0001752724-22-048867.txt : 20220228 0001752724-22-048867.hdr.sgml : 20220228 20220225175135 ACCESSION NUMBER: 0001752724-22-048867 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20211231 FILED AS OF DATE: 20220228 PERIOD START: 20220930 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ALPS Series Trust CENTRAL INDEX KEY: 0001558107 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22747 FILM NUMBER: 22682558 BUSINESS ADDRESS: STREET 1: 1290 BROADWAY, SUITE 1000 CITY: DENVER STATE: CO ZIP: 80203 BUSINESS PHONE: 303.623.2577 MAIL ADDRESS: STREET 1: 1290 BROADWAY, SUITE 1000 CITY: DENVER STATE: CO ZIP: 80203 0001558107 S000058974 Beacon Accelerated Return Strategy Fund C000193424 Institutional Class BARLX NPORT-P 1 primary_doc.xml NPORT-P false 0001558107 XXXXXXXX S000058974 C000193424 ALPS SERIES TRUST 811-22747 0001558107 5493000QN25IZZPUSL66 1290 BROADWAY SUITE 1000 DENVER 80203 3036235277 Beacon Accelerated Return Strategy Fund S000058974 5493006D3GJ1JM3H4G33 2022-09-30 2021-12-31 N 117254627.83 12168497.76 105086130.07 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP FEB 0.010000 02/14/2022 N/A 159.00000000 NC USD 7574269.95000000 7.207678068413 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 0.01000000 USD 2022-02-15 XXXX 1328561.65000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP AUG 447.9000 08/12/2022 N/A 125.00000000 NC USD 583076.49000000 0.554855802199 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 447.90000000 USD 2022-08-15 XXXX 211694.97000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP AUG 0.010000 08/12/2022 N/A 225.00000000 NC USD 10668352.69000000 10.15200834105 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 0.01000000 USD 2022-08-15 XXXX 747190.87000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP AUG 481.8500 08/12/2022 N/A -250.00000000 NC USD -581224.04000000 -0.55309301009 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 481.85000000 USD 2022-08-15 XXXX -280237.08000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP SEP 446.5200 09/14/2022 N/A 100.00000000 NC USD 496869.30000000 0.472821008508 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 446.52000000 USD 2022-09-15 XXXX 203265.06000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP MAR 414.6400 03/14/2022 N/A 70.00000000 NC USD 449841.00000000 0.428068860943 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 414.64000000 USD 2022-03-15 XXXX 269235.42000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP OCT 0.0100 10/14/2022 N/A 220.00000000 NC USD 10415435.64000000 9.911332383314 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 0.01000000 USD 2022-10-17 XXXX 467188.84000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP NOV 506.1400 11/14/2022 N/A -220.00000000 NC USD -372995.60000000 -0.35494275005 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 506.14000000 USD 2022-11-15 XXXX -88760.30000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP MAY 0.001000 05/13/2022 N/A 200.00000000 NC USD 9503849.51000000 9.043866686944 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 0.01000000 USD 2022-05-16 XXXX 1114838.57000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP JUN 424.8200 06/14/2022 N/A 100.00000000 NC USD 610719.02000000 0.581160443907 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 424.82000000 USD 2022-06-15 XXXX 340813.55000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP MAR 445.8600 03/14/2022 N/A -140.00000000 NC USD -506392.97000000 -0.48188373638 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 445.86000000 USD 2022-03-15 XXXX -358984.13000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP FEB 393.0900 02/14/2022 N/A 85.00000000 NC USD 714587.96000000 0.680002165389 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 393.09000000 USD 2022-02-15 XXXX 465573.60000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP FEB 448.2000 02/14/2022 N/A -148.00000000 NC USD -467344.77000000 -0.44472545490 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 448.20000000 USD 2022-02-15 XXXX -315952.56000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP APR 0.010000 04/14/2022 N/A 190.00000000 NC USD 9035622.83000000 8.598302006155 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 0.01000000 USD 2022-04-15 XXXX 1257007.69000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP AUG 480.3600 08/12/2022 N/A -200.00000000 NC USD -483043.48000000 -0.45966435311 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 480.36000000 USD 2022-08-15 XXXX -254054.08000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP NOV 468.0000 11/14/2022 N/A 110.00000000 NC USD 425903.85000000 0.405290260204 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 468.00000000 USD 2022-11-15 XXXX 70491.50000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP JUL 478.1800 07/14/2022 N/A -340.00000000 NC USD -787323.31000000 -0.74921715118 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 478.18000000 USD 2022-07-15 XXXX -411301.33000000 N N N Goldman Sachs Financial Square Funds - Treasury Instruments Fund 549300DAH6N80PM31E83 Goldman Sachs Financial Square Funds - Treasury Instruments Fund 38142B609 394015.24000000 NS USD 394015.24000000 0.374945047207 Long STIV RF US N 1 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP APR 414.6400 04/14/2022 N/A 190.00000000 NC USD 1258650.15000000 1.197731945368 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 414.64000000 USD 2022-04-15 XXXX 742025.01000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP JUN 0.010000 06/14/2022 N/A 325.00000000 NC USD 15428638.37000000 14.68189794383 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 0.01000000 USD 2022-06-15 XXXX 1540595.59000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP JUL 445.4000 07/14/2022 N/A 170.00000000 NC USD 789690.31000000 0.751469589254 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 445.40000000 USD 2022-07-15 XXXX 318101.30000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP