIBOR + 4.500% |
|
|||||||||||||||
|
6.445%(c) |
07/29/21 | 643 | 644,418 | |||||||||||||
|
Ultra Resources, Inc., |
|
|||||||||||||||
|
Senior Secured Term Loan Non-PIK, 1 Month LIBOR + 4.000% |
|
|||||||||||||||
|
5.799%(c) |
04/12/24 | 708 | 414,030 | |||||||||||||
|
|
|
|||||||||||||||
| 5,608,242 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Packaging & Containers — 0.1% |
|
|||||||||||||||
|
Berry Global, Inc., |
|
|||||||||||||||
|
Term W Loan, 1 Month LIBOR + 2.000% |
|
|||||||||||||||
|
3.715%(c) |
10/01/22 | 150 | 150,509 | |||||||||||||
|
Reynolds Group Holdings, Inc., |
|
|||||||||||||||
|
Incremental U.S. Term Loan, 1 Month LIBOR + 2.750% |
|
|||||||||||||||
|
4.549%(c) |
02/06/23 | 258 | 258,650 | |||||||||||||
|
|
|
|||||||||||||||
| 409,159 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Pharmaceuticals — 0.2% |
|
|||||||||||||||
|
Bausch Health Co., Inc., |
|
|||||||||||||||
|
Initial Term Loan, 1 Month LIBOR + 3.000% |
|
|||||||||||||||
|
4.740%(c) |
06/02/25 | 716 | 719,870 | |||||||||||||
|
Mallinckrodt International Finance SA, |
|
|||||||||||||||
|
2017 Term B Loan, 3 Month LIBOR + 2.750% |
|
|||||||||||||||
|
4.695%(c) |
09/24/24 | 359 | 290,515 | |||||||||||||
|
2018 Incremental Term Loan, 3 Month LIBOR + 3.000% |
|
|||||||||||||||
|
4.909%(c) |
02/24/25 | 140 | 113,112 | |||||||||||||
|
|
|
|||||||||||||||
| 1,123,497 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Retail — 0.4% |
|
|||||||||||||||
|
Claire’s Stores, Inc., |
|
|||||||||||||||
|
Term Loan |
|
|||||||||||||||
|
—%(p) |
10/12/38^ | 324 | 551,206 | |||||||||||||
|
EG America LLC (United Kingdom), |
|
|||||||||||||||
|
Second Lien Facility (USD), 3 Month LIBOR + 8.000% |
|
|||||||||||||||
|
9.961%(c) |
04/20/26^ | 632 | 600,533 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A115
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A116
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A117
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A118
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A119
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A120
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A121
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A122
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A123
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A124
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A125
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A126
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A127
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A128
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A129
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A130
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest
|
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| CORPORATE BONDS (continued) |
|
|||||||||||||||
|
Retail (continued) |
|
|||||||||||||||
|
Staples, Inc., |
|
|||||||||||||||
|
Sr. Sec’d. Notes, 144A |
|
|||||||||||||||
|
7.500% |
04/15/26 | 420 | $ | 436,979 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
|
|||||||||||||||
|
10.750% |
04/15/27 | (a) | 516 | 525,349 | ||||||||||||
|
Suburban Propane Partners LP/Suburban Energy Finance Corp., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
5.500% |
06/01/24 | (a) | 800 | 822,236 | ||||||||||||
|
5.750% |
03/01/25 | 250 | 256,876 | |||||||||||||
|
5.875% |
03/01/27 | 175 | 182,539 | |||||||||||||
|
Superior Plus LP/Superior General Partner, Inc. (Canada), |
|
|||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
|
|||||||||||||||
|
7.000% |
07/15/26 | 450 | 481,428 | |||||||||||||
|
Yum! Brands, Inc., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
|
|||||||||||||||
|
4.750% |
01/15/30 | (a) | 207 | 217,601 | ||||||||||||
|
|
|
|||||||||||||||
| 27,004,256 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Semiconductors — 0.1% |
|
|||||||||||||||
|
Qorvo, Inc., |
|
|||||||||||||||
|
Gtd. Notes |
|
|||||||||||||||
|
5.500% |
07/15/26 | (a) | 40 | 42,570 | ||||||||||||
|
Gtd. Notes, 144A |
|
|||||||||||||||
|
5.500% |
07/15/26 | 409 | 434,563 | |||||||||||||
|
|
|
|||||||||||||||
| 477,133 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Software — 0.6% |
|
|||||||||||||||
|
CDK Global, Inc., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
|
|||||||||||||||
|
5.250% |
05/15/29 | 454 | 486,951 | |||||||||||||
|
Dun & Bradstreet Corp. (The), |
|
|||||||||||||||
|
Sr. Sec’d. Notes, 144A |
|
|||||||||||||||
|
6.875% |
08/15/26 | 220 | 242,917 | |||||||||||||
|
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Holdings LLC, |
|
|||||||||||||||
|
Gtd. Notes, 144A |
|
|||||||||||||||
|
10.000% |
11/30/24 | 214 | 231,231 | |||||||||||||
|
Infor US, Inc., |
|
|||||||||||||||
|
Gtd. Notes |
|
|||||||||||||||
|
6.500% |
05/15/22 | 223 | 226,736 | |||||||||||||
|
IQVIA, Inc., |
|
|||||||||||||||
|
Gtd. Notes, 144A |
|
|||||||||||||||
|
5.000% |
05/15/27 | (a) | 200 | 211,814 | ||||||||||||
|
Nuance Communications, Inc., |
|
|||||||||||||||
|
Gtd. Notes |
|
|||||||||||||||
|
5.625% |
12/15/26 | (a) | 490 | 522,900 | ||||||||||||
|
Open Text Corp. (Canada), |
|
|||||||||||||||
|
Gtd. Notes, 144A |
|
|||||||||||||||
|
5.875% |
06/01/26 | (a) | 480 | 513,258 | ||||||||||||
|
Solera LLC/Solera Finance, Inc., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
|
|||||||||||||||
|
10.500% |
03/01/24 | 291 | 309,160 | |||||||||||||
|
SS&C Technologies, Inc., |
|
|||||||||||||||
|
Gtd. Notes, 144A |
|
|||||||||||||||
|
5.500% |
09/30/27 | 445 | 474,638 | |||||||||||||
|
Interest
|
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| CORPORATE BONDS (continued) |
|
|||||||||||||||
|
Software (continued) |
|
|||||||||||||||
|
TIBCO Software, Inc., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
|
|||||||||||||||
|
11.375% |
12/01/21 | (a) | 420 | $ | 435,203 | |||||||||||
|
|
|
|||||||||||||||
| 3,654,808 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Telecommunications — 8.7% |
|
|||||||||||||||
|
Altice France SA (France), |
|
|||||||||||||||
|
Sr. Sec’d. Notes, 144A |
|
|||||||||||||||
|
7.375% |
05/01/26 | 717 | 770,813 | |||||||||||||
|
8.125% |
02/01/27 | 352 | 397,255 | |||||||||||||
|
C&W Senior Financing DAC (Ireland), |
|
|||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
|
|||||||||||||||
|
6.875% |
09/15/27 | (a) | 425 | 454,907 | ||||||||||||
|
CenturyLink, Inc., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
5.625% |
04/01/25 | (a) | 170 | 180,866 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
|
|||||||||||||||
|
5.125% |
12/15/26 | 690 | 701,909 | |||||||||||||
|
Sr. Unsec’d. Notes, Series G |
|
|||||||||||||||
|
6.875% |
01/15/28 | (a) | 281 | 309,654 | ||||||||||||
|
Sr. Unsec’d. Notes, Series T |
|
|||||||||||||||
|
5.800% |
03/15/22 | 245 | 257,993 | |||||||||||||
|
Sr. Unsec’d. Notes, Series U |
|
|||||||||||||||
|
7.650% |
03/15/42 | (a) | 775 | 812,905 | ||||||||||||
|
Sr. Unsec’d. Notes, Series V |
|
|||||||||||||||
|
5.625% |
04/01/20 | 705 | 710,287 | |||||||||||||
|
Sr. Unsec’d. Notes, Series Y |
|
|||||||||||||||
|
7.500% |
04/01/24 | 94 | 106,140 | |||||||||||||
|
Cincinnati Bell, Inc., |
|
|||||||||||||||
|
Gtd. Notes, 144A |
|
|||||||||||||||
|
7.000% |
07/15/24 | (a) | 332 | 347,972 | ||||||||||||
|
8.000% |
10/15/25 | 187 | 198,160 | |||||||||||||
|
CommScope Technologies LLC, |
|
|||||||||||||||
|
Gtd. Notes, 144A |
|
|||||||||||||||
|
5.000% |
03/15/27 | (a) | 337 | 313,322 | ||||||||||||
|
6.000% |
06/15/25 | 2,593 | 2,600,829 | |||||||||||||
|
CommScope, Inc., |
|
|||||||||||||||
|
Gtd. Notes, 144A |
|
|||||||||||||||
|
5.500% |
06/15/24 | 392 | 396,700 | |||||||||||||
|
8.250% |
03/01/27 | (a) | 912 | 959,981 | ||||||||||||
|
Sr. Sec’d. Notes, 144A |
|
|||||||||||||||
|
5.500% |
03/01/24 | 229 | 239,049 | |||||||||||||
|
6.000% |
03/01/26 | 286 | 304,320 | |||||||||||||
|
Connect Finco SARL/Connect US Finco LLC (United Kingdom), |
|
|||||||||||||||
|
Sr. Sec’d. Notes, 144A |
|
|||||||||||||||
|
6.750% |
10/01/26 | 1,000 | 1,063,848 | |||||||||||||
|
Digicel Group One Ltd. (Jamaica), |
|
|||||||||||||||
|
Sr. Sec’d. Notes, 144A |
|
|||||||||||||||
|
8.250% |
12/30/22 | 1,372 | 775,856 | |||||||||||||
|
Digicel Group Two Ltd. (Jamaica), |
|
|||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
|
|||||||||||||||
|
8.250% |
09/30/22 | 838 | 194,844 | |||||||||||||
|
Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd. (Saint Lucia), |
|
|||||||||||||||
|
Sr. Sec’d. Notes, 144A |
|
|||||||||||||||
|
8.750% |
05/25/24 | (a) | 700 | 682,318 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A131
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A132
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ^ |
Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $10,600,696 and 1.6% of net assets. |
SEE NOTES TO FINANCIAL STATEMENTS.
A133
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $125,905,230; cash collateral of $128,671,401 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (cc) |
Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
| (d) |
Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
| (ff) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (p) |
Interest rate not available as of December 31, 2019. |
| (rr) |
Perpetual security with no stated maturity date. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at December 31, 2019:
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||
| Long Positions: | ||||||||||||||
| 126 | 2 Year U.S. Treasury Notes | Mar. 2020 | $ | 27,153,000 | $ | (18,602 | ) | |||||||
| 141 | 5 Year U.S. Treasury Notes | Mar. 2020 | 16,723,922 | (44,205 | ) | |||||||||
| 57 | 10 Year U.S. Treasury Notes | Mar. 2020 | 7,320,047 | (54,051 | ) | |||||||||
| 8 | 20 Year U.S. Treasury Bonds | Mar. 2020 | 1,247,250 | (28,301 | ) | |||||||||
|
|
|
|||||||||||||
| (145,159 | ) | |||||||||||||
|
|
|
|||||||||||||
|
Short Position: |
||||||||||||||
| 13 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2020 | 2,361,531 | 67,644 | ||||||||||
|
|
|
|||||||||||||
| $ | (77,515 | ) | ||||||||||||
|
|
|
|||||||||||||
Forward foreign currency exchange contract outstanding at December 31, 2019:
Credit default swap agreements outstanding at December 31, 2019:
|
Reference Entity/ Obligation |
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1): |
|
|||||||||||||||||||||||
|
CDX.NA.HY.33.V1 |
12/20/24 | 5.000%(Q) | 10,643 | $ | (704,238 | ) | $ | (1,043,273 | ) | $ | (339,035 | ) | ||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
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 |
SEE NOTES TO FINANCIAL STATEMENTS.
A134
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) |
Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) |
Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||
|
Citigroup Global Markets, Inc. |
$1,100,000 | $— | ||
|
|
|
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Collateralized Loan Obligations |
$ | — | $ | 50,686,627 | $ | — | ||||||
|
Bank Loans |
— | 28,935,403 | 6,208,583 | |||||||||
|
Convertible Bonds |
— | 810,443 | — | |||||||||
|
Corporate Bonds |
— | 515,045,174 | 1,085 | |||||||||
|
Common Stocks |
3,179,430 | 989,159 | 3,462,723 | |||||||||
|
Preferred Stocks |
740,220 | 304,135 | 780,322 | |||||||||
|
Rights |
— | — | 147,983 | |||||||||
|
Warrants |
— | 405,409 | — | |||||||||
|
Affiliated Mutual Funds |
158,420,845 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 162,340,495 | $ | 597,176,350 | $ | 10,600,696 | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 67,644 | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (145,159 | ) | $ | — | $ | — | |||||
|
OTC Forward Foreign Currency Exchange Contract |
— | (7,862 | ) | — | ||||||||
|
Centrally Cleared Credit Default Swap Agreement |
— | (339,035 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (145,159 | ) | $ | (346,897 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A135
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:
|
Bank
Loans |
Corporate
Bonds |
Common
Stock |
Preferred
Stocks |
Rights | ||||||||||||||||
|
Balance as of 12/31/18 |
$ | 4,965,873 | $ | 2,630,753 | $ | 1,597,901 | $ | 714,982 | $ | 134,530 | ||||||||||
|
Realized gain (loss) |
(71,354 | ) | (105,997 | ) | 575,824 | — | — | |||||||||||||
|
Change in unrealized appreciation (depreciation) |
(143,886 | ) | (174,571 | ) | 957,876 | 65,340 | 13,453 | |||||||||||||
|
Purchases/Exchanges/Issuances |
2,589,409 | 83,434 | 2,060,762 | — | — | |||||||||||||||
|
Sales/Paydowns |
(530,353 | ) | (2,060,810 | ) | (880,024 | ) | — | — | ||||||||||||
|
Accrued discount/premium |
16,795 | (431,397 | ) | — | — | — | ||||||||||||||
|
Transfers into Level 3 |
2,129,680 | 59,673 | — | — | — | |||||||||||||||
|
Transfers out of Level 3 |
(2,747,581 | ) | — | (849,616 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Balance as of 12/31/19 |
$ | 6,208,583 | $ | 1,085 | $ | 3,462,723 | $ | 780,322 | $ | 147,983 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Change in unrealized appreciation (depreciation) relating to securities still held at reporting period end |
$ | (158,473 | ) | $ | 468,749 | $ | 957,877 | $ | 65,340 | $ | 13,453 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by Board, which contain unobservable inputs as follows:
|
Level 3 Securities |
Fair Value as of
December 31, 2019 |
Valuation Methodology |
Unobservable Inputs |
|||||
|
Bank Loans |
$ | 6,183,521 | Market Approach | Single Broker Indicative Quote | ||||
|
Bank Loans |
25,062 | Pricing at Cost | Unadjusted Purchase Price | |||||
|
Corporate Bonds |
1,085 | Market Approach | Single Broker Indicative Quote | |||||
|
Common Stocks |
3,063,710 | Market Approach | Single Broker Indicative Quote | |||||
|
Common Stocks |
399,004 | Market Approach | Monthly Broker Quote | |||||
|
Common Stocks |
9 | Stale Pricing | Unadjusted Last Trade Price | |||||
|
Preferred Stocks |
780,000 | Market Approach | Monthly Broker Quote | |||||
|
Preferred Stocks |
322 | Enterprise Value | EBITDA Multiple | |||||
|
Rights |
147,983 | Market Approach | Single Broker Indicative Quote | |||||
|
|
|
|||||||
| $ | 10,600,696 | |||||||
|
|
|
|||||||
It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. Securities transferred levels as follows:
|
Investments in Securities |
Amount
Transferred |
Level Transfer | Logic | |||||||
|
Bank Loans |
$ | 2,129,680 | L2 to L3 |
Multiple Broker Quotes to Single Broker
Indicative Quote |
||||||
|
Bank Loans |
$ | 2,747,581 | L3 to L2 |
Single Broker Indicative Quote to
Multiple Broker Quotes |
||||||
|
Corporate Bonds |
$ | 59,673 | L2 to L3 |
Evaluated Bid to Single Broker
Indicative Quote |
||||||
|
Common Stocks |
$ | 849,616 | L3 to L2 |
Discount Pricing to Proxy Security
Pricing |
||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Affiliated Mutual Funds (19.7% represents investments purchased with collateral from securities on loan) |
24.2 | % | ||
|
Telecommunications |
8.9 | |||
|
Media |
8.3 | |||
|
Collateralized Loan Obligations |
7.7 | |||
|
Oil & Gas |
7.3 | |||
|
Healthcare-Services |
5.1 | |||
|
Retail |
4.5 | |||
|
Entertainment |
3.7 |
|
Chemicals |
3.5 | % | ||
|
Diversified Financial Services |
3.3 | |||
|
Home Builders |
3.1 | |||
|
Commercial Services |
3.1 | |||
|
Foods |
2.9 | |||
|
Electric |
2.7 | |||
|
Pipelines |
2.6 | |||
|
Aerospace & Defense |
2.2 | |||
|
Mining |
2.2 |
SEE NOTES TO FINANCIAL STATEMENTS.
A136
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Industry Classification (con’t):
|
Computers |
2.1 | % | ||
|
Pharmaceuticals |
2.1 | |||
|
Auto Parts & Equipment |
2.0 | |||
|
Building Materials |
1.3 | |||
|
Auto Manufacturers |
1.2 | |||
|
Real Estate Investment Trusts (REITs) |
1.2 | |||
|
Software |
1.2 | |||
|
Lodging |
0.9 | |||
|
Internet |
0.8 | |||
|
Packaging & Containers |
0.8 | |||
|
Real Estate |
0.7 | |||
|
Gas |
0.6 | |||
|
Banks |
0.6 | |||
|
Electric Utilities |
0.6 | |||
|
Engineering & Construction |
0.6 | |||
|
Transportation |
0.5 | |||
|
Advertising |
0.5 | |||
|
Iron/Steel |
0.5 | |||
|
Machinery-Diversified |
0.4 | |||
|
Distribution/Wholesale |
0.4 | |||
|
Independent Power & Renewable Electricity Producers |
0.3 | |||
|
Toys/Games/Hobbies |
0.3 | |||
|
Household Products/Wares |
0.2 | |||
|
Agriculture |
0.2 | |||
|
Oil & Gas Services |
0.2 | |||
|
Multiline Retail |
0.2 | |||
|
Home Furnishings |
0.2 | |||
|
Machinery-Construction & Mining |
0.2 | |||
|
Investment Companies |
0.1 |
|
Miscellaneous Manufacturing |
0.1 | % | ||
|
Energy-Alternate Sources |
0.1 | |||
|
Electronics |
0.1 | |||
|
Capital Markets |
0.1 | |||
|
Housewares |
0.1 | |||
|
Biotechnology |
0.1 | |||
|
Food Service |
0.1 | |||
|
Trucking & Leasing |
0.1 | |||
|
Insurance |
0.1 | |||
|
Forest Products & Paper |
0.1 | |||
|
Semiconductors |
0.1 | |||
|
Healthcare-Products |
0.1 | |||
|
Office/Business Equipment |
0.1 | |||
|
Airlines |
0.1 | |||
|
Interactive Media & Services |
0.1 | |||
|
Environmental Control |
0.0 | * | ||
|
Leisure Time |
0.0 | * | ||
|
Metal Fabricate/Hardware |
0.0 | * | ||
|
Electrical Components & Equipment |
0.0 | * | ||
|
Cosmetics/Personal Care |
0.0 | * | ||
|
Coal |
0.0 | * | ||
|
Oil, Gas & Consumable Fuels |
0.0 | * | ||
|
Wireless Telecommunication Services |
0.0 | * | ||
|
|
|
|||
| 117.7 | ||||
|
Liabilities in excess of other assets |
(17.7 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, equity contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Asset Derivatives |
Liability Derivatives |
|||||||||||
|
Derivatives not accounted for as hedging
|
Statement of Assets and
|
Fair Value |
Statement of Assets and
|
Fair Value | ||||||||
|
Credit contracts |
— | $ | — |
Due from/to broker —
variation margin swaps |
$ | 339,035 | * | |||||
|
Equity contracts |
Unaffiliated investments | 553,392 | — | — | ||||||||
|
Foreign exchange contracts |
— | — | Unrealized depreciation on OTC forward foreign currency exchange contracts | 7,862 | ||||||||
|
Interest rate contracts |
Due from/to broker —
variation margin futures |
67,644 | * |
Due from/to broker —
variation margin futures |
145,159 | * | ||||||
|
|
|
|
|
|||||||||
| $ | 621,036 | $ | 492,056 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A137
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
|
Amount of Realized Gain (Loss) on Derivatives Recognized in Income |
||||||||||||
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Futures |
Forward
& Cross Currency Exchange Contracts |
Swaps | |||||||||
|
Credit contracts |
$ | — | $ | — | $ | (166,567 | ) | |||||
|
Foreign exchange contracts |
— | 36,263 | — | |||||||||
|
Interest rate contracts |
752,005 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 752,005 | $ | 36,263 | $ | (166,567 | ) | |||||
|
|
|
|
|
|
|
|||||||
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||||||||||||||
|
Derivatives not accounted for as hedging instruments, carried
|
Rights(1) | Warrants(1) | Futures |
Forward
& Cross Currency Exchange Contracts |
Swaps | |||||||||||||||
|
Credit contracts |
$ | — | $ | — | $ | — | $ | — | $ | (339,035 | ) | |||||||||
|
Equity contracts |
13,453 | (44,701 | ) | — | — | — | ||||||||||||||
|
Foreign exchange contracts |
— | — | — | (7,633 | ) | — | ||||||||||||||
|
Interest rate contracts |
— | — | (787,535 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total |
$ | 13,453 | $ | (44,701 | ) | $ | (787,535 | ) | $ | (7,633 | ) | $ | (339,035 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Futures
Contracts—
|
Futures
Contracts—
|
Forward Foreign
|
||
| $48,539,138 | $2,044,550 | $387,553 |
|
Forward Foreign
|
Credit Default
|
|
| $908,052 | $11,328,600 |
| (1) |
Notional Amount in USD. |
| (2) |
Value at Settlement Date. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 125,905,230 | $ | (125,905,230 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A138
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Offsetting of OTC derivative assets and liabilities:
|
Counterparty |
Gross Amounts of
Recognized Assets(1) |
Gross Amounts of
Recognized Liabilities(1) |
Net Amounts of
Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||||||||
|
Citibank, N.A. |
$ | — | $ | (7,862 | ) | $ | (7,862 | ) | $ | — | $ | (7,862 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A139
| AST HIGH YIELD PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of |
||||
|
$125,905,230: |
||||
|
Unaffiliated investments (cost $612,755,368) |
$ | 611,696,696 | ||
|
Affiliated investments (cost $158,411,740) |
158,420,845 | |||
|
Cash |
29,891 | |||
|
Foreign currency, at value (cost $18,763) |
19,008 | |||
|
Dividends and interest receivable |
9,499,488 | |||
|
Receivable for investments sold |
3,571,096 | |||
|
Deposit with broker for centrally cleared/exchange-traded derivatives |
1,100,000 | |||
|
Receivable for Portfolio shares sold |
201,373 | |||
|
Due from broker-variation margin futures |
8,650 | |||
|
Due from broker-variation margin swaps |
5,112 | |||
|
Prepaid expenses and other assets |
78,481 | |||
|
|
|
|||
|
Total Assets |
784,630,640 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
128,671,401 | |||
|
Payable for investments purchased |
988,700 | |||
|
Accrued expenses and other liabilities |
296,915 | |||
|
Management fee payable |
171,776 | |||
|
Distribution fee payable |
26,533 | |||
|
Payable for Portfolio shares repurchased |
24,014 | |||
|
Unrealized depreciation on OTC forward foreign currency exchange contracts |
7,862 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
130,187,558 | |||
|
|
|
|||
| NET ASSETS | $ | 654,443,082 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 654,443,082 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $654,443,082 / 57,490,548 outstanding shares of beneficial interest |
$ | 11.38 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 39,796,564 | $ | 51,799,071 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
(7,119,635 | ) | (7,908,931 | ) | ||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
64,782,149 | (58,533,652 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
97,459,078 | (14,643,512 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [13,902,508 and 7,085,850 shares, respectively] |
149,652,969 | 71,983,734 | ||||||
|
Portfolio shares repurchased [30,059,607 and 28,589,661 shares, respectively] |
(319,460,155 | ) | (288,473,131 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(169,807,186 | ) | (216,489,397 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 48 | 4,364 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | (72,348,060 | ) | (231,128,545 | ) | ||||
| NET ASSETS: | ||||||||
|
Beginning of year |
726,791,142 | 957,919,687 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 654,443,082 | $ | 726,791,142 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A140
| AST INVESTMENT GRADE BOND PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A141
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| ASSET-BACKED SECURITIES (continued) |
|
|||||||||||||||
|
Collateralized Loan Obligations (continued) |
|
|||||||||||||||
|
Wellfleet CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2018-03A, Class A1A, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%) |
|
|||||||||||||||
|
3.216%(c) |
01/20/32 | 10,000 | $ | 9,941,142 | ||||||||||||
|
Zais CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.290% (Cap N/A, Floor 0.000%) |
|
|||||||||||||||
|
3.291%(c) |
04/15/30 | 2,000 | 1,965,392 | |||||||||||||
|
|
|
|||||||||||||||
| 216,807,238 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Consumer Loans — 0.1% |
|
|||||||||||||||
|
PNMAC GMSR Issuer Trust, |
|
|||||||||||||||
|
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%) |
|
|||||||||||||||
|
4.642%(c) |
02/25/23 | 2,560 | 2,575,104 | |||||||||||||
|
|
|
|||||||||||||||
|
Credit Cards — 0.2% |
|
|||||||||||||||
|
Citibank Credit Card Issuance Trust, |
|
|||||||||||||||
|
Series 2018-A07, Class A7 |
|
|||||||||||||||
|
3.960% |
10/13/30 | 4,500 | 4,984,409 | |||||||||||||
|
|
|
|||||||||||||||
|
Home Equity Loans — 0.2% |
|
|||||||||||||||
|
ACE Securities Corp. Home Equity Loan Trust, |
|
|||||||||||||||
|
Series 2004-IN01, Class A1, 1 Month LIBOR + 0.640% (Cap N/A, Floor 0.320%) |
|
|||||||||||||||
|
2.432%(c) |
05/25/34 | 1,258 | 1,216,514 | |||||||||||||
|
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, |
|
|||||||||||||||
|
Series 2003-W04, Class M1, 1 Month LIBOR + 1.200% (Cap N/A, Floor 0.800%) |
|
|||||||||||||||
|
2.992%(c) |
10/25/33 | 1,767 | 1,765,095 | |||||||||||||
|
MASTR Asset-Backed Securities Trust, |
|
|||||||||||||||
|
Series 2004-OPT02, Class A2, 1 Month LIBOR + 0.700% (Cap N/A, Floor 0.350%) |
|
|||||||||||||||
|
2.492%(c) |
09/25/34 | 944 | 910,061 | |||||||||||||
|
Morgan Stanley ABS Capital I, Inc., |
|
|||||||||||||||
|
Series 2002-HE03, Class A2, 1 Month LIBOR + 1.080% (Cap N/A, Floor 0.540%) |
|
|||||||||||||||
|
2.872%(c) |
03/25/33 | 247 | 247,796 | |||||||||||||
|
Morgan Stanley Dean Witter Capital I, Inc. Trust, |
|
|||||||||||||||
|
Series 2002-OP01, Class M1, 1 Month LIBOR + 1.125% (Cap N/A, Floor 0.750%) |
|
|||||||||||||||
|
2.917%(c) |
09/25/32 | 903 | 903,128 | |||||||||||||
|
|
|
|||||||||||||||
| 5,042,594 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Manufactured Housing — 0.1% |
|
|||||||||||||||
|
Towd Point Mortgage Trust, |
|
|||||||||||||||
|
Series 2019-MH01, Class A1, 144A |
|
|||||||||||||||
|
3.000%(cc) |
11/25/58 | 4,099 | 4,117,339 | |||||||||||||
|
|
|
|||||||||||||||
|
Other — 0.3% |
||||||||||||||||
|
PNMAC FMSR Issuer Trust, |
|
|||||||||||||||
|
Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350% (Cap N/A, Floor 0.000%) |
|
|||||||||||||||
|
4.142%(c) |
04/25/23 | 880 | 880,932 | |||||||||||||
|
TH MSR Issuer Trust, |
|
|||||||||||||||
|
Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%) |
|
|||||||||||||||
|
4.592%(c) |
06/25/24 | 8,350 | 8,308,419 | |||||||||||||
|
|
|
|||||||||||||||
| 9,189,351 | ||||||||||||||||
|
|
|
|||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A142
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
|||||||||||||||
|
Benchmark Mortgage Trust, |
|
|||||||||||||||
|
Series 2018-B01, Class A1 |
|
|||||||||||||||
|
2.560% |
01/15/51 | 4,047 | $ | 4,068,480 | ||||||||||||
|
Series 2019-B09, Class A4 |
|
|||||||||||||||
|
3.751% |
03/15/52 | 20,000 | 21,720,066 | |||||||||||||
|
CD Mortgage Trust, |
||||||||||||||||
|
Series 2019-CD08, Class A3 |
|
|||||||||||||||
|
2.657% |
08/15/57 | 19,500 | 19,504,770 | |||||||||||||
|
CFCRE Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2016-C04, Class A1 |
|
|||||||||||||||
|
1.501% |
05/10/58 | 1,588 | 1,582,370 | |||||||||||||
|
Series 2016-C07, Class A2 |
|
|||||||||||||||
|
3.585% |
12/10/54 | 16,500 | 17,520,567 | |||||||||||||
|
Citigroup Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2014-GC25, Class A4 |
|
|||||||||||||||
|
3.635% |
10/10/47 | 5,485 | 5,781,650 | |||||||||||||
|
Series 2015-P01, Class A5 |
|
|||||||||||||||
|
3.717% |
09/15/48 | 1,000 | 1,065,384 | |||||||||||||
|
Series 2016-C01, Class A3 |
|
|||||||||||||||
|
2.944% |
05/10/49 | 10,000 | 10,263,710 | |||||||||||||
|
Series 2016-C03, Class A3 |
|
|||||||||||||||
|
2.896% |
11/15/49 | 20,000 | 20,443,902 | |||||||||||||
|
Series 2016-P03, Class A3 |
|
|||||||||||||||
|
3.063% |
04/15/49 | 12,535 | 12,941,617 | |||||||||||||
|
Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2014-CR20, Class A3 |
|
|||||||||||||||
|
3.326% |
11/10/47 | 7,800 | 8,133,580 | |||||||||||||
|
Series 2015-CR25, Class A4 |
|
|||||||||||||||
|
3.759% |
08/10/48 | 5,000 | 5,330,985 | |||||||||||||
|
Series 2015-LC21, Class A4 |
|
|||||||||||||||
|
3.708% |
07/10/48 | 820 | 870,676 | |||||||||||||
|
Series 2015-LC23, Class A4 |
|
|||||||||||||||
|
3.774% |
10/10/48 | 5,000 | 5,343,979 | |||||||||||||
|
Series 2015-PC01, Class A5 |
|
|||||||||||||||
|
3.902% |
07/10/50 | 6,190 | 6,601,087 | |||||||||||||
|
Series 2016-DC02, Class A5 |
|
|||||||||||||||
|
3.765% |
02/10/49 | 12,335 | 13,165,782 | |||||||||||||
|
Credit Suisse Mortgage Trust, |
|
|||||||||||||||
|
Series 2016-NXSR, Class A3 |
|
|||||||||||||||
|
3.501% |
12/15/49 | 5,500 | 5,797,450 | |||||||||||||
|
CSAIL Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2017-CX10, Class A4 |
|
|||||||||||||||
|
3.191% |
11/15/50 | 12,600 | 13,095,679 | |||||||||||||
|
Series 2018-C14, Class A3 |
|
|||||||||||||||
|
4.151% |
11/15/51 | 11,825 | 13,162,286 | |||||||||||||
|
Series 2019-C16, Class A2 |
|
|||||||||||||||
|
3.067% |
06/15/52 | 15,500 | 15,947,139 | |||||||||||||
|
Fannie Mae-Aces, |
||||||||||||||||
|
Series 2015-M08, Class AB2 |
|
|||||||||||||||
|
2.829%(cc) |
01/25/25 | 3,157 | 3,236,012 | |||||||||||||
|
Series 2016-M11, Class A2 |
|
|||||||||||||||
|
2.369%(cc) |
07/25/26 | 8,325 | 8,355,721 | |||||||||||||
|
FHLMC Multifamily Structured Pass-Through Certificates, |
|
|||||||||||||||
|
Series K055, Class A2 |
|
|||||||||||||||
|
2.673% |
03/25/26 | 1,100 | 1,125,453 | |||||||||||||
|
Series K060, Class AM |
||||||||||||||||
|
3.300%(cc) |
10/25/26 | 9,157 | 9,661,775 | |||||||||||||
|
Interest Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
|||||||||||||||
|
Series K083, Class AM |
|
|||||||||||||||
|
4.030%(cc) |
10/25/28 | 10,900 | $ | 12,084,622 | ||||||||||||
|
Series K086, Class AM |
|
|||||||||||||||
|
3.919%(cc) |
12/25/28 | 7,300 | 8,038,395 | |||||||||||||
|
Series K087, Class AM |
|
|||||||||||||||
|
3.832%(cc) |
12/25/28 | 7,850 | 8,596,675 | |||||||||||||
|
Series K151, Class A3 |
|
|||||||||||||||
|
3.511% |
04/25/30 | 4,810 | 5,138,943 | |||||||||||||
|
Series K154, Class A2 |
|
|||||||||||||||
|
3.424% |
04/25/32 | 12,415 | 13,449,579 | |||||||||||||
|
GS Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2014-GC24, Class A4 |
|
|||||||||||||||
|
3.666% |
09/10/47 | 4,855 | 5,124,332 | |||||||||||||
|
Series 2016-GS03, Class A3 |
|
|||||||||||||||
|
2.592% |
10/10/49 | 17,450 | 17,575,474 | |||||||||||||
|
JPMBB Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2013-C12, Class A4 |
|
|||||||||||||||
|
3.363% |
07/15/45 | 829 | 856,744 | |||||||||||||
|
Series 2014-C24, Class A4A1 |
|
|||||||||||||||
|
3.373% |
11/15/47 | 1,500 | 1,560,428 | |||||||||||||
|
Series 2015-C27, Class A2 |
|
|||||||||||||||
|
2.734% |
02/15/48 | 1,024 | 1,023,176 | |||||||||||||
|
Series 2015-C29, Class A2 |
|
|||||||||||||||
|
2.921% |
05/15/48 | 10,825 | 10,831,591 | |||||||||||||
|
Series 2015-C30, Class A3 |
|
|||||||||||||||
|
3.322% |
07/15/48 | 3,982 | 4,021,991 | |||||||||||||
|
JPMCC Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2019-COR05, Class A3 |
|
|||||||||||||||
|
3.123% |
06/13/52 | 15,000 | 15,544,477 | |||||||||||||
|
JPMDB Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2016-C02, Class A3A |
|
|||||||||||||||
|
2.881% |
06/15/49 | 18,800 | 19,174,034 | |||||||||||||
|
JPMorgan Chase Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2014-C20, Class A4A2, 144A |
|
|||||||||||||||
|
3.538% |
07/15/47 | 5,000 | 5,185,882 | |||||||||||||
|
Series 2016-JP03, Class A4 |
|
|||||||||||||||
|
2.627% |
08/15/49 | 14,258 | 14,333,781 | |||||||||||||
|
Ladder Capital Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2017-LC26, Class A2, 144A |
|
|||||||||||||||
|
3.128% |
07/12/50 | 12,200 | 12,362,856 | |||||||||||||
|
Morgan Stanley Bank of America Merrill Lynch Trust, |
|
|||||||||||||||
|
Series 2015-C20, Class A4 |
|
|||||||||||||||
|
3.249% |
02/15/48 | 3,500 | 3,630,447 | |||||||||||||
|
Series 2015-C27, Class A4 |
|
|||||||||||||||
|
3.753% |
12/15/47 | 3,447 | 3,672,353 | |||||||||||||
|
Series 2016-C32, Class A3 |
|
|||||||||||||||
|
3.459% |
12/15/49 | 10,000 | 10,552,343 | |||||||||||||
|
Morgan Stanley Capital I Trust, |
|
|||||||||||||||
|
Series 2016-BNK02, Class A3 |
|
|||||||||||||||
|
2.791% |
11/15/49 | 12,250 | 12,474,350 | |||||||||||||
|
UBS Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2017-C07, Class A4 |
|
|||||||||||||||
|
3.679% |
12/15/50 | 28,350 | 30,469,697 | |||||||||||||
|
Series 2018-C08, Class A1 |
|
|||||||||||||||
|
2.659% |
02/15/51 | 5,583 | 5,622,126 | |||||||||||||
|
Series 2018-C08, Class A3 |
|
|||||||||||||||
|
3.720% |
02/15/51 | 5,150 | 5,551,223 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A143
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A144
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A145
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A146
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A147
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A148
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A149
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A150
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A151
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| ^ |
Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $1,915 and 0.0% of net assets. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $128,878,475; cash collateral of $131,745,007 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (cc) |
Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
| (ff) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (h) |
Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (rr) |
Perpetual security with no stated maturity date. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
SEE NOTES TO FINANCIAL STATEMENTS.
A152
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Options Purchased:
OTC Traded
|
Description |
Call/
Put |
Counterparty |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | |||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/12/21 | 0.11% | — | 8,248 | $ | 85,918 | ||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/13/21 | 0.11% | — | 8,019 | 83,454 | |||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/16/21 | 0.15% | — | 20,048 | 191,335 | |||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/20/21 | 0.15% | — | 39,797 | 399,291 | |||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 09/13/21 | 0.14% | — | 40,360 | 424,627 | |||||||||||||||||||||
|
2- Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 11/09/21 | 0.21% | — | 8,019 | 78,551 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
|
Total Options Purchased
|
$ | 1,263,176 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
Options Written:
OTC Swaptions
|
Description |
Call/
Put |
Counterparty |
Expiration
Date |
Strike | Receive | Pay |
Notional
Amount (000)# |
Value | ||||||||||||||||||||
|
CDX.NA.HY.32.V1, 12/20/2024 |
Put | Bank of America, N.A. | 01/15/20 | $ | 98.00 | 5.00%(Q) | CDX.NA.HY.32.V1(Q) | 199,000 | $ | (475 | ) | |||||||||||||||||
|
CDX.NA.HY.32.V2, 06/20/2024 |
Put | Citibank, N.A. | 01/15/20 | $ | 98.00 | 5.00%(Q) | CDX.NA.HY. 32.V2(Q) | 500,000 | (299 | ) | ||||||||||||||||||
|
CDX.NA.HY.33.V2, 12/20/2024 |
Put | BNP Paribas S.A. | 03/18/20 | $ | 100.00 | 5.00%(Q) | CDX.NA.HY.33.V2(Q) | 100,000 | (58,621 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
|
Total Options Written
|
|
$ | (59,395 | ) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
Futures contracts outstanding at December 31, 2019:
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
| Long Positions: | ||||||||||||||||
| 4,746 | 5 Year U.S. Treasury Notes | Mar. 2020 | $ | 562,920,117 | $ | (1,192,050 | ) | |||||||||
| 5,411 | 10 Year U.S. Treasury Notes | Mar. 2020 | 694,890,793 | (5,437,470 | ) | |||||||||||
| 1,815 | 10 Year U.S. Ultra Treasury Notes | Mar. 2020 | 255,376,181 | (3,046,011 | ) | |||||||||||
|
|
|
|||||||||||||||
| (9,675,531 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| Short Positions: | ||||||||||||||||
| 650 | 90 Day Euro Dollar | Dec. 2020 | 159,867,500 | 409,289 | ||||||||||||
| 4,292 | 2 Year U.S.Treasury Notes | Mar. 2020 | 924,926,000 | 507,384 | ||||||||||||
| 466 | 20 Year U.S. Treasury Bonds | Mar. 2020 | 72,652,313 | 1,216,744 | ||||||||||||
| 21 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2020 | 3,814,781 | 71,499 | ||||||||||||
|
|
|
|||||||||||||||
| 2,204,916 | ||||||||||||||||
|
|
|
|||||||||||||||
| $ | (7,470,615 | ) | ||||||||||||||
|
|
|
|||||||||||||||
Credit default swap agreements outstanding at December 31, 2019:
SEE NOTES TO FINANCIAL STATEMENTS.
