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 | 811-07725 | |||||||
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SEASONS SERIES TRUST | ||||||||
(Exact name of registrant as specified in charter) | ||||||||
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21650 Oxnard Street, 10th fl, Woodland Hills, CA |
| 91367 | ||||||
(Address of principal executive offices) |
| (Zip code) | ||||||
| ||||||||
John T. Genoy | ||||||||
(Name and address of agent for service) | ||||||||
| ||||||||
Registrant’s telephone number, including area code: | (201) 324-6414 |
| ||||||
| ||||||||
Date of fiscal year end: | March 31 |
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Date of reporting period: | March 31, 2018 |
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Item 1. Reports to Stockholders
SEASONS SERIES TRUST
ANNUAL REPORT
MARCH 31, 2018
Table of Contents
Shareholder Letter | 2 | ||||||
Expense Example | 3 | ||||||
Seasons Strategies | |||||||
SA Multi-Managed Growth Portfolio | 6 | ||||||
SA Multi-Managed Moderate Growth Portfolio | 33 | ||||||
SA Multi-Managed Income/Equity Portfolio | 64 | ||||||
SA Multi-Managed Income Portfolio | 88 | ||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 112 | ||||||
SA T. Rowe Price Growth Stock Portfolio | 151 | ||||||
Seasons Select | |||||||
SA Multi-Managed Large Cap Growth Portfolio | 157 | ||||||
SA Multi-Managed Large Cap Value Portfolio | 165 | ||||||
SA Multi-Managed Mid Cap Growth Portfolio | 175 | ||||||
SA Multi-Managed Mid Cap Value Portfolio | 190 | ||||||
SA Multi-Managed Small Cap Portfolio | 204 | ||||||
SA Multi-Managed International Equity Portfolio | 220 | ||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 234 | ||||||
SA Wellington Real Return Portfolio | 285 | ||||||
Seasons Focused | |||||||
SA Columbia Focused Growth Portfolio | 290 | ||||||
SA Columbia Focused Value Portfolio | 293 | ||||||
Seasons Managed Allocation | |||||||
SA Allocation Growth Portfolio | 296 | ||||||
SA Allocation Moderate Growth Portfolio | 299 | ||||||
SA Allocation Moderate Portfolio | 302 | ||||||
SA Allocation Balanced Portfolio | 305 | ||||||
Statements of Assets and Liabilities | 308 | ||||||
Statements of Operations | 316 | ||||||
Statements of Changes in Net Assets | 320 | ||||||
Notes to Financial Statements | 327 | ||||||
Financial Highlights | 376 | ||||||
Report of Independent Registered Public Accounting Firm | 390 | ||||||
Approval of Advisory and Subadvisory Agreements | 392 | ||||||
Trustee and Officers Information | 401 | ||||||
Shareholders Tax Information | 403 | ||||||
Comparisons: Portfolios vs Indexes | 406 |
Dear Seasons Series Trust Investor:
We are pleased to present the annual report for Seasons Series Trust, the underlying investment for the Seasons family of variable annuities issued by our affiliated life companies.
This report contains the investment information and the financial statements of the Seasons Series Trust portfolios for the reporting period ended March 31, 2018.
If you have any questions regarding your investment, please contact your investment representative, or you may contact us directly at 1-800-445-SUN2.
Sincerely,
John T. Genoy
President
Seasons Series Trust
Note: All performance figures quoted are for the Seasons Series Trust. They do not reflect fees and charges associated with the variable annuity. Past performance is no guarantee of future results. Securities listed may or may not be a part of the current portfolio construction. Annuities are long-term investment vehicles designed for retirement purposes. Early withdrawal may be subject to withdrawal charges and if taken prior to age 59 1/2, a 10% federal tax penalty may apply. An investment in a variable annuity involves investment risk, including possible loss of principal. The contract, when redeemed, may be worth more or less than the total amount invested.
Investments in stocks and bonds are subject to risks, including stock market and interest rate fluctuations. Investments in growth stocks as well as small and mid-cap company stocks may be subject to volatile price swings and therefore present a greater potential for loss than other investments. Investments in non-U.S. stocks and bonds are subject to additional risks such as fluctuations in foreign currencies, political and economic instability, differences in securities regulation and accounting standards, foreign tax laws, and limited availability of public information. Income seeking investment strategies may not be realized due to changes in dividend policies or the availability of capital resources.
Investments that concentrate on one economic sector or geographic region are generally subject to greater volatility than more diverse investments. Investments in real estate investment trusts (REITs) involve risks such as refinancing, economic conditions in the real estate industry, changes in property values, dependency on real estate management, and other risks associated with a concentration in one sector or geographic region. Investments in securities related to gold and other precious metals and minerals are speculative and impacted by a host of worldwide economic, financial and political factors.
Investments in debt securities are subject to credit risk (i.e., the risk that an issuer might not pay interest when due or repay principal at maturity of the obligation). Investments in lower-rated bonds and "junk bonds" are considered speculative due to the heightened risk of default and are subject to unpredictable losses as a result of changes in the issuer's creditworthiness.
Investments in derivatives are subject to heightened risk; gains or losses from non-hedging positions may be substantially greater than the cost of the position. Active trading may result in high portfolio turnover and correspondingly greater transaction costs for the portfolio and underlying portfolios.
There can be no assurance that the Portfolios will meet their investment objectives. A full description of the investment goals, principal strategies, and risks for each Portfolio are provided in the prospectus.
Investments are not guaranteed or endorsed by any bank, is not a deposit or obligation of any bank, and is not federally insured by Federal Deposit Corporation (FDIC), the Federal Reserve Board or any other federal government agency.
* Not FDIC or NCUA/NCUSIF Insured
* May Lose Value * No Bank or Credit Union Guarantee
* Not a Deposit * Not insured by any Federal Government Agency
2
SEASONS SERIES TRUST
EXPENSE EXAMPLE March 31, 2018
(unaudited)
Disclosure of Portfolio Expenses in Shareholder Reports
As a shareholder of a Portfolio in the Seasons Series Trust (the "Trust''), you incur ongoing costs, including management fees and/or service (12b-1) fees and other Portfolio expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at October 1, 2017 and held until March 31, 2018. Shares of the Trust are not offered directly to the public. Instead, shares are currently issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life insurance policies ("Variable Contracts'') offered by life insurance companies affiliated with SunAmerica Asset Management, LLC, the Trust's investment adviser and manager. The fees and expenses associated with the Variable Contracts are not included in these examples, and had such fees and expenses been included, your costs would have been higher. Please see your Variable Contract prospectus for more details on the fees associated with the Variable Contract.
Actual Expenses
The "Actual" section of the table provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the 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 column under the heading entitled "Expenses Paid During the Six Months Ended March 31, 2018" to estimate the expenses you paid on your account during this period. The "Expenses Paid During the Six Months Ended March 31, 2018" column and the "Annualized Expense Ratio" column do not include fees and expenses that may be charged by the Variable Contracts, in which the Portfolios are offered. Had these fees and expenses been included, the "Expenses Paid During the Six Months Ended March 31, 2018" column would have been higher and the "Ending Account Value" column would have been lower.
Hypothetical Example for Comparison Purposes
The "Hypothetical" section of the table provides information about hypothetical account values and hypothetical expenses based on each Portfolio's actual expense ratio and an annual rate of return of 5% 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 Portfolios and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The "Expenses Paid During the Six Months Ended March 31, 2018" column and the "Annualized Expense Ratio" column do not include fees and expenses that may be charged by the Variable Contracts, in which the Portfolios are offered. Had these fees and expenses been included, the "Expenses Paid During the Six Months Ended March 31, 2018" column would have been higher and the "Ending Account Value" column would have been lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any fees and expenses that may be charged by the Variable Contracts. Please refer to your variable contract prospectus for more information. Therefore, the "Hypothetical" example is useful in comparing ongoing costs and will not help you determine the relative total costs of owning different funds. In addition, if these fees and expenses were included, your costs would have been higher.
3
SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued) March 31, 2018
(unaudited)
Actual | Hypothetical | ||||||||||||||||||||||||||||||
Portfolio | Beginning Account Value at October 1, 2017 | Ending Account Value Using Actual Return at March 31, 2018 | Expenses Paid During the Six Months Ended March 31, 2018* | Beginning Account Value at October 1, 2017 | Ending Account Value Using a Hypothetical 5% Annual Return at March 31, 2018 | Expenses Paid During the Six Months Ended March 31, 2018* | Annualized Expense Ratio* | ||||||||||||||||||||||||
SA Multi-Managed Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,049.55 | $ | 6.23 | $ | 1,000.00 | $ | 1,018.85 | $ | 6.14 | 1.22 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,048.63 | $ | 7.00 | $ | 1,000.00 | $ | 1,018.10 | $ | 6.89 | 1.37 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,048.14 | $ | 7.51 | $ | 1,000.00 | $ | 1,017.60 | $ | 7.39 | 1.47 | % | |||||||||||||||||
SA Multi-Managed Moderate Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,036.27 | $ | 5.43 | $ | 1,000.00 | $ | 1,019.60 | $ | 5.39 | 1.07 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,034.73 | $ | 6.19 | $ | 1,000.00 | $ | 1,018.85 | $ | 6.14 | 1.22 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,035.20 | $ | 6.70 | $ | 1,000.00 | $ | 1,018.35 | $ | 6.64 | 1.32 | % | |||||||||||||||||
SA Multi-Managed Income/ Equity | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,020.57 | $ | 5.34 | $ | 1,000.00 | $ | 1,019.65 | $ | 5.34 | 1.06 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,018.94 | $ | 6.09 | $ | 1,000.00 | $ | 1,018.90 | $ | 6.09 | 1.21 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,019.51 | $ | 6.60 | $ | 1,000.00 | $ | 1,018.40 | $ | 6.59 | 1.31 | % | |||||||||||||||||
SA Multi-Managed Income | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,003.51 | $ | 5.39 | $ | 1,000.00 | $ | 1,019.55 | $ | 5.44 | 1.08 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,002.81 | $ | 6.14 | $ | 1,000.00 | $ | 1,018.80 | $ | 6.19 | 1.23 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,002.65 | $ | 6.64 | $ | 1,000.00 | $ | 1,018.30 | $ | 6.69 | 1.33 | % | |||||||||||||||||
SA Putnam Asset Allocation Diversified Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,038.44 | $ | 4.78 | $ | 1,000.00 | $ | 1,020.24 | $ | 4.73 | 0.94 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,037.61 | $ | 5.54 | $ | 1,000.00 | $ | 1,019.50 | $ | 5.49 | 1.09 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,036.59 | $ | 5.99 | $ | 1,000.00 | $ | 1,019.05 | $ | 5.94 | 1.18 | % | |||||||||||||||||
SA T. Rowe Price Growth Stock | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,099.83 | $ | 4.55 | $ | 1,000.00 | $ | 1,020.59 | $ | 4.38 | 0.87 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,099.25 | $ | 5.34 | $ | 1,000.00 | $ | 1,019.85 | $ | 5.14 | 1.02 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,098.81 | $ | 5.86 | $ | 1,000.00 | $ | 1,019.35 | $ | 5.64 | 1.12 | % | |||||||||||||||||
SA Multi-Managed Large Cap Growth | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,091.83 | $ | 4.22 | $ | 1,000.00 | $ | 1,020.89 | $ | 4.08 | 0.81 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,091.62 | $ | 5.01 | $ | 1,000.00 | $ | 1,020.14 | $ | 4.84 | 0.96 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,090.49 | $ | 5.52 | $ | 1,000.00 | $ | 1,019.65 | $ | 5.34 | 1.06 | % | |||||||||||||||||
SA Multi-Managed Large Cap Value | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,023.01 | $ | 3.93 | $ | 1,000.00 | $ | 1,021.04 | $ | 3.93 | 0.78 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,022.20 | $ | 4.69 | $ | 1,000.00 | $ | 1,020.29 | $ | 4.68 | 0.93 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,022.03 | $ | 5.19 | $ | 1,000.00 | $ | 1,019.80 | $ | 5.19 | 1.03 | % | |||||||||||||||||
SA Multi-Managed Mid Cap Growth | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,094.22 | $ | 4.86 | $ | 1,000.00 | $ | 1,020.29 | $ | 4.68 | 0.93 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,093.60 | $ | 5.64 | $ | 1,000.00 | $ | 1,019.55 | $ | 5.44 | 1.08 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,092.93 | $ | 6.16 | $ | 1,000.00 | $ | 1,019.05 | $ | 5.94 | 1.18 | % | |||||||||||||||||
SA Multi-Managed Mid Cap Value | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,030.60 | $ | 4.71 | $ | 1,000.00 | $ | 1,020.29 | $ | 4.68 | 0.93 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,029.79 | $ | 5.47 | $ | 1,000.00 | $ | 1,019.55 | $ | 5.44 | 1.08 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,029.28 | $ | 5.97 | $ | 1,000.00 | $ | 1,019.05 | $ | 5.94 | 1.18 | % |
4
SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued) March 31, 2018
(unaudited)
Actual | Hypothetical | ||||||||||||||||||||||||||||||
Portfolio | �� | Beginning Account Value at October 1, 2017 | Ending Account Value Using Actual Return at March 31, 2018 | Expenses Paid During the Six Months Ended March 31, 2018* | Beginning Account Value at October 1, 2017 | Ending Account Value Using a Hypothetical 5% Annual Return at March 31, 2018 | Expenses Paid During the Six Months Ended March 31, 2018* | Annualized Expense Ratio* | |||||||||||||||||||||||
SA Multi-Managed Small Cap# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,040.53 | $ | 4.63 | $ | 1,000.00 | $ | 1,020.39 | $ | 4.58 | 0.91 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,039.48 | $ | 5.39 | $ | 1,000.00 | $ | 1,019.65 | $ | 5.34 | 1.06 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,038.97 | $ | 5.90 | $ | 1,000.00 | $ | 1,019.15 | $ | 5.84 | 1.16 | % | |||||||||||||||||
SA Multi-Managed International Equity# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,026.10 | $ | 4.85 | $ | 1,000.00 | $ | 1,020.14 | $ | 4.84 | 0.96 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,025.84 | $ | 5.61 | $ | 1,000.00 | $ | 1,019.40 | $ | 5.59 | 1.11 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,024.70 | $ | 6.11 | $ | 1,000.00 | $ | 1,018.90 | $ | 6.09 | 1.21 | % | |||||||||||||||||
SA Multi-Managed Diversified Fixed Income | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 988.35 | $ | 3.37 | $ | 1,000.00 | $ | 1,021.54 | $ | 3.43 | 0.68 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 986.83 | $ | 4.11 | $ | 1,000.00 | $ | 1,020.79 | $ | 4.18 | 0.83 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 986.83 | $ | 4.61 | $ | 1,000.00 | $ | 1,020.29 | $ | 4.68 | 0.93 | % | |||||||||||||||||
SA Wellington Real Return# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,005.92 | $ | 2.90 | $ | 1,000.00 | $ | 1,022.04 | $ | 2.92 | 0.58 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,004.48 | $ | 4.15 | $ | 1,000.00 | $ | 1,020.79 | $ | 4.18 | 0.83 | % | |||||||||||||||||
SA Columbia Focused Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,109.64 | $ | 4.05 | $ | 1,000.00 | $ | 1,021.09 | $ | 3.88 | 0.77 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,109.34 | $ | 4.84 | $ | 1,000.00 | $ | 1,020.34 | $ | 4.63 | 0.92 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,108.93 | $ | 5.36 | $ | 1,000.00 | $ | 1,019.85 | $ | 5.14 | 1.02 | % | |||||||||||||||||
SA Columbia Focused Value# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,043.33 | $ | 3.67 | $ | 1,000.00 | $ | 1,021.34 | $ | 3.63 | 0.72 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,042.57 | $ | 4.43 | $ | 1,000.00 | $ | 1,020.59 | $ | 4.38 | 0.87 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,042.14 | $ | 4.94 | $ | 1,000.00 | $ | 1,020.09 | $ | 4.89 | 0.97 | % | |||||||||||||||||
SA Allocation Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,038.98 | $ | 0.76 | $ | 1,000.00 | $ | 1,024.18 | $ | 0.76 | 0.15 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,037.32 | $ | 2.03 | $ | 1,000.00 | $ | 1,022.94 | $ | 2.02 | 0.40 | % | |||||||||||||||||
SA Allocation Moderate Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,030.40 | $ | 0.61 | $ | 1,000.00 | $ | 1,024.33 | $ | 0.61 | 0.12 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,029.19 | $ | 1.87 | $ | 1,000.00 | $ | 1,023.09 | $ | 1.87 | 0.37 | % | |||||||||||||||||
SA Allocation Moderate# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,025.91 | $ | 0.61 | $ | 1,000.00 | $ | 1,024.33 | $ | 0.61 | 0.12 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,024.64 | $ | 1.87 | $ | 1,000.00 | $ | 1,023.09 | $ | 1.87 | 0.37 | % | |||||||||||||||||
SA Allocation Balanced# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,016.40 | $ | 0.65 | $ | 1,000.00 | $ | 1,024.28 | $ | 0.66 | 0.13 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,014.15 | $ | 1.76 | $ | 1,000.00 | $ | 1,023.19 | $ | 1.77 | 0.35 | % |
* Expenses are equal to each Portfolio's annualized expense ratio multiplied by the average account value over the period, multiplied by 182 days then divided by 365 (to reflect the one-half year period). These ratios do not reflect fees and expenses associated with the Variable Contracts. If such fees and expenses had been included, the expenses would have been higher. Please refer to your Variable Contract prospectus for details on the expenses that apply to the Variable Contracts of the insurance companies.
# During the stated period, the investment adviser either waived a portion of or all fees and assumed a portion of or all expenses for the Portfolios or through recoupment provisions, recovered a portion of or all fees and expenses waived or reimbursed in the previous two fiscal years. As a result, if these fees and expenses had not been waived or assumed, the "Actual/Hypothetical Ending Account Value" would have been lower and the "Actual/Hypothetical Expenses Paid During the Six Months Ended March 31, 2018" and "Annualized Expense Ratio" would have been higher. If these fees and expenses had not been recouped, the "Actual/Hypothetical Ending Account Value" would have been higher and the "Actual/Hypothetical Expenses Paid During the Six Months Ended March 31, 2018" and the "Annualized Expense Ratio" would have been lower.
5
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Diversified Financial Services | 9.7 | % | |||||
Federal National Mtg. Assoc. | 5.9 | ||||||
Applications Software | 3.4 | ||||||
Web Portals/ISP | 3.3 | ||||||
Electronic Components-Semiconductors | 3.2 | ||||||
Medical-Biomedical/Gene | 3.1 | ||||||
E-Commerce/Products | 2.8 | ||||||
United States Treasury Notes | 2.7 | ||||||
Finance-Credit Card | 2.5 | ||||||
Computers | 2.5 | ||||||
Real Estate Investment Trusts | 2.4 | ||||||
Federal Home Loan Mtg. Corp. | 2.2 | ||||||
Banks-Commercial | 2.2 | ||||||
Retail-Restaurants | 2.1 | ||||||
Diversified Banking Institutions | 2.1 | ||||||
Government National Mtg. Assoc. | 2.0 | ||||||
Diversified Manufacturing Operations | 1.9 | ||||||
Electronic Components-Misc. | 1.4 | ||||||
Electronic Forms | 1.4 | ||||||
Medical-HMO | 1.3 | ||||||
Medical-Drugs | 1.3 | ||||||
Enterprise Software/Service | 1.2 | ||||||
Tobacco | 1.2 | ||||||
Multimedia | 1.2 | ||||||
Cable/Satellite TV | 1.1 | ||||||
Drug Delivery Systems | 1.1 | ||||||
Internet Content-Entertainment | 1.1 | ||||||
United States Treasury Bonds | 1.0 | ||||||
Beverages-Non-alcoholic | 1.0 | ||||||
Aerospace/Defense-Equipment | 0.9 | ||||||
Commercial Services | 0.9 | ||||||
Retail-Building Products | 0.9 | ||||||
Entertainment Software | 0.9 | ||||||
E-Commerce/Services | 0.9 | ||||||
Consulting Services | 0.9 | ||||||
Medical-Hospitals | 0.8 | ||||||
Transport-Rail | 0.8 | ||||||
Insurance-Property/Casualty | 0.8 | ||||||
Auto/Truck Parts & Equipment-Original | 0.8 | ||||||
Industrial Gases | 0.8 | ||||||
Oil Companies-Exploration & Production | 0.8 | ||||||
Foreign Government Obligations | 0.7 | ||||||
Computer Services | 0.7 | ||||||
Therapeutics | 0.7 | ||||||
Medical Instruments | 0.6 | ||||||
Electric-Integrated | 0.6 | ||||||
Coatings/Paint | 0.6 | ||||||
Building Products-Cement | 0.6 | ||||||
Cosmetics & Toiletries | 0.6 | ||||||
Finance-Investment Banker/Broker | 0.6 | ||||||
Containers-Paper/Plastic | 0.6 | ||||||
Commercial Services-Finance | 0.6 | ||||||
Airlines | 0.6 | ||||||
Athletic Footwear | 0.6 | ||||||
Containers-Metal/Glass | 0.6 | ||||||
Telephone-Integrated | 0.6 | ||||||
Aerospace/Defense | 0.6 | ||||||
Medical Products | 0.5 | ||||||
Semiconductor Equipment | 0.5 | ||||||
Finance-Other Services | 0.5 |
Savings & Loans/Thrifts | 0.5 | % | |||||
Diagnostic Equipment | 0.5 | ||||||
Electric Products-Misc. | 0.5 | ||||||
Time Deposits | 0.5 | ||||||
Medical-Generic Drugs | 0.4 | ||||||
Medical Information Systems | 0.4 | ||||||
Repurchase Agreements | 0.4 | ||||||
Electronic Connectors | 0.4 | ||||||
Sovereign | 0.4 | ||||||
Municipal Bonds & Notes | 0.4 | ||||||
Computer Software | 0.4 | ||||||
Food-Confectionery | 0.4 | ||||||
Independent Power Producers | 0.3 | ||||||
Retail-Discount | 0.3 | ||||||
Building-Residential/Commercial | 0.3 | ||||||
Food-Catering | 0.3 | ||||||
Distribution/Wholesale | 0.3 | ||||||
Building & Construction-Misc. | 0.3 | ||||||
Finance-Consumer Loans | 0.3 | ||||||
Retail-Gardening Products | 0.3 | ||||||
Human Resources | 0.3 | ||||||
Computer Aided Design | 0.3 | ||||||
Pipelines | 0.3 | ||||||
Energy-Alternate Sources | 0.3 | ||||||
Retail-Drug Store | 0.3 | ||||||
Banks-Super Regional | 0.3 | ||||||
Cruise Lines | 0.3 | ||||||
Oil Companies-Integrated | 0.3 | ||||||
Gambling (Non-Hotel) | 0.3 | ||||||
Oil Refining & Marketing | 0.3 | ||||||
Data Processing/Management | 0.2 | ||||||
Insurance-Life/Health | 0.2 | ||||||
Machinery-General Industrial | 0.2 | ||||||
Auto-Truck Trailers | 0.2 | ||||||
Insurance-Multi-line | 0.2 | ||||||
Power Converter/Supply Equipment | 0.2 | ||||||
Office Supplies & Forms | 0.2 | ||||||
Rubber/Plastic Products | 0.2 | ||||||
Food-Misc./Diversified | 0.2 | ||||||
Web Hosting/Design | 0.2 | ||||||
Oil-Field Services | 0.2 | ||||||
Retail-Apparel/Shoe | 0.2 | ||||||
Printing-Commercial | 0.2 | ||||||
Racetracks | 0.2 | ||||||
Chemicals-Specialty | 0.1 | ||||||
Publishing-Newspapers | 0.1 | ||||||
Pharmacy Services | 0.1 | ||||||
Auto/Truck Parts & Equipment-Replacement | 0.1 | ||||||
Patient Monitoring Equipment | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Apparel Manufacturers | 0.1 | ||||||
Financial Guarantee Insurance | 0.1 | ||||||
Electronic Parts Distribution | 0.1 | ||||||
Brewery | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Wireless Equipment | 0.1 | ||||||
Auto-Cars/Light Trucks | 0.1 | ||||||
Water | 0.1 | ||||||
Medical-Wholesale Drug Distribution | 0.1 |
6
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO PROFILE — March 31, 2018 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Retail-Jewelry | 0.1 | % | |||||
Television | 0.1 | ||||||
Banks-Mortgage | 0.1 | ||||||
E-Services/Consulting | 0.1 | ||||||
Home Furnishings | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Metal Products-Distribution | 0.1 | ||||||
Retail-Home Furnishings | 0.1 | ||||||
Transport-Truck | 0.1 | ||||||
Telecom Equipment-Fiber Optics | 0.1 | ||||||
Engines-Internal Combustion | 0.1 | ||||||
Metal-Aluminum | 0.1 | ||||||
Building-Heavy Construction | 0.1 | ||||||
Computers-Periphery Equipment | 0.1 | ||||||
Poultry | 0.1 | ||||||
Footwear & Related Apparel | 0.1 | ||||||
Building Products-Doors & Windows | 0.1 | ||||||
Retail-Hair Salons | 0.1 | ||||||
Medical-Outpatient/Home Medical | 0.1 | ||||||
Beverages-Wine/Spirits | 0.1 | ||||||
Metal-Iron | 0.1 | ||||||
Transactional Software | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Transport-Services | 0.1 | ||||||
Retail-Regional Department Stores | 0.1 | ||||||
Publishing-Books | 0.1 | ||||||
Circuit Boards | 0.1 | ||||||
Semiconductor Components-Integrated Circuits | 0.1 | ||||||
Oil & Gas Drilling | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
107.9 | % |
* Calculated as a percentage of net assets
7
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 73.5% | |||||||||||
Aerospace/Defense — 0.5% | |||||||||||
Northrop Grumman Corp. | 730 | $ | 254,858 | ||||||||
Aerospace/Defense-Equipment — 0.9% | |||||||||||
AAR Corp. | 525 | 23,158 | |||||||||
Curtiss-Wright Corp. | 425 | 57,404 | |||||||||
L3 Technologies, Inc. | 1,862 | 387,296 | |||||||||
Moog, Inc., Class A† | 400 | 32,964 | |||||||||
500,822 | |||||||||||
Airlines — 0.6% | |||||||||||
United Continental Holdings, Inc.† | 4,318 | 299,971 | |||||||||
Airport Development/Maintenance — 0.0% | |||||||||||
Hudson, Ltd., Class A† | 1,400 | 22,274 | |||||||||
Apparel Manufacturers — 0.1% | |||||||||||
Under Armour, Inc., Class C† | 4,616 | 66,240 | |||||||||
Appliances — 0.0% | |||||||||||
Hamilton Beach Brands Holding Co., Class A | 700 | 14,854 | |||||||||
Applications Software — 3.3% | |||||||||||
Ebix, Inc. | 450 | 33,525 | |||||||||
HubSpot, Inc.† | 300 | 32,490 | |||||||||
Microsoft Corp. | 11,263 | 1,027,974 | |||||||||
Progress Software Corp. | 2,675 | 102,854 | |||||||||
salesforce.com, Inc.† | 4,846 | 563,590 | |||||||||
1,760,433 | |||||||||||
Athletic Footwear — 0.6% | |||||||||||
NIKE, Inc., Class B | 4,546 | 302,036 | |||||||||
Auto-Truck Trailers — 0.2% | |||||||||||
Wabash National Corp. | 5,150 | 107,171 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.8% | |||||||||||
Aptiv PLC | 4,002 | 340,050 | |||||||||
Meritor, Inc.† | 150 | 3,084 | |||||||||
Tenneco, Inc. | 1,050 | 57,613 | |||||||||
400,747 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.1% | |||||||||||
Douglas Dynamics, Inc. | 1,650 | 71,527 | |||||||||
B2B/E-Commerce — 0.0% | |||||||||||
ePlus, Inc.† | 300 | 23,310 | |||||||||
Banks-Commercial — 1.7% | |||||||||||
1st Source Corp. | 325 | 16,451 | |||||||||
BancFirst Corp. | 1,025 | 54,427 | |||||||||
BancorpSouth Bank | 1,375 | 43,725 | |||||||||
Banner Corp. | 1,275 | 70,750 | |||||||||
Cadence BanCorp | 100 | 2,723 | |||||||||
Cathay General Bancorp, Class B | 525 | 20,989 | |||||||||
Central Pacific Financial Corp. | 1,750 | 49,805 | |||||||||
Central Valley Community Bancorp | 125 | 2,445 | |||||||||
Citizens & Northern Corp. | 150 | 3,464 | |||||||||
City Holding Co. | 350 | 23,996 | |||||||||
CVB Financial Corp. | 2,200 | 49,808 | |||||||||
East West Bancorp, Inc. | 24 | 1,501 | |||||||||
FCB Financial Holdings, Inc., Class A† | 1,650 | 84,315 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial (continued) | |||||||||||
First Commonwealth Financial Corp. | 2,225 | $ | 31,439 | ||||||||
First Community Bancshares, Inc. | 150 | 4,478 | |||||||||
First Financial Bancorp | 350 | 10,273 | |||||||||
First Hawaiian, Inc. | 500 | 13,915 | |||||||||
First Horizon National Corp. | 572 | 10,771 | |||||||||
First Interstate BancSystem, Inc., Class A | 350 | 13,842 | |||||||||
Fulton Financial Corp. | 575 | 10,206 | |||||||||
Great Western Bancorp, Inc. | 175 | 7,047 | |||||||||
Guaranty Bancorp | 225 | 6,379 | |||||||||
Heritage Financial Corp. | 500 | 15,300 | |||||||||
Hope Bancorp, Inc. | 1,094 | 19,900 | |||||||||
Independent Bank Corp./ Massachusetts | 75 | 5,366 | |||||||||
Independent Bank Corp./Michgan | 650 | 14,885 | |||||||||
MainSource Financial Group, Inc. | 175 | 7,114 | |||||||||
OFG Bancorp | 1,225 | 12,801 | |||||||||
PacWest Bancorp | 375 | 18,574 | |||||||||
Sierra Bancorp | 150 | 3,996 | |||||||||
Simmons First National Corp., Class A | 639 | 18,180 | |||||||||
Southside Bancshares, Inc. | 110 | 3,821 | |||||||||
TCF Financial Corp. | 1,375 | 31,364 | |||||||||
Trustmark Corp. | 475 | 14,801 | |||||||||
UMB Financial Corp. | 325 | 23,527 | |||||||||
Union Bankshares Corp. | 1,666 | 61,159 | |||||||||
Webster Financial Corp. | 325 | 18,005 | |||||||||
West Bancorporation, Inc. | 225 | 5,760 | |||||||||
Westamerica Bancorporation | 1,375 | 79,860 | |||||||||
887,162 | |||||||||||
Banks-Mortgage — 0.1% | |||||||||||
Walker & Dunlop, Inc. | 825 | 49,021 | |||||||||
Banks-Super Regional — 0.0% | |||||||||||
National Bank Holdings Corp., Class A | 125 | 4,156 | |||||||||
Beverages-Non-alcoholic — 1.0% | |||||||||||
Coca-Cola Co. | 12,246 | 531,844 | |||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Hemisphere Media Group, Inc.† | 1,450 | 16,313 | |||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Gibraltar Industries, Inc.† | 800 | 27,080 | |||||||||
Ply Gem Holdings, Inc.† | 725 | 15,660 | |||||||||
42,740 | |||||||||||
Building & Construction-Misc. — 0.3% | |||||||||||
EMCOR Group, Inc. | 1,800 | 140,274 | |||||||||
MYR Group, Inc.† | 775 | 23,885 | |||||||||
164,159 | |||||||||||
Building Products-Cement — 0.6% | |||||||||||
Continental Building Products, Inc.† | 2,875 | 82,081 | |||||||||
Vulcan Materials Co. | 2,104 | 240,214 | |||||||||
322,295 |
8
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building Products-Doors & Windows — 0.1% | |||||||||||
Masonite International Corp.† | 625 | $ | 38,344 | ||||||||
Building-Heavy Construction — 0.0% | |||||||||||
MasTec, Inc.† | 350 | 16,468 | |||||||||
Building-Residential/Commercial — 0.3% | |||||||||||
AV Homes, Inc.† | 300 | 5,565 | |||||||||
Beazer Homes USA, Inc.† | 2,225 | 35,489 | |||||||||
Hovnanian Enterprises, Inc., Class A† | 2,075 | 3,797 | |||||||||
KB Home | 400 | 11,380 | |||||||||
Taylor Morrison Home Corp., Class A† | 4,775 | 111,162 | |||||||||
167,393 | |||||||||||
Cable/Satellite TV — 0.7% | |||||||||||
Comcast Corp., Class A | 11,198 | 382,636 | |||||||||
Chemicals-Plastics — 0.0% | |||||||||||
PolyOne Corp. | 250 | 10,630 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Minerals Technologies, Inc. | 700 | 46,865 | |||||||||
OMNOVA Solutions, Inc.† | 1,600 | 16,800 | |||||||||
Sensient Technologies Corp. | 200 | 14,116 | |||||||||
77,781 | |||||||||||
Circuit Boards — 0.1% | |||||||||||
TTM Technologies, Inc.† | 1,825 | 27,904 | |||||||||
Coal — 0.0% | |||||||||||
NACCO Industries, Inc., Class A | 350 | 11,498 | |||||||||
SunCoke Energy, Inc.† | 300 | 3,228 | |||||||||
14,726 | |||||||||||
Coatings/Paint — 0.6% | |||||||||||
Sherwin-Williams Co. | 810 | 317,617 | |||||||||
Commercial Services — 0.9% | |||||||||||
Care.com, Inc.† | 650 | 10,576 | |||||||||
CoStar Group, Inc.† | 796 | 288,693 | |||||||||
Medifast, Inc. | 75 | 7,009 | |||||||||
RPX Corp. | 3,756 | 40,152 | |||||||||
ServiceMaster Global Holdings, Inc.† | 2,871 | 145,990 | |||||||||
492,420 | |||||||||||
Commercial Services-Finance — 0.6% | |||||||||||
Euronet Worldwide, Inc.† | 150 | 11,838 | |||||||||
EVERTEC, Inc. | 200 | 3,270 | |||||||||
Green Dot Corp., Class A† | 425 | 27,268 | |||||||||
MarketAxess Holdings, Inc. | 275 | 59,796 | |||||||||
Travelport Worldwide, Ltd. | 4,600 | 75,164 | |||||||||
Worldpay, Inc., Class A† | 1,576 | 129,610 | |||||||||
306,946 | |||||||||||
Computer Aided Design — 0.3% | |||||||||||
Aspen Technology, Inc.† | 1,900 | 149,891 | |||||||||
Computer Data Security — 0.0% | |||||||||||
ForeScout Technologies, Inc.† | 125 | 4,055 | |||||||||
VASCO Data Security International, Inc.† | 575 | 7,446 | |||||||||
11,501 |
Security Description | Shares | Value (Note 2) | |||||||||
Computer Services — 0.7% | |||||||||||
Amdocs, Ltd. | 3,527 | $ | 235,321 | ||||||||
Convergys Corp. | 1,050 | 23,751 | |||||||||
Science Applications International Corp. | 725 | 57,130 | |||||||||
Unisys Corp.† | 3,200 | 34,400 | |||||||||
350,602 | |||||||||||
Computer Software — 0.4% | |||||||||||
Box, Inc., Class A† | 475 | 9,761 | |||||||||
SendGrid, Inc.† | 100 | 2,814 | |||||||||
SS&C Technologies Holdings, Inc. | 2,919 | 156,575 | |||||||||
Tintri, Inc.† | 900 | 1,539 | |||||||||
Workiva, Inc.† | 1,325 | 31,403 | |||||||||
202,092 | |||||||||||
Computers — 2.4% | |||||||||||
Apple, Inc. | 7,420 | 1,244,928 | |||||||||
Computers-Integrated Systems — 0.0% | |||||||||||
NetScout Systems, Inc.† | 400 | 10,540 | |||||||||
Computers-Periphery Equipment — 0.1% | |||||||||||
Electronics For Imaging, Inc.† | 1,500 | 40,995 | |||||||||
Consulting Services — 0.9% | |||||||||||
Gartner, Inc.† | 1,854 | 218,067 | |||||||||
Huron Consulting Group, Inc.† | 1,900 | 72,390 | |||||||||
Verisk Analytics, Inc.† | 1,564 | 162,656 | |||||||||
453,113 | |||||||||||
Containers-Metal/Glass — 0.6% | |||||||||||
Ball Corp. | 7,591 | 301,439 | |||||||||
Containers-Paper/Plastic — 0.6% | |||||||||||
Graphic Packaging Holding Co. | 4,195 | 64,393 | |||||||||
Sealed Air Corp. | 5,893 | 252,162 | |||||||||
316,555 | |||||||||||
Cosmetics & Toiletries — 0.6% | |||||||||||
Estee Lauder Cos., Inc., Class A | 2,121 | 317,556 | |||||||||
Cruise Lines — 0.3% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 2,525 | 133,749 | |||||||||
Data Processing/Management — 0.2% | |||||||||||
CSG Systems International, Inc. | 650 | 29,439 | |||||||||
Fair Isaac Corp.† | 525 | 88,919 | |||||||||
118,358 | |||||||||||
Diagnostic Equipment — 0.5% | |||||||||||
Thermo Fisher Scientific, Inc. | 1,220 | 251,881 | |||||||||
Diagnostic Kits — 0.0% | |||||||||||
Meridian Bioscience, Inc. | 1,400 | 19,880 | |||||||||
Disposable Medical Products — 0.0% | |||||||||||
Utah Medical Products, Inc. | 125 | 12,356 | |||||||||
Distribution/Wholesale — 0.3% | |||||||||||
Essendant, Inc. | 375 | 2,925 | |||||||||
Fastenal Co. | 2,132 | 116,386 | |||||||||
Titan Machinery, Inc.† | 2,000 | 47,120 | |||||||||
166,431 | |||||||||||
Diversified Manufacturing Operations — 1.9% | |||||||||||
A.O. Smith Corp. | 3,517 | 223,646 | |||||||||
Actuant Corp., Class A | 1,325 | 30,806 |
9
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Diversified Manufacturing Operations (continued) | |||||||||||
Harsco Corp.† | 950 | $ | 19,617 | ||||||||
Illinois Tool Works, Inc. | 2,271 | 355,775 | |||||||||
Parker-Hannifin Corp. | 2,128 | 363,952 | |||||||||
993,796 | |||||||||||
Drug Delivery Systems — 1.1% | |||||||||||
DexCom, Inc.† | 3,927 | 291,226 | |||||||||
Nektar Therapeutics† | 2,818 | 299,441 | |||||||||
590,667 | |||||||||||
E-Commerce/Products — 2.8% | |||||||||||
Amazon.com, Inc.† | 963 | 1,393,788 | |||||||||
Wayfair, Inc., Class A† | 1,349 | 91,098 | |||||||||
1,484,886 | |||||||||||
E-Commerce/Services — 0.9% | |||||||||||
Booking Holdings, Inc.† | 188 | 391,113 | |||||||||
Cargurus, Inc.† | 125 | 4,809 | |||||||||
Shutterfly, Inc.† | 500 | 40,625 | |||||||||
Stamps.com, Inc.† | 200 | 40,210 | |||||||||
476,757 | |||||||||||
E-Services/Consulting — 0.1% | |||||||||||
Perficient, Inc.† | 2,100 | 48,132 | |||||||||
Educational Software — 0.0% | |||||||||||
Rosetta Stone, Inc.† | 500 | 6,575 | |||||||||
Electric Products-Misc. — 0.5% | |||||||||||
AMETEK, Inc. | 3,142 | 238,698 | |||||||||
Graham Corp. | 225 | 4,819 | |||||||||
243,517 | |||||||||||
Electric-Distribution — 0.0% | |||||||||||
Spark Energy, Inc., Class A | 925 | 10,961 | |||||||||
Electric-Generation — 0.0% | |||||||||||
Atlantic Power Corp.† | 11,925 | 25,043 | |||||||||
Electric-Integrated — 0.2% | |||||||||||
Avista Corp. | 150 | 7,688 | |||||||||
El Paso Electric Co. | 650 | 33,150 | |||||||||
NorthWestern Corp. | 175 | 9,415 | |||||||||
PNM Resources, Inc. | 475 | 18,169 | |||||||||
Portland General Electric Co. | 1,150 | 46,586 | |||||||||
115,008 | |||||||||||
Electronic Components-Misc. — 1.4% | |||||||||||
Bel Fuse, Inc., Class B | 150 | 2,835 | |||||||||
Benchmark Electronics, Inc. | 1,950 | 58,207 | |||||||||
Flex, Ltd.† | 14,933 | 243,856 | |||||||||
Knowles Corp.† | 2,025 | 25,495 | |||||||||
Sensata Technologies Holding PLC† | 5,860 | 303,724 | |||||||||
Stoneridge, Inc.† | 2,075 | 57,270 | |||||||||
Vishay Intertechnology, Inc. | 3,875 | 72,075 | |||||||||
763,462 | |||||||||||
Electronic Components-Semiconductors — 3.0% | |||||||||||
Alpha & Omega Semiconductor, Ltd.† | 1,225 | 18,926 | |||||||||
Amkor Technology, Inc.† | 4,300 | 43,559 | |||||||||
Broadcom, Ltd. | 1,942 | 457,632 |
Security Description | Shares | Value (Note 2) | |||||||||
Electronic Components-Semiconductors (continued) | |||||||||||
Microchip Technology, Inc. | 4,261 | $ | 389,285 | ||||||||
Rambus, Inc.† | 2,600 | 34,918 | |||||||||
Silicon Laboratories, Inc.† | 125 | 11,238 | |||||||||
Synaptics, Inc.† | 1,250 | 57,163 | |||||||||
Texas Instruments, Inc. | 4,898 | 508,853 | |||||||||
Xperi Corp. | 3,600 | 76,140 | |||||||||
1,597,714 | |||||||||||
Electronic Connectors — 0.4% | |||||||||||
Amphenol Corp., Class A | 2,487 | 214,205 | |||||||||
Electronic Forms — 1.4% | |||||||||||
Adobe Systems, Inc.† | 3,411 | 737,049 | |||||||||
Electronic Parts Distribution — 0.1% | |||||||||||
Tech Data Corp.† | 700 | 59,591 | |||||||||
Energy-Alternate Sources — 0.3% | |||||||||||
FutureFuel Corp. | 1,225 | 14,688 | |||||||||
Pacific Ethanol, Inc.† | 1,625 | 4,875 | |||||||||
Pattern Energy Group, Inc., Class A | 875 | 15,128 | |||||||||
Renewable Energy Group, Inc.† | 2,150 | 27,520 | |||||||||
REX American Resources Corp.† | 1,050 | 76,440 | |||||||||
138,651 | |||||||||||
Engineering/R&D Services — 0.1% | |||||||||||
VSE Corp. | 600 | 31,032 | |||||||||
Engines-Internal Combustion — 0.1% | |||||||||||
Briggs & Stratton Corp. | 2,025 | 43,355 | |||||||||
Enterprise Software/Service — 1.2% | |||||||||||
Manhattan Associates, Inc.† | 275 | 11,517 | |||||||||
SailPoint Technologies Holding, Inc.† | 1,025 | 21,207 | |||||||||
Tyler Technologies, Inc.† | 1,515 | 319,604 | |||||||||
Ultimate Software Group, Inc.† | 1,201 | 292,684 | |||||||||
645,012 | |||||||||||
Entertainment Software — 0.9% | |||||||||||
Activision Blizzard, Inc. | 7,026 | 473,974 | |||||||||
Take-Two Interactive Software, Inc.† | 50 | 4,889 | |||||||||
478,863 | |||||||||||
Environmental Monitoring & Detection — 0.0% | |||||||||||
MSA Safety, Inc. | 300 | 24,972 | |||||||||
Finance-Auto Loans — 0.0% | |||||||||||
Credit Acceptance Corp.† | 65 | 21,477 | |||||||||
Finance-Consumer Loans — 0.3% | |||||||||||
Nelnet, Inc., Class A | 450 | 23,585 | |||||||||
Synchrony Financial | 3,819 | 128,051 | |||||||||
151,636 | |||||||||||
Finance-Credit Card — 2.5% | |||||||||||
Mastercard, Inc., Class A | 3,516 | 615,863 | |||||||||
Visa, Inc., Class A | 5,808 | 694,753 | |||||||||
1,310,616 | |||||||||||
Finance-Investment Banker/Broker — 0.6% | |||||||||||
Houlihan Lokey, Inc. | 750 | 33,450 | |||||||||
Stifel Financial Corp. | 165 | 9,773 | |||||||||
TD Ameritrade Holding Corp. | 4,620 | 273,643 | |||||||||
316,866 |
10
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Finance-Other Services — 0.4% | |||||||||||
Intercontinental Exchange, Inc. | 2,556 | $ | 185,361 | ||||||||
WageWorks, Inc.† | 800 | 36,160 | |||||||||
221,521 | |||||||||||
Financial Guarantee Insurance — 0.1% | |||||||||||
MBIA, Inc.† | 3,225 | 29,863 | |||||||||
MGIC Investment Corp.† | 1,400 | 18,200 | |||||||||
NMI Holdings, Inc., Class A† | 650 | 10,758 | |||||||||
Radian Group, Inc. | 375 | 7,140 | |||||||||
65,961 | |||||||||||
Food-Canned — 0.0% | |||||||||||
Seneca Foods Corp., Class A† | 125 | 3,463 | |||||||||
Food-Catering — 0.3% | |||||||||||
Aramark | 4,355 | 172,284 | |||||||||
Food-Confectionery — 0.4% | |||||||||||
Hershey Co. | 1,967 | 194,654 | |||||||||
Food-Dairy Products — 0.0% | |||||||||||
Dean Foods Co. | 1,625 | 14,008 | |||||||||
Food-Flour & Grain — 0.0% | |||||||||||
Post Holdings, Inc.† | 150 | 11,364 | |||||||||
Food-Misc./Diversified — 0.2% | |||||||||||
Darling Ingredients, Inc.† | 4,900 | 84,770 | |||||||||
Food-Retail — 0.0% | |||||||||||
Ingles Markets, Inc., Class A | 575 | 19,464 | |||||||||
Footwear & Related Apparel — 0.1% | |||||||||||
Weyco Group, Inc. | 75 | 2,520 | |||||||||
Wolverine World Wide, Inc. | 1,275 | 36,848 | |||||||||
39,368 | |||||||||||
Gambling (Non-Hotel) — 0.3% | |||||||||||
Pinnacle Entertainment, Inc.† | 4,375 | 131,906 | |||||||||
Gas-Distribution — 0.1% | |||||||||||
Northwest Natural Gas Co. | 150 | 8,648 | |||||||||
Southwest Gas Holdings, Inc. | 325 | 21,980 | |||||||||
Spire, Inc. | 375 | 27,112 | |||||||||
57,740 | |||||||||||
Home Furnishings — 0.1% | |||||||||||
Sleep Number Corp.† | 1,350 | 47,452 | |||||||||
Housewares — 0.0% | |||||||||||
Lifetime Brands, Inc. | 125 | 1,550 | |||||||||
Human Resources — 0.3% | |||||||||||
Barrett Business Services, Inc. | 1,150 | 95,312 | |||||||||
Cross Country Healthcare, Inc.† | 2,525 | 28,053 | |||||||||
TriNet Group, Inc.† | 175 | 8,106 | |||||||||
TrueBlue, Inc.† | 1,000 | 25,900 | |||||||||
157,371 | |||||||||||
Independent Power Producers — 0.3% | |||||||||||
Dynegy, Inc.† | 5,025 | 67,938 | |||||||||
NRG Energy, Inc. | 3,746 | 114,365 | |||||||||
182,303 | |||||||||||
Industrial Gases — 0.8% | |||||||||||
Air Products & Chemicals, Inc. | 2,513 | 399,642 |
Security Description | Shares | Value (Note 2) | |||||||||
Insurance-Life/Health — 0.2% | |||||||||||
CNO Financial Group, Inc. | 1,900 | $ | 41,173 | ||||||||
Primerica, Inc. | 550 | 53,130 | |||||||||
94,303 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Kemper Corp. | 200 | 11,400 | |||||||||
Insurance-Property/Casualty — 0.8% | |||||||||||
Ambac Financial Group, Inc.† | 100 | 1,568 | |||||||||
First American Financial Corp. | 350 | 20,538 | |||||||||
Global Indemnity, Ltd. | 125 | 4,315 | |||||||||
Kinsale Capital Group, Inc. | 425 | 21,815 | |||||||||
Navigators Group, Inc. | 525 | 30,266 | |||||||||
ProAssurance Corp. | 425 | 20,634 | |||||||||
Progressive Corp. | 4,800 | 292,464 | |||||||||
Third Point Reinsurance, Ltd.† | 675 | 9,416 | |||||||||
Universal Insurance Holdings, Inc. | 375 | 11,963 | |||||||||
412,979 | |||||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Blue Capital Reinsurance Holdings, Ltd. | 100 | 1,220 | |||||||||
Internet Content-Entertainment — 1.1% | |||||||||||
Facebook, Inc., Class A† | 3,684 | 588,666 | |||||||||
Internet Content-Information/News — 0.0% | |||||||||||
DHI Group, Inc.† | 1,025 | 1,640 | |||||||||
Internet Security — 0.1% | |||||||||||
Proofpoint, Inc.† | 400 | 45,460 | |||||||||
Zix Corp.† | 2,475 | 10,568 | |||||||||
Zscaler, Inc.† | 475 | 13,333 | |||||||||
69,361 | |||||||||||
Investment Management/Advisor Services — 0.0% | |||||||||||
BrightSphere Investment Group PLC | 350 | 5,516 | |||||||||
Virtus Investment Partners, Inc. | 125 | 15,475 | |||||||||
20,991 | |||||||||||
Machinery-General Industrial — 0.2% | |||||||||||
Applied Industrial Technologies, Inc. | 475 | 34,627 | |||||||||
DXP Enterprises, Inc.† | 825 | 32,134 | |||||||||
Kadant, Inc. | 450 | 42,525 | |||||||||
109,286 | |||||||||||
Marine Services — 0.0% | |||||||||||
SEACOR Marine Holdings, Inc.† | 176 | 3,348 | |||||||||
Medical Imaging Systems — 0.0% | |||||||||||
Lantheus Holdings, Inc.† | 500 | 7,950 | |||||||||
Medical Information Systems — 0.4% | |||||||||||
Allscripts Healthcare Solutions, Inc.† | 2,175 | 26,861 | |||||||||
athenahealth, Inc.† | 1,288 | 184,223 | |||||||||
211,084 | |||||||||||
Medical Instruments — 0.6% | |||||||||||
AngioDynamics, Inc.† | 1,900 | 32,775 | |||||||||
Boston Scientific Corp.† | 9,784 | 267,299 | |||||||||
NuVasive, Inc.† | 650 | 33,936 | |||||||||
334,010 |
11
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical Labs & Testing Services — 0.0% | |||||||||||
Medpace Holdings, Inc.† | 250 | $ | 8,728 | ||||||||
Medical Products — 0.4% | |||||||||||
Integer Holdings Corp.† | 1,625 | 91,893 | |||||||||
Luminex Corp. | 525 | 11,062 | |||||||||
Orthofix International NV† | 300 | 17,634 | |||||||||
OrthoPediatrics Corp.† | 250 | 3,765 | |||||||||
Wright Medical Group NV† | 5,125 | 101,680 | |||||||||
226,034 | |||||||||||
Medical-Biomedical/Gene — 3.0% | |||||||||||
ACADIA Pharmaceuticals, Inc.† | 525 | 11,797 | |||||||||
Achillion Pharmaceuticals, Inc.† | 5,575 | 20,683 | |||||||||
Alder Biopharmaceuticals, Inc.† | 1,875 | 23,812 | |||||||||
AMAG Pharmaceuticals, Inc.† | 975 | 19,646 | |||||||||
Amicus Therapeutics, Inc.† | 2,275 | 34,216 | |||||||||
AnaptysBio, Inc.† | 1,232 | 128,227 | |||||||||
Arena Pharmaceuticals, Inc.† | 705 | 27,847 | |||||||||
ARMO BioSciences, Inc.† | 450 | 16,835 | |||||||||
Avexis, Inc.† | 300 | 37,074 | |||||||||
Biogen, Inc.† | 1,020 | 279,296 | |||||||||
Biohaven Pharmaceutical Holding Co., Ltd.† | 675 | 17,388 | |||||||||
Bluebird Bio, Inc.† | 125 | 21,344 | |||||||||
Celgene Corp.† | 2,644 | 235,871 | |||||||||
CytomX Therapeutics, Inc.† | 775 | 22,049 | |||||||||
Homology Medicines, Inc.† | 1,000 | 18,700 | |||||||||
Insmed, Inc.† | 2,474 | 55,714 | |||||||||
Menlo Therapeutics, Inc.† | 625 | 23,488 | |||||||||
Myriad Genetics, Inc.† | 1,275 | 37,676 | |||||||||
NewLink Genetics Corp.† | 2,700 | 19,575 | |||||||||
Novavax, Inc.† | 11,325 | 23,783 | |||||||||
Prothena Corp. PLC† | 475 | 17,437 | |||||||||
Puma Biotechnology, Inc.† | 2,689 | 182,986 | |||||||||
Regeneron Pharmaceuticals, Inc.† | 612 | 210,748 | |||||||||
REGENXBIO, Inc.† | 1,025 | 30,596 | |||||||||
resTORbio, Inc.† | 450 | 4,311 | |||||||||
Sangamo Therapeutics, Inc.† | 450 | 8,550 | |||||||||
Selecta Biosciences, Inc.† | 1,650 | 16,814 | |||||||||
Seres Therapeutics, Inc.† | 2,300 | 16,882 | |||||||||
Solid Biosciences, Inc.† | 1,775 | 13,313 | |||||||||
Spark Therapeutics, Inc.† | 525 | 34,960 | |||||||||
1,611,618 | |||||||||||
Medical-Drugs — 1.2% | |||||||||||
Aimmune Therapeutics, Inc.† | 750 | 23,872 | |||||||||
Clovis Oncology, Inc.† | 425 | 22,440 | |||||||||
Eli Lilly & Co. | 4,236 | 327,739 | |||||||||
Global Blood Therapeutics, Inc.† | 2,194 | 105,970 | |||||||||
Horizon Pharma PLC† | 1,350 | 19,170 | |||||||||
Paratek Pharmaceuticals, Inc.† | 1,225 | 15,925 | |||||||||
Prestige Brands Holdings, Inc.† | 200 | 6,744 | |||||||||
Reata Pharmaceuticals, Inc., Class A† | 850 | 17,434 | |||||||||
Synergy Pharmaceuticals, Inc.† | 7,375 | 13,496 | |||||||||
TG Therapeutics, Inc.† | 1,600 | 22,720 | |||||||||
Vanda Pharmaceuticals, Inc.† | 1,250 | 21,063 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Drugs (continued) | |||||||||||
Voyager Therapeutics, Inc.† | 900 | $ | 16,911 | ||||||||
613,484 | |||||||||||
Medical-Generic Drugs — 0.3% | |||||||||||
Mylan NV† | 4,325 | 178,060 | |||||||||
Medical-HMO — 1.2% | |||||||||||
Humana, Inc. | 1,419 | 381,470 | |||||||||
Molina Healthcare, Inc.† | 1,400 | 113,652 | |||||||||
Tivity Health, Inc.† | 2,750 | 109,037 | |||||||||
WellCare Health Plans, Inc.† | 50 | 9,682 | |||||||||
613,841 | |||||||||||
Medical-Hospitals — 0.7% | |||||||||||
Surgery Partners, Inc.† | 2,550 | 43,732 | |||||||||
Tenet Healthcare Corp.† | 3,200 | 77,600 | |||||||||
Universal Health Services, Inc., Class B | 1,916 | 226,874 | |||||||||
348,206 | |||||||||||
Medical-Outpatient/Home Medical — 0.1% | |||||||||||
Civitas Solutions, Inc.† | 2,200 | 33,880 | |||||||||
Medical-Wholesale Drug Distribution — 0.0% | |||||||||||
Owens & Minor, Inc. | 750 | 11,663 | |||||||||
Metal Products-Distribution — 0.1% | |||||||||||
Worthington Industries, Inc. | 1,075 | 46,139 | |||||||||
Metal-Aluminum — 0.1% | |||||||||||
Kaiser Aluminum Corp. | 425 | 42,883 | |||||||||
Miscellaneous Manufacturing — 0.0% | |||||||||||
FreightCar America, Inc. | 250 | 3,350 | |||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Eros International PLC† | 1,500 | 16,350 | |||||||||
MRI/Medical Diagnostic Imaging — 0.0% | |||||||||||
RadNet, Inc.† | 850 | 12,240 | |||||||||
Multimedia — 1.0% | |||||||||||
E.W. Scripps Co., Class A | 625 | 7,494 | |||||||||
Entravision Communications Corp., Class A | 1,500 | 7,050 | |||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 4,010 | 123,708 | |||||||||
Walt Disney Co. | 3,733 | 374,943 | |||||||||
513,195 | |||||||||||
Office Furnishings-Original — 0.0% | |||||||||||
Interface, Inc. | 411 | 10,357 | |||||||||
Office Supplies & Forms — 0.2% | |||||||||||
ACCO Brands Corp. | 8,000 | 100,400 | |||||||||
Oil & Gas Drilling — 0.1% | |||||||||||
Parker Drilling Co.† | 1,825 | 1,159 | |||||||||
Rowan Cos. PLC, Class A† | 2,125 | 24,522 | |||||||||
25,681 | |||||||||||
Oil Companies-Exploration & Production — 0.5% | |||||||||||
Anadarko Petroleum Corp. | 2,027 | 122,451 | |||||||||
Denbury Resources, Inc.† | 6,550 | 17,947 | |||||||||
EP Energy Corp., Class A† | 5,031 | 6,742 | |||||||||
HighPoint Resources Corp.† | 5,725 | 29,083 | |||||||||
Sanchez Energy Corp.† | 2,025 | 6,338 |
12
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Unit Corp.† | 750 | $ | 14,820 | ||||||||
W&T Offshore, Inc.† | 9,625 | 42,639 | |||||||||
240,020 | |||||||||||
Oil Field Machinery & Equipment — 0.0% | |||||||||||
Natural Gas Services Group, Inc.† | 325 | 7,751 | |||||||||
Oil Refining & Marketing — 0.2% | |||||||||||
Adams Resources & Energy, Inc. | 100 | 4,350 | |||||||||
Delek US Holdings, Inc. | 1,900 | 77,330 | |||||||||
81,680 | |||||||||||
Oil-Field Services — 0.2% | |||||||||||
Archrock, Inc. | 2,050 | 17,937 | |||||||||
FTS International, Inc.† | 850 | 15,631 | |||||||||
MRC Global, Inc.† | 2,775 | 45,621 | |||||||||
SEACOR Holdings, Inc.† | 175 | 8,943 | |||||||||
88,132 | |||||||||||
Paper & Related Products — 0.0% | |||||||||||
Domtar Corp. | 250 | 10,635 | |||||||||
Verso Corp., Class A† | 500 | 8,420 | |||||||||
19,055 | |||||||||||
Patient Monitoring Equipment — 0.1% | |||||||||||
Masimo Corp.† | 800 | 70,360 | |||||||||
Pollution Control — 0.0% | |||||||||||
CECO Environmental Corp. | 175 | 779 | |||||||||
Poultry — 0.1% | |||||||||||
Pilgrim's Pride Corp.† | 1,050 | 25,840 | |||||||||
Sanderson Farms, Inc. | 125 | 14,878 | |||||||||
40,718 | |||||||||||
Power Converter/Supply Equipment — 0.2% | |||||||||||
Advanced Energy Industries, Inc.† | 150 | 9,585 | |||||||||
Generac Holdings, Inc.† | 1,750 | 80,342 | |||||||||
Powell Industries, Inc. | 575 | 15,433 | |||||||||
105,360 | |||||||||||
Printing-Commercial — 0.2% | |||||||||||
ARC Document Solutions, Inc.† | 500 | 1,100 | |||||||||
Deluxe Corp. | 650 | 48,106 | |||||||||
Ennis, Inc. | 1,875 | 36,938 | |||||||||
86,144 | |||||||||||
Publishing-Books — 0.1% | |||||||||||
Houghton Mifflin Harcourt Co.† | 4,039 | 28,071 | |||||||||
Publishing-Newspapers — 0.1% | |||||||||||
Gannett Co., Inc. | 5,800 | 57,884 | |||||||||
tronc, Inc.† | 1,175 | 19,293 | |||||||||
77,177 | |||||||||||
Racetracks — 0.2% | |||||||||||
Penn National Gaming, Inc.† | 2,675 | 70,245 | |||||||||
Speedway Motorsports, Inc. | 525 | 9,356 | |||||||||
79,601 | |||||||||||
Real Estate Investment Trusts — 2.4% | |||||||||||
Alexander & Baldwin, Inc. | 284 | 6,569 | |||||||||
American Assets Trust, Inc. | 600 | 20,046 | |||||||||
American Tower Corp. | 2,758 | 400,848 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Ashford Hospitality Trust, Inc. | 3,950 | $ | 25,517 | ||||||||
Capstead Mtg. Corp. | 2,925 | 25,301 | |||||||||
CBL & Associates Properties, Inc. | 625 | 2,606 | |||||||||
Cherry Hill Mtg. Investment Corp. | 325 | 5,701 | |||||||||
CorEnergy Infrastructure Trust, Inc. | 325 | 12,200 | |||||||||
CoreSite Realty Corp. | 850 | 85,221 | |||||||||
CubeSmart | 425 | 11,985 | |||||||||
CYS Investments, Inc. | 6,975 | 46,872 | |||||||||
DCT Industrial Trust, Inc. | 500 | 28,170 | |||||||||
DiamondRock Hospitality Co. | 2,325 | 24,273 | |||||||||
Dynex Capital, Inc. | 275 | 1,823 | |||||||||
EastGroup Properties, Inc. | 275 | 22,731 | |||||||||
EPR Properties | 25 | 1,385 | |||||||||
Equinix, Inc. | 341 | 142,586 | |||||||||
Equity LifeStyle Properties, Inc. | 150 | 13,165 | |||||||||
First Industrial Realty Trust, Inc. | 325 | 9,500 | |||||||||
Franklin Street Properties Corp. | 550 | 4,626 | |||||||||
Gladstone Commercial Corp. | 125 | 2,168 | |||||||||
Government Properties Income Trust | 600 | 8,196 | |||||||||