OCT 446.5200 10/14/2022 N/A 100.00000000 NC USD 517021.91000000 0.491998239592 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 446.52000000 USD 2022-10-17 XXXX 209117.67000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP MAR 450.2000 03/14/2022 N/A -320.00000000 NC USD -1040001.51000000 -0.98966581917 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 450.20000000 USD 2022-03-15 XXXX -699867.01000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP OCT 468.0000 10/14/2022 N/A 120.00000000 NC USD 438700.47000000 0.417467528500 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 468.00000000 USD 2022-10-17 XXXX 70537.91000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP AUG 0.010000 08/12/2022 N/A -250.00000000 NC USD -544998.56000000 -0.51862083001 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 484.31000000 USD 2022-08-15 XXXX -231761.60000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP MAR 416.4000 03/14/2022 N/A 160.00000000 NC USD 1001991.71000000 0.953495679527 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 416.40000000 USD 2022-03-15 XXXX 577018.96000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP NOV 0.0100 11/14/2022 N/A 110.00000000 NC USD 5204021.88000000 4.952149133794 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 0.01000000 USD 2022-11-15 XXXX 127299.53000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP OCT 503.7100 10/14/2022 N/A -240.00000000 NC USD -383272.63000000 -0.36472237558 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 503.71000000 USD 2022-10-17 XXXX -86157.75000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP AUG 445.4000 08/12/2022 N/A 100.00000000 NC USD 485333.63000000 0.461843660696 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 445.40000000 USD 2022-08-15 XXXX 195328.33000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP JUN 469.4300 06/14/2022 N/A -450.00000000 NC USD -1186907.58000000 -1.12946168938 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 469.43000000 USD 2022-06-15 XXXX -697782.20000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP OCT 482.7800 10/14/2022 N/A -200.00000000 NC USD -543585.94000000 -0.51727658030 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 482.78000000 USD 2022-10-17 XXXX -297394.41000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP MAR 0.010000 03/14/2022 N/A 230.00000000 NC USD 10944037.15000000 10.41434977452 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 0.01000000 USD 2022-03-15 XXXX 1496068.82000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP SEP 480.4600 09/14/2022 N/A -200.00000000 NC USD -527966.80000000 -0.50241340093 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 480.46000000 USD 2022-09-15 XXXX -290975.27000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP JUN 436.6000 06/14/2022 N/A 225.00000000 NC USD 1153014.44000000 1.097208964905 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 436.60000000 USD 2022-06-15 XXXX 539202.13000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP JUL 0.010000 07/14/2022 N/A 220.00000000 NC USD 10437915.22000000 9.932723959905 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 0.01000000 USD 2022-07-15 XXXX 809013.47000000 N N N Invesco Government & Agency Portfolio 5493007T1J7WZ5QI1A47 Invesco Short-Term Investments Trust Government & Agency Portfolio - Institutional Class 825252885 5032061.26000000 NS USD 5032061.26000000 4.788511344597 Long STIV RF US N 1 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP MAY 424.8200 05/13/2022 N/A 200.00000000 NC USD 1185439.71000000 1.128064863755 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 424.82000000 USD 2022-05-16 XXXX 673429.62000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP APR 447.8900 04/14/2022 N/A -380.00000000 NC USD -1421287.19000000 -1.35249741241 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 447.89000000 USD 2022-04-15 XXXX -1004077.48000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP SEP 0.010000 09/14/2022 N/A 225.00000000 NC USD 10656694.59000000 10.14091448881 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 0.01000000 USD 2022-09-15 XXXX 726933.83000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP JUN 458.2100 06/14/2022 N/A -200.00000000 NC USD -690040.83000000 -0.65664310745 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 458.21000000 USD 2022-06-15 XXXX -478851.77000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP FEB 416.4000 02/14/2022 N/A 74.00000000 NC USD 453704.94000000 0.431745787667 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 416.40000000 USD 2022-02-15 XXXX 266405.04000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP FEB 429.2500 02/14/2022 N/A -170.00000000 NC USD -833915.50000000 -0.79355429631 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 429.25000000 USD 2022-02-15 XXXX -630184.22000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP SEP 447.9000 09/14/2022 N/A 125.00000000 NC USD 608272.15000000 0.578832001516 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 447.90000000 USD 2022-09-15 XXXX 217640.63000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP MAY 456.0000 05/13/2022 N/A -400.00000000 NC USD -1350706.06000000 -1.28533238316 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 456.00000000 USD 2022-05-16 XXXX -945927.94000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP JUL 436.6000 07/14/2022 N/A 50.00000000 NC USD 266867.37000000 0.253951087381 N/A DE CORP US N 2 Goldman Sachs N/A Call Purchased S&P 500 Mini Index XSP 100.00000000 436.60000000 USD 2022-07-15 XXXX 120714.63000000 N N N The Options Clearing Corporation 549300CII6SLYGKNHA04 Call XSP JUL 471.6200 07/14/2022 N/A -100.00000000 NC USD -273882.46000000 -0.26062664960 N/A DE CORP US N 2 Goldman Sachs N/A Call Written S&P 500 Mini Index XSP 100.00000000 471.62000000 USD 2022-07-15 XXXX -157887.93000000 N N N 2022-01-30 ALPS SERIES TRUST Jill McFate Jill McFate Treasurer XXXX NPORT-EX 2 fp0073118_nportex.htm