A153
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Credit default swap agreements outstanding at December 31, 2019 (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 credit indices—Buy Protection(1): |
||||||||||||||||||||||||||
|
CMBX.NA.9.AAA |
09/17/58 | 0.500%(M) | 50,000 | $ | (653,294 | ) | $ | 1,112,711 | $ | (1,766,005 | ) |
Credit Suisse International |
||||||||||||||
|
CMBX.NA.11.AAA |
11/18/54 | 0.500%(M) | 50,000 | (371,556 | ) | 513,217 | (884,773 | ) |
Morgan Stanley & Co. International PLC |
|||||||||||||||||
|
CMBX.NA.12.AAA |
08/17/61 | 0.500%(M) | 25,000 | (19,081 | ) | 218,924 | (238,005 | ) |
Morgan Stanley & Co. International PLC |
|||||||||||||||||
|
CMBX.NA.12.AAA |
08/17/61 | 0.500%(M) | 25,000 | (19,082 | ) | 224,102 | (243,184 | ) |
JP Morgan Securities LLC |
|||||||||||||||||
|
CMBX.NA.12.AAA |
08/17/61 | 0.500%(M) | 100,000 | (76,326 | ) | 376,187 | (452,513 | ) |
Morgan Stanley & Co. International PLC |
|||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | (1,139,339 | ) | $ | 2,445,141 | $ | (3,584,480 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
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. |
Interest rate swap agreements outstanding at December 31, 2019:
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements: |
||||||||||||||||||||||||
| 34,678 | 03/31/21 | 2.173%(A) |
1 Day USOIS(2)(A) |
$ | (11,698 | ) | $ | 327,200 | $ | 338,898 | ||||||||||||||
| 461,476 | 06/15/21 | 1.830%(S) |
3 Month LIBOR(2)(Q) |
— | 733,443 | 733,443 | ||||||||||||||||||
| 146,268 | 09/15/21 | 1.381%(S) |
3 Month LIBOR(2)(Q) |
(294,099 | ) | (750,858 | ) | (456,759 | ) | |||||||||||||||
| 112,435 | 09/15/21 | 1.480%(S) |
3 Month LIBOR(2)(Q) |
107,342 | (393,252 | ) | (500,594 | ) | ||||||||||||||||
| 306,455 | 09/15/21 | 1.604%(S) |
3 Month LIBOR(2)(Q) |
345,880 | (435,958 | ) | (781,838 | ) | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A154
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements (continued): |
||||||||||||||||||||||||
| 14,290 | 05/31/22 | 2.353%(A) |
1 Day USOIS(1)(A) |
$ | — | $ | (327,796 | ) | $ | (327,796 | ) | |||||||||||||
| 113,130 | 09/27/22 | 2.360%(A) |
1 Day USOIS(1)(A) |
1,341 | (3,000,395 | ) | (3,001,736 | ) | ||||||||||||||||
| 8,020 | 02/15/24 | 2.115%(S) |
3 Month LIBOR(1)(Q) |
19,489 | (174,578 | ) | (194,067 | ) | ||||||||||||||||
| 9,115 | 02/15/24 | 2.183%(S) |
3 Month LIBOR(1)(Q) |
(18,063 | ) | (225,630 | ) | (207,567 | ) | |||||||||||||||
| 11,815 | 02/29/24 | 1.520%(S) |
3 Month LIBOR(2)(Q) |
— | (85,553 | ) | (85,553 | ) | ||||||||||||||||
| 102,060 | 03/29/24 | 1.949%(A) |
1 Day USOIS(1)(A) |
— | (1,890,353 | ) | (1,890,353 | ) | ||||||||||||||||
| 730 | 05/15/24 | 1.808%(A) |
1 Day USOIS(1)(A) |
— | (9,285 | ) | (9,285 | ) | ||||||||||||||||
| 5,225 | 08/15/24 | 2.168%(S) |
3 Month LIBOR(1)(Q) |
— | (133,923 | ) | (133,923 | ) | ||||||||||||||||
| 38,385 | 08/15/24 | 2.170%(S) |
3 Month LIBOR(1)(Q) |
138,038 | (986,950 | ) | (1,124,988 | ) | ||||||||||||||||
| 27,355 | 08/15/24 | 2.176%(S) |
3 Month LIBOR(1)(Q) |
104,341 | (710,718 | ) | (815,059 | ) | ||||||||||||||||
| 14,865 | 11/15/24 | 2.334%(S) |
3 Month LIBOR(1)(Q) |
29,788 | (428,645 | ) | (458,433 | ) | ||||||||||||||||
| 20,640 | 02/12/25 | 2.408%(A) |
1 Day USOIS(1)(A) |
— | (973,838 | ) | (973,838 | ) | ||||||||||||||||
| 4,710 | 02/28/25 | 2.454%(A) |
1 Day USOIS(1)(A) |
— | (236,770 | ) | (236,770 | ) | ||||||||||||||||
| 34,268 | 05/31/25 | 2.998%(S) |
3 Month LIBOR(1)(Q) |
(23,773 | ) | (2,259,963 | ) | (2,236,190 | ) | |||||||||||||||
| 19,965 | 07/31/25 | 3.105%(S) |
3 Month LIBOR(1)(Q) |
15,752 | (1,639,585 | ) | (1,655,337 | ) | ||||||||||||||||
| 54,133 | 07/31/25 | 3.109%(S) |
3 Month LIBOR(1)(Q) |
4,036 | (4,459,341 | ) | (4,463,377 | ) | ||||||||||||||||
| 10,185 | 01/31/26 | 2.236%(S) |
3 Month LIBOR(1)(Q) |
— | (340,152 | ) | (340,152 | ) | ||||||||||||||||
| 52,479 | 01/31/26 | 2.269%(A) |
1 Day USOIS(1)(A) |
(61,093 | ) | (2,366,777 | ) | (2,305,684 | ) | |||||||||||||||
| 9,539 | 01/31/26 | 2.406%(S) |
3 Month LIBOR(1)(Q) |
— | (419,305 | ) | (419,305 | ) | ||||||||||||||||
| 22,413 | 04/30/26 | 1.876%(S) |
3 Month LIBOR(1)(Q) |
(90,238 | ) | (137,711 | ) | (47,473 | ) | |||||||||||||||
| 20,811 | 02/15/27 | 1.824%(A) |
1 Day USOIS(1)(A) |
272,073 | (310,595 | ) | (582,668 | ) | ||||||||||||||||
| 2,885 | 02/15/27 | 1.899%(A) |
1 Day USOIS(1)(A) |
4,106 | (59,747 | ) | (63,853 | ) | ||||||||||||||||
| 3,045 | 02/15/27 | 1.965%(A) |
1 Day USOIS(1)(A) |
— | (78,499 | ) | (78,499 | ) | ||||||||||||||||
| 9,845 | 02/15/27 | 2.067%(A) |
1 Day USOIS(1)(A) |
(6,359 | ) | (331,546 | ) | (325,187 | ) | |||||||||||||||
| 3,690 | 05/15/27 | 1.823%(A) |
1 Day USOIS(1)(A) |
— | (60,286 | ) | (60,286 | ) | ||||||||||||||||
| 785 | 05/15/27 | 2.295%(S) |
3 Month LIBOR(1)(Q) |
— | (26,966 | ) | (26,966 | ) | ||||||||||||||||
| 46,761 | 08/15/28 | 2.579%(A) |
1 Day USOIS(1)(A) |
(283,319 | ) | (3,805,886 | ) | (3,522,567 | ) | |||||||||||||||
| 34,768 | 08/15/28 | 2.835%(S) |
3 Month LIBOR(1)(Q) |
— | (3,036,535 | ) | (3,036,535 | ) | ||||||||||||||||
| 290 | 11/15/43 | 2.659%(S) |
3 Month LIBOR(1)(Q) |
— | (32,631 | ) | (32,631 | ) | ||||||||||||||||
| 6,735 | 08/09/49 | 1.508%(A) |
1 Day USOIS(1)(A) |
— | 534,842 | 534,842 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 253,544 | $ | (28,534,542 | ) | $ | (28,788,086 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
| Premiums Paid | Premiums Received |
Unrealized
Appreciation |
Unrealized
Depreciation |
|||||||||||||
|
OTC Swap Agreements |
$ | 2,445,141 | $ | — | $ | 1,915 | $ | (3,584,480 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||||
|
Citigroup Global Markets, Inc. |
$ | — | $ | 26,067,871 | ||||||
|
|
|
|
|
|||||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A155
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Automobiles |
$ | — | $ | 17,591,597 | $ | — | ||||||
|
Collateralized Loan Obligations |
— | 216,807,238 | — | |||||||||
|
Consumer Loans |
— | 2,575,104 | — | |||||||||
|
Credit Cards |
— | 4,984,409 | — | |||||||||
|
Home Equity Loans |
— | 5,042,594 | — | |||||||||
|
Manufactured Housing |
— | 4,117,339 | — | |||||||||
|
Other |
— | 9,189,351 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 59,190,115 | — | |||||||||
|
Commercial Mortgage-Backed Securities |
— | 603,446,296 | — | |||||||||
|
Corporate Bonds |
— | 1,483,426,737 | — | |||||||||
|
Municipal Bonds |
— | 44,787,581 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 120,261,288 | — | |||||||||
|
Sovereign Bonds |
— | 96,107,632 | — | |||||||||
|
U.S. Government Agency Obligations |
— | 36,783,172 | — | |||||||||
|
U.S. Treasury Obligations |
— | 4,679,773 | — | |||||||||
|
Affiliated Mutual Funds |
132,002,866 | — | — | |||||||||
|
Options Purchased |
— | 1,263,176 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 132,002,866 | $ | 2,710,253,402 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Options Written |
$ | — | $ | (59,395 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 2,204,916 | $ | — | $ | — | ||||||
|
OTC Credit Default Swap Agreement |
— | — | 1,915 | |||||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | 1,607,183 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 2,204,916 | $ | 1,607,183 | $ | 1,915 | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (9,675,531 | ) | $ | — | $ | — | |||||
|
OTC Credit Default Swap Agreements |
— | (1,139,339 | ) | — | ||||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | (30,395,269 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (9,675,531 | ) | $ | (31,534,608 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Commercial Mortgage-Backed Securities |
22.2 | % | ||
|
Banks |
14.6 | |||
|
Collateralized Loan Obligations |
8.0 | |||
|
Pharmaceuticals |
7.6 | |||
|
Electric |
6.7 | |||
|
Residential Mortgage-Backed Securities |
6.6 | |||
|
Affiliated Mutual Funds (4.8% represents investments purchased with collateral from securities on loan) |
4.8 | |||
|
Sovereign Bonds |
3.5 | |||
|
Pipelines |
3.4 | |||
|
Chemicals |
2.2 | |||
|
Media |
2.2 | |||
|
Telecommunications |
2.1 |
|
Oil & Gas |
1.8 | % | ||
|
Municipal Bonds |
1.6 | |||
|
Healthcare-Services |
1.5 | |||
|
U.S. Government Agency Obligations |
1.3 | |||
|
Auto Manufacturers |
1.3 | |||
|
Real Estate Investment Trusts (REITs) |
1.1 | |||
|
Insurance |
1.1 | |||
|
Commercial Services |
1.0 | |||
|
Semiconductors |
0.7 | |||
|
Diversified Financial Services |
0.7 | |||
|
Foods |
0.7 | |||
|
Beverages |
0.7 | |||
|
Automobiles |
0.6 |
SEE NOTES TO FINANCIAL STATEMENTS.
A156
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Industry Classification (con’t):
|
Aerospace & Defense |
0.6 | % | ||
|
Packaging & Containers |
0.5 | |||
|
Housewares |
0.5 | |||
|
Healthcare-Products |
0.5 | |||
|
Agriculture |
0.5 | |||
|
Water |
0.5 | |||
|
Airlines |
0.4 | |||
|
Other |
0.3 | |||
|
Multi-National |
0.3 | |||
|
Trucking & Leasing |
0.3 | |||
|
Retail |
0.2 | |||
|
Home Equity Loans |
0.2 | |||
|
Credit Cards |
0.2 | |||
|
U.S. Treasury Obligations |
0.2 | |||
|
Manufactured Housing |
0.1 | |||
|
Auto Parts & Equipment |
0.1 | |||
|
Electronics |
0.1 |
|
Gas |
0.1 | % | ||
|
Savings & Loans |
0.1 | |||
|
Consumer Loans |
0.1 | |||
|
Advertising |
0.1 | |||
|
Mining |
0.1 | |||
|
Lodging |
0.1 | |||
|
Options Purchased |
0.1 | |||
|
Oil & Gas Services |
0.1 | |||
|
Building Materials |
0.0 | * | ||
|
|
|
|||
| 104.3 | ||||
|
Options Written |
(0.0 | )* | ||
|
Liabilities in excess of other assets |
(4.3 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Derivatives not accounted for as hedging
|
Asset Derivatives | Liability Derivatives | ||||||||||
|
Statement of Assets and
Liabilities Location |
Fair Value |
Statement of Assets and
Liabilities Location |
Fair Value | |||||||||
|
Credit contracts |
Premiums paid for OTC swap
agreements |
$ | 2,445,141 | — | $ | — | ||||||
|
Credit contracts |
— | — |
Options written outstanding, at
value |
59,395 | ||||||||
|
Credit contracts |
Unrealized appreciation on OTC
swap agreements |
1,915 |
Unrealized depreciation on OTC
swap agreements |
3,584,480 | ||||||||
|
Interest rate contracts |
Due from/to broker —
variation margin futures |
2,204,916 | * |
Due from/to broker —
variation margin futures |
9,675,531 | * | ||||||
|
Interest rate contracts |
Due from/to broker —
variation margin swaps |
1,607,183 | * |
Due from/to broker —
variation margin swaps |
30,395,269 | * | ||||||
|
Interest rate contracts |
Unaffiliated investments | 1,263,176 | — | — | ||||||||
|
|
|
|
|
|||||||||
| $ | 7,522,331 | $ | 43,714,675 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A157
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||||||||
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Options
|
Options
Written |
Futures | Swaps | ||||||||||
|
Credit contracts |
$573,149 | $ | 4,653,906 | $ | — | $ | (3,426,526 | ) | ||||||
|
Interest rate contracts |
22,344 | — | (5,102,970 | ) | (28,483,016 | ) | ||||||||
|
|
|
|
|
|
|
|
||||||||
|
Total |
$595,493 | $ | 4,653,906 | $ | (5,102,970 | ) | $ | (31,909,542 | ) | |||||
|
|
|
|
|
|
|
|
||||||||
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Options Purchased(1) |
Options Written(2) |
Futures Contracts— Long Positions(2) |
Futures Contracts— Short Positions(2) |
|||
| $1,798,574 | $2,927,007,600 | $1,924,678,359 | $824,592,042 |
|
Interest Rate Swap Agreements(2) |
Credit Default Swap Agreements— Buy Protection(2) |
|
| $1,121,763,400 | $400,000,000 |
|
Credit Default
Sell Protection(2) |
Inflation Swap Agreements(2) |
|
| $34,912,800 | $9,790,000 |
| (1) |
Cost. |
| (2) |
Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market Value
of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net
Amount |
|||||||||
|
Securities on Loan |
$ | 128,878,475 | $ | (128,878,475 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
Offsetting of OTC derivative assets and liabilities:
|
Counterparty |
Gross
Amounts of Recognized Assets(1) |
Gross
Amounts of Recognized Liabilities(1) |
Net Amounts of
Recognized Assets/(Liabilities) |
Collateral
Pledged/ (Received)(2) |
Net
Amount |
|||||||||||||||
|
Bank of America, N.A. |
$ | 1,015,253 | $ | (475 | ) | $ | 1,014,778 | $ | (1,001,170 | ) | $ | 13,608 | ||||||||
|
Barclays Bank PLC |
247,923 | — | 247,923 | (247,923 | ) | — | ||||||||||||||
|
BNP Paribas S.A. |
— | (58,621 | ) | (58,621 | ) | — | (58,621 | ) | ||||||||||||
|
Citibank, N.A. |
— | (299 | ) | (299 | ) | 299 | — | |||||||||||||
|
Citigroup Global Markets, Inc. |
1,915 | — | 1,915 | — | 1,915 | |||||||||||||||
|
Credit Suisse International |
1,112,711 | (1,766,005 | ) | (653,294 | ) | 653,294 | — | |||||||||||||
|
JP Morgan Securities LLC |
224,102 | (243,184 | ) | (19,082 | ) | — | (19,082 | ) | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A158
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Counterparty |
Gross
Amounts of Recognized Assets(1) |
Gross
Amounts of Recognized Liabilities(1) |
Net Amounts of
Recognized Assets/(Liabilities) |
Collateral
Pledged/ (Received)(2) |
Net
Amount |
|||||||||||||||
|
Morgan Stanley & Co. International PLC |
$ | 1,108,328 | $ | (1,575,291 | ) | $ | (466,963 | ) | $ | 366,882 | $ | (100,081 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 3,710,232 | $ | (3,643,875 | ) | $ | 66,357 | $ | (228,618 | ) | $ | (162,261 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A159
| AST INVESTMENT GRADE BOND PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $128,878,475: |
||||
|
Unaffiliated investments (cost $2,563,403,570) |
$ | 2,710,253,402 | ||
|
Affiliated investments (cost $131,982,622) |
132,002,866 | |||
|
Cash segregated for counterparty—OTC |
580,000 | |||
|
Receivable for investments sold |
23,133,573 | |||
|
Dividends and interest receivable |
20,332,617 | |||
|
Premiums paid for OTC swap agreements |
2,445,141 | |||
|
Due from broker-variation margin swaps |
990,505 | |||
|
Unrealized appreciation on OTC swap agreements |
1,915 | |||
|
Prepaid expenses and other assets |
398,294 | |||
|
|
|
|||
|
Total Assets |
2,890,138,313 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
131,745,007 | |||
|
Loan payable |
18,155,000 | |||
|
Payable for Portfolio shares repurchased |
6,962,300 | |||
|
Payable to custodian |
3,831,307 | |||
|
Unrealized depreciation on OTC swap agreements |
3,584,480 | |||
|
Due to broker-variation margin futures |
1,028,077 | |||
|
Accrued expenses and other liabilities |
456,725 | |||
|
Management fee payable |
445,340 | |||
|
Distribution fee payable |
98,717 | |||
|
Options written outstanding, at value (proceeds received $2,112,320) |
59,395 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
166,366,705 | |||
|
|
|
|||
| NET ASSETS | $ | 2,723,771,608 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 2,723,771,608 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $2,723,771,608 / 327,292,948 outstanding shares of beneficial interest |
$ | 8.32 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
| NET INVESTMENT INCOME (LOSS) | ||||
| INCOME | ||||
|
Interest income |
$ | 154,378,175 | ||
|
Affiliated dividend income |
679,075 | |||
|
Income from securities lending, net (including affiliated income of $266,926) |
280,482 | |||
|
|
|
|||
|
Total income |
155,337,732 | |||
|
|
|
|||
| EXPENSES | ||||
|
Management fee |
20,370,746 | |||
|
Distribution fee |
10,740,400 | |||
|
Custodian and accounting fees |
385,498 | |||
|
Trustees’ fees |
55,570 | |||
|
Audit fee |
54,309 | |||
|
Legal fees and expenses |
27,709 | |||
|
Shareholders’ reports |
13,611 | |||
|
Transfer agent’s fees and expenses (including affiliated expense of $2,188) |
7,008 | |||
|
Miscellaneous |
1,267,811 | |||
|
|
|
|||
|
Total expenses |
32,922,662 | |||
|
Less: Distribution fee waiver |
(1,533,466 | ) | ||
|
|
|
|||
|
Net expenses |
31,389,196 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) | 123,948,536 | |||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS | ||||
|
Net realized gain (loss) on: |
||||
|
Investment transactions (including affiliated of $52,718) |
201,702,148 | |||
|
Futures transactions |
77,137,718 | |||
|
Options written transactions |
36,074,498 | |||
|
Swap agreements transactions |
(3,645,230 | ) | ||
|
|
|
|||
| 311,269,134 | ||||
|
|
|
|||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments (including affiliated of $20,237) |
91,913,220 | |||
|
Futures |
(5,102,970 | ) | ||
|
Options written |
4,653,906 | |||
|
Swap agreements |
(31,909,542 | ) | ||
|
|
|
|||
| 59,554,614 | ||||
|
|
|
|||
| NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 370,823,748 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 494,772,284 | ||
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 123,948,536 | $ | 102,749,090 | ||||
|
Net realized gain (loss) on investment transactions |
311,269,134 | 3,896,788 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments |
59,554,614 | 952,928 | ||||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
494,772,284 | 107,598,806 | ||||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [219,201,312 and 1,651,098,567 shares, respectively] |
1,780,049,786 | 12,184,122,710 | ||||||
|
Portfolio shares repurchased [1,374,226,102 and 489,497,491 shares, respectively] |
(10,641,407,845 | ) | (3,607,802,182 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(8,861,358,059 | ) | 8,576,320,528 | |||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | (8,366,585,775 | ) | 8,683,919,334 | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
11,090,357,383 | 2,406,438,049 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 2,723,771,608 | $ | 11,090,357,383 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A160
| AST PRUDENTIAL CORE BOND PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| ASSET-BACKED SECURITIES (continued) |
|
|||||||||||||||
|
Collateralized Loan Obligations (continued) |
|
|||||||||||||||
|
Atlas Senior Loan Fund Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2017-08A, Class A, 144A, 3 Month LIBOR + 1.300%
|
|
|||||||||||||||
|
3.301%(c) |
01/16/30 | 5,500 | $ | 5,512,755 | ||||||||||||
|
Bain Capital Credit CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 0.960% (Cap N/A, Floor 0.000%) |
|
|||||||||||||||
|
2.894%(c) |
04/23/31 | 5,000 | 4,958,231 | |||||||||||||
|
Ballyrock CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) |
|
|||||||||||||||
|
3.351%(c) |
10/15/28 | 6,500 | 6,505,191 | |||||||||||||
|
Series 2019-02A, Class A1A, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%) |
|
|||||||||||||||
|
3.148%(c) |
11/20/30 | 8,000 | 7,999,207 | |||||||||||||
|
Battalion CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2014-07A, Class A1RR, 144A, 3 Month LIBOR + 1.040% (Cap N/A, Floor 0.000%) |
|
|||||||||||||||
|
3.042%(c) |
07/17/28 | 9,900 | 9,893,335 | |||||||||||||
|
Series 2015-08A, Class A1R, 144A, 3 Month LIBOR + 1.340% (Cap N/A, Floor 0.000%) |
|
|||||||||||||||
|
3.343%(c) |
07/18/30 | 5,500 | 5,490,559 | |||||||||||||
|
Series 2018-12A, Class A1, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%) |
|
|||||||||||||||
|
2.974%(c) |
05/17/31 | 5,000 | 4,946,722 | |||||||||||||
|
Benefit Street Partners CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2019-18A, Class A, 144A, 3 Month LIBOR + 1.340%
|
|
|||||||||||||||
|
3.249%(c) |
10/15/32 | 1,000 | 1,000,033 | |||||||||||||
|
BlueMountain CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 0.000%) |
|
|||||||||||||||
|
3.331%(c) |
04/13/27 | 3,124 | 3,125,234 | |||||||||||||
|
Series 2016-02A, Class A1R, 144A, 3 Month LIBOR + 1.310% (Cap N/A, Floor 1.310%) |
|
|||||||||||||||
|
3.209%(c) |
08/20/32 | 12,500 | 12,544,339 | |||||||||||||
|
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 0.970% (Cap N/A, Floor 0.970%) |
|
|||||||||||||||
|
2.972%(c) |
04/17/31 | 10,000 | 9,933,621 | |||||||||||||
|
Series 2015-05A, Class A1R, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%) |
|
|||||||||||||||
|
3.286%(c) |
01/20/32 | 12,000 | 12,014,580 | |||||||||||||
|
Carlyle US CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2017-02A, Class A1B, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%) |
|
|||||||||||||||
|
3.186%(c) |
07/20/31 | 2,750 | 2,738,202 | |||||||||||||
|
Catamaran CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%) |
|
|||||||||||||||
|
3.403%(c) |
10/18/26 | 2,838 | 2,835,755 | |||||||||||||
|
CIFC Funding Ltd. (Cayman Islands),
|
|
|||||||||||||||
|
Series 2015-01A, Class ARR, 144A, 3 Month LIBOR + 1.110% (Cap N/A, Floor 1.110%) |
|
|||||||||||||||
|
3.063%(c) |
01/22/31 | 5,000 | 4,984,058 | |||||||||||||
|
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.040% (Cap N/A, Floor 0.000%) |
|
|||||||||||||||
|
3.006%(c) |
04/20/31 | 7,000 | 6,953,286 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A161
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| ASSET-BACKED SECURITIES (continued) |
|
|||||||||||||||
|
Collateralized Loan Obligations (continued) |
|
|||||||||||||||
|
Elevation CLO Ltd. (Cayman Islands),
|
|
|||||||||||||||
|
Series 2014-03A, Class AR, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 0.000%) |
|
|||||||||||||||
|
3.181%(c) |
10/15/26 | 3,760 | $ | 3,762,780 | ||||||||||||
|
Series 2018-09A, Class A1, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%) |
|
|||||||||||||||
|
3.121%(c) |
07/15/31 | 10,000 | 9,912,504 | |||||||||||||
|
Greenwood Park CLO Ltd. (Cayman Islands),
|
|
|||||||||||||||
|
Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010% (Cap N/A, Floor 0.000%) |
|
|||||||||||||||
|
3.011%(c) |
04/15/31 | 15,000 | 14,911,761 | |||||||||||||
|
Greywolf CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 1.180%) |
|
|||||||||||||||
|
3.146%(c) |
10/20/31 | 21,750 | 21,560,514 | |||||||||||||
|
HPS Loan Management Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 10A-16, Class A1R, 144A, 3 Month LIBOR + 1.140%
|
|
|||||||||||||||
|
3.106%(c) |
01/20/28 | 12,000 | 12,007,365 | |||||||||||||
|
Series 15A-19, Class A1, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%) |
|
|||||||||||||||
|
3.486%(c) |
07/22/32 | 11,500 | 11,512,626 | |||||||||||||
|
Jackson Mill CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 0.830% (Cap N/A, Floor 0.830%) |
|
|||||||||||||||
|
2.831%(c) |
04/15/27 | 19,838 | 19,747,253 | |||||||||||||
|
KKR CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 18, Class A, 144A, 3 Month LIBOR + 1.270% (Cap N/A, Floor 0.000%) |
|
|||||||||||||||
|
3.273%(c) |
07/18/30 | 20,000 | 19,942,938 | |||||||||||||
|
Madison Park Funding Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2016-21A, Class A1AR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) |
|
|||||||||||||||
|
3.290%(c) |
10/15/32 | 9,000 | 9,001,467 | |||||||||||||
|
Mariner CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2018-05A, Class A, 144A, 3 Month LIBOR + 1.110%
|
|
|||||||||||||||
|
3.050%(c) |
04/25/31 | 15,000 | 14,945,967 | |||||||||||||
|
MidOcean Credit CLO (Cayman Islands), |
|
|||||||||||||||
|
Series 2018-08A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 0.000%) |
|
|||||||||||||||
|
3.049%(c) |
02/20/31 | 10,000 | 9,919,956 | |||||||||||||
|
Series 2019-10A, Class A1, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%) |
|
|||||||||||||||
|
3.196%(c) |
10/23/32 | 41,500 | 41,496,394 | |||||||||||||
|
Mountain View CLO LLC (Cayman Islands), |
|
|||||||||||||||
|
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.210%
|
|
|||||||||||||||
|
3.211%(c) |
01/16/31 | 9,000 | 8,901,348 | |||||||||||||
|
Mountain View CLO Ltd. (Cayman Islands), |
|
|||||||||||||||
|
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 1.250% (Cap N/A, Floor 0.000%) |
|
|||||||||||||||
|
3.251%(c) |
10/12/30 | 1,500 | 1,484,525 | |||||||||||||
|
Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 0.000%) |
|
|||||||||||||||
|
3.121%(c) |
07/15/31 | 10,000 | 9,832,871 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A162
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A163
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A164
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A165
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
|
|||||||||||||||
|
Series 2019-GC42, Class A3 |
|
|||||||||||||||
|
2.749% |
09/01/52 | 22,000 | $ | 22,158,197 | ||||||||||||
|
JPMBB Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2015-C28, Class A2 |
|
|||||||||||||||
|
2.773% |
10/15/48 | 1,749 | 1,748,633 | |||||||||||||
|
JPMCC Commercial Mortgage Securities Trust, |
|
|||||||||||||||
|
Series 2017-JP06, Class A4 |
|
|||||||||||||||
|
3.224% |
07/15/50 | 15,500 | 16,137,714 | |||||||||||||
|
Morgan Stanley Bank of America Merrill Lynch Trust, |
|
|||||||||||||||
|
Series 2013-C07, Class A3 |
|
|||||||||||||||
|
2.655% |
02/15/46 | 5,680 | 5,740,738 | |||||||||||||
|
Series 2013-C08, Class A3 |
|
|||||||||||||||
|
2.863% |
12/15/48 | 4,502 | 4,573,074 | |||||||||||||
|
Series 2013-C09, Class A3 |
|
|||||||||||||||
|
2.834% |
05/15/46 | 12,046 | 12,241,590 | |||||||||||||
|
Morgan Stanley Capital I Trust, |
|
|||||||||||||||
|
Series 2016-UB12, Class A4 |
|
|||||||||||||||
|
3.596% |
12/15/49 | 5,000 | 5,319,278 | |||||||||||||
|
Series 2019-H07, Class A3 |
|
|||||||||||||||
|
3.005% |
07/15/52 | 5,300 | 5,428,046 | |||||||||||||
|
One Bryant Park Trust, |
|
|||||||||||||||
|
Series 2019-OBP, Class A, 144A |
|
|||||||||||||||
|
2.516% |
09/15/54 | 8,300 | 8,078,192 | |||||||||||||
|
UBS Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2018-C08, Class ASB |
|
|||||||||||||||
|
3.903% |
02/15/51 | 10,175 | 10,908,671 | |||||||||||||
|
Series 2018-C12, Class A4 |
|
|||||||||||||||
|
4.030% |
08/15/51 | 11,500 | 12,689,664 | |||||||||||||
|
Series 2019-C16, Class A3 |
|
|||||||||||||||
|
3.344% |
04/15/52 | 10,000 | 10,535,964 | |||||||||||||
|
UBS-Barclays Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2013-C05, Class A3 |
|
|||||||||||||||
|
2.920% |
03/10/46 | 6,932 | 7,024,027 | |||||||||||||
|
Series 2013-C06, Class A3 |
|
|||||||||||||||
|
2.971% |
04/10/46 | 12,184 | 12,430,348 | |||||||||||||
|
Wells Fargo Commercial Mortgage Trust, |
|
|||||||||||||||
|
Series 2014-LC16, Class A4 |
|
|||||||||||||||
|
3.548% |
08/15/50 | 3,610 | 3,740,651 | |||||||||||||
|
Series 2015-LC20, Class A4 |
|
|||||||||||||||
|
2.925% |
04/15/50 | 15,000 | 15,370,588 | |||||||||||||
|
Series 2016-BNK01, Class A2 |
|
|||||||||||||||
|
2.399% |
08/15/49 | 11,300 | 11,255,877 | |||||||||||||
|
Series 2016-C37, Class A4 |
|
|||||||||||||||
|
3.525% |
12/15/49 | 5,800 | 6,145,260 | |||||||||||||
|
Series 2016-LC24, Class A3 |
|
|||||||||||||||
|
2.684% |
10/15/49 | 15,500 | 15,665,845 | |||||||||||||
|
Series 2017-C38, Class A4 |
|
|||||||||||||||
|
3.190% |
07/15/50 | 9,500 | 9,890,356 | |||||||||||||
|
Series 2017-C39, Class ASB |
|
|||||||||||||||
|
3.212% |
09/15/50 | 6,900 | 7,160,467 | |||||||||||||
|
Series 2017-C41, Class A3 |
|
|||||||||||||||
|
3.210% |
11/15/50 | 15,000 | 15,613,413 | |||||||||||||
|
Series 2018-C46, Class A3 |
|
|||||||||||||||
|
3.888% |
08/15/51 | 13,500 | 14,718,780 | |||||||||||||
|
Series 2019-C49, Class A3 |
|
|||||||||||||||
|
3.749% |
03/15/52 | 13,200 | 14,045,549 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A166
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A167
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A168
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A169
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A170
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A171
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest Rate |
Maturity
Date |
|
Principal
Amount (000)# |
Value | ||||||||||||
| CORPORATE BONDS (continued) |
|
|||||||||||||||
|
Lodging — 0.2% |
|
|||||||||||||||
|
Las Vegas Sands Corp., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
3.200% |
08/08/24 | 4,500 | $ | 4,639,933 | ||||||||||||
|
3.500% |
08/18/26 | 1,550 | 1,602,608 | |||||||||||||
|
Sands China Ltd. (Macau), |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
||||||||||||||||
|
5.125% |
08/08/25 | 1,100 | 1,211,824 | |||||||||||||
|
|
|
|||||||||||||||
| 7,454,365 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Machinery-Diversified — 0.0% |
|
|||||||||||||||
|
Xylem, Inc., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
4.875% |
10/01/21 | 1,950 | 2,043,539 | |||||||||||||
|
|
|
|||||||||||||||
|
Media — 1.4% |
||||||||||||||||
|
AMC Networks, Inc., |
|
|||||||||||||||
|
Gtd. Notes |
||||||||||||||||
|
5.000% |
04/01/24 | 2,061 | 2,105,050 | |||||||||||||
|
CCO Holdings LLC/CCO Holdings Capital Corp., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
||||||||||||||||
|
5.125% |
02/15/23 | 615 | 623,547 | |||||||||||||
|
Sr. Unsec’d. Notes, 144A |
|
|||||||||||||||
|
4.750% |
03/01/30 | 1,840 | 1,876,608 | |||||||||||||
|
5.125% |
05/01/23 | 3,150 | 3,223,672 | |||||||||||||
|
5.375% |
06/01/29 | 1,000 | 1,072,655 | |||||||||||||
|
Charter Communications Operating LLC/Charter Communications Operating Capital, |
|
|||||||||||||||
|
Sr. Sec’d. Notes |
||||||||||||||||
|
4.800% |
03/01/50 | 6,380 | 6,732,829 | |||||||||||||
|
5.375% |
05/01/47 | 1,210 | 1,360,013 | |||||||||||||
|
6.384% |
10/23/35 | 4,300 | 5,427,514 | |||||||||||||
|
6.484% |
10/23/45 | 1,000 | 1,248,289 | |||||||||||||
|
Clear Channel Worldwide Holdings, Inc., |
|
|||||||||||||||
|
Gtd. Notes, 144A |
||||||||||||||||
|
9.250% |
02/15/24 | (a) | 4,000 | 4,435,698 | ||||||||||||
|
Comcast Corp., |
||||||||||||||||
|
Gtd. Notes |
||||||||||||||||
|
3.450% |
02/01/50 | 1,900 | 1,943,016 | |||||||||||||
|
4.150% |
10/15/28 | 5,375 | 6,046,750 | |||||||||||||
|
4.250% |
10/15/30 | 1,840 | 2,105,727 | |||||||||||||
|
Cox Communications, Inc., |
|
|||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
|
|||||||||||||||
|
3.150% |
08/15/24 | 7,280 | 7,482,764 | |||||||||||||
|
CSC Holdings LLC, |
||||||||||||||||
|
Gtd. Notes, 144A |
||||||||||||||||
|
5.500% |
05/15/26 | 1,500 | 1,589,003 | |||||||||||||
|
Diamond Sports Group LLC/Diamond Sports Finance Co., |
|
|||||||||||||||
|
Sr. Sec’d. Notes, 144A |
|
|||||||||||||||
|
5.375% |
08/15/26 | 2,295 | 2,325,322 | |||||||||||||
|
Discovery Communications LLC, |
|
|||||||||||||||
|
Gtd. Notes |
||||||||||||||||
|
5.000% |
09/20/37 | 2,030 | 2,295,224 | |||||||||||||
|
Videotron Ltd. (Canada), |
|
|||||||||||||||
|
Gtd. Notes |
||||||||||||||||
|
5.000% |
07/15/22 | 2,200 | 2,323,985 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A172
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A173
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A174
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A175
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A176
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A177
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A178
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A179
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A180
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| ^ |
Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $49,052,954 and 1.1% of net assets. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $91,114,548; cash collateral of $93,300,098 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (cc) |
Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
| (ff) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (h) |
Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (p) |
Interest rate not available as of December 31, 2019. |
| (rr) |
Perpetual security with no stated maturity date. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded
|
Description |
Call/
Put |
Counterparty |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | |||||||||||||||||||||
|
2-Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 07/12/21 | 0.11 | % | — | 4,657 | $ | 48,511 | |||||||||||||||||||
|
2-Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/16/21 | 0.15 | % | — | 11,320 | 108,037 | ||||||||||||||||||||
|
2-Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 08/20/21 | 0.15 | % | — | 22,471 | 225,456 | ||||||||||||||||||||
|
2-Year 10 CMS Curve CAP |
Call | Bank of America, N.A. | 09/13/21 | 0.14 | % | — | 22,780 | 239,668 | ||||||||||||||||||||
|
2-Year 10 CMS Curve CAP |
Call | Barclays Bank PLC | 11/09/21 | 0.21 | % | — | 4,528 | 44,354 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
|
Total Options Purchased
|
$ | 666,026 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
Futures contracts outstanding at December 31, 2019:
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
| Long Positions: | ||||||||||||||||
| 8,460 | 5 Year U.S. Treasury Notes | Mar. 2020 | $ | 1,003,435,355 | $ | (2,859,993 | ) | |||||||||
| 585 | 10 Year U.S. Ultra Treasury Notes | Mar. 2020 | 82,311,331 | (619,434 | ) | |||||||||||
| 686 | 20 Year U.S. Treasury Bonds | Mar. 2020 | 106,951,688 | (2,272,664 | ) | |||||||||||
| 1,610 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2020 | 292,466,562 | (7,423,814 | ) | |||||||||||
|
|
|
|||||||||||||||
| (13,175,905 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| Short Positions: | ||||||||||||||||
| 3,454 | 2 Year U.S. Treasury Notes | Mar. 2020 | 744,337,000 | 281,572 | ||||||||||||
| 142 | 5 Year Euro-Bobl | Mar. 2020 | 21,284,773 | 121,549 | ||||||||||||
| 226 | 10 Year Euro-Bund | Mar. 2020 | 43,219,931 | 572,495 | ||||||||||||
| 49 | 10 Year U.S. Treasury Notes | Mar. 2020 | 6,292,672 | 3,386 | ||||||||||||
| 7 | 30 Year Euro Buxl | Mar. 2020 | 1,557,660 | 57,470 | ||||||||||||
| 182 | Euro Schatz Index | Mar. 2020 | 22,845,339 | 8,015 | ||||||||||||
|
|
|
|||||||||||||||
| 1,044,487 | ||||||||||||||||
|
|
|
|||||||||||||||
| $ | (12,131,418 | ) | ||||||||||||||
|
|
|
|||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A181
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019:
Credit default swap agreements outstanding at December 31, 2019:
|
Reference Entity/
|
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Implied Credit
Spread at December 31, 2019(4) |
Fair
Value |
Upfront
Premiums Paid (Received) |
Unrealized
Appreciation (Depreciation) |
Counterparty |
||||||||||||||||||||
|
OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues—Sell Protection(2)**: |
||||||||||||||||||||||||||||
|
Government of Malaysia (D01) |
12/20/23 | 1.000%(Q) | 4,500 | 0.263 | % | $ | 129,702 | $ | (4,375 | ) | $134,077 |
Barclays Bank PLC |
||||||||||||||||
|
People’s Republic of China (D01) |
12/20/23 | 1.000%(Q) | 15,000 | 0.226 | % | 453,968 | (14,583 | ) | 468,551 |
Barclays Bank PLC |
||||||||||||||||||
|
Republic of Argentina (D01) |
12/20/23 | 1.000%(Q) | 4,500 | 85.808 | % | (2,583,769 | ) | (4,375 | ) | (2,579,394) |
Barclays Bank PLC |
|||||||||||||||||
|
Republic of Brazil (D01) |
12/20/23 | 1.000%(Q) | 22,500 | 0.746 | % | 225,929 | (21,875 | ) | 247,804 |
Barclays Bank PLC |
||||||||||||||||||
|
Republic of Chile (D01) |
12/20/23 | 1.000%(Q) | 4,500 | 0.308 | % | 121,729 | (4,375 | ) | 126,104 |
Barclays Bank PLC |
||||||||||||||||||
|
Republic of Colombia (D01) |
12/20/23 | 1.000%(Q) | 6,000 | 0.510 | % | 115,054 | (5,833 | ) | 120,887 |
Barclays Bank PLC |
||||||||||||||||||
|
Republic of Indonesia (D01) |
12/20/23 | 1.000%(Q) | 6,000 | 0.466 | % | 125,282 | (5,833 | ) | 131,115 |
Barclays Bank PLC |
||||||||||||||||||
|
Republic of Lebanon (D01) |
12/20/23 | 1.000%(Q) | 4,500 | 38.369 | % | (2,467,866 | ) | (4,375 | ) | (2,463,491) |
Barclays Bank PLC |
|||||||||||||||||
|
Republic of Panama (D01) |
12/20/23 | 1.000%(Q) | 4,500 | 0.288 | % | 125,378 | (4,375 | ) | 129,753 |
Barclays Bank PLC |
||||||||||||||||||
|
Republic of Peru (D01) |
12/20/23 | 1.000%(Q) | 4,500 | 0.274 | % | 127,902 | (4,375 | ) | 132,277 |
Barclays Bank PLC |
||||||||||||||||||
|
Republic of Philippines (D01) |
12/20/23 | 1.000%(Q) | 4,500 | 0.244 | % | 132,902 | (4,375 | ) | 137,277 |
Barclays Bank PLC |
||||||||||||||||||
|
Republic of South Africa (D01) |
12/20/23 | 1.000%(Q) | 13,500 | 1.345 | % | (171,512 | ) | (13,125 | ) | (158,387) |
Barclays Bank PLC |
|||||||||||||||||
|
Republic of Turkey (D01) |
12/20/23 | 1.000%(Q) | 22,500 | 2.512 | % | (1,247,091 | ) | (21,875 | ) | (1,225,216) |
Barclays Bank PLC |
|||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A182
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Credit default swap agreements outstanding at December 31, 2019 (continued):
|
Reference Entity/
|
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Implied
Credit Spread at December 31, 2019(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)** (continued): | ||||||||||||||||||||||||||||||
|
Russian Federation (D01) |
12/20/23 | 1.000%(Q) | 13,500 | 0.386 | % | $ | 324,349 | $ | (13,125 | ) | $ | 337,474 |
Barclays Bank PLC |
|||||||||||||||||
|
United Mexican States (D01) |
12/20/23 | 1.000%(Q) | 19,500 | 0.559 | % | 336,903 | (18,958 | ) | 355,861 |
Barclays Bank PLC |
||||||||||||||||||||
|
Emirate of Abu Dhabi (D02) |
12/20/24 | 1.000%(Q) | 1,000 | 0.336 | % | 32,170 | (278 | ) | 32,448 |
Morgan Stanley & Co. International PLC |
||||||||||||||||||||
|
Government of Malaysia (D02) |
12/20/24 | 1.000%(Q) | 2,000 | 0.352 | % | 62,661 | (556 | ) | 63,217 |
Morgan Stanley & Co. International PLC |
||||||||||||||||||||
|
Kingdom of Saudi Arabia (D02) |
12/20/24 | 1.000%(Q) | 1,000 | 0.563 | % | 21,176 | (278 | ) | 21,454 |
Morgan Stanley & Co. International PLC |
||||||||||||||||||||
|
People’s Republic of China (D02) |
12/20/24 | 1.000%(Q) | 4,500 | 0.320 | % | 147,946 | (1,625 | ) | 149,571 |
Morgan Stanley & Co. International PLC |
||||||||||||||||||||
|
Republic of Argentina (D02) |
12/20/24 | 1.000%(Q) | 2,500 | 79.997 | % | (1,444,735 | ) | (694 | ) | (1,444,041 | ) |
Morgan Stanley & Co. International PLC |
||||||||||||||||||
|
Republic of Brazil (D02) |
12/20/24 | 1.000%(Q) | 6,000 | 0.991 | % | 4,525 | (2,167 | ) | 6,692 |
Morgan Stanley & Co. International PLC |
||||||||||||||||||||
|
Republic of Chile (D02) |
12/20/24 | 1.000%(Q) | 1,000 | 0.422 | % | 27,984 | (278 | ) | 28,262 |
Morgan Stanley & Co. International PLC |
||||||||||||||||||||
|
Republic of Colombia (D02) |
12/20/24 | 1.000%(Q) | 2,500 | 0.727 | % | 33,278 | (694 | ) | 33,972 |
Morgan Stanley & Co. International PLC |
||||||||||||||||||||
|
Republic of Indonesia (D02) |
12/20/24 | 1.000%(Q) | 4,000 | 0.629 | % | 71,811 | (1,444 | ) | 73,255 |
Morgan Stanley & Co. International PLC |
||||||||||||||||||||
|
Republic of Lebanon (D02) |
12/20/24 | 1.000%(Q) | 1,000 | 34.265 | % | (559,829 | ) | (278 | ) | (559,551 | ) |
Morgan Stanley & Co. International PLC |
||||||||||||||||||
|
Republic of Panama (D02) |
12/20/24 | 1.000%(Q) | 1,000 | 0.423 | % | 27,962 | (278 | ) | 28,240 |
Morgan Stanley & Co. International PLC |
||||||||||||||||||||
|
Republic of Peru (D02) |
12/20/24 | 1.000%(Q) | 1,000 | 0.421 | % | 28,059 | (278 | ) | 28,337 |
Morgan Stanley & Co. International PLC |
||||||||||||||||||||
|
Republic of Philippines (D02) |
12/20/24 | 1.000%(Q) | 1,000 | 0.338 | % | 31,967 | (278 | ) | 32,245 |
Morgan Stanley & Co. International PLC |
||||||||||||||||||||
|
Republic of South Africa (D02) |
12/20/24 | 1.000%(Q) | 4,500 | 1.625 | % | (128,959 | ) | (1,625 | ) | (127,334 | ) |
Morgan Stanley & Co. International PLC |
||||||||||||||||||
|
Republic of Turkey (D02) |
12/20/24 | 1.000%(Q) | 6,000 | 2.791 | % | (479,797 | ) | (2,167 | ) | (477,630 | ) |
Morgan Stanley & Co. International PLC |
||||||||||||||||||
|
Russian Federation (D02) |
12/20/24 | 1.000%(Q) | 4,000 | 0.556 | % | 86,004 | (1,444 | ) | 87,448 |
Morgan Stanley & Co. International PLC |
||||||||||||||||||||
|
State of Qatar (D02) |
12/20/24 | 1.000%(Q) | 1,000 | 0.365 | % | 30,753 | (278 | ) | 31,031 |
Morgan Stanley & Co. International PLC |
||||||||||||||||||||
|
United Mexican States (D02) |
12/20/24 | 1.000%(Q) | 6,000 | 0.784 | % | 63,380 | (2,167 | ) | 65,547 |
Morgan Stanley & Co. International PLC |
||||||||||||||||||||
|
Emirate of Abu Dhabi (D03) |
12/20/24 | 1.000%(Q) | 600 | 0.336 | % | 19,302 | (650 | ) | 19,952 |
Barclays Bank PLC |
||||||||||||||||||||
|
Government of Malaysia (D03) |
12/20/24 | 1.000%(Q) | 1,200 | 0.352 | % | 37,597 | (1,300 | ) | 38,897 |
Barclays Bank PLC |
||||||||||||||||||||
|
Kingdom of Saudi Arabia (D03) |
12/20/24 | 1.000%(Q) | 600 | 0.563 | % | 12,706 | (650 | ) | 13,356 |
Barclays Bank PLC |
||||||||||||||||||||
|
People’s Republic of China (D03) |
12/20/24 | 1.000%(Q) | 2,700 | 0.320 | % | 88,768 | (2,925 | ) | 91,693 |
Barclays Bank PLC |
||||||||||||||||||||
|
Republic of Argentina (D03) |
12/20/24 | 1.000%(Q) | 1,500 | 79.997 | % | (866,842 | ) | (1,625 | ) | (865,217 | ) |
Barclays Bank PLC |
||||||||||||||||||
|
Republic of Brazil (D03) |
12/20/24 | 1.000%(Q) | 3,600 | 0.991 | % | 2,715 | (3,900 | ) | 6,615 |
Barclays Bank PLC |
||||||||||||||||||||
|
Republic of Chile (D03) |
12/20/24 | 1.000%(Q) | 600 | 0.422 | % | 16,791 | (650 | ) | 17,441 |
Barclays Bank PLC |
||||||||||||||||||||
|
Republic of Colombia (D03) |
12/20/24 | 1.000%(Q) | 1,500 | 0.727 | % | 19,967 | (1,625 | ) | 21,592 |
Barclays Bank PLC |
||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A183
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Credit default swap agreements outstanding at December 31, 2019 (continued):
|
Reference Entity/
|
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Implied
Credit Spread at December 31, 2019(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)** (continued): |
||||||||||||||||||||||||||||||
|
Republic of Indonesia (D03) |
12/20/24 | 1.000%(Q) | 2,400 | 0.629 | % | $ | 43,087 | $ | (2,600 | ) | $ | 45,687 |
Barclays Bank PLC |
|||||||||||||||||
|
Republic of Lebanon (D03) |
12/20/24 | 1.000%(Q) | 600 | 34.265 | % | (335,897 | ) | (650 | ) | (335,247 | ) |
Barclays Bank PLC |
||||||||||||||||||
|
Republic of Panama (D03) |
12/20/24 | 1.000%(Q) | 600 | 0.423 | % | 16,777 | (650 | ) | 17,427 |
Barclays Bank PLC |
||||||||||||||||||||
|
Republic of Peru (D03) |
12/20/24 | 1.000%(Q) | 600 | 0.421 | % | 16,835 | (650 | ) | 17,485 |
Barclays Bank PLC |
||||||||||||||||||||
|
Republic of Philippines (D03) |
12/20/24 | 1.000%(Q) | 600 | 0.338 | % | 19,180 | (650 | ) | 19,830 |
Barclays Bank PLC |
||||||||||||||||||||
|
Republic of South Africa (D03) |
12/20/24 | 1.000%(Q) | 2,700 | 1.625 | % | (77,375 | ) | (2,925 | ) | (74,450 | ) |
Barclays Bank PLC |
||||||||||||||||||
|
Republic of Turkey (D03) |
12/20/24 | 1.000%(Q) | 3,600 | 2.791 | % | (287,878 | ) | (3,900 | ) | (283,978 | ) |
Barclays Bank PLC |
||||||||||||||||||
|
Russian Federation (D03) |
12/20/24 | 1.000%(Q) | 2,400 | 0.556 | % | 51,602 | (2,600 | ) | 54,202 |
Barclays Bank PLC |
||||||||||||||||||||
|
State of Qatar (D03) |
12/20/24 | 1.000%(Q) | 600 | 0.365 | % | 18,452 | (650 | ) | 19,102 |
Barclays Bank PLC |
||||||||||||||||||||
|
United Mexican States (D03) |
12/20/24 | 1.000%(Q) | 3,600 | 0.784 | % | 38,028 | (3,900 | ) | 41,928 |
Barclays Bank PLC |
||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | (7,360,969 | ) | $ | (195,139 | ) | $ | (7,165,830 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
|
Reference Entity/
|
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Fair
Value |
Upfront
Premiums Paid (Received) |
Unrealized
Appreciation (Depreciation) |
Counterparty | |||||||||||||||||||||
|
OTC Packaged Credit Default Swap Agreements on credit indices—Buy Protection(1)**: |
|
|||||||||||||||||||||||||||
|
CDX.EM.30.V1 (D01) |
12/20/23 | 1.000%(Q) | 150,000 | $ | 3,648,267 | $ | (42,500 | ) | $ | 3,690,767 | Barclays Bank PLC | |||||||||||||||||
|
CDX.EM.32.V1 (D02) |
12/20/24 | 1.000%(Q) | 50,000 | 1,663,718 | (56,111 | ) | 1,719,829 |
|
Morgan Stanley & Co.