Hersha Hospitality Trust | 1,475 | 26,402 | |||||||||
Highwoods Properties, Inc. | 250 | 10,955 | |||||||||
Hospitality Properties Trust | 650 | 16,471 | |||||||||
InfraREIT, Inc.† | 200 | 3,886 | |||||||||
Invesco Mtg. Capital, Inc. | 900 | 14,742 | |||||||||
Invitation Homes, Inc. | 3,937 | 89,882 | |||||||||
LTC Properties, Inc. | 675 | 25,650 | |||||||||
Mack-Cali Realty Corp. | 575 | 9,608 | |||||||||
National Retail Properties, Inc. | 75 | 2,945 | |||||||||
Pebblebrook Hotel Trust | 500 | 17,175 | |||||||||
Pennsylvania Real Estate Investment Trust | 325 | 3,136 | |||||||||
PotlatchDeltic Corp. | 900 | 46,845 | |||||||||
PS Business Parks, Inc. | 150 | 16,956 | |||||||||
Ramco-Gershenson Properties Trust | 1,150 | 14,214 | |||||||||
RLJ Lodging Trust | 2,600 | 50,544 | |||||||||
Saul Centers, Inc. | 300 | 15,291 | |||||||||
Summit Hotel Properties, Inc. | 200 | 2,722 | |||||||||
Taubman Centers, Inc. | 200 | 11,382 | |||||||||
Xenia Hotels & Resorts, Inc. | 275 | 5,423 | |||||||||
1,285,718 | |||||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
Aaron's, Inc. | 325 | 15,145 | |||||||||
Retail-Apparel/Shoe — 0.2% | |||||||||||
Children's Place, Inc. | 650 | 87,912 | |||||||||
Retail-Building Products — 0.9% | |||||||||||
Home Depot, Inc. | 2,707 | 482,496 | |||||||||
Retail-Discount — 0.3% | |||||||||||
Big Lots, Inc. | 850 | 37,001 | |||||||||
Costco Wholesale Corp. | 750 | 141,322 | |||||||||
178,323 | |||||||||||
Retail-Gardening Products — 0.3% | |||||||||||
Tractor Supply Co. | 2,513 | 158,369 | |||||||||
Retail-Hair Salons — 0.1% | |||||||||||
Regis Corp.† | 2,275 | 34,421 |
13
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Home Furnishings — 0.1% | |||||||||||
Pier 1 Imports, Inc. | 6,125 | $ | 19,723 | ||||||||
RH† | 275 | 26,202 | |||||||||
45,925 | |||||||||||
Retail-Jewelry — 0.1% | |||||||||||
Movado Group, Inc. | 1,300 | 49,920 | |||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Office Depot, Inc. | 2,150 | 4,623 | |||||||||
Retail-Pawn Shops — 0.0% | |||||||||||
EZCORP, Inc., Class A† | 1,200 | 15,840 | |||||||||
Retail-Regional Department Stores — 0.1% | |||||||||||
Dillard's, Inc., Class A | 350 | 28,119 | |||||||||
Retail-Restaurants — 2.1% | |||||||||||
Bloomin' Brands, Inc. | 3,250 | 78,910 | |||||||||
Brinker International, Inc. | 1,075 | 38,807 | |||||||||
Dunkin' Brands Group, Inc. | 2,606 | 155,552 | |||||||||
McDonald's Corp. | 2,762 | 431,922 | |||||||||
Sonic Corp. | 2,400 | 60,552 | |||||||||
Starbucks Corp. | 6,381 | 369,396 | |||||||||
1,135,139 | |||||||||||
Retail-Vision Service Center — 0.0% | |||||||||||
National Vision Holdings, Inc.† | 250 | 8,078 | |||||||||
Rubber/Plastic Products — 0.2% | |||||||||||
Myers Industries, Inc. | 200 | 4,230 | |||||||||
Trinseo SA | 1,225 | 90,711 | |||||||||
94,941 | |||||||||||
Savings & Loans/Thrifts — 0.5% | |||||||||||
BankFinancial Corp. | 575 | 9,764 | |||||||||
Beneficial Bancorp, Inc. | 4,267 | 66,352 | |||||||||
Capitol Federal Financial, Inc. | 125 | 1,544 | |||||||||
Charter Financial Corp. | 375 | 7,646 | |||||||||
First Defiance Financial Corp. | 125 | 7,165 | |||||||||
Flushing Financial Corp. | 450 | 12,132 | |||||||||
Investors Bancorp, Inc. | 1,500 | 20,460 | |||||||||
Meridian Bancorp, Inc. | 3,275 | 65,991 | |||||||||
Northfield Bancorp, Inc. | 3,525 | 55,025 | |||||||||
People's United Financial, Inc. | 748 | 13,958 | |||||||||
Provident Financial Holdings, Inc. | 200 | 3,618 | |||||||||
263,655 | |||||||||||
Schools — 0.0% | |||||||||||
Strayer Education, Inc. | 50 | 5,053 | |||||||||
Security Services — 0.0% | |||||||||||
Ascent Capital Group, Inc., Class A† | 950 | 3,496 | |||||||||
Semiconductor Components-Integrated Circuits — 0.1% | |||||||||||
Cirrus Logic, Inc.† | 650 | 26,410 | |||||||||
Semiconductor Equipment — 0.5% | |||||||||||
Cohu, Inc. | 425 | 9,694 | |||||||||
Entegris, Inc. | 900 | 31,320 | |||||||||
Lam Research Corp. | 1,038 | 210,880 | |||||||||
251,894 | |||||||||||
Steel-Producers — 0.0% | |||||||||||
Carpenter Technology Corp. | 125 | 5,515 |
Security Description | Shares | Value (Note 2) | |||||||||
Telecom Equipment-Fiber Optics — 0.1% | |||||||||||
Ciena Corp.† | 1,700 | $ | 44,030 | ||||||||
Telecom Services — 0.0% | |||||||||||
RigNet, Inc.† | 850 | 11,560 | |||||||||
Switch, Inc., Class A | 300 | 4,773 | |||||||||
16,333 | |||||||||||
Telephone-Integrated — 0.1% | |||||||||||
Frontier Communications Corp. | 4,000 | 29,680 | |||||||||
Windstream Holdings, Inc. | 8,900 | 12,549 | |||||||||
42,229 | |||||||||||
Television — 0.1% | |||||||||||
ION Media Networks, Inc.†(1)(9)(14) | 2 | 1,612 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 1,350 | 42,255 | |||||||||
43,867 | |||||||||||
Textile-Apparel — 0.0% | |||||||||||
Perry Ellis International, Inc.† | 400 | 10,320 | |||||||||
Therapeutics — 0.7% | |||||||||||
Cara Therapeutics, Inc.† | 1,075 | 13,308 | |||||||||
Flexion Therapeutics, Inc.† | 800 | 17,928 | |||||||||
La Jolla Pharmaceutical Co.† | 750 | 22,335 | |||||||||
Mersana Therapeutics, Inc.† | 875 | 13,799 | |||||||||
Neurocrine Biosciences, Inc.† | 2,529 | 209,730 | |||||||||
Sarepta Therapeutics, Inc.† | 575 | 42,602 | |||||||||
Xencor, Inc.† | 875 | 26,232 | |||||||||
345,934 | |||||||||||
Tobacco — 0.9% | |||||||||||
Altria Group, Inc. | 7,530 | 469,270 | |||||||||
Toys — 0.0% | |||||||||||
Funko, Inc., Class A† | 1,175 | 9,647 | |||||||||
Transactional Software — 0.1% | |||||||||||
ACI Worldwide, Inc.† | 550 | 13,046 | |||||||||
Synchronoss Technologies, Inc.† | 1,825 | 19,254 | |||||||||
32,300 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
Dorian LPG, Ltd.† | 44 | 330 | |||||||||
International Seaways, Inc.† | 475 | 8,360 | |||||||||
8,690 | |||||||||||
Transport-Rail — 0.7% | |||||||||||
CSX Corp. | 6,795 | 378,549 | |||||||||
Transport-Truck — 0.1% | |||||||||||
ArcBest Corp. | 725 | 23,236 | |||||||||
Covenant Transportation Group, Inc., Class A† | 200 | 5,966 | |||||||||
Schneider National, Inc., Class B | 325 | 8,470 | |||||||||
YRC Worldwide, Inc.† | 775 | 6,843 | |||||||||
44,515 | |||||||||||
Travel Services — 0.0% | |||||||||||
Liberty TripAdvisor Holdings, Inc., Class A† | 1,600 | 17,200 | |||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
Herbalife, Ltd.† | 100 | 9,747 |
14
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares/ Principal Amount(15) | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Vitamins & Nutrition Products (continued) | |||||||||||
USANA Health Sciences, Inc.† | 125 | $ | 10,738 | ||||||||
20,485 | |||||||||||
Water — 0.1% | |||||||||||
American States Water Co. | 1,075 | 57,039 | |||||||||
Web Hosting/Design — 0.2% | |||||||||||
NIC, Inc. | 1,450 | 19,285 | |||||||||
Web.com Group, Inc.† | 3,925 | 71,042 | |||||||||
90,327 | |||||||||||
Web Portals/ISP — 3.3% | |||||||||||
Alphabet, Inc., Class C† | 1,702 | 1,756,107 | |||||||||
Wireless Equipment — 0.1% | |||||||||||
InterDigital, Inc. | 650 | 47,840 | |||||||||
Total Common Stocks (cost $30,465,017) | 38,954,198 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.5% | |||||||||||
Diversified Banking Institutions — 0.5% | |||||||||||
Societe Generale SA 8.25% due 11/29/2018(2) | $ | 270,000 | 278,100 | ||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(1)(9) | 6,000 | 1 | |||||||||
Total Preferred Securities/Capital Securities (cost $290,736) | 278,101 | ||||||||||
ASSET BACKED SECURITIES — 9.7% | |||||||||||
Diversified Financial Services — 9.7% | |||||||||||
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.04% 1 ML+0.17% due 01/25/2037(3) | 9,801 | 9,525 | |||||||||
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020 | 3,777 | 3,771 | |||||||||
Anchorage Capital CLO, Ltd. FRS Series 2016-9A, Class A 3.23% 3 ML+1.51% due 01/15/2029*(4) | 250,915 | 252,787 | |||||||||
Apidos CLO XXI FRS Series 2015-21A, Class A1 3.16% 3 ML+1.43% due 07/18/2027*(4) | 255,000 | 255,397 | |||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 3.45% 1 ML+1.58% due 10/25/2034(9) | 2,185 | 2,190 | |||||||||
Avery Point VI CLO, Ltd. FRS Series 2015-6A, Class A 3.24% 3 ML+1.45% due 08/05/2027*(4) | 265,000 | 265,416 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
BANK Series 2017-BNK8, Class A4 3.49% due 11/15/2050(5) | $ | 40,000 | $ | 39,886 | |||||||
BANK Series 2017-BNK9, Class A4 3.54% due 11/15/2054(5) | 40,000 | 39,915 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(6) | 92,353 | 92,969 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(6) | 88,737 | 89,286 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(6) | 93,665 | 93,880 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-NPL2, Class A1 2.98% due 10/28/2032*(6)(7) | 51,308 | 51,072 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RN8, Class A1 3.35% due 11/28/2032*(6)(7) | 78,976 | 78,729 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(6) | 83,223 | 84,542 | |||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.48% due 02/25/2036(3)(6) | 29,153 | 29,048 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.53% due 01/15/2051(5)(6)(8) | 99,952 | 4,095 | |||||||||
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027* | 2,292 | 2,272 | |||||||||
CarMax Auto Owner Trust Series 2014-2, Class D 2.58% due 11/16/2020 | 15,000 | 14,998 | |||||||||
CFCRE Commercial Mtg. Trust Series 2016-C3, Class A3 3.87% due 01/10/2048 | 39,000 | 39,616 | |||||||||
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023* | 8,077 | 8,031 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(3)(6) | 89,402 | 88,688 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(5) | 39,000 | 39,584 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(5) | 20,000 | 20,556 |
15
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 4.16% 1 Yr USTYCR+2.40% due 03/25/2036(3) | $ | 18,350 | $ | 17,867 | |||||||
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024*(9) | 86,049 | 85,784 | |||||||||
COLT Mtg. Loan Trust VRS Series 2017-2, Class A1A 2.42% due 10/25/2047*(3)(6) | 78,350 | 78,467 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(5) | 35,000 | 34,443 | |||||||||
Commercial Mtg. Trust Series 2014-UBS5, Class A4 3.84% due 09/10/2047(5) | 43,000 | 44,186 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(5) | 45,267 | 45,612 | |||||||||
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(5) | 100,000 | 105,068 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(3) | 9,036 | 8,066 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.84% due 06/15/2057(5)(6)(8) | 325,531 | 13,991 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(5) | 40,000 | 41,027 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.34% due 05/25/2035(3)(6) | 28,393 | 28,440 | |||||||||
First Investors Auto Owner Trust Series 2014-3A, Class A3 1.67% due 11/16/2020* | 1,266 | 1,265 | |||||||||
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020* | 50,000 | 49,949 | |||||||||
GS Mtg. Securities Trust Series 2016-CS3, Class A4 2.85% due 10/10/2049(5) | 44,000 | 41,925 | |||||||||
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(5) | 46,000 | 46,870 | |||||||||
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(5) | 40,000 | 41,348 | |||||||||
GSAA Home Equity Trust FRS Series 2007-4, Class A1 1.97% 1 ML+0.10% due 03/25/2037(9) | 57,868 | 29,567 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.55% due 03/25/2047(3)(6) | 5,872 | 5,401 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 3.66% due 01/25/2036(3)(6) | $ | 12,300 | $ | 12,175 | |||||||
Honor Automobile Trust Securitization Series 2016-1A, Class A 2.94% due 11/15/2019* | 7,471 | 7,474 | |||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 2.41% 1 ML+0.54% due 05/25/2035(3) | 15,367 | 15,324 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2015-C29, Class A4 3.61% due 05/15/2048(5) | 39,000 | 39,292 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(5) | 25,000 | 25,602 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(5) | 60,000 | 62,121 | |||||||||
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.32% due 04/15/2041(5)(6) | 364 | 369 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-3, Class A1 3.89% 1 ML+2.00% due 04/01/2022* | 51,756 | 51,821 | |||||||||
Madison Park Funding, Ltd. FRS Series 2013-11A, Class AR 2.90% 3 ML+1.16% due 07/23/2029*(4) | 250,000 | 250,163 | |||||||||
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1R 2.75% (3 ML+1.00%) due 07/25/2026*(4) | 270,000 | 270,010 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.54% due 12/25/2034(3)(6) | 8,003 | 8,168 | |||||||||
MFRA Trust VRS Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(6)(7) | 96,344 | 95,717 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.12% due 12/15/2047(5)(6)(8) | 97,149 | 4,383 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22, Class A4 3.31% due 04/15/2048(5) | 42,000 | 41,629 | |||||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(3) | 9,819 | 8,071 |
16
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 2.15% 1 ML+0.28% due 10/25/2035(3) | $ | 34,620 | $ | 34,207 | |||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.37% 1 ML+1.50% due 06/25/2057*(3) | 84,029 | 86,470 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(3)(6) | 76,757 | 78,239 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(3)(6) | 82,556 | 83,913 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(3)(6) | 81,359 | 82,821 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(6) | 90,204 | 91,570 | |||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 4.14% due 06/25/2036(6) | 30,564 | 27,465 | |||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(3)(6) | 7,610 | 7,448 | |||||||||
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050*(1) | 100,000 | 99,555 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 94,259 | 93,738 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 100,000 | 98,292 | |||||||||
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028* | 95,132 | 95,812 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 1.97% 1 ML+0.10% due 02/25/2037(9) | 9,682 | 6,001 | |||||||||
Renaissance Home Equity Loan Trust VRS Series 2007-1, Class AF5 5.91% due 04/25/2037(6)(7)(9) | 60,675 | 31,896 | |||||||||
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(3) | 1,006 | 996 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.00% 1 ML+0.13% due 05/25/2037(9) | $ | 26,624 | $ | 20,401 | |||||||
Sequoia Mtg. Trust VRS Series 2007-1, Class 2A1 3.41% due 02/20/2047(3)(6) | 25,798 | 22,951 | |||||||||
Shackleton CLO, Ltd. FRS Series 2015-8A, Class A1R 2.66% (3 ML+0.92%) due 10/20/2027*(4) | 270,000 | 269,907 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.12% (1 ML+0.25%) due 11/25/2036(9) | 50,000 | 43,960 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75%due 10/25/2056*(6) | 77,075 | 76,210 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(6) | 89,102 | 87,808 | |||||||||
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 3.11% 3 ML+1.37% due 04/20/2027*(4) | 265,000 | 264,992 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2017-RB1, Class A5 3.64% due 03/15/2050(5) | 41,000 | 41,282 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(5) | 30,000 | 30,665 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 3.63% due 10/25/2036(3)(6) | 9,897 | 9,767 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 3.68% due 11/25/2034(3)(6) | 856 | 865 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 3.72% due 01/25/2035(3)(6) | 21,089 | 21,295 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 3.91% due 03/25/2035(3)(6) | 16,017 | 16,328 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 30,000 | 29,841 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(5) | 35,000 | 36,107 |
17
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(5) | $ | 36,000 | $ | 37,453 | |||||||
Total Asset Backed Securities (cost $5,144,387) | 5,146,103 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 6.6% | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 26,000 | 25,214 | |||||||||
Airlines — 0.0% | |||||||||||
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022 | 10,000 | 9,988 | |||||||||
Applications Software — 0.1% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 15,000 | 14,800 | |||||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 10,000 | 9,940 | |||||||||
24,740 | |||||||||||
Auto-Cars/Light Trucks — 0.1% | |||||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 10,000 | 9,779 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 15,000 | 14,984 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 15,000 | 17,413 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024 | 15,000 | 14,873 | |||||||||
57,049 | |||||||||||
Banks-Commercial — 0.1% | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | 25,000 | 25,053 | |||||||||
Banks-Super Regional — 0.3% | |||||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 10,000 | 9,364 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 55,000 | 54,086 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 30,000 | 29,273 | |||||||||
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046 | 20,000 | 19,412 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Banks-Super Regional (continued) | |||||||||||
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045 | $ | 20,000 | $ | 20,967 | |||||||
133,102 | |||||||||||
Beverages-Wine/Spirits — 0.1% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 15,000 | 14,495 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022 | 5,000 | 4,851 | |||||||||
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028 | 15,000 | 14,472 | |||||||||
33,818 | |||||||||||
Brewery — 0.1% | |||||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026 | 15,000 | 14,911 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.50% due 01/12/2024 | 10,000 | 10,070 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 15,000 | 13,766 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 20,000 | 20,457 | |||||||||
59,204 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 7,000 | 6,917 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026 | 10,000 | 10,366 | |||||||||
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030 | 5,000 | 5,378 | |||||||||
Scripps Networks Interactive, Inc. Senior Notes 3.95% due 06/15/2025 | 8,000 | 7,953 | |||||||||
30,614 | |||||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 15,000 | 15,375 | |||||||||
Building-Heavy Construction — 0.1% | |||||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 25,000 | 25,020 |
18
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025 | $ | 10,000 | $ | 9,875 | |||||||
Cable/Satellite TV — 0.4% | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.58% due 07/23/2020 | 10,000 | 10,028 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022 | 25,000 | 25,537 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 5,000 | 5,110 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 32,000 | 35,126 | |||||||||
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046 | 10,000 | 8,592 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 5,000 | 5,181 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 25,000 | 23,975 | |||||||||
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025* | 8,000 | 8,009 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 4,000 | 3,595 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024 | 10,000 | 8,912 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 20,000 | 17,322 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 10,000 | 10,444 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 6.75% due 07/01/2018 | 15,000 | 15,141 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019 | 40,000 | 41,886 | |||||||||
218,858 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Cellular Telecom — 0.0% | |||||||||||
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020* | $ | 5,000 | $ | 5,250 | |||||||
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024 | 10,000 | 9,750 | |||||||||
15,000 | |||||||||||
Coatings/Paint — 0.0% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024 | 5,000 | 4,834 | |||||||||
Commercial Services-Finance — 0.0% | |||||||||||
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022 | 5,000 | 4,874 | |||||||||
Computers — 0.1% | |||||||||||
Apple, Inc. Senior Notes 3.35% due 02/09/2027 | 15,000 | 14,819 | |||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 10,000 | 9,228 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 4.90% due 10/15/2025 | 5,000 | 5,191 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 10,000 | 10,684 | |||||||||
39,922 | |||||||||||
Computers-Memory Devices — 0.1% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 25,000 | 24,945 | |||||||||
Data Processing/Management — 0.0% | |||||||||||
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024* | 10,000 | 10,000 | |||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 5,000 | 4,872 | |||||||||
Diversified Banking Institutions — 1.4% | |||||||||||
Bank of America Corp. Senior Notes 1.95% due 05/12/2018 | 35,000 | 34,984 | |||||||||
Bank of America Corp. Senior Notes 2.25% due 04/21/2020 | 55,000 | 54,200 | |||||||||
Bank of America Corp. Senior Notes 3.12% due 01/20/2023 | 15,000 | 14,850 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 35,000 | 34,048 |
19
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | $ | 30,000 | $ | 29,499 | |||||||
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027 | 5,000 | 4,957 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 40,000 | 42,290 | |||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | 10,000 | 9,674 | |||||||||
Citigroup, Inc. FRS Senior Notes 2.98% 3 ML+1.10% due 05/17/2024 | 30,000 | 30,270 | |||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 15,000 | 14,259 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 10,000 | 9,654 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 6,000 | 6,393 | |||||||||
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025 | 25,000 | 27,068 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020 | 10,000 | 9,907 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020 | 44,000 | 43,552 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021 | 10,000 | 9,898 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022 | 15,000 | 14,684 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 25,000 | 24,313 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028 | 5,000 | 4,847 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029 | 15,000 | 14,704 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045 | 5,000 | 5,381 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 5.38% due 03/15/2020 | 12,000 | 12,512 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033 | $ | 9,000 | $ | 10,817 | |||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 15,000 | 19,020 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 13,000 | 16,285 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.30% due 08/15/2021 | 15,000 | 14,584 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021 | 10,000 | 9,761 | |||||||||
JPMorgan Chase & Co. FRS Senior Notes 2.97% 3 ML+1.23% due 10/24/2023 | 10,000 | 10,147 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 25,000 | 24,370 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 34,000 | 33,899 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 15,000 | 14,561 | |||||||||
Morgan Stanley Senior Notes 2.63% due 11/17/2021 | 25,000 | 24,408 | |||||||||
Morgan Stanley Senior Notes 2.65% due 01/27/2020 | 35,000 | 34,784 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 35,000 | 33,854 | |||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | 20,000 | 19,576 | |||||||||
Morgan Stanley Senior Notes 3.70% due 10/23/2024 | 20,000 | 19,902 | |||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 10,000 | 9,737 | |||||||||
Morgan Stanley Sub. Notes 4.35% due 09/08/2026 | 5,000 | 5,036 | |||||||||
752,685 | |||||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 10,000 | 9,975 |
20
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
E-Commerce/Products — 0.0% | |||||||||||
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024* | $ | 5,000 | $ | 4,851 | |||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037* | 15,000 | 14,947 | |||||||||
19,798 | |||||||||||
Electric-Distribution — 0.0% | |||||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 10,000 | 9,893 | |||||||||
Electric-Generation — 0.0% | |||||||||||
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046 | 5,000 | 5,018 | |||||||||
Electric-Integrated — 0.4% | |||||||||||
AES Corp. Senior Notes 4.00% due 03/15/2021 | 20,000 | 20,075 | |||||||||
AES Corp. Senior Notes 4.88% due 05/15/2023 | 4,000 | 4,070 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028* | 10,000 | 9,651 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 10,000 | 9,772 | |||||||||
Duke Energy Corp. Senior Notes 3.75% due 09/01/2046 | 5,000 | 4,510 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 15,000 | 13,634 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 15,000 | 14,865 | |||||||||
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023 | 5,000 | 5,120 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 35,000 | 34,216 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 10,000 | 9,791 | |||||||||
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034 | 25,000 | 29,799 | |||||||||
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031 | 20,000 | 26,006 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Bonds 4.50% due 06/01/2064 | 15,000 | 14,478 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Southern Co. Senior Notes 1.85% due 07/01/2019 | $ | 10,000 | $ | 9,866 | |||||||
Southern Co. Senior Notes 2.75% due 06/15/2020 | 15,000 | 14,873 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 5,000 | 4,856 | |||||||||
225,582 | |||||||||||
Electronic Components-Semiconductors — 0.2% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 2.38% due 01/15/2020 | 30,000 | 29,581 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.00% due 01/15/2022 | 15,000 | 14,719 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025 | 5,000 | 4,726 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024 | 20,000 | 19,675 | |||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 7,000 | 7,178 | |||||||||
75,879 | |||||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
Fortive Corp. Senior Notes 2.35% due 06/15/2021 | 10,000 | 9,722 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 5,000 | 4,929 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 10,000 | 10,450 | |||||||||
Finance-Credit Card — 0.0% | |||||||||||
American Express Co. Senior Notes 3.40% due 02/27/2023 | 15,000 | 14,949 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(9) | 7,000 | 280 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)(9) | 7,000 | 1 |
21
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Finance-Investment Banker/Broker (continued) | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)(9) | $ | 10,000 | $ | 1 | |||||||
282 | |||||||||||
Finance-Other Services — 0.1% | |||||||||||
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050* | 45,000 | 43,570 | |||||||||
Food-Misc./Diversified — 0.0% | |||||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 10,000 | 9,170 | |||||||||
Food-Wholesale/Distribution — 0.0% | |||||||||||
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021 | 15,000 | 14,719 | |||||||||
Gas-Distribution — 0.0% | |||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024 | 10,000 | 9,937 | |||||||||
Insurance Brokers — 0.0% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 5,000 | 4,963 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 5,000 | 4,919 | |||||||||
9,882 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | 10,000 | 9,950 | |||||||||
Principal Life Global Funding II Senior Sec. Notes 2.20% due 04/08/2020* | 10,000 | 9,849 | |||||||||
19,799 | |||||||||||
Insurance-Multi-line — 0.2% | |||||||||||
Assurant, Inc. FRS Senior Notes 3.54% 3 ML+1.25% due 03/26/2021 | 90,000 | 90,101 | |||||||||
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023 | 5,000 | 4,100 | |||||||||
94,201 | |||||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 2,000 | 3,143 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025 | $ | 5,000 | $ | 5,150 | |||||||
Medical Information Systems — 0.0% | |||||||||||
Quintiles IMS, Inc. Company Guar. Notes 4.88% due 05/15/2023* | 10,000 | 10,187 | |||||||||
Medical Instruments — 0.0% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 15,000 | 15,021 | |||||||||
Medical Products — 0.1% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 30,000 | 28,875 | |||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 15,000 | 14,482 | |||||||||
43,357 | |||||||||||
Medical-Biomedical/Gene — 0.1% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 15,000 | 14,636 | |||||||||
Celgene Corp. Senior Notes 4.63% due 05/15/2044 | 5,000 | 4,986 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022 | 5,000 | 5,005 | |||||||||
24,627 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048* | 5,000 | 5,045 | |||||||||
Medical-HMO — 0.1% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 5,000 | 4,804 | |||||||||
Anthem, Inc. Senior Notes 2.30% due 07/15/2018 | 25,000 | 24,979 | |||||||||
Anthem, Inc. Senior Notes 3.65% due 12/01/2027 | 10,000 | 9,668 | |||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 15,000 | 16,185 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 10,000 | 10,129 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045 | 5,000 | 5,502 | |||||||||
71,267 |
22
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021 | $ | 5,000 | $ | 4,650 | |||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023 | 5,000 | 4,606 | |||||||||
Dignity Health Sec. Notes 2.64% due 11/01/2019 | 55,000 | 54,766 | |||||||||
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023 | 10,000 | 10,097 | |||||||||
74,119 | |||||||||||
Medical-Wholesale Drug Distribution — 0.1% | |||||||||||
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018 | 10,000 | 9,988 | |||||||||
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022 | 30,000 | 29,001 | |||||||||
38,989 | |||||||||||
Multimedia — 0.2% | |||||||||||
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034 | 15,000 | 18,636 | |||||||||
Time Warner, Inc. Company Guar. Notes 3.80% due 02/15/2027 | 20,000 | 19,337 | |||||||||
Time Warner, Inc. Company Guar. Notes 4.88% due 03/15/2020 | 19,000 | 19,645 | |||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 35,000 | 35,521 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 5,000 | 4,481 | |||||||||
97,620 | |||||||||||
Music — 0.0% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024* | 15,000 | 14,887 | |||||||||
Office Automation & Equipment — 0.0% | |||||||||||
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023 | 20,000 | 18,750 | |||||||||
Oil Companies-Exploration & Production — 0.2% | |||||||||||
Anadarko Petroleum Corp. Senior Notes 3.45% due 07/15/2024 | 10,000 | 9,708 | |||||||||
Anadarko Petroleum Corp. Senior Notes 4.50% due 07/15/2044 | 5,000 | 4,799 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019 | $ | 15,000 | $ | 15,688 | |||||||
Continental Resources, Inc. Senior Notes 4.38% due 01/15/2028* | 20,000 | 19,500 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023 | 5,000 | 5,056 | |||||||||
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022 | 5,000 | 5,069 | |||||||||
Hess Corp. Senior Notes 4.30% due 04/01/2027 | 15,000 | 14,681 | |||||||||
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024 | 5,000 | 5,775 | |||||||||
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020 | 5,000 | 4,926 | |||||||||
Marathon Oil Corp. Senior Notes 4.40% due 07/15/2027 | 5,000 | 5,077 | |||||||||
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022 | 10,000 | 9,987 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 5,000 | 5,000 | |||||||||
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024 | 5,000 | 4,925 | |||||||||
110,191 | |||||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Andeavor Senior Notes 3.80% due 04/01/2028 | 10,000 | 9,539 | |||||||||
Phillips 66 Company Guar. Notes 3.90% due 03/15/2028 | 15,000 | 14,946 | |||||||||
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026 | 12,000 | 11,514 | |||||||||
35,999 | |||||||||||
Pharmacy Services — 0.1% | |||||||||||
CVS Health Corp. Senior Notes 3.13% due 03/09/2020 | 30,000 | 30,030 | |||||||||
CVS Health Corp. Senior Notes 4.10% due 03/25/2025 | 20,000 | 20,141 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 10,000 | 10,518 |
23
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pharmacy Services (continued) | |||||||||||
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033* | $ | 3,992 | $ | 4,257 | |||||||
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034* | 7,517 | 8,260 | |||||||||
73,206 | |||||||||||
Pipelines — 0.3% | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027 | 15,000 | 14,623 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023 | 5,000 | 4,825 | |||||||||
Kinder Morgan, Inc. Company Guar. Notes 5.55% due 06/01/2045 | 10,000 | 10,495 | |||||||||
MPLX LP Senior Notes 4.00% due 03/15/2028 | 5,000 | 4,928 | |||||||||
MPLX LP Senior Notes 4.13% due 03/01/2027 | 10,000 | 9,908 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 5,000 | 4,871 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,225 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 5,000 | 4,927 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024 | 10,000 | 9,943 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 5.30% due 04/01/2044 | 5,000 | 4,651 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 5.40% due 10/01/2047 | 20,000 | 19,053 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 15,000 | 14,406 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 5,000 | 4,774 | |||||||||
Valero Energy Partners LP Senior Notes 4.50% due 03/15/2028 | 15,000 | 15,088 | |||||||||
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028 | 10,000 | 10,020 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
Williams Partners LP Senior Notes 4.30% due 03/04/2024 | $ | 5,000 | $ | 5,068 | |||||||
142,805 | |||||||||||
Real Estate Investment Trusts — 0.0% | |||||||||||
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023 | 10,000 | 9,686 | |||||||||
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024 | 5,000 | 4,794 | |||||||||
14,480 | |||||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025 | 5,000 | 5,119 | |||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027 | 10,000 | 10,075 | |||||||||
15,194 | |||||||||||
Retail-Building Products — 0.0% | |||||||||||
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056 | 8,000 | 7,144 | |||||||||
Retail-Drug Store — 0.3% | |||||||||||
CVS Health Corp. Senior Notes 2.80% due 07/20/2020 | 124,000 | 123,115 | |||||||||
CVS Health Corp. Senior Notes 3.88% due 07/20/2025 | 9,000 | 8,922 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 5,000 | 5,303 | |||||||||
137,340 | |||||||||||
Retail-Restaurants — 0.0% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 10,000 | 10,055 | |||||||||
Steel-Producers — 0.0% | |||||||||||
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025 | 5,000 | 4,762 | |||||||||
Telephone-Integrated — 0.4% | |||||||||||
AT&T, Inc. Senior Notes 4.10% due 02/15/2028* | 20,000 | 19,859 | |||||||||
AT&T, Inc. Senior Notes 4.25% due 03/01/2027 | 5,000 | 5,054 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030* | 15,000 | 14,914 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 06/15/2045 | 2,000 | 1,828 |
24
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Telephone-Integrated (continued) | |||||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | $ | 10,000 | $ | 9,821 | |||||||
AT&T, Inc. Senior Notes 4.75% due 05/15/2046 | 20,000 | 19,425 | |||||||||
AT&T, Inc. Senior Notes 5.15% due 02/14/2050 | 40,000 | 40,407 | |||||||||
AT&T, Inc. Senior Notes 5.25% due 03/01/2037 | 5,000 | 5,289 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 22,000 | 21,060 | |||||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 20,000 | 20,246 | |||||||||
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048 | 10,000 | 9,635 | |||||||||
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039 | 10,000 | 10,219 | |||||||||
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046 | 5,000 | 5,046 | |||||||||
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054 | 10,000 | 9,999 | |||||||||
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037 | 15,000 | 16,175 | |||||||||
208,977 | |||||||||||
Tobacco — 0.3% | |||||||||||
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022 | 40,000 | 39,165 | |||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 5,000 | 4,671 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020* | 95,000 | 93,143 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037* | 15,000 | 14,904 | |||||||||
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020 | 12,000 | 12,001 | |||||||||
163,884 | |||||||||||
Transport-Rail — 0.1% | |||||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 20,000 | 19,117 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Transport-Rail (continued) | |||||||||||
Norfolk Southern Corp. Senior Notes 2.90% due 06/15/2026 | $ | 10,000 | $ | 9,517 | |||||||
28,634 | |||||||||||
Transport-Services — 0.1% | |||||||||||
FedEx Corp. Company Guar. Notes 4.05% due 02/15/2048 | 20,000 | 18,778 | |||||||||
FedEx Corp. Company Guar. Notes 4.10% due 02/01/2045 | 10,000 | 9,466 | |||||||||
28,244 | |||||||||||
Total U.S. Corporate Bonds & Notes (cost $3,549,771) | 3,515,874 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 1.4% | |||||||||||
Banks-Commercial — 0.4% | |||||||||||
Barclays Bank PLC Senior Notes 2.65% due 01/11/2021 | 200,000 | 197,138 | |||||||||
Royal Bank of Canada Senior Notes 2.15% due 10/26/2020 | 30,000 | 29,347 | |||||||||
226,485 | |||||||||||
Chemicals-Diversified — 0.0% | |||||||||||
LyondellBasell Industries NV Senior Notes 4.63% due 02/26/2055 | 5,000 | 4,882 | |||||||||
Chemicals-Specialty — 0.0% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 10,000 | 9,876 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 5,000 | 4,997 | |||||||||
14,873 | |||||||||||
Diversified Banking Institutions — 0.2% | |||||||||||
Deutsche Bank AG Senior Notes 2.70% due 07/13/2020 | 35,000 | 34,259 | |||||||||
HSBC Holdings PLC Senior Notes 5.10% due 04/05/2021 | 50,000 | 52,624 | |||||||||
86,883 | |||||||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 5,000 | 4,780 | |||||||||
Medical-Drugs — 0.1% | |||||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 20,000 | 19,310 |
25
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Drugs (continued) | |||||||||||
Valeant Pharmaceuticals International, Inc. Senior Sec. Notes 6.50% due 03/15/2022* | $ | 10,000 | $ | 10,325 | |||||||
29,635 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Allergen Funding SCS Company Guar. Notes 3.45% due 03/15/2022 | 15,000 | 14,872 | |||||||||
Mylan NV Company Guar. Notes 3.00% due 12/15/2018 | 10,000 | 10,000 | |||||||||
Mylan NV Company Guar. Notes 3.15% due 06/15/2021 | 10,000 | 9,860 | |||||||||
Mylan NV Company Guar. Notes 3.75% due 12/15/2020 | 10,000 | 10,068 | |||||||||
44,800 | |||||||||||
Metal-Iron — 0.1% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 30,000 | 33,600 | |||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 20,000 | 19,558 | |||||||||
Encana Corp. Senior Notes 3.90% due 11/15/2021 | 10,000 | 10,149 | |||||||||
29,707 | |||||||||||
Oil Companies-Integrated — 0.3% | |||||||||||
Petrobras Global Finance BV Company Guar. Notes 5.63% due 05/20/2043 | 40,000 | 34,900 | |||||||||
Petrobras Global Finance BV Company Guar. Notes 6.75% due 01/27/2041 | 5,000 | 4,875 | |||||||||
Petroleos Mexicanos Company Guar. Notes 5.35% due 02/12/2028* | 10,000 | 9,864 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.50% due 03/13/2027 | 10,000 | 10,680 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 36,000 | 36,428 | |||||||||
Shell International Finance BV Company Guar. Notes 4.38% due 05/11/2045 | 10,000 | 10,627 | |||||||||
YPF SA Senior Notes 16.50% due 05/09/2022* | ARS | 546,996 | 25,656 | ||||||||
133,030 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Pipelines — 0.0% | |||||||||||
Enbridge, Inc. Senior Notes 3.70% due 07/15/2027 | $ | 5,000 | $ | 4,793 | |||||||
Semiconductor Equipment — 0.0% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 15,000 | 14,775 | |||||||||
Steel-Producers — 0.0% | |||||||||||
ArcelorMittal Senior Notes 6.13% due 06/01/2025 | 15,000 | 16,312 | |||||||||
Telephone-Integrated — 0.1% | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 5.88% due 07/15/2019 | 20,000 | 20,743 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036 | 10,000 | 12,686 | |||||||||
33,429 | |||||||||||
Television — 0.0% | |||||||||||
Videotron, Ltd. Company Guar. Notes 5.38% due 06/15/2024* | 5,000 | 5,163 | |||||||||
Tobacco — 0.0% | |||||||||||
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020* | 15,000 | 14,872 | |||||||||
Transport-Rail — 0.0% | |||||||||||
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021 | 10,000 | 11,892 | |||||||||
Wireless Equipment — 0.0% | |||||||||||
Nokia OYJ Senior Notes 4.38% due 06/12/2027 | 5,000 | 4,694 | |||||||||
Nokia OYJ Senior Notes 6.63% due 05/15/2039 | 5,000 | 5,337 | |||||||||
10,031 | |||||||||||
Total Foreign Corporate Bonds & Notes (cost $736,785) | 719,942 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.4% | |||||||||||
Chicago Board of Education General Obligation Bonds 5.48% due 12/01/2024 | 10,000 | 9,736 | |||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 5,000 | 4,690 | |||||||||
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040 | 20,000 | 26,390 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029 | 15,000 | 16,175 |
26
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
MUNICIPAL BONDS & NOTES (continued) | |||||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | $ | 15,000 | $ | 16,627 | |||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 5,000 | 6,211 | |||||||||
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038(10) | 75,000 | 27,187 | |||||||||
State of California General Obligation Bonds 7.35% due 11/01/2039 | 15,000 | 21,928 | |||||||||
State of California General Obligation Bonds 7.55% due 04/01/2039 | 20,000 | 30,454 | |||||||||
State of California General Obligation Bonds 7.63% due 03/01/2040 | 5,000 | 7,614 | |||||||||
State of Illinois General Obligation Bonds 5.38% due 07/01/2018 | 15,000 | 15,076 | |||||||||
State of Illinois General Obligation Bonds 5.88% due 03/01/2019 | 20,000 | 20,433 | |||||||||
Total Municipal Bonds & Notes (cost $210,950) | 202,521 | ||||||||||
U.S. GOVERNMENT AGENCIES — 10.1% | |||||||||||
Federal Home Loan Mtg. Corp. — 2.2% | |||||||||||
2.50% due 01/01/2028 | 3,395 | 3,350 | |||||||||
2.50% due 04/01/2028 | 9,956 | 9,823 | |||||||||
3.00% due April TBA | 400,000 | 390,000 | |||||||||
3.50% due 03/01/2042 | 3,111 | 3,135 | |||||||||
3.50% due 09/01/2043 | 28,486 | 28,702 | |||||||||
3.50% due April TBA | 200,000 | 200,467 | |||||||||
4.00% due 09/01/2040 | 5,335 | 5,518 | |||||||||
4.00% due April TBA | 300,000 | 307,957 | |||||||||
4.50% due 01/01/2039 | 628 | 661 | |||||||||
5.00% due 07/01/2021 | 9,242 | 9,292 | |||||||||
5.50% due 07/01/2034 | 3,864 | 4,251 | |||||||||
6.50% due 05/01/2029 | 557 | 627 | |||||||||
7.50% due 08/01/2023 | 40 | 40 | |||||||||
7.50% due 04/01/2028 | 575 | 649 | |||||||||
Federal Home Loan Mtg. Corp. FRS 3.11% 6 ML+1.49% due 02/01/2037 | 1,025 | 1,055 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.00% due 10/25/2047*(5)(6) | 20,000 | 19,913 | |||||||||
Series 2017-K728, Class B 3.65% due 09/25/2024*(5)(6) | 10,000 | 9,759 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series 2017-K729,Class B 3.67% due 11/25/2049*(5)(6) | $ | 10,000 | $ | 9,690 | |||||||
Series 2017-K729,Class C 3.67% due 11/25/2049*(5)(6) | 10,000 | 9,404 | |||||||||
Series 2017-K71, Class B 3.75% due 11/25/2050*(5)(6) | 10,000 | 9,660 | |||||||||
Series 2017-K67, Class B 3.94% due 09/25/2049*(5)(6) | 5,000 | 5,000 | |||||||||
Series 2017-K64, Class B 3.98% due 03/25/2027*(5)(6) | 10,000 | 9,867 | |||||||||
Series 2012-K706, Class B 4.03% due 11/25/2044*(5)(6) | 20,000 | 20,060 | |||||||||
Series 2017-K66, Class B 4.03% due 07/25/2027*(5)(6) | 13,000 | 13,094 | |||||||||
Series 2017-K65, Class B 4.07% due 05/25/2027*(5)(6) | 15,000 | 15,133 | |||||||||
Series 2010-K8, Class B 5.28% due 09/25/2043*(5)(6) | 25,000 | 26,169 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K064, Class X1 0.61% due 03/25/2027(5)(6)(8) | 124,629 | 5,816 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(5) | 40,000 | 39,999 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(3) | 705 | 686 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(3) | 8,736 | 8,723 | |||||||||
Series 1577, Class PK 6.50% due 09/15/2023(3) | 1,098 | 1,157 | |||||||||
Series 1226, Class Z 7.75% due 03/15/2022(3) | 194 | 207 | |||||||||
1,169,864 | |||||||||||
Federal National Mtg. Assoc. — 5.9% | |||||||||||
2.50% due 02/01/2043 | 70,975 | 67,222 | |||||||||
2.64% due 03/01/2027 | 23,594 | 22,843 | |||||||||
2.78% due 03/01/2027 | 21,000 | 20,417 | |||||||||
2.88% due 11/01/2027 | 80,000 | 77,854 | |||||||||
2.97% due 06/01/2027 | 34,541 | 34,050 | |||||||||
2.97% due 06/01/2030 | 40,000 | 38,962 | |||||||||
3.00% due 07/01/2027 | 55,000 | 54,081 | |||||||||
3.00% due 01/01/2028 | 6,772 | 6,788 | |||||||||
3.13% due 02/01/2027 | 45,000 | 44,892 | |||||||||
3.16% due 08/01/2027 | 75,000 | 74,730 | |||||||||
3.50% due 08/01/2026 | 9,025 | 9,210 | |||||||||
3.50% due 09/01/2026 | 8,667 | 8,844 | |||||||||
3.50% due 10/01/2028 | 11,749 | 12,000 | |||||||||
3.50% due April TBA | 1,700,000 | 1,703,553 | |||||||||
4.00% due 11/01/2025 | 1,572 | 1,625 | |||||||||
4.00% due 09/01/2040 | 4,115 | 4,253 | |||||||||
4.00% due 11/01/2040 | 1,473 | 1,522 |
27
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
4.00% due 12/01/2040 | $ | 18,885 | $ | 19,521 | |||||||
4.00% due 10/01/2041 | 5,993 | 6,195 | |||||||||
4.00% due 11/01/2041 | 6,588 | 6,809 | |||||||||
4.00% due 01/01/2042 | 6,049 | 6,226 | |||||||||
4.00% due 12/01/2043 | 17,421 | 18,035 | |||||||||
4.00% due April TBA | 200,000 | 205,239 | |||||||||
4.50% due 11/01/2022 | 3,728 | 3,777 | |||||||||
4.50% due 01/01/2039 | 1,687 | 1,783 | |||||||||
4.50% due 06/01/2039 | 18,477 | 19,413 | |||||||||
4.50% due 09/01/2039 | 3,507 | 3,709 | |||||||||
4.50% due 09/01/2040 | 7,246 | 7,663 | |||||||||
4.50% due 05/01/2041 | 3,173 | 3,355 | |||||||||
4.50% due April TBA | 200,000 | 209,418 | |||||||||
5.00% due 06/01/2019 | 121 | 123 | |||||||||
5.00% due 05/01/2035 | 630 | 680 | |||||||||
5.00% due 06/01/2040 | 27,501 | 29,742 | |||||||||
5.00% due 07/01/2040 | 6,115 | 6,610 | |||||||||
5.00% due April TBA | 100,000 | 106,812 | |||||||||
5.50% due 11/01/2020 | 1,285 | 1,309 | |||||||||
5.50% due 04/01/2021 | 26,068 | 26,762 | |||||||||
5.50% due 12/01/2029 | 1,042 | 1,131 | |||||||||
5.50% due 06/01/2035 | 70,325 | 77,489 | |||||||||
5.50% due 08/01/2037 | 10,697 | 11,737 | |||||||||
5.50% due 06/01/2038 | 5,097 | 5,593 | |||||||||
6.00% due 12/01/2033 | 4,779 | 5,378 | |||||||||
6.00% due 05/01/2034 | 361 | 405 | |||||||||
6.00% due 06/01/2040 | 127 | 143 | |||||||||
6.50% due 10/01/2037 | 184 | 206 | |||||||||
7.00% due 06/01/2037 | 4,641 | 5,219 | |||||||||
Federal National Mtg. Assoc. FRS 3.36% 12 ML+1.57% due 05/01/2037 | 1,541 | 1,607 | |||||||||
3.57% 12 ML+1.82% due 10/01/2040 | 1,590 | 1,663 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 5.42% 1 ML+3.55% due 07/25/2029(3) | 10,000 | 10,858 | |||||||||
Series 2016-C07, Class 2M2 6.22% 1 ML+4.35% due 05/25/2029(3) | 20,143 | 22,370 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(3) | 6,506 | 6,314 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(3) | 7,604 | 7,238 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(3) | 15,104 | 14,438 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(3) | 15,624 | 15,201 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(3) | 19,890 | 19,761 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(3) | 17,773 | 17,617 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(3) | $ | 20,606 | $ | 20,424 | |||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(3) | 17,294 | 17,540 | |||||||||
3,128,359 | |||||||||||
Government National Mtg. Assoc. — 2.0% | |||||||||||
3.00% due April TBA | 200,000 | 196,762 | |||||||||
3.50% due April TBA | 500,000 | 504,854 | |||||||||
4.00% due 09/15/2041 | 148,218 | 152,534 | |||||||||
4.00% due April TBA | 100,000 | 102,787 | |||||||||
4.50% due 06/15/2041 | 56,958 | 59,657 | |||||||||
6.00% due 11/15/2031 | 17,488 | 19,462 | |||||||||
7.00% due 05/15/2033 | 5,658 | 6,455 | |||||||||
9.00% due 11/15/2021 | 65 | 69 | |||||||||
Government National Mtg. Assoc., REMIC Series 2005-74, Class HB 7.50% due 09/16/2035(3) | 117 | 132 | |||||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(3) | 1,664 | 1,935 | |||||||||
1,044,647 | |||||||||||
Tennessee Valley Authority — 0.0% | |||||||||||
1.75% due 10/15/2018 | 6,000 | 5,990 | |||||||||
Total U.S. Government Agencies (cost $5,344,813) | 5,348,860 | ||||||||||
U.S. GOVERNMENT TREASURIES — 3.7% | |||||||||||
United States Treasury Bonds — 1.0% | |||||||||||
2.88% due 08/15/2045(12)(13) | 196,000 | 192,478 | |||||||||
2.88% due 11/15/2046 | 93,000 | 91,205 | |||||||||
3.00% due 05/15/2045 | 16,000 | 16,101 | |||||||||
3.00% due 11/15/2045 | 101,000 | 101,568 | |||||||||
3.00% due 02/15/2047 | 50,000 | 50,266 | |||||||||
3.63% due 08/15/2043 | 65,000 | 72,767 | |||||||||
524,385 | |||||||||||
United States Treasury Notes — 2.7% | |||||||||||
0.25% due 01/15/2025 TIPS(11) | 351,560 | 343,819 | |||||||||
0.38% due 07/15/2027 TIPS(11) | 374,847 | 365,684 | |||||||||
1.13% due 09/30/2021 | 147,000 | 140,425 | |||||||||
1.25% due 10/31/2021 | 136,000 | 130,342 | |||||||||
1.63% due 03/15/2020 | 112,000 | 110,569 | |||||||||
1.63% due 11/30/2020 | 120,000 | 117,684 | |||||||||
1.88% due 03/31/2022 | 204,000 | 199,115 | |||||||||
2.00% due 02/15/2025 | 20,000 | 19,137 | |||||||||
1,426,775 | |||||||||||
Total U.S. Government Treasuries (cost $2,000,098) | 1,951,160 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.4% | |||||||||||
Sovereign — 0.4% | |||||||||||
Abu Dhabi Government Senior Notes 3.13% due 10/11/2027* | 200,000 | 189,000 | |||||||||
Republic of Hungary Senior Bonds 6.25% due 01/29/2020 | 5,000 | 5,287 |
28
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||||||||
Sovereign (continued) | |||||||||||
United Mexican States Senior Notes 5.75% due 10/12/2110 | $ | 16,000 | $ | 16,280 | |||||||
Total Foreign Government Obligations (cost $220,184) | 210,567 | ||||||||||
Total Long-Term Investment Securities (cost $47,962,741) | 56,327,326 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.2% | |||||||||||
Foreign Government Obligations — 0.7% | |||||||||||
Government of Egypt Disc. Notes 17.41% due 10/16/2018 | EGP | 300,000 | 15,553 | ||||||||
Government of Japan Disc. Notes (0.14)% due 04/09/2018 | JPY | 31,150,000 | 292,756 | ||||||||
Republic of Argentina Bills 3.06% due 06/15/2018 | 38,147 | 37,910 | |||||||||
Republic of Argentina Bills 3.13% due 05/24/2018 | 11,516 | 11,466 | |||||||||
Republic of Argentina Bills 3.30% due 04/27/2018 | 21,521 | 21,480 | |||||||||
379,165 | |||||||||||
Time Deposits — 0.5% | |||||||||||
Euro Time Deposit with State Street Bank and Trust Co. 0.28% due 04/02/18 | 228,000 | 228,000 | |||||||||
Total Short-Term Investment Securities (cost $591,101) | 607,165 | ||||||||||
REPURCHASE AGREEMENTS — 0.4% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(16) | 70,000 | 70,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(16) | 30,000 | 30,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(16) | 55,000 | 55,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(16) | 40,000 | 40,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(16) | 20,000 | 20,000 | |||||||||
Total Repurchase Agreements (cost $215,000) | 215,000 | ||||||||||
TOTAL INVESTMENTS (cost $48,768,842)(17) | 107.9 | % | 57,149,491 | ||||||||
Liabilities in excess of other assets | (7.9 | ) | (4,166,986 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 52,982,505 |
@ See Note 1
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2018, the aggregate value of these securities was $4,720,583 representing 8.9% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.