BEACON ACCELERATED RETURN STRATEGY FUND

SCHEDULE OF INVESTMENTS

December 31, 2021 (Unaudited)

 

Counterparty  Expiration Date  Strike Price   Contracts   Notional Value   Value (Note 2) 
PURCHASED OPTION CONTRACTS - (105.86%)                   
Call Option Contracts (105.86%)                   
S&P 500® Mini Index:                   
Goldman Sachs  02/14/2022  $0.01    159   $7,578,226   $7,574,270 
Goldman Sachs  02/14/2022   393.09    85    4,051,253    714,588 
Goldman Sachs  02/14/2022   416.40    74    3,526,973    453,705 
Goldman Sachs  03/14/2022   0.01    230    10,962,214    10,944,037 
Goldman Sachs  03/14/2022   414.64    70    3,336,326    449,841 
Goldman Sachs  03/14/2022   416.40    160    7,625,888    1,001,992 
Goldman Sachs  04/14/2022   0.01    190    9,055,742    9,035,623 
Goldman Sachs  04/14/2022   414.64    190    9,055,742    1,258,650 
Goldman Sachs  05/13/2022   0.01    200    9,532,360    9,503,850 
Goldman Sachs  05/13/2022   424.82    200    9,532,360    1,185,440 
Goldman Sachs  06/14/2022   0.01    325    15,490,085    15,428,638 
Goldman Sachs  06/14/2022   424.82    100    4,766,180    610,719 
Goldman Sachs  06/14/2022   436.60    225    10,723,905    1,153,014 
Goldman Sachs  07/14/2022   0.01    220    10,485,596    10,437,915 
Goldman Sachs  07/14/2022   436.60    50    2,383,090    266,867 
Goldman Sachs  07/14/2022   445.40    170    8,102,506    789,690 
Goldman Sachs  08/12/2022   0.01    225    10,723,905    10,668,353 
Goldman Sachs  08/12/2022   445.40    100    4,766,180    485,334 
Goldman Sachs  08/12/2022   447.90    125    5,957,725    583,076 
Goldman Sachs  09/14/2022   0.01    225    10,723,905    10,656,695 
Goldman Sachs  09/14/2022   446.52    100    4,766,180    496,869 
Goldman Sachs  09/14/2022   447.90    125    5,957,725    608,272 
Goldman Sachs  10/14/2022   0.01    220    10,485,596    10,415,436 
Goldman Sachs  10/14/2022   446.52    100    4,766,180    517,022 
Goldman Sachs  10/14/2022   468.00    120    5,719,416    438,700 
Goldman Sachs  11/14/2022   0.01    110    5,242,798    5,204,022 
Goldman Sachs  11/14/2022   468.00    110    5,242,798    425,904 
                 200,560,854    111,308,522 
TOTAL PURCHASED OPTION CONTRACTS                       
(Cost $96,203,228)               $200,560,854   $111,308,522 