International PLC |
|
||||||||||||||||||
|
CDX.EM.32.V1 (D03) |
12/20/24 | 1.000%(Q) | 30,000 | 998,231 | (25,833 | ) | 1,024,064 | Barclays Bank PLC | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | 6,310,216 | $ | (124,444 | ) | $ | 6,434,660 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| ** |
The Portfolio entered into multiple credit default swap agreements in a package trade consisting of two parts. The Portfolio bought protection on an Emerging Market CDX Index and sold protection on the countries which compromise the index. The up-front premium is attached to the index of the trade. Each swap is priced individually. If any of the component swaps are closed out early, the index exposure will be reduced by an amount proportionate to the terminated swaps(s). Individual packages in the tables above are denoted by the corresponding footnotes (D01 - D03). |
SEE NOTES TO FINANCIAL STATEMENTS.
A184
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Credit default swap agreements outstanding at December 31, 2019 (continued):
|
Reference Entity/
|
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Fair
Value |
Upfront
Premiums Paid (Received) |
Unrealized
Appreciation (Depreciation) |
Counterparty |
|||||||||||||||||||
|
OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Buy Protection(1): |
||||||||||||||||||||||||||
|
Republic of Argentina |
06/20/21 | 5.000%(Q) | 3,215 | $ | 1,714,188 | $ | 1,382,450 | $ | 331,738 |
Morgan Stanley & Co. International PLC |
||||||||||||||||
|
Republic of Argentina |
06/20/21 | 5.000%(Q) | 1,370 | 730,463 | 602,800 | 127,663 |
Barclays Bank PLC |
|||||||||||||||||||
|
United Mexican States |
06/20/23 | 1.000%(Q) | 1,710 | (29,809 | ) | 10,638 | (40,447 | ) |
Citibank, N.A. |
|||||||||||||||||
|
United Mexican States |
06/20/23 | 1.000%(Q) | 1,685 | (29,374 | ) | 26,566 | (55,940 | ) |
Citibank, N.A. |
|||||||||||||||||
|
United Mexican States |
06/20/23 | 1.000%(Q) | 565 | (9,849 | ) | 9,976 | (19,825 | ) |
Citibank, N.A. |
|||||||||||||||||
|
United Mexican States |
06/20/23 | 1.000%(Q) | 565 | (9,849 | ) | 9,160 | (19,009 | ) |
Citibank, N.A. |
|||||||||||||||||
|
United Mexican States |
06/20/23 | 1.000%(Q) | 565 | (9,850 | ) | 3,306 | (13,156 | ) |
Citibank, N.A. |
|||||||||||||||||
|
United Mexican States |
06/20/23 | 1.000%(Q) | 290 | (5,055 | ) | 1,803 | (6,858 | ) |
Citibank, N.A. |
|||||||||||||||||
|
United Mexican States |
12/20/24 | 1.000%(Q) | 400 | (4,225 | ) | 3,510 | (7,735 | ) |
Citibank, N.A. |
|||||||||||||||||
|
United Mexican States |
12/20/24 | 1.000%(Q) | 355 | (3,750 | ) | 2,603 | (6,353 | ) |
Citibank, N.A. |
|||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 2,342,890 | $ | 2,052,812 | $ | 290,078 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
|
Reference Entity/
|
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Implied
Credit Spread at December 31, 2019(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): |
|
|||||||||||||||||||||||||||||
|
Barclays Bank PLC |
06/20/20 | 1.000%(Q) | EUR | 4,300 | 0.143 | % | $ | 21,381 | $ | 20,839 | $ | 542 |
Citibank, N.A. |
|||||||||||||||||
|
General Electric Co. |
06/20/20 | 1.000%(Q) | 5,030 | 0.295 | % | 18,479 | 19,844 | (1,365 | ) |
Bank of America, N.A. |
||||||||||||||||||||
|
Hellenic Republic |
06/20/20 | 1.000%(Q) | 10,000 | 0.203 | % | 41,103 | 12,370 | 28,733 |
Bank of America, N.A. |
|||||||||||||||||||||
|
Hellenic Republic |
06/20/23 | 1.000%(Q) | 1,300 | 0.798 | % | 9,229 | (127,162 | ) | 136,391 |
Citibank, N.A. |
||||||||||||||||||||
|
Hellenic Republic |
06/20/24 | 1.000%(Q) | 7,000 | 1.024 | % | (4,781 | ) | (522,580 | ) | 517,799 |
JPMorgan Chase Bank, N.A. |
|||||||||||||||||||
|
Hellenic Republic |
06/20/24 | 1.000%(Q) | 2,000 | 1.024 | % | (1,366 | ) | (432,500 | ) | 431,134 |
Barclays Bank PLC |
|||||||||||||||||||
|
Hellenic Republic |
12/20/24 | 1.000%(Q) | 2,000 | 1.121 | % | (10,671 | ) | (460,000 | ) | 449,329 |
Citibank, N.A. |
|||||||||||||||||||
|
Hellenic Republic |
12/20/25 | 1.000%(Q) | 970 | 1.335 | % | (17,533 | ) | (175,640 | ) | 158,107 |
Bank of America, N.A. |
|||||||||||||||||||
|
Hellenic Republic |
06/20/26 | 1.000%(Q) | 3,000 | 1.416 | % | (72,410 | ) | (484,230 | ) | 411,820 |
Citibank, N.A. |
|||||||||||||||||||
|
Husky Energy, Inc. |
06/20/20 | 1.000%(Q) | 2,650 | 0.163 | % | 11,396 | (109,128 | ) | 120,524 |
Morgan Stanley & Co. International PLC |
||||||||||||||||||||
|
Kingdom of Saudi Arabia |
06/20/24 | 1.000%(Q) | 1,045 | 0.497 | % | 23,052 | 4,948 | 18,104 |
Morgan Stanley & Co. International PLC |
|||||||||||||||||||||
|
Petroleo Brasileiro SA |
03/20/20 | 1.000%(Q) | 1,625 | 0.218 | % | 3,352 | 4,565 | (1,213 | ) |
Credit Suisse International |
||||||||||||||||||||
|
Petroleos Mexicanos |
06/20/23 | 1.000%(Q) | 1,425 | 1.682 | % | (31,769 | ) | (78,778 | ) | 47,009 |
Citibank, N.A. |
|||||||||||||||||||
|
Petroleos Mexicanos |
06/20/23 | 1.000%(Q) | 1,405 | 1.682 | % | (31,324 | ) | (93,238 | ) | 61,914 |
Citibank, N.A. |
|||||||||||||||||||
|
Petroleos Mexicanos |
06/20/23 | 1.000%(Q) | 470 | 1.682 | % | (10,479 | ) | (31,963 | ) | 21,484 |
Citibank, N.A. |
|||||||||||||||||||
|
Petroleos Mexicanos |
06/20/23 | 1.000%(Q) | 470 | 1.682 | % | (10,479 | ) | (31,384 | ) | 20,905 |
Citibank, N.A. |
|||||||||||||||||||
|
Petroleos Mexicanos |
06/20/23 | 1.000%(Q) | 470 | 1.682 | % | (10,479 | ) | (26,106 | ) | 15,627 |
Citibank, N.A. |
|||||||||||||||||||
|
Petroleos Mexicanos |
06/20/23 | 1.000%(Q) | 240 | 1.682 | % | (5,351 | ) | (13,261 | ) | 7,910 |
Citibank, N.A. |
|||||||||||||||||||
|
Petroleos Mexicanos |
12/20/24 | 1.000%(Q) | 400 | 2.295 | % | (23,581 | ) | (39,728 | ) | 16,147 |
Citibank, N.A. |
|||||||||||||||||||
|
Petroleos Mexicanos |
12/20/24 | 1.000%(Q) | 355 | 2.295 | % | (20,929 | ) | (34,867 | ) | 13,938 |
Citibank, N.A. |
|||||||||||||||||||
|
Republic of Argentina |
06/20/24 | 5.000%(Q) | 3,215 | 82.684 | % | (1,757,126 | ) | (1,543,200 | ) | (213,926 | ) |
Morgan Stanley & Co. International PLC |
||||||||||||||||||
|
Republic of Argentina |
06/20/24 | 5.000%(Q) | 1,370 | 82.684 | % | (748,760 | ) | (671,300 | ) | (77,460 | ) |
Barclays Bank PLC |
||||||||||||||||||
|
State of Illinois |
06/20/24 | 1.000%(Q) | 1,610 | 1.465 | % | (30,233 | ) | (20,656 | ) | (9,577 | ) |
Citibank, N.A. |
||||||||||||||||||
|
United Mexican States |
03/20/20 | 1.000%(Q) | 3,995 | 0.144 | % | 8,890 | 11,064 | (2,174 | ) |
Citibank, N.A. |
||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | (2,650,389 | ) | $ | (4,822,091 | ) | $ | 2,171,702 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A185
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Credit default swap agreements outstanding at December 31, 2019 (continued):
|
Reference Entity/
|
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Implied Credit
Spread at December 31, 2019(4) |
Fair
Value |
Upfront
Premiums Paid (Received) |
Unrealized
Appreciation (Depreciation) |
Counterparty |
||||||||||||||||||||
|
OTC Credit Default Swap Agreement on credit indices—Sell Protection(2): |
|
|||||||||||||||||||||||||||
|
CDX.BEIJING 1Y 30%—100% |
12/20/20 | 0.000% | 32,200 | * | $ | (3,066 | ) | $ | (19,320 | ) | $ | 16,254 |
Citibank, N.A. |
|||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
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. |
Interest rate swap agreements outstanding at December 31, 2019:
|
Notional
Amount (000)# |
Termination
Date |
Fixed Rate |
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements: |
||||||||||||||||||||||||
| BRL | 47,377 | 01/02/25 | 5.902%(T) |
1 Day BROIS(2)(T) |
$ | — | $ | (207,473 | ) | $ | (207,473 | ) | ||||||||||||
| BRL | 13,907 | 01/02/25 | 6.640%(T) |
1 Day BROIS(2)(T) |
— | 75,379 | 75,379 | |||||||||||||||||
| BRL | 15,722 | 01/02/25 | 6.670%(T) |
1 Day BROIS(2)(T) |
— | 92,292 | 92,292 | |||||||||||||||||
| BRL | 12,873 | 01/04/27 | 6.912%(T) |
1 Day BROIS(2)(T) |
— | 96,972 | 96,972 | |||||||||||||||||
| CNH | 26,020 | 06/14/24 | 2.900%(Q) |
7 Day China Fixing Repo Rates(2)(Q) |
93 | (968 | ) | (1,061 | ) | |||||||||||||||
| CNH | 76,000 | 06/28/24 | 2.901%(Q) |
7 Day China Fixing Repo Rates(2)(Q) |
— | (5,027 | ) | (5,027 | ) | |||||||||||||||
| CNH | 56,100 | 09/19/24 | 2.940%(Q) |
7 Day China Fixing Repo Rates(2)(Q) |
(52 | ) | 6,989 | 7,041 | ||||||||||||||||
| CNH | 50,000 | 10/11/24 | 2.880%(Q) |
7 Day China Fixing Repo Rates(2)(Q) |
(139 | ) | (11,540 | ) | (11,401 | ) | ||||||||||||||
| EUR | 7,985 | 05/11/21 | (0.300)%(A) |
1 Day EONIA(1)(A) |
(6,797 | ) | (24,113 | ) | (17,316 | ) | ||||||||||||||
| EUR | 2,665 | 05/11/22 | (0.250)%(A) |
1 Day EONIA(1)(A) |
(1,693 | ) | (15,666 | ) | (13,973 | ) | ||||||||||||||
| EUR | 12,145 | 05/11/23 | (0.100)%(A) |
1 Day EONIA(1)(A) |
(68,266 | ) | (161,593 | ) | (93,327 | ) | ||||||||||||||
| EUR | 1,680 | 05/11/24 | 0.050%(A) |
1 Day EONIA(1)(A) |
(17,524 | ) | (37,168 | ) | (19,644 | ) | ||||||||||||||
| EUR | 10,015 | 05/11/25 | 0.100%(A) |
1 Day EONIA(1)(A) |
(58,876 | ) | (260,845 | ) | (201,969 | ) | ||||||||||||||
| EUR | 5,135 | 05/11/26 | 0.250%(A) |
1 Day EONIA(1)(A) |
(84,692 | ) | (194,453 | ) | (109,761 | ) | ||||||||||||||
| EUR | 800 | 05/11/35 | 0.950%(A) |
1 Day EONIA(1)(A) |
(30,906 | ) | (97,336 | ) | (66,430 | ) | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A186
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Notional
Amount (000)# |
Termination
Date |
Fixed
|
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements (continued): |
||||||||||||||||||||||||
| EUR | 1,050 | 05/11/37 | 0.950%(A) |
1 Day EONIA(1)(A) |
$ | (29,964 | ) | $ | (128,492 | ) | $ | (98,528 | ) | |||||||||||
| EUR | 3,890 | 05/11/39 | 1.100%(A) |
1 Day EONIA(1)(A) |
(604,096 | ) | (609,603 | ) | (5,507 | ) | ||||||||||||||
| EUR | 730 | 05/11/42 | 1.100%(A) |
1 Day EONIA(1)(A) |
(18,429 | ) | (121,989 | ) | (103,560 | ) | ||||||||||||||
| GBP | 1,060 | 05/08/21 | 0.850%(A) |
1 Day SONIA(1)(A) |
(7,722 | ) | (5,663 | ) | 2,059 | |||||||||||||||
| GBP | 3,270 | 05/08/24 | 0.950%(A) |
1 Day SONIA(1)(A) |
(103,656 | ) | (61,421 | ) | 42,235 | |||||||||||||||
| GBP | 2,931 | 10/22/28 | 0.680%(A) |
1 Day SONIA(1)(A) |
— | 24,072 | 24,072 | |||||||||||||||||
| GBP | 4,490 | 05/08/29 | 1.100%(A) |
1 Day SONIA(1)(A) |
(350,312 | ) | (196,568 | ) | 153,744 | |||||||||||||||
| JPY | 3,452,700 | 12/17/20 | 0.015%(S) | 6 Month JPY LIBOR(1)(S) | — | (2,561 | ) | (2,561 | ) | |||||||||||||||
| 69,705 | 03/12/20 | 2.405%(T) |
1 Day USOIS(2)(T) |
— | 269,119 | 269,119 | ||||||||||||||||||
| 102,460 | 04/25/20 | 2.328%(A) |
1 Day USOIS(2)(A) |
(1,660 | ) | 432,555 | 434,215 | |||||||||||||||||
| 37,685 | 03/31/21 | 2.173%(A) |
1 Day USOIS(2)(A) |
(13,074 | ) | 355,572 | 368,646 | |||||||||||||||||
| 21,638 | 06/15/21 | 1.830%(S) |
3 Month LIBOR(2)(Q) |
— | 34,390 | 34,390 | ||||||||||||||||||
| 188,004 | 12/15/21 | 1.554%(S) |
3 Month LIBOR(2)(Q) |
— | (275,591 | ) | (275,591 | ) | ||||||||||||||||
| 7,890 | 05/31/22 | 2.353%(A) |
1 Day USOIS(1)(A) |
— | (180,988 | ) | (180,988 | ) | ||||||||||||||||
| 10,745 | 09/27/22 | 2.360%(A) |
1 Day USOIS(1)(A) |
127 | (284,976 | ) | (285,103 | ) | ||||||||||||||||
| 10,925 | 02/15/24 | 2.115%(S) |
3 Month LIBOR(1)(Q) |
25,715 | (237,814 | ) | (263,529 | ) | ||||||||||||||||
| 25,542 | 02/15/24 | 2.151%(S) |
3 Month LIBOR(1)(Q) |
(27,992 | ) | (595,982 | ) | (567,990 | ) | |||||||||||||||
| 31,125 | 02/15/24 | 2.183%(S) |
3 Month LIBOR(1)(Q) |
(43,551 | ) | (770,458 | ) | (726,907 | ) | |||||||||||||||
| 26,210 | 02/29/24 | 1.520%(S) |
3 Month LIBOR(2)(Q) |
— | (189,787 | ) | (189,787 | ) | ||||||||||||||||
| 4,625 | 05/15/24 | 1.808%(A) |
1 Day USOIS(1)(A) |
— | (58,827 | ) | (58,827 | ) | ||||||||||||||||
| 15,675 | 08/15/24 | 2.168%(S) |
3 Month LIBOR(1)(Q) |
— | (401,769 | ) | (401,769 | ) | ||||||||||||||||
| 122,455 | 08/15/24 | 2.170%(S) |
3 Month LIBOR(1)(Q) |
401,613 | (3,148,546 | ) | (3,550,159 | ) | ||||||||||||||||
| 44,955 | 08/15/24 | 2.176%(S) |
3 Month LIBOR(1)(Q) |
154,012 | (1,167,989 | ) | (1,322,001 | ) | ||||||||||||||||
| 57,995 | 11/15/24 | 2.334%(S) |
3 Month LIBOR(1)(Q) |
178,653 | (1,672,338 | ) | (1,850,991 | ) | ||||||||||||||||
| 10,865 | 02/28/25 | 2.454%(A) |
1 Day USOIS(1)(A) |
8,634 | (546,180 | ) | (554,814 | ) | ||||||||||||||||
| 2,880 | 02/28/25 | 3.019%(S) |
3 Month LIBOR(1)(Q) |
— | (207,132 | ) | (207,132 | ) | ||||||||||||||||
| 69,131 | 05/31/25 | 2.998%(S) |
3 Month LIBOR(1)(Q) |
(47,810 | ) | (4,559,165 | ) | (4,511,355 | ) | |||||||||||||||
| 4,645 | 07/31/25 | 2.802%(A) |
1 Day USOIS(1)(A) |
— | (341,255 | ) | (341,255 | ) | ||||||||||||||||
| 21,625 | 07/31/25 | 3.105%(S) |
3 Month LIBOR(1)(Q) |
17,061 | (1,775,910 | ) | (1,792,971 | ) | ||||||||||||||||
| 50,264 | 07/31/25 | 3.109%(S) |
3 Month LIBOR(1)(Q) |
1,595 | (4,140,623 | ) | (4,142,218 | ) | ||||||||||||||||
| 4,305 | 01/08/26 | 2.210%(S) |
3 Month LIBOR(1)(Q) |
169,599 | (135,312 | ) | (304,911 | ) | ||||||||||||||||
| 6,995 | 01/31/26 | 2.236%(S) |
3 Month LIBOR(1)(Q) |
— | (233,614 | ) | (233,614 | ) | ||||||||||||||||
| 42,303 | 01/31/26 | 2.269%(A) |
1 Day USOIS(1)(A) |
(124,949 | ) | (1,907,845 | ) | (1,782,896 | ) | |||||||||||||||
| 8,194 | 01/31/26 | 2.406%(S) |
3 Month LIBOR(1)(Q) |
— | (360,183 | ) | (360,183 | ) | ||||||||||||||||
| 10,675 | 03/12/26 | 2.290%(A) |
1 Day USOIS(1)(A) |
233 | (496,899 | ) | (497,132 | ) | ||||||||||||||||
| 42,455 | 04/30/26 | 1.876%(S) |
3 Month LIBOR(1)(Q) |
(172,774 | ) | (260,854 | ) | (88,080 | ) | |||||||||||||||
| 24,228 | 02/15/27 | 1.824%(A) |
1 Day USOIS(1)(A) |
323,421 | (361,593 | ) | (685,014 | ) | ||||||||||||||||
| 6,165 | 02/15/27 | 1.899%(A) |
1 Day USOIS(1)(A) |
8,731 | (127,675 | ) | (136,406 | ) | ||||||||||||||||
| 3,440 | 02/15/27 | 1.965%(A) |
1 Day USOIS(1)(A) |
— | (88,682 | ) | (88,682 | ) | ||||||||||||||||
| 11,550 | 02/15/27 | 2.067%(A) |
1 Day USOIS(1)(A) |
(7,813 | ) | (388,964 | ) | (381,151 | ) | |||||||||||||||
| 7,830 | 05/08/27 | 2.309%(S) |
3 Month LIBOR(1)(Q) |
— | (277,268 | ) | (277,268 | ) | ||||||||||||||||
| 5,275 | 05/15/27 | 1.823%(A) |
1 Day USOIS(1)(A) |
— | (86,181 | ) | (86,181 | ) | ||||||||||||||||
| 3,015 | 05/15/27 | 2.295%(S) |
3 Month LIBOR(1)(Q) |
— | (103,570 | ) | (103,570 | ) | ||||||||||||||||
| 10,636 | 08/15/28 | 2.579%(A) |
1 Day USOIS(1)(A) |
(39,440 | ) | (865,666 | ) | (826,226 | ) | |||||||||||||||
| 11,374 | 08/15/28 | 2.835%(S) |
3 Month LIBOR(1)(Q) |
(45,193 | ) | (993,372 | ) | (948,179 | ) | |||||||||||||||
| 18,456 | 08/15/29 | 1.611%(A) |
1 Day USOIS(1)(A) |
5,796 | 57,063 | 51,267 | ||||||||||||||||||
| 35,952 | 08/15/29 | 1.717%(S) |
3 Month LIBOR(1)(Q) |
— | 505,851 | 505,851 | ||||||||||||||||||
| 4,895 | 02/15/42 | 1.369%(A) |
1 Day USOIS(1)(A) |
239 | 451,887 | 451,648 | ||||||||||||||||||
| 1,160 | 11/15/43 | 2.659%(S) |
3 Month LIBOR(1)(Q) |
— | (130,522 | ) | (130,522 | ) | ||||||||||||||||
| 3,180 | 09/27/46 | 1.380%(A) |
1 Day USOIS(1)(A) |
208 | 317,508 | 317,300 | ||||||||||||||||||
| 1,730 | 04/09/48 | 2.545%(S) |
3 Month LIBOR(1)(Q) |
— | (175,403 | ) | (175,403 | ) | ||||||||||||||||
| 1,600 | 05/08/48 | 2.627%(S) |
3 Month LIBOR(1)(Q) |
— | (191,512 | ) | (191,512 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | (611,650 | ) | $ | (27,163,275 | ) | $ | (26,551,625 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
A187
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Total return swap agreements outstanding at December 31, 2019:
|
Reference Entity |
Financing
Rate |
Counterparty |
Termination
Date |
Long
(Short) Notional Amount (000)#(1) |
Fair
Value |
Upfront
Premiums Paid (Received) |
Unrealized
Appreciation (Depreciation)(2) |
|||||||||||||||||||
|
OTC Total Return Swap Agreement: |
|
|||||||||||||||||||||||||
|
IOS.FN30.450.10 Index(M) |
1 Month LIBOR | (M) | Credit Suisse International | 1/12/41 | 2,008 | $ | (5,619 | ) | $ | (4,115 | ) | $ | (1,504 | ) | ||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| (1) |
On a long total return swap, the Portfolio receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Portfolio makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate. |
| (2) |
Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
| Premiums Paid | Premiums Received |
Unrealized
Appreciation |
Unrealized
Depreciation |
|||||||||||||
|
OTC Swap Agreements |
$ | 2,126,442 | $ | (5,238,739 | ) | $ | 12,818,485 | $ | (11,070,478 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||||
|
Citigroup Global Markets, Inc. |
$ | 2,834,000 | $ | 37,559,458 | ||||||
|
|
|
|
|
|||||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Automobiles |
$ | — | $ | 77,826,389 | $ | — | ||||||
|
Collateralized Loan Obligations |
— | 629,265,260 | — | |||||||||
|
Consumer Loans |
— | 44,445,053 | — | |||||||||
|
Credit Cards |
— | 7,531,995 | — | |||||||||
|
Equipment |
— | 6,848,180 | — | |||||||||
|
Home Equity Loans |
— | 12,676,094 | — | |||||||||
|
Manufactured Housing |
— | 8,047,526 | — | |||||||||
|
Other |
— | 9,751,198 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 36,099,936 | — | |||||||||
|
Student Loans |
— | 75,375,695 | — | |||||||||
|
Bank Loans |
— | 7,678,947 | 1,639,684 | |||||||||
|
Commercial Mortgage-Backed Securities |
— | 901,277,051 | — | |||||||||
|
Corporate Bonds |
— | 1,389,454,741 | — | |||||||||
|
Municipal Bonds |
— | 74,706,610 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 211,901,095 | 47,410,623 | |||||||||
|
Sovereign Bonds |
— | 224,085,027 | — | |||||||||
|
U.S. Government Agency Obligations |
— | 400,386,769 | — | |||||||||
|
U.S. Treasury Obligations |
— | 135,914,537 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A188
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stock |
$ | 483,035 | $ | — | $ | — | ||||||
|
Affiliated Mutual Funds |
127,960,094 | — | — | |||||||||
|
Options Purchased |
— | 666,026 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 128,443,129 | $ | 4,253,938,129 | $ | 49,050,307 | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 1,044,487 | $ | — | $ | — | ||||||
|
OTC Forward Foreign Currency Exchange Contracts |
— | 384,804 | — | |||||||||
|
OTC Packaged Credit Default Swap Agreements |
— | 9,600,797 | — | |||||||||
|
OTC Credit Default Swap Agreements |
— | 2,581,533 | 2,647 | |||||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | 2,926,230 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 1,044,487 | $ | 15,493,364 | $ | 2,647 | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (13,175,905 | ) | $ | — | $ | — | |||||
|
OTC Forward Foreign Currency Exchange Contracts |
— | (3,018,053 | ) | — | ||||||||
|
OTC Packaged Credit Default Swap Agreements |
— | (10,651,550 | ) | — | ||||||||
|
OTC Credit Default Swap Agreements |
— | (2,892,098 | ) | — | ||||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | (29,477,855 | ) | — | ||||||||
|
OTC Total Return Swap Agreement |
— | (5,619 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (13,175,905 | ) | $ | (46,045,175 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:
|
Asset-Backed
Securities— Residential Mortgage- Backed Securities |
Bank
Loans |
Residential
Mortgage- Backed Securities |
Forward
Rate Agreements |
OTC Credit
Default Swap Agreements |
||||||||||||||||
|
Balance as of 12/31/18 |
$ | 12,235,460 | $ | 1,568,000 | $ | — | $ | (108,789 | ) | $ | 22,170 | |||||||||
|
Realized gain (loss) |
(55,691 | ) | 25,962 | — | — | 19,947 | ||||||||||||||
|
Change in unrealized appreciation (depreciation) |
(30,247 | ) | (21,009 | ) | — | 108,789 | 2,647 | |||||||||||||
|
Purchases/Exchanges/Issuances |
— | — | 47,440,000 | — | — | |||||||||||||||
|
Sales/Paydowns |
(12,151,750 | ) | (989,862 | ) | (29,377 | ) | — | (42,117 | ) | |||||||||||
|
Accrued discount/premium |
2,228 | 1,385 | — | — | — | |||||||||||||||
|
Transfers into Level 3 |
— | 1,055,208 | — | — | — | |||||||||||||||
|
Transfers out of Level 3 |
— | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Balance as of 12/31/19 |
$ | — | $ | 1,639,684 | $ | 47,410,623 | $ | — | $ | 2,647 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Change in unrealized appreciation (depreciation) relating to securities still held at reporting period end |
$ | — | $ | (21,009 | ) | $ | — | $ | — | $ | 2,647 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by Board, which contain unobservable inputs as follows:
|
Level 3 Securities |
Fair Value as of
December 31, 2019 |
Valuation Methodology |
Unobservable Inputs |
|||||
|
Bank Loans |
$ | 1,639,684 | Market Approach | Single Broker Indicative Quote | ||||
|
Residential |
||||||||
|
Mortgage-Backed |
||||||||
|
Securities |
29,170,623 | Market Approach | Single Broker Indicative Quote | |||||
|
Residential |
||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A189
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 3 Securities |
Fair Value as of
December 31, 2019 |
Valuation Methodology |
Unobservable Inputs |
|||||
|
Mortgage-Backed Securities |
18,240,000 | Pricing at Cost | Unadjusted Purchase Price | |||||
|
OTC Credit |
||||||||
|
Default Swap |
||||||||
|
Agreements |
2,647 | Market Approach | Single Broker Indicative Quote | |||||
|
|
|
|||||||
| $ | 49,052,954 | |||||||
|
|
|
|||||||
|
Investments in Securities |
Amount
Transferred |
Level Transfer |
Logic |
|||||||
|
Bank Loans |
$ | 1,055,208 | L2 to L3 | Multiple Broker Quotes to Single Broker Indicative Quote | ||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Commercial Mortgage-Backed Securities |
21.0 | % | ||
|
Collateralized Loan Obligations |
14.6 | |||
|
Banks |
10.2 | |||
|
U.S. Government Agency Obligations |
9.3 | |||
|
Residential Mortgage-Backed Securities |
6.8 | |||
|
Sovereign Bonds |
5.2 | |||
|
U.S. Treasury Obligations |
3.2 | |||
|
Affiliated Mutual Funds (2.2% represents investments purchased with collateral from securities on loan) |
3.0 | |||
|
Electric |
2.5 | |||
|
Oil & Gas |
2.5 | |||
|
Pharmaceuticals |
2.1 | |||
|
Automobiles |
1.8 | |||
|
Student Loans |
1.8 | |||
|
Municipal Bonds |
1.8 | |||
|
Media |
1.4 | |||
|
Healthcare-Services |
1.2 | |||
|
Pipelines |
1.2 | |||
|
Auto Manufacturers |
1.1 | |||
|
Consumer Loans |
1.0 | |||
|
Telecommunications |
1.0 | |||
|
Retail |
0.9 | |||
|
Chemicals |
0.8 | |||
|
Diversified Financial Services |
0.7 | |||
|
Commercial Services |
0.6 | |||
|
Foods |
0.6 | |||
|
Insurance |
0.6 | |||
|
Real Estate Investment Trusts (REITs) |
0.4 | |||
|
Aerospace & Defense |
0.4 | |||
|
Agriculture |
0.4 | |||
|
Airlines |
0.4 | |||
|
Auto Parts & Equipment |
0.4 | |||
|
Beverages |
0.3 | |||
|
Home Equity Loans |
0.3 | |||
|
Building Materials |
0.3 |
|
Healthcare-Products |
0.3 | % | ||
|
Other |
0.2 | |||
|
Mining |
0.2 | |||
|
Multi-National |
0.2 | |||
|
Electrical Components & Equipment |
0.2 | |||
|
Manufactured Housing |
0.2 | |||
|
Credit Cards |
0.2 | |||
|
Lodging |
0.2 | |||
|
Semiconductors |
0.2 | |||
|
Home Builders |
0.2 | |||
|
Equipment |
0.2 | |||
|
Engineering & Construction |
0.1 | |||
|
Entertainment |
0.1 | |||
|
Transportation |
0.1 | |||
|
Software |
0.1 | |||
|
Gas |
0.1 | |||
|
Oil & Gas Services |
0.1 | |||
|
Forest Products & Paper |
0.1 | |||
|
Savings & Loans |
0.1 | |||
|
Household Products/Wares |
0.1 | |||
|
Miscellaneous Manufacturing |
0.1 | |||
|
Machinery-Diversified |
0.0 | * | ||
|
Computers |
0.0 | * | ||
|
Packaging & Containers |
0.0 | * | ||
|
Textiles |
0.0 | * | ||
|
Options Purchased |
0.0 | * | ||
|
Oil, Gas & Consumable Fuels |
0.0 | * | ||
|
|
|
|||
| 103.1 | ||||
|
Liabilities in excess of other assets |
(3.1 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk, and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
SEE NOTES TO FINANCIAL STATEMENTS.