(1) Securities classified as Level 3 (see Note 2).
(2) Perpetual maturity — maturity date reflects the next call date.
(3) Collateralized Mortgage Obligation
(4) Collateralized Loan Obligation
(5) Commercial Mortgage Backed Security
(6) 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 above.
(7) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2018.
(8) Interest Only
(9) Illiquid security. At March 31, 2018, the aggregate value of these securities was $221,694 representing 0.4% of net assets.
(10) Security in default of interest.
(11) Principal Amount of security is adjusted for inflation.
(12) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(13) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(14) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2018, the SA Multi-Managed Growth Portfolio held the following restricted securities:
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
ION Media Networks, Inc. | 03/05/2014 | 2 | $ | 0 | $ | 1,612 | $ | 806.17 | 0.00 | % |
(15) Denominated in United States dollars unless otherwise indicated.
(16) See Note 2 for details of Joint Repurchase Agreements.
(17) See Note 4 for cost of investments on a tax basis.
ARS — Argentine Peso
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
EGP — Egyptian Pound
29
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
JPY — Japanese Yen
REMIC — Real Estate Mortgage Investment Conduit
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at March 31, 2018 and unless noted otherwise, the dates shown are the original maturity dates.
Index Legend |
1 ML — 1 Month USD LIBOR
3 ML — 3 Month USD LIBOR
6 ML — 6 Month USD LIBOR
12 ML — 12 Month USD LIBOR
1 Yr USTYCR — 1 Year US Treasury Yield Curve Rate
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
1 | Long | 90 Day Eurodollar | March 2019 | $ | 243,300 | $ | 243,525 | $ | 225 | ||||||||||||||||||
2 | Short | 90 Day Eurodollar | March 2020 | 485,850 | 486,025 | (175 | ) | ||||||||||||||||||||
2 | Long | E-Mini Russell 2000 Index | June 2018 | 157,733 | 153,120 | (4,613 | ) | ||||||||||||||||||||
1 | Short | Canada 10 Year Bonds | June 2018 | 103,002 | 103,442 | (440 | ) | ||||||||||||||||||||
5 | Short | U.S. Treasury 10 Year Notes | June 2018 | 602,614 | 605,703 | (3,089 | ) | ||||||||||||||||||||
11 | Short | U.S. Treasury 10 Year Ultra Bonds | June 2018 | 1,412,443 | 1,428,453 | (16,010 | ) | ||||||||||||||||||||
1 | Long | U.S. Treasury 2 Year Notes | June 2018 | 212,703 | 212,609 | (94 | ) | ||||||||||||||||||||
13 | Long | U.S. Treasury 5 Year Notes | June 2018 | 1,483,180 | 1,487,992 | 4,812 | |||||||||||||||||||||
2 | Long | U.S. Treasury Long Bonds | June 2018 | 286,109 | 293,250 | 7,141 | |||||||||||||||||||||
1 | Long | U.S. Treasury Ultra Bonds | June 2018 | 158,250 | 160,469 | 2,219 | |||||||||||||||||||||
$ | (10,024 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Citibank N.A. | JPY | 31,150,000 | USD | 278,242 | 04/09/2018 | $ | — | $ | (14,618 | ) | |||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | — | $ | (14,618 | ) |
JPY — Japanese Yen
USD — United States Dollar
30
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Centrally Cleared Interest Rate Swap Contracts
Rates Exchanged | Value | ||||||||||||||||||||||
Notional Amount (000's) | Maturity Date | Payments Received by the Portfolio/Frequency | Payments Made by the Portfolio/Frequency | Upfront Payments Made (Received) by the Portfolio | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
USD | 75 | 11/14/2026 | H.15-OIS-COMPOUND/Annually | 1 Year USD Federal Funds — 1.63%/Annually | $ | — | $ | 4,339 | |||||||||||||||
USD | 55 | 11/15/2024 | H.15-OIS-COMPOUND/Annually | 1 Year USD Federal Funds — 2.18%/Annually | — | 570 | |||||||||||||||||
USD | 55 | 11/15/2024 | H.15-OIS-COMPOUND/Annually | 1 Year USD Federal Funds — 2.18%/Annually | (89 | ) | 659 | ||||||||||||||||
USD | 5 | 11/15/2024 | H.15-OIS-COMPOUND/Annually | 1 Year USD Federal Funds — 2.25%/Annually | 60 | (31 | ) | ||||||||||||||||
USD | 30 | 11/15/2024 | H.15-OIS-COMPOUND/Annually | 1 Year USD Federal Funds — 2.25%/Annually | 362 | (183 | ) | ||||||||||||||||
USD | 84 | 11/15/2024 | H.15-OIS-COMPOUND/Annually | 1 Year USD Federal Funds — 2.06%/Annually | 1,876 | (389 | ) | ||||||||||||||||
USD | 40 | 11/15/2024 | H.15-OIS-COMPOUND/Annually | 1 Year USD Federal Funds — 2.46%/Annually | — | (276 | ) | ||||||||||||||||
USD | 102 | 11/15/2024 | H.15-OIS-COMPOUND/Annually | 1 Year USD Federal Funds — 2.44%/Annually | — | (606 | ) | ||||||||||||||||
USD | 130 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 1 Year USD Federal Funds — 2.75%/Semi-annually | (2,892 | ) | 4,903 | ||||||||||||||||
$ | (683 | ) | $ | 8,986 |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
OIS — Overnight Index Swap
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Common Stocks: | |||||||||||||||||||
Television | $ | 42,255 | $ | — | $ | 1,612 | $ | 43,867 | |||||||||||
Other Industries | 38,910,331 | — | — | 38,910,331 | |||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 1 | 1 | |||||||||||||||
Other Industries | — | 278,100 | — | 278,100 | |||||||||||||||
Asset Backed Securities: | |||||||||||||||||||
Diversified Financial Services | — | 5,046,548 | 99,555 | 5,146,103 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | 280 | 2 | 282 | |||||||||||||||
Other Industries | — | 3,515,592 | — | 3,515,592 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 719,942 | — | 719,942 | |||||||||||||||
Municipal Bond & Notes | — | 202,521 | — | 202,521 | |||||||||||||||
U.S. Government Agencies | — | 5,348,860 | — | 5,348,860 | |||||||||||||||
U.S. Government Treasuries | — | 1,951,160 | — | 1,951,160 | |||||||||||||||
Foreign Government Obligations | — | 210,567 | — | 210,567 | |||||||||||||||
Short-Term Investment Securities | — | 607,165 | — | 607,165 | |||||||||||||||
Repurchase Agreements | — | 215,000 | — | 215,000 | |||||||||||||||
Total Investments at Value | $ | 38,952,586 | $ | 18,095,735 | $ | 101,170 | $ | 57,149,491 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 14,397 | $ | — | $ | — | $ | 14,397 | |||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 10,471 | — | 10,471 | |||||||||||||||
Total Other Financial Instruments | $ | 14,397 | $ | 10,471 | $ | — | $ | 24,868 |
31
Seasons Series Trust SA Multi-Managed Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 24,421 | $ | — | $ | — | $ | 24,421 | |||||||||||
Forward Foreign Currency Contracts | — | 14,618 | — | 14,618 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 1,485 | — | 1,485 | |||||||||||||||
Total Other Financial Instruments | $ | 24,421 | $ | 16,103 | $ | — | $ | 40,524 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.
At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.
See Notes to Financial Statements
32
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Diversified Financial Services | 14.7 | % | |||||
Federal National Mtg. Assoc. | 9.9 | ||||||
United States Treasury Notes | 7.4 | ||||||
Federal Home Loan Mtg. Corp. | 3.6 | ||||||
Diversified Banking Institutions | 3.2 | ||||||
Government National Mtg. Assoc. | 3.1 | ||||||
Applications Software | 2.6 | ||||||
Medical-Biomedical/Gene | 2.6 | ||||||
Electronic Components-Semiconductors | 2.5 | ||||||
Web Portals/ISP | 2.5 | ||||||
E-Commerce/Products | 2.2 | ||||||
Banks-Commercial | 2.2 | ||||||
Real Estate Investment Trusts | 2.0 | ||||||
Finance-Credit Card | 2.0 | ||||||
Computers | 1.9 | ||||||
Retail-Restaurants | 1.7 | ||||||
Diversified Manufacturing Operations | 1.4 | ||||||
Tobacco | 1.3 | ||||||
Electronic Components-Misc. | 1.2 | ||||||
Cable/Satellite TV | 1.1 | ||||||
Foreign Government Obligations | 1.1 | ||||||
Medical-HMO | 1.1 | ||||||
Electronic Forms | 1.0 | ||||||
Multimedia | 1.0 | ||||||
Medical-Drugs | 1.0 | ||||||
Enterprise Software/Service | 0.9 | ||||||
Electric-Integrated | 0.9 | ||||||
Drug Delivery Systems | 0.9 | ||||||
Internet Content-Entertainment | 0.8 | ||||||
Oil Companies-Exploration & Production | 0.8 | ||||||
Telephone-Integrated | 0.8 | ||||||
Beverages-Non-alcoholic | 0.8 | ||||||
Medical-Hospitals | 0.7 | ||||||
Aerospace/Defense-Equipment | 0.7 | ||||||
Commercial Services | 0.7 | ||||||
Retail-Building Products | 0.7 | ||||||
E-Commerce/Services | 0.7 | ||||||
Entertainment Software | 0.7 | ||||||
Consulting Services | 0.7 | ||||||
Municipal Bonds & Notes | 0.7 | ||||||
United States Treasury Bonds | 0.7 | ||||||
Transport-Rail | 0.6 | ||||||
Insurance-Property/Casualty | 0.6 | ||||||
Auto/Truck Parts & Equipment-Original | 0.6 | ||||||
Industrial Gases | 0.6 | ||||||
Medical Instruments | 0.6 | ||||||
Computer Services | 0.5 | ||||||
Therapeutics | 0.5 | ||||||
Medical Products | 0.5 | ||||||
Commercial Services-Finance | 0.5 | ||||||
Sovereign | 0.5 | ||||||
Building Products-Cement | 0.5 | ||||||
Finance-Other Services | 0.5 | ||||||
Coatings/Paint | 0.5 | ||||||
Finance-Investment Banker/Broker | 0.5 | ||||||
Containers-Paper/Plastic | 0.5 | ||||||
Cosmetics & Toiletries | 0.5 | ||||||
Savings & Loans/Thrifts | 0.5 | ||||||
Aerospace/Defense | 0.5 | ||||||
Airlines | 0.4 |
Athletic Footwear | 0.4 | % | |||||
Containers-Metal/Glass | 0.4 | ||||||
Pipelines | 0.4 | ||||||
Semiconductor Equipment | 0.4 | ||||||
Banks-Super Regional | 0.4 | ||||||
Retail-Drug Store | 0.4 | ||||||
Diagnostic Equipment | 0.4 | ||||||
Medical-Generic Drugs | 0.4 | ||||||
Oil Companies-Integrated | 0.4 | ||||||
Medical Information Systems | 0.3 | ||||||
Electric Products-Misc. | 0.3 | ||||||
Building-Residential/Commercial | 0.3 | ||||||
Insurance-Multi-line | 0.3 | ||||||
Electronic Connectors | 0.3 | ||||||
Computer Software | 0.3 | ||||||
Building & Construction-Misc. | 0.3 | ||||||
Independent Power Producers | 0.3 | ||||||
Food-Confectionery | 0.3 | ||||||
Human Resources | 0.3 | ||||||
Retail-Discount | 0.3 | ||||||
Computer Aided Design | 0.3 | ||||||
Distribution/Wholesale | 0.3 | ||||||
Insurance-Life/Health | 0.3 | ||||||
Building-Heavy Construction | 0.2 | ||||||
Finance-Consumer Loans | 0.2 | ||||||
Energy-Alternate Sources | 0.2 | ||||||
Oil Refining & Marketing | 0.2 | ||||||
Food-Catering | 0.2 | ||||||
Gambling (Non-Hotel) | 0.2 | ||||||
Data Processing/Management | 0.2 | ||||||
Retail-Gardening Products | 0.2 | ||||||
Pharmacy Services | 0.2 | ||||||
Cruise Lines | 0.2 | ||||||
Machinery-General Industrial | 0.2 | ||||||
Auto-Truck Trailers | 0.2 | ||||||
Power Converter/Supply Equipment | 0.2 | ||||||
Brewery | 0.2 | ||||||
Office Supplies & Forms | 0.2 | ||||||
Auto-Cars/Light Trucks | 0.2 | ||||||
Rubber/Plastic Products | 0.2 | ||||||
Web Hosting/Design | 0.2 | ||||||
Retail-Apparel/Shoe | 0.2 | ||||||
Oil-Field Services | 0.2 | ||||||
Printing-Commercial | 0.2 | ||||||
Wireless Equipment | 0.2 | ||||||
Building & Construction Products-Misc. | 0.2 | ||||||
Food-Misc./Diversified | 0.1 | ||||||
Chemicals-Specialty | 0.1 | ||||||
Racetracks | 0.1 | ||||||
Publishing-Newspapers | 0.1 | ||||||
Medical-Wholesale Drug Distribution | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Auto/Truck Parts & Equipment-Replacement | 0.1 | ||||||
Patient Monitoring Equipment | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Financial Guarantee Insurance | 0.1 | ||||||
U.S. Government Agencies | 0.1 | ||||||
Electronic Parts Distribution | 0.1 | ||||||
Water | 0.1 |
33
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Metal-Iron | 0.1 | % | |||||
Apparel Manufacturers | 0.1 | ||||||
Television | 0.1 | ||||||
Repurchase Agreements | 0.1 | ||||||
Retail-Jewelry | 0.1 | ||||||
Banks-Mortgage | 0.1 | ||||||
E-Services/Consulting | 0.1 | ||||||
Beverages-Wine/Spirits | 0.1 | ||||||
Home Furnishings | 0.1 | ||||||
Retail-Home Furnishings | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Metal Products-Distribution | 0.1 | ||||||
Transport-Services | 0.1 | ||||||
Telecom Equipment-Fiber Optics | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Transport-Truck | 0.1 | ||||||
Engines-Internal Combustion | 0.1 | ||||||
Metal-Aluminum | 0.1 | ||||||
Computers-Periphery Equipment | 0.1 | ||||||
Poultry | 0.1 | ||||||
Footwear & Related Apparel | 0.1 | ||||||
Building Products-Doors & Windows | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Retail-Hair Salons | 0.1 | ||||||
Medical-Outpatient/Home Medical | 0.1 | ||||||
Transactional Software | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Retail-Regional Department Stores | 0.1 | ||||||
Publishing-Books | 0.1 | ||||||
Circuit Boards | 0.1 | ||||||
Office Automation & Equipment | 0.1 | ||||||
Cellular Telecom | 0.1 | ||||||
Music | 0.1 | ||||||
113.5 | % |
* Calculated as a percentage of net assets
@ See Note 1
34
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 58.3% | |||||||||||
Aerospace/Defense — 0.4% | |||||||||||
Northrop Grumman Corp. | 903 | $ | 315,255 | ||||||||
Aerospace/Defense-Equipment — 0.7% | |||||||||||
AAR Corp. | 775 | 34,185 | |||||||||
Curtiss-Wright Corp. | 650 | 87,796 | |||||||||
L3 Technologies, Inc. | 2,314 | 481,312 | |||||||||
Moog, Inc., Class A† | 600 | 49,446 | |||||||||
652,739 | |||||||||||
Airlines — 0.4% | |||||||||||
United Continental Holdings, Inc.† | 5,340 | 370,970 | |||||||||
Airport Development/Maintenance — 0.0% | |||||||||||
Hudson, Ltd., Class A† | 2,125 | 33,809 | |||||||||
Apparel Manufacturers — 0.1% | |||||||||||
Under Armour, Inc., Class C† | 5,735 | 82,297 | |||||||||
Appliances — 0.0% | |||||||||||
Hamilton Beach Brands Holding Co., Class A | 1,075 | 22,812 | |||||||||
Applications Software — 2.5% | |||||||||||
Ebix, Inc. | 675 | 50,288 | |||||||||
HubSpot, Inc.† | 425 | 46,028 | |||||||||
Microsoft Corp. | 13,993 | 1,277,141 | |||||||||
Progress Software Corp. | 4,050 | 155,722 | |||||||||
salesforce.com, Inc.† | 6,020 | 700,126 | |||||||||
2,229,305 | |||||||||||
Athletic Footwear — 0.4% | |||||||||||
NIKE, Inc., Class B | 5,645 | 375,054 | |||||||||
Auto-Truck Trailers — 0.2% | |||||||||||
Wabash National Corp. | 7,800 | 162,318 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.6% | |||||||||||
Aptiv PLC | 5,022 | 426,719 | |||||||||
Meritor, Inc.† | 225 | 4,626 | |||||||||
Tenneco, Inc. | 1,600 | 87,792 | |||||||||
519,137 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.1% | |||||||||||
Douglas Dynamics, Inc. | 2,500 | 108,375 | |||||||||
B2B/E-Commerce — 0.0% | |||||||||||
ePlus, Inc.† | 450 | 34,965 | |||||||||
Banks-Commercial — 1.5% | |||||||||||
1st Source Corp. | 510 | 25,816 | |||||||||
BancFirst Corp. | 1,575 | 83,632 | |||||||||
BancorpSouth Bank | 2,075 | 65,985 | |||||||||
Banner Corp. | 1,875 | 104,044 | |||||||||
Cadence BanCorp | 125 | 3,404 | |||||||||
Cathay General Bancorp, Class B | 800 | 31,984 | |||||||||
Central Pacific Financial Corp. | 2,675 | 76,130 | |||||||||
Central Valley Community Bancorp | 200 | 3,912 | |||||||||
Citizens & Northern Corp. | 200 | 4,618 | |||||||||
City Holding Co. | 525 | 35,994 | |||||||||
CVB Financial Corp. | 3,350 | 75,844 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial (continued) | |||||||||||
East West Bancorp, Inc. | 43 | $ | 2,689 | ||||||||
FCB Financial Holdings, Inc., Class A† | 2,500 | 127,750 | |||||||||
First Commonwealth Financial Corp. | 3,400 | 48,042 | |||||||||
First Community Bancshares, Inc. | 225 | 6,716 | |||||||||
First Financial Bancorp | 525 | 15,409 | |||||||||
First Hawaiian, Inc. | 750 | 20,873 | |||||||||
First Horizon National Corp. | 843 | 15,874 | |||||||||
First Interstate BancSystem, Inc., Class A | 550 | 21,753 | |||||||||
Fulton Financial Corp. | 875 | 15,531 | |||||||||
Great Western Bancorp, Inc. | 275 | 11,074 | |||||||||
Guaranty Bancorp | 350 | 9,923 | |||||||||
Heritage Financial Corp. | 750 | 22,950 | |||||||||
Hope Bancorp, Inc. | 1,658 | 30,159 | |||||||||
Independent Bank Corp./ Massachusetts | 100 | 7,155 | |||||||||
Independent Bank Corp./ Michigan | 975 | 22,327 | |||||||||
MainSource Financial Group, Inc. | 250 | 10,163 | |||||||||
OFG Bancorp | 1,875 | 19,594 | |||||||||
PacWest Bancorp | 550 | 27,241 | |||||||||
Sierra Bancorp | 225 | 5,994 | |||||||||
Simmons First National Corp., Class A | 955 | 27,170 | |||||||||
Southside Bancshares, Inc. | 152 | 5,280 | |||||||||
TCF Financial Corp. | 2,100 | 47,901 | |||||||||
Trustmark Corp. | 725 | 22,591 | |||||||||
UMB Financial Corp. | 500 | 36,195 | |||||||||
Union Bankshares Corp. | 2,509 | 92,105 | |||||||||
Webster Financial Corp. | 475 | 26,315 | |||||||||
West Bancorporation, Inc. | 325 | 8,320 | |||||||||
Westamerica Bancorporation | 2,075 | 120,516 | |||||||||
1,338,973 | |||||||||||
Banks-Mortgage — 0.1% | |||||||||||
Walker & Dunlop, Inc. | 1,250 | 74,275 | |||||||||
Banks-Super Regional — 0.0% | |||||||||||
National Bank Holdings Corp., Class A | 180 | 5,985 | |||||||||
Beverages-Non-alcoholic — 0.8% | |||||||||||
Coca-Cola Co. | 15,199 | 660,093 | |||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Hemisphere Media Group, Inc.† | 2,150 | 24,188 | |||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Gibraltar Industries, Inc.† | 1,200 | 40,620 | |||||||||
Ply Gem Holdings, Inc.† | 1,100 | 23,760 | |||||||||
64,380 | |||||||||||
Building & Construction-Misc. — 0.3% | |||||||||||
EMCOR Group, Inc. | 2,750 | 214,307 | |||||||||
MYR Group, Inc.† | 1,175 | 36,214 | |||||||||
250,521 |
35
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building Products-Cement — 0.5% | |||||||||||
Continental Building Products, Inc.† | 4,375 | $ | 124,906 | ||||||||
Vulcan Materials Co. | 2,599 | 296,728 | |||||||||
421,634 | |||||||||||
Building Products-Doors & Windows — 0.1% | |||||||||||
Masonite International Corp.† | 950 | 58,282 | |||||||||
Building-Heavy Construction — 0.0% | |||||||||||
MasTec, Inc.† | 525 | 24,701 | |||||||||
Building-Residential/Commercial — 0.3% | |||||||||||
AV Homes, Inc.† | 450 | 8,347 | |||||||||
Beazer Homes USA, Inc.† | 3,375 | 53,831 | |||||||||
Hovnanian Enterprises, Inc., Class A† | 3,200 | 5,856 | |||||||||
KB Home | 575 | 16,359 | |||||||||
Taylor Morrison Home Corp., Class A† | 7,225 | 168,198 | |||||||||
252,591 | |||||||||||
Cable/Satellite TV — 0.5% | |||||||||||
Comcast Corp., Class A | 13,928 | 475,920 | |||||||||
Chemicals-Plastics — 0.0% | |||||||||||
PolyOne Corp. | 400 | 17,008 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Minerals Technologies, Inc. | 1,050 | 70,297 | |||||||||
OMNOVA Solutions, Inc.† | 2,425 | 25,463 | |||||||||
Sensient Technologies Corp. | 300 | 21,174 | |||||||||
116,934 | |||||||||||
Circuit Boards — 0.1% | |||||||||||
TTM Technologies, Inc.† | 2,750 | 42,047 | |||||||||
Coal — 0.0% | |||||||||||
NACCO Industries, Inc., Class A | 525 | 17,246 | |||||||||
SunCoke Energy, Inc.† | 450 | 4,842 | |||||||||
22,088 | |||||||||||
Coatings/Paint — 0.5% | |||||||||||
Sherwin-Williams Co. | 1,028 | 403,099 | |||||||||
Commercial Services — 0.7% | |||||||||||
Care.com, Inc.† | 975 | 15,863 | |||||||||
CoStar Group, Inc.† | 998 | 361,955 | |||||||||
Medifast, Inc. | 125 | 11,681 | |||||||||
RPX Corp. | 5,525 | 59,063 | |||||||||
ServiceMaster Global Holdings, Inc.† | 3,512 | 178,585 | |||||||||
627,147 | |||||||||||
Commercial Services-Finance — 0.5% | |||||||||||
Euronet Worldwide, Inc.† | 250 | 19,730 | |||||||||
EVERTEC, Inc. | 325 | 5,314 | |||||||||
Green Dot Corp., Class A† | 650 | 41,704 | |||||||||
MarketAxess Holdings, Inc. | 400 | 86,976 | |||||||||
Travelport Worldwide, Ltd. | 6,950 | 113,563 | |||||||||
Worldpay, Inc., Class A† | 1,926 | 158,394 | |||||||||
425,681 |
Security Description | Shares | Value (Note 2) | |||||||||
Computer Aided Design — 0.3% | |||||||||||
Aspen Technology, Inc.† | 2,850 | $ | 224,836 | ||||||||
Computer Data Security — 0.0% | |||||||||||
ForeScout Technologies, Inc.† | 200 | 6,488 | |||||||||
VASCO Data Security International, Inc.† | 850 | 11,008 | |||||||||
17,496 | |||||||||||
Computer Services — 0.5% | |||||||||||
Amdocs, Ltd. | 4,389 | 292,834 | |||||||||
Convergys Corp. | 1,600 | 36,192 | |||||||||
Science Applications International Corp. | 1,100 | 86,680 | |||||||||
Unisys Corp.† | 4,850 | 52,138 | |||||||||
467,844 | |||||||||||
Computer Software — 0.3% | |||||||||||
Box, Inc., Class A† | 725 | 14,899 | |||||||||
SendGrid, Inc.† | 150 | 4,221 | |||||||||
SS&C Technologies Holdings, Inc. | 3,672 | 196,966 | |||||||||
Tintri, Inc.† | 1,400 | 2,394 | |||||||||
Workiva, Inc.† | 2,000 | 47,400 | |||||||||
265,880 | |||||||||||
Computers — 1.8% | |||||||||||
Apple, Inc. | 9,219 | 1,546,764 | |||||||||
Computers-Integrated Systems — 0.0% | |||||||||||
NetScout Systems, Inc.† | 625 | 16,469 | |||||||||
Computers-Periphery Equipment — 0.1% | |||||||||||
Electronics For Imaging, Inc.† | 2,300 | 62,859 | |||||||||
Consulting Services — 0.7% | |||||||||||
Gartner, Inc.† | 2,308 | 271,467 | |||||||||
Huron Consulting Group, Inc.† | 2,850 | 108,585 | |||||||||
Verisk Analytics, Inc.† | 1,943 | 202,072 | |||||||||
582,124 | |||||||||||
Containers-Metal/Glass — 0.4% | |||||||||||
Ball Corp. | 9,379 | 372,440 | |||||||||
Containers-Paper/Plastic — 0.5% | |||||||||||
Graphic Packaging Holding Co. | 6,375 | 97,856 | |||||||||
Sealed Air Corp. | 7,268 | 310,998 | |||||||||
408,854 | |||||||||||
Cosmetics & Toiletries — 0.5% | |||||||||||
Estee Lauder Cos., Inc., Class A | 2,706 | 405,142 | |||||||||
Cruise Lines — 0.2% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 3,149 | 166,803 | |||||||||
Data Processing/Management — 0.2% | |||||||||||
CSG Systems International, Inc. | 975 | 44,158 | |||||||||
Fair Isaac Corp.† | 800 | 135,496 | |||||||||
179,654 | |||||||||||
Diagnostic Equipment — 0.4% | |||||||||||
Thermo Fisher Scientific, Inc. | 1,608 | 331,988 |
36
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Diagnostic Kits — 0.0% | |||||||||||
Meridian Bioscience, Inc. | 2,100 | $ | 29,820 | ||||||||
Disposable Medical Products — 0.0% | |||||||||||
Utah Medical Products, Inc. | 175 | 17,299 | |||||||||
Distribution/Wholesale — 0.3% | |||||||||||
Essendant, Inc. | 550 | 4,290 | |||||||||
Fastenal Co. | 2,649 | 144,609 | |||||||||
Titan Machinery, Inc.† | 3,050 | 71,858 | |||||||||
220,757 | |||||||||||
Diversified Manufacturing Operations — 1.4% | |||||||||||
A.O. Smith Corp. | 4,251 | 270,321 | |||||||||
Actuant Corp., Class A | 2,025 | 47,081 | |||||||||
Harsco Corp.† | 1,450 | 29,943 | |||||||||
Illinois Tool Works, Inc. | 2,822 | 442,095 | |||||||||
Parker-Hannifin Corp. | 2,648 | 452,887 | |||||||||
1,242,327 | |||||||||||
Drug Delivery Systems — 0.9% | |||||||||||
DexCom, Inc.† | 4,873 | 361,382 | |||||||||
Nektar Therapeutics† | 3,747 | 398,156 | |||||||||
759,538 | |||||||||||
E-Commerce/Products — 2.1% | |||||||||||
Amazon.com, Inc.† | 1,198 | 1,733,913 | |||||||||
Wayfair, Inc., Class A† | 1,675 | 113,113 | |||||||||
1,847,026 | |||||||||||
E-Commerce/Services — 0.7% | |||||||||||
Booking Holdings, Inc.† | 234 | 486,811 | |||||||||
Cargurus, Inc.† | 175 | 6,732 | |||||||||
Shutterfly, Inc.† | 750 | 60,938 | |||||||||
Stamps.com, Inc.† | 300 | 60,315 | |||||||||
614,796 | |||||||||||
E-Services/Consulting — 0.1% | |||||||||||
Perficient, Inc.† | 3,200 | 73,344 | |||||||||
Educational Software — 0.0% | |||||||||||
Rosetta Stone, Inc.† | 775 | 10,191 | |||||||||
Electric Products-Misc. — 0.3% | |||||||||||
AMETEK, Inc. | 3,802 | 288,838 | |||||||||
Graham Corp. | 350 | 7,497 | |||||||||
296,335 | |||||||||||
Electric-Distribution — 0.0% | |||||||||||
Spark Energy, Inc., Class A | 1,400 | 16,590 | |||||||||
Electric-Generation — 0.0% | |||||||||||
Atlantic Power Corp.† | 18,100 | 38,010 | |||||||||
Electric-Integrated — 0.2% | |||||||||||
Avista Corp. | 250 | 12,812 | |||||||||
El Paso Electric Co. | 975 | 49,725 | |||||||||
NorthWestern Corp. | 275 | 14,795 | |||||||||
PNM Resources, Inc. | 725 | 27,731 | |||||||||
Portland General Electric Co. | 1,725 | 69,880 | |||||||||
174,943 |
Security Description | Shares | Value (Note 2) | |||||||||
Electronic Components-Misc. — 1.2% | |||||||||||
Bel Fuse, Inc., Class B | 225 | $ | 4,252 | ||||||||
Benchmark Electronics, Inc. | 2,950 | 88,057 | |||||||||
Flex, Ltd.† | 18,741 | 306,041 | |||||||||
Knowles Corp.† | 3,100 | 39,029 | |||||||||
Sensata Technologies Holding PLC† | 7,255 | 376,027 | |||||||||
Stoneridge, Inc.† | 3,150 | 86,940 | |||||||||
Vishay Intertechnology, Inc. | 5,875 | 109,275 | |||||||||
1,009,621 | |||||||||||
Electronic Components-Semiconductors — 2.3% | |||||||||||
Alpha & Omega Semiconductor, Ltd.† | 1,847 | 28,536 | |||||||||
Amkor Technology, Inc.† | 6,525 | 66,098 | |||||||||
Broadcom, Ltd. | 2,413 | 568,623 | |||||||||
Microchip Technology, Inc. | 5,358 | 489,507 | |||||||||
Rambus, Inc.† | 3,975 | 53,384 | |||||||||
Silicon Laboratories, Inc.† | 175 | 15,733 | |||||||||
Synaptics, Inc.† | 1,875 | 85,744 | |||||||||
Texas Instruments, Inc. | 6,085 | 632,171 | |||||||||
Xperi Corp. | 5,450 | 115,267 | |||||||||
2,055,063 | |||||||||||
Electronic Connectors — 0.3% | |||||||||||
Amphenol Corp., Class A | 3,122 | 268,898 | |||||||||
Electronic Forms — 1.0% | |||||||||||
Adobe Systems, Inc.† | 4,238 | 915,747 | |||||||||
Electronic Parts Distribution — 0.1% | |||||||||||
Tech Data Corp.† | 1,050 | 89,386 | |||||||||
Energy-Alternate Sources — 0.2% | |||||||||||
FutureFuel Corp. | 1,875 | 22,481 | |||||||||
Pacific Ethanol, Inc.† | 2,475 | 7,425 | |||||||||
Pattern Energy Group, Inc., Class A | 1,350 | 23,342 | |||||||||
Renewable Energy Group, Inc.† | 3,250 | 41,600 | |||||||||
REX American Resources Corp.† | 1,600 | 116,480 | |||||||||
211,328 | |||||||||||
Engineering/R&D Services — 0.1% | |||||||||||
VSE Corp. | 900 | 46,548 | |||||||||
Engines-Internal Combustion — 0.1% | |||||||||||
Briggs & Stratton Corp. | 3,075 | 65,836 | |||||||||
Enterprise Software/Service — 0.9% | |||||||||||
Manhattan Associates, Inc.† | 425 | 17,799 | |||||||||
SailPoint Technologies Holding, Inc.† | 1,575 | 32,587 | |||||||||
Tyler Technologies, Inc.† | 1,883 | 397,237 | |||||||||
Ultimate Software Group, Inc.† | 1,494 | 364,088 | |||||||||
811,711 | |||||||||||
Entertainment Software — 0.7% | |||||||||||
Activision Blizzard, Inc. | 8,730 | 588,926 | |||||||||
Take-Two Interactive Software, Inc.† | 75 | 7,333 | |||||||||
596,259 |
37
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Environmental Monitoring & Detection — 0.0% | |||||||||||
MSA Safety, Inc. | 450 | $ | 37,458 | ||||||||
Finance-Auto Loans — 0.0% | |||||||||||
Credit Acceptance Corp.† | 100 | 33,041 | |||||||||
Finance-Consumer Loans — 0.2% | |||||||||||
Nelnet, Inc., Class A | 675 | 35,377 | |||||||||
Synchrony Financial | 4,680 | 156,920 | |||||||||
192,297 | |||||||||||
Finance-Credit Card — 1.9% | |||||||||||
Mastercard, Inc., Class A | 4,330 | 758,443 | |||||||||
Visa, Inc., Class A | 7,296 | 872,747 | |||||||||
1,631,190 | |||||||||||
Finance-Investment Banker/Broker — 0.5% | |||||||||||
Houlihan Lokey, Inc. | 1,150 | 51,290 | |||||||||
Stifel Financial Corp. | 250 | 14,807 | |||||||||
TD Ameritrade Holding Corp. | 5,864 | 347,325 | |||||||||
413,422 | |||||||||||
Finance-Other Services — 0.3% | |||||||||||
Intercontinental Exchange, Inc. | 3,237 | 234,747 | |||||||||
WageWorks, Inc.† | 1,225 | 55,370 | |||||||||
290,117 | |||||||||||
Financial Guarantee Insurance — 0.1% | |||||||||||
MBIA, Inc.† | 4,900 | 45,374 | |||||||||
MGIC Investment Corp.† | 2,125 | 27,625 | |||||||||
NMI Holdings, Inc., Class A† | 1,000 | 16,550 | |||||||||
Radian Group, Inc. | 550 | 10,472 | |||||||||
100,021 | |||||||||||
Food-Canned — 0.0% | |||||||||||
Seneca Foods Corp., Class A† | 200 | 5,540 | |||||||||
Food-Catering — 0.2% | |||||||||||
Aramark | 5,150 | 203,734 | |||||||||
Food-Confectionery — 0.3% | |||||||||||
Hershey Co. | 2,409 | 238,395 | |||||||||
Food-Dairy Products — 0.0% | |||||||||||
Dean Foods Co. | 2,475 | 21,335 | |||||||||
Food-Flour & Grain — 0.0% | |||||||||||
Post Holdings, Inc.† | 225 | 17,046 | |||||||||
Food-Misc./Diversified — 0.1% | |||||||||||
Darling Ingredients, Inc.† | 7,450 | 128,885 | |||||||||
Food-Retail — 0.0% | |||||||||||
Ingles Markets, Inc., Class A | 875 | 29,619 | |||||||||
Footwear & Related Apparel — 0.1% | |||||||||||
Weyco Group, Inc. | 100 | 3,360 | |||||||||
Wolverine World Wide, Inc. | 1,925 | 55,632 | |||||||||
58,992 | |||||||||||
Gambling (Non-Hotel) — 0.2% | |||||||||||
Pinnacle Entertainment, Inc.† | 6,625 | 199,744 |
Security Description | Shares | Value (Note 2) | |||||||||
Gas-Distribution — 0.1% | |||||||||||
Northwest Natural Gas Co. | 250 | $ | 14,413 | ||||||||
Southwest Gas Holdings, Inc. | 500 | 33,815 | |||||||||
Spire, Inc. | 575 | 41,572 | |||||||||
89,800 | |||||||||||
Home Furnishings — 0.1% | |||||||||||
Sleep Number Corp.† | 2,050 | 72,057 | |||||||||
Housewares — 0.0% | |||||||||||
Lifetime Brands, Inc. | 175 | 2,170 | |||||||||
Human Resources — 0.3% | |||||||||||
Barrett Business Services, Inc. | 1,725 | 142,968 | |||||||||
Cross Country Healthcare, Inc.† | 3,825 | 42,496 | |||||||||
TriNet Group, Inc.† | 275 | 12,738 | |||||||||
TrueBlue, Inc.† | 1,525 | 39,497 | |||||||||
237,699 | |||||||||||
Independent Power Producers — 0.3% | |||||||||||
Dynegy, Inc.† | 7,625 | 103,090 | |||||||||
NRG Energy, Inc. | 4,654 | 142,087 | |||||||||
245,177 | |||||||||||
Industrial Gases — 0.6% | |||||||||||
Air Products & Chemicals, Inc. | 3,123 | 496,651 | |||||||||
Insurance-Life/Health — 0.2% | |||||||||||
CNO Financial Group, Inc. | 2,875 | 62,301 | |||||||||
Primerica, Inc. | 825 | 79,695 | |||||||||
141,996 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Kemper Corp. | 300 | 17,100 | |||||||||
Insurance-Property/Casualty — 0.6% | |||||||||||
Ambac Financial Group, Inc.† | 150 | 2,352 | |||||||||
First American Financial Corp. | 525 | 30,807 | |||||||||
Global Indemnity, Ltd. | 200 | 6,904 | |||||||||
Kinsale Capital Group, Inc. | 650 | 33,364 | |||||||||
Navigators Group, Inc. | 800 | 46,120 | |||||||||
ProAssurance Corp. | 625 | 30,344 | |||||||||
Progressive Corp. | 5,905 | 359,792 | |||||||||
Third Point Reinsurance, Ltd.† | 1,025 | 14,299 | |||||||||
Universal Insurance Holdings, Inc. | 575 | 18,342 | |||||||||
542,324 | |||||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Blue Capital Reinsurance Holdings, Ltd. | 150 | 1,830 | |||||||||
Internet Content-Entertainment — 0.8% | |||||||||||
Facebook, Inc., Class A† | 4,577 | 731,359 | |||||||||
Internet Content-Information/News — 0.0% | |||||||||||
DHI Group, Inc.† | 1,600 | 2,560 | |||||||||
Internet Security — 0.1% | |||||||||||
Proofpoint, Inc.† | 625 | 71,031 | |||||||||
Zix Corp.† | 3,775 | 16,119 | |||||||||
Zscaler, Inc.† | 700 | 19,649 | |||||||||
106,799 |
38
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Investment Management/Advisor Services — 0.0% | |||||||||||
BrightSphere Investment Group PLC | 525 | $ | 8,274 | ||||||||
Virtus Investment Partners, Inc. | 175 | 21,665 | |||||||||
29,939 | |||||||||||
Machinery-General Industrial — 0.2% | |||||||||||
Applied Industrial Technologies, Inc. | 700 | 51,030 | |||||||||
DXP Enterprises, Inc.† | 1,275 | 49,661 | |||||||||
Kadant, Inc. | 675 | 63,788 | |||||||||
164,479 | |||||||||||
Marine Services — 0.0% | |||||||||||
SEACOR Marine Holdings, Inc.† | 276 | 5,250 | |||||||||
Medical Imaging Systems — 0.0% | |||||||||||
Lantheus Holdings, Inc.† | 750 | 11,925 | |||||||||
Medical Information Systems — 0.3% | |||||||||||
Allscripts Healthcare Solutions, Inc.† | 3,325 | 41,064 | |||||||||
athenahealth, Inc.† | 1,758 | 251,446 | |||||||||
292,510 | |||||||||||
Medical Instruments — 0.5% | |||||||||||
AngioDynamics, Inc.† | 2,825 | 48,731 | |||||||||
Boston Scientific Corp.† | 11,922 | 325,709 | |||||||||
NuVasive, Inc.† | 975 | 50,905 | |||||||||
425,345 | |||||||||||
Medical Labs & Testing Services — 0.0% | |||||||||||
Medpace Holdings, Inc.† | 375 | 13,091 | |||||||||
Medical Products — 0.4% | |||||||||||
Integer Holdings Corp.† | 2,450 | 138,547 | |||||||||
Luminex Corp. | 775 | 16,329 | |||||||||
Orthofix International NV† | 475 | 27,921 | |||||||||
OrthoPediatrics Corp.† | 375 | 5,648 | |||||||||
Wright Medical Group NV† | 7,775 | 154,256 | |||||||||
342,701 | |||||||||||
Medical-Biomedical/Gene — 2.5% | |||||||||||
ACADIA Pharmaceuticals, Inc.† | 775 | 17,414 | |||||||||
Achillion Pharmaceuticals, Inc.† | 8,450 | 31,350 | |||||||||
Alder Biopharmaceuticals, Inc.† | 2,825 | 35,877 | |||||||||
AMAG Pharmaceuticals, Inc.† | 1,475 | 29,721 | |||||||||
Amicus Therapeutics, Inc.† | 3,450 | 51,888 | |||||||||
AnaptysBio, Inc.† | 1,528 | 159,034 | |||||||||
Arena Pharmaceuticals, Inc.† | 1,045 | 41,277 | |||||||||
ARMO BioSciences, Inc.† | 675 | 25,252 | |||||||||
Avexis, Inc.† | 450 | 55,611 | |||||||||
Biogen, Inc.† | 1,298 | 355,418 | |||||||||
Biohaven Pharmaceutical Holding Co., Ltd.† | 1,025 | 26,404 | |||||||||
Bluebird Bio, Inc.† | 175 | 29,881 | |||||||||
Celgene Corp.† | 3,284 | 292,966 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
CytomX Therapeutics, Inc.† | 1,175 | $ | 33,429 | ||||||||
Homology Medicines, Inc.† | 1,500 | 28,050 | |||||||||
Insmed, Inc.† | 3,034 | 68,326 | |||||||||
Menlo Therapeutics, Inc.† | 950 | 35,701 | |||||||||
Myriad Genetics, Inc.† | 1,925 | 56,884 | |||||||||
NewLink Genetics Corp.† | 4,100 | 29,725 | |||||||||
Novavax, Inc.† | 17,200 | 36,120 | |||||||||
Prothena Corp. PLC† | 725 | 26,615 | |||||||||
Puma Biotechnology, Inc.† | 3,370 | 229,328 | |||||||||
Regeneron Pharmaceuticals, Inc.† | 813 | 279,965 | |||||||||
REGENXBIO, Inc.† | 1,575 | 47,014 | |||||||||
resTORbio, Inc.† | 700 | 6,706 | |||||||||
Sangamo Therapeutics, Inc.† | 675 | 12,825 | |||||||||
Selecta Biosciences, Inc.† | 2,500 | 25,475 | |||||||||
Seres Therapeutics, Inc.† | 3,500 | 25,690 | |||||||||
Solid Biosciences, Inc.† | 2,600 | 19,500 | |||||||||
Spark Therapeutics, Inc.† | 800 | 53,272 | |||||||||
2,166,718 | |||||||||||
Medical-Drugs — 0.9% | |||||||||||
Aimmune Therapeutics, Inc.† | 1,125 | 35,809 | |||||||||
Clovis Oncology, Inc.† | 625 | 33,000 | |||||||||
Eli Lilly & Co. | 5,245 | 405,806 | |||||||||
Global Blood Therapeutics, Inc.† | 2,885 | 139,345 | |||||||||
Horizon Pharma PLC† | 2,050 | 29,110 | |||||||||
Paratek Pharmaceuticals, Inc.† | 1,850 | 24,050 | |||||||||
Prestige Brands Holdings, Inc.† | 275 | 9,273 | |||||||||
Reata Pharmaceuticals, Inc., Class A† | 1,275 | 26,150 | |||||||||
Synergy Pharmaceuticals, Inc.† | 11,225 | 20,542 | |||||||||
TG Therapeutics, Inc.† | 2,450 | 34,790 | |||||||||
Vanda Pharmaceuticals, Inc.† | 1,925 | 32,436 | |||||||||
Voyager Therapeutics, Inc.† | 1,400 | 26,306 | |||||||||
816,617 | |||||||||||
Medical-Generic Drugs — 0.3% | |||||||||||
Mylan NV† | 5,311 | 218,654 | |||||||||
Medical-HMO — 0.9% | |||||||||||
Humana, Inc. | 1,779 | 478,249 | |||||||||
Molina Healthcare, Inc.† | 2,125 | 172,507 | |||||||||
Tivity Health, Inc.† | 4,150 | 164,548 | |||||||||
WellCare Health Plans, Inc.† | 75 | 14,522 | |||||||||
829,826 | |||||||||||
Medical-Hospitals — 0.5% | |||||||||||
Surgery Partners, Inc.† | 3,875 | 66,456 | |||||||||
Tenet Healthcare Corp.† | 4,875 | 118,219 | |||||||||
Universal Health Services, Inc., Class B | 2,366 | 280,158 | |||||||||
464,833 | |||||||||||
Medical-Outpatient/Home Medical — 0.1% | |||||||||||
Civitas Solutions, Inc.† | 3,325 | 51,205 |
39
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Wholesale Drug Distribution — 0.0% | |||||||||||
Owens & Minor, Inc. | 1,125 | $ | 17,494 | ||||||||
Metal Products-Distribution — 0.1% | |||||||||||
Worthington Industries, Inc. | 1,625 | 69,745 | |||||||||
Metal-Aluminum — 0.1% | |||||||||||
Kaiser Aluminum Corp. | 650 | 65,585 | |||||||||
Miscellaneous Manufacturing — 0.0% | |||||||||||
FreightCar America, Inc. | 375 | 5,025 | |||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Eros International PLC† | 2,300 | 25,070 | |||||||||
MRI/Medical Diagnostic Imaging — 0.0% | |||||||||||
RadNet, Inc.† | 1,275 | 18,360 | |||||||||
Multimedia — 0.7% | |||||||||||
E.W. Scripps Co., Class A | 950 | 11,390 | |||||||||
Entravision Communications Corp., Class A | 2,275 | 10,692 | |||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 4,976 | 153,510 | |||||||||
Walt Disney Co. | 4,533 | 455,295 | |||||||||
630,887 | |||||||||||
Office Furnishings-Original — 0.0% | |||||||||||
Interface, Inc. | 607 | 15,296 | |||||||||
Office Supplies & Forms — 0.2% | |||||||||||
ACCO Brands Corp. | 12,125 | 152,169 | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Parker Drilling Co.† | 2,875 | 1,826 | |||||||||
Rowan Cos. PLC, Class A† | 3,225 | 37,216 | |||||||||
39,042 | |||||||||||
Oil Companies-Exploration & Production — 0.4% | |||||||||||
Anadarko Petroleum Corp. | 2,519 | 152,173 | |||||||||
Denbury Resources, Inc.† | 9,950 | 27,263 | |||||||||
EP Energy Corp., Class A† | 7,669 | 10,276 | |||||||||
HighPoint Resources Corp.† | 8,450 | 42,926 | |||||||||
Sanchez Energy Corp.† | 3,075 | 9,625 | |||||||||
Unit Corp.† | 1,150 | 22,724 | |||||||||
W&T Offshore, Inc.† | 14,600 | 64,678 | |||||||||
329,665 | |||||||||||
Oil Field Machinery & Equipment — 0.0% | |||||||||||
Natural Gas Services Group, Inc.† | 500 | 11,925 | |||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Adams Resources & Energy, Inc. | 125 | 5,438 | |||||||||
Delek US Holdings, Inc. | 2,875 | 117,012 | |||||||||
122,450 | |||||||||||
Oil-Field Services — 0.2% | |||||||||||
Archrock, Inc. | 3,100 | 27,125 | |||||||||
FTS International, Inc.† | 1,275 | 23,447 | |||||||||
MRC Global, Inc.† | 4,225 | 69,459 | |||||||||
SEACOR Holdings, Inc.† | 275 | 14,053 | |||||||||
134,084 |
Security Description | Shares | Value (Note 2) | |||||||||
Paper & Related Products — 0.0% | |||||||||||
Domtar Corp. | 375 | $ | 15,953 | ||||||||
Verso Corp., Class A† | 750 | 12,630 | |||||||||
28,583 | |||||||||||
Patient Monitoring Equipment — 0.1% | |||||||||||
Masimo Corp.† | 1,225 | 107,739 | |||||||||
Pollution Control — 0.0% | |||||||||||
CECO Environmental Corp. | 300 | 1,335 | |||||||||
Poultry — 0.1% | |||||||||||
Pilgrim's Pride Corp.† | 1,575 | 38,761 | |||||||||
Sanderson Farms, Inc. | 200 | 23,804 | |||||||||
62,565 | |||||||||||
Power Converter/Supply Equipment — 0.2% | |||||||||||
Advanced Energy Industries, Inc.† | 250 | 15,975 | |||||||||
Generac Holdings, Inc.† | 2,625 | 120,514 | |||||||||
Powell Industries, Inc. | 850 | 22,814 | |||||||||
159,303 | |||||||||||
Printing-Commercial — 0.2% | |||||||||||
ARC Document Solutions, Inc.† | 750 | 1,650 | |||||||||
Deluxe Corp. | 1,000 | 74,010 | |||||||||
Ennis, Inc. | 2,850 | 56,145 | |||||||||
131,805 | |||||||||||
Publishing-Books — 0.1% | |||||||||||
Houghton Mifflin Harcourt Co.† | 6,060 | 42,117 | |||||||||
Publishing-Newspapers — 0.1% | |||||||||||
Gannett Co., Inc. | 8,800 | 87,824 | |||||||||
tronc, Inc.† | 1,775 | 29,145 | |||||||||
116,969 | |||||||||||
Racetracks — 0.1% | |||||||||||
Penn National Gaming, Inc.† | 4,050 | 106,353 | |||||||||
Speedway Motorsports, Inc. | 800 | 14,256 | |||||||||
120,609 | |||||||||||
Real Estate Investment Trusts — 2.0% | |||||||||||
Alexander & Baldwin, Inc. | 426 | 9,853 | |||||||||
American Assets Trust, Inc. | 900 | 30,069 | |||||||||
American Tower Corp. | 3,426 | 497,935 | |||||||||
Ashford Hospitality Trust, Inc. | 6,000 | 38,760 | |||||||||
Capstead Mtg. Corp. | 4,450 | 38,492 | |||||||||
CBL & Associates Properties, Inc. | 950 | 3,962 | |||||||||
Cherry Hill Mtg. Investment Corp. | 475 | 8,332 | |||||||||
CorEnergy Infrastructure Trust, Inc. | 500 | 18,770 | |||||||||
CoreSite Realty Corp. | 1,300 | 130,338 | |||||||||
CubeSmart | 650 | 18,330 | |||||||||
CYS Investments, Inc. | 10,575 | 71,064 | |||||||||
DCT Industrial Trust, Inc. | 768 | 43,269 | |||||||||
DiamondRock Hospitality Co. | 3,500 | 36,540 | |||||||||
Dynex Capital, Inc. | 400 | 2,652 | |||||||||
EastGroup Properties, Inc. | 425 | 35,130 |
40
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
EPR Properties | 50 | $ | 2,770 | ||||||||
Equinix, Inc. | 423 | 176,873 | |||||||||
Equity LifeStyle Properties, Inc. | 250 | 21,943 | |||||||||
First Industrial Realty Trust, Inc. | 475 | 13,884 | |||||||||
Franklin Street Properties Corp. | 825 | 6,938 | |||||||||
Gladstone Commercial Corp. | 200 | 3,468 | |||||||||
Government Properties Income Trust | 900 | 12,294 | |||||||||
Hersha Hospitality Trust | 2,225 | 39,827 | |||||||||
Highwoods Properties, Inc. | 350 | 15,337 | |||||||||
Hospitality Properties Trust | 975 | 24,707 | |||||||||
InfraREIT, Inc.† | 275 | 5,343 | |||||||||
Invesco Mtg. Capital, Inc. | 1,325 | 21,704 | |||||||||
Invitation Homes, Inc. | 4,634 | 105,794 | |||||||||
LTC Properties, Inc. | 1,000 | 38,000 | |||||||||
Mack-Cali Realty Corp. | 850 | 14,204 | |||||||||
National Retail Properties, Inc. | 125 | 4,908 | |||||||||
Pebblebrook Hotel Trust | 750 | 25,762 | |||||||||
Pennsylvania Real Estate Investment Trust | 500 | 4,825 | |||||||||
PotlatchDeltic Corp. | 1,350 | 70,267 | |||||||||
PS Business Parks, Inc. | 250 | 28,260 | |||||||||
Ramco-Gershenson Properties Trust | 1,775 | 21,939 | |||||||||
RLJ Lodging Trust | 3,950 | 76,788 | |||||||||
Saul Centers, Inc. | 475 | 24,211 | |||||||||
Summit Hotel Properties, Inc. | 300 | 4,083 | |||||||||
Taubman Centers, Inc. | 325 | 18,496 | |||||||||
Xenia Hotels & Resorts, Inc. | 400 | 7,888 | |||||||||
1,774,009 | |||||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
Aaron's, Inc. | 475 | 22,135 | |||||||||
Retail-Apparel/Shoe — 0.2% | |||||||||||
Children's Place, Inc. | 995 | 134,574 | |||||||||
Retail-Building Products — 0.7% | |||||||||||
Home Depot, Inc. | 3,363 | 599,421 | |||||||||
Retail-Discount — 0.3% | |||||||||||
Big Lots, Inc. | 1,300 | 56,589 | |||||||||
Costco Wholesale Corp. | 931 | 175,428 | |||||||||
232,017 | |||||||||||
Retail-Gardening Products — 0.2% | |||||||||||
Tractor Supply Co. | 3,137 | 197,694 | |||||||||
Retail-Hair Salons — 0.1% | |||||||||||
Regis Corp.† | 3,475 | 52,577 | |||||||||
Retail-Home Furnishings — 0.1% | |||||||||||
Pier 1 Imports, Inc. | 9,300 | 29,946 | |||||||||
RH† | 425 | 40,494 | |||||||||
70,440 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Jewelry — 0.1% | |||||||||||
Movado Group, Inc. | 1,950 | $ | 74,880 | ||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Office Depot, Inc. | 3,300 | 7,095 | |||||||||
Retail-Pawn Shops — 0.0% | |||||||||||
EZCORP, Inc., Class A† | 1,775 | 23,430 | |||||||||
Retail-Regional Department Stores — 0.1% | |||||||||||
Dillard's, Inc., Class A | 525 | 42,178 | |||||||||
Retail-Restaurants — 1.7% | |||||||||||
Bloomin' Brands, Inc. | 4,900 | 118,972 | |||||||||
Brinker International, Inc. | 1,625 | 58,662 | |||||||||
Dunkin' Brands Group, Inc. | 3,241 | 193,455 | |||||||||
McDonald's Corp. | 3,450 | 539,511 | |||||||||
Sonic Corp. | 3,625 | 91,459 | |||||||||
Starbucks Corp. | 7,937 | 459,473 | |||||||||
1,461,532 | |||||||||||
Retail-Vision Service Center — 0.0% | |||||||||||
National Vision Holdings, Inc.† | 400 | 12,924 | |||||||||
Rubber/Plastic Products — 0.2% | |||||||||||
Myers Industries, Inc. | 300 | 6,345 | |||||||||
Trinseo SA | 1,875 | 138,844 | |||||||||
145,189 | |||||||||||
Savings & Loans/Thrifts — 0.5% | |||||||||||
BankFinancial Corp. | 875 | 14,858 | |||||||||
Beneficial Bancorp, Inc. | 6,467 | 100,562 | |||||||||
Capitol Federal Financial, Inc. | 200 | 2,470 | |||||||||
Charter Financial Corp. | 575 | 11,724 | |||||||||
First Defiance Financial Corp. | 175 | 10,031 | |||||||||
Flushing Financial Corp. | 675 | 18,198 | |||||||||
Investors Bancorp, Inc. | 2,275 | 31,031 | |||||||||
Meridian Bancorp, Inc. | 4,975 | 100,246 | |||||||||
Northfield Bancorp, Inc. | 5,350 | 83,513 | |||||||||
People's United Financial, Inc. | 1,122 | 20,937 | |||||||||
Provident Financial Holdings, Inc. | 300 | 5,427 | |||||||||
398,997 | |||||||||||
Schools — 0.0% | |||||||||||
Strayer Education, Inc. | 75 | 7,579 | |||||||||
Security Services — 0.0% | |||||||||||
Ascent Capital Group, Inc., Class A† | 1,475 | 5,428 | |||||||||
Semiconductor Components-Integrated Circuits — 0.0% | |||||||||||
Cirrus Logic, Inc.† | 1,000 | 40,630 | |||||||||
Semiconductor Equipment — 0.4% | |||||||||||
Cohu, Inc. | 650 | 14,827 | |||||||||
Entegris, Inc. | 1,350 | 46,980 | |||||||||
Lam Research Corp. | 1,288 | 261,670 | |||||||||
323,477 | |||||||||||
Steel-Producers — 0.0% | |||||||||||
Carpenter Technology Corp. | 200 | 8,824 | |||||||||
Telecom Equipment-Fiber Optics — 0.1% | |||||||||||
Ciena Corp.† | 2,600 | 67,340 |
41
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Telecom Services — 0.0% | |||||||||||
RigNet, Inc.† | 1,275 | $ | 17,340 | ||||||||
Switch, Inc., Class A | 450 | 7,160 | |||||||||
24,500 | |||||||||||
Telephone-Integrated — 0.1% | |||||||||||
Frontier Communications Corp. | 6,148 | 45,618 | |||||||||
Windstream Holdings, Inc. | 13,475 | 19,000 | |||||||||
64,618 | |||||||||||
Television — 0.1% | |||||||||||
ION Media Networks, Inc.†(1)(2)(3) | 4 | 3,225 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 2,025 | 63,382 | |||||||||
66,607 | |||||||||||
Textile-Apparel — 0.0% | |||||||||||
Perry Ellis International, Inc.† | 625 | 16,125 | |||||||||
Therapeutics — 0.5% | |||||||||||
Cara Therapeutics, Inc.† | 1,625 | 20,118 | |||||||||
Flexion Therapeutics, Inc.† | 1,225 | 27,452 | |||||||||
La Jolla Pharmaceutical Co.† | 1,125 | 33,502 | |||||||||
Mersana Therapeutics, Inc.† | 1,325 | 20,895 | |||||||||
Neurocrine Biosciences, Inc.† | 3,106 | 257,581 | |||||||||
Sarepta Therapeutics, Inc.† | 875 | 64,829 | |||||||||
Xencor, Inc.† | 1,325 | 39,723 | |||||||||
464,100 | |||||||||||
Tobacco — 0.7% | |||||||||||
Altria Group, Inc. | 9,356 | 583,066 | |||||||||
Toys — 0.0% | |||||||||||
Funko, Inc., Class A† | 1,775 | 14,573 | |||||||||
Transactional Software — 0.1% | |||||||||||
ACI Worldwide, Inc.† | 825 | 19,569 | |||||||||
Synchronoss Technologies, Inc.† | 2,750 | 29,012 | |||||||||
48,581 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
Dorian LPG, Ltd.† | 66 | 494 | |||||||||
International Seaways, Inc.† | 700 | 12,320 | |||||||||
12,814 | |||||||||||
Transport-Rail — 0.5% | |||||||||||
CSX Corp. | 8,443 | 470,360 | |||||||||
Transport-Truck — 0.1% | |||||||||||
ArcBest Corp. | 1,075 | 34,454 | |||||||||
Covenant Transportation Group, Inc., Class A† | 275 | 8,203 | |||||||||
Schneider National, Inc., Class B | 500 | 13,030 | |||||||||
YRC Worldwide, Inc.† | 1,200 | 10,596 | |||||||||
66,283 | |||||||||||
Travel Services — 0.0% | |||||||||||
Liberty TripAdvisor Holdings, Inc., Class A† | 2,425 | 26,069 |
Security Description | Shares/ Principal Amount(15) | Value (Note 2) | |||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
Herbalife, Ltd.† | 175 | $ | 17,057 | ||||||||
USANA Health Sciences, Inc.† | 200 | 17,180 | |||||||||
34,237 | |||||||||||
Water — 0.1% | |||||||||||
American States Water Co. | 1,625 | 86,222 | |||||||||
Web Hosting/Design — 0.2% | |||||||||||
NIC, Inc. | 2,200 | 29,260 | |||||||||
Web.com Group, Inc.† | 5,925 | 107,242 | |||||||||
136,502 | |||||||||||
Web Portals/ISP — 2.5% | |||||||||||
Alphabet, Inc., Class C† | 2,114 | 2,181,204 | |||||||||
Wireless Equipment — 0.1% | |||||||||||
InterDigital, Inc. | 1,000 | 73,600 | |||||||||
Total Common Stocks (cost $40,080,219) | 51,274,213 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.7% | |||||||||||
Diversified Banking Institutions — 0.7% | |||||||||||
Credit Agricole SA 8.13% due 12/23/2025*(4) | $ | 200,000 | 227,838 | ||||||||
Credit Suisse Group AG 6.25% due 12/18/2024(4) | 225,000 | 230,906 | |||||||||
Societe Generale SA 8.25% due 11/29/2018(4) | 200,000 | 206,000 | |||||||||
664,744 | |||||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(1)(3) | 8,000 | 1 | |||||||||
Total Preferred Securities/Capital Securities (cost $625,723) | 664,745 | ||||||||||
ASSET BACKED SECURITIES — 14.7% | |||||||||||
Diversified Financial Services — 14.7% | |||||||||||
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.04% (1 ML+0.17%) due 01/25/2037(5) | 34,302 | 33,336 | |||||||||
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020 | 6,042 | 6,034 | |||||||||
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 3.00% (3 ML+1.25%) due 07/25/2029*(6) | 250,000 | 251,954 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-3, Class A1 2.71% due 11/25/2047*(5)(7) | 43,599 | 43,597 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-2, Class A1 2.48% due 07/25/2047*(5)(7) | 43,823 | 43,054 |
42
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 3.45% (1 ML+1.58%) due 10/25/2034(3) | $ | 8,740 | $ | 8,760 | |||||||
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 2.85% (3 ML+1.12%) due 01/18/2025*(6) | 250,000 | 249,914 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.75% due 11/15/2050(7)(8)(9) | 998,734 | 57,755 | |||||||||
BANK Series 2017-BNK8, Class A4 3.49% due 11/15/2050(8) | 95,000 | 94,729 | |||||||||
BANK Series 2017-BNK9, Class A4 3.54% due 11/15/2054(8) | 106,000 | 105,775 | |||||||||
BANK Series 2018-BN10, Class A5 3.69% due 02/15/2061(8) | 75,000 | 75,690 | |||||||||
Barclays Commercial Mtg. Securities Trust Series 2017-C1, Class A4 3.67% due 02/15/2050(8) | 54,000 | 54,492 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(7) | 119,135 | 119,931 | |||||||||
Bayview Koitere Fund Trust Series 2018-RN4, Class A1 3.62% due 03/28/2033*(1)(10) | 100,000 | 100,000 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(7) | 88,737 | 89,286 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(7) | 84,316 | 84,692 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(7) | 86,496 | 86,881 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(7) | 117,081 | 117,351 | |||||||||
Bayview Opportunity Master Fund Trust Series 2017-NPL2, Class A1 2.98% due 10/28/2032*(10) | 64,990 | 64,691 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Bayview Opportunity Master Fund Trust Series 2017-RN8, Class A1 3.35% due 11/28/2032*(10) | $ | 78,976 | $ | 78,729 | |||||||
Bayview Opportunity Master Fund Trust Series 2018-RN3, Class A1 3.67% due 03/28/2033*(10) | 100,000 | 100,001 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(7) | 87,384 | 88,769 | |||||||||
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 2.63% (1 ML+0.85%) due 08/15/2036*(8) | 131,000 | 130,877 | |||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.48% due 02/25/2036(5)(7) | 99,121 | 98,764 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.53% due 01/15/2051(7)(8)(9) | 186,911 | 7,657 | |||||||||
Benchmark Mtg. Trust Series 2018-B1, Class A5 3.67% due 01/15/2051(8) | 30,000 | 30,272 | |||||||||
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027* | 9,625 | 9,543 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-4A, Class A1RR 2.72% (3 ML+1.00%) due 01/15/2031*(6) | 105,000 | 105,000 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2014-4A, Class A1R 2.92% (3 ML+1.20%) due 10/15/2026*(6) | 250,000 | 249,956 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1 3.23% (3 ML+1.47%) due 04/27/2027*(6) | 250,000 | 250,050 | |||||||||