 

   7 Day Yield   Shares   Value (Note 2) 
SHORT TERM INVESTMENTS (5.16%)            
Money Market Funds            
Goldman Sachs Financial Square Funds - Treasury Instruments Fund(a)   0.000%   394,015   $394,015 
Invesco Short-Term Investments Trust Government & Agency Portfolio - Institutional Class   0.030%   5,032,061    5,032,062 
              5,426,077 
TOTAL SHORT TERM INVESTMENTS               
 (Cost $5,426,077)             5,426,077 
                
TOTAL INVESTMENTS (111.02%)               
 (Cost $101,629,305)            $116,734,599 
                
LIABILITIES IN EXCESS OF OTHER ASSETS (-11.02%)             (11,588,600)
                
NET ASSETS (100.00%)            $105,145,999 

 

 

(a)All or a portion is held as collateral at broker for written options.
   

 

WRITTEN OPTION CONTRACTS (11.41%)

 

Counterparty  Expiration Date  Strike Price   Contracts   Premiums  Received   Notional Value   Value (Note 2) 
Call Option Contracts - (11.41%)                       
S&P 500® Mini Index                       
Goldman Sachs  02/14/22  $429.25    (170)  $203,731   $(8,102,506)  $(833,916)
Goldman Sachs  02/14/22   448.20    (148)   151,392    (7,053,946)   (467,345)
Goldman Sachs  03/14/22   445.86    (140)   147,409    (6,672,652)   (506,393)
Goldman Sachs  03/14/22   450.20    (320)   340,135    (15,251,776)   (1,040,002)
Goldman Sachs  04/14/22   447.89    (380)   417,210    (18,111,484)   (1,421,286)
Goldman Sachs  05/13/22   456.00    (400)   404,778    (19,064,720)   (1,350,705)
Goldman Sachs  06/14/22   458.21    (200)   211,189    (9,532,360)   (690,041)
Goldman Sachs  06/14/22   469.43    (450)   489,124    (21,447,810)   (1,186,908)
Goldman Sachs  07/14/22   471.62    (100)   115,995    (4,766,180)   (273,882)
Goldman Sachs  07/14/22   478.18    (340)   376,022    (16,205,012)   (787,323)
Goldman Sachs  08/12/22   0.01    (250)   313,237    (11,915,450)   (544,999)
Goldman Sachs  08/12/22   480.36    (200)   228,989    (9,532,360)   (483,043)
Goldman Sachs  08/12/22   481.85    (250)   300,987    (11,915,450)   (581,224)
Goldman Sachs  09/14/22   480.46    (200)   236,992    (9,532,360)   (527,967)
Goldman Sachs  10/14/22   482.78    (200)   246,192    (9,532,360)   (543,586)
Goldman Sachs  10/14/22   503.71    (240)   297,115    (11,438,832)   (383,273)
Goldman Sachs  11/14/22   506.14    (220)   284,235    (10,485,596)   (372,996)
TOTAL WRITTEN OPTION CONTRACTS               $4,764,732   $(200,560,854)  $(11,994,889)
   

 

BEACON PLANNED RETURN STRATEGY FUND

SCHEDULE OF INVESTMENTS

December 31, 2021 (Unaudited)

 