A190
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Asset Derivatives |
Liability Derivatives |
|||||||||||
|
Derivatives not accounted for as hedging
|
Statement of Assets and
|
Fair Value |
Statement of Assets and Liabilities Location |
Fair Value | ||||||||
|
Credit contracts |
Premiums paid for OTC swap agreements | $ | 2,126,442 | Premiums received for OTC swap agreements | $ | 5,234,624 | ||||||
|
Credit contracts |
Unrealized appreciation on OTC swap agreements | 12,818,485 | Unrealized depreciation on OTC swap agreements | 11,068,974 | ||||||||
|
Foreign exchange contracts |
Unrealized appreciation on OTC forward foreign currency exchange contracts | 384,804 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 3,018,053 | ||||||||
|
Interest rate contracts |
Due from/to broker — variation margin futures | 1,044,487 | * | Due from/to broker — variation margin futures | 13,175,905 | * | ||||||
|
Interest rate contracts |
Due from/to broker — variation margin swaps | 2,926,230 | * | Due from/to broker — variation margin swaps | 29,477,855 | * | ||||||
|
Interest rate contracts |
— | — | Premiums received for OTC swap agreements | 4,115 | ||||||||
|
Interest rate contracts |
Unaffiliated investments | 666,026 | — | — | ||||||||
|
Interest rate contracts |
— | — | Unrealized depreciation on OTC swap agreements | 1,504 | ||||||||
|
|
|
|
|
|||||||||
| $ | 19,966,474 | $ | 61,981,030 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
|
Amount of Realized Gain (Loss) on Derivatives Recognized in Income |
||||||||||||||||||||||||
|
Derivatives not accounted for as hedging
|
Options
Purchased(1) |
Options
Written |
Futures |
Forward
Currency Exchange Contracts |
Forward
Rate Agreements |
Swaps | ||||||||||||||||||
|
Credit contracts |
$ | (41,868 | ) | $ | 100,342 | $ | — | $ | — | $ | — | $ | (3,391,322 | ) | ||||||||||
|
Foreign exchange contracts |
— | — | — | 6,085,030 | — | — | ||||||||||||||||||
|
Interest rate contracts |
(481,062 | ) | 319,247 | 105,206,854 | — | (199,539 | ) | 5,088,927 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Total |
$ | (522,930 | ) | $ | 419,589 | $ | 105,206,854 | $ | 6,085,030 | $ | (199,539 | ) | $ | 1,697,605 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||||||||||||||||||
|
Derivatives not accounted for as hedging
|
Options
Purchased(2) |
Options
Written |
Futures |
Forward
Currency Exchange Contracts |
Forward
Rate Agreements |
Swaps | ||||||||||||||||||
|
Credit contracts. |
$ | 34,599 | $ | 31,299 | $ | — | $ | — | $ | — | $ | 127,174 | ||||||||||||
|
Foreign exchange contracts |
— | — | — | (2,360,820 | ) | — | — | |||||||||||||||||
|
Interest rate contracts |
(44,578 | ) | — | (42,611,119 | ) | — | 108,789 | (33,588,949 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Total |
$ | (9,979 | ) | $ | 31,299 | $ | (42,611,119 | ) | $ | (2,360,820 | ) | $ | 108,789 | $ | (33,461,775 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A191
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Options
Purchased(1) |
Options
Written(2) |
Futures
Contracts— Long Positions(2) |
Futures
Contracts— Short Positions(2) |
Forward
Foreign Currency Exchange Contracts— Purchased(3) |
||||||||
| $171,495 | $5,644,200 | $1,404,445,001 | $518,666,864 | $62,744,094 |
|
Forward Foreign
Currency Exchange Contracts—Sold(3) |
Cross
Currency Exchange Contracts(4) |
Forward Rate
Agreements(2) |
Interest Rate
Swap Agreements(2) |
Credit Default
Swap Agreements— Buy Protection(2) |
||||||||
| $202,495,798 | $279,621 | $87,242,400 | $1,294,058,309 | $246,777,400 |
|
Credit
Default
|
Total
Return
|
Inflation Swap
|
||||||
| $228,452,088 | $3,527,247 | $2,664,000 |
| (1) |
Cost. |
| (2) |
Notional Amount in USD. |
| (3) |
Value at Settlement Date. |
| (4) |
Value at Trade Date. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 91,114,548 | $ | (91,114,548 | ) | $ | — | |||||
|
|
|
|||||||||||
Offsetting of OTC derivative assets and liabilities:
|
Counterparty |
Gross Amounts of
Recognized Assets(1) |
Gross Amounts of
Recognized Liabilities(1) |
Net Amounts of
Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||||||||
|
Bank of America, N.A. |
$ | 792,215 | $ | (211,817 | ) | $ | 580,398 | $ | (580,398 | ) | $ | — | ||||||||
|
Barclays Bank PLC |
8,715,680 | (10,567,858 | ) | (1,852,178 | ) | 1,407,284 | (444,894 | ) | ||||||||||||
|
Citibank, N.A. |
1,318,735 | (3,470,455 | ) | (2,151,720 | ) | 2,086,517 | (65,203 | ) | ||||||||||||
|
Citigroup Global Markets, Inc. |
2,647 | — | 2,647 | — | 2,647 | |||||||||||||||
|
Credit Suisse International |
4,565 | (6,832 | ) | (2,267 | ) | — | (2,267 | ) | ||||||||||||
|
HSBC Bank USA, N.A. |
304,994 | — | 304,994 | (289,244 | ) | 15,750 | ||||||||||||||
|
JPMorgan Chase Bank, N.A. |
517,799 | (522,580 | ) | (4,781 | ) | 4,781 | — | |||||||||||||
|
Morgan Stanley & Co. International PLC |
4,339,122 | (4,547,728 | ) | (208,606 | ) | 208,606 | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 15,995,757 | $ | (19,327,270 | ) | $ | (3,331,513 | ) | $ | 2,837,546 | $ | (493,967 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A192
| AST PRUDENTIAL CORE BOND PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of |
$ | 91,114,548: | ||
|
Unaffiliated investments (cost $4,204,059,882) |
$ | 4,303,471,471 | ||
|
Affiliated investments (cost $127,947,814) |
127,960,094 | |||
|
Cash |
1,362,826 | |||
|
Cash segregated for counterparty - OTC |
720,000 | |||
|
Foreign currency, at value (cost $284,567) |
284,458 | |||
|
Receivable for investments sold |
137,318,124 | |||
|
Dividends and interest receivable |
30,315,343 | |||
|
Unrealized appreciation on OTC swap agreements |
12,818,485 | |||
|
Deposit with broker for centrally cleared/exchange-traded derivatives |
2,834,000 | |||
|
Premiums paid for OTC swap agreements |
2,126,442 | |||
|
Due from broker-variation margin swaps |
1,253,066 | |||
|
Unrealized appreciation on OTC forward foreign currency exchange contracts |
384,804 | |||
|
Receivable for Portfolio shares sold |
131,167 | |||
|
Tax reclaim receivable |
6,598 | |||
|
Prepaid expenses and other assets |
43,520 | |||
|
|
|
|||
|
Total Assets |
4,621,030,398 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable for investments purchased |
206,529,667 | |||
|
Payable to broker for collateral for securities on loan |
93,300,098 | |||
|
Unrealized depreciation on OTC swap agreements |
11,070,478 | |||
|
Premiums received for OTC swap agreements |
5,238,739 | |||
|
Unrealized depreciation on OTC forward foreign currency exchange contracts |
3,018,053 | |||
|
Due to broker-variation margin futures |
2,559,833 | |||
|
Management fee payable |
706,736 | |||
|
Accrued expenses and other liabilities |
274,770 | |||
|
Distribution fee payable |
175,902 | |||
|
Payable for Portfolio shares repurchased |
84,153 | |||
|
Payable to affiliate |
6,598 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
322,965,384 | |||
|
|
|
|||
| NET ASSETS | $ | 4,298,065,014 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 4,298,065,014 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $4,298,065,014 / 320,962,332 outstanding shares of beneficial interest |
$ | 13.39 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 99,167,662 | $ | 82,828,234 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
134,107,779 | (39,021,751 | ) | |||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
62,171,623 | (68,080,614 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
295,447,064 | (24,274,131 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [136,548,826 and 30,288,385 shares, respectively] |
1,785,134,024 | 365,524,933 | ||||||
|
Portfolio shares repurchased [42,329,591 and 48,200,710 shares, respectively] |
(549,784,708 | ) | (582,370,858 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
1,235,349,316 | (216,845,925 | ) | |||||
|
|
|
|
|
|||||
|
CAPITAL CONTRIBUTIONS |
155 | — | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 1,530,796,535 | (241,120,056 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
2,767,268,479 | 3,008,388,535 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 4,298,065,014 | $ | 2,767,268,479 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A193
| AST QMA US EQUITY ALPHA PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 128.2% | ||||||||
| COMMON STOCKS | Shares | Value | ||||||
|
Aerospace & Defense — 3.4% |
||||||||
|
AAR Corp. |
14,500 | $ | 653,950 | |||||
|
Arconic, Inc.(u) |
155,700 | 4,790,889 | ||||||
|
Ducommun, Inc.* |
7,700 | 389,081 | ||||||
|
General Dynamics Corp.(u) |
22,400 | 3,950,240 | ||||||
|
Huntington Ingalls Industries, Inc.(u) |
13,400 | 3,361,792 | ||||||
|
Lockheed Martin Corp. |
6,400 | 2,492,032 | ||||||
|
Moog, Inc. (Class A Stock) |
2,300 | 196,259 | ||||||
|
Spirit AeroSystems Holdings, Inc. (Class A Stock) |
16,300 | 1,187,944 | ||||||
|
United Technologies Corp.(u) |
25,600 | 3,833,856 | ||||||
|
|
|
|||||||
| 20,856,043 | ||||||||
|
|
|
|||||||
|
Airlines — 0.1% |
||||||||
|
Hawaiian Holdings, Inc. |
10,500 | 307,545 | ||||||
|
|
|
|||||||
|
Automobiles — 0.6% |
||||||||
|
Ford Motor Co.(u) |
414,200 | 3,852,060 | ||||||
|
|
|
|||||||
|
Banks — 5.4% |
||||||||
|
Bancorp, Inc. (The)* |
47,200 | 612,184 | ||||||
|
Bank of America Corp.(u) |
303,346 | 10,683,846 | ||||||
|
CIT Group, Inc. |
20,800 | 949,104 | ||||||
|
Citigroup, Inc.(u) |
105,340 | 8,415,613 | ||||||
|
Hilltop Holdings, Inc. |
40,600 | 1,012,158 | ||||||
|
JPMorgan Chase & Co.(u) |
23,976 | 3,342,254 | ||||||
|
Midland States Bancorp, Inc. |
6,500 | 188,240 | ||||||
|
OFG Bancorp (Puerto Rico) |
48,200 | 1,138,002 | ||||||
|
Popular, Inc. (Puerto Rico)(u) |
57,800 | 3,395,750 | ||||||
|
Prosperity Bancshares, Inc. |
6,200 | 445,718 | ||||||
|
Simmons First National Corp. (Class A Stock) |
63,500 | 1,701,165 | ||||||
|
Synovus Financial Corp. |
16,800 | 658,560 | ||||||
|
Western Alliance Bancorp |
13,800 | 786,600 | ||||||
|
|
|
|||||||
| 33,329,194 | ||||||||
|
|
|
|||||||
|
Beverages — 1.0% |
||||||||
|
Coca-Cola Co. (The) |
40,900 | 2,263,815 | ||||||
|
Keurig Dr. Pepper, Inc.(u) |
124,000 | 3,589,800 | ||||||
|
Monster Beverage Corp.* |
4,400 | 279,620 | ||||||
|
|
|
|||||||
| 6,133,235 | ||||||||
|
|
|
|||||||
|
Biotechnology — 6.8% |
||||||||
|
AbbVie, Inc.(u) |
58,400 | 5,170,736 | ||||||
|
Alexion Pharmaceuticals, Inc.*(u) |
32,900 | 3,558,135 | ||||||
|
Amgen, Inc.(u) |
28,800 | 6,942,816 | ||||||
|
Biogen, Inc.*(u) |
18,500 | 5,489,505 | ||||||
|
Gilead Sciences, Inc.(u) |
82,000 | 5,328,360 | ||||||
|
Incyte Corp.*(u) |
52,300 | 4,566,836 | ||||||
|
Regeneron Pharmaceuticals, Inc.*(u) |
11,500 | 4,318,020 | ||||||
|
Vanda Pharmaceuticals, Inc.* |
54,900 | 900,909 | ||||||
|
Vertex Pharmaceuticals, Inc.*(u) |
25,800 | 5,648,910 | ||||||
|
|
|
|||||||
| 41,924,227 | ||||||||
|
|
|
|||||||
|
Building Products — 1.2% |
||||||||
|
American Woodmark Corp.* |
26,900 | 2,811,319 | ||||||
|
Builders FirstSource, Inc.* |
20,500 | 520,905 | ||||||
|
Johnson Controls International PLC |
30,700 | 1,249,797 | ||||||
| COMMON STOCKS (continued) | Shares | Value | ||||||
|
Building Products (continued) |
||||||||
|
Universal Forest Products, Inc.(u) |
63,200 | $ | 3,014,640 | |||||
|
|
|
|||||||
| 7,596,661 | ||||||||
|
|
|
|||||||
|
Capital Markets — 3.0% |
||||||||
|
Affiliated Managers Group, Inc. |
30,500 | 2,584,570 | ||||||
|
Ameriprise Financial, Inc. |
3,800 | 633,004 | ||||||
|
Brightsphere Investment Group, Inc. |
39,300 | 401,646 | ||||||
|
Donnelley Financial Solutions, Inc.* |
40,712 | 426,255 | ||||||
|
Goldman Sachs Group, Inc. (The)(u) |
23,300 | 5,357,369 | ||||||
|
LPL Financial Holdings, Inc.(u) |
39,800 | 3,671,550 | ||||||
|
Morgan Stanley(u) |
107,300 | 5,485,176 | ||||||
|
|
|
|||||||
| 18,559,570 | ||||||||
|
|
|
|||||||
|
Chemicals — 3.0% |
||||||||
|
CF Industries Holdings, Inc.(u) |
61,300 | 2,926,462 | ||||||
|
Corteva, Inc. |
31,400 | 928,184 | ||||||
|
DuPont de Nemours, Inc.(u) |
63,700 | 4,089,540 | ||||||
|
Element Solutions, Inc.* |
49,700 | 580,496 | ||||||
|
Huntsman Corp.(u) |
140,200 | 3,387,232 | ||||||
|
Koppers Holdings, Inc.* |
34,400 | 1,314,768 | ||||||
|
PolyOne Corp. |
46,300 | 1,703,377 | ||||||
|
Sherwin-Williams Co. (The) |
2,900 | 1,692,266 | ||||||
|
Trinseo SA |
5,100 | 189,771 | ||||||
|
Westlake Chemical Corp |
21,700 | 1,522,255 | ||||||
|
|
|
|||||||
| 18,334,351 | ||||||||
|
|
|
|||||||
|
Commercial Services & Supplies — 1.0% |
||||||||
|
ACCO Brands Corp. |
45,200 | 423,072 | ||||||
|
Deluxe Corp. |
5,400 | 269,568 | ||||||
|
Knoll, Inc. |
48,100 | 1,215,006 | ||||||
|
SP Plus Corp.* |
16,900 | 717,067 | ||||||
|
Steelcase, Inc. (Class A Stock) |
120,300 | 2,461,338 | ||||||
|
UniFirst Corp. |
5,700 | 1,151,286 | ||||||
|
|
|
|||||||
| 6,237,337 | ||||||||
|
|
|
|||||||
|
Communications Equipment — 1.2% |
||||||||
|
Cisco Systems, Inc.(u) |
141,900 | 6,805,524 | ||||||
|
Extreme Networks, Inc.* |
118,100 | 870,397 | ||||||
|
|
|
|||||||
| 7,675,921 | ||||||||
|
|
|
|||||||
|
Construction & Engineering — 0.4% |
||||||||
|
EMCOR Group, Inc. |
28,300 | 2,442,290 | ||||||
|
Tutor Perini Corp.* |
12,700 | 163,322 | ||||||
|
|
|
|||||||
| 2,605,612 | ||||||||
|
|
|
|||||||
|
Construction Materials — 0.9% |
||||||||
|
Martin Marietta Materials, Inc. |
7,800 | 2,181,192 | ||||||
|
Vulcan Materials Co.(u) |
21,700 | 3,124,583 | ||||||
|
|
|
|||||||
| 5,305,775 | ||||||||
|
|
|
|||||||
|
Consumer Finance — 0.7% |
||||||||
|
Capital One Financial Corp. |
22,600 | 2,325,766 | ||||||
|
Navient Corp. |
149,200 | 2,041,056 | ||||||
|
|
|
|||||||
| 4,366,822 | ||||||||
|
|
|
|||||||
|
Containers & Packaging — 0.3% |
||||||||
|
Berry Global Group, Inc.* |
9,200 | 436,908 | ||||||
|
Greif, Inc. (Class A Stock) |
15,600 | 689,520 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A194
| AST QMA US EQUITY ALPHA PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| COMMON STOCKS (continued) | Shares | Value | ||||||
|
Containers & Packaging (continued) |
||||||||
|
Sealed Air Corp. |
12,600 | $ | 501,858 | |||||
|
|
|
|||||||
| 1,628,286 | ||||||||
|
|
|
|||||||
|
Distributors — 0.5% |
||||||||
|
LKQ Corp.*(u) |
92,100 | 3,287,970 | ||||||
|
|
|
|||||||
|
Diversified Consumer Services — 0.3% |
|
|||||||
|
Carriage Services, Inc.(u) |
22,200 | 568,320 | ||||||
|
frontdoor, Inc.* |
22,100 | 1,047,982 | ||||||
|
|
|
|||||||
| 1,616,302 | ||||||||
|
|
|
|||||||
|
Diversified Financial Services — 1.5% |
|
|||||||
|
Berkshire Hathaway, Inc. (Class B Stock)*(u) |
17,500 | 3,963,750 | ||||||
|
Cannae Holdings, Inc.* |
32,700 | 1,216,113 | ||||||
|
FGL Holdings. |
60,100 | 640,065 | ||||||
|
Jefferies Financial Group, Inc.(u) |
172,100 | 3,677,777 | ||||||
|
|
|
|||||||
| 9,497,705 | ||||||||
|
|
|
|||||||
|
Diversified Telecommunication Services — 2.6% |
|
|||||||
|
AT&T, Inc.(u) |
228,800 | 8,941,504 | ||||||
|
Verizon Communications, Inc.(u) |
119,900 | 7,361,860 | ||||||
|
|
|
|||||||
| 16,303,364 | ||||||||
|
|
|
|||||||
|
Electric Utilities — 1.1% |
||||||||
|
Exelon Corp.(u) |
102,900 | 4,691,211 | ||||||
|
FirstEnergy Corp. |
35,900 | 1,744,740 | ||||||
|
Southern Co. (The) |
9,300 | 592,410 | ||||||
|
|
|
|||||||
| 7,028,361 | ||||||||
|
|
|
|||||||
|
Electrical Equipment — 0.6% |
||||||||
|
Acuity Brands, Inc. |
2,500 | 345,000 | ||||||
|
Atkore International Group, Inc.*(u) |
75,600 | 3,058,776 | ||||||
|
Hubbell, Inc. |
1,600 | 236,512 | ||||||
|
|
|
|||||||
| 3,640,288 | ||||||||
|
|
|
|||||||
|
Electronic Equipment, Instruments & Components — 2.1% |
|
|||||||
|
Benchmark Electronics, Inc. |
15,400 | 529,144 | ||||||
|
CDW Corp.(u) |
35,700 | 5,099,388 | ||||||
|
Itron, Inc.*(u) |
43,200 | 3,626,640 | ||||||
|
Jabil, Inc. |
34,900 | 1,442,417 | ||||||
|
PC Connection, Inc. |
7,500 | 372,450 | ||||||
|
ScanSource, Inc.* |
12,200 | 450,790 | ||||||
|
SYNNEX Corp. |
13,500 | 1,738,800 | ||||||
|
|
|
|||||||
| 13,259,629 | ||||||||
|
|
|
|||||||
|
Energy Equipment & Services — 0.4% |
|
|||||||
|
Matrix Service Co.* |
27,500 | 629,200 | ||||||
|
National Oilwell Varco, Inc. |
69,500 | 1,740,975 | ||||||
|
|
|
|||||||
| 2,370,175 | ||||||||
|
|
|
|||||||
|
Entertainment — 2.1% |
||||||||
|
Electronic Arts, Inc.*(u) |
31,200 | 3,354,312 | ||||||
|
IMAX Corp.* |
21,200 | 433,116 | ||||||
|
Lions Gate Entertainment Corp. (Class B Stock)* |
148,000 | 1,469,640 | ||||||
|
Marcus Corp. (The) |
30,000 | 953,100 | ||||||
|
Spotify Technology SA*(u) |
24,300 | 3,634,065 | ||||||
| COMMON STOCKS (continued) | Shares | Value | ||||||
|
Entertainment (continued) |
||||||||
|
Take-Two Interactive Software, Inc.*(u) |
27,600 | $ | 3,379,068 | |||||
|
|
|
|||||||
| 13,223,301 | ||||||||
|
|
|
|||||||
|
Equity Real Estate Investment Trusts (REITs) — 3.5% |
|
|||||||
|
American Tower Corp. |
12,000 | 2,757,840 | ||||||
|
Apple Hospitality REIT, Inc. |
87,300 | 1,418,625 | ||||||
|
Brixmor Property Group, Inc. |
54,200 | 1,171,262 | ||||||
|
Columbia Property Trust, Inc. |
104,500 | 2,185,095 | ||||||
|
CoreCivic, Inc. |
124,500 | 2,163,810 | ||||||
|
DiamondRock Hospitality Co. |
112,300 | 1,244,284 | ||||||
|
EPR Properties(u) |
46,000 | 3,249,440 | ||||||
|
Franklin Street Properties Corp. |
47,400 | 405,744 | ||||||
|
Gaming & Leisure Properties, Inc. |
13,700 | 589,785 | ||||||
|
GEO Group, Inc. (The) |
103,350 | 1,716,643 | ||||||
|
Paramount Group, Inc. |
152,400 | 2,121,408 | ||||||
|
Retail Properties of America, Inc. (Class A Stock) |
30,900 | 414,060 | ||||||
|
Ryman Hospitality Properties, Inc. |
28,000 | 2,426,480 | ||||||
|
|
|
|||||||
| 21,864,476 | ||||||||
|
|
|
|||||||
|
Food & Staples Retailing — 0.7% |
||||||||
|
Kroger Co. (The) |
34,500 | 1,000,155 | ||||||
|
Walgreens Boots Alliance, Inc.(u) |
54,200 | 3,195,632 | ||||||
|
|
|
|||||||
| 4,195,787 | ||||||||
|
|
|
|||||||
|
Food Products — 2.1% |
||||||||
|
Archer-Daniels-Midland Co. |
19,400 | 899,190 | ||||||
|
Bunge Ltd.(u) |
58,800 | 3,383,940 | ||||||
|
Kraft Heinz Co. (The) |
13,000 | 417,690 | ||||||
|
Pilgrim’s Pride Corp.*(u) |
115,000 | 3,762,225 | ||||||
|
Tyson Foods, Inc. (Class A Stock)(u) |
53,200 | 4,843,328 | ||||||
|
|
|
|||||||
| 13,306,373 | ||||||||
|
|
|
|||||||
|
Gas Utilities — 0.6% |
||||||||
|
UGI Corp.(u) |
79,600 | 3,594,736 | ||||||
|
|
|
|||||||
|
Health Care Equipment & Supplies — 5.6% |
|
|||||||
|
AngioDynamics, Inc.* |
46,900 | 750,869 | ||||||
|
Baxter International, Inc. |
29,500 | 2,466,790 | ||||||
|
Becton, Dickinson & Co.(u) |
10,900 | 2,964,473 | ||||||
|
DENTSPLY SIRONA, Inc.(u) |
59,600 | 3,372,764 | ||||||
|
Edwards Lifesciences Corp.*(u) |
17,900 | 4,175,891 | ||||||
|
Hologic, Inc.* |
33,100 | 1,728,151 | ||||||
|
IDEXX Laboratories, Inc.* |
9,700 | 2,532,961 | ||||||
|
Integer Holdings Corp.* |
10,300 | 828,429 | ||||||
|
Intuitive Surgical, Inc.* |
500 | 295,575 | ||||||
|
Masimo Corp.*(u) |
18,700 | 2,955,722 | ||||||
|
Medtronic PLC(u) |
53,200 | 6,035,540 | ||||||
|
Natus Medical, Inc.* |
30,900 | 1,019,391 | ||||||
|
STERIS PLC(u) |
19,900 | 3,033,158 | ||||||
|
West Pharmaceutical Services, Inc. |
5,700 | 856,881 | ||||||
|
Zimmer Biomet Holdings, Inc. |
12,700 | 1,900,936 | ||||||
|
|
|
|||||||
| 34,917,531 | ||||||||
|
|
|
|||||||
|
Health Care Providers & Services — 4.6% |
|
|||||||
|
AmerisourceBergen Corp. |
9,300 | 790,686 | ||||||
|
Anthem, Inc.(u) |
16,900 | 5,104,307 | ||||||
|
Cigna Corp.(u) |
24,500 | 5,010,005 | ||||||
|
CVS Health Corp.(u) |
73,400 | 5,452,886 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A195
| AST QMA US EQUITY ALPHA PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| COMMON STOCKS (continued) | Shares | Value | ||||||
|
Health Care Providers & Services (continued) |
|
|||||||
|
DaVita, Inc.*(u) |
44,500 | $ | 3,338,835 | |||||
|
HCA Healthcare, Inc.(u) |
19,800 | 2,926,638 | ||||||
|
Humana, Inc. |
5,900 | 2,162,468 | ||||||
|
UnitedHealth Group, Inc. |
5,400 | 1,587,492 | ||||||
|
Universal Health Services, Inc. (Class B Stock) |
13,600 | 1,951,056 | ||||||
|
|
|
|||||||
| 28,324,373 | ||||||||
|
|
|
|||||||
|
Health Care Technology — 0.3% |
|
|||||||
|
Cerner Corp. |
17,200 | 1,262,308 | ||||||
|
NextGen Healthcare, Inc.* |
21,500 | 345,505 | ||||||
|
Simulations Plus, Inc. |
7,100 | 206,397 | ||||||
|
|
|
|||||||
| 1,814,210 | ||||||||
|
|
|
|||||||
|
Hotels, Restaurants & Leisure — 1.5% |
|
|||||||
|
Brinker International, Inc. |
56,300 | 2,364,600 | ||||||
|
Everi Holdings, Inc.* |
17,200 | 230,996 | ||||||
|
Extended Stay America, Inc., UTS |
73,500 | 1,092,210 | ||||||
|
Starbucks Corp.(u) |
67,200 | 5,908,224 | ||||||
|
|
|
|||||||
| 9,596,030 | ||||||||
|
|
|
|||||||
|
Household Durables — 1.2% |
|
|||||||
|
Cavco Industries, Inc.* |
6,000 | 1,172,280 | ||||||
|
Lennar Corp. (Class A Stock) |
5,800 | 323,582 | ||||||
|
Lennar Corp. (Class B Stock) |
7,200 | 321,840 | ||||||
|
M/I Homes, Inc.* |
52,400 | 2,061,940 | ||||||
|
Meritage Homes Corp.* |
30,000 | 1,833,300 | ||||||
|
TopBuild Corp.* |
6,600 | 680,328 | ||||||
|
Whirlpool Corp. |
8,400 | 1,239,252 | ||||||
|
|
|
|||||||
| 7,632,522 | ||||||||
|
|
|
|||||||
|
Household Products — 1.1% |
|
|||||||
|
Procter & Gamble Co. (The)(u) |
52,400 | 6,544,760 | ||||||
|
|
|
|||||||
|
Independent Power & Renewable Electricity Producers — 1.2% |
|
|||||||
|
NRG Energy, Inc.(u) |
105,800 | 4,205,550 | ||||||
|
Vistra Energy Corp.(u) |
136,100 | 3,128,939 | ||||||
|
|
|
|||||||
| 7,334,489 | ||||||||
|
|
|
|||||||
|
Industrial Conglomerates — 1.2% |
|
|||||||
|
General Electric Co.(u) |
576,200 | 6,430,392 | ||||||
|
Honeywell International, Inc. |
6,600 | 1,168,200 | ||||||
|
|
|
|||||||
| 7,598,592 | ||||||||
|
|
|
|||||||
|
Insurance — 2.7% |
||||||||
|
Allstate Corp. (The)(u) |
31,900 | 3,587,155 | ||||||
|
American Equity Investment Life Holding Co.(u) |
97,700 | 2,924,161 | ||||||
|
American Financial Group, Inc. |
4,700 | 515,355 | ||||||
|
American International Group, Inc.(u) |
81,300 | 4,173,129 | ||||||
|
Genworth Financial, Inc. (Class A Stock)* |
70,300 | 309,320 | ||||||
|
MetLife, Inc.(u) |
98,500 | 5,020,545 | ||||||
|
|
|
|||||||
| 16,529,665 | ||||||||
|
|
|
|||||||
|
Interactive Media & Services — 5.3% |
|
|||||||
|
Alphabet, Inc. (Class A Stock)*(u) |
6,300 | 8,438,157 | ||||||
|
Alphabet, Inc. (Class C Stock)*(u) |
5,737 | 7,670,484 | ||||||
|
Cars.com, Inc.* |
71,200 | 870,064 | ||||||
| COMMON STOCKS (continued) | Shares | Value | ||||||
|
Interactive Media & Services (continued) |
|
|||||||
|
Facebook, Inc. (Class A Stock)*(u) |
71,600 | $ | 14,695,900 | |||||
|
Liberty TripAdvisor Holdings, Inc. (Class A Stock)* |
91,100 | 669,585 | ||||||
|
TripAdvisor, Inc. |
16,300 | 495,194 | ||||||
|
|
|
|||||||
| 32,839,384 | ||||||||
|
|
|
|||||||
|
Internet & Direct Marketing Retail — 3.4% |
|
|||||||
|
1-800-Flowers.com, Inc. (Class A Stock)* |
59,300 | 859,850 | ||||||
|
Amazon.com, Inc.*(u) |
5,100 | 9,423,984 | ||||||
|
Booking Holdings, Inc.*(u) |
2,500 | 5,134,325 | ||||||
|
eBay, Inc.(u) |
109,100 | 3,939,601 | ||||||
|
Groupon, Inc.* |
85,600 | 204,584 | ||||||
|
Qurate Retail, Inc., Series A* |
168,300 | 1,418,769 | ||||||
|
Stamps.com, Inc.* |
3,300 | 275,616 | ||||||
|
|
|
|||||||
| 21,256,729 | ||||||||
|
|
|
|||||||
|
IT Services — 6.7% |
|
|||||||
|
Accenture PLC (Class A Stock)(u) |
25,300 | 5,327,421 | ||||||
|
Booz Allen Hamilton Holding Corp |
22,800 | 1,621,764 | ||||||
|
CACI International, Inc. (Class A Stock)*(u) |
15,300 | 3,824,847 | ||||||
|
Cognizant Technology Solutions Corp. (Class A Stock)(u) |
59,500 | 3,690,190 | ||||||
|
CoreLogic, Inc.* |
27,300 | 1,193,283 | ||||||
|
EPAM Systems, Inc.* |
6,100 | 1,294,176 | ||||||
|
FleetCor Technologies, Inc.*(u) |
15,300 | 4,402,116 | ||||||
|
Leidos Holdings, Inc.(u) |
34,600 | 3,386,994 | ||||||
|
Mastercard, Inc. (Class A Stock)(u) |
12,800 | 3,821,952 | ||||||
|
Perspecta, Inc.(u) |
112,800 | 2,982,432 | ||||||
|
TTEC Holdings, Inc. |
19,200 | 760,704 | ||||||
|
Virtusa Corp.* |
36,800 | 1,668,144 | ||||||
|
Visa, Inc. (Class A Stock)(u) |
41,200 | 7,741,480 | ||||||
|
|
|
|||||||
| 41,715,503 | ||||||||
|
|
|
|||||||
|
Life Sciences Tools & Services — 0.9% |
|
|||||||
|
Charles River Laboratories International, Inc.* |
7,800 | 1,191,528 | ||||||
|
IQVIA Holdings, Inc.*(u) |
27,100 | 4,187,221 | ||||||
|
Thermo Fisher Scientific, Inc. |
800 | 259,896 | ||||||
|
|
|
|||||||
| 5,638,645 | ||||||||
|
|
|
|||||||
|
Machinery — 1.6% |
||||||||
|
Allison Transmission Holdings, Inc. |
29,100 | 1,406,112 | ||||||
|
Gates Industrial Corp. PLC* |
138,700 | 1,908,512 | ||||||
|
Mueller Industries, Inc. |
21,100 | 669,925 | ||||||
|
Oshkosh Corp.(u) |
43,800 | 4,145,670 | ||||||
|
SPX Corp.* |
4,400 | 223,872 | ||||||
|
Timken Co. (The) |
200 | 11,262 | ||||||
|
Wabash National Corp |
84,700 | 1,244,243 | ||||||
|
|
|
|||||||
| 9,609,596 | ||||||||
|
|
|
|||||||
|
Media — 2.2% |
||||||||
|
Charter Communications, Inc. (Class A Stock)*(u) |
9,800 | 4,753,784 | ||||||
|
Comcast Corp. (Class A Stock) |
43,100 | 1,938,207 | ||||||
|
Discovery, Inc. (Class C Stock)*(u) |
125,200 | 3,817,348 | ||||||
|
DISH Network Corp. (Class A Stock)* |
13,600 | 482,392 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A196
| AST QMA US EQUITY ALPHA PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| COMMON STOCKS (continued) | Shares | Value | ||||||
|
Media (continued) |
||||||||
|
ViacomCBS, Inc. (Class B Stock) |
59,072 | $ | 2,479,252 | |||||
|
|
|
|||||||
| 13,470,983 | ||||||||
|
|
|
|||||||
|
Metals & Mining — 0.5% |
|
|||||||
|
Steel Dynamics, Inc.(u) |
83,000 | 2,825,320 | ||||||
|
|
|
|||||||
|
Mortgage Real Estate Investment Trusts (REITs) — 0.4% |
|
|||||||
|
Colony Credit Real Estate, Inc. |
57,000 | 750,120 | ||||||
|
Ladder Capital Corp. |
52,559 | 948,164 | ||||||
|
Two Harbors Investment Corp. |
500 | 7,310 | ||||||
|
Western Asset Mortgage Capital Corp. |
58,800 | 607,404 | ||||||
|
|
|
|||||||
| 2,312,998 | ||||||||
|
|
|
|||||||
|
Multiline Retail — 1.0% |
||||||||
|
Big Lots, Inc. |
66,100 | 1,898,392 | ||||||
|
Macy’s, Inc. |
900 | 15,300 | ||||||
|
Target Corp.(u) |
34,100 | 4,371,961 | ||||||
|
|
|
|||||||
| 6,285,653 | ||||||||
|
|
|
|||||||
|
Multi-Utilities — 0.5% |
||||||||
|
MDU Resources Group, Inc. |
90,600 | 2,691,726 | ||||||
|
Sempra Energy |
1,700 | 257,516 | ||||||
|
|
|
|||||||
| 2,949,242 | ||||||||
|
|
|
|||||||
|
Oil, Gas & Consumable Fuels — 3.0% |
|
|||||||
|
Dorian LPG Ltd.* |
43,200 | 668,736 | ||||||
|
International Seaways, Inc.* |
7,400 | 220,224 | ||||||
|
Kinder Morgan, Inc |
21,400 | 453,038 | ||||||
|
Nordic American Tankers Ltd. |
455,700 | 2,242,044 | ||||||
|
ONEOK, Inc. |
8,800 | 665,896 | ||||||
|
Phillips 66(u) |
36,400 | 4,055,324 | ||||||
|
Scorpio Tankers, Inc. (Monaco) |
400 | 15,736 | ||||||
|
SM Energy Co.(u) |
338,300 | 3,802,492 | ||||||
|
Valero Energy Corp.(u) |
41,200 | 3,858,380 | ||||||
|
World Fuel Services Corp. |
55,200 | 2,396,784 | ||||||
|
|
|
|||||||
| 18,378,654 | ||||||||
|
|
|
|||||||
|
Personal Products — 0.8% |
|
|||||||
|
Coty, Inc. (Class A Stock)(u) |
277,800 | 3,125,250 | ||||||
|
Edgewell Personal Care Co.* |
24,100 | 746,136 | ||||||
|
Nu Skin Enterprises, Inc. (Class A Stock) |
28,800 | 1,180,224 | ||||||
|
|
|
|||||||
| 5,051,610 | ||||||||
|
|
|
|||||||
|
Pharmaceuticals — 4.4% |
||||||||
|
Amneal Pharmaceuticals, Inc.* |
140,200 | 675,764 | ||||||
|
Bristol-Myers Squibb Co.(u) |
98,900 | 6,348,391 | ||||||
|
Horizon Therapeutics PLC*(u) |
124,200 | 4,496,040 | ||||||
|
Jazz Pharmaceuticals PLC* |
3,500 | 522,480 | ||||||
|
Johnson & Johnson(u) |
42,500 | 6,199,475 | ||||||
|
Merck & Co., Inc.(u) |
56,800 | 5,165,960 | ||||||
|
Mylan NV* |
10,700 | 215,070 | ||||||
|
Zoetis, Inc.(u) |
29,700 | 3,930,795 | ||||||
|
|
|
|||||||
| 27,553,975 | ||||||||
|
|
|
|||||||
|
Professional Services — 0.3% |
|
|||||||
|
Barrett Business Services, Inc. |
8,300 | 750,818 | ||||||
| COMMON STOCKS (continued) | Shares | Value | ||||||
|
Professional Services (continued) |
||||||||
|
Kforce, Inc. |
27,400 | $ | 1,087,780 | |||||
|
|
|
|||||||
| 1,838,598 | ||||||||
|
|
|
|||||||
|
Real Estate Management & Development — 0.9% |
|
|||||||
|
CBRE Group, Inc. (Class A Stock)* |
19,700 | 1,207,413 | ||||||
|
Jones Lang LaSalle, Inc. |
12,700 | 2,210,943 | ||||||
|
Newmark Group, Inc. (Class A Stock) |
168,192 | 2,263,023 | ||||||
|
|
|
|||||||
| 5,681,379 | ||||||||
|
|
|
|||||||
|
Road & Rail — 0.4% |
||||||||
|
Kansas City Southern |
14,400 | 2,205,504 | ||||||
|
|
|
|||||||
|
Semiconductors & Semiconductor Equipment — 5.5% |
|
|||||||
|
Amkor Technology, Inc.* |
80,800 | 1,050,400 | ||||||
|
Applied Materials, Inc.(u) |
73,000 | 4,455,920 | ||||||
|
Broadcom, Inc.(u) |
18,700 | 5,909,574 | ||||||
|
Intel Corp.(u) |
168,980 | 10,113,453 | ||||||
|
Lam Research Corp. |
8,300 | 2,426,920 | ||||||
|
Micron Technology, Inc.* |
30,900 | 1,661,802 | ||||||
|
NeoPhotonics Corp.* |
130,500 | 1,151,010 | ||||||
|
QUALCOMM, Inc.(u) |
42,000 | 3,705,660 | ||||||
|
Rambus, Inc.* |
19,000 | 261,725 | ||||||
|
Ultra Clean Holdings, Inc.* |
14,500 | 340,315 | ||||||
|
Universal Display Corp. |
13,600 | 2,802,552 | ||||||
|
|
|
|||||||
| 33,879,331 | ||||||||
|
|
|
|||||||
|
Software — 12.5% |
||||||||
|
Adobe, Inc.*(u) |
24,100 | 7,948,421 | ||||||
|
CDK Global, Inc. |
6,500 | 355,420 | ||||||
|
Cerence, Inc.* |
25,312 | 572,811 | ||||||
|
CommVault Systems, Inc.* |
31,300 | 1,397,232 | ||||||
|
Fortinet, Inc.*(u) |
45,400 | 4,846,904 | ||||||
|
Intuit, Inc.(u) |
20,200 | 5,290,986 | ||||||
|
LogMeIn, Inc.(u) |
44,200 | 3,789,708 | ||||||
|
Manhattan Associates, Inc.* |
21,100 | 1,682,725 | ||||||
|
Microsoft Corp.(u) |
184,900 | 29,158,730 | ||||||
|
NortonLifeLock, Inc. |
300 | 7,656 | ||||||
|
Nuance Communications, Inc.* |
149,100 | 2,658,453 | ||||||
|
Oracle Corp.(u) |
103,300 | 5,472,834 | ||||||
|
Paycom Software, Inc.*(u) |
12,700 | 3,362,452 | ||||||
|
Progress Software Corp. |
49,100 | 2,040,105 | ||||||
|
SPS Commerce, Inc.* |
14,000 | 775,880 | ||||||
|
SS&C Technologies Holdings, Inc.(u) |
55,800 | 3,426,120 | ||||||
|
Synopsys, Inc.*(u) |
26,200 | 3,647,040 | ||||||
|
TiVo Corp. |
143,500 | 1,216,880 | ||||||
|
|
|
|||||||
| 77,650,357 | ||||||||
|
|
|
|||||||
|
Specialty Retail — 2.6% |
||||||||
|
Asbury Automotive Group, Inc.* |
18,900 | 2,112,831 | ||||||
|
AutoNation, Inc.* |
16,200 | 787,806 | ||||||
|
Best Buy Co., Inc. |
14,400 | 1,264,320 | ||||||
|
Conn’s, Inc.* |
26,100 | 323,379 | ||||||
|
Genesco, Inc.* |
6,200 | 297,104 | ||||||
|
Group 1 Automotive, Inc. |
7,900 | 790,000 | ||||||
|
Lowe’s Cos., Inc.(u) |
42,700 | 5,113,752 | ||||||
|
Michaels Cos., Inc. (The)* |
700 | 5,663 | ||||||
|
O’Reilly Automotive, Inc.* |
4,100 | 1,796,866 | ||||||
|
Sonic Automotive, Inc. (Class A Stock) |
60,000 | 1,860,000 | ||||||
|
Tilly’s, Inc. (Class A Stock) |
31,300 | 383,425 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A197
| AST QMA US EQUITY ALPHA PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| SECURITIES SOLD SHORT — (29.9)% | ||||||||
| COMMON STOCKS | Shares | Value | ||||||
|
Aerospace & Defense — (0.7)% |
||||||||
|
AeroVironment, Inc.* |
19,900 | $ | (1,228,626 | ) | ||||
|
Axon Enterprise, Inc.* |
24,200 | (1,773,376 | ) | |||||
|
Kratos Defense & Security Solutions, Inc.* |
89,000 | (1,602,890 | ) | |||||
|
|
|
|||||||
| (4,604,892 | ) | |||||||
|
|
|
|||||||
|
Auto Components — (0.2)% |
||||||||
|
Dorman Products, Inc.* |
15,100 | (1,143,372 | ) | |||||
|
|
|
|||||||
|
Banks — (0.6)% |
||||||||
|
Bank of Hawaii Corp. |
7,800 | (742,248 | ) | |||||
|
Cullen/Frost Bankers, Inc. |
31,500 | (3,080,070 | ) | |||||
|
|
|
|||||||
| (3,822,318 | ) | |||||||
|
|
|
|||||||
|
Biotechnology — (4.1)% |
||||||||
|
Acceleron Pharma, Inc.* |
27,000 | (1,431,540 | ) | |||||
|
Agios Pharmaceuticals, Inc.* |
36,300 | (1,733,325 | ) | |||||
|
Alector, Inc.* |
30,600 | (527,238 | ) | |||||
|
Atara Biotherapeutics, Inc.* |
48,400 | (797,148 | ) | |||||
|
BioCryst Pharmaceuticals, Inc.* |
136,500 | (470,925 | ) | |||||
|
Blueprint Medicines Corp.* |
9,900 | (793,089 | ) | |||||
|
Constellation Pharmaceuticals, Inc.* |
27,100 | (1,276,681 | ) | |||||
|
Epizyme, Inc.* |
71,900 | (1,768,740 | ) | |||||
|
Fate Therapeutics, Inc.* |
66,300 | (1,297,491 | ) | |||||
|
Flexion Therapeutics, Inc.* |
32,400 | (670,680 | ) | |||||
|
Heron Therapeutics, Inc.* |
28,600 | (672,100 | ) | |||||
|
Insmed, Inc.* |
77,000 | (1,838,760 | ) | |||||
|
Momenta Pharmaceuticals, Inc.* |
82,300 | (1,623,779 | ) | |||||
|
Myriad Genetics, Inc.* |
64,900 | (1,767,227 | ) | |||||
|
Portola Pharmaceuticals, Inc.* |
11,200 | (267,456 | ) | |||||
|
Sarepta Therapeutics, Inc.* |
54,200 | (6,993,968 | ) | |||||
|
Stemline Therapeutics, Inc.* |
41,700 | (443,271 | ) | |||||
|
TG Therapeutics, Inc.* |
42,600 | (472,860 | ) | |||||
|
Y-mAbs Therapeutics, Inc.* |
8,000 | (250,000 | ) | |||||
|
|
|
|||||||
| (25,096,278 | ) | |||||||
|
|
|
|||||||
|
Building Products — (0.2)% |
||||||||
|
Lennox International, Inc. |
5,800 | (1,415,026 | ) | |||||
|
|
|
|||||||
|
Capital Markets — (0.2)% |
||||||||
|
Hamilton Lane, Inc. (Class A Stock) |
26,100 | (1,555,560 | ) | |||||
|
|
|
|||||||
|
Chemicals — (1.7)% |
||||||||
|
Albemarle Corp. |
5,100 | (372,504 | ) | |||||
|
International Flavors & Fragrances, Inc. |
48,800 | (6,296,176 | ) | |||||
|
Quaker Chemical Corp. |
15,300 | (2,517,156 | ) | |||||
|
Sensient Technologies Corp. |
20,200 | (1,335,018 | ) | |||||
|
|
|
|||||||
| (10,520,854 | ) | |||||||
|
|
|
|||||||
|
Commercial Services & Supplies — (0.9)% |
|
|||||||
|
Rollins, Inc. |
45,800 | (1,518,728 | ) | |||||
|
Stericycle, Inc.* |
61,000 | (3,892,410 | ) | |||||
|
|
|
|||||||
| (5,411,138 | ) | |||||||
|
|
|
|||||||
|
Communications Equipment — (0.3)% |
|
|||||||
|
Lumentum Holdings, Inc.* |
19,300 | (1,530,490 | ) | |||||
|
Plantronics, Inc. |
14,900 | (407,366 | ) | |||||
|
|
|
|||||||
| (1,937,856 | ) | |||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A198
| AST QMA US EQUITY ALPHA PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| COMMON STOCKS (continued) | Shares | Value | ||||||
|
Diversified Consumer Services — (0.1)% |
|
|||||||
|
OneSpaWorld Holdings Ltd. (Bahamas) |
35,100 | $ | (591,084 | ) | ||||
|
|
|
|||||||
|
Electronic Equipment, Instruments & Components — (1.8)% |
|
|||||||
|
Cognex Corp. |
30,900 | (1,731,636 | ) | |||||
|
FARO Technologies, Inc.* |
17,000 | (855,950 | ) | |||||
|
FLIR Systems, Inc. |
70,400 | (3,665,728 | ) | |||||
|
II-VI, Inc.* |
76,700 | (2,582,489 | ) | |||||
|
Napco Security Technologies, Inc.* |
16,200 | (476,118 | ) | |||||
|
nLight, Inc.* |
37,400 | (758,472 | ) | |||||
|
Novanta, Inc.* |
9,100 | (804,804 | ) | |||||
|
|
|
|||||||
| (10,875,197 | ) | |||||||
|
|
|
|||||||
|
Entertainment — (1.0)% |
||||||||
|
Roku, Inc.* |
47,500 | (6,360,250 | ) | |||||
|
|
|
|||||||
|
Equity Real Estate Investment Trusts (REITs) — (0.8)% |
|
|||||||
|
Americold Realty Trust |
144,900 | (5,080,194 | ) | |||||
|
|
|
|||||||
|
Food Products — (0.6)% |
||||||||
|
Cal-Maine Foods, Inc. |
39,300 | (1,680,075 | ) | |||||
|
Freshpet, Inc.* |
32,200 | (1,902,698 | ) | |||||
|
|
|
|||||||
| (3,582,773 | ) | |||||||
|
|
|
|||||||
|
Health Care Equipment & Supplies — (2.1)% |
|
|||||||
|
Axonics Modulation Technologies, Inc.* |
10,900 | (302,039 | ) | |||||
|
BioLife Solutions, Inc.* |
18,300 | (296,094 | ) | |||||
|
CryoPort, Inc.* |
18,100 | (297,926 | ) | |||||
|
Heska Corp.* |
6,200 | (594,828 | ) | |||||
|
iRhythm Technologies, Inc.* |
24,600 | (1,675,014 | ) | |||||
|
Nevro Corp.* |
27,100 | (3,185,334 | ) | |||||
|
Penumbra, Inc.* |
27,200 | (4,468,144 | ) | |||||
|
Shockwave Medical, Inc.* |
23,900 | (1,049,688 | ) | |||||
|
Sientra, Inc.* |
49,200 | (439,848 | ) | |||||
|
ViewRay, Inc.* |
128,700 | (543,114 | ) | |||||
|
|
|
|||||||
| (12,852,029 | ) | |||||||
|
|
|
|||||||
|
Health Care Providers & Services — (1.3)% |
|
|||||||
|
Addus HomeCare Corp.* |
12,800 | (1,244,416 | ) | |||||
|
BioTelemetry, Inc.* |
18,600 | (861,180 | ) | |||||
|
Guardant Health, Inc.* |
68,600 | (5,360,404 | ) | |||||
|
PetIQ, Inc.* |
23,600 | (591,180 | ) | |||||
|
|
|
|||||||
| (8,057,180 | ) | |||||||
|
|
|
|||||||
|
Health Care Technology — (0.4)% |
||||||||
|
Inspire Medical Systems, Inc.* |
18,000 | (1,335,780 | ) | |||||
|
Tabula Rasa HealthCare, Inc.* |
13,000 | (632,840 | ) | |||||
|
Vocera Communications, Inc.* |
22,800 | (473,328 | ) | |||||
|
|
|
|||||||
| (2,441,948 | ) | |||||||
|
|
|
|||||||
|
Hotels, Restaurants & Leisure — (0.3)% |
|
|||||||
|
PlayAGS, Inc.* |
31,000 | (376,030 | ) | |||||
|
Shake Shack, Inc. (Class A Stock)* |
29,300 | (1,745,401 | ) | |||||
|
|
|
|||||||
| (2,121,431 | ) | |||||||
|
|
|
|||||||
|
Household Durables — (0.2)% |
||||||||
|
GoPro, Inc. (Class A Stock)* |
110,200 | (478,268 | ) | |||||
|
iRobot Corp.* |
4,800 | (243,024 | ) | |||||
|
Lovesac Co. (The)* |
13,400 | (215,070 | ) | |||||
|
|
|
|||||||
| (936,362 | ) | |||||||
|
|
|
|||||||
| COMMON STOCKS (continued) | Shares | Value | ||||||
|
Independent Power & Renewable Electricity Producers — (0.3)% |
|
|||||||
|
Clearway Energy, Inc. (Class C Stock) |
40,400 | $ | (805,980 | ) | ||||
|
Pattern Energy Group, Inc.