CarMax Auto Owner Trust Series 2014-2, Class D 2.58% due 11/16/2020 | 35,000 | 34,996 | |||||||||
CBAM CLO Management LLC FRS Series 2017-3A, Class A 2.60% (3 ML+1.23%) due 10/17/2029*(6) | 250,000 | 251,631 |
43
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1LR 3.14% (3 ML+1.20%) due 05/24/2026*(6) | $ | 250,000 | $ | 250,005 | |||||||
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023* | 20,191 | 20,076 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(5)(7) | 113,541 | 112,634 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(8) | 101,000 | 102,513 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(8) | 65,000 | 67,355 | |||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 4.16% (1 Yr USTYCR+2.40%) due 03/25/2036(5) | 50,462 | 49,135 | |||||||||
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024*(3) | 86,049 | 85,784 | |||||||||
COLT Mtg. Loan Trust VRS Series 2017-2, Class A1A 2.42% due 10/25/2047*(5)(7) | 94,020 | 94,161 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(8) | 90,000 | 88,569 | |||||||||
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(8) | 60,000 | 62,100 | |||||||||
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(8) | 105,000 | 107,022 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(8) | 125,267 | 126,221 | |||||||||
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(8) | 123,000 | 127,008 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(5) | 37,164 | 33,176 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.84% due 06/15/2057(7)(8)(9) | 1,005,400 | 43,211 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(8) | 105,000 | 107,696 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(5)(7) | $ | 47,280 | $ | 46,148 | |||||||
Dryden Senior Loan Fund FRS Series 2017-49A, Class A 2.94% (3 ML+1.21%) due 07/18/2030*(6) | 250,000 | 251,000 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.34% due 05/25/2035(5)(7) | 79,500 | 79,631 | |||||||||
First Investors Auto Owner Trust Series 2014-3A, Class A3 1.67% due 11/16/2020* | 4,160 | 4,158 | |||||||||
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020* | 155,000 | 154,843 | |||||||||
Galaxy CLO, Ltd. FRS Series 2015-19A, Class A1R 2.96% (3 ML+1.22%) due 07/24/2030*(6) | 250,000 | 251,233 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(8) | 110,000 | 107,766 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(8) | 30,000 | 33,665 | |||||||||
GS Mtg. Securities Trust Series 2012-GCJ7, Class A4 3.38% due 05/10/2045(8) | 85,377 | 86,232 | |||||||||
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(8) | 120,000 | 122,270 | |||||||||
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(8) | 115,000 | 118,875 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.55% due 03/25/2047(5)(7) | 22,649 | 20,831 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 3.66% due 04/25/2036(5)(7) | 7,285 | 6,401 | |||||||||
Honor Automobile Trust Securitization Series 2016-1A, Class A 2.94% due 11/15/2019* | 22,413 | 22,421 | |||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 2.41% (1 ML+0.54%) due 05/25/2035(5) | 54,637 | 54,486 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(8) | 64,000 | 66,661 |
44
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(8) | $ | 60,000 | $ | 61,444 | |||||||
JPMDB Commercial Mtg. Securities Trust Series 2017-C7, Class A5 3.41% due 10/15/2050(8) | 107,000 | 105,630 | |||||||||
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.32% due 04/15/2041(7)(8) | 1,299 | 1,317 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2018-1, Class A 3.44% (1 ML+1.55%) due 02/01/2023*(5) | 98,980 | 98,215 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-7, Class A 3.64% (1 ML+1.75%) due 10/01/2022*(5) | 62,242 | 61,956 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-6, Class A 3.64% (1 ML+1.75%) due 09/01/2022*(1)(5) | 63,329 | 63,369 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-3, Class A1 3.89% (1 ML+2.00%) due 04/01/2022*(5) | 51,756 | 51,821 | |||||||||
Madison Park Funding, Ltd. FRS Series 2013-11A, Class AR 2.90% (3 ML+1.16%) due 07/23/2029*(6) | 250,000 | 250,162 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 3.53% due 02/25/2035(5)(7) | 35,998 | 36,745 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.54% due 12/25/2034(5)(7) | 26,010 | 26,546 | |||||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(10) | 96,344 | 95,716 | |||||||||
Mill City Mtg. Loan Trust VRS Series 2017-3, Class A1 2.75% due 01/25/2061*(7) | 91,027 | 89,962 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.12% due 12/15/2047(7)(8)(9) | $ | 286,588 | $ | 12,930 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(8) | 20,000 | 20,687 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.46% due 06/15/2050(7)(8)(9) | 109,424 | 9,985 | |||||||||
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(8) | 100,000 | 100,719 | |||||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(5) | 32,479 | 26,696 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 2.15% (1 ML+0.28%) due 10/25/2035(5) | 109,245 | 107,942 | |||||||||
New Residential Advance Receivables Trust Series 2016-T2, Class AT2 2.58% due 10/15/2049* | 100,000 | 98,972 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.37% (1 ML+1.50%) due 06/25/2057*(5) | 110,078 | 113,276 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(5)(7) | 80,362 | 81,154 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2015-1A, Class A3 3.75% due 05/28/2052*(5)(7) | 42,544 | 42,983 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(5)(7) | 73,710 | 74,393 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(5)(7) | 142,000 | 144,743 |
45
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(5)(7) | $ | 137,810 | $ | 140,446 | |||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(5)(7) | 109,799 | 111,604 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(5)(7) | 89,494 | 91,103 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(7) | 118,167 | 119,956 | |||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(5)(7) | 13,837 | 13,542 | |||||||||
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050*(1) | 100,000 | 99,555 | |||||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 94,259 | 93,738 | |||||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023* | 96,248 | 95,985 | |||||||||
Oaktree EIF II Series A1, Ltd. FRS Series 2017-IIIA, Class A2 3.18% (3 ML+1.45%) due 07/17/2029*(6) | 250,000 | 252,535 | |||||||||
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 2.58% (3 ML+0.85%) due 04/17/2027*(6) | 215,000 | 214,897 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 119,000 | 116,967 | |||||||||
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028* | 128,429 | 129,347 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 1.97% (1 ML+0.10%) due 02/25/2037(3) | 37,115 | 23,003 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 3.22% (3 ML+1.45%) due 04/30/2027*(6) | $ | 250,000 | $ | 250,028 | |||||||
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(5) | 2,013 | 1,992 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.00% (1 ML+0.13%) due 05/25/2037(3) | 87,788 | 67,268 | |||||||||
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021*(3) | 100,000 | 99,965 | |||||||||
Sound Point CLO XVIII, Ltd. FRS Series 2017-4A Class A1 2.86% (3 ML+1.12%) due 01/21/2031*(6) | 250,000 | 250,616 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.12% (1 ML+0.25%) due 11/25/2036(3) | 160,000 | 140,672 | |||||||||
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030* | 120,000 | 118,107 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(7) | 66,621 | 65,554 | |||||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 2.47% (1 ML+0.60%) due 02/25/2057* | 104,173 | 104,548 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(7) | 145,673 | 144,036 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(7) | 82,176 | 81,568 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(7) | 98,903 | 97,467 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(7) | 87,927 | 87,107 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(7) | 95,177 | 93,789 | |||||||||
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 3.11% (3 ML+1.37%) due 04/20/2027*(6) | 250,000 | 249,992 |
46
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
U.S. Residential Opportunity Fund IV Trust Series 2017-1III, Class A 3.35% due 11/27/2037*(10) | $ | 94,352 | $ | 94,105 | |||||||
Vibrant CLO, Ltd. FRS Series 2017-6A, Class A 3.44% (3 ML+1.24%) due 06/20/2029*(6) | 250,000 | 251,048 | |||||||||
VOLT LXIV LLC Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(10) | 116,562 | 116,244 | |||||||||
Voya CLO, Ltd. FRS Series 2015-1A, Class A1R 2.63% (3 ML+0.90%) due 01/18/2029*(6) | 250,000 | 250,112 | |||||||||
Voya CLO, Ltd. FRS(6) Series 2014-4A, Class A2AR 3.17% (3 ML+1.45%) due 10/14/2026* | 250,000 | 249,782 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.16% due 09/15/2057(7)(8)(9) | 982,197 | 51,031 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2017-C38, Class A5 3.45% due 07/15/2050(8) | 111,000 | 110,085 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(8) | 65,000 | 66,441 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 3.63% due 10/25/2036(5)(7) | 30,634 | 30,230 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 3.68% due 11/25/2034(5)(7) | 1,498 | 1,514 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 3.72% due 01/25/2035(5)(7) | 67,787 | 68,449 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 3.91% due 03/25/2035(5)(7) | 50,836 | 51,822 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048*(3) | 49,875 | 49,412 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | $ | 75,000 | $ | 74,603 | |||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(8) | 120,000 | 123,797 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(8) | 110,000 | 114,211 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(8) | 50,111 | 52,134 | |||||||||
Total Asset Backed Securities (cost $12,885,216) | 12,915,224 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 10.5% | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 68,000 | 65,945 | |||||||||
Airlines — 0.0% | |||||||||||
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022 | 30,000 | 29,963 | |||||||||
Applications Software — 0.1% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 35,000 | 34,533 | |||||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 30,000 | 29,819 | |||||||||
64,352 | |||||||||||
Auto-Cars/Light Trucks — 0.2% | |||||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 25,000 | 24,448 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 35,000 | 34,962 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 50,000 | 58,044 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024 | 30,000 | 29,745 | |||||||||
147,199 | |||||||||||
Banks-Commercial — 0.1% | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | 65,000 | 65,137 |
47
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Banks-Super Regional — 0.4% | |||||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | $ | 25,000 | $ | 23,471 | |||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 20,000 | 18,729 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 105,000 | 103,254 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 70,000 | 68,305 | |||||||||
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046 | 55,000 | 53,382 | |||||||||
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045 | 60,000 | 62,900 | |||||||||
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044 | 15,000 | 17,199 | |||||||||
347,240 | |||||||||||
Beverages-Wine/Spirits — 0.1% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 40,000 | 38,653 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022 | 5,000 | 4,851 | |||||||||
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028 | 25,000 | 24,120 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.50% due 05/09/2047 | 5,000 | 4,960 | |||||||||
72,584 | |||||||||||
Brewery — 0.2% | |||||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026 | 40,000 | 39,762 | |||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036 | 10,000 | 10,581 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.50% due 01/12/2024 | 25,000 | 25,175 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 30,000 | 27,532 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 50,000 | 51,142 | |||||||||
154,192 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | $ | 33,000 | $ | 32,609 | |||||||
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026 | 15,000 | 15,548 | |||||||||
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030 | 15,000 | 16,134 | |||||||||
Scripps Networks Interactive, Inc. Senior Notes 3.95% due 06/15/2025 | 12,000 | 11,930 | |||||||||
76,221 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 40,000 | 41,000 | |||||||||
Building-Heavy Construction — 0.2% | |||||||||||
SBA Tower Trust Mtg. Notes Series 2014-1C 2.90% due 10/11/2044* | 80,000 | 79,592 | |||||||||
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047* | 75,000 | 73,937 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 50,000 | 50,039 | |||||||||
203,568 | |||||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025 | 25,000 | 24,687 | |||||||||
Cable/Satellite TV — 0.6% | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.58% due 07/23/2020 | 25,000 | 25,070 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022 | 40,000 | 40,860 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 45,000 | 45,986 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 70,000 | 76,838 |
48
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV (continued) | |||||||||||
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046 | $ | 20,000 | $ | 17,184 | |||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 20,000 | 20,722 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 45,000 | 43,156 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 4,000 | 3,595 | |||||||||
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021 | 40,000 | 40,250 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 40,000 | 34,644 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 40,000 | 41,777 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 6.75% due 07/01/2018 | 45,000 | 45,424 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019 | 90,000 | 94,243 | |||||||||
529,749 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020* | 10,000 | 10,500 | |||||||||
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024 | 25,000 | 24,375 | |||||||||
34,875 | |||||||||||
Coatings/Paint — 0.0% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024 | 15,000 | 14,503 | |||||||||
Commercial Services-Finance — 0.0% | |||||||||||
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022 | 15,000 | 14,621 | |||||||||
Computers — 0.1% | |||||||||||
Apple, Inc. Senior Notes 3.00% due 02/09/2024 | 5,000 | 4,943 | |||||||||
Apple, Inc. Senior Notes 3.35% due 02/09/2027 | 30,000 | 29,637 | |||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 20,000 | 18,456 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Computers (continued) | |||||||||||
Apple, Inc. Senior Notes 3.85% due 08/04/2046 | $ | 10,000 | $ | 9,785 | |||||||
Hewlett Packard Enterprise Co. Senior Notes 4.90% due 10/15/2025 | 15,000 | 15,574 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 20,000 | 21,368 | |||||||||
99,763 | |||||||||||
Computers-Memory Devices — 0.1% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 70,000 | 69,846 | |||||||||
Data Processing/Management — 0.0% | |||||||||||
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024* | 20,000 | 20,000 | |||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026 | 10,000 | 9,335 | |||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 5,000 | 4,873 | |||||||||
14,208 | |||||||||||
Diversified Banking Institutions — 2.2% | |||||||||||
Bank of America Corp. Senior Notes 1.95% due 05/12/2018 | 50,000 | 49,976 | |||||||||
Bank of America Corp. Senior Notes 2.25% due 04/21/2020 | 145,000 | 142,890 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 85,000 | 82,688 | |||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | 60,000 | 58,999 | |||||||||
Bank of America Corp. Sub. Notes 3.95% due 04/21/2025 | 30,000 | 29,735 | |||||||||
Bank of America Corp. Senior Notes 4.10% due 07/24/2023 | 40,000 | 41,292 | |||||||||
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027 | 40,000 | 39,654 | |||||||||
Bank of America Corp. Senior Notes 4.44% due 01/20/2048 | 5,000 | 5,220 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 75,000 | 79,294 |
49
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Bank of America Corp. Senior Notes 5.00% due 01/21/2044 | $ | 10,000 | $ | 11,227 | |||||||
Bank of America Corp. Senior Notes 6.88% due 04/25/2018 | 35,000 | 35,091 | |||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | 20,000 | 19,347 | |||||||||
Citigroup, Inc. FRS Senior Notes 2.98% (3 ML+1.10%) due 05/17/2024 | 55,000 | 55,494 | |||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 35,000 | 33,271 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 15,000 | 14,480 | |||||||||
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026 | 60,000 | 60,033 | |||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 15,000 | 15,178 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 8,000 | 8,524 | |||||||||
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046 | 15,000 | 15,242 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021 | 45,000 | 43,391 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020 | 45,000 | 44,582 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020 | 123,000 | 121,748 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021 | 20,000 | 19,795 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022 | 20,000 | 19,579 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 80,000 | 77,802 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025 | 20,000 | 19,619 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028 | 5,000 | 4,847 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029 | $ | 25,000 | $ | 24,507 | |||||||
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045 | 25,000 | 26,907 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033 | 17,000 | 20,432 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 45,000 | 57,061 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 21,000 | 26,307 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.30% due 08/15/2021 | 10,000 | 9,723 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021 | 25,000 | 24,403 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.70% due 05/18/2023 | 25,000 | 24,119 | |||||||||
JPMorgan Chase & Co. FRS Senior Notes 2.97% (3 ML+1.23%) due 10/24/2023 | 35,000 | 35,514 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 80,000 | 77,983 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 16,000 | 15,953 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 45,000 | 43,682 | |||||||||
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041 | 10,000 | 12,093 | |||||||||
Morgan Stanley Senior Notes 2.50% due 04/21/2021 | 45,000 | 44,092 | |||||||||
Morgan Stanley Senior Notes 2.63% due 11/17/2021 | 10,000 | 9,763 | |||||||||
Morgan Stanley Senior Notes 2.65% due 01/27/2020 | 20,000 | 19,877 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 10,000 | 9,463 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 90,000 | 87,053 |
50
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | $ | 65,000 | $ | 63,623 | |||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 35,000 | 34,079 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 15,000 | 15,140 | |||||||||
Morgan Stanley Senior Notes 6.63% due 04/01/2018 | 125,000 | 125,000 | |||||||||
1,955,772 | |||||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 20,000 | 19,950 | |||||||||
E-Commerce/Products — 0.1% | |||||||||||
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024* | 10,000 | 9,703 | |||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037* | 50,000 | 49,823 | |||||||||
59,526 | |||||||||||
Electric-Distribution — 0.0% | |||||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 35,000 | 34,626 | |||||||||
Electric-Generation — 0.0% | |||||||||||
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046 | 5,000 | 5,018 | |||||||||
Electric-Integrated — 0.7% | |||||||||||
AES Corp. Senior Notes 4.00% due 03/15/2021 | 55,000 | 55,206 | |||||||||
AES Corp. Senior Notes 4.88% due 05/15/2023 | 3,000 | 3,052 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028* | 20,000 | 19,302 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 25,000 | 24,429 | |||||||||
Duke Energy Corp. Senior Notes 3.75% due 09/01/2046 | 15,000 | 13,530 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 40,000 | 36,356 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Exelon Corp. Senior Notes 2.45% due 04/15/2021 | $ | 5,000 | $ | 4,887 | |||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 40,000 | 39,641 | |||||||||
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023 | 5,000 | 5,120 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 96,000 | 93,851 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 25,000 | 24,477 | |||||||||
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034 | 65,000 | 77,477 | |||||||||
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031 | 50,000 | 65,016 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Bonds 4.50% due 06/01/2064 | 45,000 | 43,434 | |||||||||
Southern Co. Senior Notes 1.85% due 07/01/2019 | 20,000 | 19,731 | |||||||||
Southern Co. Senior Notes 2.75% due 06/15/2020 | 45,000 | 44,619 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 10,000 | 9,713 | |||||||||
579,841 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022 | 10,000 | 11,548 | |||||||||
Electronic Components-Semiconductors — 0.2% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 2.38% due 01/15/2020 | 70,000 | 69,023 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.00% due 01/15/2022 | 20,000 | 19,625 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025 | 15,000 | 14,180 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024 | 75,000 | 73,780 |
51
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electronic Components-Semiconductors (continued) | |||||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | $ | 20,000 | $ | 20,509 | |||||||
197,117 | |||||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
Fortive Corp. Senior Notes 2.35% due 06/15/2021 | 25,000 | 24,305 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 15,000 | 14,786 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 30,000 | 31,350 | |||||||||
Finance-Credit Card — 0.1% | |||||||||||
American Express Co. Senior Notes 3.40% due 02/27/2023 | 40,000 | 39,865 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(3) | 10,000 | 400 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)(3) | 11,000 | 1 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)(3) | 15,000 | 2 | |||||||||
403 | |||||||||||
Finance-Other Services — 0.2% | |||||||||||
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050* | 135,000 | 130,710 | |||||||||
Food-Misc./Diversified — 0.0% | |||||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 25,000 | 22,925 | |||||||||
Food-Wholesale/Distribution — 0.0% | |||||||||||
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021 | 35,000 | 34,343 | |||||||||
Gas-Distribution — 0.0% | |||||||||||
AmeriGas Partners LP/ AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024 | 20,000 | 19,875 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Gas-Distribution (continued) | |||||||||||
AmeriGas Partners LP/ AmeriGas Finance Corp. Senior Notes 5.88% due 08/20/2026 | $ | 5,000 | $ | 4,887 | |||||||
24,762 | |||||||||||
Insurance Brokers — 0.0% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 15,000 | 14,889 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 20,000 | 19,674 | |||||||||
34,563 | |||||||||||
Insurance-Life/Health — 0.1% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | 25,000 | 24,875 | |||||||||
Principal Life Global Funding II Senior Sec. Notes 2.20% due 04/08/2020* | 40,000 | 39,396 | |||||||||
64,271 | |||||||||||
Insurance-Multi-line — 0.3% | |||||||||||
Assurant, Inc. FRS Senior Notes 3.54% (3 ML+1.25%) due 03/26/2021 | 240,000 | 240,268 | |||||||||
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023 | 15,000 | 12,300 | |||||||||
252,568 | |||||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 7,000 | 11,001 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025 | 15,000 | 15,450 | |||||||||
Medical Information Systems — 0.0% | |||||||||||
Quintiles IMS, Inc. Company Guar. Notes 4.88% due 05/15/2023* | 25,000 | 25,469 | |||||||||
Medical Instruments — 0.1% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 40,000 | 40,055 | |||||||||
Medical Products — 0.1% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 70,000 | 67,375 | |||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 45,000 | 43,446 | |||||||||
110,821 |
52
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Biomedical/Gene — 0.1% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | $ | 25,000 | $ | 24,393 | |||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 5,000 | 4,984 | |||||||||
Celgene Corp. Senior Notes 4.63% due 05/15/2044 | 15,000 | 14,959 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022 | 25,000 | 25,024 | |||||||||
69,360 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048* | 15,000 | 15,136 | |||||||||
Medical-HMO — 0.2% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 15,000 | 14,413 | |||||||||
Anthem, Inc. Senior Notes 2.30% due 07/15/2018 | 15,000 | 14,987 | |||||||||
Anthem, Inc. Senior Notes 3.50% due 08/15/2024 | 25,000 | 24,515 | |||||||||
Anthem, Inc. Senior Notes 3.65% due 12/01/2027 | 40,000 | 38,672 | |||||||||
Anthem, Inc. Senior Notes 4.63% due 05/15/2042 | 25,000 | 25,328 | |||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 10,000 | 10,790 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 30,000 | 30,387 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045 | 10,000 | 11,005 | |||||||||
170,097 | |||||||||||
Medical-Hospitals — 0.2% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021 | 20,000 | 18,600 | |||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023 | 5,000 | 4,606 | |||||||||
Dignity Health Sec. Notes 2.64% due 11/01/2019 | 145,000 | 144,382 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Medical-Hospitals (continued) | |||||||||||
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023 | $ | 30,000 | $ | 30,291 | |||||||
197,879 | |||||||||||
Medical-Wholesale Drug Distribution — 0.1% | |||||||||||
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018 | 25,000 | 24,971 | |||||||||
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022 | 75,000 | 72,502 | |||||||||
97,473 | |||||||||||
Multimedia — 0.3% | |||||||||||
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034 | 40,000 | 49,697 | |||||||||
Time Warner, Inc. Company Guar. Notes 3.80% due 02/15/2027 | 60,000 | 58,010 | |||||||||
Time Warner, Inc. Company Guar. Notes 4.88% due 03/15/2020 | 58,000 | 59,970 | |||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 90,000 | 91,340 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 15,000 | 13,442 | |||||||||
272,459 | |||||||||||
Music — 0.1% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024* | 35,000 | 34,737 | |||||||||
Office Automation & Equipment — 0.1% | |||||||||||
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023 | 40,000 | 37,500 | |||||||||
Oil Companies-Exploration & Production — 0.3% | |||||||||||
Anadarko Petroleum Corp. Senior Notes 3.45% due 07/15/2024 | 25,000 | 24,271 | |||||||||
Anadarko Petroleum Corp. Senior Notes 6.60% due 03/15/2046 | 5,000 | 6,287 | |||||||||
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019 | 10,000 | 10,459 | |||||||||
Continental Resources, Inc. Senior Notes 4.38% due 01/15/2028* | 50,000 | 48,750 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023 | 5,000 | 5,056 | |||||||||
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022 | 15,000 | 15,206 |
53
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Hess Corp. Senior Notes 4.30% due 04/01/2027 | $ | 50,000 | $ | 48,936 | |||||||
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024 | 40,000 | 46,202 | |||||||||
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020 | 15,000 | 14,778 | |||||||||
Marathon Oil Corp. Senior Notes 4.40% due 07/15/2027 | 15,000 | 15,230 | |||||||||
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022 | 25,000 | 24,969 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 15,000 | 15,000 | |||||||||
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024 | 15,000 | 14,775 | |||||||||
289,919 | |||||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Andeavor Senior Notes 3.80% due 04/01/2028 | 15,000 | 14,309 | |||||||||
Phillips 66 Company Guar. Notes 3.90% due 03/15/2028 | 35,000 | 34,873 | |||||||||
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026 | 35,000 | 33,582 | |||||||||
82,764 | |||||||||||
Pharmacy Services — 0.2% | |||||||||||
CVS Health Corp. Senior Notes 3.13% due 03/09/2020 | 110,000 | 110,111 | |||||||||
CVS Health Corp. Senior Notes 4.10% due 03/25/2025 | 55,000 | 55,388 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 25,000 | 26,294 | |||||||||
191,793 | |||||||||||
Pipelines — 0.4% | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 3.50% due 12/01/2022 | 5,000 | 4,914 | |||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027 | 35,000 | 34,121 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023 | 15,000 | 14,475 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
Kinder Morgan, Inc. Company Guar. Notes 5.55% due 06/01/2045 | $ | 25,000 | $ | 26,236 | |||||||
MPLX LP Senior Notes 4.00% due 03/15/2028 | 15,000 | 14,783 | |||||||||
MPLX LP Senior Notes 4.13% due 03/01/2027 | 30,000 | 29,724 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 10,000 | 9,741 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,225 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 15,000 | 14,782 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024 | 20,000 | 19,887 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 5.40% due 10/01/2047 | 65,000 | 61,923 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 35,000 | 33,614 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 10,000 | 9,548 | |||||||||
Valero Energy Partners LP Senior Notes 4.50% due 03/15/2028 | 35,000 | 35,205 | |||||||||
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028 | 30,000 | 30,061 | |||||||||
344,239 | |||||||||||
Real Estate Investment Trusts — 0.0% | |||||||||||
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023 | 25,000 | 24,214 | |||||||||
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024 | 10,000 | 9,588 | |||||||||
33,802 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025 | 20,000 | 20,475 | |||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027 | 15,000 | 15,112 | |||||||||
35,587 |
54
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Retail-Building Products — 0.0% | |||||||||||
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056 | $ | 20,000 | $ | 17,859 | |||||||
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046 | 5,000 | 4,649 | |||||||||
22,508 | |||||||||||
Retail-Drug Store — 0.4% | |||||||||||
CVS Health Corp. Senior Notes 2.80% due 07/20/2020 | 304,000 | 301,830 | |||||||||
CVS Health Corp. Senior Notes 3.88% due 07/20/2025 | 18,000 | 17,844 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 30,000 | 31,820 | |||||||||
351,494 | |||||||||||
Retail-Restaurants — 0.0% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 30,000 | 30,166 | |||||||||
Steel-Producers — 0.0% | |||||||||||
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025 | 15,000 | 14,288 | |||||||||
Telephone-Integrated — 0.6% | |||||||||||
AT&T, Inc. Senior Notes 4.10% due 02/15/2028* | 20,000 | 19,858 | |||||||||
AT&T, Inc. Senior Notes 4.25% due 03/01/2027 | 10,000 | 10,109 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030* | 67,000 | 66,617 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 06/15/2045 | 3,000 | 2,741 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 25,000 | 24,554 | |||||||||
AT&T, Inc. Senior Notes 4.75% due 05/15/2046 | 55,000 | 53,418 | |||||||||
AT&T, Inc. Senior Notes 5.15% due 02/14/2050 | 115,000 | 116,170 | |||||||||
AT&T, Inc. Senior Notes 5.25% due 03/01/2037 | 10,000 | 10,579 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 29,000 | 27,761 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Telephone-Integrated (continued) | |||||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | $ | 10,000 | $ | 9,876 | |||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 55,000 | 55,678 | |||||||||
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048 | 15,000 | 14,453 | |||||||||
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055 | 15,000 | 14,268 | |||||||||
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039 | 15,000 | 15,329 | |||||||||
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046 | 30,000 | 30,275 | |||||||||
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054 | 20,000 | 19,997 | |||||||||
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037 | 35,000 | 37,741 | |||||||||
529,424 | |||||||||||
Tobacco — 0.5% | |||||||||||
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022 | 95,000 | 93,017 | |||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 15,000 | 14,015 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020* | 245,000 | 240,210 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037* | 35,000 | 34,776 | |||||||||
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020 | 38,000 | 38,004 | |||||||||
420,022 | |||||||||||
Transport-Rail — 0.1% | |||||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 70,000 | 66,909 | |||||||||
Norfolk Southern Corp. Senior Notes 2.90% due 06/15/2026 | 30,000 | 28,552 | |||||||||
95,461 | |||||||||||
Transport-Services — 0.1% | |||||||||||
FedEx Corp. Company Guar. Notes 4.05% due 02/15/2048 | 45,000 | 42,250 | |||||||||
FedEx Corp. Company Guar. Notes 4.55% due 04/01/2046 | 5,000 | 5,044 |
55
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Transport-Services (continued) | |||||||||||
FedEx Corp. Company Guar. Notes 4.75% due 11/15/2045 | $ | 20,000 | $ | 20,892 | |||||||
68,186 | |||||||||||
Total U.S. Corporate Bonds & Notes (cost $9,322,756) | 9,234,992 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 2.1% | |||||||||||
Banks-Commercial — 0.6% | |||||||||||
Barclays Bank PLC Senior Notes 2.65% due 01/11/2021 | 200,000 | 197,138 | |||||||||
Intesa Sanpaolo SpA Senior Notes 3.38% due 01/12/2023* | 200,000 | 195,248 | |||||||||
Royal Bank of Canada Senior Notes 2.15% due 10/26/2020 | 85,000 | 83,150 | |||||||||
475,536 | |||||||||||
Chemicals-Diversified — 0.0% | |||||||||||
LyondellBasell Industries NV Senior Notes 4.63% due 02/26/2055 | 20,000 | 19,527 | |||||||||
Chemicals-Specialty — 0.0% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 25,000 | 24,691 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 10,000 | 9,993 | |||||||||
34,684 | |||||||||||
Cruise Lines — 0.0% | |||||||||||
VOC Escrow, Ltd. Senior Sec. Notes 5.00% due 02/15/2028* | 5,000 | 4,750 | |||||||||
Diversified Banking Institutions — 0.3% | |||||||||||
Deutsche Bank AG Senior Notes 2.70% due 07/13/2020 | 80,000 | 78,305 | |||||||||
HSBC Holdings PLC Senior Notes 3.03% due 11/22/2023 | 200,000 | 195,241 | |||||||||
273,546 | |||||||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 10,000 | 9,560 | |||||||||
Medical-Drugs — 0.1% | |||||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 40,000 | 38,621 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Medical-Drugs (continued) | |||||||||||
Valeant Pharmaceuticals International, Inc. Senior Sec. Notes 6.50% due 03/15/2022* | $ | 25,000 | $ | 25,812 | |||||||
64,433 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Actavis Funding SCS Company Guar. Notes 3.45% due 03/15/2022 | 35,000 | 34,701 | |||||||||
Mylan NV Company Guar. Notes 3.00% due 12/15/2018 | 25,000 | 25,000 | |||||||||
Mylan NV Company Guar. Notes 3.15% due 06/15/2021 | 25,000 | 24,651 | |||||||||
Mylan NV Company Guar. Notes 3.75% due 12/15/2020 | 25,000 | 25,170 | |||||||||
109,522 | |||||||||||
Metal-Iron — 0.1% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 70,000 | 78,400 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039 | 5,000 | 5,925 | |||||||||
84,325 | |||||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 60,000 | 58,673 | |||||||||
Encana Corp. Senior Notes 3.90% due 11/15/2021 | 25,000 | 25,373 | |||||||||
84,046 | |||||||||||
Oil Companies-Integrated — 0.4% | |||||||||||
Petrobras Global Finance BV Company Guar. Notes 5.63% due 05/20/2043 | 75,000 | 65,437 | |||||||||
Petrobras Global Finance BV Company Guar. Notes 6.75% due 01/27/2041 | 20,000 | 19,500 | |||||||||
Petroleos Mexicanos Company Guar. Notes 5.35% due 02/12/2028* | 15,000 | 14,796 | |||||||||
Petroleos Mexicanos Senior Notes 6.35% due 02/12/2048* | 10,000 | 9,663 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.50% due 03/13/2027 | 10,000 | 10,680 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 114,000 | 115,354 |
56
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Integrated (continued) | |||||||||||
Shell International Finance BV Company Guar. Notes 4.38% due 05/11/2045 | $ | 30,000 | $ | 31,881 | |||||||
YPF SA Senior Notes 16.50% due 05/09/2022* | ARS | 1,419,989 | 66,603 | ||||||||
333,914 | |||||||||||
Pipelines — 0.0% | |||||||||||
Enbridge, Inc. Senior Notes 3.70% due 07/15/2027 | 15,000 | 14,379 | |||||||||
Semiconductor Equipment — 0.0% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 35,000 | 34,475 | |||||||||
Steel-Producers — 0.1% | |||||||||||
ArcelorMittal Senior Notes 6.13% due 06/01/2025 | 40,000 | 43,500 | |||||||||
Telephone-Integrated — 0.1% | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 5.88% due 07/15/2019 | 55,000 | 57,043 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036 | 25,000 | 31,715 | |||||||||
88,758 | |||||||||||
Television — 0.0% | |||||||||||
Videotron, Ltd. Company Guar. Notes 5.38% due 06/15/2024* | 15,000 | 15,487 | |||||||||
Tobacco — 0.1% | |||||||||||
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020* | 35,000 | 34,701 | |||||||||
Transport-Rail — 0.0% | |||||||||||
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021 | 25,000 | 29,731 | |||||||||
Wireless Equipment — 0.1% | |||||||||||
Nokia OYJ Senior Notes 4.38% due 06/12/2027 | 35,000 | 32,856 | |||||||||
Nokia OYJ Senior Notes 6.63% due 05/15/2039 | 20,000 | 21,350 | |||||||||
54,206 | |||||||||||
Total Foreign Corporate Bonds & Notes (cost $1,858,978) | 1,809,080 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
MUNICIPAL BONDS & NOTES — 0.7% | |||||||||||
Chicago Board of Education General Obligation Bonds 5.48% due 12/01/2024 | $ | 25,000 | $ | 24,339 | |||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 15,000 | 14,071 | |||||||||
Chicago Transit Authority Revenue Bonds Series A 6.90% due 12/01/2040 | 5,000 | 6,598 | |||||||||
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040 | 70,000 | 92,364 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029 | 45,000 | 48,524 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 35,000 | 38,796 | |||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 5,000 | 6,211 | |||||||||
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038(11) | 175,000 | 63,438 | |||||||||
State of California General Obligation Bonds 7.35% due 11/01/2039 | 55,000 | 80,404 | |||||||||
State of California General Obligation Bonds 7.55% due 04/01/2039 | 5,000 | 7,613 | |||||||||
State of California General Obligation Bonds 7.63% due 03/01/2040 | 70,000 | 106,598 | |||||||||
State of Illinois General Obligation Bonds 5.38% due 07/01/2018 | 30,000 | 30,151 | |||||||||
State of Illinois General Obligation Bonds 5.88% due 03/01/2019 | 60,000 | 61,299 | |||||||||
Total Municipal Bonds & Notes (cost $595,589) | 580,406 | ||||||||||
U.S. GOVERNMENT AGENCIES — 16.6% | |||||||||||
Federal Home Loan Mtg. Corp. — 3.6% | |||||||||||
2.50% due 01/01/2028 | 5,093 | 5,025 | |||||||||
2.50% due 04/01/2028 | 17,423 | 17,190 | |||||||||
3.00% due 08/01/2027 | 5,173 | 5,172 | |||||||||
3.00% due April TBA | 900,000 | 877,500 | |||||||||
3.50% due 03/01/2042 | 7,111 | 7,165 | |||||||||
3.50% due 08/01/2042 | 36,831 | 37,111 | |||||||||
3.50% due 09/01/2043 | 25,897 | 26,093 |
57
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
3.50% due April TBA | $ | 700,000 | $ | 701,633 | |||||||
4.00% due 03/01/2023 | 1,356 | 1,395 | |||||||||
4.00% due 10/01/2043 | 32,283 | 33,327 | |||||||||
4.00% due April TBA | 800,000 | 821,219 | |||||||||
4.50% due 01/01/2039 | 1,076 | 1,133 | |||||||||
5.00% due 05/01/2020 | 23,290 | 23,416 | |||||||||
5.00% due 05/01/2034 | 16,153 | 17,495 | |||||||||
5.50% due 07/01/2034 | 5,796 | 6,376 | |||||||||
5.50% due 05/01/2037 | 1,959 | 2,147 | |||||||||
6.00% due 08/01/2026 | 13,774 | 15,299 | |||||||||
6.50% due 05/01/2029 | 1,114 | 1,255 | |||||||||
7.50% due 08/01/2023 | 40 | 40 | |||||||||
Federal Home Loan Mtg. Corp. FRS 3.11% (6 ML+1.49%) due 02/01/2037 | 1,879 | 1,933 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.00% due 10/25/2047*(7)(8) | 70,000 | 69,697 | |||||||||
Series 2017-K728, Class B 3.65% due 09/25/2024*(7)(8) | 15,000 | 14,638 | |||||||||
Series 2017-K729,Class B 3.67% due 11/25/2049*(7)(8) | 25,000 | 24,225 | |||||||||
Series 2017-K729,Class C 3.67% due 11/25/2049*(7)(8) | 25,000 | 23,509 | |||||||||
Series 2017-K71, Class B 3.75% due 11/25/2050*(7)(8) | 20,000 | 19,320 | |||||||||
Series 2017-K67, Class B 3.94% due 09/25/2049*(7)(8) | 20,000 | 20,000 | |||||||||
Series 2017-K64, Class B 3.98% due 03/25/2027*(7)(8) | 10,000 | 9,867 | |||||||||
Series 2012-K706, Class B 4.03% due 11/25/2044*(7)(8) | 60,000 | 60,180 | |||||||||
Series 2017-K66, Class B 4.03% due 07/25/2027*(7)(8) | 34,000 | 34,246 | |||||||||
Series 2017-K65, Class B 4.07% due 05/25/2027*(7)(8) | 40,000 | 40,356 | |||||||||
Series 2010-K8, Class B 5.28% due 09/25/2043*(7)(8) | 80,000 | 83,740 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K064, Class X1 0.61% due 03/25/2027(7)(8)(9) | 319,050 | 14,889 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(8) | $ | 68,000 | $ | 67,998 | |||||||
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(5) | 3,527 | 3,432 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(5) | 23,170 | 23,136 | |||||||||
Series 1577, Class PK 6.50% due 09/15/2023(5) | 2,196 | 2,314 | |||||||||
Series 1226, Class Z 7.75% due 03/15/2022(5) | 261 | 279 | |||||||||
3,113,750 | |||||||||||
Federal National Mtg. Assoc. — 9.9% | |||||||||||
2.50% due 02/01/2043 | 70,975 | 67,222 | |||||||||
2.50% due 03/01/2043 | 139,405 | 132,038 | |||||||||
2.64% due 03/01/2027 | 28,313 | 27,411 | |||||||||
2.78% due 03/01/2027 | 63,000 | 61,250 | |||||||||
2.88% due 11/01/2027 | 130,111 | 126,621 | |||||||||
2.97% due 06/01/2027 | 108,557 | 107,015 | |||||||||
2.97% due 06/01/2030 | 124,000 | 120,781 | |||||||||
3.00% due 07/01/2027 | 90,000 | 88,495 | |||||||||
3.00% due 12/01/2027 | 9,431 | 9,452 | |||||||||
3.00% due 01/01/2028 | 10,158 | 10,181 | |||||||||
3.00% due April TBA | 100,000 | 99,870 | |||||||||
3.16% due 08/01/2027 | 125,000 | 124,550 | |||||||||
3.50% due April TBA | 4,700,000 | 4,709,822 | |||||||||
4.00% due 11/01/2040 | 14,727 | 15,224 | |||||||||
4.00% due 12/01/2040 | 37,769 | 39,042 | |||||||||
4.00% due 11/01/2041 | 4,593 | 4,748 | |||||||||
4.00% due 01/01/2042 | 10,082 | 10,377 | |||||||||
4.00% due 11/01/2043 | 19,626 | 20,266 | |||||||||
4.00% due 12/01/2043 | 11,614 | 12,023 | |||||||||
4.00% due April TBA | 1,100,000 | 1,128,815 | |||||||||
4.50% due 01/01/2039 | 2,811 | 2,971 | |||||||||
4.50% due 06/01/2039 | 30,488 | 32,031 | |||||||||
4.50% due 09/01/2039 | 7,482 | 7,912 | |||||||||
4.50% due 05/01/2041 | 6,719 | 7,105 | |||||||||
4.50% due April TBA | 600,000 | 628,254 | |||||||||
5.00% due 06/01/2019 | 310 | 315 | |||||||||
5.00% due 03/01/2020 | 1,566 | 1,603 | |||||||||
5.00% due 05/01/2035 | 2,216 | 2,392 | |||||||||
5.00% due 07/01/2040 | 45,727 | 49,428 | |||||||||
5.00% due April TBA | 300,000 | 320,437 | |||||||||
5.50% due 05/01/2020 | 11,672 | 11,837 | |||||||||
5.50% due 06/01/2020 | 8,434 | 8,533 | |||||||||
5.50% due 12/01/2029 | 2,084 | 2,263 | |||||||||
5.50% due 06/01/2035 | 135,485 | 149,287 | |||||||||
5.50% due 06/01/2036 | 64,278 | 70,554 | |||||||||
5.50% due 08/01/2037 | 11,462 | 12,575 | |||||||||
5.50% due 06/01/2038 | 8,737 | 9,589 | |||||||||
6.00% due 06/01/2021 | 23,680 | 24,182 | |||||||||
6.00% due 12/01/2033 | 7,510 | 8,451 | |||||||||
6.00% due 05/01/2034 | 6,222 | 6,987 |
58
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
6.00% due 08/01/2034 | $ | 1,332 | $ | 1,497 | |||||||
6.00% due 11/01/2038 | 1,687 | 1,891 | |||||||||
7.00% due 06/01/2037 | 13,375 | 15,041 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 5.42% (1 ML+3.55%) due 07/25/2029(5) | 30,000 | 32,574 | |||||||||
Series 2016-C07, Class 2M2 6.22% (1 ML+4.35%) due 05/25/2029(5) | 60,000 | 66,633 | |||||||||
Federal National Mtg. Assoc. FRS 3.36% (12 ML+1.57%) due 05/01/2037 | 2,811 | 2,931 | |||||||||
Federal National Mtg. Assoc. FRS 3.57% (12 ML+1.82%) due 10/01/2040 | 2,915 | 3,049 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(5) | 6,506 | 6,314 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(5) | 20,910 | 19,906 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(5) | 40,276 | 38,501 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(5) | 42,185 | 41,043 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(5) | 53,550 | 53,203 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(5) | 48,875 | 48,446 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(5) | 49,454 | 49,018 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(5) | 45,826 | 46,479 | |||||||||
8,698,435 | |||||||||||
Government National Mtg. Assoc. — 3.1% | |||||||||||
3.00% due April TBA | 500,000 | 491,904 | |||||||||
3.50% due April TBA | 1,200,000 | 1,211,648 | |||||||||
4.00% due 07/15/2041 | 26,066 | 26,881 | |||||||||
4.00% due 08/15/2041 | 9,173 | 9,494 | |||||||||
4.00% due 10/15/2041 | 17,580 | 18,172 | |||||||||
4.00% due April TBA | 700,000 | 719,826 | |||||||||
4.50% due 06/15/2041 | 131,524 | 137,757 | |||||||||
4.50% due April TBA | 100,000 | 103,959 | |||||||||
6.00% due 11/15/2028 | 18,049 | 20,143 | |||||||||
7.00% due 07/15/2033 | 8,374 | 9,463 | |||||||||
9.00% due 11/15/2021 | 97 | 103 | |||||||||
Government National Mtg. Assoc., REMIC Series 2005-74, Class HB 7.50% due 09/16/2035(5) | 719 | 812 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(5) | $ | 5,096 | $ | 5,924 | |||||||
2,756,086 | |||||||||||
Tennessee Valley Authority — 0.0% | |||||||||||
1.75% due 10/15/2018 | 10,000 | 9,983 | |||||||||
Total U.S. Government Agencies (cost $14,524,423) | 14,578,254 | ||||||||||
U.S. GOVERNMENT TREASURIES — 8.1% | |||||||||||
United States Treasury Bonds — 0.7% | |||||||||||
2.50% due 02/15/2045 | 5,000 | 4,565 | |||||||||
2.88% due 11/15/2046 | 70,000 | 68,649 | |||||||||
3.00% due 05/15/2045 | 58,000 | 58,365 | |||||||||
3.00% due 11/15/2045 | 145,000 | 145,815 | |||||||||
3.63% due 08/15/2043 | 160,000 | 179,119 | |||||||||
4.38% due 11/15/2039(13) | 99,200 | 122,834 | |||||||||
579,347 | |||||||||||
United States Treasury Notes — 7.4% | |||||||||||
0.25% due 01/15/2025 TIPS(12)(16) | 958,420 | 937,314 | |||||||||
0.38% due 07/15/2027 TIPS(12) | 992,838 | 968,567 | |||||||||
1.13% due 08/31/2021 | 763,000 | 729,768 | |||||||||
1.13% due 09/30/2021 | 801,000 | 765,174 | |||||||||
1.25% due 10/31/2021 | 313,000 | 299,979 | |||||||||
1.50% due 07/15/2020 | 555,000 | 544,659 | |||||||||
1.63% due 03/15/2020 | 185,000 | 182,637 | |||||||||
1.88% due 02/28/2022 | 384,000 | 375,030 | |||||||||
1.88% due 03/31/2022 | 1,019,000 | 994,600 | |||||||||
2.00% due 02/15/2023 | 520,000 | 506,695 | |||||||||
2.00% due 02/15/2025 | 245,000 | 234,425 | |||||||||
6,538,848 | |||||||||||
Total U.S. Government Treasuries (cost $7,298,586) | 7,118,195 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.5% | |||||||||||
Sovereign — 0.5% | |||||||||||
Abu Dhabi Government Senior Notes 4.13% due 10/11/2047* | 200,000 | 187,121 | |||||||||
Kingdom of Saudi Arabia Senior Bonds 3.63% due 03/04/2028* | 200,000 | 189,930 | |||||||||
Republic of Hungary Senior Bonds 6.25% due 01/29/2020 | 20,000 | 21,150 | |||||||||
United Mexican States Senior Notes 5.75% due 10/12/2110 | 40,000 | 40,700 | |||||||||
Total Foreign Government Obligations (cost $461,929) | 438,901 | ||||||||||
Total Long-Term Investment Securities (cost $87,653,419) | 98,614,010 |
59
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.2% | |||||||||||
Foreign Government Obligations — 1.1% | |||||||||||
Government of Egypt Disc. Notes 17.41% due 10/16/2018 | EGP | 775,000 | $ | 40,178 | |||||||
Government of Japan Disc. Notes (0.14)% due 04/09/2018 | JPY | 82,400,000 | 774,416 | ||||||||
Republic of Argentina Bills 3.13% due 05/24/2018 | $ | 30,436 | 30,305 | ||||||||
Republic of Argentina Bills 3.06% due 06/15/2018 | 101,133 | 100,505 | |||||||||
Republic of Argentina Bills 3.30% due 04/27/2018 | 55,477 | 55,371 | |||||||||
1,000,775 | |||||||||||
U.S. Government Agencies — 0.1% | |||||||||||
Federal Home Loan Bank 1.34% due 04/02/2018 | 100,000 | 100,000 | |||||||||
Total Short-Term Investment Securities (cost $1,058,277) | 1,100,775 | ||||||||||
REPURCHASE AGREEMENTS — 0.1% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(14) | 30,000 | 30,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(14) | 10,000 | 10,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(14) | 15,000 | 15,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(14) | 15,000 | 15,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(14) | 5,000 | 5,000 | |||||||||
Total Repurchase Agreements (cost $75,000) | 75,000 | ||||||||||
TOTAL INVESTMENTS (cost $88,786,696)(17) | 113.5 | % | 99,789,785 | ||||||||
Liabilities in excess of other assets | (13.5 | ) | (11,843,921 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 87,945,864 |
@ See Note 1
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2018, the aggregate value of these securities was $12,145,098 representing 13.8% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.