Counterparty  Expiration Date  Strike Price   Contracts   Notional Value   Value (Note 2) 
PURCHASED OPTION CONTRACTS - (110.36%)                   
Call Option Contracts (107.39%)                   
S&P 500® Mini Index:                   
Goldman Sachs  01/14/2022  $49.25    292   $13,917,246   $12,480,578 
Goldman Sachs  01/14/2022   377.65    292    13,917,246    2,893,614 
Goldman Sachs  02/14/2022   51.35    815    38,844,367    34,640,167 
Goldman Sachs  02/14/2022   393.20    815    38,844,366    6,842,801 
Goldman Sachs  03/14/2022   51.25    805    38,367,749    34,179,858 
Goldman Sachs  03/14/2022   393.00    805    38,367,749    6,825,992 
Goldman Sachs  04/14/2022   54.25    680    32,410,024    28,650,737 
Goldman Sachs  04/14/2022   56.80    135    6,434,343    5,653,599 
Goldman Sachs  04/14/2022   416.85    680    32,410,024    4,369,050 
Goldman Sachs  04/14/2022   435.25    135    6,434,343    648,348 
Goldman Sachs  05/13/2022   54.25    760    36,222,968    31,998,193 
Goldman Sachs  05/13/2022   415.50    760    36,222,968    5,108,093 
Goldman Sachs  06/14/2022   55.39    775    36,937,895    32,502,674 
Goldman Sachs  06/14/2022   424.10    775    36,937,895    4,780,007 
Goldman Sachs  07/14/2022   56.80    800    38,129,440    33,417,775 
Goldman Sachs  07/14/2022   435.25    800    38,129,440    4,356,007 
Goldman Sachs  08/12/2022   58.00    770    36,699,586    32,050,682 
Goldman Sachs  08/12/2022   446.85    770    36,699,586    3,652,684 
Goldman Sachs  09/14/2022   58.40    800    38,129,440    33,228,202 
Goldman Sachs  09/14/2022   448.10    800    38,129,440    3,881,093 
Goldman Sachs  10/14/2022   58.25    800    38,129,440    33,226,267 
Goldman Sachs  10/14/2022   446.70    800    38,129,440    4,125,619 
Goldman Sachs  11/14/2022   61.18    770    36,699,586    31,731,916 
Goldman Sachs  11/14/2022   468.20    770    36,699,586    2,971,057 
                 781,844,167    394,215,013 
Put Option Contracts (2.97%)                       
S&P 500® Mini Index:                       
Goldman Sachs  01/14/2022   377.65    292    13,917,246    2,126 
Goldman Sachs  02/14/2022   393.20    815    38,844,367    61,489 
Goldman Sachs  03/14/2022   393.00    805    38,367,749    153,354 
Goldman Sachs  04/14/2022   416.85    680    32,410,024    368,172 
Goldman Sachs  04/14/2022   435.25    135    6,434,343    102,386 
Goldman Sachs  05/13/2022   415.50    760    36,222,968    552,079 
Goldman Sachs  06/14/2022   424.10    775    36,937,895    830,679 
Goldman Sachs  07/14/2022   435.25    800    38,129,440    1,181,446 
Goldman Sachs  08/12/2022   446.85    770    36,699,586    1,500,286 
Goldman Sachs  09/14/2022   448.10    800    38,129,440    1,769,284 
Goldman Sachs  10/14/2022   446.70    800    38,129,440    1,900,972 
Goldman Sachs  11/14/2022   468.20    770    36,699,586    2,487,612 
                 390,922,084    10,909,885 
TOTAL PURCHASED OPTION CONTRACTS                       
(Cost $352,839,957)               $1,172,766,251   $405,124,898 
   

 

   7 Day Yield   Shares   Value (Note 2) 
SHORT TERM INVESTMENTS (9.95%)            
Money Market Funds            
Goldman Sachs Financial Square Funds - Treasury Instruments Fund(a)   0.000%   1,355,099   $1,355,099 
Invesco Short-Term Investments Trust Government & Agency Portfolio - Institutional Class   0.030%   35,182,235    35,182,235 
              36,537,334 
TOTAL SHORT TERM INVESTMENTS               
 (Cost $36,537,334)             36,537,334 
TOTAL INVESTMENTS (120.31%)               
 (Cost $389,377,291)            $441,662,232 
LIABILITIES IN EXCESS OF OTHER ASSETS (-20.31%)             (74,586,844)
NET ASSETS (100.00%)            $367,075,388 

 

(a)All or a portion is held as collateral at broker for written options.
   