|
48,200 | (1,289,591 | ) | |||||
|
|
|
|||||||
| (2,095,571 | ) | |||||||
|
|
|
|||||||
|
Insurance — (0.3)% |
||||||||
|
eHealth, Inc.* |
21,600 | (2,075,328 | ) | |||||
|
|
|
|||||||
|
Interactive Media & Services — (0.2)% |
||||||||
|
Cargurus, Inc.* |
31,100 | (1,094,098 | ) | |||||
|
|
|
|||||||
|
Internet & Direct Marketing Retail — (0.6)% |
|
|||||||
|
Grubhub, Inc.* |
78,200 | (3,803,648 | ) | |||||
|
|
|
|||||||
|
IT Services — (2.1)% |
||||||||
|
MongoDB, Inc.* |
27,200 | (3,579,792 | ) | |||||
|
Okta, Inc.* |
41,900 | (4,834,003 | ) | |||||
|
Square, Inc. (Class A Stock)* |
71,600 | (4,479,296 | ) | |||||
|
|
|
|||||||
| (12,893,091 | ) | |||||||
|
|
|
|||||||
|
Life Sciences Tools & Services — (0.2)% |
||||||||
|
Codexis, Inc.* |
57,400 | (917,826 | ) | |||||
|
Luminex Corp. |
200 | (4,632 | ) | |||||
|
Quanterix Corp.* |
12,800 | (302,464 | ) | |||||
|
|
|
|||||||
| (1,224,922 | ) | |||||||
|
|
|
|||||||
|
Machinery — (0.5)% |
||||||||
|
Actuant Corp. (Class A Stock) |
13,200 | (343,596 | ) | |||||
|
Lindsay Corp. |
10,000 | (959,900 | ) | |||||
|
RBC Bearings, Inc.* |
5,000 | (791,700 | ) | |||||
|
Xylem, Inc. |
12,200 | (961,238 | ) | |||||
|
|
|
|||||||
| (3,056,434 | ) | |||||||
|
|
|
|||||||
|
Media — (0.5)% |
||||||||
|
Cardlytics, Inc.* |
22,400 | (1,408,064 | ) | |||||
|
New York Times Co. (The)
|
49,900 | (1,605,283 | ) | |||||
|
|
|
|||||||
| (3,013,347 | ) | |||||||
|
|
|
|||||||
|
Multi-Utilities — (0.0)% |
||||||||
|
WEC Energy Group, Inc. |
2,800 | (258,244 | ) | |||||
|
|
|
|||||||
|
Pharmaceuticals — (0.3)% |
||||||||
|
Aerie Pharmaceuticals, Inc.* |
40,800 | (986,136 | ) | |||||
|
Dermira, Inc.* |
17,900 | (271,364 | ) | |||||
|
Nektar Therapeutics* |
19,300 | (416,590 | ) | |||||
|
|
|
|||||||
| (1,674,090 | ) | |||||||
|
|
|
|||||||
|
Professional Services — (0.2)% |
||||||||
|
Upwork, Inc.* |
98,600 | (1,052,062 | ) | |||||
|
|
|
|||||||
|
Real Estate Management & Development — (0.1)% |
|
|||||||
|
Redfin Corp.* |
16,200 | (342,468 | ) | |||||
|
|
|
|||||||
|
Semiconductors & Semiconductor Equipment — (0.7)% |
|
|||||||
|
Advanced Micro Devices, Inc.* |
87,500 | (4,012,750 | ) | |||||
|
Impinj, Inc.* |
19,200 | (496,512 | ) | |||||
|
|
|
|||||||
| (4,509,262 | ) | |||||||
|
|
|
|||||||
|
Software — (4.5)% |
||||||||
|
8x8, Inc.* |
600 | (10,980 | ) | |||||
|
Alteryx, Inc. (Class A Stock)* |
41,900 | (4,192,933 | ) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A199
| AST QMA US EQUITY ALPHA PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| # |
Principal amount is shown in U.S. dollars unless otherwise stated. |
| (k) |
Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (n) |
Rate shown reflects yield to maturity at purchased date. |
| (u) |
Represents security, or a portion thereof, segregated as collateral for short sales. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at December 31, 2019:
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
| Long Positions: | ||||||||||||||||
| 56 | S&P 500 E-Mini Index | Mar. 2020 | $ | 9,047,080 | $ | 89,388 | ||||||||||
| 5 | S&P Mid Cap 400 E-Mini Index | Mar. 2020 | 1,032,400 | 9,575 | ||||||||||||
|
|
|
|||||||||||||||
| $ | 98,963 | |||||||||||||||
|
|
|
|||||||||||||||
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||
|
Goldman Sachs & Co. LLC |
$ | — | $ | 797,466 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A200
| AST QMA US EQUITY ALPHA PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 20,856,043 | $ | — | $ | — | ||||||
|
Airlines |
307,545 | — | — | |||||||||
|
Automobiles |
3,852,060 | — | — | |||||||||
|
Banks |
33,329,194 | — | — | |||||||||
|
Beverages |
6,133,235 | — | — | |||||||||
|
Biotechnology |
41,924,227 | — | — | |||||||||
|
Building Products |
7,596,661 | — | — | |||||||||
|
Capital Markets |
18,559,570 | — | — | |||||||||
|
Chemicals |
18,334,351 | — | — | |||||||||
|
Commercial Services & Supplies |
6,237,337 | — | — | |||||||||
|
Communications Equipment |
7,675,921 | — | — | |||||||||
|
Construction & Engineering |
2,605,612 | — | — | |||||||||
|
Construction Materials |
5,305,775 | — | — | |||||||||
|
Consumer Finance |
4,366,822 | — | — | |||||||||
|
Containers & Packaging |
1,628,286 | — | — | |||||||||
|
Distributors |
3,287,970 | — | — | |||||||||
|
Diversified Consumer Services |
1,616,302 | — | — | |||||||||
|
Diversified Financial Services |
9,497,705 | — | — | |||||||||
|
Diversified Telecommunication Services |
16,303,364 | — | — | |||||||||
|
Electric Utilities |
7,028,361 | — | — | |||||||||
|
Electrical Equipment |
3,640,288 | — | — | |||||||||
|
Electronic Equipment, Instruments & Components |
13,259,629 | — | — | |||||||||
|
Energy Equipment & Services |
2,370,175 | — | — | |||||||||
|
Entertainment |
13,223,301 | — | — | |||||||||
|
Equity Real Estate Investment Trusts (REITs) |
21,864,476 | — | — | |||||||||
|
Food & Staples Retailing |
4,195,787 | — | — | |||||||||
|
Food Products |
13,306,373 | — | — | |||||||||
|
Gas Utilities |
3,594,736 | — | — | |||||||||
|
Health Care Equipment & Supplies |
34,917,531 | — | — | |||||||||
|
Health Care Providers & Services |
28,324,373 | — | — | |||||||||
|
Health Care Technology |
1,814,210 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
9,596,030 | — | — | |||||||||
|
Household Durables |
7,632,522 | — | — | |||||||||
|
Household Products |
6,544,760 | — | — | |||||||||
|
Independent Power & Renewable Electricity Producers |
7,334,489 | — | — | |||||||||
|
Industrial Conglomerates |
7,598,592 | — | — | |||||||||
|
Insurance |
16,529,665 | — | — | |||||||||
|
Interactive Media & Services |
32,839,384 | — | — | |||||||||
|
Internet & Direct Marketing Retail |
21,256,729 | — | — | |||||||||
|
IT Services |
41,715,503 | — | — | |||||||||
|
Life Sciences Tools & Services |
5,638,645 | — | — | |||||||||
|
Machinery |
9,609,596 | — | — | |||||||||
|
Media |
13,470,983 | — | — | |||||||||
|
Metals & Mining |
2,825,320 | — | — | |||||||||
|
Mortgage Real Estate Investment Trusts (REITs) |
2,312,998 | — | — | |||||||||
|
Multiline Retail |
6,285,653 | — | — | |||||||||
|
Multi-Utilities |
2,949,242 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
18,378,654 | — | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A201
| AST QMA US EQUITY ALPHA PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Personal Products |
$ | 5,051,610 | $ | — | $ | — | ||||||
|
Pharmaceuticals |
27,553,975 | — | — | |||||||||
|
Professional Services |
1,838,598 | — | — | |||||||||
|
Real Estate Management & Development |
5,681,379 | — | — | |||||||||
|
Road & Rail |
2,205,504 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
33,879,331 | — | — | |||||||||
|
Software |
77,650,357 | — | — | |||||||||
|
Specialty Retail |
16,268,722 | — | — | |||||||||
|
Technology Hardware, Storage & Peripherals |
35,156,902 | — | — | |||||||||
|
Textiles, Apparel & Luxury Goods |
2,830,730 | — | — | |||||||||
|
Thrifts & Mortgage Finance |
947,025 | — | — | |||||||||
|
Tobacco |
5,624,857 | — | — | |||||||||
|
Trading Companies & Distributors |
8,307,123 | — | — | |||||||||
|
Water Utilities |
859,826 | — | — | |||||||||
|
Wireless Telecommunication Services |
460,121 | — | — | |||||||||
|
Affiliated Mutual Fund |
8,969,501 | — | — | |||||||||
|
U.S. Treasury Obligation |
— | 797,466 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 802,761,546 | $ | 797,466 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Common Stocks—Short |
||||||||||||
|
Aerospace & Defense |
$ | (4,604,892 | ) | $ | — | $ | — | |||||
|
Auto Components |
(1,143,372 | ) | — | — | ||||||||
|
Banks |
(3,822,318 | ) | — | — | ||||||||
|
Biotechnology |
(25,096,278 | ) | — | — | ||||||||
|
Building Products |
(1,415,026 | ) | — | — | ||||||||
|
Capital Markets |
(1,555,560 | ) | — | — | ||||||||
|
Chemicals |
(10,520,854 | ) | — | — | ||||||||
|
Commercial Services & Supplies |
(5,411,138 | ) | — | — | ||||||||
|
Communications Equipment |
(1,937,856 | ) | — | — | ||||||||
|
Diversified Consumer Services |
(591,084 | ) | — | — | ||||||||
|
Electronic Equipment, Instruments & Components |
(10,875,197 | ) | — | — | ||||||||
|
Entertainment |
(6,360,250 | ) | — | — | ||||||||
|
Equity Real Estate Investment Trusts (REITs) |
(5,080,194 | ) | — | — | ||||||||
|
Food Products |
(3,582,773 | ) | — | — | ||||||||
|
Health Care Equipment & Supplies |
(12,852,029 | ) | — | — | ||||||||
|
Health Care Providers & Services |
(8,057,180 | ) | — | — | ||||||||
|
Health Care Technology |
(2,441,948 | ) | — | — | ||||||||
|
Hotels, Restaurants & Leisure |
(2,121,431 | ) | — | — | ||||||||
|
Household Durables |
(936,362 | ) | — | — | ||||||||
|
Independent Power & Renewable Electricity Producers |
(2,095,571 | ) | — | — | ||||||||
|
Insurance |
(2,075,328 | ) | — | — | ||||||||
|
Interactive Media & Services |
(1,094,098 | ) | — | — | ||||||||
|
Internet & Direct Marketing Retail |
(3,803,648 | ) | — | — | ||||||||
|
IT Services |
(12,893,091 | ) | — | — | ||||||||
|
Life Sciences Tools & Services |
(1,224,922 | ) | — | — | ||||||||
|
Machinery |
(3,056,434 | ) | — | — | ||||||||
|
Media |
(3,013,347 | ) | — | — | ||||||||
|
Multi-Utilities. |
(258,244 | ) | — | — | ||||||||
|
Pharmaceuticals |
(1,674,090 | ) | — | — | ||||||||
|
Professional Services |
(1,052,062 | ) | — | — | ||||||||
|
Real Estate Management & Development |
(342,468 | ) | — | — | ||||||||
|
Semiconductors & Semiconductor Equipment |
(4,509,262 | ) | — | — | ||||||||
|
Software |
(27,915,245 | ) | — | — | ||||||||
|
Specialty Retail |
(1,607,668 | ) | — | — | ||||||||
|
Technology Hardware, Storage & Peripherals |
(4,198,794 | ) | — | — | ||||||||
|
Thrifts & Mortgage Finance |
(1,790,296 | ) | — | — | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A202
| AST QMA US EQUITY ALPHA PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Liabilities (continued) |
||||||||||||
|
Common Stocks—Short (continued) |
||||||||||||
|
Trading Companies & Distributors |
$ | (3,408,440 | ) | $ | — | $ | — | |||||
|
Wireless Telecommunication Services |
(432,525 | ) | — | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (184,851,275 | ) | $ | — | $ | — | |||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 98,963 | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Software |
12.5 | % | ||
|
Biotechnology |
6.8 | |||
|
IT Services |
6.7 | |||
|
Technology Hardware, Storage & Peripherals |
5.7 | |||
|
Health Care Equipment & Supplies |
5.6 | |||
|
Semiconductors & Semiconductor Equipment |
5.5 | |||
|
Banks |
5.4 | |||
|
Interactive Media & Services |
5.3 | |||
|
Health Care Providers & Services |
4.6 | |||
|
Pharmaceuticals |
4.4 | |||
|
Equity Real Estate Investment Trusts (REITs) |
3.5 | |||
|
Internet & Direct Marketing Retail |
3.4 | |||
|
Aerospace & Defense |
3.4 | |||
|
Capital Markets |
3.0 | |||
|
Oil, Gas & Consumable Fuels |
3.0 | |||
|
Chemicals |
3.0 | |||
|
Insurance |
2.7 | |||
|
Diversified Telecommunication Services |
2.6 | |||
|
Specialty Retail |
2.6 | |||
|
Media |
2.2 | |||
|
Food Products |
2.1 | |||
|
Electronic Equipment, Instruments & Components |
2.1 | |||
|
Entertainment |
2.1 | |||
|
Machinery |
1.6 | |||
|
Hotels, Restaurants & Leisure |
1.5 | |||
|
Diversified Financial Services |
1.5 | |||
|
Affiliated Mutual Fund |
1.5 | |||
|
Trading Companies & Distributors |
1.3 | |||
|
Communications Equipment |
1.2 | |||
|
Household Durables |
1.2 | |||
|
Industrial Conglomerates |
1.2 | |||
|
Building Products |
1.2 | |||
|
Independent Power & Renewable Electricity Producers |
1.2 | |||
|
Electric Utilities |
1.1 | |||
|
Household Products |
1.1 | |||
|
Multiline Retail |
1.0 | |||
|
Commercial Services & Supplies |
1.0 | |||
|
Beverages |
1.0 | |||
|
Real Estate Management & Development |
0.9 | |||
|
Life Sciences Tools & Services |
0.9 |
|
Tobacco |
0.9 | % | ||
|
Construction Materials |
0.9 | |||
|
Personal Products |
0.8 | |||
|
Consumer Finance |
0.7 | |||
|
Food & Staples Retailing |
0.7 | |||
|
Automobiles |
0.6 | |||
|
Electrical Equipment |
0.6 | |||
|
Gas Utilities |
0.6 | |||
|
Distributors |
0.5 | |||
|
Multi-Utilities |
0.5 | |||
|
Textiles, Apparel & Luxury Goods |
0.5 | |||
|
Metals & Mining |
0.5 | |||
|
Construction & Engineering |
0.4 | |||
|
Energy Equipment & Services |
0.4 | |||
|
Mortgage Real Estate Investment Trusts (REITs) |
0.4 | |||
|
Road & Rail |
0.4 | |||
|
Professional Services |
0.3 | |||
|
Health Care Technology |
0.3 | |||
|
Containers & Packaging |
0.3 | |||
|
Diversified Consumer Services |
0.3 | |||
|
Thrifts & Mortgage Finance |
0.2 | |||
|
Water Utilities |
0.1 | |||
|
U.S. Treasury Obligations |
0.1 | |||
|
Wireless Telecommunication Services |
0.1 | |||
|
Airlines |
0.1 | |||
|
Securities Sold Short |
||||
|
Multi-Utilities |
(0.0 | )* | ||
|
Real Estate Management & Development |
(0.1 | ) | ||
|
Wireless Telecommunication Services |
(0.1 | ) | ||
|
Diversified Consumer Services |
(0.1 | ) | ||
|
Household Durables |
(0.2 | ) | ||
|
Professional Services |
(0.2 | ) | ||
|
Interactive Media & Services |
(0.2 | ) | ||
|
Auto Components |
(0.2 | ) | ||
|
Life Sciences Tools & Services |
(0.2 | ) | ||
|
Building Products |
(0.2 | ) | ||
|
Capital Markets |
(0.2 | ) | ||
|
Specialty Retail |
(0.3 | ) | ||
|
Pharmaceuticals |
(0.3 | ) | ||
|
Thrifts & Mortgage Finance |
(0.3 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A203
| AST QMA US EQUITY ALPHA PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Industry Classification (con’t):
|
Communications Equipment |
(0.3 | )% | ||
|
Insurance |
(0.3 | ) | ||
|
Independent Power & Renewable Electricity Producers |
(0.3 | ) | ||
|
Hotels, Restaurants & Leisure |
(0.3 | ) | ||
|
Health Care Technology |
(0.4 | ) | ||
|
Media |
(0.5 | ) | ||
|
Machinery |
(0.5 | ) | ||
|
Trading Companies & Distributors |
(0.5 | ) | ||
|
Food Products |
(0.6 | ) | ||
|
Internet & Direct Marketing Retail |
(0.6 | ) | ||
|
Banks |
(0.6 | ) | ||
|
Technology Hardware, Storage & Peripherals |
(0.7 | ) | ||
|
Semiconductors & Semiconductor Equipment |
(0.7 | ) | ||
|
Aerospace & Defense |
(0.7 | ) | ||
|
Equity Real Estate Investment Trusts (REITs) |
(0.8 | ) | ||
|
Commercial Services & Supplies |
(0.9 | ) |
|
Entertainment |
(1.0 | )% | ||
|
Health Care Providers & Services |
(1.3 | ) | ||
|
Chemicals |
(1.7 | ) | ||
|
Electronic Equipment, Instruments & Components |
(1.8 | ) | ||
|
Health Care Equipment & Supplies |
(2.1 | ) | ||
|
IT Services |
(2.1 | ) | ||
|
Biotechnology |
(4.1 | ) | ||
|
Software |
(4.5 | ) | ||
|
|
|
|||
| 99.9 | ||||
|
Other assets in excess of liabilities |
0.1 | |||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Derivatives not accounted for as hedging
|
Asset Derivatives |
Liability Derivatives |
||||||||||
|
Statement of Assets
|
Fair Value |
Statement of Assets and Liabilities Location |
Fair Value | |||||||||
|
Equity contracts |
Due from/to broker —
|
$ | 98,963 | * | — | $ | — | |||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Futures
Contracts—
Positions(1) |
| $13,552,790 |
SEE NOTES TO FINANCIAL STATEMENTS.
A204
| AST QMA US EQUITY ALPHA PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| (1) |
Notional Amount in USD. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Counterparty |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net
Amount |
||||||||||||
|
Securities Sold Short |
BNP Paribas | $ | (184,851,275 | ) | $ | 184,851,275 | $ | — | ||||||||
| (1) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A205
| AST QMA US EQUITY ALPHA PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value: |
||||
|
Unaffiliated investments (cost $645,751,825) |
$ | 794,589,511 | ||
|
Affiliated investments (cost $8,969,501) |
8,969,501 | |||
|
Cash |
83,558 | |||
|
Dividends and interest receivable |
633,331 | |||
|
Deposit with broker for securities sold short |
428,564 | |||
|
Receivable for Portfolio shares sold |
65,092 | |||
|
Due from broker-variation margin futures |
22,510 | |||
|
Tax reclaim receivable |
4,778 | |||
|
Prepaid expenses |
4,729 | |||
|
|
|
|||
|
Total Assets |
804,801,574 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Securities sold short, at value (proceeds received $166,171,583) |
184,851,275 | |||
|
Dividends payable on securities sold short |
235,082 | |||
|
Management fee payable |
233,375 | |||
|
Payable for Portfolio shares repurchased |
62,652 | |||
|
Accrued expenses and other liabilities |
56,922 | |||
|
Distribution fee payable |
25,485 | |||
|
Payable to affiliate |
4,778 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
185,469,926 | |||
|
|
|
|||
| NET ASSETS | $ | 619,331,648 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 619,331,648 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $619,331,648 / 17,747,454 outstanding shares of beneficial interest |
$ | 34.90 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 4,664,688 | $ | 4,192,146 | ||||
|
Net realized gain (loss) on investment transactions |
36,447,973 | 86,937,967 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments |
90,562,968 | (144,092,382 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
131,675,629 | (52,962,269 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [1,207,784 and 1,080,016 shares, respectively] |
37,055,158 | 33,516,978 | ||||||
|
Portfolio shares repurchased [4,290,337 and 4,394,723 shares, respectively] |
(133,393,595 | ) | (134,285,456 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(96,338,437 | ) | (100,768,478 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 1,328 | 2,412 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 35,338,520 | (153,728,335 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
583,993,128 | 737,721,463 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 619,331,648 | $ | 583,993,128 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A206
| AST QMA US EQUITY ALPHA PORTFOLIO (continued) | ||||||
STATEMENT OF CASH FLOWS
Year Ended December 31, 2019
RECONCILIATION OF CASH AND RESTRICTED CASH REPORTED IN THE STATEMENT OF ASSETS AND LIABILITIES TO THE STATEMENT OF CASH FLOWS:
| December 31, 2019 | December 31, 2018 | |||||||
|
Cash |
$ | 83,558 | $ | 21,098 | ||||
|
Restricted cash: |
||||||||
|
Deposit with broker for securities sold short |
428,564 | 569,336 | ||||||
|
Due from broker-variation margin futures |
22,510 | 128,588 | ||||||
|
|
|
|
|
|||||
|
TOTAL CASH AND RESTRICTED CASH |
$ | 534,632 | $ | 719,022 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A207
| AST QUANTITATIVE MODELING PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| LONG-TERM INVESTMENTS — 99.5% | ||||||||
| AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
|
AST AB Global Bond Portfolio* |
2,579,450 | $ | 30,153,775 | |||||
|
AST AQR Emerging Markets Equity Portfolio* |
164,860 | 2,017,881 | ||||||
|
AST AQR Large Cap Core Portfolio* |
6,006,659 | 123,917,365 | ||||||
|
AST BlackRock/Loomis Sayles Bond Portfolio* |
1,836,489 | 27,180,039 | ||||||
|
AST ClearBridge Dividend Growth Portfolio* |
5,649,595 | 124,291,080 | ||||||
|
AST Goldman Sachs Global Income Portfolio* |
1,287,523 | 15,076,893 | ||||||
|
AST Goldman Sachs Small-Cap Value Portfolio* |
664,278 | 16,626,875 | ||||||
|
AST High Yield Portfolio* |
123,232 | 1,402,377 | ||||||
|
AST Hotchkis & Wiley Large-Cap Value Portfolio* |
1,170,837 | 38,731,285 | ||||||
|
AST International Growth Portfolio* |
3,708,073 | 76,126,746 | ||||||
|
AST International Value Portfolio* |
3,527,981 | 75,710,481 | ||||||
|
AST Jennison Large-Cap Growth Portfolio* |
1,113,093 | 45,091,404 | ||||||
|
AST Loomis Sayles Large-Cap Growth Portfolio* |
1,232,620 | 78,739,788 | ||||||
|
AST MFS Growth Portfolio* |
1,348,411 | 44,996,469 | ||||||
|
AST MFS Large-Cap Value Portfolio* |
3,877,316 | 90,574,102 | ||||||
|
AST Mid-Cap Growth Portfolio* |
590,953 | 6,937,783 | ||||||
|
AST Neuberger Berman/LSV Mid-Cap Value Portfolio* |
94,277 | 3,327,966 | ||||||
|
AST Parametric Emerging Markets Equity Portfolio* |
110,567 | 1,089,087 | ||||||
|
AST PIMCO Dynamic Bond Portfolio* |
600,598 | 6,066,038 | ||||||
|
AST Prudential Core Bond Portfolio* |
7,894,505 | 105,707,420 | ||||||
|
AST QMA International Core Equity Portfolio* |
5,148,239 | 64,970,779 | ||||||
|
AST QMA Large-Cap Portfolio* |
5,728,769 | 123,855,988 | ||||||
|
AST Small-Cap Growth Opportunities Portfolio* |
607,042 | 14,647,921 | ||||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the underlying funds in which the Fund invests. |
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Affiliated Mutual Funds |
$ | 1,417,615,939 | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Investment Allocation:
The investment allocation of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
Large/Mid-Cap Growth |
34.0 | % |
|
Core Bond |
21.3 | % |
SEE NOTES TO FINANCIAL STATEMENTS.