(1) Securities classified as Level 3 (see Note 2).
(2) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2018, the Portfolio held the following restricted securities:
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
ION Media Networks, Inc. | 03/05/2014 | 4 | $ | 0 | $ | 3,225 | $ | 806.17 | 0.00 | % |
(3) Illiquid security. At March 31, 2018, the aggregate value of these securities was $478,493 representing 0.5% of net assets.
(4) Perpetual maturity — maturity date reflects the next call date.
(5) Collateralized Mortgage Obligation
(6) Collateralized Loan Obligation
(7) 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 above.
(8) Commercial Mortgage Backed Security
(9) Interest Only
(10) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2018.
(11) Security in default of interest.
(12) Principal amount of security is adjusted for inflation.
(13) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(14) See Note 2 for details of Joint Repurchase Agreements.
(15) Denominated in United States dollars unless otherwise indicated.
(16) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(17) See Note 4 for cost of investments on a tax basis.
ARS — Argentina Peso
CLO — Collateralized Loan Obligation
DAC —Designated Activity Company
EGP — Egyptian Pound
JPY — Japanese Yen
REMIC — Real Estate Mortgage Investment Conduit
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
60
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at March 31, 2018 and unless noted otherwise, the dates shown are the original maturity dates.
Index Legend |
1 ML —1 Month USD LIBOR
3 ML —3 Month USD LIBOR
6 ML —6 Month USD LIBOR
12 ML —12 Month USD LIBOR
1 Yr USTYCR —1Year US Treasury Yield Curve Rate
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
2 | Long | 90 Day Eurodollar | March 2019 | $ | 486,600 | $ | 487,050 | $ | 450 | ||||||||||||||||||
4 | Short | 90 Day Eurodollar | March 2020 | 971,700 | 972,050 | (350 | ) | ||||||||||||||||||||
2 | Short | Canada 10 Year Bonds | June 2018 | 205,752 | 206,885 | (1,133 | ) | ||||||||||||||||||||
20 | Short | U.S. Treasury 10 Year Notes | June 2018 | 2,409,452 | 2,422,813 | (13,361 | ) | ||||||||||||||||||||
25 | Short | U.S. Treasury 10 Year Ultra Bonds | June 2018 | 3,212,695 | 3,246,484 | (33,789 | ) | ||||||||||||||||||||
8 | Long | U.S. Treasury 2 Year Notes | June 2018 | 1,701,531 | 1,700,875 | (656 | ) | ||||||||||||||||||||
14 | Long | U.S. Treasury 5 Year Notes | June 2018 | 1,596,359 | 1,602,453 | 6,094 | |||||||||||||||||||||
9 | Long | U.S. Treasury Ultra Bonds | June 2018 | 1,408,970 | 1,444,219 | 35,249 | |||||||||||||||||||||
$ | (7,496 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Citibank N.A. | JPY | 82,400,000 | USD | 736,023 | 04/09/2018 | $ | — | $ | (38,669 | ) | |||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | — | $ | (38,669 | ) |
JPY — Japanese Yen
USD — United States Dollar
61
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Centrally Cleared Interest Rate Swap Contracts
Rates Exchanged | Value | ||||||||||||||||||||||
Notional Amount (000's) | Maturity Date | Payments Received by the Portfolio/Frequency | Payments Made by the Portfolio/ Frequency | Upfront Payments Made (Received) by the Portfolio | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
USD | 200 | 11/14/2026 | 1 Year USD Federal Funds — H.15-OIS-COMPOUND/Annually | 1.63%/Annually | $ | — | $ | 11,571 | |||||||||||||||
USD | 150 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-COMPOUND/Annually | 2.18%/Annually | — | 1,555 | |||||||||||||||||
USD | 150 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-COMPOUND/Annually | 2.18%/Annually | (242 | ) | 1,797 | ||||||||||||||||
USD | 20 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-COMPOUND/Annually | 2.25%/Annually | 241 | (122 | ) | ||||||||||||||||
USD | 70 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-COMPOUND/Annually | 2.25%/Annually | 844 | (426 | ) | ||||||||||||||||
USD | 218 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-COMPOUND/Annually | 2.06%/Annually | 4,869 | (1,011 | ) | ||||||||||||||||
USD | 105 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-COMPOUND/Annually | 2.46%/Annually | — | (724 | ) | ||||||||||||||||
USD | 110 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-COMPOUND/Annually | 2.45%/Annually | — | (725 | ) | ||||||||||||||||
USD | 85 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-COMPOUND/Annually | 2.45%/Annually | — | (556 | ) | ||||||||||||||||
USD | 340 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (7,563 | ) | 12,823 | ||||||||||||||||
$ | (1,851 | ) | $ | 24,182 |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
OIS — Overnight Index Swap
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Common Stocks: | |||||||||||||||||||
Television | $ | 63,382 | $ | — | $ | 3,225 | $ | 66,607 | |||||||||||
Other Industries | 51,207,606 | — | — | 51,207,606 | |||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 1 | 1 | |||||||||||||||
Other Industries | — | 664,744 | — | 664,744 | |||||||||||||||
Asset Backed Securities: | |||||||||||||||||||
Diversified Financial Services | — | 12,652,300 | 262,924 | 12,915,224 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | 400 | 3 | 403 | |||||||||||||||
Other Industries | — | 9,234,589 | — | 9,234,589 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 1,809,080 | — | 1,809,080 | |||||||||||||||
Municipal Bonds & Notes | — | 580,406 | — | 580,406 | |||||||||||||||
U.S. Government Agencies | — | 14,578,254 | — | 14,578,254 | |||||||||||||||
U.S. Government Treasuries | — | 7,118,195 | — | 7,118,195 | |||||||||||||||
Foreign Government Obligations | — | 438,901 | — | 438,901 | |||||||||||||||
Short-Term Investment Securities | — | 1,100,775 | — | 1,100,775 | |||||||||||||||
Repurchase Agreement | — | 75,000 | — | 75,000 | |||||||||||||||
Total Investments at Value | $ | 51,270,988 | $ | 48,252,644 | $ | 266,153 | $ | 99,789,785 |
62
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 41,793 | $ | — | $ | — | $ | 41,793 | |||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 27,746 | — | 27,746 | |||||||||||||||
Total Other Financial Instruments | $ | 41,793 | $ | 27,746 | $ | — | $ | 69,539 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 49,289 | $ | — | $ | — | $ | 49,289 | |||||||||||
Forward Foreign Currency Contracts | — | 38,669 | — | 38,669 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 3,564 | — | 3,564 | |||||||||||||||
Total Other Financial Instruments | $ | 49,289 | $ | 42,233 | $ | — | $ | 91,522 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.
At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.
See Notes to Financial Statements
63
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Diversified Financial Services | 25.4 | % | |||||
Federal National Mtg. Assoc. | 16.3 | ||||||
United States Treasury Notes | 8.2 | ||||||
Diversified Banking Institutions | 5.6 | ||||||
Federal Home Loan Mtg. Corp. | 5.4 | ||||||
Government National Mtg. Assoc. | 5.2 | ||||||
Web Portals/ISP | 2.0 | ||||||
United States Treasury Bonds | 1.9 | ||||||
Foreign Government Obligations | 1.9 | ||||||
Applications Software | 1.9 | ||||||
Electronic Components-Semiconductors | 1.9 | ||||||
E-Commerce/Products | 1.8 | ||||||
Computers | 1.6 | ||||||
Finance-Credit Card | 1.6 | ||||||
Cable/Satellite TV | 1.4 | ||||||
Tobacco | 1.4 | ||||||
Banks-Commercial | 1.3 | ||||||
Medical-Biomedical/Gene | 1.3 | ||||||
Retail-Restaurants | 1.2 | ||||||
Telephone-Integrated | 1.1 | ||||||
Municipal Bonds & Notes | 1.1 | ||||||
Electric-Integrated | 1.1 | ||||||
Sovereign | 1.1 | ||||||
Diversified Manufacturing Operations | 1.0 | ||||||
Multimedia | 1.0 | ||||||
Pharmacy Services | 1.0 | ||||||
Oil Companies-Exploration & Production | 0.9 | ||||||
Electronic Forms | 0.8 | ||||||
Real Estate Investment Trusts | 0.8 | ||||||
Consulting Services | 0.7 | ||||||
Medical-HMO | 0.7 | ||||||
Enterprise Software/Service | 0.7 | ||||||
Pipelines | 0.7 | ||||||
Internet Content-Entertainment | 0.7 | ||||||
Transport-Rail | 0.7 | ||||||
Medical-Hospitals | 0.7 | ||||||
Oil Companies-Integrated | 0.6 | ||||||
Banks-Super Regional | 0.6 | ||||||
Electronic Components-Misc. | 0.6 | ||||||
Beverages-Non-alcoholic | 0.6 | ||||||
Medical-Drugs | 0.5 | ||||||
Retail-Building Products | 0.5 | ||||||
Drug Delivery Systems | 0.5 | ||||||
Entertainment Software | 0.5 | ||||||
Commercial Services | 0.5 | ||||||
Insurance-Multi-line | 0.5 | ||||||
Finance-Other Services | 0.5 | ||||||
Industrial Gases | 0.5 | ||||||
Medical-Generic Drugs | 0.4 | ||||||
E-Commerce/Services | 0.4 | ||||||
Aerospace/Defense-Equipment | 0.4 | ||||||
Building-Heavy Construction | 0.4 | ||||||
Coatings/Paint | 0.4 | ||||||
Auto/Truck Parts & Equipment-Original | 0.4 | ||||||
Aerospace/Defense | 0.4 | ||||||
Medical Instruments | 0.4 | ||||||
Cosmetics & Toiletries | 0.4 | ||||||
Airlines | 0.3 | ||||||
Containers-Metal/Glass | 0.3 | ||||||
Athletic Footwear | 0.3 |
Diagnostic Equipment | 0.3 | % | |||||
Finance-Investment Banker/Broker | 0.3 | ||||||
Insurance-Property/Casualty | 0.3 | ||||||
Semiconductor Equipment | 0.3 | ||||||
Repurchase Agreements | 0.3 | ||||||
Brewery | 0.3 | ||||||
Containers-Paper/Plastic | 0.3 | ||||||
Building Products-Cement | 0.3 | ||||||
Auto-Cars/Light Trucks | 0.3 | ||||||
Electric Products-Misc. | 0.3 | ||||||
Computer Services | 0.3 | ||||||
Medical Information Systems | 0.3 | ||||||
Electronic Connectors | 0.2 | ||||||
Therapeutics | 0.2 | ||||||
Food-Confectionery | 0.2 | ||||||
Medical Products | 0.2 | ||||||
Finance-Consumer Loans | 0.2 | ||||||
Medical-Wholesale Drug Distribution | 0.2 | ||||||
Food-Catering | 0.2 | ||||||
Computer Software | 0.2 | ||||||
Retail-Gardening Products | 0.2 | ||||||
U.S. Government Agencies | 0.2 | ||||||
Oil Refining & Marketing | 0.2 | ||||||
Metal-Iron | 0.2 | ||||||
Retail-Discount | 0.2 | ||||||
Cruise Lines | 0.2 | ||||||
Commercial Services-Finance | 0.1 | ||||||
Beverages-Wine/Spirits | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Distribution/Wholesale | 0.1 | ||||||
Transport-Services | 0.1 | ||||||
Independent Power Producers | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Insurance-Life/Health | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Wireless Equipment | 0.1 | ||||||
Office Automation & Equipment | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Apparel Manufacturers | 0.1 | ||||||
Chemicals-Specialty | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
Cellular Telecom | 0.1 | ||||||
Music | 0.1 | ||||||
Food-Wholesale/Distribution | 0.1 | ||||||
Electric-Distribution | 0.1 | ||||||
121.4 | % |
64
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited) (continued)
Credit Quality†# | |||||||
Aaa | 57.5 | % | |||||
Aa | 1.2 | ||||||
A | 8.4 | ||||||
Baa | 12.5 | ||||||
Ba | 5.0 | ||||||
B | 0.4 | ||||||
Caa | 0.8 | ||||||
Ca | 0.2 | ||||||
Not Rated## | 14.0 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
† Source: Moody's
# Calculated as a percentage of total debt issues, excluding short-term securities.
## Represents debt issues that either have no rating, or the rating is unavailable from the data source.
@ See Note 1
65
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 31.7% | |||||||||||
Aerospace/Defense — 0.3% | |||||||||||
Northrop Grumman Corp. | 481 | $ | 167,927 | ||||||||
Aerospace/Defense-Equipment — 0.4% | |||||||||||
L3 Technologies, Inc. | 1,255 | 261,040 | |||||||||
Airlines — 0.3% | |||||||||||
United Continental Holdings, Inc.† | 2,910 | 202,158 | |||||||||
Apparel Manufacturers — 0.1% | |||||||||||
Under Armour, Inc., Class C† | 3,110 | 44,628 | |||||||||
Applications Software — 1.8% | |||||||||||
Microsoft Corp. | 7,589 | 692,648 | |||||||||
salesforce.com, Inc.† | 3,265 | 379,720 | |||||||||
1,072,368 | |||||||||||
Athletic Footwear — 0.3% | |||||||||||
NIKE, Inc., Class B | 3,025 | 200,981 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.4% | |||||||||||
Aptiv PLC | 2,724 | 231,458 | |||||||||
Beverages-Non-alcoholic — 0.6% | |||||||||||
Coca-Cola Co. | 8,257 | 358,602 | |||||||||
Building Products-Cement — 0.3% | |||||||||||
Vulcan Materials Co. | 1,414 | 161,436 | |||||||||
Cable/Satellite TV — 0.4% | |||||||||||
Comcast Corp., Class A | 7,496 | 256,138 | |||||||||
Coatings/Paint — 0.4% | |||||||||||
Sherwin-Williams Co. | 558 | 218,803 | |||||||||
Commercial Services — 0.5% | |||||||||||
CoStar Group, Inc.† | 533 | 193,309 | |||||||||
ServiceMaster Global Holdings, Inc.† | 1,899 | 96,564 | |||||||||
289,873 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Worldpay, Inc., Class A† | 1,042 | 85,694 | |||||||||
Computer Services — 0.3% | |||||||||||
Amdocs, Ltd. | 2,345 | 156,458 | |||||||||
Computer Software — 0.2% | |||||||||||
SS&C Technologies Holdings, Inc. | 2,067 | 110,874 | |||||||||
Computers — 1.4% | |||||||||||
Apple, Inc. | 5,000 | 838,900 | |||||||||
Consulting Services — 0.4% | |||||||||||
Gartner, Inc.† | 1,233 | 145,025 | |||||||||
Verisk Analytics, Inc.† | 1,054 | 109,616 | |||||||||
254,641 | |||||||||||
Containers-Metal/Glass — 0.3% | |||||||||||
Ball Corp. | 5,116 | 203,156 | |||||||||
Containers-Paper/Plastic — 0.3% | |||||||||||
Sealed Air Corp. | 3,972 | 169,962 | |||||||||
Cosmetics & Toiletries — 0.4% | |||||||||||
Estee Lauder Cos., Inc., Class A | 1,481 | 221,735 | |||||||||
Cruise Lines — 0.2% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 1,684 | 89,201 |
Security Description | Shares | Value (Note 2) | |||||||||
Diagnostic Equipment — 0.3% | |||||||||||
Thermo Fisher Scientific, Inc. | 835 | $ | 172,394 | ||||||||
Distribution/Wholesale — 0.1% | |||||||||||
Fastenal Co. | 1,437 | 78,446 | |||||||||
Diversified Manufacturing Operations — 1.0% | |||||||||||
A.O. Smith Corp. | 2,320 | 147,529 | |||||||||
Illinois Tool Works, Inc. | 1,531 | 239,846 | |||||||||
Parker-Hannifin Corp. | 1,404 | 240,126 | |||||||||
627,501 | |||||||||||
Drug Delivery Systems — 0.5% | |||||||||||
DexCom, Inc.† | 2,599 | 192,742 | |||||||||
Nektar Therapeutics† | 1,255 | 133,356 | |||||||||
326,098 | |||||||||||
E-Commerce/Products — 1.7% | |||||||||||
Amazon.com, Inc.† | 649 | 939,324 | |||||||||
Wayfair, Inc., Class A† | 900 | 60,777 | |||||||||
1,000,101 | |||||||||||
E-Commerce/Services — 0.4% | |||||||||||
Booking Holdings, Inc.† | 126 | 262,129 | |||||||||
Electric Products-Misc. — 0.3% | |||||||||||
AMETEK, Inc. | 2,068 | 157,106 | |||||||||
Electronic Components-Misc. — 0.6% | |||||||||||
Flex, Ltd.† | 10,008 | 163,430 | |||||||||
Sensata Technologies Holding PLC† | 3,901 | 202,189 | |||||||||
365,619 | |||||||||||
Electronic Components-Semiconductors — 1.5% | |||||||||||
Broadcom, Ltd. | 1,304 | 307,288 | |||||||||
Microchip Technology, Inc. | 2,857 | 261,015 | |||||||||
Texas Instruments, Inc. | 3,276 | 340,344 | |||||||||
908,647 | |||||||||||
Electronic Connectors — 0.2% | |||||||||||
Amphenol Corp., Class A | 1,667 | 143,579 | |||||||||
Electronic Forms — 0.8% | |||||||||||
Adobe Systems, Inc.† | 2,298 | 496,552 | |||||||||
Enterprise Software/Service — 0.7% | |||||||||||
Tyler Technologies, Inc.† | 1,021 | 215,390 | |||||||||
Ultimate Software Group, Inc.† | 798 | 194,473 | |||||||||
409,863 | |||||||||||
Entertainment Software — 0.5% | |||||||||||
Activision Blizzard, Inc. | 4,734 | 319,356 | |||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Synchrony Financial | 2,525 | 84,663 | |||||||||
Finance-Credit Card — 1.5% | |||||||||||
Mastercard, Inc., Class A | 2,346 | 410,925 | |||||||||
Visa, Inc., Class A | 3,884 | 464,604 | |||||||||
875,529 | |||||||||||
Finance-Investment Banker/Broker — 0.3% | |||||||||||
TD Ameritrade Holding Corp. | 3,137 | 185,805 | |||||||||
Finance-Other Services — 0.2% | |||||||||||
Intercontinental Exchange, Inc. | 1,811 | 131,334 |
66
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Food-Catering — 0.2% | |||||||||||
Aramark | 2,900 | $ | 114,724 | ||||||||
Food-Confectionery — 0.2% | |||||||||||
Hershey Co. | 1,308 | 129,440 | |||||||||
Independent Power Producers — 0.1% | |||||||||||
NRG Energy, Inc. | 2,524 | 77,058 | |||||||||
Industrial Gases — 0.5% | |||||||||||
Air Products & Chemicals, Inc. | 1,694 | 269,397 | |||||||||
Insurance-Property/Casualty — 0.3% | |||||||||||
Progressive Corp. | 3,047 | 185,654 | |||||||||
Internet Content-Entertainment — 0.7% | |||||||||||
Facebook, Inc., Class A† | 2,500 | 399,475 | |||||||||
Medical Information Systems — 0.2% | |||||||||||
athenahealth, Inc.† | 866 | 123,864 | |||||||||
Medical Instruments — 0.3% | |||||||||||
Boston Scientific Corp.† | 6,590 | 180,039 | |||||||||
Medical-Biomedical/Gene — 1.2% | |||||||||||
AnaptysBio, Inc.† | 815 | 84,825 | |||||||||
Biogen, Inc.† | 681 | 186,471 | |||||||||
Celgene Corp.† | 1,907 | 170,124 | |||||||||
Insmed, Inc.† | 1,657 | 37,316 | |||||||||
Puma Biotechnology, Inc.† | 1,664 | 113,235 | |||||||||
Regeneron Pharmaceuticals, Inc.† | 417 | 143,598 | |||||||||
735,569 | |||||||||||
Medical-Drugs — 0.4% | |||||||||||
Eli Lilly & Co. | 2,754 | 213,077 | |||||||||
Global Blood Therapeutics, Inc.† | 1,080 | 52,164 | |||||||||
265,241 | |||||||||||
Medical-Generic Drugs — 0.2% | |||||||||||
Mylan NV† | 2,867 | 118,034 | |||||||||
Medical-HMO — 0.4% | |||||||||||
Humana, Inc. | 940 | 252,700 | |||||||||
Medical-Hospitals — 0.3% | |||||||||||
Universal Health Services, Inc., Class B | 1,379 | 163,287 | |||||||||
Multimedia — 0.5% | |||||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 2,674 | 82,493 | |||||||||
Walt Disney Co. | 2,443 | 245,375 | |||||||||
327,868 | |||||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Anadarko Petroleum Corp. | 1,366 | 82,520 | |||||||||
Real Estate Investment Trusts — 0.7% | |||||||||||
American Tower Corp. | 1,852 | 269,170 | |||||||||
Equinix, Inc. | 226 | 94,499 | |||||||||
Invitation Homes, Inc. | 2,605 | 59,472 | |||||||||
423,141 | |||||||||||
Retail-Building Products — 0.5% | |||||||||||
Home Depot, Inc. | 1,824 | 325,110 | |||||||||
Retail-Discount — 0.2% | |||||||||||
Costco Wholesale Corp. | 500 | 94,215 |
Security Description | Shares/ Principal Amount(15) | Value (Note 2) | |||||||||
Retail-Gardening Products — 0.2% | |||||||||||
Tractor Supply Co. | 1,672 | $ | 105,369 | ||||||||
Retail-Restaurants — 1.1% | |||||||||||
Dunkin' Brands Group, Inc. | 1,734 | 103,502 | |||||||||
McDonald's Corp. | 1,895 | 296,340 | |||||||||
Starbucks Corp. | 4,357 | 252,227 | |||||||||
652,069 | |||||||||||
Semiconductor Equipment — 0.2% | |||||||||||
Lam Research Corp. | 698 | 141,806 | |||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc.†(1)(9)(14) | 10 | 8,062 | |||||||||
Therapeutics — 0.2% | |||||||||||
Neurocrine Biosciences, Inc.† | 1,676 | 138,991 | |||||||||
Tobacco — 0.5% | |||||||||||
Altria Group, Inc. | 5,074 | 316,212 | |||||||||
Transport-Rail — 0.4% | |||||||||||
CSX Corp. | 4,476 | 249,358 | |||||||||
Web Portals/ISP — 2.0% | |||||||||||
Alphabet, Inc., Class C† | 1,147 | 1,183,463 | |||||||||
Total Common Stocks (cost $15,065,162) | 19,203,421 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.5% | |||||||||||
Banks-Commercial — 0.4% | |||||||||||
Banco Bilbao Vizcaya Argentaria SA 7.00% due 02/19/2019(2) | EUR | 200,000 | 258,099 | ||||||||
Diversified Banking Institutions — 1.1% | |||||||||||
Credit Agricole SA 8.13% due 12/23/2025*(2) | 200,000 | 227,837 | |||||||||
Credit Suisse Group AG 6.25% due 12/18/2024*(2) | 200,000 | 205,250 | |||||||||
Societe Generale SA 8.25% due 11/29/2018(2) | 200,000 | 206,000 | |||||||||
639,087 | |||||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(1)(9) | 16,000 | 2 | |||||||||
Total Preferred Securities/Capital Securities (cost $890,889) | 897,188 | ||||||||||
ASSET BACKED SECURITIES — 25.4% | |||||||||||
Diversified Financial Services — 25.4% | |||||||||||
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.04% 1 ML+0.17% due 01/25/2037(3) | 39,203 | 38,099 | |||||||||
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020 | 11,330 | 11,314 |
67
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 3.00% 3 ML+1.25% due 07/25/2029*(4) | $ | 250,000 | $ | 251,954 | |||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-3, Class A1 2.71% due 11/25/2047*(3)(5) | 43,599 | 43,597 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-2, Class A1 2.48% due 07/25/2047*(3)(5) | 51,790 | 50,882 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-1, Class A1 2.81% due 01/25/2047*(3)(5) | 27,379 | 26,948 | |||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 3.45% 1 ML+1.58% due 10/25/2034(9) | 17,480 | 17,519 | |||||||||
Atrium XII FRS Series 12A, Class AR 2.57% 3 ML+0.83% due 04/22/2027*(4) | 250,000 | 249,902 | |||||||||
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 2.85% 3 ML+1.12% due 01/18/2025*(4) | 250,000 | 249,914 | |||||||||
Babson CLO, Ltd. FRS Series 2016-2A, Class A 3.19% 3 ML+1.45% due 07/20/2028*(4) | 250,000 | 250,639 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.75% due 11/15/2050(5)(6)(7) | 998,734 | 57,755 | |||||||||
BANK Series 2017-BNK8, Class A4 3.49% due 11/15/2050(6) | 100,000 | 99,715 | |||||||||
BANK Series 2017-BNK9, Class A4 3.54% due 11/15/2054(6) | 121,000 | 120,743 | |||||||||
Barclays Commercial Mtg. Securities Trust Series 2017-C1, Class A4 3.67% due 02/15/2050(6) | 63,000 | 63,574 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(5) | 137,606 | 138,524 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(5) | 93,174 | 93,750 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(5) | 84,316 | 84,692 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(5) | 86,496 | 86,881 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(5) | $ | 83,805 | $ | 85,889 | |||||||
Bayview Opportunity Master Fund Trust Series 2017-NPL2, Class A1 2.98% due 10/28/2032*(8) | 75,251 | 74,905 | |||||||||
Bayview Opportunity Master Fund Trust Series 2017-RN8, Class A1 3.35% due 11/28/2032*(8) | 78,976 | 78,729 | |||||||||
Bayview Opportunity Master Fund Trust Series 2018-RN2, Class A1 3.60% due 02/25/2033*(8) | 98,190 | 98,017 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(5) | 99,867 | 101,451 | |||||||||
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 2.63% 1 ML+0.85% due 08/15/2036*(6) | 152,000 | 151,857 | |||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.48% due 02/25/2036(3)(5) | 114,947 | 114,533 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.53% due 01/15/2051(5)(6)(7) | 210,899 | 8,640 | |||||||||
Benchmark Mtg. Trust Series 2018-B1, Class A5 3.67% due 01/15/2051(6) | 35,000 | 35,317 | |||||||||
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027* | 11,458 | 11,361 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-3A, Class A1AR 2.82% 3 ML+1.10% due 10/15/2030*(4) | 250,000 | 250,934 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2014-4A, Class A1R 2.92% 3 ML+1.20% due 10/15/2026*(4) | 250,000 | 249,956 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1 3.23% 3 ML+1.47% due 04/27/2027*(4) | 250,000 | 250,050 | |||||||||
CarMax Auto Owner Trust Series 2014-2, Class D 2.58% due 11/16/2020 | 40,000 | 39,996 | |||||||||
Cent CLO, Ltd. FRS Series 2013-20A, Class AR 2.85% 3 ML+1.10% due 01/25/2026*(4) | 250,000 | 249,961 |
68
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1LR 3.14% 3 ML+1.20% due 05/24/2026*(4) | $ | 250,000 | $ | 250,005 | |||||||
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023* | 24,230 | 24,092 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(3)(5) | 130,528 | 129,485 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(6) | 122,000 | 123,827 | |||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 4.16% 1Yr USTYCR+2.40% due 03/25/2036(3) | 62,914 | 61,259 | |||||||||
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024*(9) | 86,049 | 85,784 | |||||||||
COLT Mtg. Loan Trust VRS Series 2017-2, Class A1A 2.42% due 10/25/2047*(3)(5) | 113,607 | 113,778 | |||||||||
COLT Mtg. Loan Trust VRS Series 2017-1, Class A1 2.61% due 05/27/2047*(3)(5) | 57,675 | 57,206 | |||||||||
COLT Mtg. Loan Trust VRS Series 2018-1, Class A1 2.93% due 02/25/2048*(3)(5) | 95,751 | 95,748 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(6) | 125,105 | 123,115 | |||||||||
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(6) | 65,000 | 67,275 | |||||||||
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(6) | 140,000 | 142,696 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(6) | 155,000 | 156,180 | |||||||||
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(6) | 150,000 | 154,887 | |||||||||
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(6) | 195,000 | 204,883 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(3) | 47,365 | 42,283 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.84% due 06/15/2057(5)(6)(7) | 1,220,500 | 52,456 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(6) | $ | 125,000 | $ | 128,209 | |||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(3)(5) | 52,008 | 50,763 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-3A, Class A1 2.58% due 10/25/2047*(3)(5) | 81,364 | 80,733 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(3)(5) | 69,292 | 67,766 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-1A, Class 1A 2.73% due 12/26/2046*(3)(5) | 54,699 | 53,942 | |||||||||
Dryden Senior Loan Fund FRS Series 2014-33A, Class AR 3.15% 3 ML+1.43% due 10/15/2028*(4) | 250,000 | 251,212 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.34% due 05/25/2035(3)(5) | 99,375 | 99,539 | |||||||||
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020* | 190,000 | 189,807 | |||||||||
Galaxy CLO, Ltd. FRS Series 2015-19A, Class A1R 2.96% 3 ML+1.22% due 07/24/2030*(4) | 250,000 | 251,233 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(6) | 125,000 | 122,462 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(6) | 30,445 | 34,164 | |||||||||
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(6) | 100,000 | 101,590 | |||||||||
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(6) | 146,000 | 148,762 | |||||||||
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(6) | 140,000 | 144,718 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.55% due 03/25/2047(3)(5) | 26,843 | 24,688 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 3.66% due 04/25/2036(3)(5) | 8,094 | 7,112 | |||||||||
Honor Automobile Trust Securitization Series 2016-1A, Class A 2.94% due 11/15/2019* | 26,148 | 26,157 |
69
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 2.41% 1 ML+0.54% due 05/25/2035(3) | $ | 71,711 | $ | 71,513 | |||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(6) | 68,000 | 70,827 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(6) | 65,000 | 66,564 | |||||||||
JPMDB Commercial Mtg. Securities Trust Series 2017-C7, Class A5 3.41% due 10/15/2050(6) | 122,000 | 120,438 | |||||||||
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.32% due 04/15/2041(5)(6) | 1,507 | 1,528 | |||||||||
Lendmark Funding Trust Series 2017-1A, Class A 2.83% due 12/22/2025*(9) | 100,000 | 99,472 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2018-1, Class A 3.44% 1 ML+1.55% due 02/01/2023*(3) | 98,980 | 98,215 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-8, Class A 3.54% 1 ML+1.65% due 11/01/2022*(3) | 80,773 | 80,700 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-7, Class A 3.64% 1 ML+1.75% due 10/01/2022*(3) | 67,156 | 66,848 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-3, Class A1 3.89% 1 ML+2.00% due 04/01/2022*(3) | 51,756 | 51,821 | |||||||||
Madison Park Funding XIV, Ltd. FRS Series 2014-14A, Class A1R 2.86% 3 ML+1.12% due 07/20/2026*(4) | 250,000 | 249,947 | |||||||||
Madison Park Funding, Ltd. FRS Series 2013-11A, Class AR 2.90% 3 ML+1.16% due 07/23/2029*(4) | 250,000 | 250,162 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 3.53% due 02/25/2035(3)(5) | 18,216 | 18,594 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.54% due 12/25/2034(3)(5) | $ | 33,013 | $ | 33,694 | |||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(8) | 101,161 | 100,502 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.12% due 12/15/2047(5)(6)(7) | 349,735 | 15,779 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.46% due 06/15/2050(5)(6)(7) | 124,345 | 11,346 | |||||||||
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(6) | 105,000 | 105,755 | |||||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(3) | 37,767 | 31,042 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 2.15% 1 ML+0.28% due 10/25/2035(3) | 143,865 | 142,149 | |||||||||
New Residential Advance Receivables Trust Series 2016-T2, Class AT2 2.58% due 10/15/2049* | 114,000 | 112,828 | |||||||||
New Residential Advance Receivables Trust Series T1, Class AT1 3.21% due 02/15/2051* | 100,000 | 99,413 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2018-1A, Class A 4.00% due 12/25/2057*(5) | 97,049 | 99,221 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.37% 1 ML+1.50% due 06/25/2057*(3) | 128,564 | 132,300 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(3)(5) | 96,435 | 97,385 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(3)(5) | 84,767 | 85,552 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(3)(5) | 164,259 | 167,432 |
70
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(3)(5) | $ | 160,778 | $ | 163,853 | |||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(3)(5) | 129,613 | 131,743 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(3)(5) | 105,766 | 107,667 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(5) | 136,207 | 138,270 | |||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(3)(5) | 26,982 | 26,408 | |||||||||
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050*(1) | 110,000 | 109,510 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 98,972 | 98,425 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023* | 96,248 | 95,985 | |||||||||
Oaktree EIF II Series A1, Ltd. FRS Series 2017-IIIA, Class A2 3.18% 3 ML+1.45% due 07/17/2029*(4) | 250,000 | 252,535 | |||||||||
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 2.58% 3 ML+0.85% due 04/17/2027*(4) | 215,000 | 214,897 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 139,000 | 136,626 | |||||||||
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028* | 161,725 | 162,881 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 1.97% 1 ML+0.10% due 02/25/2037(9) | 38,729 | 24,003 | |||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 3.22% 3 ML+1.45% due 04/30/2027*(4) | 250,000 | 250,028 | |||||||||
Prosper Marketplace Issuance Trust Series 2017-3A, Class A 2.36% due 11/15/2023* | 72,941 | 72,641 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(3) | $ | 4,026 | $ | 3,984 | |||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.00% 1 ML+0.13% due 05/25/2037(9) | 98,581 | 75,538 | |||||||||
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021*(9) | 100,000 | 99,965 | |||||||||
SoFi Consumer Loan Program LLC Series 2017-4, Class A 2.50% due 05/26/2026* | 71,013 | 70,178 | |||||||||
SoFi Consumer Loan Program LLC Series 2016-2A, Class A 3.09% due 10/27/2025*(9) | 43,080 | 43,101 | |||||||||
Sound Point CLO XVIII, Ltd. FRS Series 2017-4A Class A1 2.86% 3 ML+1.12% due 01/21/2031*(4) | 250,000 | 250,616 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.12% 1 ML+0.25% due 11/25/2036(9) | 200,000 | 175,840 | |||||||||
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030* | 145,000 | 142,713 | |||||||||
Springleaf Funding Trust Series 2016-AA, Class A 2.90% due 11/15/2029* | 100,000 | 99,557 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(5) | 82,484 | 81,162 | |||||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 2.47% 1 ML+0.60% due 02/25/2057* | 120,200 | 120,632 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(5) | 67,612 | 66,678 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(5) | 167,254 | 165,375 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(5) | 82,176 | 81,568 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(5) | 114,941 | 113,273 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(5) | 87,927 | 87,107 | |||||||||
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 3.11% 3 ML+1.37% due 04/20/2027*(4) | 250,000 | 249,992 |
71
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
U.S. Residential Opportunity Fund IV Trust Series 2017-1III, Class A 3.35% due 11/27/2037*(8) | $ | 94,352 | $ | 94,105 | |||||||
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(6) | 80,000 | 80,055 | |||||||||
VOLT LXIII LLC Series NP10, Class A1 3.00% due 10/25/2047*(8) | 99,936 | 98,998 | |||||||||
VOLT LXIV LLC Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(8) | 134,775 | 134,407 | |||||||||
Voya CLO, Ltd. FRS Series 2015-1A, Class A1R 2.63% 3 ML+0.90% due 01/18/2029*(4) | 250,000 | 250,112 | |||||||||
Voya CLO, Ltd. FRS Series 2014-4A, Class A2AR 3.17% 3 ML+1.45% due 10/14/2026*(4) | 250,000 | 249,782 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.16% due 09/15/2057(5)(6)(7) | 982,197 | 51,031 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(6) | 105,000 | 107,328 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.10% due 05/15/2048(5)(6) | 10,000 | 8,924 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 3.63% due 10/25/2036(3)(5) | 37,704 | 37,206 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 3.68% due 11/25/2034(3)(5) | 2,961 | 2,993 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 3.72% due 01/25/2035(3)(5) | 90,382 | 91,265 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 3.91% due 03/25/2035(3)(5) | 66,504 | 67,795 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048*(9) | 49,875 | 49,412 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 85,000 | 84,551 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.78% due 02/15/2044*(5)(6)(7) | $ | 450,218 | $ | 8,929 | |||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(6) | 145,280 | 149,877 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(6) | 55,111 | 57,335 | |||||||||
Total Asset Backed Securities (cost $15,395,500) | 15,423,697 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 17.2% | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 64,000 | 62,066 | |||||||||
Airlines — 0.0% | |||||||||||
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022 | 30,000 | 29,963 | |||||||||
Applications Software — 0.1% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 45,000 | 44,400 | |||||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 35,000 | 34,789 | |||||||||
79,189 | |||||||||||
Auto-Cars/Light Trucks — 0.3% | |||||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 30,000 | 29,337 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 25,000 | 24,973 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 60,000 | 69,652 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024 | 35,000 | 34,703 | |||||||||
158,665 | |||||||||||
Banks-Commercial — 0.1% | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | 75,000 | 75,158 | |||||||||
Banks-Super Regional — 0.6% | |||||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | 30,000 | 28,165 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 20,000 | 18,729 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 130,000 | 127,839 |
72
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Banks-Super Regional (continued) | |||||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | $ | 85,000 | $ | 82,941 | |||||||
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046 | 25,000 | 24,265 | |||||||||
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044 | 75,000 | 85,993 | |||||||||
367,932 | |||||||||||
Beverages-Wine/Spirits — 0.1% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 50,000 | 48,317 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022 | 5,000 | 4,850 | |||||||||
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028 | 30,000 | 28,944 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.50% due 05/09/2047 | 5,000 | 4,960 | |||||||||
87,071 | |||||||||||
Brewery — 0.3% | |||||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026 | 40,000 | 39,762 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.50% due 01/12/2024 | 35,000 | 35,245 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 45,000 | 41,298 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 60,000 | 61,370 | |||||||||
177,675 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 36,000 | 35,574 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026 | 15,000 | 15,548 | |||||||||
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030 | 15,000 | 16,134 | |||||||||
Scripps Networks Interactive, Inc. Senior Notes 3.95% due 06/15/2025 | 19,000 | 18,889 | |||||||||
86,145 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 45,000 | 46,125 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Building-Heavy Construction — 0.4% | |||||||||||
SBA Tower Trust Mtg. Notes Series 2014-1C 2.90% due 10/11/2044* | $ | 90,000 | $ | 89,541 | |||||||
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047* | 85,000 | 83,795 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 60,000 | 60,047 | |||||||||
233,383 | |||||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025 | 30,000 | 29,625 | |||||||||
Cable/Satellite TV — 1.0% | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.58% due 07/23/2020 | 25,000 | 25,070 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022 | 25,000 | 25,537 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 80,000 | 81,753 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 50,000 | 54,884 | |||||||||
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046 | 20,000 | 17,184 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 20,000 | 20,722 | |||||||||
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044 | 5,000 | 5,271 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 45,000 | 43,156 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 10,000 | 8,988 | |||||||||
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021 | 41,000 | 41,256 |
73
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV (continued) | |||||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | $ | 45,000 | $ | 38,975 | |||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 45,000 | 47,000 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 6.75% due 07/01/2018 | 50,000 | 50,471 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019 | 120,000 | 125,657 | |||||||||
585,924 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020* | 10,000 | 10,500 | |||||||||
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024 | 30,000 | 29,250 | |||||||||
39,750 | |||||||||||
Coatings/Paint — 0.0% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024 | 15,000 | 14,503 | |||||||||
Commercial Services-Finance — 0.0% | |||||||||||
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022 | 20,000 | 19,495 | |||||||||
Computers — 0.2% | |||||||||||
Apple, Inc. Senior Notes 3.00% due 02/09/2024 | 5,000 | 4,944 | |||||||||
Apple, Inc. Senior Notes 3.35% due 02/09/2027 | 20,000 | 19,758 | |||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 30,000 | 27,683 | |||||||||
Apple, Inc. Senior Notes 3.85% due 08/04/2046 | 10,000 | 9,785 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 4.90% due 10/15/2025 | 20,000 | 20,765 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 20,000 | 21,368 | |||||||||
104,303 | |||||||||||
Computers-Memory Devices — 0.1% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 75,000 | 74,835 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Data Processing/Management — 0.0% | |||||||||||
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024* | $ | 25,000 | $ | 25,000 | |||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026 | 10,000 | 9,335 | |||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 10,000 | 9,745 | |||||||||
19,080 | |||||||||||
Diversified Banking Institutions — 3.7% | |||||||||||
Bank of America Corp. Senior Notes 1.95% due 05/12/2018 | 45,000 | 44,979 | |||||||||
Bank of America Corp. Senior Notes 2.25% due 04/21/2020 | 160,000 | 157,672 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 105,000 | 102,144 | |||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | 70,000 | 68,832 | |||||||||
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027 | 40,000 | 39,654 | |||||||||
Bank of America Corp. Senior Notes 4.44% due 01/20/2048 | 35,000 | 36,538 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 95,000 | 100,439 | |||||||||
Bank of America Corp. Senior Notes 6.88% due 04/25/2018 | 90,000 | 90,233 | |||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | 25,000 | 24,184 | |||||||||
Citigroup, Inc. FRS Senior Notes 2.98% 3 ML+1.10% due 05/17/2024 | 80,000 | 80,719 | |||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 45,000 | 42,777 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 20,000 | 19,307 | |||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 80,000 | 80,947 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 7,000 | 7,458 | |||||||||
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046 | 15,000 | 15,242 |
74
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021 | $ | 45,000 | $ | 43,391 | |||||||
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020 | 35,000 | 34,675 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020 | 123,000 | 121,748 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021 | 50,000 | 49,489 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022 | 25,000 | 24,473 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 85,000 | 82,665 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028 | 10,000 | 9,695 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029 | 30,000 | 29,408 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033 | 32,000 | 38,460 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 55,000 | 69,741 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 44,000 | 55,119 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.30% due 08/15/2021 | 5,000 | 4,861 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021 | 30,000 | 29,284 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.70% due 05/18/2023 | 30,000 | 28,943 | |||||||||
JPMorgan Chase & Co. FRS Senior Notes 2.97% 3 ML+1.23% due 10/24/2023 | 30,000 | 30,441 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 95,000 | 92,605 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 33,000 | 32,902 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 50,000 | 48,535 | |||||||||
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041 | 10,000 | 12,093 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Morgan Stanley Senior Notes 2.50% due 04/21/2021 | $ | 30,000 | $ | 29,395 | |||||||
Morgan Stanley Senior Notes 2.63% due 11/17/2021 | 15,000 | 14,645 | |||||||||
Morgan Stanley Senior Notes 2.65% due 01/27/2020 | 15,000 | 14,908 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 25,000 | 23,658 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 105,000 | 101,562 | |||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | 40,000 | 39,152 | |||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 40,000 | 38,947 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 20,000 | 20,186 | |||||||||
Morgan Stanley Sub. Notes 4.35% due 09/08/2026 | 1,000 | 1,007 | |||||||||
Morgan Stanley Senior Notes 5.50% due 07/24/2020 | 100,000 | 105,041 | |||||||||
Morgan Stanley Senior Notes 6.63% due 04/01/2018 | 100,000 | 100,000 | |||||||||
2,238,154 | |||||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 25,000 | 24,937 | |||||||||
E-Commerce/Products — 0.1% | |||||||||||
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024* | 15,000 | 14,555 | |||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037* | 55,000 | 54,805 | |||||||||
69,360 | |||||||||||
Electric-Distribution — 0.1% | |||||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 35,000 | 34,626 | |||||||||
Electric-Generation — 0.0% | |||||||||||
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046 | 5,000 | 5,018 |
75
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated — 1.1% | |||||||||||
AES Corp. Senior Notes 4.00% due 03/15/2021 | $ | 60,000 | $ | 60,225 | |||||||
AES Corp. Senior Notes 4.88% due 05/15/2023 | 8,000 | 8,140 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028* | 25,000 | 24,127 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 30,000 | 29,315 | |||||||||
Duke Energy Corp. Senior Notes 3.75% due 09/01/2046 | 10,000 | 9,020 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 50,000 | 45,445 | |||||||||
Exelon Corp. Senior Notes 2.45% due 04/15/2021 | 5,000 | 4,887 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 50,000 | 49,551 | |||||||||
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023 | 10,000 | 10,241 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 120,000 | 117,313 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 30,000 | 29,373 | |||||||||
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034 | 50,000 | 59,597 | |||||||||
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031 | 50,000 | 65,016 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Bonds 4.50% due 06/01/2064 | 45,000 | 43,434 | |||||||||
Southern Co. Senior Notes 1.85% due 07/01/2019 | 25,000 | 24,664 | |||||||||
Southern Co. Senior Notes 2.75% due 06/15/2020 | 50,000 | 49,576 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 10,000 | 9,713 | |||||||||
639,637 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022 | 10,000 | 11,548 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Electronic Components-Semiconductors — 0.4% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 2.38% due 01/15/2020 | $ | 80,000 | $ | 78,884 | |||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.00% due 01/15/2022 | 25,000 | 24,531 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025 | 20,000 | 18,906 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024 | 80,000 | 78,698 | |||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 25,000 | 25,637 | |||||||||
226,656 | |||||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
Fortive Corp. Senior Notes 2.35% due 06/15/2021 | 30,000 | 29,166 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 20,000 | 19,714 | |||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 35,000 | 36,575 | |||||||||
Finance-Credit Card — 0.1% | |||||||||||
American Express Co. Senior Notes 3.40% due 02/27/2023 | 45,000 | 44,848 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(9) | 19,000 | 760 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)(9) | 21,000 | 2 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)(9) | 26,000 | 3 | |||||||||
765 | |||||||||||
Finance-Other Services — 0.3% | |||||||||||
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050* | 160,000 | 154,915 | |||||||||
Food-Misc./Diversified — 0.0% | |||||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 30,000 | 27,510 |
76
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Food-Wholesale/Distribution — 0.1% | |||||||||||
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021 | $ | 40,000 | $ | 39,250 | |||||||
Gas-Distribution — 0.0% | |||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024 | 25,000 | 24,844 | |||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.88% due 08/20/2026 | 5,000 | 4,887 | |||||||||
29,731 | |||||||||||
Insurance Brokers — 0.1% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 25,000 | 24,816 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 20,000 | 19,674 | |||||||||
44,490 | |||||||||||
Insurance-Life/Health — 0.1% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | 30,000 | 29,850 | |||||||||
Principal Life Global Funding II Senior Sec. Notes 2.20% due 04/08/2020* | 45,000 | 44,320 | |||||||||
74,170 | |||||||||||
Insurance-Multi-line — 0.5% | |||||||||||
Assurant, Inc. FRS Senior Notes 3.54% 3 ML+1.25% due 03/26/2021 | 270,000 | 270,302 | |||||||||
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023 | 20,000 | 16,400 | |||||||||
286,702 | |||||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 7,000 | 11,001 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025 | 20,000 | 20,600 | |||||||||
Medical Information Systems — 0.1% | |||||||||||
Quintiles IMS, Inc. Company Guar. Notes 4.88% due 05/15/2023* | 30,000 | 30,563 | |||||||||
Medical Instruments — 0.1% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 45,000 | 45,062 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Medical Products — 0.2% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | $ | 80,000 | $ | 77,000 | |||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 50,000 | 48,274 | |||||||||
125,274 | |||||||||||
Medical-Biomedical/Gene — 0.1% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 30,000 | 29,272 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 5,000 | 4,984 | |||||||||
Celgene Corp. Senior Notes 4.63% due 05/15/2044 | 20,000 | 19,945 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022 | 25,000 | 25,024 | |||||||||
79,225 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048* | 15,000 | 15,136 | |||||||||
Medical-HMO — 0.3% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 20,000 | 19,217 | |||||||||
Anthem, Inc. Senior Notes 2.30% due 07/15/2018 | 15,000 | 14,987 | |||||||||
Anthem, Inc. Senior Notes 3.50% due 08/15/2024 | 25,000 | 24,515 | |||||||||
Anthem, Inc. Senior Notes 3.65% due 12/01/2027 | 45,000 | 43,506 | |||||||||
Anthem, Inc. Senior Notes 4.63% due 05/15/2042 | 50,000 | 50,657 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 40,000 | 40,516 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045 | 10,000 | 11,005 | |||||||||
204,403 | |||||||||||
Medical-Hospitals — 0.4% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021 | 25,000 | 23,250 | |||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023 | 5,000 | 4,606 |
77
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Hospitals (continued) | |||||||||||
Dignity Health Sec. Notes 2.64% due 11/01/2019 | $ | 160,000 | $ | 159,318 | |||||||
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023 | 35,000 | 35,339 | |||||||||
222,513 | |||||||||||
Medical-Wholesale Drug Distribution — 0.2% | |||||||||||
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018 | 30,000 | 29,965 | |||||||||
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022 | 90,000 | 87,003 | |||||||||
116,968 | |||||||||||
Multimedia — 0.5% | |||||||||||
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034 | 50,000 | 62,121 | |||||||||
Time Warner, Inc. Company Guar. Notes 3.80% due 02/15/2027 | 65,000 | 62,844 | |||||||||
Time Warner, Inc. Company Guar. Notes 4.88% due 03/15/2020 | 67,000 | 69,276 | |||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 100,000 | 101,489 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 15,000 | 13,442 | |||||||||
309,172 | |||||||||||
Music — 0.1% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024* | 40,000 | 39,700 | |||||||||
Office Automation & Equipment — 0.1% | |||||||||||
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023 | 55,000 | 51,562 | |||||||||
Oil Companies-Exploration & Production — 0.6% | |||||||||||
Anadarko Petroleum Corp. Senior Notes 3.45% due 07/15/2024 | 30,000 | 29,125 | |||||||||
Anadarko Petroleum Corp. Senior Notes 6.60% due 03/15/2046 | 5,000 | 6,287 | |||||||||
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019 | 15,000 | 15,688 | |||||||||
Continental Resources, Inc. Senior Notes 4.38% due 01/15/2028* | 60,000 | 58,500 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023 | $ | 5,000 | $ | 5,056 | |||||||
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022 | 20,000 | 20,275 | |||||||||
Hess Corp. Senior Notes 4.30% due 04/01/2027 | 55,000 | 53,830 | |||||||||
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024 | 45,000 | 51,977 | |||||||||
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020 | 20,000 | 19,704 | |||||||||
Marathon Oil Corp. Senior Notes 4.40% due 07/15/2027 | 15,000 | 15,230 | |||||||||
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022 | 30,000 | 29,963 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 15,000 | 15,000 | |||||||||