 

WRITTEN OPTION CONTRACTS (21.87%)

 

Counterparty  Expiration Date  Strike Price   Contracts   Premiums  Received   Notional Value   Value (Note 2) 
Put Option Contracts - (1.72%)                       
S&P 500® Mini Index                       
Goldman Sachs  01/14/22  $339.89    (292)  $633,043   $(13,917,246)  $(603)
Goldman Sachs  02/14/22   353.88    (815)   1,895,624    (38,844,367)   (26,732)
Goldman Sachs  03/14/22   353.70    (805)   1,777,375    (38,367,749)   (80,879)
Goldman Sachs  04/14/22   375.17    (680)   1,296,706    (32,410,024)   (175,389)
Goldman Sachs  04/14/22   391.73    (135)   215,453    (6,434,343)   (46,082)
Goldman Sachs  05/13/22   373.95    (760)   1,513,859    (36,222,968)   (285,417)
Goldman Sachs  06/14/22   381.69    (775)   1,474,008    (36,937,895)   (448,184)
Goldman Sachs  07/14/22   391.73    (800)   1,601,556    (38,129,440)   (656,894)
Goldman Sachs  08/12/22   402.17    (770)   1,568,449    (36,699,586)   (859,344)
Goldman Sachs  09/14/22   403.29    (800)   1,797,558    (38,129,440)   (1,052,944)
Goldman Sachs  10/14/22   402.03    (800)   1,708,766    (38,129,440)   (1,156,914)
Goldman Sachs  11/14/22   421.38    (770)   1,712,464    (36,699,586)   (1,526,404)
                 17,194,861    (390,922,084)   (6,315,786)
Call Option Contracts - (20.15%)                            
S&P 500® Mini Index                            
Goldman Sachs  01/14/22   398.50    (584)   1,067,512    (27,834,491)   (4,572,309)
Goldman Sachs  02/14/22   415.89    (1,630)   3,276,188    (77,688,734)   (10,073,841)
Goldman Sachs  03/14/22   415.10    (1,610)   3,042,788    (76,735,498)   (10,277,313)
Goldman Sachs  04/14/22   436.11    (1,360)   2,366,298    (64,820,048)   (6,430,974)
Goldman Sachs  04/14/22   450.05    (270)   440,085    (12,868,686)   (962,270)
Goldman Sachs  05/13/22   434.90    (1,520)   2,843,812    (72,445,936)   (7,676,706)
Goldman Sachs  06/14/22   442.04    (1,550)   2,653,515    (73,875,790)   (7,277,839)
Goldman Sachs  07/14/22   454.75    (1,600)   3,084,712    (76,258,880)   (6,297,032)
Goldman Sachs  08/12/22   466.15    (1,540)   2,842,758    (73,399,172)   (5,143,295)
Goldman Sachs  09/14/22   469.03    (1,600)   3,172,717    (76,258,880)   (5,391,722)
Goldman Sachs  10/14/22   467.02    (1,600)   3,113,532    (76,258,880)   (5,954,726)
Goldman Sachs  11/14/22   489.64    (1,540)   3,150,807    (73,399,172)   (3,906,726)
                 31,054,724    (781,844,167)   (73,964,753)
TOTAL WRITTEN OPTION CONTRACTS               $48,249,585   $(1,172,766,251)  $(80,280,539)
   

 

Notes to Quarterly Portfolio of Investments

December 31, 2021 (Unaudited)

 

1. ORGANIZATION

 

ALPS Series Trust (the “Trust”), a Delaware statutory trust, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust consists of multiple separate portfolios or series. This quarterly report describes the Beacon Accelerated Return Strategy Fund and the Beacon Planned Return Strategy Fund (each, a “Fund” and collectively, the “Funds”). The Funds are non-diversified and the primary investment objectives are to deliver capital appreciation and generate positive alpha for the Beacon Accelerated Return Strategy Fund, and capital preservation and capital appreciation for the Beacon Planned Return Strategy Fund. The Funds currently offer Institutional Class shares. The Board of Trustees (the “Board”) may establish additional funds and classes of shares at any time in the future without shareholder approval.

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

The accompanying financial statements were prepared in accordance with accounting principles generally accepted in the United States of America for investment companies (“U.S. GAAP”). The Funds are considered investment companies under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Funds in preparation of their financial statements.

 

Investment Valuation: The Funds generally value their securities based on market prices determined at the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern Time, on each day the NYSE is open for trading.

 

FLEX Options are customized option contracts available through the Chicago Board Options Exchange ("CBOE"). Flexible Exchange Options are valued based on prices supplied by an independent third-party pricing service, which utilizes pricing models that incorporate various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-money contracts on a given strike price.