A208
| AST QUANTITATIVE MODELING PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Investment Allocation (continued):
|
Large/Mid-Cap Value |
15.6 | % | ||
|
International Value |
9.9 | |||
|
Large/Mid-Cap Blend |
8.8 | |||
|
International Growth |
5.4 | |||
|
Small-Cap Value |
2.1 | |||
|
Small-Cap Growth |
2.0 | |||
|
Ultra Short Bond |
0.6 | |||
|
Emerging Markets |
0.3 |
|
High Yield |
0.1 | % | ||
|
|
|
|||
| 100.1 | ||||
|
Liabilities in excess of other assets |
(0.1 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A209
| AST QUANTITATIVE MODELING PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value: |
||||
|
Affiliated investments (cost $1,214,847,373) |
$ | 1,417,615,939 | ||
|
Prepaid expenses |
786 | |||
|
|
|
|||
|
Total Assets |
1,417,616,725 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable for Portfolio shares repurchased |
1,061,544 | |||
|
Management fee payable |
115,399 | |||
|
Accrued expenses and other liabilities |
52,041 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
|
|
|||
|
Total Liabilities |
1,229,341 | |||
|
|
|
|||
| NET ASSETS | $ | 1,416,387,384 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 1,416,387,384 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $1,416,387,384 / 74,875,505 outstanding shares of beneficial interest |
$ | 18.92 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
| NET INVESTMENT INCOME (LOSS) | ||||
|
Affiliated dividend income |
$ | 117,596 | ||
|
|
|
|||
| EXPENSES | ||||
|
Management fee |
3,357,228 | |||
|
Custodian and accounting fees |
111,399 | |||
|
Trustees’ fees |
24,619 | |||
|
Audit fee |
23,300 | |||
|
Legal fees and expenses |
16,612 | |||
|
Transfer agent’s fees and expenses (including affiliated expense of $2,188) |
7,007 | |||
|
Shareholders’ reports |
3,957 | |||
|
Miscellaneous |
16,621 | |||
|
|
|
|||
|
Total expenses |
3,560,743 | |||
|
Less: Fee waiver and/or expense reimbursement |
(37,949 | ) | ||
|
|
|
|||
|
Net expenses |
3,522,794 | |||
|
|
|
|||
| NET INVESTMENT INCOME (LOSS) | (3,405,198 | ) | ||
|
|
|
|||
| REALIZED AND UNREALIZED GAIN (LOSS) ON AFFILIATED INVESTMENTS | ||||
|
Net realized gain (loss) on investment transactions |
52,851,854 | |||
|
Net change in unrealized appreciation (depreciation) on investments |
205,283,432 | |||
|
|
|
|||
| NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 258,135,286 | |||
|
|
|
|||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 254,730,088 | ||
|
|
|
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | (3,405,198 | ) | $ | (3,316,522 | ) | ||
|
Net realized gain (loss) on investment transactions |
52,851,854 | 154,480,809 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments |
205,283,432 | (236,965,520 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
254,730,088 | (85,801,233 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [3,952,369 and 5,588,866 shares, respectively] |
70,062,827 | 94,327,025 | ||||||
|
Portfolio shares repurchased [7,717,791 and 3,733,011 shares, respectively] |
(136,054,002 | ) | (62,599,360 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
(65,991,175 | ) | 31,727,665 | |||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 188,738,913 | (54,073,568 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
1,227,648,471 | 1,281,722,039 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 1,416,387,384 | $ | 1,227,648,471 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A210
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A211
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A212
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A213
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A214
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A215
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A216
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A217
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A218
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A219
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A220
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A221
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A222
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A223
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A224
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A225
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A226
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A227
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A228
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A229
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A230
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A231
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A232
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest
|
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
|||||||||||||||
|
3.500% |
07/01/47 | 769 | $ | 809,424 | ||||||||||||
|
3.500% |
09/01/47 | 17,413 | 18,088,564 | |||||||||||||
|
3.500% |
11/01/47 | 348 | 361,276 | |||||||||||||
|
3.500% |
11/01/47 | 651 | 675,772 | |||||||||||||
|
3.500% |
12/01/47 | 981 | 1,032,504 | |||||||||||||
|
3.500% |
12/01/47 | 1,497 | 1,556,233 | |||||||||||||
|
3.500% |
01/01/48 | 24 | 24,631 | |||||||||||||
|
3.500% |
01/01/48 | 353 | 366,431 | |||||||||||||
|
3.500% |
01/01/48 | 724 | 752,292 | |||||||||||||
|
3.500% |
01/01/48 | 938 | 974,567 | |||||||||||||
|
3.500% |
02/01/48 | 160 | 165,712 | |||||||||||||
|
3.500% |
02/01/48 | 611 | 634,625 | |||||||||||||
|
3.500% |
04/01/48 | 443 | 456,305 | |||||||||||||
|
3.500% |
05/01/48 | 287 | 295,530 | |||||||||||||
|
3.500% |
05/01/48 | 846 | 872,671 | |||||||||||||
|
3.500% |
06/01/48 | 258 | 270,690 | |||||||||||||
|
3.500% |
07/01/48 | 4,967 | 5,120,079 | |||||||||||||
|
3.500% |
08/01/48 | 127 | 130,847 | |||||||||||||
|
3.500% |
08/01/48 | 2,485 | 2,570,111 | |||||||||||||
|
3.500% |
11/01/48 | 1,334 | 1,375,403 | |||||||||||||
|
3.500% |
12/01/48 | 137 | 140,895 | |||||||||||||
|
3.500% |
12/01/48 | 13,750 | 14,182,040 | |||||||||||||
|
3.500% |
03/01/49 | 1,236 | 1,271,492 | |||||||||||||
|
3.500% |
03/01/49 | 2,984 | 3,103,358 | |||||||||||||
|
3.500% |
11/01/49 | 898 | 934,129 | |||||||||||||
|
3.500% |
11/01/49 | 1,500 | 1,547,579 | |||||||||||||
|
3.500% |
12/01/49 | 2,397 | 2,473,351 | |||||||||||||
|
4.000% |
03/01/42 | 1,330 | 1,424,995 | |||||||||||||
|
4.000% |
10/01/42 | 2,952 | 3,161,869 | |||||||||||||
|
4.000% |
04/01/43 | 1,242 | 1,326,538 | |||||||||||||
|
4.000% |
05/01/43 | 92 | 100,431 | |||||||||||||
|
4.000% |
06/01/43 | 90 | 97,171 | |||||||||||||
|
4.000% |
06/01/43 | 91 | 97,725 | |||||||||||||
|
4.000% |
06/01/43 | 92 | 99,245 | |||||||||||||
|
4.000% |
06/01/43 | 119 | 130,401 | |||||||||||||
|
4.000% |
06/01/43 | 132 | 141,899 | |||||||||||||
|
4.000% |
07/01/43 | 506 | 547,658 | |||||||||||||
|
4.000% |
07/01/43 | 508 | 554,994 | |||||||||||||
|
4.000% |
08/01/43 | 647 | 690,914 | |||||||||||||
|
4.000% |
03/01/44 | 1,408 | 1,498,260 | |||||||||||||
|
4.000% |
07/01/44 | 450 | 479,226 | |||||||||||||
|
4.000% |
02/01/45 | 888 | 945,401 | |||||||||||||
|
4.000% |
05/01/45 | 259 | 276,041 | |||||||||||||
|
4.000% |
01/01/46 | 1,380 | 1,464,330 | |||||||||||||
|
4.000% |
03/01/46 | 1,264 | 1,334,345 | |||||||||||||
|
4.000% |
05/01/46 | 1,511 | 1,594,936 | |||||||||||||
|
4.000% |
07/01/46 | 1,320 | 1,393,561 | |||||||||||||
|
4.000% |
07/01/47 | 4,764 | 5,008,633 | |||||||||||||
|
4.000% |
08/01/47 | 12,305 | 12,938,368 | |||||||||||||
|
4.000% |
12/01/47 | 150 | 157,338 | |||||||||||||
|
4.000% |
04/01/48 | 797 | 831,197 | |||||||||||||
|
4.000% |
05/01/48 | 4,142 | 4,320,791 | |||||||||||||
|
4.000% |
07/01/48 | 8,326 | 8,680,247 | |||||||||||||
|
4.000% |
09/01/48 | 72 | 74,684 | |||||||||||||
|
4.000% |
09/01/48 | 10,336 | 10,776,321 | |||||||||||||
|
4.000% |
11/01/48 | 9,248 | 9,642,228 | |||||||||||||
|
4.000% |
05/01/49 | 7,689 | 7,995,098 | |||||||||||||
|
4.000% |
11/01/49 | 2,161 | 2,248,467 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A233
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
|||||||||||||||
|
4.500% |
09/01/23 | 89 | $ | 93,433 | ||||||||||||
|
4.500% |
08/01/24 | 83 | 87,903 | |||||||||||||
|
4.500% |
12/01/43 | 1,673 | 1,813,764 | |||||||||||||
|
4.500% |
03/01/44 | 1,625 | 1,756,557 | |||||||||||||
|
4.500% |
04/01/44 | 95 | 101,410 | |||||||||||||
|
4.500% |
04/01/44 | 610 | 648,778 | |||||||||||||
|
4.500% |
04/01/44 | 652 | 704,344 | |||||||||||||
|
4.500% |
04/01/44 | 660 | 723,098 | |||||||||||||
|
4.500% |
04/01/44 | 670 | 714,841 | |||||||||||||
|
4.500% |
04/01/44 | 737 | 789,586 | |||||||||||||
|
4.500% |
04/01/44 | 1,021 | 1,127,031 | |||||||||||||
|
4.500% |
04/01/44 | 1,029 | 1,149,358 | |||||||||||||
|
4.500% |
04/01/44 | 4,156 | 4,589,299 | |||||||||||||
|
4.500% |
09/01/46 | 482 | 516,248 | |||||||||||||
|
4.500% |
02/01/47 | 110 | 117,009 | |||||||||||||
|
4.500% |
03/01/47 | 115 | 122,911 | |||||||||||||
|
4.500% |
05/01/47 | 363 | 386,804 | |||||||||||||
|
4.500% |
09/01/48 | 7,758 | 8,197,733 | |||||||||||||
|
5.000% |
09/01/20 | 140 | 141,469 | |||||||||||||
|
5.000% |
05/01/23 | 165 | 170,192 | |||||||||||||
|
5.000% |
07/01/25 | 67 | 71,715 | |||||||||||||
|
5.000% |
06/01/26 | 677 | 701,949 | |||||||||||||
|
5.000% |
05/01/36 | 28 | 31,271 | |||||||||||||
|
5.000% |
03/01/38 | 358 | 395,386 | |||||||||||||
|
5.000% |
06/01/41 | 211 | 232,380 | |||||||||||||
|
5.000% |
05/01/48 | 604 | 648,585 | |||||||||||||
|
5.000% |
06/01/48 | 43 | 48,529 | |||||||||||||
|
5.000% |
10/01/48 | 399 | 426,797 | |||||||||||||
|
5.000% |
10/01/48 | 1,630 | 1,743,818 | |||||||||||||
|
5.000% |
11/01/48 | 1,585 | 1,695,895 | |||||||||||||
|
5.000% |
01/01/49 | 6,304 | 6,743,031 | |||||||||||||
|
5.500% |
12/01/38 | 262 | 293,360 | |||||||||||||
|
5.500% |
12/01/38 | 633 | 708,285 | |||||||||||||
|
6.500% |
09/01/39 | 236 | 274,116 | |||||||||||||
|
6.500% |
09/01/39 | 630 | 740,281 | |||||||||||||
|
7.000% |
03/01/39 | 222 | 264,870 | |||||||||||||
|
Federal National Mortgage Assoc. |
|
|||||||||||||||
|
2.500% |
01/01/28 | 951 | 962,324 | |||||||||||||
|
2.500% |
02/01/28 | 440 | 445,613 | |||||||||||||
|
2.500% |
10/01/42 | 1,341 | 1,344,454 | |||||||||||||
|
2.500% |
10/01/49 | 3,000 | 2,966,818 | |||||||||||||
|
2.500% |
12/01/49 | 3,400 | 3,362,396 | |||||||||||||
|
2.670% |
10/01/31 | 500 | 503,414 | |||||||||||||
|
2.740% |
08/01/29 | 1,300 | 1,331,524 | |||||||||||||
|
2.765% |
08/01/31 | 200 | 203,520 | |||||||||||||
|
2.765% |
08/01/31 | 543 | 552,506 | |||||||||||||
|
2.765% |
08/01/31 | 700 | 712,255 | |||||||||||||
|
2.765% |
08/01/31 | 900 | 915,756 | |||||||||||||
|
2.765% |
08/01/31 | 1,100 | 1,119,258 | |||||||||||||
|
2.770% |
08/01/31 | 2,300 | 2,339,360 | |||||||||||||
|
2.790% |
08/01/29 | 4,700 | 4,840,250 | |||||||||||||
|
2.800% |
08/01/31 | 800 | 815,802 | |||||||||||||
|
2.810% |
08/01/31 | 1,900 | 1,938,065 | |||||||||||||
|
2.840% |
08/01/31 | 500 | 512,603 | |||||||||||||
|
2.840% |
08/01/31 | 800 | 821,488 | |||||||||||||
|
2.850% |
08/01/31 | 1,730 | 1,772,529 | |||||||||||||
|
2.850% |
08/01/31 | 9,025 | 9,246,864 | |||||||||||||
|
2.860% |
08/01/31 | 1,900 | 1,953,507 | |||||||||||||
|
Interest
|
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
|||||||||||||||
|
2.870% |
07/01/31 | 400 | $ | 411,543 | ||||||||||||
|
2.870% |
08/01/31 | 1,000 | 1,031,006 | |||||||||||||
|
2.915% |
08/01/31 | 2,600 | 2,686,872 | |||||||||||||
|
2.920% |
08/01/31 | 100 | 103,172 | |||||||||||||
|
2.925% |
08/01/31 | 2,198 | 2,273,915 | |||||||||||||
|
2.930% |
08/01/31 | 3,150 | 3,250,687 | |||||||||||||
|
3.000% |
TBA | 50,500 | 51,184,131 | |||||||||||||
|
3.000% |
07/01/32 | 2,933 | 3,018,593 | |||||||||||||
|
3.000% |
08/01/32 | 3,406 | 3,504,619 | |||||||||||||
|
3.000% |
12/01/37 | 325 | 333,018 | |||||||||||||
|
3.000% |
09/01/42 | 3,632 | 3,746,559 | |||||||||||||
|
3.000% |
09/01/42 | 7,633 | 7,874,564 | |||||||||||||
|
3.000% |
12/01/42 | 45 | 46,288 | |||||||||||||
|
3.000% |
12/01/42 | 59 | 60,213 | |||||||||||||
|
3.000% |
01/01/43 | 25 | 25,491 | |||||||||||||
|
3.000% |
01/01/43 | 48 | 49,368 | |||||||||||||
|
3.000% |
01/01/43 | 87 | 89,279 | |||||||||||||
|
3.000% |
01/01/43 | 167 | 171,763 | |||||||||||||
|
3.000% |
01/01/43 | 246 | 253,180 | |||||||||||||
|
3.000% |
01/01/43 | 659 | 677,794 | |||||||||||||
|
3.000% |
01/01/43 | 824 | 847,734 | |||||||||||||
|
3.000% |
02/01/43 | 103 | 105,800 | |||||||||||||
|
3.000% |
07/01/46 | 4,280 | 4,395,116 | |||||||||||||
|
3.000% |
08/01/46 | 73 | 74,494 | |||||||||||||
|
3.000% |
09/01/46 | 72 | 73,651 | |||||||||||||
|
3.000% |
09/01/46 | 144 | 146,919 | |||||||||||||
|
3.000% |
10/01/46 | 75 | 76,759 | |||||||||||||
|
3.000% |
11/01/46 | 7,242 | 7,412,155 | |||||||||||||
|
3.000% |
12/01/46 | 2,669 | 2,752,479 | |||||||||||||
|
3.000% |
01/01/47 | 1,712 | 1,757,790 | |||||||||||||
|
3.000% |
01/01/47 | 5,317 | 5,460,353 | |||||||||||||
|
3.000% |
02/01/47 | 6,127 | 6,318,091 | |||||||||||||
|
3.000% |
09/01/47 | 9,449 | 9,703,493 | |||||||||||||
|
3.000% |
06/01/49 | 99 | 100,698 | |||||||||||||
|
3.000% |
06/01/49 | 99 | 100,993 | |||||||||||||
|
3.000% |
06/01/49 | 883 | 900,295 | |||||||||||||
|
3.000% |
07/01/49 | 93 | 94,145 | |||||||||||||
|
3.000% |
07/01/49 | 96 | 98,277 | |||||||||||||
|
3.000% |
07/01/49 | 97 | 98,859 | |||||||||||||
|
3.000% |
07/01/49 | 14,706 | 15,030,472 | |||||||||||||
|
3.000% |
08/01/49 | 99 | 102,557 | |||||||||||||
|
3.000% |
08/01/49 | 188 | 190,767 | |||||||||||||
|
3.000% |
08/01/49 | 291 | 295,667 | |||||||||||||
|
3.000% |
08/01/49 | 589 | 607,094 | |||||||||||||
|
3.000% |
08/01/49 | 1,165 | 1,181,954 | |||||||||||||
|
3.000% |
08/01/49 | 1,280 | 1,299,166 | |||||||||||||
|
3.000% |
09/01/49 | 98 | 98,979 | |||||||||||||
|
3.000% |
09/01/49 | 381 | 388,717 | |||||||||||||
|
3.000% |
09/01/49 | 395 | 400,922 | |||||||||||||
|
3.000% |
09/01/49 | 495 | 504,247 | |||||||||||||
|
3.000% |
09/01/49 | 984 | 1,009,011 | |||||||||||||
|
3.000% |
09/01/49 | 1,577 | 1,607,942 | |||||||||||||
|
3.000% |
09/01/49 | 2,071 | 2,116,675 | |||||||||||||
|
3.000% |
09/01/49 | 2,257 | 2,301,557 | |||||||||||||
|
3.000% |
09/01/49 | 7,252 | 7,427,729 | |||||||||||||
|
3.000% |
10/01/49 | 399 | 404,483 | |||||||||||||
|
3.000% |
10/01/49 | 1,272 | 1,291,239 | |||||||||||||
|
3.000% |
10/01/49 | 2,278 | 2,310,630 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A234
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
|||||||||||||||
|
3.000% |
10/01/49 | 14,381 | $ | 14,661,644 | ||||||||||||
|
3.000% |
11/01/49 | 7,376 | 7,481,597 | |||||||||||||
|
3.000% |
11/01/49 | 10,610 | 10,813,205 | |||||||||||||
|
3.000% |
12/01/49 | 2,600 | 2,642,621 | |||||||||||||
|
3.000% |
12/01/49 | 4,500 | 4,599,327 | |||||||||||||
|
3.000% |
01/01/50 | 400 | 408,232 | |||||||||||||
|
3.000% |
01/01/50 | 600 | 612,348 | |||||||||||||
|
3.000% |
01/01/50 | 3,700 | 3,753,215 | |||||||||||||
|
3.040% |
06/01/29 | 1,000 | 1,048,563 | |||||||||||||
|
3.070% |
01/01/29 | 760 | 797,309 | |||||||||||||
|
3.160% |
05/01/29 | 1,162 | 1,223,587 | |||||||||||||
|
3.190% |
05/01/29 | 595 | 627,422 | |||||||||||||
|
3.240% |
05/01/29 | 600 | 634,794 | |||||||||||||
|
3.240% |
05/01/29 | 2,100 | 2,222,965 | |||||||||||||
|
3.260% |
05/01/29 | 830 | 881,187 | |||||||||||||
|
3.300% |
04/01/29 | 600 | 637,044 | |||||||||||||
|
3.310% |
05/01/31 | 500 | 532,102 | |||||||||||||
|
3.350% |
05/01/29 | 430 | 457,544 | |||||||||||||
|
3.500% |
07/01/32 | 4,317 | 4,507,644 | |||||||||||||
|
3.500% |
09/01/34 | 4,247 | 4,437,957 | |||||||||||||
|
3.500% |
10/01/34 | 2,967 | 3,094,656 | |||||||||||||
|
3.500% |
09/01/42 | 1,163 | 1,224,855 | |||||||||||||
|
3.500% |
12/01/42 | 520 | 547,050 | |||||||||||||
|
3.500% |
01/01/43 | 5,682 | 5,981,668 | |||||||||||||
|
3.500% |
03/01/43 | 3,697 | 3,892,364 | |||||||||||||
|
3.500% |
04/01/43 | 2,555 | 2,696,210 | |||||||||||||
|
3.500% |
04/01/43 | 2,604 | 2,775,203 | |||||||||||||
|
3.500% |
06/01/43 | 2,788 | 2,971,528 | |||||||||||||
|
3.500% |
06/01/43 | 2,816 | 3,001,307 | |||||||||||||
|
3.500% |
07/01/43 | 3,900 | 4,156,995 | |||||||||||||
|
3.500% |
02/01/45 | 536 | 563,963 | |||||||||||||
|
3.500% |
12/01/45 | 982 | 1,032,708 | |||||||||||||
|
3.500% |
12/01/45 | 6,397 | 6,686,528 | |||||||||||||
|
3.500% |
01/01/46 | 956 | 1,006,082 | |||||||||||||
|
3.500% |
01/01/46 | 971 | 1,025,404 | |||||||||||||
|
3.500% |
12/01/46 | 4,873 | 5,129,921 | |||||||||||||
|
3.500% |
01/01/47 | 21 | 21,445 | |||||||||||||
|
3.500% |
02/01/47 | 49 | 50,904 | |||||||||||||
|
3.500% |
03/01/47 | 50 | 51,791 | |||||||||||||
|
3.500% |
05/01/47 | 271 | 281,742 | |||||||||||||
|
3.500% |
05/01/47 | 885 | 918,984 | |||||||||||||
|
3.500% |
06/01/47 | 231 | 239,473 | |||||||||||||
|
3.500% |
07/01/47 | 634 | 658,069 | |||||||||||||
|
3.500% |
08/01/47 | 29 | 30,448 | |||||||||||||
|
3.500% |
09/01/47 | 57 | 59,544 | |||||||||||||
|
3.500% |
09/01/47 | 302 | 313,627 | |||||||||||||
|
3.500% |
11/01/47 | 3,826 | 4,025,918 | |||||||||||||
|
3.500% |
12/01/47 | 550 | 571,272 | |||||||||||||
|
3.500% |
12/01/47 | 3,027 | 3,144,394 | |||||||||||||
|
3.500% |
01/01/48 | 777 | 804,390 | |||||||||||||
|
3.500% |
01/01/48 | 1,169 | 1,214,655 | |||||||||||||
|
3.500% |
02/01/48 | 370 | 384,673 | |||||||||||||
|
3.500% |
02/01/48 | 1,338 | 1,389,522 | |||||||||||||
|
3.500% |
02/01/48 | 19,034 | 19,771,842 | |||||||||||||
|
3.500% |
03/01/48 | 37 | 38,538 | |||||||||||||
|
3.500% |
03/01/48 | 470 | 486,237 | |||||||||||||
|
3.500% |
04/01/48 | 335 | 345,754 | |||||||||||||
|
3.500% |
04/01/48 | 495 | 510,328 | |||||||||||||
|
Interest
|
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
|||||||||||||||
|
3.500% |
06/01/48 | 10,719 | $ | 11,049,185 | ||||||||||||
|
3.500% |
07/01/48 | 10,499 | 10,947,489 | |||||||||||||
|
3.500% |
12/01/48 | 1,193 | 1,232,735 | |||||||||||||
|
3.500% |
02/01/49 | 633 | 663,285 | |||||||||||||
|
3.500% |
04/01/49 | 31,697 | 32,748,701 | |||||||||||||
|
3.500% |
05/01/49 | 2,997 | 3,095,988 | |||||||||||||
|
3.500% |
05/01/49 | 3,816 | 3,970,862 | |||||||||||||
|
3.500% |
06/01/49 | 585 | 603,240 | |||||||||||||
|
3.500% |
06/01/49 | 2,134 | 2,205,116 | |||||||||||||
|
3.500% |
06/01/49 | 2,223 | 2,324,187 | |||||||||||||
|
3.500% |
06/01/49 | 23,897 | 24,586,837 | |||||||||||||
|
3.500% |
10/01/49 | 890 | 925,688 | |||||||||||||
|
3.500% |
11/01/49 | 100 | 103,171 | |||||||||||||
|
3.500% |
03/01/57 | 14,751 | 15,553,284 | |||||||||||||
|
3.640% |
11/01/28 | 900 | 973,113 | |||||||||||||
|
4.000% |
05/01/34 | 6,946 | 7,338,179 | |||||||||||||
|
4.000% |
10/01/40 | 2,522 | 2,703,802 | |||||||||||||
|
4.000% |
01/01/42 | 3,501 | 3,747,267 | |||||||||||||
|
4.000% |
04/01/42 | 161 | 171,933 | |||||||||||||
|
4.000% |
07/01/42 | 2,292 | 2,454,102 | |||||||||||||
|
4.000% |
10/01/42 | 1,360 | 1,455,976 | |||||||||||||
|
4.000% |
11/01/42 | 2,652 | 2,839,060 | |||||||||||||
|
4.000% |
12/01/42 | 128 | 136,555 | |||||||||||||
|
4.000% |
12/01/42 | 191 | 204,691 | |||||||||||||
|
4.000% |
12/01/42 | 1,056 | 1,130,287 | |||||||||||||
|
4.000% |
04/01/43 | 192 | 207,968 | |||||||||||||
|
4.000% |
06/01/43 | 47 | 51,086 | |||||||||||||
|
4.000% |
06/01/43 | 49 | 52,515 | |||||||||||||
|
4.000% |
06/01/43 | 77 | 82,216 | |||||||||||||
|
4.000% |
06/01/43 | 89 | 95,839 | |||||||||||||
|
4.000% |
06/01/43 | 104 | 112,110 | |||||||||||||
|
4.000% |
06/01/43 | 139 | 149,519 | |||||||||||||
|
4.000% |
06/01/43 | 142 | 153,201 | |||||||||||||
|
4.000% |
06/01/43 | 172 | 185,473 | |||||||||||||
|
4.000% |
06/01/43 | 201 | 215,900 | |||||||||||||
|
4.000% |
06/01/43 | 218 | 238,521 | |||||||||||||
|
4.000% |
06/01/43 | 227 | 245,079 | |||||||||||||
|
4.000% |
06/01/43 | 245 | 263,060 | |||||||||||||
|
4.000% |
06/01/43 | 446 | 482,312 | |||||||||||||
|
4.000% |
06/01/43 | 554 | 591,977 | |||||||||||||
|
4.000% |
06/01/43 | 6,624 | 7,088,928 | |||||||||||||
|
4.000% |
07/01/43 | 54 | 57,557 | |||||||||||||
|
4.000% |
07/01/43 | 472 | 504,384 | |||||||||||||
|
4.000% |
07/01/43 | 681 | 736,120 | |||||||||||||
|
4.000% |
07/01/43 | 822 | 880,843 | |||||||||||||
|
4.000% |
01/01/45 | 1,550 | 1,663,737 | |||||||||||||
|
4.000% |
02/01/45 | 3,151 | 3,449,367 | |||||||||||||
|
4.000% |
04/01/47 | 5,325 | 5,647,580 | |||||||||||||
|
4.000% |
05/01/47 | 1,121 | 1,188,308 | |||||||||||||
|
4.000% |
08/01/47 | 10,114 | 10,635,282 | |||||||||||||
|
4.000% |
09/01/47 | 13,679 | 14,383,543 | |||||||||||||
|
4.000% |
11/01/48 | 15,367 | 16,004,767 | |||||||||||||
|
4.000% |
06/01/49 | 98 | 102,265 | |||||||||||||
|
4.000% |
10/01/49 | 1,473 | 1,532,374 | |||||||||||||
|
4.000% |
02/01/56 | 10,973 | 11,810,095 | |||||||||||||
|
4.000% |
06/01/57 | 1,294 | 1,387,380 | |||||||||||||
|
4.500% |
04/01/31 | 367 | 392,072 | |||||||||||||
|
4.500% |
05/01/31 | 1,162 | 1,242,142 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A235
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
|||||||||||||||
|
4.500% |
06/01/31 | 399 | $ | 426,989 | ||||||||||||
|
4.500% |
11/01/31 | 497 | 530,847 | |||||||||||||
|
4.500% |
12/01/31 | 118 | 125,999 | |||||||||||||
|
4.500% |
12/01/31 | 598 | 638,910 | |||||||||||||
|
4.500% |
12/01/39 | 4 | 4,768 | |||||||||||||
|
4.500% |
09/01/41 | 491 | 533,017 | |||||||||||||
|
4.500% |
10/01/41 | 221 | 239,905 | |||||||||||||
|
4.500% |
10/01/41 | 345 | 374,872 | |||||||||||||
|
4.500% |
10/01/41 | 641 | 696,861 | |||||||||||||
|
4.500% |
09/01/42 | 71 | 77,750 | |||||||||||||
|
4.500% |
09/01/43 | 64 | 68,994 | |||||||||||||
|
4.500% |
09/01/43 | 109 | 118,509 | |||||||||||||
|
4.500% |
09/01/43 | 759 | 822,572 | |||||||||||||
|
4.500% |
10/01/43 | 4 | 3,900 | |||||||||||||
|
4.500% |
10/01/43 | 34 | 37,206 | |||||||||||||
|
4.500% |
10/01/43 | 77 | 83,466 | |||||||||||||
|
4.500% |
10/01/43 | 131 | 141,806 | |||||||||||||
|
4.500% |
10/01/43 | 510 | 552,620 | |||||||||||||
|
4.500% |
10/01/43 | 663 | 717,867 | |||||||||||||
|
4.500% |
11/01/43 | 73 | 78,898 | |||||||||||||
|
4.500% |
11/01/43 | 235 | 254,784 | |||||||||||||
|
4.500% |
11/01/43 | 472 | 511,877 | |||||||||||||
|
4.500% |
12/01/43 | 8 | 9,145 | |||||||||||||
|
4.500% |
12/01/43 | 342 | 371,091 | |||||||||||||
|
4.500% |
12/01/43 | 549 | 595,200 | |||||||||||||
|
4.500% |
01/01/44 | 291 | 315,167 | |||||||||||||
|
4.500% |
01/01/44 | 355 | 390,556 | |||||||||||||
|
4.500% |
01/01/44 | 372 | 403,091 | |||||||||||||
|
4.500% |
01/01/44 | 391 | 430,400 | |||||||||||||
|
4.500% |
01/01/44 | 2,206 | 2,430,227 | |||||||||||||
|
4.500% |
02/01/44 | 51 | 55,101 | |||||||||||||
|
4.500% |
02/01/44 | 100 | 108,048 | |||||||||||||
|
4.500% |
02/01/44 | 213 | 230,471 | |||||||||||||
|
4.500% |
02/01/44 | 233 | 251,433 | |||||||||||||
|
4.500% |
02/01/44 | 718 | 792,624 | |||||||||||||
|
4.500% |
02/01/44 | 1,336 | 1,424,551 | |||||||||||||
|
4.500% |
03/01/44 | 131 | 140,980 | |||||||||||||
|
4.500% |
03/01/44 | 318 | 344,021 | |||||||||||||
|
4.500% |
04/01/44 | 20 | 21,512 | |||||||||||||
|
4.500% |
04/01/44 | 23 | 25,158 | |||||||||||||
|
4.500% |
04/01/44 | 79 | 85,231 | |||||||||||||
|
4.500% |
04/01/44 | 315 | 343,006 | |||||||||||||
|
4.500% |
04/01/44 | 354 | 387,882 | |||||||||||||
|
4.500% |
04/01/44 | 615 | 678,883 | |||||||||||||
|
4.500% |
04/01/44 | 742 | 801,505 | |||||||||||||
|
4.500% |
04/01/44 | 966 | 1,078,844 | |||||||||||||
|
4.500% |
05/01/44 | 41 | 43,870 | |||||||||||||
|
4.500% |
05/01/44 | 118 | 127,575 | |||||||||||||
|
4.500% |
05/01/44 | 142 | 153,505 | |||||||||||||
|
4.500% |
05/01/44 | 1,012 | 1,092,884 | |||||||||||||
|
4.500% |
05/01/44 | 2,670 | 2,884,574 | |||||||||||||
|
4.500% |
06/01/44 | 120 | 130,146 | |||||||||||||
|
4.500% |
08/01/44 | 42 | 45,664 | |||||||||||||
|
4.500% |
10/01/44 | 3,998 | 4,350,559 | |||||||||||||
|
4.500% |
01/01/45 | 197 | 219,393 | |||||||||||||
|
4.500% |
07/01/48 | 3,815 | 4,065,773 | |||||||||||||
|
4.500% |
12/01/48 | 2,497 | 2,647,919 | |||||||||||||
|
4.500% |
04/01/49 | 2,279 | 2,406,943 | |||||||||||||
|
Interest
|
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
|||||||||||||||
|
4.500% |
05/01/49 | 6,100 | $ | 6,532,253 | ||||||||||||
|
4.500% |
04/01/56 | 2,895 | 3,172,334 | |||||||||||||
|
4.500% |
09/01/57 | 4,418 | 4,839,824 | |||||||||||||
|
5.000% |
07/01/33 | 167 | 183,133 | |||||||||||||
|
5.000% |
09/01/33 | 195 | 214,460 | |||||||||||||
|
5.000% |
10/01/35 | 565 | 620,845 | |||||||||||||
|
5.000% |
08/01/38 | 2,741 | 3,035,153 | |||||||||||||
|
5.000% |
01/01/39 | 14 | 15,054 | |||||||||||||
|
5.000% |
12/01/39 | 13 | 14,773 | |||||||||||||
|
5.000% |
05/01/40 | 22 | 24,380 | |||||||||||||
|
5.000% |
05/01/40 | 33 | 35,923 | |||||||||||||
|
5.000% |
06/01/40 | 89 | 98,399 | |||||||||||||
|
5.000% |
07/01/40 | 30 | 32,552 | |||||||||||||
|
5.000% |
11/01/40 | 877 | 966,689 | |||||||||||||
|
5.000% |
01/01/41 | 106 | 116,552 | |||||||||||||
|
5.000% |
02/01/41 | 44 | 47,522 | |||||||||||||
|
5.000% |
04/01/41 | 140 | 153,911 | |||||||||||||
|
5.000% |
05/01/41 | 178 | 195,964 | |||||||||||||
|
5.000% |
05/01/41 | 243 | 267,776 | |||||||||||||
|
5.000% |
05/01/41 | 272 | 299,635 | |||||||||||||
|
5.000% |
05/01/41 | 381 | 420,136 | |||||||||||||
|
5.000% |
05/01/41 | 1,300 | 1,433,206 | |||||||||||||
|
5.000% |
06/01/41 | 186 | 204,961 | |||||||||||||
|
5.000% |
11/01/46 | 5,455 | 6,014,228 | |||||||||||||
|
5.000% |
05/01/48 | 945 | 1,013,846 | |||||||||||||
|
5.000% |
10/01/48 | 6,929 | 7,412,149 | |||||||||||||
|
5.000% |
11/01/48 | 2,617 | 2,800,345 | |||||||||||||
|
5.000% |
11/01/48 | 9,055 | 9,690,298 | |||||||||||||
|
5.000% |
12/01/48 | 5,772 | 6,174,668 | |||||||||||||
|
5.500% |
11/01/28 | 29 | 31,671 | |||||||||||||
|
5.500% |
09/01/36 | 651 | 729,845 | |||||||||||||
|
5.500% |
03/01/37 | 11 | 12,668 | |||||||||||||
|
5.500% |
04/01/37 | 4 | 4,907 | |||||||||||||
|
5.500% |
05/01/37 | 309 | 345,895 | |||||||||||||
|
5.500% |
03/01/38 | 15 | 16,531 | |||||||||||||
|
5.500% |
06/01/38 | 230 | 257,181 | |||||||||||||
|
5.500% |
08/01/38 | 407 | 455,000 | |||||||||||||
|
5.500% |
05/01/40 | 27 | 29,882 | |||||||||||||
|
5.500% |
09/01/56 | 4,559 | 5,163,656 | |||||||||||||
|
6.000% |
04/01/33 | 107 | 122,002 | |||||||||||||
|
6.000% |
02/01/34 | 18 | 19,932 | |||||||||||||
|
6.000% |
11/01/35 | 201 | 227,541 | |||||||||||||
|
6.000% |
08/01/37 | 21 | 24,246 | |||||||||||||
|
6.000% |
08/01/37 | 413 | 466,928 | |||||||||||||
|
6.000% |
09/01/37 | 86 | 97,883 | |||||||||||||
|
6.500% |
05/01/40 | 3,818 | 4,455,536 | |||||||||||||
|
6.625% |
11/15/30 | 13,100 | 18,655,124 | |||||||||||||
|
7.000% |
04/01/37 | 224 | 266,071 | |||||||||||||
|
7.000% |
02/01/39 | 518 | 613,778 | |||||||||||||
|
7.000% |
02/01/39 | 852 | 1,006,868 | |||||||||||||
|
Government National Mortgage Assoc. |
|
|||||||||||||||
|
2.500% |
TBA | 36,000 | 36,145,800 | |||||||||||||
|
2.500% |
08/20/49 | 192 | 190,403 | |||||||||||||
|
2.500% |
09/20/49 | 1,385 | 1,372,696 | |||||||||||||
|
2.500% |
10/20/49 | 398 | 394,281 | |||||||||||||
|
2.500% |
11/20/49 | 699 | 692,385 | |||||||||||||
|
3.000% |
TBA | 51,000 | 52,381,590 | |||||||||||||
|
3.000% |
09/15/42 | 1,846 | 1,913,925 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A236
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
|||||||||||||||
|
3.000% |
09/15/42 | 2,744 | $ | 2,845,233 | ||||||||||||
|
3.000% |
10/15/42 | 3,459 | 3,587,276 | |||||||||||||
|
3.000% |
10/15/42 | 5,910 | 6,128,378 | |||||||||||||
|
3.000% |
11/15/42 | 3 | 3,469 | |||||||||||||
|
3.000% |
11/15/42 | 3,021 | 3,132,949 | |||||||||||||
|
3.000% |
09/20/47 | 165 | 170,524 | |||||||||||||
|
3.000% |
11/20/47 | 262 | 269,763 | |||||||||||||
|
3.000% |
12/20/47 | 2,377 | 2,450,489 | |||||||||||||
|
3.000% |
02/20/48 | 33 | 34,399 | |||||||||||||
|
3.000% |
12/20/49 | 22,400 | 23,020,230 | |||||||||||||
|
3.500% |
06/20/44 | 473 | 495,473 | |||||||||||||
|
3.500% |
03/20/45 | 413 | 430,903 | |||||||||||||
|
3.500% |
09/20/46 | 1,685 | 1,757,167 | |||||||||||||
|
3.500% |
10/20/47 | 2,359 | 2,460,089 | |||||||||||||
|
3.500% |
10/20/47 | 3,077 | 3,209,763 | |||||||||||||
|
3.500% |
11/20/47 | 454 | 471,348 | |||||||||||||
|
3.500% |
02/20/48 | 7,238 | 7,519,333 | |||||||||||||
|
3.500% |
06/15/48 | 1,132 | 1,192,076 | |||||||||||||
|
3.500% |
02/20/49 | 3,515 | 3,645,094 | |||||||||||||
|
3.500% |
09/20/49 | 27,211 | 28,206,712 | |||||||||||||
|
3.500% |
10/20/49 | 3,789 | 3,856,983 | |||||||||||||
|
3.500% |
10/20/49 | 12,347 | 12,798,181 | |||||||||||||
|
4.000% |
04/20/39 | 12 | 12,784 | |||||||||||||
|
4.000% |
06/20/47 | 3,498 | 3,661,396 | |||||||||||||
|
4.000% |
09/20/47 | 9,497 | 9,940,255 | |||||||||||||
|
4.000% |
11/20/47 | 4,021 | 4,208,562 | |||||||||||||
|
4.000% |
12/20/47 | 1,717 | 1,797,506 | |||||||||||||
|
4.000% |
02/20/48 | 1,421 | 1,487,264 | |||||||||||||
|
4.000% |
03/20/48 | 2,132 | 2,231,514 | |||||||||||||
|
4.000% |
04/20/48 | 2,253 | 2,345,990 | |||||||||||||
|
4.000% |
05/20/48 | 1,376 | 1,432,820 | |||||||||||||
|
4.000% |
07/20/48 | 2,864 | 2,982,355 | |||||||||||||
|
4.000% |
09/20/48 | 120 | 124,428 | |||||||||||||
|
4.000% |
05/20/49 | 2,401 | 2,490,724 | |||||||||||||
|
4.000% |
10/20/49 | 698 | 724,006 | |||||||||||||
|
4.000% |
11/20/49 | 4,394 | 4,557,367 | |||||||||||||
|
4.500% |
01/20/40 | 656 | 704,947 | |||||||||||||
|
4.500% |
05/20/40 | 836 | 899,110 | |||||||||||||
|
4.500% |
09/20/40 | 14 | 14,910 | |||||||||||||
|
4.500% |
01/20/41 | 141 | 152,065 | |||||||||||||
|
4.500% |
07/20/41 | 969 | 1,041,540 | |||||||||||||
|
4.500% |
06/20/48 | 3,383 | 3,551,417 | |||||||||||||
|
4.500% |
07/20/48 | 1,490 | 1,564,384 | |||||||||||||
|
4.500% |
09/20/48 | 433 | 454,672 | |||||||||||||
|
4.500% |
09/20/48 | 528 | 554,238 | |||||||||||||
|
4.500% |
09/20/48 | 1,102 | 1,157,118 | |||||||||||||
|
4.500% |
01/20/49 | 5,284 | 5,546,185 | |||||||||||||
|
4.500% |
03/20/49 | 5,636 | 5,915,786 | |||||||||||||
|
4.500% |
04/20/49 | 538 | 565,117 | |||||||||||||
|
5.000% |
04/15/40 | 4,698 | 5,242,256 | |||||||||||||
|
5.000% |
05/15/40 | 255 | 284,725 | |||||||||||||
|
5.000% |
07/20/40 | 66 | 72,303 | |||||||||||||
|
5.000% |
07/20/40 | 629 | 688,264 | |||||||||||||
|
5.000% |
09/20/40 | 366 | 399,660 | |||||||||||||
|
5.000% |
11/20/40 | 278 | 303,922 | |||||||||||||
|
5.000% |
10/20/47 | 1,271 | 1,341,849 | |||||||||||||
|
5.000% |
01/20/49 | 1,897 | 1,996,901 | |||||||||||||
|
5.500% |
06/15/36 | 542 | 616,174 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A237
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| ^ |
Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $7,397,473 and 0.2% of net assets. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $138,481,690; cash collateral of $141,471,668 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (cc) |
Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
| (ff) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (n) |
Rate shown reflects yield to maturity at purchased date. |
| (p) |
Interest rate not available as of December 31, 2019. |
| (rr) |
Perpetual security with no stated maturity date. |
| (s) |
Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
Exchange Traded
|
Description |
Call/
Put |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | ||||||||||||||||||||||
|
5 Year U.S. Treasury Notes Futures |
Call | 01/24/20 | $ | 118.50 | 584 | 584 | $ | 200,750 | ||||||||||||||||||||
|
Australian Dollar Currency |
Call | 01/03/20 | 68.00 | 34 | 34 | 81,260 | ||||||||||||||||||||||
|
Australian Dollar Currency |
Call | 01/03/20 | 68.50 | 36 | 36 | 68,040 | ||||||||||||||||||||||
|
Australian Dollar Currency |
Call | 02/07/20 | 69.00 | 17 | 17 | 26,520 | ||||||||||||||||||||||
|
Australian Dollar Currency |
Call | 02/07/20 | 69.50 | 42 | 42 | 49,140 | ||||||||||||||||||||||
|
Canadian Dollar Futures |
Call | 01/03/20 | 76.00 | 34 | 34 | 37,060 | ||||||||||||||||||||||
|
Euro Futures |
Call | 01/03/20 | 1.11 | 51 | 6,375 | 116,025 | ||||||||||||||||||||||
|
Euro Futures |
Call | 02/07/20 | 1.13 | 8 | 1,000 | 9,100 | ||||||||||||||||||||||
|
10 Year Euro-Bund Futures |
Call | 01/24/20 | 172.50 | 32 | EUR | 32 | 6,102 | |||||||||||||||||||||
|
10 Year Euro-Bund Futures |
Call | 01/24/20 | 180.50 | 850 | EUR | 850 | 9,534 | |||||||||||||||||||||
|
10 Year Euro-Bund Futures |
Call | 01/24/20 | 181.00 | 38 | EUR | 38 | 426 | |||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Call | 01/24/20 | $ | 155.50 | 25 | 25 | 35,547 | |||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Call | 01/24/20 | $ | 156.00 | 62 | 62 | 71,688 | |||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Call | 01/24/20 | $ | 156.50 | 25 | 25 | 23,047 | |||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Call | 01/24/20 | $ | 157.00 | 20 | 20 | 14,688 | |||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Call | 02/21/20 | $ | 187.00 | 383 | 383 | — | |||||||||||||||||||||
|
2 Year U.S. Treasury Notes Futures |
Put | 01/24/20 | $ | 107.13 | 1,550 | 3,100 | — | |||||||||||||||||||||
|
2 Year U.S. Treasury Notes Futures |
Put | 02/21/20 | $ | 105.75 | 1,767 | 3,534 | — | |||||||||||||||||||||
|
5 Year U.S. Treasury Notes Futures |
Put | 01/24/20 | $ | 114.75 | 1,009 | 1,009 | — | |||||||||||||||||||||
|
5 Year U.S. Treasury Notes Futures |
Put | 02/21/20 | $ | 111.00 | 15,068 | 15,068 | — | |||||||||||||||||||||
|
5 Year U.S. Treasury Notes Futures |
Put | 02/21/20 | $ | 114.25 | 2,111 | 2,111 | 16,493 | |||||||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Put | 01/24/20 | $ | 128.00 | 88 | 88 | 28,875 | |||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A238
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Options Purchased (continued):
Exchange Traded
|
Description |
Call/
Put |
Expiration
Date |
Strike | Contracts |
Notional Amount (000)# |
Value | ||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Put | 01/24/20 | $ | 128.50 | 25 | 25 | $ | 13,672 | ||||||||||||||
|
Australian Dollar Currency |
Put | 01/03/20 | 68.00 | 35 | 35 | 175 | ||||||||||||||||
|
Canadian Dollar Futures |
Put | 01/03/20 | 75.50 | 77 | 77 | 385 | ||||||||||||||||
|
Euro Futures |
Put | 01/03/20 | 1.11 | 34 | 4,250 | 213 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
|
Total Options Purchased
|
$ | 808,740 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Options Written:
Exchange Traded
|
Description |
Call/
Put |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | ||||||||||||||||||||||
|
5 Year U.S. Treasury Notes Futures |
Call | 01/24/20 | $ | 118.75 | 414 | 414 | $ | (90,563 | ) | |||||||||||||||||||
|
5 Year U.S. Treasury Notes Futures |
Call | 01/24/20 | $ | 119.00 | 750 | 750 | (99,610 | ) | ||||||||||||||||||||
|
5 Year U.S. Treasury Notes Futures |
Call | 01/24/20 | $ | 119.25 | 260 | 260 | (20,313 | ) | ||||||||||||||||||||
|
5 Year U.S. Treasury Notes Futures |
Call | 02/21/20 | $ | 118.75 | 130 | 130 | (47,734 | ) | ||||||||||||||||||||
|
5 Year U.S. Treasury Notes Futures |
Call | 02/21/20 | $ | 119.00 | 259 | 259 | (70,820 | ) | ||||||||||||||||||||
|
10 Year Euro-Bund Futures |
Call | 01/24/20 | 171.50 | 32 | EUR | 32 | (13,999 | ) | ||||||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Call | 01/24/20 | $ | 128.50 | 144 | 144 | (67,500 | ) | ||||||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Call | 01/24/20 | $ | 128.75 | 75 | 75 | (26,953 | ) | ||||||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Call | 01/24/20 | $ | 129.00 | 169 | 169 | (44,891 | ) | ||||||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Call | 01/24/20 | $ | 129.50 | 417 | 417 | (58,641 | ) | ||||||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Call | 01/24/20 | $ | 130.00 | 327 | 327 | (25,547 | ) | ||||||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Call | 01/24/20 | $ | 130.50 | 75 | 75 | (3,516 | ) | ||||||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Call | 02/21/20 | $ | 129.00 | 161 | 161 | (85,531 | ) | ||||||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Call | 02/21/20 | $ | 129.50 | 150 | 150 | (56,250 | ) | ||||||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Call | 02/21/20 | $ | 130.50 | 76 | 76 | (13,063 | ) | ||||||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Call | 02/21/20 | $ | 131.00 | 651 | 651 | (81,375 | ) | ||||||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Call | 02/21/20 | $ | 131.50 | 153 | 153 | (14,344 | ) | ||||||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Call | 02/21/20 | $ | 132.00 | 51 | 51 | (3,188 | ) | ||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Call | 01/24/20 | $ | 158.00 | 62 | 62 | (27,125 | ) | ||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Call | 01/24/20 | $ | 159.00 | 65 | 65 | (16,250 | ) | ||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Call | 01/24/20 | $ | 160.00 | 63 | 63 | (9,844 | ) | ||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Call | 01/24/20 | $ | 161.00 | 12 | 12 | (1,125 | ) | ||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Call | 01/24/20 | $ | 162.00 | 38 | 38 | (2,375 | ) | ||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Call | 02/21/20 | $ | 157.00 | 62 | 62 | (79,438 | ) | ||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Call | 02/21/20 | $ | 158.00 | 99 | 99 | (92,813 | ) | ||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Call | 02/21/20 | $ | 160.00 | 326 | 326 | (157,906 | ) | ||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Call | 02/21/20 | $ | 161.00 | 12 | 12 | (4,125 | ) | ||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Call | 02/21/20 | $ | 162.00 | 26 | 26 | (6,500 | ) | ||||||||||||||||||||
|
Euro Futures |
Call | 01/03/20 | 1.12 | 17 | 2,125 | (17,638 | ) | |||||||||||||||||||||
|
5 Year U.S. Treasury Notes Futures |
Put | 01/24/20 | $ | 118.00 | 361 | 361 | (28,203 | ) | ||||||||||||||||||||
|
5 Year U.S. Treasury Notes Futures |
Put | 01/24/20 | $ | 118.50 | 261 | 261 | (61,172 | ) | ||||||||||||||||||||
|
5 Year U.S. Treasury Notes Futures |
Put | 01/24/20 | $ | 118.75 | 26 | 26 | (9,344 | ) | ||||||||||||||||||||
|
5 Year U.S. Treasury Notes Futures |
Put | 02/21/20 | $ | 118.00 | 78 | 78 | (15,234 | ) | ||||||||||||||||||||
|
5 Year U.S. Treasury Notes Futures |
Put | 02/21/20 | $ | 118.50 | 182 | 182 | (69,672 | ) | ||||||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Put | 01/24/20 | $ | 129.00 | 25 | 25 | (21,094 | ) | ||||||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Put | 02/21/20 | $ | 128.00 | 127 | 127 | (73,422 | ) | ||||||||||||||||||||
|
10 Year U.S. Treasury Notes Futures |
Put | 02/21/20 | $ | 128.50 | 76 | 76 | (61,750 | ) | ||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Put | 01/24/20 | $ | 155.00 | 38 | 38 | (30,875 | ) | ||||||||||||||||||||
|
20 Year U.S. Treasury Bonds Futures |
Put | 01/24/20 | $ | 156.00 | 25 | 25 | (31,250 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
|
Total Exchange Traded
|
$ | (1,640,993 | ) | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A239
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Options Written (continued):
OTC Swaptions
Futures contracts outstanding at December 31, 2019:
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
| Long Positions: | ||||||||||||||||
| 1,281 | 90 Day Euro Dollar | Jun. 2020 | $ | 314,837,775 | $ | 1,606,550 | ||||||||||
| 1,487 | 90 Day Euro Dollar | Dec. 2020 | 365,727,650 | (468,271 | ) | |||||||||||
| 2,047 | 90 Day Euro Dollar | Mar. 2021 | 503,766,700 | 1,108,360 | ||||||||||||
| 3,706 | 2 Year U.S. Treasury Notes | Mar. 2020 | 798,643,000 | (507,795 | ) | |||||||||||
| 40 | 5 Year Euro-Bobl | Mar. 2020 | 5,995,711 | (22,039 | ) | |||||||||||