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024 | 20,000 | 19,700 | |||||||||
340,335 | |||||||||||
Oil Refining & Marketing — 0.2% | |||||||||||
Andeavor Senior Notes 3.80% due 04/01/2028 | 20,000 | 19,079 | |||||||||
Phillips 66 Company Guar. Notes 3.90% due 03/15/2028 | 40,000 | 39,855 | |||||||||
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026 | 40,000 | 38,379 | |||||||||
97,313 | |||||||||||
Pharmacy Services — 1.0% | |||||||||||
CVS Health Corp. Senior Notes 2.80% due 07/20/2020 | 350,000 | 347,502 | |||||||||
CVS Health Corp. Senior Notes 3.13% due 03/09/2020 | 130,000 | 130,131 | |||||||||
CVS Health Corp. Senior Notes 3.88% due 07/20/2025 | 9,000 | 8,922 | |||||||||
CVS Health Corp. Senior Notes 4.10% due 03/25/2025 | 60,000 | 60,423 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 25,000 | 26,295 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 35,000 | 37,123 | |||||||||
610,396 |
78
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines — 0.7% | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 3.50% due 12/01/2022 | $ | 5,000 | $ | 4,914 | |||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027 | 40,000 | 38,995 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023 | 10,000 | 9,650 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 4.95% due 04/01/2022 | 5,000 | 5,025 | |||||||||
Kinder Morgan, Inc. Company Guar. Notes 5.55% due 06/01/2045 | 25,000 | 26,236 | |||||||||
MPLX LP Senior Notes 4.00% due 03/15/2028 | 20,000 | 19,710 | |||||||||
MPLX LP Senior Notes 4.13% due 03/01/2027 | 35,000 | 34,678 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 10,000 | 9,741 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,225 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 15,000 | 14,782 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024 | 30,000 | 29,830 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 5.35% due 05/15/2045 | 5,000 | 4,658 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 5.40% due 10/01/2047 | 70,000 | 66,687 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 45,000 | 43,218 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 10,000 | 9,548 | |||||||||
Valero Energy Partners LP Senior Notes 4.50% due 03/15/2028 | 40,000 | 40,235 | |||||||||
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028 | 35,000 | 35,071 | |||||||||
398,203 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Real Estate Investment Trusts — 0.1% | |||||||||||
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023 | $ | 30,000 | $ | 29,057 | |||||||
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024 | 15,000 | 14,382 | |||||||||
43,439 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025 | 20,000 | 20,475 | |||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027 | 25,000 | 25,187 | |||||||||
45,662 | |||||||||||
Retail-Building Products — 0.0% | |||||||||||
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056 | 20,000 | 17,859 | |||||||||
Retail-Restaurants — 0.1% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 35,000 | 35,194 | |||||||||
Steel-Producers — 0.0% | |||||||||||
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025 | 15,000 | 14,288 | |||||||||
Telephone-Integrated — 0.9% | |||||||||||
AT&T, Inc. Senior Notes 4.10% due 02/15/2028* | 35,000 | 34,753 | |||||||||
AT&T, Inc. Senior Notes 4.25% due 03/01/2027 | 15,000 | 15,163 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030* | 62,000 | 61,646 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 25,000 | 24,554 | |||||||||
AT&T, Inc. Senior Notes 4.75% due 05/15/2046 | 65,000 | 63,131 | |||||||||
AT&T, Inc. Senior Notes 5.15% due 02/14/2050 | 100,000 | 101,017 | |||||||||
AT&T, Inc. Senior Notes 5.25% due 03/01/2037 | 15,000 | 15,868 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 31,000 | 29,675 | |||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | 50,000 | 49,380 |
79
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Telephone-Integrated (continued) | |||||||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | $ | 20,000 | $ | 20,246 | |||||||
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048 | 20,000 | 19,271 | |||||||||
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055 | 39,000 | 37,096 | |||||||||
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046 | 30,000 | 30,275 | |||||||||
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054 | 25,000 | 24,997 | |||||||||
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037 | 45,000 | 48,524 | |||||||||
575,596 | |||||||||||
Tobacco — 0.8% | |||||||||||
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022 | 95,000 | 93,017 | |||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 20,000 | 18,686 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020* | 275,000 | 269,624 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037* | 35,000 | 34,776 | |||||||||
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020 | 46,000 | 46,004 | |||||||||
462,107 | |||||||||||
Transport-Rail — 0.2% | |||||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 75,000 | 71,688 | |||||||||
Norfolk Southern Corp. Senior Notes 2.90% due 06/15/2026 | 35,000 | 33,311 | |||||||||
104,999 | |||||||||||
Transport-Services — 0.1% | |||||||||||
FedEx Corp. Company Guar. Notes 4.05% due 02/15/2048 | 55,000 | 51,639 | |||||||||
FedEx Corp. Company Guar. Notes 4.55% due 04/01/2046 | 10,000 | 10,087 | |||||||||
FedEx Corp. Company Guar. Notes 4.75% due 11/15/2045 | 15,000 | 15,669 | |||||||||
77,395 | |||||||||||
Total U.S. Corporate Bonds & Notes (cost $10,545,461) | 10,447,624 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES — 4.0% | |||||||||||
Banks-Commercial — 0.8% | |||||||||||
Barclays Bank PLC Senior Notes 2.65% due 01/11/2021 | $ | 200,000 | $ | 197,138 | |||||||
Intesa Sanpaolo SpA Senior Notes 3.38% due 01/12/2023* | 200,000 | 195,248 | |||||||||
Royal Bank of Canada Senior Notes 2.15% due 10/26/2020 | 95,000 | 92,932 | |||||||||
485,318 | |||||||||||
Chemicals-Diversified — 0.0% | |||||||||||
LyondellBasell Industries NV Senior Notes 4.63% due 02/26/2055 | 20,000 | 19,527 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 35,000 | 34,567 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 10,000 | 9,993 | |||||||||
44,560 | |||||||||||
Consulting Services — 0.3% | |||||||||||
ACWA Power Management and Investments One, Ltd. Senior Sec. Notes 5.95% due 12/15/2039* | 200,000 | 206,036 | |||||||||
Cruise Lines — 0.0% | |||||||||||
VOC Escrow, Ltd. Senior Sec. Notes 5.00% due 02/15/2028* | 5,000 | 4,750 | |||||||||
Diversified Banking Institutions — 0.8% | |||||||||||
BNP Paribas SA Senior Notes 3.38% due 01/09/2025* | 200,000 | 193,458 | |||||||||
Deutsche Bank AG Senior Notes 2.70% due 07/13/2020 | 90,000 | 88,093 | |||||||||
HSBC Holdings PLC Senior Notes 3.03% due 11/22/2023 | 200,000 | 195,241 | |||||||||
476,792 | |||||||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 15,000 | 14,339 | |||||||||
Medical-Drugs — 0.1% | |||||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 50,000 | 48,276 | |||||||||
Valeant Pharmaceuticals International, Inc. Senior Sec. Notes 6.50% due 03/15/2022* | 30,000 | 30,975 | |||||||||
79,251 |
80
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Generic Drugs — 0.2% | |||||||||||
Allergen Funding SCS Company Guar. Notes 3.45% due 03/15/2022 | $ | 40,000 | $ | 39,658 | |||||||
Mylan NV Company Guar. Notes 3.00% due 12/15/2018 | 25,000 | 25,000 | |||||||||
Mylan NV Company Guar. Notes 3.15% due 06/15/2021 | 35,000 | 34,512 | |||||||||
Mylan NV Company Guar. Notes 3.75% due 12/15/2020 | 30,000 | 30,204 | |||||||||
129,374 | |||||||||||
Metal-Iron — 0.2% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 75,000 | 84,000 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039 | 10,000 | 11,850 | |||||||||
95,850 | |||||||||||
Oil Companies-Exploration & Production — 0.2% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 65,000 | 63,562 | |||||||||
Encana Corp. Senior Notes 3.90% due 11/15/2021 | 30,000 | 30,448 | |||||||||
94,010 | |||||||||||
Oil Companies-Integrated — 0.6% | |||||||||||
Petrobras Global Finance BV Company Guar. Notes 5.63% due 05/20/2043 | 90,000 | 78,525 | |||||||||
Petrobras Global Finance BV Company Guar. Notes 6.75% due 01/27/2041 | 20,000 | 19,500 | |||||||||
Petroleos Mexicanos Company Guar. Notes 5.35% due 02/12/2028* | 20,000 | 19,728 | |||||||||
Petroleos Mexicanos Senior Notes 6.35% due 02/12/2048* | 22,000 | 21,257 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.50% due 03/13/2027 | 15,000 | 16,020 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 104,000 | 105,236 | |||||||||
Shell International Finance BV Company Guar. Notes 4.38% due 05/11/2045 | 40,000 | 42,508 | |||||||||
YPF SA Senior Notes 16.50% due 05/09/2022* | ARS | 1,657,987 | 77,766 | ||||||||
380,540 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Pipelines — 0.0% | |||||||||||
Enbridge, Inc. Senior Notes 3.70% due 07/15/2027 | $ | 20,000 | $ | 19,171 | |||||||
Semiconductor Equipment — 0.1% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 40,000 | 39,400 | |||||||||
Steel-Producers — 0.1% | |||||||||||
ArcelorMittal Senior Notes 6.13% due 06/01/2025 | 50,000 | 54,375 | |||||||||
Telephone-Integrated — 0.2% | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 5.88% due 07/15/2019 | 65,000 | 67,415 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036 | 30,000 | 38,058 | |||||||||
105,473 | |||||||||||
Television — 0.0% | |||||||||||
Videotron, Ltd. Company Guar. Notes 5.38% due 06/15/2024* | 20,000 | 20,650 | |||||||||
Tobacco — 0.1% | |||||||||||
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020* | 45,000 | 44,616 | |||||||||
Transport-Rail — 0.1% | |||||||||||
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021 | 30,000 | 35,677 | |||||||||
Wireless Equipment — 0.1% | |||||||||||
Nokia OYJ Senior Notes 4.38% due 06/12/2027 | 40,000 | 37,550 | |||||||||
Nokia OYJ Senior Notes 6.63% due 05/15/2039 | 20,000 | 21,350 | |||||||||
58,900 | |||||||||||
Total Foreign Corporate Bonds & Notes (cost $2,466,309) | 2,408,609 | ||||||||||
MUNICIPAL BONDS & NOTES — 1.1% | |||||||||||
Chicago Board of Education General Obligation Bonds 5.48% due 12/01/2024 | 30,000 | 29,207 | |||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 15,000 | 14,071 | |||||||||
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040 | 90,000 | 118,754 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029 | 50,000 | 53,916 |
81
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
MUNICIPAL BONDS & NOTES (continued) | |||||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | $ | 45,000 | $ | 49,880 | |||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 5,000 | 6,211 | |||||||||
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038(10) | 300,000 | 108,750 | |||||||||
State of California General Obligation Bonds 7.35% due 11/01/2039 | 45,000 | 65,785 | |||||||||
State of California General Obligation Bonds 7.63% due 03/01/2040 | 80,000 | 121,827 | |||||||||
State of Illinois General Obligation Bonds 5.38% due 07/01/2018 | 30,000 | 30,151 | |||||||||
State of Illinois General Obligation Bonds 5.88% due 03/01/2019 | 65,000 | 66,407 | |||||||||
Total Municipal Bonds & Notes (cost $694,984) | 664,959 | ||||||||||
U.S. GOVERNMENT AGENCIES — 26.9% | |||||||||||
Federal Home Loan Mtg. Corp. — 5.4% | |||||||||||
2.50% due 01/01/2028 | 11,883 | 11,724 | |||||||||
2.50% due 04/01/2028 | 29,869 | 29,468 | |||||||||
3.00% due 08/01/2027 | 40,933 | 41,094 | |||||||||
3.00% due April TBA | 600,000 | 585,000 | |||||||||
3.50% due 03/01/2042 | 11,111 | 11,195 | |||||||||
3.50% due 08/01/2042 | 64,454 | 64,943 | |||||||||
3.50% due 09/01/2043 | 46,614 | 46,968 | |||||||||
3.50% due April TBA | 800,000 | 801,867 | |||||||||
4.00% due 03/01/2023 | 2,712 | 2,790 | |||||||||
4.00% due 09/01/2040 | 5,335 | 5,519 | |||||||||
4.00% due 10/01/2043 | 64,566 | 66,655 | |||||||||
4.00% due April TBA | 900,000 | 923,871 | |||||||||
4.50% due 01/01/2039 | 2,098 | 2,209 | |||||||||
5.00% due 12/01/2020 | 3,214 | 3,286 | |||||||||
5.00% due 05/01/2021 | 32,485 | 33,359 | |||||||||
5.00% due 07/01/2021 | 9,765 | 9,818 | |||||||||
5.00% due 05/01/2034 | 29,936 | 32,437 | |||||||||
5.50% due 05/01/2037 | 6,143 | 6,731 | |||||||||
5.50% due 06/01/2037 | 3,461 | 3,823 | |||||||||
6.50% due 05/01/2029 | 1,671 | 1,882 | |||||||||
6.50% due 07/01/2035 | 1,939 | 2,184 | |||||||||
Federal Home Loan Mtg. Corp. FRS 3.11% (6 ML+1.49%) due 02/01/2037 | 3,415 | 3,515 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.00% due 10/25/2047*(5)(6) | 80,000 | 79,654 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series 2017-K728, Class B 3.65% due 09/25/2024*(5)(6) | $ | 20,000 | $ | 19,517 | |||||||
Series 2017-K729,Class B 3.67% due 11/25/2049*(5)(6) | 30,000 | 29,070 | |||||||||
Series 2017-K729,Class C 3.67% due 11/25/2049*(5)(6) | 25,000 | 23,509 | |||||||||
Series 2017-K71, Class B 3.75% due 11/25/2050*(5)(6) | 25,000 | 24,150 | |||||||||
Series 2017-K67, Class B 3.94% due 09/25/2049*(5)(6) | 25,000 | 25,000 | |||||||||
Series 2017-K64, Class B 3.98% due 03/25/2027*(5)(6) | 10,000 | 9,867 | |||||||||
Series 2012-K706, Class B 4.03% due 11/25/2044*(5)(6) | 70,000 | 70,210 | |||||||||
Series 2017-K66, Class B 4.03% due 07/25/2027*(5)(6) | 40,000 | 40,290 | |||||||||
Series 2017-K65, Class B 4.07% due 05/25/2027*(5)(6) | 45,000 | 45,400 | |||||||||
Series 2010-K8, Class B 5.28% due 09/25/2043*(5)(6) | 90,000 | 94,207 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(6) | 79,000 | 78,998 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K064, Class X1 0.61% due 03/25/2027(5)(6)(7) | 373,886 | 17,448 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(3) | 6,818 | 6,635 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(3) | 26,437 | 26,398 | |||||||||
Series 1577, Class PK 6.50% due 09/15/2023(3) | 3,293 | 3,472 | |||||||||
Series 1226, Class Z 7.75% due 03/15/2022(3) | 373 | 398 | |||||||||
3,284,561 | |||||||||||
Federal National Mtg. Assoc. — 16.3% | |||||||||||
2.50% due 04/01/2028 | 48,166 | 47,548 | |||||||||
2.50% due 02/01/2043 | 70,975 | 67,222 | |||||||||
2.50% due 03/01/2043 | 137,499 | 130,237 | |||||||||
2.64% due 03/01/2027 | 37,750 | 36,548 | |||||||||
2.66% due 03/01/2027 | 410,000 | 394,394 | |||||||||
2.78% due 03/01/2027 | 78,000 | 75,833 | |||||||||
2.88% due 11/01/2027 | 160,000 | 155,708 | |||||||||
3.00% due 07/01/2027 | 110,000 | 108,161 | |||||||||
3.00% due 10/01/2027 | 17,810 | 17,894 | |||||||||
3.00% due 12/01/2027 | 11,317 | 11,343 | |||||||||
3.00% due 01/01/2028 | 27,088 | 27,150 | |||||||||
3.16% due 08/01/2027 | 150,000 | 149,459 | |||||||||
3.50% due April TBA | 5,600,000 | 5,611,703 | |||||||||
4.00% due 11/01/2025 | 5,895 | 6,093 |
82
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PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
4.00% due 09/01/2040 | $ | 4,115 | $ | 4,253 | |||||||
4.00% due 12/01/2040 | 84,981 | 87,843 | |||||||||
4.00% due 11/01/2041 | 7,565 | 7,820 | |||||||||
4.00% due 01/01/2042 | 20,164 | 20,755 | |||||||||
4.00% due 12/01/2043 | 23,808 | 24,647 | |||||||||
4.00% due April TBA | 900,000 | 923,576 | |||||||||
4.50% due 01/01/2039 | 5,623 | 5,942 | |||||||||
4.50% due 09/01/2039 | 14,029 | 14,835 | |||||||||
4.50% due 09/01/2040 | 28,611 | 30,260 | |||||||||
4.50% due 05/01/2041 | 12,506 | 13,223 | |||||||||
4.50% due April TBA | 800,000 | 837,672 | |||||||||
5.00% due 06/01/2019 | 944 | 959 | |||||||||
5.00% due 05/01/2035 | 299 | 323 | |||||||||
5.00% due 07/01/2040 | 21,186 | 22,899 | |||||||||
5.00% due April TBA | 300,000 | 320,438 | |||||||||
5.50% due 10/01/2021 | 5,813 | 5,991 | |||||||||
5.50% due 06/01/2022 | 2,284 | 2,345 | |||||||||
5.50% due 12/01/2029 | 4,308 | 4,677 | |||||||||
5.50% due 05/01/2034 | 16,794 | 18,419 | |||||||||
5.50% due 08/01/2037 | 22,923 | 25,150 | |||||||||
5.50% due 06/01/2038 | 5,461 | 5,993 | |||||||||
6.00% due 06/01/2026 | 13,018 | 14,465 | |||||||||
6.00% due 04/01/2027 | 65,169 | 72,416 | |||||||||
6.00% due 12/01/2033 | 20,483 | 23,048 | |||||||||
6.00% due 05/01/2034 | 13,128 | 14,742 | |||||||||
6.50% due 06/01/2035 | 37,383 | 41,719 | |||||||||
6.50% due 10/01/2037 | 3,288 | 3,669 | |||||||||
7.00% due 06/01/2037 | 13,902 | 15,634 | |||||||||
Federal National Mtg. Assoc. FRS 3.36% (12 ML+1.57%) due 05/01/2037 | 4,987 | 5,200 | |||||||||
3.57% (12 ML+1.82%) due 10/01/2040 | 5,566 | 5,822 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 5.42% 1 ML+3.55% due 07/25/2029(3) | 35,000 | 38,003 | |||||||||
Series 2016-C07, Class 2M2 6.22% 1 ML+4.35% due 05/25/2029(3) | 70,143 | 77,898 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(3) | 9,434 | 9,156 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(3) | 22,811 | 21,716 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(3) | 45,311 | 43,314 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(3) | 48,435 | 47,124 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(3) | 60,435 | 60,044 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(3) | 57,762 | 57,255 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(3) | $ | 57,697 | $ | 57,188 | |||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(3) | 52,740 | 53,491 | |||||||||
9,879,217 | |||||||||||
Government National Mtg. Assoc. — 5.2% | |||||||||||
3.00% due April TBA | 700,000 | 688,666 | |||||||||
3.50% due April TBA | 1,500,000 | 1,514,561 | |||||||||
4.00% due 09/15/2040 | 16,078 | 16,625 | |||||||||
4.00% due 11/15/2040 | 65,979 | 68,224 | |||||||||
4.00% due April TBA | 500,000 | 513,936 | |||||||||
4.50% due 02/15/2039 | 7,084 | 7,368 | |||||||||
4.50% due 08/15/2041 | 132,456 | 138,797 | |||||||||
4.50% due April TBA | 100,000 | 103,959 | |||||||||
5.50% due 05/15/2036 | 7,539 | 8,197 | |||||||||
6.00% due 09/15/2032 | 10,046 | 11,448 | |||||||||
6.00% due 12/15/2033 | 34,589 | 39,596 | |||||||||
7.00% due 07/15/2033 | 8,683 | 9,813 | |||||||||
7.00% due 11/15/2033 | 9,619 | 10,984 | |||||||||
8.00% due 11/15/2031 | 3,322 | 3,360 | |||||||||
9.00% due 11/15/2021 | 104 | 111 | |||||||||
Government National Mtg. Assoc., REMIC Series 2005-74, Class HA 7.50% due 09/16/2035(3) | 108 | 117 | |||||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(3) | 7,185 | 8,110 | |||||||||
3,143,872 | |||||||||||
Tennessee Valley Authority — 0.0% | |||||||||||
1.75% due 10/15/2018 | 25,000 | 24,958 | |||||||||
Total U.S. Government Agencies (cost $16,299,334) | 16,332,608 | ||||||||||
U.S. GOVERNMENT TREASURIES — 10.1% | |||||||||||
United States Treasury Bonds — 1.9% | |||||||||||
2.50% due 02/15/2045(12) | 213,000 | 194,487 | |||||||||
2.88% due 11/15/2046 | 228,000 | 223,600 | |||||||||
3.00% due 11/15/2045 | 170,000 | 170,956 | |||||||||
3.00% due 02/15/2047 | 108,000 | 108,574 | |||||||||
3.63% due 08/15/2043 | 100,000 | 111,949 | |||||||||
3.63% due 02/15/2044 | 100,000 | 112,051 | |||||||||
5.00% due 05/15/2037 | 204,000 | 268,890 | |||||||||
1,190,507 | |||||||||||
United States Treasury Notes — 8.2% | |||||||||||
0.25% due 01/15/2025 TIPS(11)(13) | 1,161,404 | 1,135,829 | |||||||||
0.38% due 07/15/2027 TIPS(11) | 1,144,803 | 1,116,817 | |||||||||
1.25% due 10/31/2021 | 418,000 | 400,610 | |||||||||
1.38% due 05/31/2021 | 880,000 | 851,744 | |||||||||
1.63% due 03/15/2020 | 900,000 | 888,504 | |||||||||
2.00% due 02/15/2023 | 240,000 | 233,859 | |||||||||
2.00% due 06/30/2024 | 340,000 | 327,184 | |||||||||
4,954,547 | |||||||||||
Total U.S. Government Treasuries (cost $6,293,559) | 6,145,054 |
83
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 1.1% | |||||||||||
Sovereign — 1.1% | |||||||||||
Abu Dhabi Government Senior Notes 2.50% due 10/11/2022* | $ | 200,000 | $ | 192,630 | |||||||
Abu Dhabi Government Senior Notes 4.13% due 10/11/2047* | 200,000 | 187,121 | |||||||||
Kingdom of Saudi Arabia Senior Notes 4.63% due 10/04/2047* | 200,000 | 190,750 | |||||||||
Republic of Hungary Senior Bonds 6.25% due 01/29/2020 | 25,000 | 26,437 | |||||||||
United Mexican States Senior Notes 5.75% due 10/12/2110 | 48,000 | 48,840 | |||||||||
Total Foreign Government Obligations (cost $672,038) | 645,778 | ||||||||||
Total Long-Term Investment Securities (cost $68,323,236) | 72,168,938 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 2.1% | |||||||||||
Foreign Government Obligations — 1.9% | |||||||||||
Government of Egypt Disc. Notes 17.41% due 10/16/2018 | EGP | 900,000 | 46,659 | ||||||||
Government of Japan Disc. Notes (0.14)% due 04/09/2018 | JPY | 95,950,000 | 901,762 | ||||||||
Republic of Argentina Bills 3.06% due 06/15/2018 | 119,763 | 119,019 | |||||||||
Republic of Argentina Bills 3.13% due 05/24/2018 | 35,783 | 35,629 | |||||||||
Republic of Argentina Bills 3.30% due 04/27/2018 | 65,521 | 65,396 | |||||||||
1,168,465 | |||||||||||
U.S. Government Agencies — 0.2% | |||||||||||
Federal Home Loan Bank Disc. Notes 1.12% due 04/02/2018 | 100,000 | 100,000 | |||||||||
Total Short-Term Investment Securities (cost $1,218,978) | 1,268,465 | ||||||||||
REPURCHASE AGREEMENTS — 0.3% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(16) | 60,000 | 60,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(16) | 25,000 | 25,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(16) | 45,000 | 45,000 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS (continued) | |||||||||||
Deutsche Bank AG Joint Repurchase Agreement(16) | $ | 35,000 | $ | 35,000 | |||||||
RBS Securities, Inc. Joint Repurchase Agreement(16) | 15,000 | 15,000 | |||||||||
Total Repurchase Agreements (cost $180,000) | 180,000 | ||||||||||
TOTAL INVESTMENTS (cost $69,722,214)(17) | 121.4 | % | 73,617,403 | ||||||||
Liabilities in excess of other assets | (21.4 | ) | (12,980,296 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 60,637,107 |
@ See Note 1
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2018, the aggregate value of these securities was $15,543,231 representing 25.6% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.
(1) Securities classified as Level 3 (see Note 2).
(2) Perpetual maturity — maturity date reflects the next call date.
(3) Collateralized Mortgage Obligation
(4) Collateralized Loan Obligation
(5) 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 above.
(6) Commercial Mortgage Backed Security
(7) Interest Only
(8) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2018.
(9) Illiquid security. At March 31, 2018, the aggregate value of these securities was $679,463 representing 1.1% of net assets.
(10) Security in default of interest.
(11) Principal amount of security is adjusted for inflation.
(12) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(13) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(14) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price
84
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2018, the SA Multi-Managed Income/Equity Portfolio held the following restricted securities:
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
ION Media Networks, Inc. | 03/05/2014 | 10 | $ | 0 | $ | 8,062 | $ | 806.17 | 0.00 | % |
(15) Denominated in United States dollars unless otherwise indicated.
(16) See Note 2 for details of Joint Repurchase Agreements.
(17) See Note 4 for cost of investments on a tax basis.
ARS — Argentine Peso
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
EGP — Egyptian Pound
EUR — Euro Currency
JPY — Japanese Yen
REMIC — Real Estate Mortgage Investment Conduit
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at March 31, 2018 and unless noted otherwise, the dates shown are the original maturity dates.
Index Legend |
1 ML — 1 Month USD LIBOR
3 ML — 3 Month USD LIBOR
6 ML — 6 Month USD LIBOR
12 ML — 12 Month USD LIBOR
1 Yr USTYCR — 1 Year US Treasury Yield Curve Rate
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
2 | Long | 90 Day Eurodollar | March 2019 | $ | 486,600 | $ | 487,050 | $ | 450 | ||||||||||||||||||
4 | Short | 90 Day Eurodollar | March 2020 | 971,700 | 972,050 | (350 | ) | ||||||||||||||||||||
3 | Short | Canada 10 Year Bonds | June 2018 | 308,752 | 310,327 | (1,575 | ) | ||||||||||||||||||||
21 | Short | U.S. Treasury 10 Year Notes | June 2018 | 2,530,041 | 2,543,953 | (13,912 | ) | ||||||||||||||||||||
29 | Short | U.S. Treasury 10 Year Ultra Bonds | June 2018 | 3,726,938 | 3,765,922 | (38,984 | ) | ||||||||||||||||||||
6 | Long | U.S. Treasury 2 Year Notes | June 2018 | 1,276,156 | 1,275,656 | (500 | ) | ||||||||||||||||||||
26 | Long | U.S. Treasury 5 Year Notes | June 2018 | 2,968,101 | 2,975,984 | 7,883 | |||||||||||||||||||||
8 | Long | U.S. Treasury Ultra Bonds | June 2018 | 1,254,726 | 1,283,750 | 29,024 | |||||||||||||||||||||
$ | (17,964 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||||
Citibank N.A. | JPY | 95,950,000 | USD | 857,056 | 04/09/2018 | $ | — | $ | (45,028 | ) | |||||||||||||||||||||
Morgan Stanley and Co., Inc. | EUR | 209,000 | USD | 258,456 | 04/30/2018 | 816 | — | ||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 816 | $ | (45,028 | ) |
EUR — Euro Currency
JPY — Japanese Yen
USD — United States Dollar
85
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Centrally Cleared Interest Rate Swap Contracts
Rates Exchanged | Value | ||||||||||||||||||||||
Notional Amount (000's) | Maturity Date | Payments Received by the Portfolio/Frequency | Payments Made by the Portfolio/Frequency | Upfront Payments Made (Received) by the Portfolio | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 240 | 11/14/2026 | H.15-OIS-COMPOUND/Annually | 1.63%/Annually | $ | — | $ | 13,885 | |||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 165 | 11/15/2024 | H.15-OIS-COMPOUND/Annually | 2.18%/Annually | (266 | ) | 1,976 | ||||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 170 | 11/15/2024 | H.15-OIS-COMPOUND/Annually | 2.18%/Annually | — | 1,762 | |||||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 25 | 11/15/2024 | H.15-OIS-COMPOUND/Annually | 2.25%/Annually | 302 | (153 | ) | ||||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 80 | 11/15/2024 | H.15-OIS-COMPOUND/Annually | 2.25%/Annually | 964 | (486 | ) | ||||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 245 | 11/15/2024 | H.15-OIS-COMPOUND/Annually | 2.06%/Annually | 5,472 | (1,135 | ) | ||||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 105 | 11/15/2024 | H.15-OIS-COMPOUND/Annually | 2.46%/Annually | — | (724 | ) | ||||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 110 | 11/15/2024 | H.15-OIS-COMPOUND/Annually | 2.45%/Annually | — | (725 | ) | ||||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 85 | 11/15/2024 | H.15-OIS-COMPOUND/Annually | 2.45%/Annually | — | (556 | ) | ||||||||||||||||
USD | 395 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (8,787 | ) | 14,897 | ||||||||||||||||
$ | (2,315 | ) | $ | 28,741 |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
OIS — Overnight Index Swap
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Common Stocks: | |||||||||||||||||||
Television | $ | — | $ | — | $ | 8,062 | $ | 8,062 | |||||||||||
Other Industries | 19,195,359 | — | — | 19,195,359 | |||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 2 | 2 | |||||||||||||||
Other Industries | — | 897,186 | — | 897,186 | |||||||||||||||
Asset Backed Securities: | |||||||||||||||||||
Diversified Financial Services | — | 15,314,187 | 109,510 | 15,423,697 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | 760 | 5 | 765 | |||||||||||||||
Other Industries | — | 10,446,859 | — | 10,446,859 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 2,408,609 | — | 2,408,609 | |||||||||||||||
Municipal Bond & Notes | — | 664,959 | — | 664,959 | |||||||||||||||
U.S. Government Agencies | — | 16,332,608 | — | 16,332,608 | |||||||||||||||
U.S. Government Treasuries | — | 6,145,054 | — | 6,145,054 | |||||||||||||||
Foreign Government Obligations | — | 645,778 | — | 645,778 | |||||||||||||||
Short-Term Investment Securities | — | 1,268,465 | — | 1,268,465 | |||||||||||||||
Repurchase Agreements | — | 180,000 | — | 180,000 | |||||||||||||||
Total Investments at Value | $ | 19,195,359 | $ | 54,304,465 | $ | 117,579 | $ | 73,617,403 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 37,357 | $ | — | $ | — | $ | 37,357 | |||||||||||
Forward Foreign Currency Contracts | — | 816 | — | 816 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 32,520 | — | 32,520 | |||||||||||||||
Total Other Financial Instruments | $ | 37,357 | $ | 33,336 | $ | — | $ | 70,693 |
86
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 55,321 | $ | — | $ | — | $ | 55,321 | |||||||||||
Forward Foreign Currency Contracts | — | 45,028 | — | 45,028 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 3,779 | — | 3,779 | |||||||||||||||
Total Other Financial Instruments | $ | 55,321 | $ | 48,807 | $ | — | $ | 104,128 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.
At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.
See Notes to Financial Statements
87
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Diversified Financial Services | 30.4 | % | |||||
Federal National Mtg. Assoc. | 20.5 | ||||||
United States Treasury Notes | 10.4 | ||||||
Diversified Banking Institutions | 7.3 | ||||||
Government National Mtg. Assoc. | 7.2 | ||||||
Federal Home Loan Mtg. Corp. | 6.8 | ||||||
United States Treasury Bonds | 2.7 | ||||||
Foreign Government Obligations | 2.4 | ||||||
Telephone-Integrated | 1.4 | ||||||
Tobacco | 1.4 | ||||||
Electric-Integrated | 1.3 | ||||||
Cable/Satellite TV | 1.3 | ||||||
Sovereign | 1.3 | ||||||
Pharmacy Services | 1.3 | ||||||
Municipal Bonds & Notes | 1.3 | ||||||
Electronic Components-Semiconductors | 1.3 | ||||||
Banks-Commercial | 1.1 | ||||||
Applications Software | 1.0 | ||||||
Repurchase Agreements | 1.0 | ||||||
Web Portals/ISP | 1.0 | ||||||
E-Commerce/Products | 1.0 | ||||||
Oil Companies-Exploration & Production | 1.0 | ||||||
Computers | 0.9 | ||||||
Multimedia | 0.9 | ||||||
Pipelines | 0.8 | ||||||
Finance-Credit Card | 0.8 | ||||||
Medical-Biomedical/Gene | 0.8 | ||||||
Oil Companies-Integrated | 0.8 | ||||||
Banks-Super Regional | 0.7 | ||||||
Retail-Restaurants | 0.7 | ||||||
Consulting Services | 0.6 | ||||||
Medical-HMO | 0.6 | ||||||
Diversified Manufacturing Operations | 0.6 | ||||||
Broadcast Services/Program | 0.6 | ||||||
Insurance-Multi-line | 0.6 | ||||||
Medical-Hospitals | 0.5 | ||||||
Building-Heavy Construction | 0.5 | ||||||
Transport-Rail | 0.5 | ||||||
Real Estate Investment Trusts | 0.5 | ||||||
Finance-Other Services | 0.4 | ||||||
Electronic Forms | 0.4 | ||||||
Medical-Generic Drugs | 0.4 | ||||||
Enterprise Software/Service | 0.4 | ||||||
Medical-Drugs | 0.4 | ||||||
Internet Content-Entertainment | 0.3 | ||||||
Brewery | 0.3 | ||||||
Auto-Cars/Light Trucks | 0.3 | ||||||
Retail-Building Products | 0.3 | ||||||
Electronic Components-Misc. | 0.3 | ||||||
Beverages-Non-alcoholic | 0.3 | ||||||
Drug Delivery Systems | 0.3 | ||||||
Entertainment Software | 0.3 | ||||||
Medical Products | 0.3 | ||||||
Commercial Services | 0.3 | ||||||
Airlines | 0.3 | ||||||
Medical Instruments | 0.3 | ||||||
Aerospace/Defense | 0.2 | ||||||
Medical-Wholesale Drug Distribution | 0.2 | ||||||
Industrial Gases | 0.2 | ||||||
E-Commerce/Services | 0.2 |
Aerospace/Defense-Equipment | 0.2 | % | |||||
Coatings/Paint | 0.2 | ||||||
Oil Refining & Marketing | 0.2 | ||||||
Semiconductor Equipment | 0.2 | ||||||
Auto/Truck Parts & Equipment-Original | 0.2 | ||||||
Metal-Iron | 0.2 | ||||||
Cosmetics & Toiletries | 0.2 | ||||||
Medical Information Systems | 0.2 | ||||||
Beverages-Wine/Spirits | 0.2 | ||||||
Containers-Metal/Glass | 0.2 | ||||||
Athletic Footwear | 0.2 | ||||||
Insurance-Property/Casualty | 0.2 | ||||||
Finance-Investment Banker/Broker | 0.2 | ||||||
Transport-Services | 0.2 | ||||||
Finance-Consumer Loans | 0.2 | ||||||
Diagnostic Equipment | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Insurance-Life/Health | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Building Products-Cement | 0.1 | ||||||
Electric Products-Misc. | 0.1 | ||||||
Computer Services | 0.1 | ||||||
Electronic Connectors | 0.1 | ||||||
Wireless Equipment | 0.1 | ||||||
Therapeutics | 0.1 | ||||||
Commercial Services-Finance | 0.1 | ||||||
Food-Confectionery | 0.1 | ||||||
Office Automation & Equipment | 0.1 | ||||||
Food-Catering | 0.1 | ||||||
Computer Software | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Retail-Gardening Products | 0.1 | ||||||
Chemicals-Specialty | 0.1 | ||||||
Cruise Lines | 0.1 | ||||||
Retail-Discount | 0.1 | ||||||
Music | 0.1 | ||||||
Cellular Telecom | 0.1 | ||||||
Food-Wholesale/Distribution | 0.1 | ||||||
Electric-Distribution | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
Distribution/Wholesale | 0.1 | ||||||
Independent Power Producers | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Building-Residential/Commercial | 0.1 | ||||||
Electronic Measurement Instruments | 0.1 | ||||||
Food-Misc./Diversified | 0.1 | ||||||
Data Processing/Management | 0.1 | ||||||
128.6 | % |
88
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited) (continued)
Credit Quality†# | |||||||
Aaa | 57.9 | % | |||||
Aa | 1.6 | ||||||
A | 8.4 | ||||||
Baa | 12.5 | ||||||
Ba | 5.3 | ||||||
B | 0.4 | ||||||
Caa | 0.9 | ||||||
Ca | 0.2 | ||||||
Not Rated## | 12.8 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
† Source: Moody's
# Calculated as a percentage of total debt issues, excluding short-term securities.
## Represents debt issues that either have no rating, or the rating is unavailable from the data source.
@ See Note 1
89
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 16.4% | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
Northrop Grumman Corp. | 202 | $ | 70,522 | ||||||||
Aerospace/Defense-Equipment — 0.2% | |||||||||||
L3 Technologies, Inc. | 530 | 110,240 | |||||||||
Airlines — 0.2% | |||||||||||
United Continental Holdings, Inc.† | 1,229 | 85,379 | |||||||||
Apparel Manufacturers — 0.0% | |||||||||||
Under Armour, Inc., Class C† | 1,314 | 18,856 | |||||||||
Applications Software — 0.9% | |||||||||||
Microsoft Corp. | 3,206 | 292,611 | |||||||||
salesforce.com, Inc.† | 1,379 | 160,378 | |||||||||
452,989 | |||||||||||
Athletic Footwear — 0.2% | |||||||||||
NIKE, Inc., Class B | 1,265 | 84,047 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.2% | |||||||||||
Aptiv PLC | 1,151 | 97,800 | |||||||||
Beverages-Non-alcoholic — 0.3% | |||||||||||
Coca-Cola Co. | 3,488 | 151,484 | |||||||||
Building Products-Cement — 0.1% | |||||||||||
Vulcan Materials Co. | 599 | 68,388 | |||||||||
Cable/Satellite TV — 0.2% | |||||||||||
Comcast Corp., Class A | 3,215 | 109,857 | |||||||||
Coatings/Paint — 0.2% | |||||||||||
Sherwin-Williams Co. | 236 | 92,540 | |||||||||
Commercial Services — 0.3% | |||||||||||
CoStar Group, Inc.† | 226 | 81,966 | |||||||||
ServiceMaster Global Holdings, Inc.† | 796 | 40,476 | |||||||||
122,442 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Worldpay, Inc., Class A† | 438 | 36,021 | |||||||||
Computer Services — 0.1% | |||||||||||
Amdocs, Ltd. | 986 | 65,786 | |||||||||
Computer Software — 0.1% | |||||||||||
SS&C Technologies Holdings, Inc. | 869 | 46,613 | |||||||||
Computers — 0.7% | |||||||||||
Apple, Inc. | 2,112 | 354,351 | |||||||||
Consulting Services — 0.2% | |||||||||||
Gartner, Inc.† | 518 | 60,927 | |||||||||
Verisk Analytics, Inc.† | 482 | 50,128 | |||||||||
111,055 | |||||||||||
Containers-Metal/Glass — 0.2% | |||||||||||
Ball Corp. | 2,161 | 85,813 | |||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Sealed Air Corp. | 1,678 | 71,802 | |||||||||
Cosmetics & Toiletries — 0.2% | |||||||||||
Estee Lauder Cos., Inc., Class A | 620 | 92,826 | |||||||||
Cruise Lines — 0.1% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 711 | 37,662 |
Security Description | Shares | Value (Note 2) | |||||||||
Diagnostic Equipment — 0.1% | |||||||||||
Thermo Fisher Scientific, Inc. | 340 | $ | 70,196 | ||||||||
Distribution/Wholesale — 0.1% | |||||||||||
Fastenal Co. | 607 | 33,136 | |||||||||
Diversified Manufacturing Operations — 0.5% | |||||||||||
A.O. Smith Corp. | 973 | 61,873 | |||||||||
Illinois Tool Works, Inc. | 647 | 101,359 | |||||||||
Parker-Hannifin Corp. | 607 | 103,815 | |||||||||
267,047 | |||||||||||
Drug Delivery Systems — 0.3% | |||||||||||
DexCom, Inc.† | 1,099 | 81,502 | |||||||||
Nektar Therapeutics† | 524 | 55,680 | |||||||||
137,182 | |||||||||||
E-Commerce/Products — 0.9% | |||||||||||
Amazon.com, Inc.† | 274 | 396,571 | |||||||||
Wayfair, Inc., Class A† | 380 | 25,662 | |||||||||
422,233 | |||||||||||
E-Commerce/Services — 0.2% | |||||||||||
Booking Holdings, Inc.† | 54 | 112,341 | |||||||||
Electric Products-Misc. — 0.1% | |||||||||||
AMETEK, Inc. | 870 | 66,094 | |||||||||
Electronic Components-Misc. — 0.3% | |||||||||||
Flex, Ltd.† | 4,236 | 69,174 | |||||||||
Sensata Technologies Holding PLC† | 1,626 | 84,275 | |||||||||
153,449 | |||||||||||
Electronic Components-Semiconductors — 0.8% | |||||||||||
Broadcom, Ltd. | 553 | 130,314 | |||||||||
Microchip Technology, Inc. | 1,211 | 110,637 | |||||||||
Texas Instruments, Inc. | 1,394 | 144,823 | |||||||||
385,774 | |||||||||||
Electronic Connectors — 0.1% | |||||||||||
Amphenol Corp., Class A | 706 | 60,808 | |||||||||
Electronic Forms — 0.4% | |||||||||||
Adobe Systems, Inc.† | 971 | 209,814 | |||||||||
Enterprise Software/Service — 0.4% | |||||||||||
Tyler Technologies, Inc.† | 431 | 90,924 | |||||||||
Ultimate Software Group, Inc.† | 336 | 81,883 | |||||||||
172,807 | |||||||||||
Entertainment Software — 0.3% | |||||||||||
Activision Blizzard, Inc. | 2,000 | 134,920 | |||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Synchrony Financial | 1,061 | 35,575 | |||||||||
Finance-Credit Card — 0.7% | |||||||||||
Mastercard, Inc., Class A | 982 | 172,007 | |||||||||
Visa, Inc., Class A | 1,620 | 193,784 | |||||||||
365,791 | |||||||||||
Finance-Investment Banker/Broker — 0.2% | |||||||||||
TD Ameritrade Holding Corp. | 1,315 | 77,887 | |||||||||
Finance-Other Services — 0.1% | |||||||||||
Intercontinental Exchange, Inc. | 761 | 55,188 | |||||||||
Food-Catering — 0.1% | |||||||||||
Aramark | 1,226 | 48,501 |
90
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Food-Confectionery — 0.1% | |||||||||||
Hershey Co. | 537 | $ | 53,142 | ||||||||
Independent Power Producers — 0.1% | |||||||||||
NRG Energy, Inc. | 1,066 | 32,545 | |||||||||
Industrial Gases — 0.2% | |||||||||||
Air Products & Chemicals, Inc. | 716 | 113,865 | |||||||||
Insurance-Property/Casualty — 0.2% | |||||||||||
Progressive Corp. | 1,316 | 80,184 | |||||||||
Internet Content-Entertainment — 0.3% | |||||||||||
Facebook, Inc., Class A† | 1,063 | 169,857 | |||||||||
Medical Information Systems — 0.1% | |||||||||||
athenahealth, Inc.† | 398 | 56,926 | |||||||||
Medical Instruments — 0.2% | |||||||||||
Boston Scientific Corp.† | 2,721 | 74,338 | |||||||||
Medical-Biomedical/Gene — 0.6% | |||||||||||
AnaptysBio, Inc.† | 344 | 35,803 | |||||||||
Biogen, Inc.† | 295 | 80,777 | |||||||||
Celgene Corp.† | 798 | 71,190 | |||||||||
Insmed, Inc.† | 685 | 15,426 | |||||||||
Puma Biotechnology, Inc.† | 703 | 47,839 | |||||||||
Regeneron Pharmaceuticals, Inc.† | 183 | 63,018 | |||||||||
314,053 | |||||||||||
Medical-Drugs — 0.2% | |||||||||||
Eli Lilly & Co. | 1,161 | 89,827 | |||||||||
Global Blood Therapeutics, Inc.† | 454 | 21,928 | |||||||||
111,755 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Mylan NV† | 1,199 | 49,363 | |||||||||
Medical-HMO — 0.2% | |||||||||||
Humana, Inc. | 405 | 108,876 | |||||||||
Medical-Hospitals — 0.1% | |||||||||||
Universal Health Services, Inc., Class B | 539 | 63,823 | |||||||||
Multimedia — 0.3% | |||||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 1,103 | 34,027 | |||||||||
Walt Disney Co. | 1,047 | 105,161 | |||||||||
139,188 | |||||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Anadarko Petroleum Corp. | 577 | 34,857 | |||||||||
Real Estate Investment Trusts — 0.4% | |||||||||||
American Tower Corp. | 778 | 113,074 | |||||||||
Equinix, Inc. | 94 | 39,305 | |||||||||
Invitation Homes, Inc. | 1,101 | 25,136 | |||||||||
177,515 | |||||||||||
Retail-Building Products — 0.3% | |||||||||||
Home Depot, Inc. | 771 | 137,423 | |||||||||
Retail-Discount — 0.1% | |||||||||||
Costco Wholesale Corp. | 211 | 39,759 | |||||||||
Retail-Gardening Products — 0.1% | |||||||||||
Tractor Supply Co. | 708 | 44,618 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
Retail-Restaurants — 0.6% | |||||||||||
Dunkin' Brands Group, Inc. | 735 | $ | 43,872 | ||||||||
McDonald's Corp. | 800 | 125,104 | |||||||||
Starbucks Corp. | 1,840 | 106,518 | |||||||||
275,494 | |||||||||||
Semiconductor Equipment — 0.1% | |||||||||||
Lam Research Corp. | 293 | 59,526 | |||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc.†(1)(10)(15) | 4 | 3,225 | |||||||||
Therapeutics — 0.1% | |||||||||||
Neurocrine Biosciences, Inc.† | 701 | 58,134 | |||||||||
Tobacco — 0.3% | |||||||||||
Altria Group, Inc. | 2,143 | 133,552 | |||||||||
Transport-Rail — 0.2% | |||||||||||
CSX Corp. | 1,935 | 107,799 | |||||||||
Web Portals/ISP — 1.0% | |||||||||||
Alphabet, Inc., Class C† | 484 | 499,386 | |||||||||
Total Common Stocks (cost $6,390,080) | 8,114,419 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.5% | |||||||||||
Diversified Banking Institutions — 1.5% | |||||||||||
Credit Agricole SA 8.13% due 12/23/2025(2) | $ | 200,000 | 227,837 | ||||||||
Credit Suisse Group AG 6.25% due 12/18/2024(2) | 275,000 | 282,219 | |||||||||
Societe Generale SA 8.25% due 11/29/2018(2) | 225,000 | 231,750 | |||||||||
741,806 | |||||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(1)(10) | 8,000 | 1 | |||||||||
Total Preferred Securities/Capital Securities (cost $699,395) | 741,807 | ||||||||||
ASSET BACKED SECURITIES — 30.4% | |||||||||||
Diversified Financial Services — 30.4% | |||||||||||
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.04% (1 ML+0.17%) due 01/25/2037(3) | 46,903 | 45,582 | |||||||||
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020 | 5,287 | 5,280 | |||||||||
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 3.00% (3 ML+1.25%) due 07/25/2029*(4) | 250,000 | 251,954 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-3, Class A1 2.71% due 11/25/2047*(3)(5) | 43,599 | 43,597 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-2, Class A1 2.48% due 07/25/2047*(3)(5) | 51,790 | 50,882 |
91
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-1, Class A1 2.81% due 01/25/2047*(3)(5) | $ | 27,379 | $ | 26,948 | |||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 3.45% (1 ML+1.58%) due 10/25/2034(10) | 3,496 | 3,504 | |||||||||
Atrium XII FRS Series 12A, Class AR 2.57% (3 ML+0.83%) due 04/22/2027*(4) | 250,000 | 249,902 | |||||||||
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 2.85% (3 ML+1.12%) due 01/18/2025*(4) | 250,000 | 249,914 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.75% due 11/15/2050(5)(6)(7) | 998,734 | 57,755 | |||||||||
BANK Series 2017-BNK8, Class A4 3.49% due 11/15/2050(6) | 115,000 | 114,672 | |||||||||
BANK Series 2017-BNK9, Class A4 3.54% due 11/15/2054(6) | 124,000 | 123,737 | |||||||||
BANK Series 2018-BN10, Class A5 3.69% due 02/15/2061(6) | 85,000 | 85,782 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(5) | 137,606 | 138,524 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(5) | 93,174 | 93,750 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(5) | 84,316 | 84,692 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(5) | 86,496 | 86,881 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(5) | 83,805 | 85,889 | |||||||||
Bayview Opportunity Master Fund Trust Series 2017-NPL2, Class A1 2.98% due 10/28/2032*(8) | 75,251 | 74,905 | |||||||||
Bayview Opportunity Master Fund Trust Series 2017-RN8, Class A1 3.35% due 11/28/2032*(8) | 82,925 | 82,666 | |||||||||
Bayview Opportunity Master Fund Trust Series 2018-RN2, Class A1 3.60% due 02/25/2033*(8) | 98,190 | 98,017 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(5) | $ | 104,029 | $ | 105,678 | |||||||
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 2.63% (1 ML+0.85%) due 08/15/2036*(6) | 153,000 | 152,856 | |||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.48% due 02/25/2036(3)(5) | 136,604 | 136,112 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.53% due 01/15/2051(5)(6)(7) | 212,898 | 8,722 | |||||||||
Benchmark Mtg. Trust Series 2018-B1, Class A5 3.67% due 01/15/2051(6) | 35,000 | 35,317 | |||||||||
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027* | 13,750 | 13,633 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-3A, Class A1AR 2.82% (3 ML+1.10%) due 10/15/2030*(4) | 250,000 | 250,934 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2014-4A, Class A1R 2.92% (3 ML+1.20%) due 10/15/2026*(4) | 250,000 | 249,956 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1 3.23% (3 ML+1.47%) due 04/27/2027*(4) | 250,000 | 250,050 | |||||||||
CarMax Auto Owner Trust Series 2014-2, Class D 2.58% due 11/16/2020 | 40,000 | 39,996 | |||||||||
CBAM CLO Management LLC FRS Series 2017-3A, Class A 2.60% (3 ML+1.23%) due 10/17/2029*(4) | 250,000 | 251,631 | |||||||||
Cent CLO, Ltd. FRS Series 2013-20A, Class AR 2.85% (3 ML+1.10%) due 01/25/2026*(4) | 250,000 | 249,961 | |||||||||
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1LR 3.14% (3 ML+1.20%) due 05/24/2026*(4) | 250,000 | 250,005 | |||||||||
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023* | 24,230 | 24,092 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(3)(5) | 130,528 | 129,485 |
92
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(6) | $ | 120,000 | $ | 121,797 | |||||||
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(6) | 75,000 | 77,717 | |||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 4.16% (1 Yr USTYCR+2.40%) due 03/25/2036(3) | 69,468 | 67,640 | |||||||||
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024*(10) | 86,049 | 85,784 | |||||||||
COLT Mtg. Loan Trust VRS Series 2017-1, Class A1 2.61% due 05/27/2047*(3)(5) | 57,675 | 57,206 | |||||||||
COLT Mtg. Loan Trust VRS Series 2018-1, Class A1 2.93% due 02/25/2048*(3)(5) | 95,751 | 95,748 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(6) | 110,000 | 108,251 | |||||||||
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(6) | 75,000 | 77,625 | |||||||||
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(6) | 155,000 | 157,985 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(6) | 155,059 | 156,239 | |||||||||
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(6) | 149,000 | 153,855 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(3) | 51,738 | 46,186 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.84% due 06/15/2057(5)(6)(7) | 1,210,897 | 52,043 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(6) | 125,000 | 128,209 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(3)(5) | 52,008 | 50,763 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-3A, Class A1 2.58% due 10/25/2047*(3)(5) | 81,364 | 80,733 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(3)(5) | 69,292 | 67,766 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-1A, Class 1A 2.73% due 12/26/2046*(3)(5) | $ | 54,699 | $ | 53,942 | |||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.34% due 05/25/2035(3)(5) | 110,732 | 110,915 | |||||||||
First Investors Auto Owner Trust Series 2014-3A, Class B 2.39% due 11/16/2020* | 190,000 | 189,807 | |||||||||
Galaxy CLO, Ltd. FRS Series 2015-19A, Class A1R 2.96% (3 ML+1.22%) due 07/24/2030*(4) | 250,000 | 251,233 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(6) | 160,000 | 156,751 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(6) | 40,000 | 44,886 | |||||||||
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(6) | 100,000 | 101,590 | |||||||||
GS Mtg. Securities Trust Series 2017-CS5, Class A4 3.67% due 03/10/2050(6) | 35,124 | 35,488 | |||||||||
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(6) | 145,000 | 147,743 | |||||||||
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(6) | 140,000 | 144,718 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.55% due 03/25/2047(3)(5) | 26,843 | 24,688 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 3.66% due 04/25/2036(3)(5) | 9,713 | 8,535 | |||||||||
Honor Automobile Trust Securitization Series 2016-1A, Class A 2.94% due 11/15/2019* | 26,148 | 26,157 | |||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 2.41% (1 ML+0.54%) due 05/25/2035(3) | 75,126 | 74,918 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(6) | 64,000 | 65,540 | |||||||||
JPMDB Commercial Mtg. Securities Trust Series 2017-C7, Class A5 3.41% due 10/15/2050(6) | 125,000 | 123,400 | |||||||||
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.32% due 04/15/2041(5)(6) | 623 | 632 |
93
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Lendmark Funding Trust Series 2017-1A, Class A 2.83% due 12/22/2025*(10) | $ | 100,000 | $ | 99,472 | |||||||
LSTAR Securities Investment, Ltd. FRS Series 2018-1, Class A 3.14% (1 ML+1.55%) due 02/01/2023*(3) | 98,980 | 98,215 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-8, Class A 3.22% (1 ML+1.65%) due 11/01/2022*(3) | 80,773 | 80,700 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-6, Class A 3.32% (1 ML+1.75%) due 09/01/2022*(1)(3) | 63,329 | 63,369 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-7, Class A 3.32% (1 ML+1.75%) due 10/01/2022*(3) | 68,794 | 68,478 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-3, Class A1 3.57% (1 ML+2.00%) due 04/01/2022*(3) | 51,756 | 51,821 | |||||||||
Madison Park Funding, Ltd. FRS Series 2013-11A, Class AR 2.90% (3 ML+1.16%) due 07/23/2029*(4) | 250,000 | 250,162 | |||||||||
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2R 3.25% (3 ML+1.50%) due 07/25/2026*(4) | 250,000 | 249,827 | |||||||||
Marlette Funding Trust Series 2017-3A, Class A 2.36% due 12/15/2024*(10) | 78,266 | 77,972 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 3.53% due 02/25/2035(3)(5) | 17,349 | 17,708 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.54% due 12/25/2034(3)(5) | 35,013 | 35,736 | |||||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(8) | 102,125 | 101,459 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.12% due 12/15/2047(5)(6)(7) | 349,735 | 15,779 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(6) | 25,000 | 25,859 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.46% due 06/15/2050(5)(6)(7) | $ | 129,319 | $ | 11,800 | |||||||
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(6) | 105,000 | 105,755 | |||||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(3) | 34,746 | 28,559 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 2.18% (1 ML+0.28%) due 10/25/2035(3) | 150,020 | 148,230 | |||||||||
New Residential Advance Receivables Trust Series 2016-T2, Class AT2 2.58% due 10/15/2049* | 115,000 | 113,818 | |||||||||
New Residential Advance Receivables Trust Series T1, Class AT1 3.21% due 02/15/2051* | 100,000 | 99,413 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2018-1A, Class A 4.00% due 12/25/2057*(5) | 97,049 | 99,221 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.12% (1 ML+1.50%) due 06/25/2057*(3) | 129,405 | 133,165 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(3)(5) | 93,220 | 94,139 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(3)(5) | 84,844 | 85,630 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(3)(5) | 165,794 | 168,997 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(3)(5) | 164,606 | 167,755 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(3)(5) | 129,613 | 131,743 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(3)(5) | 105,766 | 107,667 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(5) | 136,207 | 138,270 |
94
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(3)(5) | $ | 13,145 | $ | 12,865 | |||||||
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050*(1) | 110,000 | 109,510 | |||||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 98,972 | 98,425 | |||||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023* | 96,248 | 95,985 | |||||||||
Oak Hill Credit Partners X, Ltd. FRS Series 2014-10A, Class AR 2.87% (3 ML+1.13%) due 07/20/2026*(4) | 250,000 | 249,926 | |||||||||