 

Redeemable securities issued by open-end registered investment companies are valued at the investment company’s applicable net asset value (“NAV”). Money market funds, representing short-term investments, are valued at their NAV.

 

When such prices or quotations are not available, or when the Fair Value Committee appointed by the Board believes that they are unreliable, securities may be priced using fair value procedures approved by the Board.

   

 

Fair Value Measurements: The Funds disclose the classification of their fair value measurements following a three-tier hierarchy based on the inputs used to measure fair value. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability that are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability that are developed based on the best information available.

 

Various inputs are used in determining the value of the Funds’ investments as of the end of the reporting period. When inputs used fall into different levels of the fair value hierarchy, the level in the hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The designated input levels are not necessarily an indication of the risk or liquidity associated with these investments. These inputs are categorized in the following hierarchy under applicable financial accounting standards:

 

Level 1 – Unadjusted quoted prices in active markets for identical investments, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date;
     
Level 2 – Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly); and
     
Level 3 – Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date.

 

The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2021:

 

BEACON ACCELERATED RETURN STRATEGY FUND

 

Investments in Securities at Value  Level 1 - Unadjusted Quoted Prices   Level 2 - Other Significant Observable Inputs   Level 3 - Significant Unobservable Inputs   Total 
Purchased Option Contracts  $–   $111,308,522   $–   $111,308,522 
Short Term Investments   5,426,077    –    –    5,426,077 
Total  $5,426,077   $111,308,522   $–   $116,734,599 

 

   Valuation Inputs     
Other Financial Instruments  Level 1   Level 2   Level 3   Total 
Liabilities                
Written Option Contracts  $–   $(11,994,889)  $–   $(11,994,889)
Total  $–   $(11,994,889)  $–   $(11,994,889)
   

 

BEACON PLANNED RETURN STRATEGY FUND

 

Investments in Securities at Value  Level 1 - Unadjusted Quoted Prices   Level 2 - Other Significant Observable Inputs   Level 3 - Significant Unobservable Inputs   Total 
Purchased Option Contracts  $–   $405,124,898   $–   $405,124,898 
Short Term Investments   36,537,334    –    –    36,537,334 
Total  $36,537,334   $405,124,898   $–   $441,662,232 

 

   Valuation Inputs     
Other Financial Instruments  Level 1   Level 2   Level 3   Total 
Liabilities                
Written Option Contracts  $–   $(80,280,539)  $–   $(80,280,539)
Total  $–   $(80,280,539)  $–   $(80,280,539)

 

There were no Level 3 securities held during the period.

 

Cash & Cash Equivalents: The Funds consider their investment in a Federal Deposit Insurance Corporation ("FDIC") insured interest bearing account to be cash and cash equivalents. Cash and cash equivalents are valued at cost plus any accrued interest. The Funds maintain cash balances, which, at times may exceed federally insured limits. The Funds maintain these balances with a high quality financial institution.

 

Concentration of Credit Risk: The Funds place their cash with a banking institution, which is insured by FDIC. The FDIC limit is $250,000. At various times throughout the year, the amount on deposit may exceed the FDIC limit and subject the Funds to a credit risk. The Funds do not believe that such deposits are subject to any unusual risk associated with investment activities.

 

Trust Expenses: Some expenses of the Trust can be directly attributed to a fund. Expenses that cannot be directly attributed to a fund are apportioned among all funds in the Trust based on average net assets of each fund.

 

Fund Expenses: Some expenses can be directly attributed to a fund and are apportioned among the classes based on average net assets of each class.

 

Investment Transactions and Investment Income: Investment transactions are accounted for on the date the investments are purchased or sold (trade date basis for financial reporting purposes). Realized gains and losses from investment transactions are reported on an identified cost basis. Interest income, which includes accretion of discounts and amortization of premiums, is accrued and recorded as earned. Dividend income is recognized on the ex-dividend date, or for certain foreign securities, as soon as information is available to a Fund. Withholding taxes on foreign dividends are paid (a portion of which may be reclaimable) or provided for in accordance with the applicable country’s tax rules and rates and are disclosed in the Statements of Operations. All of the realized and unrealized gains and losses and net investment income are allocated daily to each class in proportion to its average daily net assets.