| 20,921 | 5 Year U.S. Treasury Notes | Mar. 2020 | 2,481,426,839 | (7,809,871 | ) | |||||||||||
| 503 | 10 Year U.S. Treasury Notes | Mar. 2020 | 64,596,206 | (216,055 | ) | |||||||||||
| 4,124 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2020 | 749,150,375 | (23,299,401 | ) | |||||||||||
| 507 | Australian Dollar Currency | Mar. 2020 | 35,682,660 | 1,087,633 | ||||||||||||
| 387 | British Pound Currency | Mar. 2020 | 32,150,025 | 207,739 | ||||||||||||
| 761 | Canadian Dollar Currency | Mar. 2020 | 58,661,685 | 1,116,167 | ||||||||||||
| 1,121 | Euro Currency | Mar. 2020 | 158,089,025 | 1,805,236 | ||||||||||||
| 767 | Euro-BTP Italian Government Bond | Mar. 2020 | 122,564,592 | 177,307 | ||||||||||||
| 1,980 | Mexican Peso | Mar. 2020 | 51,866,100 | 1,138,275 | ||||||||||||
| 349 | Russian Ruble Currency | Mar. 2020 | 13,955,638 | 417,752 | ||||||||||||
| 44 | Swiss Franc Currency | Mar. 2020 | 5,720,000 | 102,396 | ||||||||||||
|
|
|
|||||||||||||||
| (23,556,017 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| Short Positions: | ||||||||||||||||
| 4,524 | 90 Day Euro Dollar | Jan. 2020 | 1,110,444,075 | (123,382 | ) | |||||||||||
| 19 | 90 Day Euro Euribor | Jan. 2020 | 5,348,588 | 774 | ||||||||||||
| 3,519 | 90 Day Euro Dollar | Mar. 2020 | 864,486,337 | 220,160 | ||||||||||||
| 340 | 90 Day Euro Euribor | Mar. 2020 | 95,711,576 | 9,161 | ||||||||||||
| 2,522 | 90 Day Euro Dollar | Jun. 2021 | 620,664,200 | (179,675 | ) | |||||||||||
| 44 | 10 Year Australian Treasury Bonds | Mar. 2020 | 4,414,118 | 76,136 | ||||||||||||
| 2,139 | 10 Year Euro-Bund | Mar. 2020 | 409,059,436 | 3,870,530 | ||||||||||||
| 71 | 10 Year Japanese Bonds | Mar. 2020 | 99,441,167 | 149,769 | ||||||||||||
| 833 | 10 Year U.K. Gilt | Mar. 2020 | 144,963,615 | 1,308,520 | ||||||||||||
| 149 | 10 Year U.S. Ultra Treasury Notes | Mar. 2020 | 20,964,766 | 299,526 | ||||||||||||
| 1,888 | 20 Year U.S. Treasury Bonds | Mar. 2020 | 294,351,000 | 6,669,404 | ||||||||||||
| 7 | 30 Day Federal Funds | Jan. 2020 | 2,871,615 | (15,533 | ) | |||||||||||
| 106 | 30 Year Euro Buxl | Mar. 2020 | 23,587,422 | 577,937 | ||||||||||||
| 118 | Euro-OAT | Mar. 2020 | 21,544,335 | 173,458 | ||||||||||||
| 50 | Japanese Yen Currency | Mar. 2020 | 5,778,438 | 6,125 | ||||||||||||
|
|
|
|||||||||||||||
| 13,042,910 | ||||||||||||||||
|
|
|
|||||||||||||||
| $ | (10,513,107 | ) | ||||||||||||||
|
|
|
|||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A240
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019:
|
Purchase Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts: |
|
|||||||||||||||||||||||||||
|
Brazilian Real, |
||||||||||||||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | BRL | 198,330 | $ | 47,433,751 | $ | 49,276,268 | $ | 1,842,517 | $ | — | |||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | BRL | 164,055 | 39,169,108 | 40,760,390 | 1,591,282 | — | |||||||||||||||||||||
|
British Pound, |
||||||||||||||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | GBP | 7,285 | 9,398,546 | 9,654,439 | 255,893 | — | |||||||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | GBP | 7,123 | 9,243,141 | 9,439,910 | 196,769 | — | |||||||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | GBP | 1,972 | 2,418,881 | 2,613,345 | 194,464 | — | |||||||||||||||||||||
|
Canadian Dollar, |
||||||||||||||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | CAD | 33,870 | 25,671,732 | 26,085,399 | 413,667 | — | |||||||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | CAD | 12,905 | 9,777,106 | 9,939,170 | 162,064 | — | |||||||||||||||||||||
|
Euro, |
||||||||||||||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | EUR | 13,400 | 14,997,575 | 15,046,662 | 49,087 | — | |||||||||||||||||||||
|
Indian Rupee, |
||||||||||||||||||||||||||||
|
Expiring 01/17/20 |
Barclays Bank PLC | INR | 2,484,064 | 34,675,475 | 34,826,994 | 151,519 | — | |||||||||||||||||||||
|
Indonesian Rupiah, |
||||||||||||||||||||||||||||
|
Expiring 01/17/20 |
Barclays Bank PLC | IDR | 816,637,176 | 56,703,040 | 58,968,916 | 2,265,876 | — | |||||||||||||||||||||
|
South African Rand, |
||||||||||||||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | ZAR | 92,330 | 6,007,548 | 6,577,475 | 569,927 | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 255,495,903 | $ | 263,188,968 | 7,693,065 | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
|
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 01/17/20 |
Citibank, N.A. | AUD | 22,494 | $ | 15,117,945 | $ | 15,791,786 | $ | — | $ | (673,841 | ) | ||||||||||||||||
|
British Pound, |
||||||||||||||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | GBP | 7,123 | 9,603,692 | 9,439,910 | 163,782 | — | |||||||||||||||||||||
|
Chinese Renminbi, |
||||||||||||||||||||||||||||
|
Expiring 01/17/20 |
Barclays Bank PLC | CNH | 154,480 | 21,664,680 | 22,184,645 | — | (519,965 | ) | ||||||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | CNH | 129,996 | 18,186,339 | 18,668,527 | — | (482,188 | ) | ||||||||||||||||||||
|
Expiring 01/17/20 |
JPMorgan Chase Bank, N.A. | CNH | 126,408 | 17,720,883 | 18,153,320 | — | (432,437 | ) | ||||||||||||||||||||
|
Colombian Peso, |
||||||||||||||||||||||||||||
|
Expiring 01/17/20 |
Barclays Bank PLC | COP | 1,797,410 | 512,207 | 546,431 | — | (34,224 | ) | ||||||||||||||||||||
|
Euro, |
||||||||||||||||||||||||||||
|
Expiring 01/17/20 |
Barclays Bank PLC | EUR | 78,280 | 86,712,165 | 87,899,456 | — | (1,187,291 | ) | ||||||||||||||||||||
|
Expiring 01/17/20 |
BNP Paribas | EUR | 37,920 | 41,908,646 | 42,579,839 | — | (671,193 | ) | ||||||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | EUR | 82,590 | 91,138,891 | 92,739,091 | — | (1,600,200 | ) | ||||||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | EUR | 15,203 | 17,062,088 | 17,070,833 | — | (8,745 | ) | ||||||||||||||||||||
|
Japanese Yen, |
||||||||||||||||||||||||||||
|
Expiring 01/17/20 |
Barclays Bank PLC | JPY | 71,619 | 673,762 | 659,766 | 13,996 | — | |||||||||||||||||||||
|
Mexican Peso, |
||||||||||||||||||||||||||||
|
Expiring 01/17/20 |
Barclays Bank PLC | MXN | 684,035 | 34,107,425 | 36,086,674 | — | (1,979,249 | ) | ||||||||||||||||||||
|
Philippine Peso, |
||||||||||||||||||||||||||||
|
Expiring 01/17/20 |
JPMorgan Chase Bank, N.A. | PHP | 1,369,122 | 26,101,882 | 26,994,817 | — | (892,935 | ) | ||||||||||||||||||||
|
Russian Ruble, |
||||||||||||||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | RUB | 1,030,314 | 15,871,246 | 16,565,278 | — | (694,032 | ) | ||||||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | RUB | 240,639 | 3,742,439 | 3,868,966 | — | (126,527 | ) | ||||||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | RUB | 140,686 | 2,182,530 | 2,261,934 | — | (79,404 | ) | ||||||||||||||||||||
|
Expiring 01/17/20 |
JPMorgan Chase Bank, N.A. | RUB | 230,538 | 3,592,695 | 3,706,614 | — | (113,919 | ) | ||||||||||||||||||||
|
Expiring 01/17/20 |
JPMorgan Chase Bank, N.A. | RUB | 218,031 | 3,385,357 | 3,505,519 | — | (120,162 | ) | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A241
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019 (continued):
|
Sale Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts (continued): |
|
|||||||||||||||||||||||||||
|
Swiss Franc, |
||||||||||||||||||||||||||||
|
Expiring 01/17/20 |
Barclays Bank PLC | CHF | 5,500 | $ | 5,587,955 | $ | 5,689,984 | $ | — | $ | (102,029 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 414,872,827 | $ | 424,413,390 | 177,778 | (9,718,341 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 7,870,843 | $ | (9,718,341 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
Credit default swap agreements outstanding at December 31, 2019:
|
Reference Entity/Obligation |
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Implied Credit
Spread at December 31, 2019(4) |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||
|
Centrally Cleared Credit Default Swap Agreements on credit indices—Sell Protection(2): |
|
|||||||||||||||||||||||||||
|
CDX.NA.IG.33 |
12/20/24 | 1.000 | %(Q) | 243,703 | 0.452 | % | $ | 4,837,434 | $ | 6,401,016 | $ | 1,563,582 | ||||||||||||||||
|
CDX.NA.IG.33 |
12/20/29 | 1.000 | %(Q) | 17,470 | 0.899 | % | (113,698 | ) | 157,646 | 271,344 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | 4,723,736 | $ | 6,558,662 | $ | 1,834,926 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A242
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Interest rate swap agreements outstanding at December 31, 2019:
|
Notional
Amount (000)# |
Termination
Date |
Fixed
|
Floating Rate |
Value at
Trade Date |
Value at
December 31, 2019 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements: |
||||||||||||||||||||||||||
| EUR | 3,997 | 08/23/47 |
1.498%(A) |
6 Month EURIBOR(1)(S) | $ | (4,320 | ) | $ | (1,067,047 | ) | $ | (1,062,727 | ) | |||||||||||||
| JPY | 2,200,700 | 05/09/46 |
0.641%(S) |
6 Month JPY LIBOR(1)(S) | — | (1,284,519 | ) | (1,284,519 | ) | |||||||||||||||||
| MXN | 529,900 | 07/18/29 |
7.450%(M) |
28 Day Mexican Interbank Rate(2)(M) | 222,831 | 1,335,277 | 1,112,446 | |||||||||||||||||||
| MXN | 457,440 | 07/20/29 |
7.440%(M) |
28 Day Mexican Interbank Rate(2)(M) | 232,924 | 1,135,665 | 902,741 | |||||||||||||||||||
| 76,600 | 06/14/20 |
1.671%(S) |
3 Month LIBOR(2)(Q) | (22,076 | ) | (70,858 | ) | (48,782 | ) | |||||||||||||||||
| 106,594 | 09/15/21 |
1.350%(A) |
1 Day USOIS(1)(A) | (20,273 | ) | 201,955 | 222,228 | |||||||||||||||||||
| 594,474 | 06/30/26 |
1.550%(S) |
3 Month LIBOR(1)(Q) | 1,901,742 | 8,379,064 | 6,477,322 | ||||||||||||||||||||
| 130,937 | 07/31/26 |
1.520%(S) |
3 Month LIBOR(1)(Q) | 483,139 | 2,109,708 | 1,626,569 | ||||||||||||||||||||
| 146,272 | 11/15/26 |
1.550%(A) |
1 Day USOIS(1)(A) | 189,424 | 14,567 | (174,857 | ) | |||||||||||||||||||
| 6,243 | 11/15/44 |
1.810%(S) |
3 Month LIBOR(1)(Q) | 8,355 | 346,758 | 338,403 | ||||||||||||||||||||
| 119,340 | 11/15/44 |
1.850%(S) |
3 Month LIBOR(1)(Q) | 242,969 | 5,666,476 | 5,423,507 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 3,234,715 | $ | 16,767,046 | $ | 13,532,331 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
|
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Fair
Value |
Upfront
Premiums Paid (Received) |
Unrealized
Appreciation (Depreciation) |
Counterparty | |||||||||||||||||||||||||
|
OTC Interest Rate Swap Agreements: |
||||||||||||||||||||||||||||||||
| BRL | 229,875 | 01/02/20 | 8.410 | %(T) | 1 Day BROIS(2)(T) | $ | 1,818,094 | $ | — | $ | 1,818,094 | Citibank, N.A. | ||||||||||||||||||||
| BRL | 79,700 | 01/02/20 | 8.410 | %(T) | 1 Day BROIS(2)(T) | 659,796 | 72,679 | 587,117 | Citibank, N.A. | |||||||||||||||||||||||
| BRL | 52,000 | 01/02/20 | 8.410 | %(T) | 1 Day BROIS(2)(T) | 411,271 | 29,381 | 381,890 | Citibank, N.A. | |||||||||||||||||||||||
| BRL | 46,800 | 01/02/20 | 8.410 | %(T) | 1 Day BROIS(2)(T) | 370,533 | 11,101 | 359,432 | Citibank, N.A. | |||||||||||||||||||||||
| BRL | 24,375 | 01/02/20 | 8.410 | %(T) | 1 Day BROIS(2)(T) | 192,783 | 25,104 | 167,679 | Citibank, N.A. | |||||||||||||||||||||||
| BRL | 58,256 | 01/04/27 | 7.024 | %(T) | 1 Day BROIS(2)(T) | 361,072 | 35,737 | 325,335 | Citibank, N.A. | |||||||||||||||||||||||
| BRL | 54,700 | 01/04/27 | 7.024 | %(T) | 1 Day BROIS(2)(T) | 339,032 | 28,780 | 310,252 | Citibank, N.A. | |||||||||||||||||||||||
| BRL | 46,100 | 01/04/27 | 7.024 | %(T) | 1 Day BROIS(2)(T) | 285,729 | — | 285,729 | Citibank, N.A. | |||||||||||||||||||||||
| BRL | 37,900 | 01/04/27 | 7.044 | %(T) | 1 Day BROIS(2)(T) | 243,485 | — | 243,485 |
|
JPMorgan Chase
Bank, N.A. |
|
|||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 4,681,795 | $ | 202,782 | $ | 4,479,013 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (1) |
The Portfolio pays the fixed rate and receives the floating rate. |
| (2) |
The Portfolio pays the floating rate and receives the fixed rate. |
Balances Reported in the Statement of Assets and Liabilities for OTC Swap Agreements:
|
Premiums
Paid |
Premiums
Received |
Unrealized
Appreciation |
Unrealized
Depreciation |
|||||||||||||
|
OTC Swap Agreements |
$ | 202,782 | $ | — | $ | 4,479,013 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||
|
Goldman Sachs & Co. LLC |
$ | 35,738,603 | $ | — | ||||
|
|
|
|
|
|||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— |
unadjusted quoted prices generally in active markets for identical securities. |
| Level 2— |
quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
| Level 3— |
unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A243
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Automobiles |
$ | — | $ | 26,413,857 | $ | — | ||||||
|
Collateralized Loan Obligations |
— | 46,014,987 | — | |||||||||
|
Home Equity Loans |
— | 14,739,214 | — | |||||||||
|
Other |
— | 8,486,806 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 30,384,946 | — | |||||||||
|
Small Business Loan |
— | 8,535,994 | — | |||||||||
|
Student Loans |
— | 17,438,722 | — | |||||||||
|
Bank Loans |
— | 169,016,581 | 7,397,473 | |||||||||
|
Commercial Mortgage-Backed Securities |
— | 145,677,237 | — | |||||||||
|
Corporate Bonds |
— | 1,223,178,405 | — | |||||||||
|
Municipal Bond |
— | 1,172,969 | — | |||||||||
|
Residential Mortgage-Backed Securities |
— | 281,044,765 | — | |||||||||
|
Sovereign Bonds |
— | 323,155,024 | — | |||||||||
|
U.S. Government Agency Obligations |
— | 1,358,102,317 | — | |||||||||
|
U.S. Treasury Obligations |
— | 112,465,228 | — | |||||||||
|
Affiliated Mutual Funds |
166,801,143 | — | — | |||||||||
|
Options Purchased |
808,740 | — | — | |||||||||
|
Commercial Paper |
— | 14,625,107 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 167,609,883 | $ | 3,780,452,159 | $ | 7,397,473 | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Options Written |
$ | (1,640,993 | ) | $ | (39,791 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures Contracts |
$ | 22,128,915 | $ | — | $ | — | ||||||
|
OTC Forward Foreign Currency Exchange Contracts |
— | 7,870,843 | — | |||||||||
|
Centrally Cleared Credit Default Swap Agreements |
— | 1,834,926 | — | |||||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | 16,103,216 | — | |||||||||
|
OTC Interest Rate Swap Agreements |
— | 4,681,795 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 22,128,915 | $ | 30,490,780 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (32,642,022 | ) | $ | — | $ | — | |||||
|
OTC Forward Foreign Currency Exchange Contracts |
— | (9,718,341 | ) | — | ||||||||
|
Centrally Cleared Credit Default Swap Agreement |
— | (721,320 | ) | — | ||||||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | (2,570,885 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (32,642,022 | ) | $ | (13,010,546 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows (unaudited):
|
U.S. Government Agency Obligations |
36.3 | % | ||
|
Banks |
10.6 | |||
|
Sovereign Bonds |
8.6 | |||
|
Residential Mortgage-Backed Securities |
8.3 | |||
|
Affiliated Mutual Funds (3.8% represents investments purchased with collateral from securities on loan) |
4.5 | |||
|
Commercial Mortgage-Backed Securities |
3.9 | |||
|
Oil & Gas |
3.7 |
|
Pharmaceuticals |
3.3 | % | ||
|
U.S. Treasury Obligations |
3.0 | |||
|
Media |
2.0 | |||
|
Telecommunications |
1.3 | |||
|
Collateralized Loan Obligations |
1.3 | |||
|
Healthcare-Services |
1.2 | |||
|
Pipelines |
1.2 | |||
|
Mining |
1.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A244
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Industry Classification (con’t):
|
Electric |
1.0 | % | ||
|
Agriculture |
1.0 | |||
|
Lodging |
0.9 | |||
|
Diversified Financial Services |
0.9 | |||
|
Aerospace & Defense |
0.8 | |||
|
Software |
0.7 | |||
|
Automobiles |
0.7 | |||
|
Commercial Services |
0.6 | |||
|
Internet |
0.6 | |||
|
Beverages |
0.6 | |||
|
Insurance |
0.5 | |||
|
Computers |
0.5 | |||
|
Retail |
0.5 | |||
|
Student Loans |
0.5 | |||
|
Miscellaneous Manufacturing |
0.5 | |||
|
Healthcare-Products |
0.4 | |||
|
Home Equity Loans |
0.4 | |||
|
Commercial Paper |
0.4 | |||
|
Foods |
0.3 | |||
|
Transportation |
0.3 | |||
|
Chemicals |
0.3 | |||
|
Iron/Steel |
0.2 | |||
|
Entertainment |
0.2 | |||
|
Auto Manufacturers |
0.2 | |||
|
Small Business Loan |
0.2 | |||
|
Other |
0.2 | |||
|
Investment Companies |
0.2 | |||
|
Environmental Control |
0.2 |
|
Oil & Gas Services |
0.2 | % | ||
|
Packaging & Containers |
0.2 | |||
|
Real Estate Investment Trusts (REITs) |
0.2 | |||
|
Auto Parts & Equipment |
0.2 | |||
|
Home Builders |
0.1 | |||
|
Biotechnology |
0.1 | |||
|
Leisure Time |
0.1 | |||
|
Trucking & Leasing |
0.1 | |||
|
Food Service |
0.1 | |||
|
Holding Companies-Diversified |
0.1 | |||
|
Building Materials |
0.1 | |||
|
Airlines |
0.0 | * | ||
|
Housewares |
0.0 | * | ||
|
Municipal Bond |
0.0 | * | ||
|
Machinery-Construction & Mining |
0.0 | * | ||
|
Household Products/Wares |
0.0 | * | ||
|
Apparel |
0.0 | * | ||
|
Semiconductors |
0.0 | * | ||
|
Options Purchased |
0.0 | * | ||
|
Machinery-Diversified |
0.0 | * | ||
|
|
|
|||
| 105.6 | ||||
|
Options Written |
(0.1 | ) | ||
|
Liabilities in excess of other assets |
(5.5 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Asset Derivatives |
Liability Derivatives |
||||||||||
|
Statement of Assets and
|
Fair Value |
Statement of Assets and
|
Fair Value | |||||||||
|
Credit contracts |
Due from/to broker — variation margin swaps | $ | 1,834,926 | * | Due from/to broker — variation margin swaps | $ | 721,320 | * | ||||
|
Foreign exchange contracts |
Due from/to broker — variation margin futures | 5,881,323 | * | — | — | |||||||
|
Foreign exchange contracts |
Unaffiliated investments | 387,918 | Options written outstanding, at value | 17,638 | ||||||||
|
Foreign exchange contracts |
Unrealized appreciation on OTC forward foreign currency exchange contracts | 7,870,843 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 9,718,341 | ||||||||
|
Interest rate contracts |
Due from/to broker — variation margin futures | 16,247,592 | * | Due from/to broker — variation margin futures | 32,642,022 | * | ||||||
|
Interest rate contracts |
Due from/to broker — variation margin swaps | 16,103,216 | * | Due from/to broker — variation margin swaps | 2,570,885 | * | ||||||
|
Interest rate contracts |
Premiums paid for OTC swap agreements | 202,782 | — | — | ||||||||
|
Interest rate contracts |
Unaffiliated investments | 420,822 | Options written outstanding, at value | 1,663,146 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A245
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Derivatives not accounted for as hedging
|
Asset Derivatives |
Liability Derivatives |
||||||||||
|
Statement of Assets and
|
Fair Value |
Statement of Assets and
|
Fair Value | |||||||||
|
Interest rate contracts |
Unrealized appreciation on OTC swap agreements |
$ | 4,479,013 | — | $ | — | ||||||
|
|
|
|
|
|||||||||
| $ | 53,428,435 | $ | 47,333,352 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
|
Amount of Realized Gain (Loss) on Derivatives Recognized in Income |
||||||||||||||||||||
|
Derivatives not accounted for as hedging
|
Options
Purchased(1) |
Options
Written |
Futures |
Forward
Currency Exchange Contracts |
Swaps | |||||||||||||||
|
Credit contracts |
$ | (227,399 | ) | $ | 235,321 | $ | — | $ | — | $ | 11,699,059 | |||||||||
|
Foreign exchange contracts |
(7,691,784 | ) | 3,368,915 | (905,854 | ) | 18,202,733 | — | |||||||||||||
|
Interest rate contracts |
(12,955,070 | ) | 26,294,853 | 79,462,201 | — | (51,592,570 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total |
$ | (20,874,253 | ) | $ | 29,899,089 | $ | 78,556,347 | $ | 18,202,733 | $ | (39,893,511 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Options
|
Options
|
Futures
|
Futures
|
Forward
Foreign
|
||||||||
| $2,767,396 | $112,879,610 | $5,252,621,660 | $2,910,381,984 | $469,818,816 |
|
Forward Foreign
Currency Exchange Contracts— Sold(3) |
Interest Rate
Swap Agreements(2) |
Credit Default
Swap Agreements— Buy Protection(2) |
||||||
| $584,106,730 | $1,873,017,823 | $12,180,600 |
|
Credit Default
Swap Agreements— Sell Protection(2) |
||||
| $407,096,727 |
SEE NOTES TO FINANCIAL STATEMENTS.
A246
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
| (1) |
Cost. |
| (2) |
Notional Amount in USD. |
| (3) |
Value at Settlement Date. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 138,481,690 | $ | (138,481,690 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
Offsetting of OTC derivative assets and liabilities:
|
Counterparty |
Gross Amounts of
Recognized Assets(1) |
Gross Amounts of
Recognized Liabilities(1) |
Net Amounts of
Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net Amount | |||||||||||||||
|
Barclays Bank PLC |
$ | 2,431,391 | $ | (3,822,758 | ) | $ | (1,391,367 | ) | $ | — | $ | (1,391,367 | ) | |||||||
|
BNP Paribas |
— | (671,193 | ) | (671,193 | ) | — | (671,193 | ) | ||||||||||||
|
Citibank, N.A. |
9,877,762 | (3,704,728 | ) | 6,173,034 | (6,173,034 | ) | — | |||||||||||||
|
JPMorgan Chase Bank, N.A. |
243,485 | (1,559,453 | ) | (1,315,968 | ) | 830,000 | (485,968 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 12,552,638 | $ | (9,758,132 | ) | $ | 2,794,506 | $ | (5,343,034 | ) | $ | (2,548,528 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A247
| AST WESTERN ASSET CORE PLUS BOND PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loanof $138,481,690: |
||||
|
Unaffiliated investments (cost $3,665,082,752) |
$ | 3,788,658,372 | ||
|
Affiliated investments (cost $166,795,031) |
166,801,143 | |||
|
Foreign currency, at value (cost $36,089,328) |
36,648,816 | |||
|
Cash segregated for counterparty — OTC |
830,000 | |||
|
Cash |
84,436 | |||
|
Receivable for investments sold |
204,650,153 | |||
|
Deposit with broker for centrally cleared/exchange-traded derivatives |
35,738,603 | |||
|
Dividends and interest receivable |
25,585,290 | |||
|
Due from broker-variation margin futures |
13,091,262 | |||
|
Unrealized appreciation on OTC forward foreign currency exchange contracts |
7,870,843 | |||
|
Unrealized appreciation on OTC swap agreements |
4,479,013 | |||
|
Receivable for Portfolio shares sold |
2,816,698 | |||
|
Due from broker-variation margin swaps |
1,336,311 | |||
|
Tax reclaim receivable |
612,384 | |||
|
Premiums paid for OTC swap agreements |
202,782 | |||
|
Prepaid expenses other assets |
651,646 | |||
|
|
|
|||
|
Total Assets |
4,290,057,752 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable for investments purchased |
388,164,190 | |||
|
Payable to broker for collateral for securities on loan |
141,471,668 | |||
|
Unrealized depreciation on OTC forward foreign currency exchange contracts |
9,718,341 | |||
|
Options written outstanding, at value (proceeds received $2,838,540) |
1,680,784 | |||
|
Management fee payable |
642,823 | |||
|
Payable to affiliate |
612,384 | |||
|
Accrued expenses and other liabilities |
393,018 | |||
|
Distribution fee payable |
153,427 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
Payable for Portfolio shares repurchased |
71 | |||
|
|
|
|||
|
Total Liabilities |
542,837,063 | |||
|
|
|
|||
| NET ASSETS | $ | 3,747,220,689 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 3,747,220,689 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $3,747,220,689 / 266,530,034 outstanding shares of beneficial interest |
$ | 14.06 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
|
Year Ended
December 31, 2019 |
Year Ended
December 31, 2018 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 128,646,806 | $ | 110,180,198 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
113,451,750 | (69,436,708 | ) | |||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
227,905,850 | (105,984,170 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
470,004,406 | (65,240,680 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [42,121,245 and 21,994,571 shares, respectively] |
550,926,038 | 275,119,426 | ||||||
|
Net asset value of shares issued in merger [0 and 103,989,612 shares, respectively] |
— | 1,289,479,077 | ||||||
|
Portfolio shares repurchased [76,758,007 and 64,507,267 shares, respectively] |
(1,043,344,493 | ) | (800,752,072 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS . |
(492,418,455 | ) | 763,846,431 | |||||
|
|
|
|
|
|||||
| CAPITAL CONTRIBUTIONS | 3,173 | 228,948 | ||||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | (22,410,876 | ) | 698,834,699 | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
3,769,631,565 | 3,070,796,866 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 3,747,220,689 | $ | 3,769,631,565 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A248
| AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO ) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Interest
|
Maturity
Date |
Principal
Amount (000)# |
Value | |||||||||||||
| CORPORATE BONDS (continued) |
|
|||||||||||||||
|
China (continued) |
|
|||||||||||||||
|
Prosus NV, |
|
|||||||||||||||
|
Gtd. Notes, 144A |
|
|||||||||||||||
|
4.850% |
07/06/27 | 360 | $ | 392,116 | ||||||||||||
|
Sinopec Group Overseas Development 2017 Ltd., |
|
|||||||||||||||
|
Gtd. Notes |
|
|||||||||||||||
|
4.000% |
09/13/47 | 520 | 560,972 | |||||||||||||
|
Three Gorges Finance I Cayman Islands Ltd., |
|
|||||||||||||||
|
Gtd. Notes, 144A |
|
|||||||||||||||
|
3.150% |
06/02/26 | 630 | 645,184 | |||||||||||||
|
|
|
|||||||||||||||
| 3,935,810 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Colombia — 1.4% |
|
|||||||||||||||
|
Banco Bilbao Vizcaya Argentaria SA, |
|
|||||||||||||||
|
Sub. Notes, 144A |
|
|||||||||||||||
|
4.875% |
04/21/25 | 190 | 202,592 | |||||||||||||
|
Ecopetrol SA, |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
5.875% |
09/18/23 | 220 | 244,174 | |||||||||||||
|
Millicom International Cellular SA, |
|
|||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
|
|||||||||||||||
|
6.250% |
03/25/29 | 200 | 220,634 | |||||||||||||
|
Transportadora de Gas Internacional SA ESP, |
|
|||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
|
|||||||||||||||
|
5.550% |
11/01/28 | 320 | 366,305 | |||||||||||||
|
|
|
|||||||||||||||
| 1,033,705 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Indonesia — 3.6% |
|
|||||||||||||||
|
Indonesia Asahan Aluminium Persero PT, |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
6.757% |
11/15/48 | 590 | 761,374 | |||||||||||||
|
Pertamina Persero PT, |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
6.000% |
05/03/42 | 778 | 949,162 | |||||||||||||
|
Perusahaan Listrik Negara PT, |
|
|||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
|
|||||||||||||||
|
4.875% |
07/17/49 | 300 | 323,999 | |||||||||||||
|
Sr. Unsec’d. Notes, 144A, MTN |
|
|||||||||||||||
|
5.250% |
10/24/42 | 240 | 268,809 | |||||||||||||
|
Sr. Unsec’d. Notes, EMTN |
|
|||||||||||||||
|
5.250% |
10/24/42 | 230 | 257,609 | |||||||||||||
|
|
|
|||||||||||||||
| 2,560,953 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Kazakhstan — 2.1% |
|
|||||||||||||||
|
KazMunayGas National Co. JSC, |
|
|||||||||||||||
|
Sr. Unsec’d. Notes |
|
|||||||||||||||
|
6.375% |
10/24/48 | 600 | 772,392 | |||||||||||||
|
Sr. Unsec’d. Notes, 144A |
|
|||||||||||||||
|
5.750% |
04/19/47 | 350 | 418,256 | |||||||||||||
|
KazTransGas JSC, |
|
|||||||||||||||
|
Gtd. Notes, 144A |
|
|||||||||||||||
|
4.375% |
09/26/27 | 300 | 314,556 | |||||||||||||
|
|
|
|||||||||||||||
| 1,505,204 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Kuwait — 0.6% |
|
|||||||||||||||
|
Equate Petrochemical BV, |
|
|||||||||||||||
|
Gtd. Notes, EMTN |
|
|||||||||||||||
|
4.250% |
11/03/26 | 400 | 427,817 | |||||||||||||
|
|
|
|||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A249
| AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A250
| AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A251
| AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A252
| AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A253
| AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
See the Glossary for a list of the abbreviation(s) used in the annual report.
| * |
Non-income producing security. |
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ |
See tables subsequent to the Schedule of Investments for options detail. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $7,654,520; cash collateral of $7,809,423 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
| (d) |
Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
| (ff) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (n) |
Rate shown reflects yield to maturity at purchased date. |
| (rr) |
Perpetual security with no stated maturity date. |
| (w) |
PGIM Investments LLC, the co-manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
| (z) |
Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded
|
Description |
Call/
Put |
Counterparty |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | |||||||||||||||||||||
|
Currency Option USD vs BRL |
Put | Barclays Bank PLC | 02/04/20 | 3.95 | — | 1,400 | $ | 7,636 | ||||||||||||||||||||
|
Currency Option USD vs BRL |
Put | Barclays Bank PLC | 04/23/20 | 3.90 | — | 700 | 6,335 | |||||||||||||||||||||
|
Currency Option USD vs IDR |
Put | JPMorgan Chase Bank, N.A. | 01/14/20 | 14,000.00 | — | 1,000 | 11,667 | |||||||||||||||||||||
|
Currency Option USD vs INR |
Put | Barclays Bank PLC | 01/17/20 | 71.00 | — | 695 | 1,428 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
|
Total Options Purchased
|
$ | 27,066 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
Options Written:
OTC Traded
|
Description |
Call/
Put |
Counterparty |
Expiration
Date |
Strike | Contracts |
Notional
Amount (000)# |
Value | |||||||||||||||||||||
|
Currency Option USD vs BRL |
Call | Barclays Bank PLC | 02/04/20 | 4.15 | — | 1,400 | $ | (5,443 | ) | |||||||||||||||||||
|
Currency Option USD vs BRL |
Call | Barclays Bank PLC | 04/23/20 | 4.40 | — | 700 | (3,062 | ) | ||||||||||||||||||||
|
Currency Option USD vs IDR |
Call | JPMorgan Chase Bank, N.A. | 01/14/20 | 15,000.00 | — | 1,000 | — | |||||||||||||||||||||
|
Currency Option USD vs INR |
Call | Barclays Bank PLC | 01/17/20 | 74.00 | — | 695 | (47 | ) | ||||||||||||||||||||
|
Currency Option USD vs BRL |
Put | Barclays Bank PLC | 02/04/20 | 3.80 | — | 1,400 | (827 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
|
Total Options Written
|
$ | (9,379 | ) | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
Futures contracts outstanding at December 31, 2019:
|
Number of
Contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
| Long Position: | ||||||||||||||||
| 13 | 10 Year U.S. Treasury Notes | Mar. 2020 | $ | 1,669,484 | $ | (15,108 | ) | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A254
| AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2019:
|
Purchase Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts: |
|
|||||||||||||||||||||||
|
Euro, |
||||||||||||||||||||||||
|
Expiring 01/17/20 |
Barclays Bank PLC | EUR | 431 | $ | 483,147 | $ | 483,964 | $ | 817 | $ | — | |||||||||||||
|
Expiring 01/17/20 |
Barclays Bank PLC | EUR | 297 | 330,062 | 333,347 | 3,285 | — | |||||||||||||||||
|
Indian Rupee, |
||||||||||||||||||||||||
|
Expiring 01/15/20 |
Barclays Bank PLC | INR | 26,866 | 376,488 | 376,743 | 255 | — | |||||||||||||||||
|
Expiring 01/15/20 |
Barclays Bank PLC | INR | 23,208 | 325,001 | 325,449 | 448 | — | |||||||||||||||||
|
Expiring 01/15/20 |
Barclays Bank PLC | INR | 22,685 | 315,881 | 318,111 | 2,230 | — | |||||||||||||||||
|
Indonesian Rupiah, |
||||||||||||||||||||||||
|
Expiring 01/15/20 |
JPMorgan Chase Bank, N.A. | IDR | 6,230,546 | 441,475 | 449,999 | 8,524 | — | |||||||||||||||||
|
Russian Ruble, |
||||||||||||||||||||||||
|
Expiring 01/15/20 |
Bank of America, N.A. | RUB | 4,857 | 75,551 | 78,111 | 2,560 | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $ | 2,347,605 | $ | 2,365,724 | 18,119 | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Sale Contracts |
Counterparty |
Notional
Amount (000) |
Value at
Settlement Date |
Current Value |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||||||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts: |
|
|||||||||||||||||||||||
|
Brazilian Real, |
||||||||||||||||||||||||
|
Expiring 01/15/20 |
JPMorgan Chase Bank, N.A. | BRL | 2,623 | $ | 636,264 | $ | 651,731 | $ | — | $ | (15,467 | ) | ||||||||||||
|
Expiring 01/15/20 |
JPMorgan Chase Bank, N.A. | BRL | 2,372 | 565,139 | 589,366 | — | (24,227 | ) | ||||||||||||||||
|
Euro, |
||||||||||||||||||||||||
|
Expiring 01/17/20 |
Barclays Bank PLC | EUR | 170 | 188,312 | 190,890 | — | (2,578 | ) | ||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | EUR | 297 | 330,866 | 333,347 | — | (2,481 | ) | ||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | EUR | 180 | 198,632 | 202,119 | — | (3,487 | ) | ||||||||||||||||
|
Expiring 01/17/20 |
Citibank, N.A. | EUR | 81 | 89,886 | 90,954 | — | (1,068 | ) | ||||||||||||||||
|
Indian Rupee, |
||||||||||||||||||||||||
|
Expiring 01/15/20 |
Barclays Bank PLC | INR | 49,551 | 688,603 | 694,854 | — | (6,251 | ) | ||||||||||||||||
|
Indonesian Rupiah, |
||||||||||||||||||||||||
|
Expiring 01/15/20 |
JPMorgan Chase Bank, N.A. | IDR | 10,587,749 | 735,925 | 764,697 | — | (28,772 | ) | ||||||||||||||||
|
Russian Ruble, |
||||||||||||||||||||||||
|
Expiring 01/15/20 |
Bank of America, N.A. | RUB | 51,271 | 786,903 | 824,548 | — | (37,645 | ) | ||||||||||||||||
|
Saudi Arabian Riyal, |
||||||||||||||||||||||||
|
Expiring 02/13/20 |
Bank of America, N.A. | SAR | 6,537 | 1,742,851 | 1,742,949 | — | (98 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $ | 5,963,381 | $ | 6,085,455 | — | (122,074 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $ | 18,119 | $ | (122,074 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or
Foreign Currency |
Securities
Market Value |
||||||
|
Goldman Sachs & Co. LLC |
$ | 26,012 | $ | — | ||||
|
|
|
|
|
|||||
Fair Value Measurements:
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—unadjusted quoted prices generally in active markets for identical securities.
Level 2—quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.
Level 3—unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.
SEE NOTES TO FINANCIAL STATEMENTS.
A255
| AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
The following is a summary of the inputs used as of December 31, 2019 in valuing such portfolio securities:
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Corporate Bonds |
||||||||||||
|
Argentina |
$ | — | $ | 356,282 | $ | — | ||||||
|
Brazil |
— | 2,957,991 | — | |||||||||
|
Chile |
— | 749,519 | — | |||||||||
|
China |
— | 3,935,810 | — | |||||||||
|
Colombia |
— | 1,033,705 | — | |||||||||
|
Indonesia |
— | 2,560,953 | — | |||||||||
|
Kazakhstan |
— | 1,505,204 | — | |||||||||
|
Kuwait |
— | 427,817 | — | |||||||||
|
Malaysia |
— | 313,618 | — | |||||||||
|
Mexico |
— | 3,094,938 | — | |||||||||
|
Morocco |
— | 450,012 | — | |||||||||
|
Panama |
— | 518,528 | — | |||||||||
|
Peru |
— | 1,601,946 | — | |||||||||
|
Qatar |
— | 304,006 | — | |||||||||
|
Russia |
— | 1,896,006 | — | |||||||||
|
Singapore |
— | 290,636 | — | |||||||||
|
South Africa |
— | 966,230 | — | |||||||||
|
Turkey |
— | 1,359,755 | — | |||||||||
|
United Arab Emirates |
— | 1,426,322 | — | |||||||||
|
Sovereign Bonds |
||||||||||||
|
Angola |
— | 268,505 | — | |||||||||
|
Argentina |
— | 1,809,099 | — | |||||||||
|
Armenia |
— | 850,947 | — | |||||||||
|
Bahrain |
— | 1,095,227 | — | |||||||||
|
Brazil |
— | 620,443 | — | |||||||||
|
China |
— | 646,829 | — | |||||||||
|
Colombia |
— | 871,211 | — | |||||||||
|
Costa Rica |
— | 855,927 | — | |||||||||
|
Dominican Republic |
— | 955,714 | — | |||||||||
|
Ecuador |
— | 838,826 | — | |||||||||
|
Egypt |
— | 991,658 | — | |||||||||
|
El Salvador |
— | 544,138 | — | |||||||||
|
Ethiopia |
— | 216,151 | — | |||||||||
|
Guatemala |
— | 279,558 | — | |||||||||
|
Hungary |
— | 437,500 | — | |||||||||
|
Indonesia |
— | 4,602,363 | — | |||||||||
|
Ivory Coast |
— | 252,031 | — | |||||||||
|
Jamaica |
— | 852,587 | — | |||||||||
|
Jordan |
— | 415,396 | — | |||||||||
|
Kazakhstan |
— | 976,104 | — | |||||||||
|
Kenya |
— | 707,080 | — | |||||||||
|
Kuwait |
— | 300,975 | — | |||||||||
|
Mexico |
— | 2,056,853 | — | |||||||||
|
Nigeria |
— | 923,892 | — | |||||||||
|
Oman |
— | 1,834,334 | — | |||||||||
|
Panama |
— | 512,908 | — | |||||||||
|
Paraguay |
— | 494,843 | — | |||||||||
|
Peru |
— | 730,407 | — | |||||||||
|
Philippines |
— | 1,617,962 | — | |||||||||
|
Qatar |
— | 2,077,768 | — | |||||||||
|
Russia |
— | 2,419,722 | — | |||||||||
|
Saudi Arabia |
— | 765,621 | — | |||||||||
|
Senegal |
— | 472,942 | — | |||||||||
|
South Africa |
— | 476,478 | — | |||||||||
|
Sri Lanka |
— | 808,486 | — | |||||||||
|
Turkey |
— | 2,168,974 | — | |||||||||
|
Ukraine |
— | 1,710,659 | — | |||||||||
|
United Arab Emirates |
— | 805,150 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A256
| AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
|
Level 1 |
Level 2 |
Level 3 |
||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Sovereign Bonds (continued) |
|
|||||||||||
|
Uruguay |
$ | — | $ | 700,864 | $ | — | ||||||
|
Venezuela |
— | 60,975 | — | |||||||||
|
Vietnam |
— | 340,456 | — | |||||||||
|
Affiliated Mutual Funds |
12,012,491 | — | — | |||||||||
|
Foreign Treasury Obligation |
— | |||||||||||
|
Argentina |
— | 271,111 | — | |||||||||
|
Options Purchased |
— | 27,066 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 12,012,491 | $ | 66,415,018 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Options Written |
$ | — | $ | (9,379 | ) | $ | — | |||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
OTC Forward Foreign Currency Exchange Contracts |
$ | — | $ | 18,119 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (15,108 | ) | $ | — | $ | — | |||||
|
OTC Forward Foreign Currency Exchange Contracts |
— | (122,074 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (15,108 | ) | $ | (122,074 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Country Allocation:
The country classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2019 were as follows:
|
United States (including 10.9% of collateral for securities on loan) |
16.8 | % | ||
|
Indonesia |
10.0 | |||
|
Mexico |
7.2 | |||
|
China |
6.4 | |||
|
Russia |
6.1 | |||
|
Brazil |
5.0 | |||
|
Turkey |
4.9 | |||
|
Kazakhstan |
3.5 | |||
|
Argentina |
3.4 | |||
|
Qatar |
3.3 | |||
|
Peru |
3.2 | |||
|
United Arab Emirates |
3.1 | |||
|
Colombia |
2.6 | |||
|
Oman |
2.6 | |||
|
Ukraine |
2.4 | |||
|
Philippines |
2.2 | |||
|
South Africa |
2.1 | |||
|
Bahrain |
1.5 | |||
|
Panama |
1.4 | |||
|
Egypt |
1.4 | |||
|
Dominican Republic |
1.3 | |||
|
Nigeria |
1.3 | |||
|
Costa Rica |
1.2 | |||
|
Jamaica |
1.2 | |||
|
Armenia |
1.2 | |||
|
Ecuador |
1.2 | |||
|
Sri Lanka |
1.1 |
|
Saudi Arabia |
1.1 | % | ||
|
Chile |
1.1 | |||
|
Kuwait |
1.0 | |||
|
Kenya |
1.0 | |||
|
Uruguay |
1.0 | |||
|
El Salvador |
0.7 | |||
|
Paraguay |
0.7 | |||
|
Senegal |
0.7 | |||
|
Morocco |
0.6 | |||
|
Hungary |
0.6 | |||
|
Jordan |
0.6 | |||
|
Vietnam |
0.5 | |||
|
Malaysia |
0.4 | |||
|
Singapore |
0.4 | |||
|
Guatemala |
0.4 | |||
|
Angola |
0.4 | |||
|
Ivory Coast |
0.3 | |||
|
Ethiopia |
0.3 | |||
|
Venezuela |
0.1 | |||
|
Options Purchased |
0.0 | * | ||
| 109.5 | ||||
|
|
|
|||
|
Options Written |
(0.0 | )* | ||
|
Liabilities in excess of other assets |
(9.5 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05% |
SEE NOTES TO FINANCIAL STATEMENTS.