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 2.58% (3 ML+0.85%) due 04/17/2027*(4) | 215,000 | 214,897 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 138,000 | 135,643 | |||||||||
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028* | 161,725 | 162,881 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 1.97% (1 ML+0.10%) due 02/25/2037(10) | 46,798 | 29,004 | |||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 3.22% (3 ML+1.45%) due 04/30/2027*(4) | 250,000 | 250,028 | |||||||||
Prosper Marketplace Issuance Trust Series 2017-3A, Class A 2.36% due 11/15/2023* | 72,941 | 72,641 | |||||||||
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(3) | 1,761 | 1,743 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.00% (1 ML+0.13%) due 05/25/2037(10) | 114,412 | 87,668 | |||||||||
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021*(10) | 100,000 | 99,965 | |||||||||
SoFi Consumer Loan Program LLC Series 2017-4, Class A 2.50% due 05/26/2026* | 71,013 | 70,178 | |||||||||
SoFi Consumer Loan Program LLC Series 2016-2A, Class A 3.09% due 10/27/2025*(10) | 43,080 | 43,101 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 1.87% (1 ML+0.25%) due 11/25/2036(10) | $ | 195,000 | $ | 171,444 | |||||||
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030* | 145,000 | 142,713 | |||||||||
Springleaf Funding Trust Series 2016-AA, Class A 2.90% due 11/15/2029* | 100,000 | 99,557 | |||||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 2.22% (1 ML+0.60%) due 02/25/2057* | 120,200 | 120,632 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(5) | 79,311 | 78,041 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(5) | 67,612 | 66,678 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(5) | 169,566 | 167,661 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(5) | 82,176 | 81,568 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(5) | 115,832 | 114,151 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(5) | 87,927 | 87,107 | |||||||||
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 3.11% (3 ML+1.37%) due 04/20/2027*(4) | 250,000 | 249,992 | |||||||||
U.S. Residential Opportunity Fund IV Trust Series 2017-1III, Class A 3.35% due 11/27/2037*(8) | 94,352 | 94,104 | |||||||||
VOLT LX LLC Series 2017-NPL7, Class A1 3.25% due 06/25/2047*(8) | 62,308 | 62,042 | |||||||||
VOLT LXIII LLC Series NP10, Class A1 3.00% due 10/25/2047*(8) | 99,936 | 98,998 | |||||||||
VOLT LXIV LLC Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(8) | 134,775 | 134,407 | |||||||||
Voya CLO, Ltd. FRS Series 2015-1A, Class A1R 2.63% (3 ML+0.90%) due 01/18/2029*(4) | 250,000 | 250,112 | |||||||||
Voya CLO, Ltd. FRS Series 2014-4A, Class A2AR 3.17% (3 ML+1.45%) due 10/14/2026*(4) | 250,000 | 249,782 |
95
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.16% due 09/15/2057(5)(6)(7) | $ | 982,197 | $ | 51,031 | |||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(6) | 80,000 | 81,774 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.10% due 05/15/2048(5)(6) | 10,000 | 8,924 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 3.63% due 10/25/2036(3)(5) | 40,060 | 39,532 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 3.68% due 11/25/2034(3)(5) | 1,427 | 1,442 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 3.72% due 01/25/2035(3)(5) | 97,914 | 98,871 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 3.91% due 03/25/2035(3)(5) | 69,638 | 70,989 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048*(10) | 49,875 | 49,412 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 85,000 | 84,551 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.78% due 02/15/2044*(5)(6)(7) | 509,069 | 10,096 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(6) | 145,000 | 149,588 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(6) | 130,000 | 134,976 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(6) | 60,000 | 62,422 | |||||||||
Total Asset Backed Securities (cost $15,015,854) | 15,067,527 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 21.4% | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 70,000 | 67,885 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
Airlines — 0.1% | |||||||||||
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022 | $ | 35,000 | $ | 34,957 | |||||||
Applications Software — 0.1% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 40,000 | 39,467 | |||||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 35,000 | 34,788 | |||||||||
74,255 | |||||||||||
Auto-Cars/Light Trucks — 0.3% | |||||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 30,000 | 29,337 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 25,000 | 24,973 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 55,000 | 63,848 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024 | 40,000 | 39,660 | |||||||||
157,818 | |||||||||||
Banks-Commercial — 0.1% | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | 75,000 | 75,158 | |||||||||
Banks-Super Regional — 0.7% | |||||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | 30,000 | 28,165 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 25,000 | 23,411 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 130,000 | 127,839 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 90,000 | 87,820 | |||||||||
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046 | 25,000 | 24,265 | |||||||||
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045 | 70,000 | 73,384 | |||||||||
364,884 | |||||||||||
Beverages-Wine/Spirits — 0.2% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 45,000 | 43,485 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022 | 10,000 | 9,701 |
96
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Beverages-Wine/Spirits (continued) | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 3.60% due 02/15/2028 | $ | 30,000 | $ | 28,944 | |||||||
Constellation Brands, Inc. Company Guar. Notes 4.50% due 05/09/2047 | 5,000 | 4,960 | |||||||||
87,090 | |||||||||||
Brewery — 0.3% | |||||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026 | 35,000 | 34,792 | |||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036 | 5,000 | 5,290 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.50% due 01/12/2024 | 35,000 | 35,246 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 45,000 | 41,298 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 50,000 | 51,141 | |||||||||
167,767 | |||||||||||
Broadcast Services/Program — 0.6% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 36,000 | 35,574 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026 | 15,000 | 15,548 | |||||||||
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030 | 15,000 | 16,134 | |||||||||
Scripps Networks Interactive, Inc. Senior Notes 3.95% due 06/15/2025 | 19,000 | 18,889 | |||||||||
Vrio Finco 1 LLC/Vrio Finco 2, Inc. Senior Sec. Notes 6.25% due 04/04/2023* | 200,000 | 202,000 | |||||||||
288,145 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 45,000 | 46,125 | |||||||||
Building-Heavy Construction — 0.5% | |||||||||||
SBA Tower Trust Mtg. Notes Series 2014-1C 2.90% due 10/11/2044* | 100,000 | 99,490 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
Building-Heavy Construction (continued) | |||||||||||
SBA Tower Trust Senior Sec. Notes 3.17% due 04/09/2047* | $ | 85,000 | $ | 83,795 | |||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 70,000 | 70,055 | |||||||||
253,340 | |||||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025 | 30,000 | 29,625 | |||||||||
Cable/Satellite TV — 1.1% | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.58% due 07/23/2020 | 25,000 | 25,070 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 80,000 | 81,753 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 55,000 | 60,373 | |||||||||
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046 | 20,000 | 17,184 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 30,000 | 31,083 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 40,000 | 38,361 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 4,000 | 3,595 | |||||||||
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021 | 45,000 | 45,281 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 50,000 | 43,305 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 45,000 | 46,999 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 6.75% due 07/01/2018 | 40,000 | 40,377 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019 | 105,000 | 109,950 | |||||||||
543,331 |
97
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020* | $ | 5,000 | $ | 5,250 | |||||||
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024 | 35,000 | 34,125 | |||||||||
39,375 | |||||||||||
Coatings/Paint — 0.0% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024 | 15,000 | 14,503 | |||||||||
Commercial Services-Finance — 0.0% | |||||||||||
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022 | 20,000 | 19,495 | |||||||||
Computers — 0.2% | |||||||||||
Apple, Inc. Senior Notes 3.00% due 02/09/2024 | 5,000 | 4,944 | |||||||||
Apple, Inc. Senior Notes 3.35% due 02/09/2027 | 20,000 | 19,758 | |||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 35,000 | 32,297 | |||||||||
Apple, Inc. Senior Notes 3.85% due 08/04/2046 | 10,000 | 9,785 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 4.90% due 10/15/2025 | 20,000 | 20,765 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 20,000 | 21,368 | |||||||||
108,917 | |||||||||||
Computers-Memory Devices — 0.1% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 75,000 | 74,835 | |||||||||
Data Processing/Management — 0.1% | |||||||||||
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024* | 25,000 | 25,000 | |||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026 | 10,000 | 9,335 | |||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 10,000 | 9,745 | |||||||||
19,080 | |||||||||||
Diversified Banking Institutions — 4.4% | |||||||||||
Bank of America Corp. Senior Notes 2.25% due 04/21/2020 | 160,000 | 157,672 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Bank of America Corp. Senior Notes 3.12% due 01/20/2023 | $ | 15,000 | $ | 14,850 | |||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 115,000 | 111,872 | |||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | 75,000 | 73,748 | |||||||||
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027 | 45,000 | 44,610 | |||||||||
Bank of America Corp. Senior Notes 4.44% due 01/20/2048 | 30,000 | 31,318 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 100,000 | 105,725 | |||||||||
Bank of America Corp. Senior Notes 6.88% due 04/25/2018 | 100,000 | 100,259 | |||||||||
Bank of America Corp. Sub. Notes 7.25% due 10/15/2025 | 4,000 | 4,698 | |||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | 25,000 | 24,184 | |||||||||
Citigroup, Inc. FRS Senior Notes 2.98% (3 ML+1.10%) due 05/17/2024 | 80,000 | 80,719 | |||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 50,000 | 47,530 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 20,000 | 19,307 | |||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 85,000 | 86,006 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 7,000 | 7,458 | |||||||||
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046 | 10,000 | 10,161 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021 | 70,000 | 67,496 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020 | 20,000 | 19,814 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020 | 95,000 | 94,033 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021 | 40,000 | 39,591 |
98
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022 | $ | 35,000 | $ | 34,263 | |||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 35,000 | 34,038 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025 | 60,000 | 58,859 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045 | 95,000 | 102,246 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033 | 15,000 | 18,028 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 55,000 | 69,741 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.70% due 05/18/2023 | 75,000 | 72,358 | |||||||||
JPMorgan Chase & Co. FRS Senior Notes 2.97% (3 ML+1.23%) due 10/24/2023 | 30,000 | 30,441 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 50,000 | 48,740 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 15,000 | 14,956 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 50,000 | 48,535 | |||||||||
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041 | 15,000 | 18,140 | |||||||||
Morgan Stanley Senior Notes 2.50% due 04/21/2021 | 25,000 | 24,496 | |||||||||
Morgan Stanley Senior Notes 2.63% due 11/17/2021 | 40,000 | 39,053 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 11,000 | 10,410 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 105,000 | 101,562 | |||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | 15,000 | 14,682 | |||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 40,000 | 38,947 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | $ | 50,000 | $ | 50,466 | |||||||
Morgan Stanley Sub. Notes 4.35% due 09/08/2026 | 2,000 | 2,014 | |||||||||
Morgan Stanley Senior Notes 5.50% due 07/24/2020 | 100,000 | 105,041 | |||||||||
Morgan Stanley Senior Notes 6.63% due 04/01/2018 | 100,000 | 100,000 | |||||||||
2,178,067 | |||||||||||
Diversified Manufacturing Operations — 0.1% | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 25,000 | 24,937 | |||||||||
E-Commerce/Products — 0.1% | |||||||||||
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024* | 15,000 | 14,555 | |||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037* | 55,000 | 54,805 | |||||||||
69,360 | |||||||||||
Electric-Distribution — 0.1% | |||||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 35,000 | 34,626 | |||||||||
Electric-Generation — 0.0% | |||||||||||
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046 | 5,000 | 5,018 | |||||||||
Electric-Integrated — 1.3% | |||||||||||
AES Corp. Senior Notes 4.00% due 03/15/2021 | 65,000 | 65,244 | |||||||||
AES Corp. Senior Notes 4.88% due 05/15/2023 | 3,000 | 3,053 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028* | 25,000 | 24,127 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 30,000 | 29,315 | |||||||||
Duke Energy Corp. Senior Notes 3.75% due 09/01/2046 | 10,000 | 9,020 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 50,000 | 45,445 | |||||||||
Exelon Corp. Senior Notes 2.45% due 04/15/2021 | 5,000 | 4,887 |
99
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | $ | 50,000 | $ | 49,551 | |||||||
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023 | 10,000 | 10,241 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 120,000 | 117,313 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 30,000 | 29,372 | |||||||||
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034 | 50,000 | 59,597 | |||||||||
Progress Energy, Inc. Senior Notes 7.00% due 10/30/2031 | 50,000 | 65,016 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Bonds 4.50% due 06/01/2064 | 45,000 | 43,434 | |||||||||
Southern Co. Senior Notes 1.85% due 07/01/2019 | 25,000 | 24,664 | |||||||||
Southern Co. Senior Notes 2.75% due 06/15/2020 | 55,000 | 54,534 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 10,000 | 9,713 | |||||||||
644,526 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022 | 10,000 | 11,548 | |||||||||
Electronic Components-Semiconductors — 0.5% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 2.38% due 01/15/2020 | 80,000 | 78,884 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.00% due 01/15/2022 | 25,000 | 24,531 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025 | 20,000 | 18,906 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024 | 80,000 | 78,698 | |||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 25,000 | 25,637 | |||||||||
226,656 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
Electronic Measurement Instruments — 0.1% | |||||||||||
Fortive Corp. Senior Notes 2.35% due 06/15/2021 | $ | 30,000 | $ | 29,166 | |||||||
Enterprise Software/Service — 0.0% | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 20,000 | 19,714 | |||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 35,000 | 36,575 | |||||||||
Finance-Credit Card — 0.1% | |||||||||||
American Express Co. Senior Notes 3.40% due 02/27/2023 | 50,000 | 49,831 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(10) | 10,000 | 400 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)(10) | 9,000 | 1 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)(10) | 11,000 | 1 | |||||||||
402 | |||||||||||
Finance-Other Services — 0.3% | |||||||||||
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050* | 160,000 | 154,915 | |||||||||
Food-Misc./Diversified — 0.1% | |||||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 30,000 | 27,510 | |||||||||
Food-Wholesale/Distribution — 0.1% | |||||||||||
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021 | 40,000 | 39,250 | |||||||||
Gas-Distribution — 0.1% | |||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024 | 25,000 | 24,844 | |||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.88% due 08/20/2026 | 5,000 | 4,887 | |||||||||
29,731 | |||||||||||
Insurance Brokers — 0.1% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 15,000 | 14,889 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 20,000 | 19,674 | |||||||||
34,563 |
100
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Insurance-Life/Health — 0.1% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | $ | 30,000 | $ | 29,850 | |||||||
Principal Life Global Funding II Senior Sec. Notes 2.20% due 04/08/2020* | 45,000 | 44,320 | |||||||||
74,170 | |||||||||||
Insurance-Multi-line — 0.6% | |||||||||||
Assurant, Inc. FRS Senior Notes 3.54% (3 ML+1.25%) due 03/26/2021 | 270,000 | 270,302 | |||||||||
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023 | 20,000 | 16,400 | |||||||||
286,702 | |||||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 7,000 | 11,001 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025 | 20,000 | 20,600 | |||||||||
Medical Information Systems — 0.1% | |||||||||||
Quintiles IMS, Inc. Company Guar. Notes 4.88% due 05/15/2023* | 30,000 | 30,563 | |||||||||
Medical Instruments — 0.1% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 45,000 | 45,062 | |||||||||
Medical Products — 0.3% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 80,000 | 77,000 | |||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 50,000 | 48,274 | |||||||||
125,274 | |||||||||||
Medical-Biomedical/Gene — 0.2% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 30,000 | 29,272 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 6,000 | 5,981 | |||||||||
Celgene Corp. Senior Notes 4.63% due 05/15/2044 | 20,000 | 19,945 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022 | 25,000 | 25,024 | |||||||||
80,222 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048* | $ | 15,000 | $ | 15,136 | |||||||
Medical-HMO — 0.4% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 20,000 | 19,217 | |||||||||
Anthem, Inc. Senior Notes 3.65% due 12/01/2027 | 60,000 | 58,008 | |||||||||
Anthem, Inc. Senior Notes 4.63% due 05/15/2042 | 50,000 | 50,657 | |||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 10,000 | 10,790 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 40,000 | 40,516 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045 | 10,000 | 11,005 | |||||||||
190,193 | |||||||||||
Medical-Hospitals — 0.4% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021 | �� | 25,000 | 23,250 | ||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023 | 5,000 | 4,606 | |||||||||
Dignity Health Sec. Notes 2.64% due 11/01/2019 | 160,000 | 159,318 | |||||||||
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023 | 35,000 | 35,339 | |||||||||
222,513 | |||||||||||
Medical-Wholesale Drug Distribution — 0.2% | |||||||||||
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018 | 30,000 | 29,965 | |||||||||
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022 | 90,000 | 87,003 | |||||||||
116,968 | |||||||||||
Multimedia — 0.6% | |||||||||||
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034 | 50,000 | 62,121 | |||||||||
Time Warner, Inc. Company Guar. Notes 3.80% due 02/15/2027 | 65,000 | 62,844 |
101
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Multimedia (continued) | |||||||||||
Time Warner, Inc. Company Guar. Notes 4.88% due 03/15/2020 | $ | 67,000 | $ | 69,276 | |||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 100,000 | 101,489 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 15,000 | 13,442 | |||||||||
309,172 | |||||||||||
Music — 0.1% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024* | 40,000 | 39,700 | |||||||||
Office Automation & Equipment — 0.1% | |||||||||||
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023 | 55,000 | 51,562 | |||||||||
Oil Companies-Exploration & Production — 0.7% | |||||||||||
Anadarko Petroleum Corp. Senior Notes 3.45% due 07/15/2024 | 45,000 | 43,688 | |||||||||
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019 | 15,000 | 15,688 | |||||||||
Continental Resources, Inc. Senior Notes 4.38% due 01/15/2028* | 60,000 | 58,500 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023 | 5,000 | 5,056 | |||||||||
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022 | 20,000 | 20,275 | |||||||||
Hess Corp. Senior Notes 4.30% due 04/01/2027 | 50,000 | 48,936 | |||||||||
Hess Corp. Senior Notes 6.00% due 01/15/2040 | 5,000 | 5,279 | |||||||||
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024 | 45,000 | 51,977 | |||||||||
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020 | 20,000 | 19,704 | |||||||||
Marathon Oil Corp. Senior Notes 4.40% due 07/15/2027 | 15,000 | 15,230 | |||||||||
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022 | 30,000 | 29,963 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 15,000 | 15,000 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024 | $ | 20,000 | $ | 19,700 | |||||||
348,996 | |||||||||||
Oil Refining & Marketing — 0.2% | |||||||||||
Andeavor Senior Notes 3.80% due 04/01/2028 | 20,000 | 19,079 | |||||||||
Phillips 66 Company Guar. Notes 3.90% due 03/15/2028 | 45,000 | 44,837 | |||||||||
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026 | 40,000 | 38,379 | |||||||||
102,295 | |||||||||||
Pharmacy Services — 1.3% | |||||||||||
CVS Health Corp. Senior Notes 2.80% due 07/20/2020 | 350,000 | 347,502 | |||||||||
CVS Health Corp. Senior Notes 3.13% due 03/09/2020 | 130,000 | 130,131 | |||||||||
CVS Health Corp. Senior Notes 3.88% due 07/20/2025 | 23,000 | 22,800 | |||||||||
CVS Health Corp. Senior Notes 4.10% due 03/25/2025 | 65,000 | 65,458 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 30,000 | 31,554 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 35,000 | 37,124 | |||||||||
634,569 | |||||||||||
Pipelines — 0.8% | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 3.50% due 12/01/2022 | 5,000 | 4,914 | |||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027 | 40,000 | 38,995 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023 | 10,000 | 9,650 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 4.95% due 04/01/2022 | 5,000 | 5,025 | |||||||||
Energy Transfer Partners LP Senior Notes 5.95% due 10/01/2043 | 5,000 | 5,023 | |||||||||
Kinder Morgan, Inc. Company Guar. Notes 5.55% due 06/01/2045 | 25,000 | 26,236 |
102
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
MPLX LP Senior Notes 4.00% due 03/15/2028 | $ | 20,000 | $ | 19,710 | |||||||
MPLX LP Senior Notes 4.13% due 03/01/2027 | 35,000 | 34,678 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 10,000 | 9,741 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,225 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 15,000 | 14,782 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027 | 15,000 | 14,210 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024 | 30,000 | 29,830 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 5.30% due 04/01/2044 | 5,000 | 4,651 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 5.35% due 05/15/2045 | 5,000 | 4,658 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 5.40% due 10/01/2047 | 50,000 | 47,633 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 45,000 | 43,218 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 10,000 | 9,548 | |||||||||
Valero Energy Partners LP Senior Notes 4.50% due 03/15/2028 | 45,000 | 45,264 | |||||||||
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028 | 35,000 | 35,071 | |||||||||
408,062 | |||||||||||
Real Estate Investment Trusts — 0.1% | |||||||||||
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023 | 30,000 | 29,057 | |||||||||
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024 | 10,000 | 9,588 | |||||||||
38,645 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025 | $ | 20,000 | $ | 20,475 | |||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027 | 25,000 | 25,188 | |||||||||
45,663 | |||||||||||
Retail-Building Products — 0.0% | |||||||||||
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056 | 20,000 | 17,859 | |||||||||
Retail-Restaurants — 0.1% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 35,000 | 35,194 | |||||||||
Steel-Producers — 0.0% | |||||||||||
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025 | 15,000 | 14,288 | |||||||||
Telephone-Integrated — 1.2% | |||||||||||
AT&T, Inc. Senior Notes 4.10% due 02/15/2028* | 70,000 | 69,505 | |||||||||
AT&T, Inc. Senior Notes 4.25% due 03/01/2027 | 15,000 | 15,163 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030* | 41,000 | 40,766 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 06/15/2045 | 3,000 | 2,741 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 30,000 | 29,465 | |||||||||
AT&T, Inc. Senior Notes 4.75% due 05/15/2046 | 65,000 | 63,131 | |||||||||
AT&T, Inc. Senior Notes 5.15% due 02/14/2050 | 85,000 | 85,865 | |||||||||
AT&T, Inc. Senior Notes 5.25% due 03/01/2037 | 15,000 | 15,868 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 14,000 | 13,402 | |||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | 60,000 | 59,256 | |||||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 15,000 | 15,185 | |||||||||
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048 | 25,000 | 24,089 |
103
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Telephone-Integrated (continued) | |||||||||||
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055 | $ | 41,000 | $ | 38,998 | |||||||
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046 | 30,000 | 30,275 | |||||||||
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054 | 25,000 | 24,996 | |||||||||
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037 | 45,000 | 48,524 | |||||||||
577,229 | |||||||||||
Tobacco — 1.0% | |||||||||||
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022 | 100,000 | 97,913 | |||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 20,000 | 18,686 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020* | 275,000 | 269,624 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037* | 40,000 | 39,744 | |||||||||
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020 | 49,000 | 49,004 | |||||||||
474,971 | |||||||||||
Transport-Rail — 0.2% | |||||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 80,000 | 76,467 | |||||||||
Norfolk Southern Corp. Senior Notes 2.90% due 06/15/2026 | 35,000 | 33,311 | |||||||||
109,778 | |||||||||||
Transport-Services — 0.2% | |||||||||||
FedEx Corp. Company Guar. Notes 4.05% due 02/15/2048 | 55,000 | 51,639 | |||||||||
FedEx Corp. Company Guar. Notes 4.55% due 04/01/2046 | 10,000 | 10,087 | |||||||||
FedEx Corp. Company Guar. Notes 4.75% due 11/15/2045 | 15,000 | 15,669 | |||||||||
77,395 | |||||||||||
Total U.S. Corporate Bonds & Notes (cost $10,701,876) | 10,611,762 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES — 5.3% | |||||||||||
Banks-Commercial — 1.0% | |||||||||||
Barclays Bank PLC Senior Notes 2.65% due 01/11/2021 | $ | 200,000 | $ | 197,138 | |||||||
Intesa Sanpaolo SpA Senior Notes 3.38% due 01/12/2023* | 200,000 | 195,248 | |||||||||
Royal Bank of Canada Senior Notes 2.15% due 10/26/2020 | 95,000 | 92,932 | |||||||||
485,318 | |||||||||||
Chemicals-Diversified — 0.0% | |||||||||||
LyondellBasell Industries NV Senior Notes 4.63% due 02/26/2055 | 20,000 | 19,527 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 35,000 | 34,567 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 10,000 | 9,993 | |||||||||
44,560 | |||||||||||
Consulting Services — 0.4% | |||||||||||
ACWA Power Management and Investments One, Ltd. Senior Sec. Notes 5.95% due 12/15/2039* | 200,000 | 206,036 | |||||||||
Cruise Lines — 0.0% | |||||||||||
VOC Escrow, Ltd. Senior Sec. Notes 5.00% due 02/15/2028* | 5,000 | 4,750 | |||||||||
Diversified Banking Institutions — 1.4% | |||||||||||
BNP Paribas SA Senior Notes 3.38% due 01/09/2025* | 200,000 | 193,457 | |||||||||
Deutsche Bank AG Senior Notes 2.70% due 07/13/2020 | 90,000 | 88,093 | |||||||||
HSBC Holdings PLC Senior Notes 3.03% due 11/22/2023 | 200,000 | 195,241 | |||||||||
UBS AG Senior Notes 2.45% due 12/01/2020* | 200,000 | 196,370 | |||||||||
673,161 | |||||||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 15,000 | 14,339 | |||||||||
Medical-Drugs — 0.2% | |||||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 50,000 | 48,276 |
104
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Drugs (continued) | |||||||||||
Valeant Pharmaceuticals International, Inc. Senior Sec. Notes 6.50% due 03/15/2022* | $ | 30,000 | $ | 30,975 | |||||||
79,251 | |||||||||||
Medical-Generic Drugs — 0.3% | |||||||||||
Actavis Funding SCS Company Guar. Notes 3.45% due 03/15/2022 | 40,000 | 39,658 | |||||||||
Mylan NV Company Guar. Notes 3.00% due 12/15/2018 | 25,000 | 25,000 | |||||||||
Mylan NV Company Guar. Notes 3.15% due 06/15/2021 | 35,000 | 34,512 | |||||||||
Mylan NV Company Guar. Notes 3.75% due 12/15/2020 | 30,000 | 30,204 | |||||||||
129,374 | |||||||||||
Metal-Iron — 0.2% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 75,000 | 84,000 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039 | 10,000 | 11,850 | |||||||||
95,850 | |||||||||||
Oil Companies-Exploration & Production — 0.2% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 65,000 | 63,562 | |||||||||
Encana Corp. Senior Notes 3.90% due 11/15/2021 | 30,000 | 30,448 | |||||||||
94,010 | |||||||||||
Oil Companies-Integrated — 0.8% | |||||||||||
Petrobras Global Finance BV Company Guar. Notes 5.63% due 05/20/2043 | 95,000 | 82,887 | |||||||||
Petrobras Global Finance BV Company Guar. Notes 6.75% due 01/27/2041 | 20,000 | 19,500 | |||||||||
Petroleos Mexicanos Senior Notes 5.35% due 02/12/2028* | 20,000 | 19,728 | |||||||||
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044 | 10,000 | 8,905 | |||||||||
Petroleos Mexicanos Senior Notes 6.35% due 02/12/2048* | 15,000 | 14,494 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 109,000 | 110,295 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
Oil Companies-Integrated (continued) | |||||||||||
Shell International Finance BV Company Guar. Notes 4.38% due 05/11/2045 | $ | 40,000 | $ | 42,508 | |||||||
YPF SA Senior Notes 16.50% due 05/09/2022*(10) | ARS | 1,676,987 | 78,657 | ||||||||
376,974 | |||||||||||
Pipelines — 0.0% | |||||||||||
Enbridge, Inc. Senior Notes 3.70% due 07/15/2027 | 20,000 | 19,172 | |||||||||
Semiconductor Equipment — 0.1% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 40,000 | 39,400 | |||||||||
Steel-Producers — 0.1% | |||||||||||
ArcelorMittal Senior Notes 6.13% due 06/01/2025 | 50,000 | 54,375 | |||||||||
Telephone-Integrated — 0.2% | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 5.88% due 07/15/2019 | 65,000 | 67,415 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036 | 30,000 | 38,058 | |||||||||
105,473 | |||||||||||
Television — 0.0% | |||||||||||
Videotron, Ltd. Company Guar. Notes 5.38% due 06/15/2024* | 20,000 | 20,650 | |||||||||
Tobacco — 0.1% | |||||||||||
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020* | 45,000 | 44,616 | |||||||||
Transport-Rail — 0.1% | |||||||||||
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021 | 30,000 | 35,677 | |||||||||
Wireless Equipment — 0.1% | |||||||||||
Nokia OYJ Senior Notes 4.38% due 06/12/2027 | 40,000 | 37,550 | |||||||||
Nokia OYJ Senior Notes 6.63% due 05/15/2039 | 20,000 | 21,350 | |||||||||
58,900 | |||||||||||
Total Foreign Corporate Bonds & Notes (cost $2,663,781) | 2,601,413 | ||||||||||
MUNICIPAL BONDS & NOTES — 1.3% | |||||||||||
Chicago Board of Education General Obligation Bonds 5.48% due 12/01/2024 | 30,000 | 29,207 |
105
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
MUNICIPAL BONDS & NOTES (continued) | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | $ | 15,000 | $ | 14,071 | |||||||
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040 | 90,000 | 118,754 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029 | 45,000 | 48,524 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 40,000 | 44,338 | |||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 5,000 | 6,211 | |||||||||
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038(11) | 250,000 | 90,625 | |||||||||
State of California General Obligation Bonds 7.35% due 11/01/2039 | 35,000 | 51,166 | |||||||||
State of California General Obligation Bonds 7.55% due 04/01/2039 | 45,000 | 68,521 | |||||||||
State of California General Obligation Bonds 7.60% due 11/01/2040 | 5,000 | 7,735 | |||||||||
State of California General Obligation Bonds 7.63% due 03/01/2040 | 30,000 | 45,685 | |||||||||
State of Illinois General Obligation Bonds 5.38% due 07/01/2018 | 30,000 | 30,151 | |||||||||
State of Illinois General Obligation Bonds 5.88% due 03/01/2019 | 65,000 | 66,407 | |||||||||
Total Municipal Bonds & Notes (cost $637,997) | 621,395 | ||||||||||
U.S. GOVERNMENT AGENCIES — 34.5% | |||||||||||
Federal Home Loan Mtg. Corp. — 6.8% | |||||||||||
2.50% due 01/01/2028 | 6,790 | 6,699 | |||||||||
2.50% due 04/01/2028 | 14,934 | 14,734 | |||||||||
3.00% due 08/01/2027 | 6,467 | 6,465 | |||||||||
3.00% due 10/01/2042 | 17,323 | 17,028 | |||||||||
3.00% due 11/01/2042 | 6,799 | 6,684 | |||||||||
3.00% due 02/01/2043 | 29,173 | 28,678 | |||||||||
3.00% due 08/01/2043 | 60,401 | 59,376 | |||||||||
3.00% due April TBA | 500,000 | 487,500 | |||||||||
3.11% (6 ML+1.49%) due 02/01/2037 FRS | 1,622 | 1,670 | |||||||||
3.50% due 02/01/2042 | 7,389 | 7,437 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
3.50% due 03/01/2042 | $ | 4,444 | $ | 4,478 | |||||||
3.50% due 09/01/2043 | 25,897 | 26,093 | |||||||||
3.50% due April TBA | 1,000,000 | 1,002,333 | |||||||||
4.00% due 03/01/2023 | 1,356 | 1,395 | |||||||||
4.00% due 10/01/2043 | 12,417 | 12,818 | |||||||||
4.00% due April TBA | 1,000,000 | 1,026,523 | |||||||||
4.50% due 01/01/2039 | 951 | 1,001 | |||||||||
5.00% due 12/01/2020 | 971 | 998 | |||||||||
5.00% due 07/01/2021 | 5,071 | 5,245 | |||||||||
5.00% due 05/01/2034 | 10,159 | 11,019 | |||||||||
5.50% due 07/01/2034 | 6,762 | 7,438 | |||||||||
5.50% due 07/01/2035 | 6,504 | 7,187 | |||||||||
5.50% due 04/01/2037 | 2,291 | 2,516 | |||||||||
5.50% due 05/01/2037 | 2,159 | 2,366 | |||||||||
5.50% due 08/01/2037 | 12,955 | 14,294 | |||||||||
6.50% due 05/01/2029 | 2,233 | 2,515 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.00% due 10/25/2047*(5)(6) | 90,000 | 89,611 | |||||||||
Series 2017-K728, Class B 3.65% due 09/25/2024*(5)(6) | 20,000 | 19,517 | |||||||||
Series 2017-K729,Class B 3.67% due 11/25/2049*(5)(6) | 30,000 | 29,070 | |||||||||
Series 2017-K729,Class C 3.67% due 11/25/2049*(5)(6) | 25,000 | 23,509 | |||||||||
Series 2017-K71, Class B 3.75% due 11/25/2050*(5)(6) | 25,000 | 24,150 | |||||||||
Series 2017-K67, Class B 3.94% due 09/25/2049*(5)(6) | 25,000 | 25,000 | |||||||||
Series 2017-K64, Class B 3.98% due 03/25/2027*(5)(6) | 10,000 | 9,867 | |||||||||
Series 2012-K706, Class B 4.03% due 11/25/2044*(5)(6) | 75,000 | 75,225 | |||||||||
Series 2017-K66, Class B 4.03% due 07/25/2027*(5)(6) | 40,000 | 40,290 | |||||||||
Series 2017-K65, Class B 4.07% due 05/25/2027*(5)(6) | 45,000 | 45,400 | |||||||||
Series 2010-K8, Class B 5.28% due 09/25/2043*(5)(6) | 100,000 | 104,675 | |||||||||
Federal Home Loan Mtg. Corp Multifamily Structured Pass Through Certificates Series K064, Class X1 0.61% due 03/25/2027 VRS(5)(6)(7) | 378,871 | 17,681 | |||||||||
Series K068, Class A2 3.24% due 08/25/2027(6) | 82,000 | 81,998 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(3) | 940 | 915 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(3) | 26,741 | 26,702 | |||||||||
Series 1577, Class PK 6.50% due 09/15/2023(3) | 5,270 | 5,555 | |||||||||
Series 1226, Class Z 7.75% due 03/15/2022(3) | 522 | 557 | |||||||||
3,384,212 |
106
Seasons Series Trust SA Multi-Managed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. — 20.5% | |||||||||||
2.50% due 02/01/2043 | $ | 141,949 | $ | 134,444 | |||||||
2.50% due 03/01/2043 | 139,405 | 132,038 | |||||||||
2.64% due 03/01/2027 | 37,750 | 36,548 | |||||||||
2.66% due 03/01/2027 | 210,000 | 202,007 | |||||||||
2.78% due 03/01/2027 | 76,000 | 73,889 | |||||||||
2.88% due 11/01/2027 | 155,111 | 150,951 | |||||||||
2.97% due 06/01/2027 | 133,230 | 131,336 | |||||||||
3.00% due 07/01/2027 | 110,000 | 108,161 | |||||||||
3.00% due 01/01/2028 | 10,158 | 10,181 | |||||||||
3.00% due April TBA | 125,000 | 124,837 | |||||||||
3.16% due 08/01/2027 | 150,000 | 149,459 | |||||||||
3.36% (12 ML+1.57%) due 05/01/2037 FRS | 2,448 | 2,553 | |||||||||
3.50% due April TBA | 5,400,000 | 5,411,285 | |||||||||
3.57% (12 ML+1.82%) due 10/01/2040 FRS | 2,650 | 2,772 | |||||||||
4.00% due 11/01/2040 | 58,906 | 60,894 | |||||||||
4.00% due 11/01/2041 | 2,972 | 3,072 | |||||||||
4.00% due 10/01/2043 | 50,812 | 52,305 | |||||||||
4.00% due 11/01/2043 | 7,009 | 7,238 | |||||||||
4.00% due 12/01/2043 | 35,422 | 36,670 | |||||||||
4.00% due April TBA | 1,100,000 | 1,128,815 | |||||||||
4.50% due 01/01/2039 | 2,249 | 2,377 | |||||||||
4.50% due 06/01/2039 | 30,488 | 32,031 | |||||||||
4.50% due 05/01/2041 | 6,533 | 6,908 | |||||||||
4.50% due April TBA | 800,000 | 837,672 | |||||||||
5.00% due 06/01/2019 | 472 | 480 | |||||||||
5.00% due 07/01/2040 | 21,295 | 23,018 | |||||||||
5.50% due 06/01/2020 | 34,276 | 34,835 | |||||||||
5.50% due 07/01/2020 | 5,007 | 5,062 | |||||||||
5.50% due 03/01/2021 | 10,014 | 10,246 | |||||||||
5.50% due 04/01/2021 | 8,476 | 8,667 | |||||||||
5.50% due 06/01/2021 | 38,992 | 39,946 | |||||||||
5.50% due 10/01/2021 | 19,614 | 20,097 | |||||||||
5.50% due 12/01/2021 | 39,267 | 40,155 | |||||||||
5.50% due 06/01/2022 | 40,713 | 41,715 | |||||||||
5.50% due 12/01/2029 | 1,390 | 1,509 | |||||||||
5.50% due 05/01/2034 | 3,334 | 3,656 | |||||||||
5.50% due 08/01/2037 | 7,641 | 8,383 | |||||||||
5.50% due 06/01/2038 | 655 | 719 | |||||||||
5.50% due April TBA | 200,000 | 217,344 | |||||||||
6.00% due 06/01/2026 | 13,018 | 14,466 | |||||||||
6.00% due 03/01/2027 | 17,561 | 19,526 | |||||||||
6.00% due 12/01/2033 | 1,819 | 2,047 | |||||||||
6.00% due 05/01/2034 | 7,466 | 8,384 | |||||||||
6.00% due 08/01/2034 | 621 | 697 | |||||||||
6.00% due 06/01/2040 | 3,815 | 4,277 | |||||||||
6.00% due April TBA | 300,000 | 333,855 | |||||||||
6.50% due 11/01/2035 | 2,995 | 3,355 | |||||||||
6.50% due 10/01/2037 | 1,868 | 2,085 | |||||||||
7.00% due 06/01/2037 | 13,902 | 15,634 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 5.17% (1 ML+3.55%) due 07/25/2029(3) | 35,000 | 38,003 | |||||||||
Series 2016-C07, Class 2M2 5.97% (1 ML+4.35%) due 05/25/2029(3) | 70,142 | 77,897 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(3) | $ | 6,506 | $ | 6,314 | |||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(3) | 22,811 | 21,715 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(3) | 45,311 | 43,314 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(3) | 48,435 | 47,124 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(3) | 61,200 | 60,804 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(3) | 57,762 | 57,255 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(3) | 57,697 | 57,188 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(3) | 52,740 | 53,491 | |||||||||
10,161,706 | |||||||||||
Government National Mtg. Assoc. — 7.2% | |||||||||||
3.00% due April TBA | 700,000 | 688,666 | |||||||||
3.50% due April TBA | 1,400,000 | 1,413,590 | |||||||||
4.00% due 10/15/2040 | 20,468 | 21,395 | |||||||||
4.00% due 02/15/2041 | 12,096 | 12,480 | |||||||||
4.00% due 09/15/2041 | 14,465 | 14,953 | |||||||||
4.00% due 10/15/2041 | 9,002 | 9,303 | |||||||||
4.00% due April TBA | 500,000 | 513,936 | |||||||||
4.50% due 06/15/2041 | 155,487 | 162,855 | |||||||||
4.50% due April TBA | 100,000 | 103,959 | |||||||||
5.00% due 01/15/2033 | 1,501 | 1,608 | |||||||||
5.00% due 01/15/2040 | 48,153 | 51,919 | |||||||||
5.00% due April TBA | 300,000 | 316,031 | |||||||||
5.50% due 04/15/2036 | 83,014 | 90,654 | |||||||||
6.00% due 02/15/2033 | 16,071 | 17,885 | |||||||||
6.50% due 07/15/2028 | 64,144 | 71,749 | |||||||||
6.50% due 08/15/2028 | 4,574 | 5,117 | |||||||||
6.50% due 09/15/2028 | 8,821 | 9,866 | |||||||||
6.50% due 11/15/2028 | 10,921 | 12,216 | |||||||||
7.00% due 01/15/2033 | 5,861 | 6,710 | |||||||||
7.00% due 05/15/2033 | 8,221 | 9,379 | |||||||||
7.00% due 11/15/2033 | 3,761 | 4,294 | |||||||||
8.00% due 02/15/2030 | 1,275 | 1,327 | |||||||||
9.00% due 11/15/2021 | 117 | 125 | |||||||||
Government National Mtg. Assoc., REMIC Series 2005-74, Class HA 7.50% due 09/16/2035(3) | 232 | 252 | |||||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(3) | 2,635 | 2,974 | |||||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(3) | 1,807 | 2,100 | |||||||||
3,545,343 | |||||||||||
Tennessee Valley Authority — 0.0% | |||||||||||
1.75% due 10/15/2018 | 12,000 | 11,980 | |||||||||
Total U.S. Government Agencies (cost $17,050,011) | 17,103,241 |
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PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
U.S. GOVERNMENT TREASURIES — 13.1% | |||||||||||
United States Treasury Bonds — 2.7% | |||||||||||
2.50% due 02/15/2045(13) | $ | 150,000 | $ | 136,963 | |||||||
3.00% due 05/15/2045(14) | 370,000 | 372,327 | |||||||||
3.00% due 11/15/2045 | 202,000 | 203,136 | |||||||||
3.63% due 08/15/2043 | 105,000 | 117,547 | |||||||||
4.38% due 11/15/2039 | 130,000 | 160,971 | |||||||||
5.00% due 05/15/2037 | 256,000 | 337,430 | |||||||||
1,328,374 | |||||||||||
United States Treasury Notes — 10.4% | |||||||||||
0.25% due 01/15/2025 TIPS(12) | 1,099,672 | 1,075,456 | |||||||||
0.38% due 07/15/2027 TIPS(12) | 1,154,934 | 1,126,701 | |||||||||
1.88% due 02/28/2022 | 687,000 | 670,952 | |||||||||
2.00% due 02/15/2023 | 230,000 | 224,115 | |||||||||
2.00% due 02/15/2025 | 1,475,000 | 1,411,333 | |||||||||
2.13% due 07/31/2024 | 665,000 | 644,271 | |||||||||
5,152,828 | |||||||||||
Total U.S. Government Treasuries (cost $6,656,673) | 6,481,202 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 1.3% | |||||||||||
Sovereign — 1.3% | |||||||||||
Abu Dhabi Government Senior Notes 2.50% due 10/11/2022* | 200,000 | 192,630 | |||||||||
Abu Dhabi Government Senior Notes 4.13% due 10/11/2047* | 200,000 | 187,121 | |||||||||
Kingdom of Saudi Arabia Senior Notes 4.63% due 10/04/2047* | 200,000 | 190,750 | |||||||||
Republic of Hungary Senior Notes 6.25% due 01/29/2020 | 25,000 | 26,437 | |||||||||
United Mexican States Senior Notes 5.75% due 10/12/2110 | 48,000 | 48,840 | |||||||||
Total Foreign Government Obligations (cost $671,386) | 645,778 | ||||||||||
Total Long-Term Investment Securities (cost $60,487,053) | 61,988,544 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 2.4% | |||||||||||
Foreign Government Obligations — 2.4% | |||||||||||
Government of Egypt Bills 17.41% due 10/16/2018 | EGP | 900,000 | 46,659 | ||||||||
Government of Japan Bills (0.14)% due 04/09/2018 | JPY | 95,700,000 | 899,413 | ||||||||
Republic of Argentina Bills 3.06% due 06/15/2018 | 120,650 | 119,900 | |||||||||
Republic of Argentina Bills 3.13% due 05/24/2018 | 36,194 | 36,038 | |||||||||
Republic of Argentina Bills 3.30% due 04/27/2018 | 65,521 | 65,396 | |||||||||
Total Short-Term Investment Securities (cost $1,118,051) | 1,167,406 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS — 1.0% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(16) | $ | 150,000 | $ | 150,000 | |||||||
Barclays Capital, Inc. Joint Repurchase Agreement(16) | 80,000 | 80,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(16) | 135,000 | 135,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(16) | 105,000 | 105,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(16) | 50,000 | 50,000 | |||||||||
Total Repurchase Agreements (cost $520,000) | 520,000 | ||||||||||
TOTAL INVESTMENTS (cost $62,125,104)(17) | 128.6 | % | 63,675,950 | ||||||||
Liabilities in excess of other assets | (28.6 | ) | (14,170,087 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 49,505,863 |
@ See Note 1
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2018, the aggregate value of these securities was $15,003,149 representing 30.3% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.
(1) Securities classified as Level 3 (see Note 2).
(2) Perpetual maturity — maturity date reflects the next call date.
(3) Collateralized Mortgage Obligation
(4) Collateralized Loan Obligation
(5) 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 above.
(6) Commercial Mortgage Backed Security
(7) Interest Only
(8) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2018.
(9) Denominated in United States dollars unless otherwise indicated.
(10) Illiquid security. At March 31, 2018, the aggregate value of these securities was $829,611 representing 1.7% of net assets.
(11) Security in default of interest.
(12) Principal amount of security is adjusted for inflation.
(13) The security or a portion thereof was pledged as collateral to cover margin requirements for open future contracts.
(14) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(15) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant
108
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PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2018, the Multi-Managed Income Portfolio held the following restricted securities:
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
ION Media Networks, Inc. | 03/05/2014 | 4 | $ | 0 | $ | 3,225 | $ | 806.17 | 0.01 | % |
(16) See Note 2 for details of Joint Repurchase Agreements.
(17) See Note 4 for cost of investments on a tax basis.
ARS — Argentine Peso
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
EGP — Egyptian Pound
JPY — Japanese Yen
REMIC — Real Estate Mortgage Investment Conduit
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at March 31, 2018 and unless otherwise, the dates shown are the original maturity dates.
Index Legend
1 ML — 1 Month USD LIBOR
3 ML — 3 Month USD LIBOR
6 ML — 6 Month USD LIBOR
12 ML — 12 Month USD LIBOR
1 Yr USTYCR — 1 Year US Treasury Yield Curve Rate
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
2 | Long | 90 Day Eurodollar | March 2019 | $ | 486,600 | $ | 487,050 | $ | 450 | ||||||||||||||||||
4 | Short | 90 Day Eurodollar | March 2020 | 971,700 | 972,050 | (350 | ) | ||||||||||||||||||||
3 | Short | Canadian 10 Year Bond | June 2018 | 308,753 | 310,327 | (1,574 | ) | ||||||||||||||||||||
13 | Long | U.S. Treasury 2 Year Notes | June 2018 | 2,765,016 | 2,763,922 | (1,094 | ) | ||||||||||||||||||||
26 | Long | U.S. Treasury 5 Year Notes | June 2018 | 2,966,641 | 2,975,985 | 9,344 | |||||||||||||||||||||
36 | Short | U.S. Treasury 10 Year Notes | June 2018 | 4,335,654 | 4,361,063 | (25,409 | ) | ||||||||||||||||||||
7 | Long | U.S. Treasury Ultra Bonds | June 2018 | 1,104,898 | 1,123,281 | 18,383 | |||||||||||||||||||||
29 | Short | U.S. Treasury 10 Year Ultra Bonds | June 2018 | 3,727,797 | 3,765,922 | (38,125 | ) | ||||||||||||||||||||
$ | (38,375 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Citibank N.A. | JPY | 95,700,000 | USD | 854,823 | 04/09/2018 | $ | — | $ | (44,911 | ) | |||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | — | $ | (44,911 | ) |
JPY — Japanese Yen
USD — United States Dollar
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PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Centrally Cleared Interest Rate Swap Contracts
Rates Exchanged | Value | ||||||||||||||||||||||
Notional Amount (000's) | Maturity Date | Payments Received by the Portfolio/Frequency | Payments Made by the Portfolio/Frequency | Upfront Payments Made (Received) by the Portfolio | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 355 | 09/29/2026 | H.15-OIS-Compound/Annually | 1.00%/Annually | $ | 9,147 | $ | 29,108 | |||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 175 | 11/15/2024 | H.15-OIS-Compound/Annually | 2.18%/Annually | — | 1,814 | |||||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 170 | 11/15/2024 | H.15-OIS-Compound/Annually | 2.18%/Annually | (274 | ) | 2,036 | ||||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 25 | 11/15/2024 | H.15-OIS-Compound/Annually | 2.25%/Annually | 302 | (153 | ) | ||||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 80 | 11/15/2024 | H.15-OIS-Compound/Annually | 2.25%/Annually | 964 | (486 | ) | ||||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 245 | 11/15/2024 | H.15-OIS-Compound/Annually | 2.06%/Annually | 5,472 | (1,136 | ) | ||||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 105 | 11/15/2024 | H.15-OIS-Compound/Annually | 2.46%/Annually | — | (724 | ) | ||||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 105 | 11/15/2024 | H.15-OIS-Compound/Annually | 2.45%/Annually | — | (692 | ) | ||||||||||||||||
1 Year USD Federal Funds — | |||||||||||||||||||||||
USD | 85 | 11/15/2024 | H.15-OIS-Compound/Annually | 2.45%/Annually | — | (556 | ) | ||||||||||||||||
USD | 295 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (6,562 | ) | 11,125 | ||||||||||||||||
$ | 9,049 | $ | 40,336 |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
OIS — Overnight Index Swap
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Common Stocks: | |||||||||||||||||||
Television | $ | — | $ | — | $ | 3,225 | $ | 3,225 | |||||||||||
Other Industries | 8,111,194 | — | — | 8,111,194 | |||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 1 | 1 | |||||||||||||||
Other Industries | — | 741,806 | — | 741,806 | |||||||||||||||
Asset Backed Securities: | |||||||||||||||||||
Diversified Financial Services | — | 14,894,648 | 172,879 | 15,067,527 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | 400 | 2 | 402 | |||||||||||||||
Other Industries | — | 10,611,360 | — | 10,611,360 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 2,601,413 | — | 2,601,413 | |||||||||||||||
Municipal Bond & Notes | — | 621,395 | — | 621,395 | |||||||||||||||
U.S. Government Agencies | — | 17,103,241 | — | 17,103,241 | |||||||||||||||
U.S. Government Treasuries | — | 6,481,202 | — | 6,481,202 | |||||||||||||||
Foreign Government Obligations | — | 645,778 | — | 645,778 | |||||||||||||||
Short-Term Investment Securities | — | 1,167,406 | — | 1,167,406 | |||||||||||||||
Repurchase Agreements | — | 520,000 | — | 520,000 | |||||||||||||||
Total Investments at Value | $ | 8,111,194 | $ | 55,388,649 | $ | 176,107 | $ | 63,675,950 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 28,177 | $ | — | $ | — | $ | 28,177 | |||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 44,083 | — | 44,083 | |||||||||||||||
Total Other Financial Instruments | $ | 28,177 | $ | 44,083 | $ | — | $ | 72,260 |
110
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PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 66,552 | $ | — | $ | — | $ | 66,552 | |||||||||||
Forward Foreign Currency Contracts | — | 44,911 | — | 44,911 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 3,747 | — | 3,747 | |||||||||||||||
Total Other Financial Instruments | $ | 66,552 | $ | 48,658 | $ | — | $ | 115,210 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.
At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.