 

Distributions to Shareholders: The Funds normally pay dividends, if any, and distribute capital gains, if any, on an annual basis. Income dividend distributions are derived from interest, dividends and other income the Funds receive from their investments, including short-term capital gains. Long-term capital gain distributions are derived from gains realized when a Fund sells a security it has owned for more than one year. A Fund may make additional distributions and dividends at other times if its portfolio manager or managers believe doing so may be necessary for the Fund to avoid or reduce taxes. Net investment income/(loss) and net realized gain/(loss) may differ for financial statement and tax purposes.

 

COVID-19 Risks: A recent outbreak of respiratory disease caused by a novel coronavirus was first detected in December 2019 and has spread internationally. This coronavirus has resulted in closing borders, enhanced health screenings, healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this coronavirus, and other epidemics and pandemics that may arise in the future, could affect the economies of many nations, individual companies, their securities (including equity and debt), and the market in general in ways that cannot necessarily be foreseen at the present time. In addition, the impact of infectious diseases in developing or emerging market countries may be greater due to less established health care systems. Health crises caused by the recent coronavirus outbreak may exacerbate other pre-existing political, social and economic risks in certain countries. The impact of the outbreak may be short term or may last for an extended period of time.

   

 

3. DERIVATIVE INSTRUMENTS

 

Each Fund's principal investment strategy permits it to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency contracts, currency swaps and purchased and written options. In doing so, the Funds may employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market factors. Central to those strategies are features inherent in derivatives that make them more attractive for this purpose than equity or debt securities; they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Funds to pursue their objectives more quickly and efficiently than if they were to make direct purchases or sales of securities capable of affecting a similar response to market factors.

 

Risk of Investing in Derivatives: The Funds’ use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Funds are using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Funds, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.

 

Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Funds to increase their market value exposure relative to their net assets and can substantially increase the volatility of the Funds’ performance.

 

Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Funds. Typically, the associated risks are not the risks that the Funds are attempting to increase or decrease exposure to, per their investment objectives, but are the additional risks from investing in derivatives.

 

Examples of these associated risks are liquidity risk, which is the risk that the Funds will not be able to sell or close out the derivative in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Funds. In addition, use of derivatives may increase or decrease exposure to the following risk factors:

 

Equity Risk: Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. Associated risks can be different for each type of derivative.

 

Option Contracts: Each Fund may enter into options transactions for hedging purposes and for nonhedging purposes such as seeking to enhance return. Each Fund may write covered put and call options on any stocks or stock indices, currencies traded on domestic and foreign securities exchanges, or futures contracts on stock indices, interest rates and currencies traded on domestic and, to the extent permitted by the U.S. Commodity Futures Trading Commission, foreign exchanges. A call option on an asset written by a Fund obligates the Fund to sell the specified asset to the holder (purchaser) at a stated price (the exercise price) if the option is exercised before a specified date (the expiration date). A put option on an asset written by a Fund obligates the Fund to buy the specified asset from the purchaser at the exercise price if the option is exercised before the expiration date. Premiums received when writing options are recorded as liabilities and are subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options, which are either exercised or closed, are offset against the proceeds received or amount paid on the transaction to determine realized gains or losses.

   

 

The Funds use FLEX Options, which are customized equity or index option contracts that trade on an exchange, but that provide investors with the ability to customize key contract terms like exercise prices, styles and expiration dates. Like standardized exchange-traded options, FLEX Options are guaranteed for settlement by The Options Clearing Corporation (“OCC”), a market clearinghouse. The OCC guarantees performance by each of the counterparties to the FLEX Options, becoming the “buyer for every seller and the seller for every buyer,” protecting clearing members and options traders from counterparty risk. FLEX Options provide investors with the ability to customize key terms, while achieving price discovery in competitive, transparent auctions markets and avoiding the counterparty exposure of Over-the-Counter (“OTC”) options positions. The Funds bear the risk that the OCC will be unable or unwilling to perform its obligations under the FLEX Options contracts.

 

Purchased Options: When the Funds purchase an option, an amount equal to the premium paid by the Funds are recorded as an investment and is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if the Funds enter into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired is increased by the premium paid for the call. If a put option is exercised, a gain or loss is realized from the sale of the underlying security, and the proceeds from such sale are decreased by the premium originally paid. Purchased options are non-income producing securities.

 

Written Options: When the Funds write an option, an amount equal to the premium received by the Funds are recorded as a liability and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Funds on the expiration date as realized gain from written options. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Funds have realized a gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Funds. The Funds, as writers of an option, bear the market risk of an unfavorable change in the price of the security underlying the written option.