A257
| AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk and interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2019 as presented in the Statement of Assets and Liabilities:
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Asset Derivatives |
Liability Derivatives |
||||||||||
|
Statement of Assets and
|
Fair Value |
Statement of Assets and
|
Fair Value | |||||||||
|
Foreign exchange contracts |
Unaffiliated investments | $ | 27,066 | Options written outstanding, at value | $ | 9,379 | ||||||
|
Foreign exchange contracts |
Unrealized appreciation on OTC forward foreign currency exchange contracts | 18,119 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 122,074 | ||||||||
|
Interest rate contracts |
— | — | Due from/to broker — variation margin futures | 15,108 | * | |||||||
|
|
|
|
|
|||||||||
| $ | 45,185 | $ | 146,561 | |||||||||
|
|
|
|
|
|||||||||
| * |
Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2019 are as follows:
|
Amount of Realized Gain (Loss) on Derivatives Recognized in Income |
||||||||||||||||||||
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Options
Purchased(1) |
Options
Written |
Futures |
Forward
Currency Exchange Contracts |
Swaps | |||||||||||||||
|
Credit contracts |
$ | — | $ | — | $ | — | $ | — | $ | (107,669 | ) | |||||||||
|
Foreign exchange contracts |
(107,522 | ) | 118,558 | — | (405,854 | ) | — | |||||||||||||
|
Interest rate contracts |
— | — | 192,922 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Total |
$ | (107,522 | ) | $ | 118,558 | $ | 192,922 | $ | (405,854 | ) | $ | (107,669 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A258
| AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | as of December 31, 2019 | |||||
For the year ended December 31, 2019, the Portfolio’s average volume of derivative activities is as follows:
|
Options Purchased(1) |
Options Written(2) |
Futures Contracts— Long Positions(2) |
Forward Foreign
Currency Exchange
|
|||
| $63,076 |
$4,987,912
|
$2,169,522 | $5,182,321 |
|
Forward Foreign Currency Exchange Contracts—Sold(3) |
Credit Default Swap Agreements— Buy Protection(2) |
|
| $10,721,432 | $2,540,000 |
| (1) |
Cost. |
| (2) |
Notional Amount in USD. |
| (3) |
Value at Settlement Date. |
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions where the legal right to set-off exists is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net
Amount |
|||||||||
|
Securities on Loan |
$ | 7,654,520 | $ | (7,654,520 | ) | $ | — | |||||
|
|
|
|||||||||||
Offsetting of OTC derivative assets and liabilities:
|
Counterparty |
Gross Amounts of
Recognized Assets(1) |
Gross Amounts
of Recognized Liabilities(1) |
Net Amounts of
Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(2) |
Net
Amount |
|||||||||||||||
|
Bank of America, N.A. |
$ | 2,560 | $ | (37,743 | ) | $ | (35,183 | ) | $ | — | $ | (35,183 | ) | |||||||
|
Barclays Bank PLC |
22,434 | (18,208 | ) | 4,226 | — | 4,226 | ||||||||||||||
|
Citibank, N.A. |
— | (7,036 | ) | (7,036 | ) | — | (7,036 | ) | ||||||||||||
|
JPMorgan Chase Bank, N.A. |
20,191 | (68,466 | ) | (48,275 | ) | 48,275 | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 45,185 | $ | (131,453 | ) | $ | (86,268 | ) | $ | 48,275 | $ | (37,993 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1) |
Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities. |
| (2) |
Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A259
| AST WESTERN ASSET EMERGING MARKETS DEBT PORTFOLIO (continued) | ||||||
STATEMENT OF ASSETS AND LIABILITIES
as of December 31, 2019
| ASSETS | ||||
|
Investments at value, including securities on loan of $7,654,520: |
||||
|
Unaffiliated investments (cost $64,500,742) |
$ | 66,415,018 | ||
|
Affiliated investments (cost $12,012,015) |
12,012,491 | |||
|
Foreign currency, at value (cost $150,107) |
150,447 | |||
|
Cash segregated for counterparty—OTC |
70,000 | |||
|
Dividends and interest receivable |
956,547 | |||
|
Deposit with broker for centrally cleared/exchange-traded derivatives |
26,012 | |||
|
Unrealized appreciation on OTC forward foreign currency exchange contracts |
18,119 | |||
|
Prepaid expenses |
1,067 | |||
|
|
|
|||
|
Total Assets |
79,649,701 | |||
|
|
|
|||
| LIABILITIES | ||||
|
Payable to broker for collateral for securities on loan |
7,809,423 | |||
|
Unrealized depreciation on OTC forward foreign currency exchange contracts |
122,074 | |||
|
Accrued expenses and other liabilities |
65,391 | |||
|
Management fee payable |
27,560 | |||
|
Payable for investments purchased |
14,635 | |||
|
Options written outstanding, at value (proceeds received $48,322) |
9,379 | |||
|
Distribution fee payable |
2,940 | |||
|
Due to broker-variation margin futures |
1,422 | |||
|
Affiliated transfer agent fee payable |
357 | |||
|
Payable for Portfolio shares repurchased |
337 | |||
|
|
|
|||
|
Total Liabilities |
8,053,518 | |||
|
|
|
|||
|
NET ASSETS |
$ | 71,596,183 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Partners’ Equity |
$ | 71,596,183 | ||
|
|
|
|||
|
Net asset value and redemption price per share, $71,596,183 / 5,858,949 outstanding shares of beneficial interest |
$ | 12.22 | ||
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2019
STATEMENTS OF CHANGES IN NET ASSETS
| Year Ended | Year Ended | |||||||
| December 31, 2019 | December 31, 2018 | |||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS | ||||||||
|
Net investment income (loss) |
$ | 5,305,629 | $ | 3,271,938 | ||||
|
Net realized gain (loss) on investment and foreign currency transactions |
(156,217 | ) | (4,071,980 | ) | ||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
6,937,076 | (5,836,173 | ) | |||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
12,086,488 | (6,636,215 | ) | |||||
|
|
|
|
|
|||||
| PORTFOLIO SHARE TRANSACTIONS | ||||||||
|
Portfolio shares sold [14,637,902 and 648,620 shares, respectively] |
165,495,108 | 7,101,053 | ||||||
|
Portfolio shares repurchased [13,514,840 and 4,467,340 shares, respectively] |
(156,371,056 | ) | (47,633,012 | ) | ||||
|
|
|
|
|
|||||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS |
9,124,052 | (40,531,959 | ) | |||||
|
|
|
|
|
|||||
| TOTAL INCREASE (DECREASE) | 21,210,540 | (47,168,174 | ) | |||||
| NET ASSETS: | ||||||||
|
Beginning of year |
50,385,643 | 97,553,817 | ||||||
|
|
|
|
|
|||||
|
End of year |
$ | 71,596,183 | $ | 50,385,643 | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
A260
NOTES TO FINANCIAL STATEMENTS OF
ADVANCED SERIES TRUST
Advanced Series Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Trust operates as a series company and at December 31, 2019 consisted of 90 separate Portfolios (each, a “Portfolio” and collectively, the “Portfolios”). The information presented in these financial statements pertains only to the 19 Portfolios listed below together with their investment objective(s). Each Portfolio is a diversified portfolio except for AST Cohen & Steers Global Realty Portfolio and AST Western Asset Emerging Markets Debt Portfolio, each of which are non-diversified portfolios for purposes of the 1940 Act.
Shares of each Portfolio may only be purchased by separate accounts of participating insurance companies for investing assets which are attributable to variable annuity contracts and variable life insurance policies. These separate accounts place orders to purchase and redeem shares of the Portfolios primarily based upon the amount of premium payments to be invested, and the amount of surrender and transfer requests to be effected on a specific day under the variable annuity contracts and variable life insurance policies. Shares of the Portfolios may also be sold directly to certain qualified retirement plans.
The Portfolios have the following investment objective(s) and subadviser(s):
|
Portfolio |
Objective(s) | Subadviser(s) | ||
|
AST Bond Portfolio 2020
|
Highest total return for a
specific period of time, consistent with the preservation of capital and liquidity needs. Total return is comprised of current income and capital appreciation. |
PGIM Fixed Income, which is
a business unit of PGIM, Inc. (a wholly-owned subsidiary of PGIM, Inc.) |
||
|
AST Bond Portfolio 2021
|
||||
|
AST Bond Portfolio 2022
|
||||
|
AST Bond Portfolio 2023
|
||||
|
AST Bond Portfolio 2024
|
||||
|
AST Bond Portfolio 2025
|
||||
|
AST Bond Portfolio 2026
|
||||
|
AST Bond Portfolio 2027
|
||||
|
AST Bond Portfolio 2028
|
||||
|
AST Bond Portfolio 2029
|
||||
|
AST Bond Portfolio 2030
|
||||
|
AST Cohen & Steers Global Realty Portfolio (“Cohen & Steers Global Realty”) formerly known as AST Global Real Estate Portfolio |
Capital appreciation
and income. |
Cohen & Steers Capital
Management, Inc. / Cohen & Steers Asia Limited / Cohen & Steers UK Limited. Prior to January 26, 2019 PGIM Real Estate Investors which is a business unit of PGIM, Inc. (a wholly-owned subsidiary of PGIM, Inc.) |
||
B1
|
Portfolio |
Objective(s) |
Subadviser(s) |
||
|
AST High Yield Portfolio (“High Yield”) |
Maximum total return, consistent with preservation of capital and prudent investment management. | PGIM Fixed Income (a wholly-owned subsidiary of PGIM, Inc.) / J.P. Morgan Investment Management, Inc. | ||
|
AST Investment Grade Bond Portfolio (“Investment Grade Bond”) |
Maximize total return, consistent with the preservation of capital and liquidity needs. Total return is comprised of current income and capital appreciation. | PGIM Fixed Income (a wholly-owned subsidiary of PGIM, Inc.) | ||
|
AST Prudential Core Bond Portfolio (“Prudential Core Bond”) |
Maximize total return, consistent with the long-term preservation of capital. | PGIM Fixed Income (a wholly-owned subsidiary of PGIM, Inc.) | ||
|
AST QMA US Equity Alpha Portfolio
|
Long-term capital appreciation. | QMA LLC (“QMA”) (formerly known as Quantitative Management Associates, LLC) (a wholly-owned subsidiary of PGIM, Inc.) | ||
|
AST Quantitative Modeling Portfolio (“Quantitative Modeling”) |
High potential return while attempting to mitigate downside risk during adverse market cycles. |
QMA (a wholly-owned subsidiary of PGIM, Inc.) |
||
|
AST Western Asset Core Plus Bond Portfolio (“Western Asset Core Plus Bond”) |
Maximize total return, consistent with prudent investment management and liquidity needs, by investing to obtain the average duration specified for the Western Asset Core Plus Bond Portfolio. | Western Asset Management Company / Western Asset Management Company Limited | ||
|
AST Western Asset Emerging Markets Debt Portfolio
|
Maximize total return. | Western Asset Management Company / Western Asset Management Company Limited | ||
| 1. | Accounting Policies |
The Trust follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Trust and the Portfolios consistently follow such policies in the preparation of their financial statements.
Securities Valuation: Each Portfolio holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction
B2
between market participants on the measurement date. The Trust’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to AST Investment Services, Inc. and PGIM Investments LLC (“PGIM Investments”), as applicable, the co-managers of the Trust (collectively, the “Investment Manager”). Pursuant to the Board’s delegation, the Investment Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.
For the fiscal reporting period-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Portfolios’ foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.
Various inputs determine how the Portfolios’ investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820—Fair Value Measurements and Disclosures.
Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Foreign equities traded on foreign securities exchanges are generally valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements up to the time each Portfolio is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on evaluating observable inputs, including but not limited to, yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations and reported trades. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing transaction prices for identical securities that have been used in excess of five business days. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy. Bank loans valued based on a single broker quote or at the original transaction price in excess of five business days are classified as Level 3 in the fair value hierarchy.
B3
OTC and centrally cleared derivative instruments are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach when quoted prices in broker-dealer markets are available but also include consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing unobservable inputs in the income approach. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the Investment Manager regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other unaffiliated mutual funds to calculate their net asset values.
Illiquid Securities: Pursuant to Rule 22e-4 under the 1940 Act, the Trust has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that each Portfolio limit its illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser(s) and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable.
Restricted Securities: Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Portfolios’ LRMP because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Portfolios’ investments in restricted securities could be impaired if trading does not develop or declines.
Connecticut Avenue Securities (CAS) and Structured Agency Credit Risk (STACR): Certain Portfolios purchased government controlled Fannie Mae and Freddie Mac securities that transfer most of the cost of defaults to private investors including the Portfolios. These are insurance-like products that are called CAS by Fannie Mae and STACR securities by Freddie Mac. Payments on the securities are based primarily on the performance of a reference pool of underlying mortgages. With such securities, the Portfolios could lose some or all of their principal if the underlying mortgages experience credit defaults.
Foreign Currency Translation: The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current rates of exchange;
B4
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.
Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on investment transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) arise from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates.
Forward and Cross Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios entered into forward currency contracts, as defined in the prospectus, in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation (depreciation) on forward and cross currency contracts. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on forward and cross currency contract transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Portfolios’ maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.
Options: Certain Portfolios purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns or intends to purchase. The Portfolios may also use options to gain additional market exposure. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain (loss). The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on options written transactions.
The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial instruments may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security or financial instrument underlying the written option. The Portfolio, as purchaser of an OTC option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options and guarantees the options contracts against default.
B5
When a Portfolio writes an option on a swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio becomes obligated to pay a variable interest rate and receive a fixed interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.
Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolios are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolios each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions. The cash amounts pledged for futures contracts are considered restricted cash and are included in due from broker-varation margin futures in the Statement of Assets and Liabilities.
Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in prevailing interest rates. Should interest rates move unexpectedly, the Portfolios may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Since futures contracts are exchange-traded, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.
Short Sales: Certain Portfolios sold a security they do not own in anticipation of a decline in the market value of that security (short sale). When the Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to return any interest or dividends received on such borrowed securities. Dividends declared on open short positions are recorded on the ex-date and the interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The cash amounts pledged for securities sold short are considered restricted cash and are included in deposit with broker for securities sold short in the Statement of Assets and Liabilities.
Bank Loans: Certain Portfolios invested in bank loans. Bank loans include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. The Portfolios acquired interests in loans directly (by way of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, the Portfolios generally will succeed to all the rights and obligations of an assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under a bank loan participation, the Portfolios generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, the Portfolios generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Portfolios may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, the Portfolios will assume the credit risk of both the borrower and the institution selling the participation to the Portfolios.
Forward Rate Agreements: Forward rate agreements represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount on a fixed future date. Certain Portfolios entered into forward rate agreements to gain yield exposure based on anticipated market conditions at the specified termination date of the agreement.
B6
Swap Agreements: Certain Portfolios entered into certain types of swap agreements detailed in the disclosures below. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount known as “variation margin”, based on daily changes in the valuation of the swap contract. For OTC-traded, upfront premiums paid and received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.
Interest Rate Swaps: Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objective. Certain Portfolios used interest rate swaps to maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments. The Portfolios’ maximum risk of loss from counterparty credit risk is the discounted net present value of the cash flows to be received from the counterparty over the contract’s remaining life.
Inflation Swaps: Certain Portfolios entered into inflation swap agreements to protect against fluctuations in inflation rates. Inflation swaps are characterized by one party paying a fixed rate in exchange for a floating rate that is derived from an inflation index, such as the Consumer Price Index or UK Retail Price Index. Inflation swaps subject the Portfolios to interest rate risk.
Credit Default Swaps (“CDS”): CDS involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.
Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives, and as such, have entered into CDS contracts to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolio’s maximum risk of loss from counterparty credit risk for purchased CDS is the inability of the counterparty to honor the contract up to the notional value due to a credit event.
As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.
The maximum amount of the payment that the Portfolio, as a seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements where the Portfolio is the seller of protection as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
B7
Total Return Swaps: In a total return swap, one party receives payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pays a defined amount. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered into total return swaps to manage their exposure to a security or an index. The Portfolios’ maximum risk of loss from counterparty credit risk is the change in the value of the security, in favor of the Portfolio, from the point of entering into the contract.
Master Netting Arrangements: The Trust, on behalf of the Portfolios, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of all or a portion of a Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolios to cover the Portfolios’ exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
The Trust, on behalf of certain Portfolios, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.
In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in the portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/insolvency of either party. Such OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.
As of December 31, 2019, the Portfolios have not met conditions under such agreements which give the counterparty the right to call for an early termination.
Forward currency contracts, forward rate agreements, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.
B8
Warrants and Rights: Certain Portfolios held warrants and rights acquired either through a direct purchase or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolios until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.
Payment-In-Kind: Certain Portfolios invested in the open market or receive pursuant to debt restructuring, securities that pay-in-kind (PIK) the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income.
Delayed-Delivery Transactions: Certain Portfolios purchased or sold securities on a when-issued or delayed-delivery and forward commitment basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a realized gain (loss). When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains (losses) with respect to the security.
Securities Lending: Certain Portfolios lend their portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral.
The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed in the Statement of Operations.
Mortgage Dollar Rolls: Certain Portfolios entered into mortgage dollar rolls in which the Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls. The Portfolios are subject to the risk that the market value of the securities the Portfolios are obligated to repurchase under the agreement may decline below the repurchase price.
Equity and Mortgage Real Estate Investment Trusts (collectively equity REITs): Certain Portfolios invested in equity REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from equity REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. When material, these estimates are adjusted periodically when the actual source of distributions is disclosed by the equity REITs.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification
B9
method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual.
Taxes: For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. Each Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolio is the responsibility of the Portfolio’s shareholders (participating insurance companies). Each Portfolio is not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued in accordance with each Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded taking into account any agreements in place with Prudential Financial, Inc. (“Prudential”) as referenced in Note 3. Each Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
| 2. | Agreements |
The Trust, on behalf of the Portfolios, has entered into investment management agreements with the Investment Manager which provide that the Investment Manager will furnish each Portfolio with investment advice, investment management and administrative services. At December 31, 2019, the Investment Manager had engaged the firms referenced in Note 1 as subadvisers for their respective Portfolios.
Management Fees and Expense Limitations: The Investment Manager receives a management fee, accrued daily and payable monthly, based on the annual rates specified below, using the value of each Portfolio’s average daily net assets, at the respective annual rate specified below. The Investment Manager pays each subadviser a fee as compensation for advisory services provided to the Portfolios. All amounts paid or payable by the Portfolios to the Investment Manager, under the agreements, are reflected in the Statement of Operations.
The Investment Manager has contractually agreed to waive a portion of its management fee and/or reimburse certain Portfolios so that management fees plus other annual ordinary operating expenses, excluding taxes (such as income and foreign withholdings taxes, stamp duty and deferred tax expenses), interest, brokerage, extraordinary and certain other expenses such as dividend, broker charges and interest expense on short sales, do not exceed the percentage stated below, of the Portfolio’s average daily net assets unless otherwise noted. Expenses waived/reimbursed by the Investment Manager in accordance with these agreements may be recouped by the Investment Manager within the same fiscal year during which such waiver/reimbursement is made if such recoupment can be realized without exceeding the expense limit in effect at the time of the recoupment for that fiscal year.
Each voluntary waiver/reimbursement, if any, may be modified or terminated by the Investment Manager at any time without notice.
|
Portfolio |
Management Fee |
Effective
Management Fees, Net of Waiver, if Applicable |
||||
|
Bond Portfolio 2020* |
0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion |
0.47 | % | |||
|
Bond Portfolio 2021* |
0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion |
0.46 | % | |||
B10
|
Portfolio |
Management Fee |
Effective
Management Fees, Net of Waiver, if Applicable |
||||
|
Bond Portfolio 2022* |
0.4925% first $500 million;
0.4625% on next $5 billion; 0.4525% in excess of $10 billion |
0.39 | % | |||
|
Bond Portfolio 2023* |
0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion |
0.19 | % | |||
|
Bond Portfolio 2024* |
0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion |
0.34 | % | |||
|
Bond Portfolio 2025* |
0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion |
0.40 | % | |||
|
Bond Portfolio 2026* |
0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion |
0.47 | % | |||
|
Bond Portfolio 2027* |
0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion |
0.47 | % | |||
|
Bond Portfolio 2028* |
0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion |
0.16 | % | |||
|
Bond Portfolio 2029* |
0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion |
0.22 | % | |||
|
Bond Portfolio 2030* |
0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion |
— | # | |||
|
Cohen & Steers Global Realty |
0.8325% first $300 million; 0.8225% on next $200 million; 0.8125% on next $250 million; 0.8025% on next $2.5 billion; 0.7925% on next $2.75 billion; 0.7625% on next $4 billion; 0.7425% in excess of $10 billion |
0.78 | % | |||
|
High Yield |
0.5825% first $300 million; 0.5725% on next $200 million; 0.5625% on next $250 million; 0.5525% on next $2.5 billion; 0.5425% on next $2.75 billion; 0.5125% on next $4 billion; 0.4925% in excess of $10 billion |
0.57 | % | |||
|
Investment Grade Bond* |
0.4925% first $500 million; 0.4725% on next $4.5 billion; 0.4625% on next $5 billion; 0.4525% in excess of $10 billion |
0.47 | % | |||
B11
|
Portfolio |
Management Fee |
Effective
Management Fees, Net of Waiver, if Applicable |
||||
|
Prudential Core Bond |
0.5325% first $ 300 million; 0.5225% on next $ 200 million; 0.4875% on next $ 250 million; 0.4775% on next $ 250 million; 0.4525% on next $ 2.25 billion; 0.4425% on next $ 2.75 billion; 0.4125% on next $ 4 billion; 0.3925% in excess of $10 billion |
0.47 | % | |||
|
QMA US Equity Alpha |
0.8325% first $ 300 million; 0.8225% on next $ 200 million; 0.8125% on next $ 250 million; 0.8025% on next $2.5 billion; 0.7925% on next $ 2.75 billion; 0.7625% on next $ 4 billion; 0.7425% in excess of $10 billion |
0.83 | % | |||
|
Quantitative Modeling(1) |
0.25% | 0.25 | % | |||
|
Western Asset Core Plus Bond |
0.5325% first $ 300 million; 0.5225% on next $ 200 million; 0.5125% on next $ 250 million; 0.5025% on next $2.5 billion; 0.4925% on next $ 2.75 billion; 0.4625% on next $ 4 billion; 0.4425% in excess of $10 billion |
0.48 | % | |||
|
Western Asset Emerging Markets Debt |
0.6825% first $ 300 million; 0.6725% on next $ 200 million; 0.6625% on next $ 250 million; 0.6525% on next $2.5 billion; 0.6425% on next $ 2.75 billion; 0.6125% on next $ 4 billion; 0.5925% in excess of $10 billion |
0.61 | % | |||
|
Portfolio |
Fee Waivers and/or Expense Limitations |
|
|
Bond Portfolio 2020, Bond Portfolio 2021, Bond Portfolio 2022, Bond Portfolio 2023, Bond Portfolio 2024, Bond Portfolio 2025, Bond Portfolio 2026, Bond Portfolio 2027, Bond Portfolio 2028, Bond Portfolio 2029 and Bond Portfolio 2030 |
contractually limit
expenses to 0.93% through June 30, 2020 |
|
|
Cohen & Steers Global Realty |
effective January 26, 2019 contractually
waive 0.051% through June 30, 2020 |
|
|
Investment Grade Bond |
contractually limit
expenses to 0.99% through June 30, 2020 |
|
|
Western Asset Core Plus Bond |
contractually limit expenses
to 0.74% through September 30, 2019 |
|
|
Western Asset Emerging Markets Debt |
contractually waive 0.05% through June 30, 2019;
effective July 1, 2019
contractually limit
|
| * |
Management fees are calculated based on an aggregation of net assets of Bond Portfolio 2020, Bond Portfolio 2021, Bond Portfolio 2022, Bond Portfolio 2023, Bond Portfolio 2024, Bond Portfolio 2025, Bond Portfolio 2026, Bond Portfolio 2027, Bond Portfolio 2028, Bond Portfolio 2029, Bond Portfolio 2030 and Investment Grade Bond. |
| # |
The waivers and/or expense reimbursements exceeded the effective management fee rate for the current period due to expense limitations described above. |
| (1) |
Fund of Funds Discount: The Investment Manager has voluntarily agreed to waive a portion of the Portfolio’s investment management fee based on the aggregate assets across each of the following Portfolios: AST |
B12
Academic Strategies Asset Allocation Portfolio (Fund of Funds sleeve), AST Balanced Asset Allocation Portfolio, AST Capital Growth Asset Allocation Portfolio, AST Managed Alternatives Portfolio, AST Managed Equity Portfolio, AST Managed Fixed Income Portfolio, AST Preservation Asset Allocation Portfolio, and AST Quantitative Modeling Portfolio. This voluntary fee waiver arrangement may be terminated by the Investment Manager at any time. As described below, this voluntary fee waiver will be applied to the effective gross management fee rates and will be based upon the combined average daily net assets of the Fund of Funds Portfolios.
Combined assets up to $10 billion: No fee reduction.
Combined assets between $10 billion and $25 billion: 1% reduction to effective fee rate.
Combined assets between $25 billion and $45 billion: 2.5% reduction to effective fee rate.
Combined assets between $45 billion and $65 billion: 5.0% reduction to effective fee rate.
Combined assets between $65 billion and $85 billion: 7.5% reduction to effective fee rate.
Combined assets between $85 billion and $105 billion: 10.0% reduction to effective fee rate.
Combined assets between $105 billion and $125 billion: 12.5% reduction to effective fee rate.
Combined assets above $125 billion: 15% reduction to effective fee rate.
The Trust, on behalf of the Portfolios, has entered into an agreement with Prudential Annuities Distributors, Inc. (“PAD”), which serves as the distributor for the shares of each Portfolio. The Trust, on behalf of the Portfolios, has adopted a Shareholder Services and Distribution Plan pursuant to Rule 12b-1 under the 1940 Act (the 12b-1 Plan) for the shares of each Portfolio, with the exception of Quantitative Modeling Portfolio. Under the 12b-1 Plan, the shares of each covered Portfolio are charged an annual fee, primarily to compensate PAD and its affiliates for providing various administrative and distribution services to each covered Portfolio. The annual shareholder services and distribution (12b-1) fee for each covered Portfolio’s shares is 0.25% of the average daily net assets of the Portfolios.
PAD has contractually agreed to reduce its 12b-1 fees for each of the Bond Portfolio 2020, Bond Portfolio 2021, Bond Portfolio 2022, Bond Portfolio 2023, Bond Portfolio 2024, Bond Portfolio 2025, Bond Portfolio 2026, Bond Portfolio 2027, Bond Portfolio 2028, Bond Portfolio 2029, Bond Portfolio 2030 and Investment Grade Bond Portfolio (collectively, the Bond Portfolios), so that the effective distribution and service fee rate paid by each Bond Portfolio is reduced based on the average daily net assets of each Bond Portfolio. The contractual waiver does not include an expiration or termination date as it is contractually guaranteed by PAD on a permanent basis, and the Investment Manager and PAD cannot terminate or otherwise modify the waiver. The contractual waiver is calculated as follows for each Bond Portfolio:
|
Average Daily Net Assets of Portfolio |
Distribution and Service Fee
Rate Including Waiver: |
|
|
Up to and including $ 300 million |
0.25% (no waiver) | |
|
Over $ 300 million up to and including $ 500 million |
0.23% | |
|
Over $ 500 million up to and including $ 750 million |
0.22% | |
|
Over $ 750 million |
0.21% |
AST Investment Services, Inc., PGIM Investments, PAD, PGIM, Inc. and QMA are indirect, wholly-owned subsidiaries of Prudential.
| 3. | Other Transactions with Affiliates |
a.) Related Parties
B13
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolios. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
Certain officers and a Trustee are officers, employees or directors of the Investment Manager. The Trust pays no compensation directly to its officers, employees or interested Trustees. The Investment Manager also pays for occupancy and certain clerical and administrative expenses. The Trust bears all other costs and expenses.
The Portfolios may invest their overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”) and their securities lending cash collateral in the PGIM Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. The Portfolios may also invest in the PGIM Core Short-Term Bond Fund, pursuant to an exemptive order received from the Securities Exchange Commission (“SEC”), a series of Prudential Investment Portfolios 2 (together with PGIM Core Ultra Short Bond Fund, the “Core Funds”) registered under the 1940 Act and managed by PGIM Investments. Through the Portfolios’ investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or reimbursed for providing their services. In addition to the realized and unrealized gains on investments in the Core Funds and Money Market Fund, earnings from such investments are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
Certain Portfolios may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the Securities and Exchange Commission (“SEC”), the Trust’s Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such 17a-7 transactions were effected in accordance with the Trust’s Rule 17a-7 procedures. For the reporting period ended December 31, 2019, no such transactions were entered into by the Portfolios.
In March 2019, the following Portfolios were reimbursed by the Investment Manager for costs incurred due to a portfolio allocation error. The reimbursement amount for each affected Portfolio is disclosed below and such amount is also disclosed in the Portfolio’s “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the year ended December 31, 2019.
|
Portfolio |
Capital Contributions | |||
|
Bond Portfolio 2028 |
$ | 135,042 | ||
|
Cohen & Steers Global Realty |
132 | |||
|
High Yield |
48 | |||
|
Prudential Core Bond |
155 | |||
|
QMA US Equity Alpha |
1,328 | |||
|
Western Asset Core Plus Bond |
2,424 | |||
b.) Securities Lending and Foreign Withholding Tax Reclaim Matters
In September 2019, the Investment Manager reached a settlement with the SEC relating to the securities lending and foreign withholding tax reclaim matters described below. Under the settlement, the Investment Manager agreed to pay to the SEC disgorgement of fees and a civil penalty. The settlement does not affect the Investment Manager’s ability to manage the Portfolios.
In February 2016, Prudential, the parent company of the Investment Manager, self-reported to the SEC and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of the Trust due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction.At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Portfolios. The per share amount of opportunity loss payment to the Portfolios is disclosed in the Portfolios’ “Financial Highlights” as “Capital Contributions” for the fiscal year ended December 31, 2016.
B14
In March 2018, Prudential further notified the SEC that it failed to timely reimburse certain Portfolios for amounts due under protocols established to ensure that the Portfolios were not harmed as a result of their tax status as partnerships instead of regulated investment companies (RICs). Specifically, as a result of their partnership status, the Portfolios are subject to higher foreign withholding tax rates on dividend and interest income in certain foreign jurisdictions and/or are subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”). Prudential’s protocols were intended to protect the Portfolios from these differences and delays. In consultation with the Trust’s independent trustees, Prudential paid each of the affected Portfolios an amount equal to the excess withholding tax in addition to an amount equal to the applicable Portfolio’s rate of return (“opportunity loss”) applied to these excess withholding tax amounts for periods from the various transaction dates, beginning January 2, 2006 (the date when the Portfolios were converted to partnerships for tax purposes), through February 28, 2018 (the date through which the previously established protocols were not uniformly implemented). The amount due to each Portfolio was calculated by Prudential with the help of a third-party consultant. Those amounts and the methodology used by Prudential to derive them, were evaluated and confirmed by a consultant retained by the Trust’s independent trustees. The excess withholding tax analysis considered detriments to the Portfolios due to their tax status as partnerships arising from both timing differences (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is reclaimable) as described above as well as permanent tax detriments (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is not reclaimable). Further, the opportunity loss due to each Portfolio also was calculated by a third-party consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the Trust’s independent trustees. In May 2019, Prudential made an additional payment to the Portfolios relating to the opportunity loss upon the final review of the methodology used for the Portfolios’ rate of return calculation. The aggregate previously unreimbursed excess withholding tax and/or opportunity loss payments for each affected Portfolio are disclosed in the Portfolios’ “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the fiscal years ended December 31, 2018 and December 31, 2019.
In addition to the above, Prudential committed to the Trust’s independent trustees that it would pay all consulting, legal, audit, and other charges, fees and expenses incurred with the matters described above. Prudential has made and continues to make these payments.
During the reporting period and in consultation with the Trust’s independent trustees, Prudential instituted a process to reimburse the affected Portfolios for any future excess withholding tax on the first business day following the pay-date of the applicable dividend or interest income event regardless of whether the excess withholding tax is due to timing differences or permanent detriments resulting from the Portfolios’ partnership tax status.
In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the affected Portfolios have the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid a Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by an applicable Portfolio from a foreign tax authority for reclaims for which a Portfolio previously received reimbursement from Prudential will be payable to Prudential. Pending tax reclaim amounts due to Prudential for excess withholding tax which Prudential previously paid to the Portfolios are reported as “Payable to affiliate” on the “Statement of Assets and Liabilities” and any amounts accrued but not yet reimbursed by Prudential for excess withholding tax is recorded as “Receivable from affiliate” on the Statement of Assets and Liabilities. The full amount of tax reclaims due to a Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolios do not incur an excess withholding tax is included as “Tax reclaim receivable” on the “Statement of Assets and Liabilities.” To the extent that there are costs associated with the filing of any reclaim attributable to excess withholding tax, those costs are borne by Prudential.
The following amounts have been paid by Prudential for excess withholding taxes related to permanent tax detriments as described above for certain countries due to the Portfolios’ status as partnership for tax purposes.
|
Portfolio |
2019 Payments | |||
|
Cohen & Steers Global Realty |
$ | 54,732 | ||
|
Western Asset Emerging Markets Debt |
1,465 | |||
B15
The following amounts have been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.
|
Portfolio |
2019 Payments | |||
|
Cohen & Steers Global Realty |
$ | 32,672 | ||
|
Prudential Core Bond |
6,571 | |||
The following capital contributions, as described above, have been paid in 2019 by Prudential for the opportunity loss associated with excess withholding taxes related to permanent tax detriments and timing differences for certain countries due to the Portfolios’ status as partnerships for tax purposes.
|
Portfolio |
Capital Contributions | |||
|
Cohen & Steers Global Realty |
$ | 8,009 | ||
|
Western Asset Core Plus Bond |
749 | |||
| 4. | Portfolio Securities |
The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments, securities sold short and U.S. Government securities) for the year ended December 31, 2019, were as follows:
|
Portfolio |
Cost of Purchases | Proceeds from Sales | ||||||
|
Bond Portfolio 2020 |
$ | 22,135,699 | $ | 25,133,137 | ||||
|
Bond Portfolio 2021 |
4,111,097 | 29,341,801 | ||||||
|
Bond Portfolio 2022 |
4,257,800 | 22,342,748 | ||||||
|
Bond Portfolio 2023 |
3,793,722 | 9,152,124 | ||||||
|
Bond Portfolio 2024 |
3,103,507 | 42,631,658 | ||||||
|
Bond Portfolio 2025 |
11,798,306 | 31,999,591 | ||||||
|
Bond Portfolio 2026 |
17,283,982 | 201,292,732 | ||||||
|
Bond Portfolio 2027 |
20,704,202 | 115,474,713 | ||||||
|
Bond Portfolio 2028 |
11,224,582 | 39,566,431 | ||||||
|
Bond Portfolio 2029 |
24,837,416 | 3,788,598 | ||||||
|
Bond Portfolio 2030 |
17,827,848 | 1,538,198 | ||||||
|
Cohen & Steers Global Realty |
486,339,194 | 535,849,977 | ||||||
|
High Yield |
386,811,407 | 549,055,866 | ||||||
|
Investment Grade Bond |
1,323,927,716 | 4,259,664,154 | ||||||
|
Prudential Core Bond |
4,614,814,793 | 3,422,489,896 | ||||||
|
QMA US Equity Alpha |
1,033,634,767 | 1,107,912,739 | ||||||
|
Quantitative Modeling |
567,137,846 | 638,239,799 | ||||||
|
Western Asset Core Plus Bond |
7,509,365,746 | 7,573,003,096 | ||||||
|
Western Asset Emerging Markets Debt |
181,839,849 | 172,516,481 | ||||||
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the year ended December 31, 2019, is presented as follows:
B16
Bond Portfolio 2020
|
Value,
Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Short-Term Bond Fund* |
||||||||||||||||||||||||||||||
| $ | 4,955,620 | $ | 3,680,294 | $ | — | $ | (4,159 | ) | $ | — | $ | 8,631,755 | 937,216 | $ | 211,763 | |||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| 2,096,265 | 97,839,883 | 85,833,310 | — | — | 14,102,838 | 14,102,838 | 131,891 | |||||||||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 25,457 | 11,678,047 | 10,905,754 | 79 | (108 | ) | 797,721 | 797,562 | 1,141 | ** | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $ | 7,077,342 | $ | 113,198,224 | $ | 96,739,064 | $ | (4,080 | ) | $ | (108 | ) | $ | 23,532,314 | $ | 344,795 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Bond Portfolio 2021
|
Value,
Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Short-Term Bond Fund* |
||||||||||||||||||||||||||||||
| $ | 9,434,428 | $ | 316,193 | $ | — | $ | (580 | ) | $ | — | $ | 9,750,041 | 1,058,636 | $ | 295,096 | |||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| 1,499,023 | 32,730,340 | 34,176,749 | — | — | 52,614 | 52,614 | 15,059 | |||||||||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 799 | 7,904,463 | 6,713,017 | 199 | 28 | 1,192,472 | 1,192,234 | 1,431 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $ | 10,934,250 | $ | 40,950,996 | $ | 40,889,766 | $ | (381 | ) | $ | 28 | $ | 10,995,127 | $ | 311,586 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Bond Portfolio 2022
|
Value,
Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ | 9,204 | $ | 26,088,257 | $ | 25,217,392 | $ | — | $ | — | $ | 880,069 | 880,069 | $ | 19,238 | ||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 762 | 8,577,405 | 7,670,186 | 71 | 131 | 908,183 | 908,001 | 1,010 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $ | 9,966 | $ | 34,665,662 | $ | 32,887,578 | $ | 71 | $ | 131 | $ | 1,788,252 | $ | 20,248 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Bond Portfolio 2023
|
Value,
Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ | 1,861,303 | $ | 12,335,219 | $ | 14,063,086 | $ | — | $ | — | $ | 133,436 | 133,436 | $ | 13,016 | ||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 32,313 | 2,827,284 | 2,554,839 | 3 | (5 | ) | 304,756 | 304,696 | 393 | ** | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $ | 1,893,616 | $ | 15,162,503 | $ | 16,617,925 | $ | 3 | $ | (5 | ) | $ | 438,192 | $ | 13,409 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
B17
Bond Portfolio 2024
|
Value,
Beginning of Year |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Year |
Shares,
End of Year |
Income | |||||||||||||||||||||||
|
PGIM Core Ultra Short Bond Fund* |
||||||||||||||||||||||||||||||
| $ | 4,256,072 | $ | 20,944,995 | $ | 25,200,829 | $ | — | $ | — | $ | 238 | 238 | $ | 8,116 | ||||||||||||||||
|
PGIM Institutional Money Market Fund* |
||||||||||||||||||||||||||||||
| 212 | 2,847,218 | 2,727,190 | 13 | 51 | 120,304 | 120,280 | 1,106 | ** | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| $ | 4,256,284 | $ | 23,792,213 | $ | 27,928,019 | $ | 13 | $ | 51 | $ | 120,542 | $ | 9,222 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Bond Portfolio 2025
| Value, | ||||||||||||||||||||||||||||||