See Notes to Financial Statements
111
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PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Commercial Paper | 7.3 | % | |||||
Diversified Banking Institutions | 4.4 | ||||||
Exchange-Traded Funds | 4.2 | ||||||
Medical-Drugs | 3.7 | ||||||
United States Treasury Notes | 2.9 | ||||||
Applications Software | 2.8 | ||||||
Medical-HMO | 2.7 | ||||||
Oil Companies-Integrated | 2.6 | ||||||
Web Portals/ISP | 2.2 | ||||||
Aerospace/Defense | 2.2 | ||||||
Federal National Mtg. Assoc. | 2.1 | ||||||
Computers | 2.0 | ||||||
Real Estate Investment Trusts | 2.0 | ||||||
Telephone-Integrated | 1.9 | ||||||
Electric-Integrated | 1.8 | ||||||
Retail-Building Products | 1.7 | ||||||
Diversified Financial Services | 1.6 | ||||||
Insurance-Multi-line | 1.6 | ||||||
Banks-Commercial | 1.6 | ||||||
Electronic Components-Semiconductors | 1.4 | ||||||
U.S. Government Agencies | 1.3 | ||||||
Medical-Biomedical/Gene | 1.2 | ||||||
E-Commerce/Products | 1.2 | ||||||
Repurchase Agreements | 1.1 | ||||||
Computer Services | 1.1 | ||||||
Insurance-Life/Health | 1.1 | ||||||
Pipelines | 1.1 | ||||||
Oil Refining & Marketing | 1.0 | ||||||
Semiconductor Components-Integrated Circuits | 1.0 | ||||||
Beverages-Non-alcoholic | 1.0 | ||||||
Retail-Restaurants | 1.0 | ||||||
Transport-Rail | 0.9 | ||||||
Chemicals-Diversified | 0.8 | ||||||
Apparel Manufacturers | 0.8 | ||||||
Auto/Truck Parts & Equipment-Original | 0.8 | ||||||
Food-Misc./Diversified | 0.8 | ||||||
Building-Residential/Commercial | 0.7 | ||||||
Banks-Super Regional | 0.7 | ||||||
Oil Companies-Exploration & Production | 0.7 | ||||||
Retail-Apparel/Shoe | 0.6 | ||||||
Consumer Products-Misc. | 0.6 | ||||||
Airlines | 0.6 | ||||||
United States Treasury Bonds | 0.6 | ||||||
Diversified Manufacturing Operations | 0.6 | ||||||
Commercial Services-Finance | 0.6 | ||||||
Food-Meat Products | 0.6 | ||||||
Building-Heavy Construction | 0.5 | ||||||
Import/Export | 0.5 | ||||||
Medical-Wholesale Drug Distribution | 0.5 | ||||||
Entertainment Software | 0.5 | ||||||
Hotels/Motels | 0.5 | ||||||
Aerospace/Defense-Equipment | 0.5 | ||||||
Multimedia | 0.5 | ||||||
Semiconductor Equipment | 0.5 | ||||||
Finance-Investment Banker/Broker | 0.5 | ||||||
Food-Wholesale/Distribution | 0.5 | ||||||
Internet Content-Entertainment | 0.5 | ||||||
Auto-Cars/Light Trucks | 0.5 | ||||||
Retail-Drug Store | 0.5 | ||||||
Cosmetics & Toiletries | 0.4 |
Food-Retail | 0.4 | % | |||||
Real Estate Operations & Development | 0.4 | ||||||
Insurance-Reinsurance | 0.4 | ||||||
Broadcast Services/Program | 0.4 | ||||||
Engines-Internal Combustion | 0.4 | ||||||
Coatings/Paint | 0.4 | ||||||
Cellular Telecom | 0.3 | ||||||
Retail-Major Department Stores | 0.3 | ||||||
Software Tools | 0.3 | ||||||
Non-Hazardous Waste Disposal | 0.3 | ||||||
Internet Application Software | 0.3 | ||||||
Machinery-Electrical | 0.3 | ||||||
Cruise Lines | 0.3 | ||||||
Diversified Minerals | 0.3 | ||||||
Commercial Services | 0.3 | ||||||
Investment Management/Advisor Services | 0.3 | ||||||
Containers-Paper/Plastic | 0.3 | ||||||
Finance-Consumer Loans | 0.3 | ||||||
Computer Software | 0.3 | ||||||
Telecommunication Equipment | 0.3 | ||||||
Diagnostic Equipment | 0.3 | ||||||
Electric-Distribution | 0.3 | ||||||
Cable/Satellite TV | 0.3 | ||||||
Electronic Measurement Instruments | 0.3 | ||||||
Containers-Metal/Glass | 0.3 | ||||||
Finance-Auto Loans | 0.3 | ||||||
Human Resources | 0.2 | ||||||
Finance-Credit Card | 0.2 | ||||||
Building & Construction-Misc. | 0.2 | ||||||
Paper & Related Products | 0.2 | ||||||
Chemicals-Specialty | 0.2 | ||||||
Computer Aided Design | 0.2 | ||||||
Real Estate Management/Services | 0.2 | ||||||
Television | 0.2 | ||||||
Finance-Leasing Companies | 0.2 | ||||||
Computer Data Security | 0.2 | ||||||
Private Equity | 0.2 | ||||||
Transport-Services | 0.2 | ||||||
Food-Confectionery | 0.2 | ||||||
Electronic Forms | 0.2 | ||||||
Insurance-Property/Casualty | 0.2 | ||||||
Gas-Distribution | 0.2 | ||||||
Building Products-Wood | 0.2 | ||||||
Internet Infrastructure Software | 0.2 | ||||||
Shipbuilding | 0.2 | ||||||
Electric Products-Misc. | 0.2 | ||||||
Toys | 0.2 | ||||||
Engineering/R&D Services | 0.2 | ||||||
Radio | 0.2 | ||||||
Finance-Other Services | 0.2 | ||||||
Machinery-General Industrial | 0.2 | ||||||
Metal-Diversified | 0.2 | ||||||
Rental Auto/Equipment | 0.2 | ||||||
Travel Services | 0.1 | ||||||
Gold Mining | 0.1 | ||||||
Data Processing/Management | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Office Supplies & Forms | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 |
112
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PORTFOLIO PROFILE — March 31, 2018 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Tobacco | 0.1 | % | |||||
Electronic Components-Misc. | 0.1 | ||||||
Retail-Misc./Diversified | 0.1 | ||||||
Transactional Software | 0.1 | ||||||
Office Automation & Equipment | 0.1 | ||||||
Diversified Operations | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Appliances | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Funeral Services & Related Items | 0.1 | ||||||
Auction Houses/Art Dealers | 0.1 | ||||||
Building-Mobile Home/Manufactured Housing | 0.1 | ||||||
Enterprise Software/Service | 0.1 | ||||||
Energy-Alternate Sources | 0.1 | ||||||
Capacitors | 0.1 | ||||||
Consulting Services | 0.1 | ||||||
Banks-Special Purpose | 0.1 | ||||||
Printing-Commercial | 0.1 | ||||||
Chemicals-Plastics | 0.1 | ||||||
Metal Processors & Fabrication | 0.1 | ||||||
Independent Power Producers | 0.1 | ||||||
Retail-Hypermarkets | 0.1 | ||||||
Computers-Integrated Systems | 0.1 | ||||||
Municipal Bonds & Notes | 0.1 | ||||||
Brewery | 0.1 | ||||||
Gambling (Non-Hotel) | 0.1 | ||||||
Financial Guarantee Insurance | 0.1 | ||||||
Non-Ferrous Metals | 0.1 | ||||||
Publishing-Newspapers | 0.1 | ||||||
Industrial Audio & Video Products | 0.1 | ||||||
Photo Equipment & Supplies | 0.1 | ||||||
Insurance-Mutual | 0.1 | ||||||
Industrial Automated/Robotic | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Dialysis Centers | 0.1 | ||||||
Federal Home Loan Mtg. Corp. | 0.1 | ||||||
Medical Products | 0.1 | ||||||
Wire & Cable Products | 0.1 | ||||||
Garden Products | 0.1 | ||||||
Chemicals-Fibers | 0.1 | ||||||
Agricultural Chemicals | 0.1 | ||||||
Distribution/Wholesale | 0.1 | ||||||
Auto-Heavy Duty Trucks | 0.1 | ||||||
100.9 | % |
* Calculated as a percentage of net assets
@ See Note 1
113
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PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 73.0% | |||||||||||
Aerospace/Defense — 2.1% | |||||||||||
Boeing Co. | 4,953 | $ | 1,623,989 | ||||||||
Northrop Grumman Corp. | 2,356 | 822,527 | |||||||||
Raytheon Co. | 2,273 | 490,559 | |||||||||
Spirit AeroSystems Holdings, Inc., Class A | 2,701 | 226,074 | |||||||||
3,163,149 | |||||||||||
Aerospace/Defense-Equipment — 0.5% | |||||||||||
L3 Technologies, Inc. | 3,332 | 693,056 | |||||||||
Airlines — 0.6% | |||||||||||
ANA Holdings, Inc. | 1,900 | 73,532 | |||||||||
Deutsche Lufthansa AG | 1,979 | 63,217 | |||||||||
International Consolidated Airlines Group SA | 4,010 | 34,704 | |||||||||
Japan Airlines Co., Ltd. | 2,100 | 84,509 | |||||||||
Singapore Airlines, Ltd. | 4,400 | 36,541 | |||||||||
Southwest Airlines Co. | 10,869 | 622,577 | |||||||||
915,080 | |||||||||||
Apparel Manufacturers — 0.8% | |||||||||||
Carter's, Inc. | 639 | 66,520 | |||||||||
Michael Kors Holdings, Ltd.† | 4,870 | 302,329 | |||||||||
Ralph Lauren Corp. | 6,991 | 781,594 | |||||||||
1,150,443 | |||||||||||
Appliances — 0.1% | |||||||||||
Electrolux AB, Series B | 5,114 | 160,925 | |||||||||
Applications Software — 2.8% | |||||||||||
Intuit, Inc. | 3,582 | 620,940 | |||||||||
Microsoft Corp. | 38,707 | 3,532,788 | |||||||||
4,153,728 | |||||||||||
Auction Houses/Art Dealers — 0.1% | |||||||||||
KAR Auction Services, Inc. | 2,664 | 144,389 | |||||||||
Auto-Cars/Light Trucks — 0.4% | |||||||||||
Brilliance China Automotive Holdings, Ltd. | 28,000 | 58,892 | |||||||||
Fiat Chrysler Automobiles NV† | 9,726 | 199,421 | |||||||||
Ford Motor Co. | 5,379 | 59,599 | |||||||||
Peugeot SA | 7,782 | 187,408 | |||||||||
Renault SA | 677 | 82,247 | |||||||||
Suzuki Motor Corp. | 200 | 10,770 | |||||||||
Toyota Motor Corp. | 500 | 32,071 | |||||||||
630,408 | |||||||||||
Auto/Truck Parts & Equipment-Original — 0.7% | |||||||||||
Allison Transmission Holdings, Inc. | 9,884 | 386,069 | |||||||||
Faurecia SA | 2,053 | 166,347 | |||||||||
Iochpe-Maxion SA† | 5,849 | 46,364 | |||||||||
JTEKT Corp. | 2,500 | 37,028 | |||||||||
Lear Corp. | 1,427 | 265,550 | |||||||||
Visteon Corp.† | 1,144 | 126,115 | |||||||||
1,027,473 | |||||||||||
Banks-Commercial — 1.5% | |||||||||||
ABN AMRO Group NV CVA* | 6,540 | 197,179 | |||||||||
China Construction Bank Corp. | 256,000 | 266,009 | |||||||||
DNB ASA | 5,456 | 106,453 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial (continued) | |||||||||||
Grupo Financiero Galicia SA ADR | 975 | $ | 64,116 | ||||||||
HDFC Bank, Ltd. | 2,531 | 73,861 | |||||||||
Industrial & Commercial Bank of China, Ltd. | 288,000 | 249,743 | |||||||||
Japan Post Bank Co., Ltd. | 800 | 10,736 | |||||||||
Regions Financial Corp. | 27,148 | 504,410 | |||||||||
Resona Holdings, Inc. | 36,900 | 194,895 | |||||||||
Sberbank of Russia PJSC ADR | 11,834 | 221,012 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 1,500 | 60,716 | |||||||||
Synovus Financial Corp. | 1,614 | 80,603 | |||||||||
TCF Financial Corp. | 3,630 | 82,800 | |||||||||
United Overseas Bank, Ltd. | 6,100 | 128,631 | |||||||||
2,241,164 | |||||||||||
Banks-Special Purpose — 0.1% | |||||||||||
Industrial Bank of Korea | 8,304 | 119,586 | |||||||||
Banks-Super Regional — 0.6% | |||||||||||
PNC Financial Services Group, Inc. | 3,291 | 497,731 | |||||||||
SunTrust Banks, Inc. | 5,119 | 348,297 | |||||||||
846,028 | |||||||||||
Beverages-Non-alcoholic — 1.0% | |||||||||||
Coca-Cola Amatil, Ltd. | 28,188 | 188,628 | |||||||||
Dr Pepper Snapple Group, Inc. | 1,300 | 153,894 | |||||||||
PepsiCo, Inc. | 9,883 | 1,078,729 | |||||||||
1,421,251 | |||||||||||
Brewery — 0.0% | |||||||||||
Asahi Group Holdings, Ltd. | 400 | 21,304 | |||||||||
Broadcast Services/Program — 0.3% | |||||||||||
Discovery Communications, Inc., Class A† | 23,019 | 493,297 | |||||||||
Building & Construction-Misc. — 0.2% | |||||||||||
China State Construction International Holdings, Ltd. | 46,000 | 56,493 | |||||||||
CIMIC Group, Ltd. | 4,769 | 164,530 | |||||||||
Kajima Corp. | 5,000 | 46,379 | |||||||||
Taisei Corp. | 1,700 | 86,274 | |||||||||
353,676 | |||||||||||
Building Products-Cement — 0.0% | |||||||||||
Loma Negra Cia Industrial Argentina SA ADR† | 2,762 | 58,886 | |||||||||
Building Products-Wood — 0.2% | |||||||||||
Masco Corp. | 5,856 | 236,817 | |||||||||
Building-Heavy Construction — 0.5% | |||||||||||
ACS Actividades de Construccion y Servicios SA | 4,274 | 166,752 | |||||||||
Bouygues SA | 4,134 | 207,377 | |||||||||
Dilip Buildcon, Ltd.*(3) | 3,003 | 46,707 | |||||||||
Mota-Engil SGPS SA | 19,802 | 79,881 | |||||||||
Vinci SA | 2,286 | 225,082 | |||||||||
Waskita Beton Precast Tbk PT | 1,558,500 | 47,088 | |||||||||
772,887 | |||||||||||
Building-Mobile Home/Manufactured Housing — 0.1% | |||||||||||
Thor Industries, Inc. | 1,243 | 143,156 |
114
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building-Residential/Commercial — 0.6% | |||||||||||
Barratt Developments PLC | 14,117 | $ | 105,155 | ||||||||
Berkeley Group Holdings PLC | 2,847 | 151,528 | |||||||||
MRV Engenharia e Participacoes SA | 15,449 | 76,041 | |||||||||
NVR, Inc.† | 60 | 168,000 | |||||||||
Persimmon PLC | 5,757 | 204,675 | |||||||||
Taylor Wimpey PLC | 77,155 | 200,144 | |||||||||
905,543 | |||||||||||
Cable TV — 0.0% | |||||||||||
Megacable Holdings SA de CV | 14,710 | 67,686 | |||||||||
Capacitors — 0.1% | |||||||||||
Walsin Technology Corp.† | 31,000 | 127,585 | |||||||||
Casino Hotels — 0.0% | |||||||||||
Caesars Entertainment Corp.† | 303 | 3,409 | |||||||||
Galaxy Entertainment Group, Ltd. | 4,000 | 36,667 | |||||||||
40,076 | |||||||||||
Cellular Telecom — 0.2% | |||||||||||
Advanced Info Service PCL | 7,300 | 48,091 | |||||||||
Telstra Corp., Ltd. | 60,911 | 147,787 | |||||||||
Tim Participacoes SA ADR | 3,900 | 84,513 | |||||||||
280,391 | |||||||||||
Chemicals-Diversified — 0.7% | |||||||||||
Arkema SA | 957 | 124,967 | |||||||||
BASF SE | 1,045 | 106,204 | |||||||||
Celanese Corp., Series A | 382 | 38,280 | |||||||||
Covestro AG* | 1,882 | 185,248 | |||||||||
Evonik Industries AG | 5,285 | 186,473 | |||||||||
Huntsman Corp. | 10,919 | 319,381 | |||||||||
Mitsubishi Chemical Holdings Corp. | 10,300 | 99,753 | |||||||||
Mitsubishi Gas Chemical Co., Inc. | 1,800 | 43,120 | |||||||||
1,103,426 | |||||||||||
Chemicals-Fibers — 0.1% | |||||||||||
Indorama Ventures PCL† | 38,400 | 70,304 | |||||||||
Chemicals-Plastics — 0.1% | |||||||||||
Formosa Plastics Corp. | 29,000 | 102,943 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Ashland Global Holdings, Inc. | 611 | 42,642 | |||||||||
W.R. Grace & Co. | 2,044 | 125,154 | |||||||||
167,796 | |||||||||||
Coatings/Paint — 0.4% | |||||||||||
Sherwin-Williams Co. | 1,327 | 520,343 | |||||||||
Commercial Services — 0.2% | |||||||||||
CoreLogic, Inc.† | 900 | 40,707 | |||||||||
Live Nation Entertainment, Inc.† | 3,787 | 159,584 | |||||||||
ServiceMaster Global Holdings, Inc.† | 1,721 | 87,513 | |||||||||
Sporton International, Inc. | 12,000 | 65,850 | |||||||||
353,654 |
Security Description | Shares | Value (Note 2) | |||||||||
Commercial Services-Finance — 0.5% | |||||||||||
S&P Global, Inc. | 2,727 | $ | 521,021 | ||||||||
Total System Services, Inc. | 2,567 | 221,429 | |||||||||
742,450 | |||||||||||
Communications Software — 0.0% | |||||||||||
Avaya Holdings Corp.† | 898 | 20,115 | |||||||||
Computer Aided Design — 0.2% | |||||||||||
Cadence Design Systems, Inc.† | 4,034 | 148,330 | |||||||||
Synopsys, Inc.† | 2,220 | 184,793 | |||||||||
333,123 | |||||||||||
Computer Data Security — 0.2% | |||||||||||
Fortinet, Inc.† | 6,065 | 324,963 | |||||||||
Computer Services — 1.1% | |||||||||||
Amdocs, Ltd. | 4,004 | 267,147 | |||||||||
Cognizant Technology Solutions Corp., Class A | 2,174 | 175,007 | |||||||||
DXC Technology Co. | 4,797 | 482,242 | |||||||||
Fujitsu, Ltd. | 1,000 | 6,154 | |||||||||
International Business Machines Corp. | 4,872 | 747,511 | |||||||||
1,678,061 | |||||||||||
Computer Software — 0.3% | |||||||||||
Citrix Systems, Inc.† | 4,123 | 382,614 | |||||||||
Computers — 1.9% | |||||||||||
Apple, Inc. | 12,576 | 2,110,001 | |||||||||
HP, Inc. | 32,712 | 717,047 | |||||||||
2,827,048 | |||||||||||
Computers-Integrated Systems — 0.1% | |||||||||||
Otsuka Corp. | 2,000 | 100,747 | |||||||||
Computers-Memory Devices — 0.1% | |||||||||||
TDK Corp. | 1,300 | 117,166 | |||||||||
Consulting Services — 0.1% | |||||||||||
Booz Allen Hamilton Holding Corp. | 3,089 | 119,606 | |||||||||
Consumer Products-Misc. — 0.6% | |||||||||||
Clorox Co. | 2,690 | 358,066 | |||||||||
Kimberly-Clark Corp. | 5,094 | 561,002 | |||||||||
919,068 | |||||||||||
Containers-Metal/Glass — 0.2% | |||||||||||
Crown Holdings, Inc.† | 6,144 | 311,808 | |||||||||
Containers-Paper/Plastic — 0.2% | |||||||||||
Berry Global Group, Inc.† | 1,684 | 92,300 | |||||||||
Packaging Corp. of America | 2,343 | 264,056 | |||||||||
356,356 | |||||||||||
Cosmetics & Toiletries — 0.4% | |||||||||||
Kao Corp. | 1,000 | 75,006 | |||||||||
Pola Orbis Holdings, Inc. | 1,700 | 69,659 | |||||||||
Procter & Gamble Co. | 6,412 | 508,343 | |||||||||
653,008 | |||||||||||
Cruise Lines — 0.3% | |||||||||||
Royal Caribbean Cruises, Ltd. | 3,835 | 451,533 |
115
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Data Processing/Management — 0.1% | |||||||||||
Dun & Bradstreet Corp. | 1,400 | $ | 163,800 | ||||||||
Diagnostic Equipment — 0.3% | |||||||||||
Danaher Corp. | 3,852 | 377,149 | |||||||||
Dialysis Centers — 0.1% | |||||||||||
Fresenius Medical Care AG & Co. KGaA | 765 | 78,111 | |||||||||
Diversified Banking Institutions — 4.1% | |||||||||||
BNP Paribas SA | 2,843 | 210,795 | |||||||||
Citigroup, Inc. | 25,484 | 1,720,170 | |||||||||
Goldman Sachs Group, Inc. | 1,749 | 440,503 | |||||||||
HSBC Holdings PLC | 4,860 | 45,431 | |||||||||
JPMorgan Chase & Co. | 23,768 | 2,613,767 | |||||||||
Macquarie Group, Ltd. | 1,265 | 100,925 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 39,600 | 259,398 | |||||||||
Mizuho Financial Group, Inc. | 126,100 | 226,827 | |||||||||
Morgan Stanley | 4,471 | 241,255 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 6,100 | 255,569 | |||||||||
6,114,640 | |||||||||||
Diversified Financial Services — 0.3% | |||||||||||
CTBC Financial Holding Co., Ltd. | 158,000 | 114,882 | |||||||||
DGB Financial Group, Inc. | 2,579 | 28,188 | |||||||||
Edelweiss Financial Services, Ltd. | 40,326 | 149,953 | |||||||||
Hana Financial Group, Inc. | 2,184 | 93,741 | |||||||||
Shriram Transport Finance Co., Ltd.† | 3,369 | 74,860 | |||||||||
461,624 | |||||||||||
Diversified Manufacturing Operations — 0.5% | |||||||||||
Crane Co. | 489 | 45,350 | |||||||||
Ingersoll-Rand PLC | 4,467 | 381,973 | |||||||||
Parker-Hannifin Corp. | 2,215 | 378,831 | |||||||||
806,154 | |||||||||||
Diversified Minerals — 0.3% | |||||||||||
Anglo American PLC | 7,595 | 177,435 | |||||||||
BHP Billiton, Ltd. | 11,634 | 257,348 | |||||||||
434,783 | |||||||||||
Diversified Operations — 0.1% | |||||||||||
Industrivarden AB, Class A | 7,092 | 172,463 | |||||||||
Diversified Operations/Commercial Services — 0.0% | |||||||||||
China Conch Venture Holdings, Ltd. | 15,500 | 47,573 | |||||||||
E-Commerce/Products — 1.1% | |||||||||||
Alibaba Group Holding, Ltd. ADR† | 2,121 | 389,288 | |||||||||
Amazon.com, Inc.† | 835 | 1,208,529 | |||||||||
1,597,817 | |||||||||||
E-Commerce/Services — 0.0% | |||||||||||
Liberty Expedia Holdings, Inc., Class A† | 898 | 35,273 | |||||||||
Electric Products-Misc. — 0.1% | |||||||||||
AMETEK, Inc. | 2,722 | 206,790 |
Security Description | Shares | Value (Note 2) | |||||||||
Electric-Distribution — 0.3% | |||||||||||
CenterPoint Energy, Inc. | 6,315 | $ | 173,031 | ||||||||
PPL Corp. | 6,898 | 195,144 | |||||||||
368,175 | |||||||||||
Electric-Generation — 0.0% | |||||||||||
Engie SA | 3,878 | 64,788 | |||||||||
Vistra Energy Corp. CVR†(1) | 1,362 | 695 | |||||||||
65,483 | |||||||||||
Electric-Integrated — 1.6% | |||||||||||
American Electric Power Co., Inc. | 5,507 | 377,725 | |||||||||
Edison International | 3,328 | 211,860 | |||||||||
Enel SpA | 45,129 | 276,513 | |||||||||
Entergy Corp. | 8,442 | 665,061 | |||||||||
Exelon Corp. | 8,603 | 335,603 | |||||||||
FirstEnergy Corp. | 10,725 | 364,757 | |||||||||
OGE Energy Corp. | 2,306 | 75,568 | |||||||||
2,307,087 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
KEC International, Ltd. | 6,627 | 39,923 | |||||||||
Electronic Components-Misc. — 0.1% | |||||||||||
Hoya Corp. | 3,700 | 184,470 | |||||||||
Electronic Components-Semiconductors — 1.4% | |||||||||||
MediaTek, Inc. | 14,000 | 163,254 | |||||||||
Samsung Electronics Co., Ltd. | 250 | 577,212 | |||||||||
Samsung Electronics Co., Ltd. (Preference Shares) | 31 | 59,330 | |||||||||
Sino-American Silicon Products, Inc. | 16,000 | 58,442 | |||||||||
SK Hynix, Inc. | 572 | 43,628 | |||||||||
Texas Instruments, Inc. | 11,495 | 1,194,216 | |||||||||
2,096,082 | |||||||||||
Electronic Forms — 0.2% | |||||||||||
Adobe Systems, Inc.† | 1,377 | 297,542 | |||||||||
Electronic Measurement Instruments — 0.3% | |||||||||||
Agilent Technologies, Inc. | 3,264 | 218,361 | |||||||||
Keyence Corp. | 100 | 62,065 | |||||||||
Trimble, Inc.† | 2,400 | 86,112 | |||||||||
366,538 | |||||||||||
Energy-Alternate Sources — 0.1% | |||||||||||
Canvest Environmental Protection Group Co., Ltd. | 124,000 | 71,163 | |||||||||
China Everbright Greentech, Ltd.†* | 60,000 | 60,359 | |||||||||
131,522 | |||||||||||
Engineering/R&D Services — 0.2% | |||||||||||
CTCI Corp. | 51,000 | 83,085 | |||||||||
Jacobs Engineering Group, Inc. | 2,700 | 159,705 | |||||||||
242,790 | |||||||||||
Engines-Internal Combustion — 0.4% | |||||||||||
Cummins, Inc. | 3,298 | 534,573 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Chinasoft International, Ltd. | 68,000 | 61,477 |
116
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Entertainment Software — 0.5% | |||||||||||
Electronic Arts, Inc.† | 5,873 | $ | 712,043 | ||||||||
Nexon Co., Ltd.† | 2,000 | 33,081 | |||||||||
745,124 | |||||||||||
Finance-Auto Loans — 0.2% | |||||||||||
Ally Financial, Inc. | 8,842 | 240,060 | |||||||||
Finance-Consumer Loans — 0.3% | |||||||||||
Synchrony Financial | 12,086 | 405,244 | |||||||||
Finance-Credit Card — 0.2% | |||||||||||
Discover Financial Services | 4,987 | 358,715 | |||||||||
Finance-Investment Banker/Broker — 0.5% | |||||||||||
Daiwa Securities Group, Inc. | 4,000 | 25,514 | |||||||||
E*TRADE Financial Corp.† | 10,912 | 604,634 | |||||||||
Raymond James Financial, Inc. | 580 | 51,858 | |||||||||
682,006 | |||||||||||
Finance-Leasing Companies — 0.2% | |||||||||||
Chailease Holding Co., Ltd. | 28,000 | 98,913 | |||||||||
ORIX Corp. | 12,200 | 215,152 | |||||||||
314,065 | |||||||||||
Finance-Other Services — 0.1% | |||||||||||
BGC Partners, Inc., Class A | 3,753 | 50,478 | |||||||||
Hong Kong Exchanges & Clearing, Ltd. | 2,500 | 82,175 | |||||||||
132,653 | |||||||||||
Financial Guarantee Insurance — 0.1% | |||||||||||
Assured Guaranty, Ltd. | 2,393 | 86,627 | |||||||||
Fisheries — 0.0% | |||||||||||
Toyo Suisan Kaisha, Ltd. | 500 | 19,383 | |||||||||
Food-Confectionery — 0.2% | |||||||||||
Hershey Co. | 3,048 | 301,630 | |||||||||
Food-Meat Products — 0.6% | |||||||||||
Tyson Foods, Inc., Class A | 8,822 | 645,682 | |||||||||
WH Group, Ltd.* | 162,000 | 174,133 | |||||||||
819,815 | |||||||||||
Food-Misc./Diversified — 0.7% | |||||||||||
Associated British Foods PLC | 3,191 | 111,557 | |||||||||
Conagra Brands, Inc. | 7,193 | 265,278 | |||||||||
Ingredion, Inc. | 1,425 | 183,711 | |||||||||
Lamb Weston Holdings, Inc. | 2,642 | 153,817 | |||||||||
Nestle SA | 1,506 | 119,225 | |||||||||
Pinnacle Foods, Inc. | 2,384 | 128,974 | |||||||||
962,562 | |||||||||||
Food-Retail — 0.4% | |||||||||||
J Sainsbury PLC | 56,029 | 187,785 | |||||||||
Koninklijke Ahold Delhaize NV | 3,761 | 89,178 | |||||||||
METRO AG | 6,253 | 110,728 | |||||||||
Tesco PLC | 19,062 | 55,080 | |||||||||
WM Morrison Supermarkets PLC | 13,650 | 40,901 | |||||||||
Woolworths Group, Ltd. | 5,060 | 102,552 | |||||||||
X5 Retail Group NV GDR† | 1,721 | 57,931 | |||||||||
644,155 |
Security Description | Shares | Value (Note 2) | |||||||||
Food-Wholesale/Distribution — 0.5% | |||||||||||
Sysco Corp. | 8,643 | $ | 518,234 | ||||||||
US Foods Holding Corp.† | 6,071 | 198,947 | |||||||||
717,181 | |||||||||||
Funeral Services & Related Items — 0.1% | |||||||||||
Service Corp. International | 2,552 | 96,312 | |||||||||
Garden Products — 0.1% | |||||||||||
Toro Co. | 1,171 | 73,129 | |||||||||
Gas-Distribution — 0.2% | |||||||||||
NiSource, Inc. | 1,485 | 35,506 | |||||||||
UGI Corp. | 3,876 | 172,172 | |||||||||
Vectren Corp. | 972 | 62,130 | |||||||||
269,808 | |||||||||||
Gold Mining — 0.1% | |||||||||||
Newmont Mining Corp. | 5,229 | 204,297 | |||||||||
Hazardous Waste Disposal — 0.0% | |||||||||||
Tervita Corp.†(2) | 10 | 74 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Yatas Yatak ve Yorgan Sanayi ve Ticaret AS† | 4,617 | 40,959 | |||||||||
Hotels/Motels — 0.4% | |||||||||||
Extended Stay America, Inc. | 6,725 | 132,953 | |||||||||
Hilton Grand Vacations, Inc.† | 995 | 42,805 | |||||||||
Hilton Worldwide Holdings, Inc. | 4,443 | 349,931 | |||||||||
Hyatt Hotels Corp., Class A | 800 | 61,008 | |||||||||
586,697 | |||||||||||
Human Resources — 0.2% | |||||||||||
Adecco Group AG | 1,859 | 132,455 | |||||||||
ManpowerGroup, Inc. | 1,487 | 171,154 | |||||||||
Randstad Holding NV | 846 | 55,741 | |||||||||
359,350 | |||||||||||
Import/Export — 0.5% | |||||||||||
ITOCHU Corp. | 13,100 | 254,416 | |||||||||
Marubeni Corp. | 28,100 | 203,319 | |||||||||
Mitsui & Co., Ltd. | 9,900 | 169,567 | |||||||||
Toyota Tsusho Corp. | 3,800 | 128,744 | |||||||||
756,046 | |||||||||||
Industrial Automated/Robotic — 0.1% | |||||||||||
Rockwell Automation, Inc. | 461 | 80,306 | |||||||||
Insurance-Life/Health — 1.0% | |||||||||||
Cathay Financial Holding Co., Ltd. | 52,000 | 92,561 | |||||||||
Discovery, Ltd. | 5,056 | 72,876 | |||||||||
ING Life Insurance Korea, Ltd.* | 1,381 | 57,849 | |||||||||
Lincoln National Corp. | 3,077 | 224,806 | |||||||||
NN Group NV | 4,630 | 205,623 | |||||||||
Principal Financial Group, Inc. | 2,373 | 144,539 | |||||||||
Prudential Financial, Inc. | 5,032 | 521,064 | |||||||||
Torchmark Corp. | 958 | 80,635 | |||||||||
Unum Group | 3,236 | 154,066 | |||||||||
1,554,019 | |||||||||||
Insurance-Multi-line — 1.5% | |||||||||||
Aegon NV | 2,903 | 19,604 | |||||||||
Ageas | 3,809 | 196,922 | |||||||||
Allianz SE | 1,436 | 324,528 |
117
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Insurance-Multi-line (continued) | |||||||||||
Allstate Corp. | 4,969 | $ | 471,061 | ||||||||
American Financial Group, Inc. | 764 | 85,736 | |||||||||
Assurant, Inc. | 1,069 | 97,717 | |||||||||
AXA SA | 7,593 | 202,140 | |||||||||
Hartford Financial Services Group, Inc. | 6,399 | 329,677 | |||||||||
Loews Corp. | 9,360 | 465,473 | |||||||||
Ping An Insurance Group Co. of China, Ltd. | 8,500 | 87,462 | |||||||||
2,280,320 | |||||||||||
Insurance-Property/Casualty — 0.2% | |||||||||||
DB Insurance Co., Ltd. | 1,247 | 76,044 | |||||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 1,025 | 37,407 | |||||||||
Travelers Cos., Inc. | 1,310 | 181,907 | |||||||||
295,358 | |||||||||||
Insurance-Reinsurance — 0.4% | |||||||||||
IRB Brasil Resseguros S/A | 9,444 | 119,743 | |||||||||
Muenchener Rueckversicherungs- Gesellschaft AG | 929 | 216,057 | |||||||||
Reinsurance Group of America, Inc. | 755 | 116,270 | |||||||||
Swiss Re AG | 1,374 | 139,905 | |||||||||
591,975 | |||||||||||
Internet Application Software — 0.3% | |||||||||||
Tencent Holdings, Ltd. | 8,600 | 457,788 | |||||||||
Internet Content-Entertainment — 0.5% | |||||||||||
Facebook, Inc., Class A† | 4,072 | 650,665 | |||||||||
NCSoft Corp. | 126 | 49,648 | |||||||||
700,313 | |||||||||||
Internet Infrastructure Software — 0.2% | |||||||||||
F5 Networks, Inc.† | 1,821 | 263,335 | |||||||||
Investment Management/Advisor Services — 0.3% | |||||||||||
Ameriprise Financial, Inc. | 2,927 | 433,020 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. | 476 | 36,781 | |||||||||
Machinery-Electrical — 0.3% | |||||||||||
BWX Technologies, Inc. | 2,135 | 135,637 | |||||||||
Hitachi, Ltd. | 30,000 | 217,321 | |||||||||
Mitsubishi Electric Corp. | 3,800 | 60,765 | |||||||||
SMC Corp. | 100 | 40,477 | |||||||||
454,200 | |||||||||||
Machinery-General Industrial — 0.1% | |||||||||||
Honghua Group, Ltd.† | 196,000 | 20,739 | |||||||||
Zebra Technologies Corp., Class A† | 773 | 107,594 | |||||||||
128,333 | |||||||||||
Medical Instruments — 0.0% | |||||||||||
Bruker Corp. | 1,522 | 45,538 | |||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Fleury SA | 9,517 | 78,236 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Biomedical/Gene — 1.2% | |||||||||||
Amgen, Inc. | 2,389 | $ | 407,277 | ||||||||
Biogen, Inc.† | 364 | 99,670 | |||||||||
Celgene Corp.† | 6,471 | 577,278 | |||||||||
Charles River Laboratories International, Inc.† | 1,100 | 117,414 | |||||||||
Gilead Sciences, Inc. | 5,693 | 429,195 | |||||||||
Vertex Pharmaceuticals, Inc.† | 1,248 | 203,399 | |||||||||
1,834,233 | |||||||||||
Medical-Drugs — 3.6% | |||||||||||
AbbVie, Inc. | 5,246 | 496,534 | |||||||||
Allergan PLC | 234 | 39,380 | |||||||||
Astellas Pharma, Inc. | 6,400 | 97,078 | |||||||||
Bristol-Myers Squibb Co. | 6,103 | 386,015 | |||||||||
China Traditional Chinese Medicine Holdings Co., Ltd. | 96,000 | 71,223 | |||||||||
Eli Lilly & Co. | 7,950 | 615,091 | |||||||||
GlaxoSmithKline PLC | 7,901 | 153,500 | |||||||||
Johnson & Johnson | 10,185 | 1,305,208 | |||||||||
Merck & Co., Inc. | 12,372 | 673,903 | |||||||||
Novartis AG | 4,856 | 392,860 | |||||||||
Pfizer, Inc. | 5,050 | 179,224 | |||||||||
Recordati SpA | 4,172 | 154,594 | |||||||||
Roche Holding AG | 1,670 | 383,031 | |||||||||
Shionogi & Co., Ltd. | 2,900 | 149,654 | |||||||||
UCB SA | 2,414 | 196,919 | |||||||||
5,294,214 | |||||||||||
Medical-HMO — 2.7% | |||||||||||
Anthem, Inc. | 3,514 | 772,026 | |||||||||
Cigna Corp. | 3,181 | 533,581 | |||||||||
Humana, Inc. | 2,412 | 648,418 | |||||||||
UnitedHealth Group, Inc. | 8,646 | 1,850,244 | |||||||||
WellCare Health Plans, Inc.† | 1,289 | 249,589 | |||||||||
4,053,858 | |||||||||||
Medical-Wholesale Drug Distribution — 0.5% | |||||||||||
Alfresa Holdings Corp. | 700 | 15,578 | |||||||||
McKesson Corp. | 4,459 | 628,139 | |||||||||
Medipal Holdings Corp. | 3,200 | 65,561 | |||||||||
Premier, Inc., Class A† | 1,452 | 45,462 | |||||||||
754,740 | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
Skipper, Ltd. | 13,552 | 45,008 | |||||||||
Metal-Aluminum — 0.0% | |||||||||||
Hindalco Industries, Ltd. | 15,373 | 51,164 | |||||||||
Metal-Diversified — 0.1% | |||||||||||
Boliden AB | 1,082 | 38,144 | |||||||||
Rio Tinto PLC | 1,503 | 76,310 | |||||||||
114,454 | |||||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Dolby Laboratories, Inc., Class A | 932 | 59,238 | |||||||||
Multimedia — 0.5% | |||||||||||
Naspers, Ltd., Class N | 806 | 197,435 | |||||||||
Walt Disney Co. | 4,856 | 487,737 | |||||||||
685,172 |
118
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Non-Ferrous Metals — 0.1% | |||||||||||
Korea Zinc Co., Ltd. | 156 | $ | 70,104 | ||||||||
Mitsubishi Materials Corp. | 500 | 15,037 | |||||||||
85,141 | |||||||||||
Non-Hazardous Waste Disposal — 0.3% | |||||||||||
China Water Affairs Group, Ltd. | 96,000 | 98,176 | |||||||||
Waste Management, Inc. | 3,872 | 325,713 | |||||||||
423,889 | |||||||||||
Office Automation & Equipment — 0.1% | |||||||||||
Xerox Corp. | 6,090 | 175,270 | |||||||||
Office Supplies & Forms — 0.1% | |||||||||||
Avery Dennison Corp. | 1,919 | 203,894 | |||||||||
Oil Companies-Exploration & Production — 0.2% | |||||||||||
CNOOC, Ltd. | 53,000 | 78,213 | |||||||||
Geopark, Ltd.† | 4,486 | 55,626 | |||||||||
Halcon Resources Corp.† | 729 | 3,550 | |||||||||
MWO Holdings LLC†(2)(3) | 10 | 810 | |||||||||
NOVATEK PJSC | 734 | 100,688 | |||||||||
SandRidge Energy, Inc.† | 323 | 4,687 | |||||||||
243,574 | |||||||||||
Oil Companies-Integrated — 2.5% | |||||||||||
Chevron Corp. | 8,683 | 990,209 | |||||||||
Eni SpA | 9,930 | 175,045 | |||||||||
Exxon Mobil Corp. | 18,109 | 1,351,112 | |||||||||
Lukoil PJSC ADR | 2,081 | 143,564 | |||||||||
Petroleo Brasileiro SA ADR† | 4,778 | 67,561 | |||||||||
PTT PCL | 2,900 | 50,822 | |||||||||
Repsol SA | 12,261 | 217,837 | |||||||||
Royal Dutch Shell PLC, Class B | 3,803 | 122,551 | |||||||||
Sasol, Ltd. | 1,936 | 65,992 | |||||||||
Statoil ASA | 9,567 | 226,586 | |||||||||
TOTAL SA | 6,271 | 356,404 | |||||||||
3,767,683 | |||||||||||
Oil Field Machinery & Equipment — 0.0% | |||||||||||
Hilong Holding, Ltd. | 174,000 | 26,816 | |||||||||
Oil Refining & Marketing — 1.0% | |||||||||||
Marathon Petroleum Corp. | 8,242 | 602,573 | |||||||||
Valero Energy Corp. | 10,222 | 948,295 | |||||||||
1,550,868 | |||||||||||
Paper & Related Products — 0.2% | |||||||||||
Domtar Corp. | 1,594 | 67,809 | |||||||||
Fibria Celulose SA | 3,116 | 61,377 | |||||||||
Mondi PLC | 2,421 | 66,143 | |||||||||
Nine Dragons Paper Holdings, Ltd. | 36,000 | 54,569 | |||||||||
Suzano Papel e Celulose SA | 4,350 | 43,955 | |||||||||
293,853 | |||||||||||
Petrochemicals — 0.0% | |||||||||||
Petronas Chemicals Group Bhd | 26,900 | 57,444 | |||||||||
Photo Equipment & Supplies — 0.1% | |||||||||||
Sunny Optical Technology Group Co., Ltd. | 4,400 | 83,015 |
Security Description | Shares | Value (Note 2) | |||||||||
Pipelines — 0.6% | |||||||||||
Kinder Morgan, Inc. | 27,878 | $ | 419,843 | ||||||||
Williams Cos., Inc. | 18,058 | 448,922 | |||||||||
868,765 | |||||||||||
Printing-Commercial — 0.1% | |||||||||||
Dai Nippon Printing Co., Ltd. | 2,100 | 43,380 | |||||||||
Toppan Printing Co., Ltd. | 8,000 | 65,636 | |||||||||
109,016 | |||||||||||
Private Equity — 0.2% | |||||||||||
3i Group PLC | 22,794 | 275,216 | |||||||||
Publishing-Newspapers — 0.1% | |||||||||||
News Corp., Class A | 5,348 | 84,498 | |||||||||
Radio — 0.1% | |||||||||||
Liberty Media Corp. - Liberty SiriusXM, Series A† | 2,953 | 121,368 | |||||||||
Real Estate Investment Trusts — 1.8% | |||||||||||
AGNC Investment Corp. | 12,392 | 234,457 | |||||||||
Apartment Investment & Management Co., Class A | 2,147 | 87,490 | |||||||||
Apple Hospitality REIT, Inc. | 3,377 | 59,334 | |||||||||
Brandywine Realty Trust | 3,199 | 50,800 | |||||||||
Brixmor Property Group, Inc. | 5,752 | 87,718 | |||||||||
Camden Property Trust | 1,628 | 137,045 | |||||||||
Chimera Investment Corp. | 3,164 | 55,085 | |||||||||
Colony NorthStar, Inc., Class A | 8,351 | 46,933 | |||||||||
Duke Realty Corp. | 5,019 | 132,903 | |||||||||
Equity Commonwealth† | 1,329 | 40,761 | |||||||||
Equity LifeStyle Properties, Inc. | 812 | 71,269 | |||||||||
Equity Residential | 4,547 | 280,186 | |||||||||
Fonciere Des Regions | 1,812 | 200,064 | |||||||||
Forest City Realty Trust, Inc., Class A | 4,212 | 85,335 | |||||||||
Gaming and Leisure Properties, Inc. | 1,536 | 51,410 | |||||||||
HCP, Inc. | 7,474 | 173,621 | |||||||||
Highwoods Properties, Inc. | 1,872 | 82,031 | |||||||||
Hudson Pacific Properties, Inc. | 1,839 | 59,823 | |||||||||
Liberty Property Trust | 1,992 | 79,142 | |||||||||
MFA Financial, Inc. | 5,189 | 39,073 | |||||||||
OUTFRONT Media, Inc. | 2,354 | 44,114 | |||||||||
Park Hotels & Resorts, Inc. | 4,205 | 113,619 | |||||||||
Senior Housing Properties Trust | 2,105 | 32,964 | |||||||||
Spirit Realty Capital, Inc. | 14,150 | 109,804 | |||||||||
Starwood Property Trust, Inc. | 4,125 | 86,419 | |||||||||
Vornado Realty Trust | 2,456 | 165,289 | |||||||||
WP Carey, Inc. | 569 | 35,272 | |||||||||
2,641,961 | |||||||||||
Real Estate Management/Services — 0.2% | |||||||||||
CBRE Group, Inc., Class A† | 3,888 | 183,591 | |||||||||
Realogy Holdings Corp. | 4,292 | 117,086 | |||||||||
300,677 | |||||||||||
Real Estate Operations & Development — 0.4% | |||||||||||
China Overseas Land & Investment, Ltd. | 28,000 | 98,432 | |||||||||
CK Asset Holdings, Ltd. | 22,500 | 190,398 | |||||||||
Emaar Development PJSC† | 56,769 | 83,460 |
119
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Operations & Development (continued) | |||||||||||
Kerry Properties, Ltd. | 17,500 | $ | 79,453 | ||||||||
KWG Property Holding, Ltd. | 37,000 | 51,304 | |||||||||
Nomura Real Estate Holdings, Inc. | 1,600 | 37,773 | |||||||||
Sun Hung Kai Properties, Ltd. | 5,000 | 79,649 | |||||||||
620,469 | |||||||||||
Recycling — 0.0% | |||||||||||
Sunny Friend Environmental Technology Co., Ltd. | 6,000 | 47,227 | |||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
Ashtead Group PLC | 2,597 | 70,816 | |||||||||
Localiza Rent a Car SA | 5,194 | 45,184 | |||||||||
116,000 | |||||||||||
Retail-Apparel/Shoe — 0.6% | |||||||||||
Next PLC | 275 | 18,379 | |||||||||
PVH Corp. | 2,977 | 450,807 | |||||||||
Ross Stores, Inc. | 6,262 | 488,311 | |||||||||
957,497 | |||||||||||
Retail-Building Products — 1.7% | |||||||||||
Home Depot, Inc. | 7,479 | 1,333,057 | |||||||||
Kingfisher PLC | 37,058 | 152,500 | |||||||||
Lowe's Cos., Inc. | 11,035 | 968,321 | |||||||||
2,453,878 | |||||||||||
Retail-Discount — 0.0% | |||||||||||
Harvey Norman Holdings, Ltd. | 23,378 | 66,918 | |||||||||
Retail-Drug Store — 0.4% | |||||||||||
Walgreens Boots Alliance, Inc. | 8,417 | 551,061 | |||||||||
Retail-Hypermarkets — 0.1% | |||||||||||
Wal-Mart de Mexico SAB de CV | 40,306 | 102,540 | |||||||||
Retail-Major Department Stores — 0.3% | |||||||||||
Marks & Spencer Group PLC | 31,912 | 121,118 | |||||||||
TJX Cos., Inc. | 4,256 | 347,119 | |||||||||
468,237 | |||||||||||
Retail-Misc./Diversified — 0.1% | |||||||||||
Lagardere SCA | 812 | 23,207 | |||||||||
Massmart Holdings, Ltd. | 5,319 | 72,777 | |||||||||
Poya International Co., Ltd. | 7,040 | 87,767 | |||||||||
183,751 | |||||||||||
Retail-Perfume & Cosmetics — 0.0% | |||||||||||
Beauty Community PCL† | 71,200 | 48,499 | |||||||||
Retail-Restaurants — 0.9% | |||||||||||
Arcos Dorados Holdings, Inc., Class A | 8,659 | 79,230 | |||||||||
Jubilant Foodworks, Ltd. | 2,765 | 99,394 | |||||||||
McDonald's Corp. | 4,829 | 755,159 | |||||||||
XiabuXiabu Catering Management China Holdings Co., Ltd.* | 26,000 | 49,825 | |||||||||
Yum! Brands, Inc. | 3,348 | 285,015 | |||||||||
1,268,623 | |||||||||||
Retail-Toy Stores — 0.0% | |||||||||||
JUMBO SA | 2,651 | 47,472 |
Security Description | Shares | Value (Note 2) | |||||||||
Semiconductor Components-Integrated Circuits — 1.0% | |||||||||||
Maxim Integrated Products, Inc. | 5,580 | $ | 336,028 | ||||||||
NXP Semiconductors NV† | 8,559 | 1,001,403 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 25,039 | 211,256 | |||||||||
1,548,687 | |||||||||||
Semiconductor Equipment — 0.5% | |||||||||||
Applied Materials, Inc. | 5,445 | 302,796 | |||||||||
Globalwafers Co., Ltd. | 3,000 | 46,816 | |||||||||
KLA-Tencor Corp. | 3,468 | 378,047 | |||||||||
727,659 | |||||||||||
Shipbuilding — 0.2% | |||||||||||
Huntington Ingalls Industries, Inc. | 939 | 242,036 | |||||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 19,700 | 18,344 | |||||||||
260,380 | |||||||||||
Software Tools — 0.3% | |||||||||||
VMware, Inc., Class A† | 3,768 | 456,945 | |||||||||
Steel-Producers — 0.1% | |||||||||||
POSCO | 287 | 87,643 | |||||||||
voestalpine AG | 886 | 46,493 | |||||||||
134,136 | |||||||||||
Telecommunication Equipment — 0.2% | |||||||||||
Juniper Networks, Inc. | 13,566 | 330,061 | |||||||||
Telephone-Integrated — 1.8% | |||||||||||
BT Group PLC | 66,295 | 211,833 | |||||||||
KDDI Corp. | 8,500 | 217,003 | |||||||||
Nippon Telegraph & Telephone Corp. | 4,600 | 211,832 | |||||||||
Swisscom AG | 340 | 168,622 | |||||||||
Telecom Argentina SA ADR | 1,432 | 44,865 | |||||||||
Verizon Communications, Inc. | 36,886 | 1,763,889 | |||||||||
2,618,044 | |||||||||||
Television — 0.1% | |||||||||||
AMC Networks, Inc., Class A† | 2,332 | 120,564 | |||||||||
RTL Group SA | 1,133 | 94,100 | |||||||||
214,664 | |||||||||||
Textile-Products — 0.0% | |||||||||||
Nameson Holdings, Ltd. | 128,000 | 27,589 | |||||||||
Tobacco — 0.1% | |||||||||||
British American Tobacco PLC | 1,246 | 72,332 | |||||||||
Swedish Match AB | 2,554 | 116,108 | |||||||||
188,440 | |||||||||||
Toys — 0.2% | |||||||||||
Hasbro, Inc. | 3,002 | 253,069 | |||||||||
Transactional Software — 0.1% | |||||||||||
Amadeus IT Group SA | 1,899 | 140,388 | |||||||||
Transport-Rail — 0.9% | |||||||||||
Central Japan Railway Co. | 1,100 | 208,101 | |||||||||
Union Pacific Corp. | 8,580 | 1,153,410 | |||||||||
1,361,511 |
120
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares/ Principal Amount(18) | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Transport-Services — 0.2% | |||||||||||
Deutsche Post AG | 3,538 | $ | 154,715 | ||||||||
Royal Mail PLC | 19,397 | 147,297 | |||||||||
302,012 | |||||||||||
Travel Services — 0.1% | |||||||||||
TUI AG | 9,933 | 213,246 | |||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
TCI Co, Ltd. | 4,000 | 55,767 | |||||||||
Web Portals/ISP — 2.2% | |||||||||||
Alphabet, Inc., Class A† | 3,085 | 3,199,577 | |||||||||
Yandex NV, Class A† | 2,498 | 98,546 | |||||||||
3,298,123 | |||||||||||
Wire & Cable Products — 0.1% | |||||||||||
KEI Industries, Ltd. | 12,339 | 73,877 | |||||||||
Total Common Stocks (cost $93,872,285) | 108,573,168 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 0.0% | |||||||||||
Real Estate Investment Trusts — 0.0% | |||||||||||
EPR Properties Series C 5.75% (cost $9,209) | 505 | 12,277 | |||||||||
PREFERRED SECURITIES — 0.0% | |||||||||||
Diversified Banking Institutions — 0.0% | |||||||||||
GMAC Capital Trust I FRS Series 2 7.62% (3 ML+5.79%) (cost $14,579) | 580 | 15,068 | |||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.4% | |||||||||||
Banks-Super Regional — 0.1% | |||||||||||
Fifth Third Bancorp 5.10% due 06/30/2023(4) | $ | 9,000 | 8,865 | ||||||||
Wells Fargo & Co. Series U 5.88% due 06/15/2025(4) | 85,000 | 89,420 | |||||||||
98,285 | |||||||||||
Diversified Banking Institutions — 0.1% | |||||||||||
Bank of America Corp. 6.50% due 10/23/2024 Series Z 6.50% due 10/23/2024(4) | 5,000 | 5,376 | |||||||||
Bank of America Corp. 6.10% due 03/17/2025 Series AA 6.10% due 03/17/2025(4) | 61,000 | 64,202 | |||||||||
JPMorgan Chase & Co. Series Z 5.30% due 05/01/2020(4) | 52,000 | 53,404 | |||||||||
JPMorgan Chase & Co. Series X 6.10% due 10/01/2024(4) | 11,000 | 11,550 | |||||||||
Lloyds Banking Group PLC 6.66% due 05/21/2037*(4) | 29,000 | 32,353 | |||||||||
166,885 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Electric-Integrated — 0.0% | |||||||||||
NextEra Energy Capital Holdings, Inc. 4.80% due 12/01/2077 | $ | 25,000 | $ | 24,062 | |||||||
WEC Energy Group, Inc. FRS 3.95% (3 ML+2.11%) due 05/15/2067 | 50,000 | 48,750 | |||||||||
72,812 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Prudential Financial, Inc. 5.20% due 03/15/2044 | 37,000 | 37,648 | |||||||||
Insurance-Multi-line — 0.1% | |||||||||||
Hartford Financial Services Group, Inc. 8.13% due 06/15/2068 | 50,000 | 50,500 | |||||||||
MetLife, Inc. 6.40% due 12/15/2066 | 45,000 | 49,331 | |||||||||
99,831 | |||||||||||
Insurance-Mutual — 0.0% | |||||||||||
Liberty Mutual Group, Inc. FRS 5.03% (3 ML+2.91%) due 03/07/2067* | 10,000 | 9,838 | |||||||||
Pipelines — 0.1% | |||||||||||
Energy Transfer Partners LP 6.63% due 02/15/2028(4) | 70,000 | 66,587 | |||||||||
TransCanada Trust 5.30% due 03/15/2077 | 40,000 | 39,500 | |||||||||
106,087 | |||||||||||
Total Preferred Securities/Capital Securities (cost $569,047) | 591,386 | ||||||||||
ASSET BACKED SECURITIES — 1.3% | |||||||||||
Diversified Financial Services — 1.3% | |||||||||||
Alternative Loan Trust FRS Series 2006-OA7, Class 1A2 2.22% (12 MTA+0.94%) due 06/25/2046(5) | 13,873 | 12,088 | |||||||||
Banc of America Commercial Mtg. Trust VRS Series 2005-1, Class XW 0.00% due 11/10/2042*(3)(6)(7)(8) | 245,935 | 2 | |||||||||
Banc of America Commercial Mtg. Trust VRS Series 2004-5, Class XC 0.43% due 11/10/2041*(3)(6)(7)(8) | 26,301 | 159 | |||||||||
Capmark Mtg. Securities, Inc. VRS Series 1997-C1, Class X 1.08% due 07/15/2029(6)(7)(8) | 34,485 | 623 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2012-GC8, Class XA 1.81% due 09/10/2045*(3)(6)(7)(8) | 250,472 | 15,491 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC21,Class AS 4.03% due 05/10/2047(6) | 28,000 | 28,446 |
121
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Citigroup Commercial Mtg. Trust VRS Series 2014-GC21, Class C 4.78% due 05/10/2047(6)(8) | $ | 57,000 | $ | 56,835 | |||||||
Citigroup Commercial Mtg. Trust VRS Series 2014-GC19, Class C 4.90% due 03/10/2047(6)(8) | 60,000 | 62,307 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2013-GC17,Class C 5.10% due 11/10/2046(6)(8) | 44,000 | 46,292 | |||||||||
Citigroup Mtg. Loan Trust, Inc. VRS Series 2005-2, Class 1A2A 3.79% due 05/25/2035(5)(8) | 31,621 | 32,311 | |||||||||
Commercial Mtg. Trust VRS Series 2006-C8, Class XS 0.62% due 12/10/2046*(3)(6)(7)(8) | 273,793 | 13 | |||||||||
Commercial Mtg. Trust VRS Series 2014-UBS6, Class XA 1.01% due 12/10/2047(6)(7)(8) | 431,836 | 19,323 | |||||||||
Commercial Mtg. Trust VRS Series 2013-CR11, Class XA 1.12% due 08/10/2050(6)(7)(8) | 512,886 | 21,263 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR17, Class XA 1.12% due 05/10/2047(6)(7)(8) | 352,970 | 15,478 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR20, Class XA 1.15% due 11/10/2047(6)(7)(8) | 298,591 | 15,423 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR18, Class XA 1.21% due 07/15/2047(6)(7)(8) | 121,093 | 5,318 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR19, Class XA 1.21% due 08/10/2047(6)(7)(8) | 967,787 | 45,728 | |||||||||
Commercial Mtg. Trust VRS Series 2014-UBS4, Class XA 1.21% due 08/10/2047(6)(7)(8) | 345,760 | 17,257 | |||||||||
Commercial Mtg. Trust VRS Series 2013-LC13, Class XA 1.26% due 08/10/2046(6)(7)(8) | 391,768 | 14,364 | |||||||||
Commerical Mtg. Trust Series LC6, Class AM 3.28% due 01/10/2046(6) | 20,000 | 19,900 | |||||||||
Commercial Mtg. Trust VRS Series 2014-UBS6, Class C 4.46% due 12/10/2047(6)(8) | 39,000 | 38,045 | |||||||||
Commercial Mtg. Trust VRS Series 2013-CR11, Class AM 4.72% due 08/10/2050(6)(8) | 12,000 | 12,740 | |||||||||
Commercial Mtg. Trust VRS Series 2010-C1, Class D 6.13% due 07/10/2046*(3)(6)(8) | 41,000 | 42,462 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Credit Suisse First Boston Mtg. Securities Corp. VRS Series 2003-C3, Class AX 2.08% due 05/15/2038*(3)(6)(7)(8) | $ | 12,165 | $ | 1 | |||||||
Credit Suisse Mtg. Capital Certs. VRS Series 2006-C4, Class AX 0.54% due 09/15/2039*(3)(6)(7)(8) | 9,546 | 0 | |||||||||
Credit Suisse Mtg. Capital Certs. VRS Series 2007-C1, Class AX 0.68% due 02/15/2040*(3)(6)(7)(8) | 106,449 | 5 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C1, Class C 4.30% due 04/15/2050(6)(8) | 52,000 | 52,224 | |||||||||
CSMC Trust VRS Series 2016-NXSR, Class C 4.36% due 12/15/2049(6)(8) | 37,000 | 37,031 | |||||||||
DBUBS Mtg. Trust VRS Series 2011-LC3A, Class D 5.34% due 08/10/2044*(6)(8) | 100,000 | 104,137 | |||||||||
GMAC Commercial Mtg. Securities, Inc. VRS Series 2005-C1, Class X1 0.99% due 05/10/2043*(3)(6)(7)(8) | 11,839 | 1 | |||||||||
GS Mtg. Securities Corp. VRS Series 2015-GC30, Class XA 0.88% due 05/10/2050(6)(7)(8) | 404,303 | 16,794 | |||||||||
GS Mtg. Securities Corp. II VRS GSMS 2013-GC10 XA 1.55% due 02/10/2046(6)(7)(8) | 845,006 | 48,972 | |||||||||
GS Mtg. Securities Corp. II Series 2013-GC10, Class AS 3.28% due 02/10/2046(6) | 22,000 | 21,715 | |||||||||
GS Mtg. Securities Trust VRS Series 2014-GC22, Class C 4.65% due 06/10/2047(6)(8) | 56,000 | 55,308 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2005-CB12, Class X1 0.37% due 09/12/2037*(3)(6)(7)(8) | 124,620 | 217 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-LC11, Class AS 3.22% due 04/15/2046(6) | 22,000 | 21,782 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-C6, Class AS 4.12% due 05/15/2045(6) | 19,000 | 19,423 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2012-C6, Class D 5.14% due 05/15/2045(6)(8) | 57,000 | 56,107 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C17, Class XA 0.85% due 01/15/2047(6)(7)(8) | 887,208 | 31,537 |
122
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C12, Class D 4.09% due 07/15/2045(6)(8) | $ | 23,000 | $ | 20,810 | |||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2014-C22, Class C 4.56% due 09/15/2047(6)(8) | 19,000 | 18,553 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series C14, Class C 4.57% due 08/15/2046(6)(8) | 56,000 | 55,722 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series C15, Class B 4.93% due 11/15/2045(6)(8) | 38,000 | 39,713 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C15, ClassC 5.08% due 11/15/2045(6)(8) | 55,000 | 57,238 | |||||||||
LB-UBS Commercial Mtg. Trust VRS Series 2005-C2, Class XCL 0.20% due 04/15/2040*(3)(6)(7)(8) | 33,523 | 2 | |||||||||
LB-UBS Commercial Mtg. Trust VRS Series 2005-C7, Class XCL 0.36% due 11/15/2040*(3)(6)(7)(8) | 114,794 | 510 | |||||||||
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class AM 6.32% due 04/15/2041(6)(8) | 69,000 | 71,544 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 3.53% due 02/25/2035(5)(8) | 13,011 | 13,281 | |||||||||
Merrill Lynch Mtg. Trust VRS Series 2005-MCP1, Class XC 0.00% due 06/12/2043*(3)(6)(7)(8) | 43,085 | 0 | |||||||||
Mezz Capital Commercial Mtg. Trust VRS Series 2006-C4, Class X 5.42% due 07/15/2045*(3)(6)(7)(8) | 6,519 | 261 | |||||||||
Mezz Capital Commercial Mtg. Trust VRS Series 2005-C3, Class X 5.89% due 05/15/2044*(3)(6)(7)(8) | 2,509 | 112 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C17, Class XA 1.21% due 08/15/2047(6)(7)(8) | 155,226 | 6,902 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2012-C6, Class XA 1.63% due 11/15/2045*(6)(7)(8) | 244,542 | 14,189 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series C8, Class B 3.56% due 12/15/2048(6)(8) | $ | 19,000 | $ | 18,803 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C18, Class C 4.49% due 10/15/2047(6)(8) | 63,000 | 61,518 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series C12, Class C 4.77% due 10/15/2046(6)(8) | 55,000 | 56,016 | |||||||||
UBS-Barclays Commercial Mtg. Trust VRS Series 2012-C3 Class C 5.04% due 08/10/2049*(6)(8) | 25,000 | 25,682 | |||||||||
Wachovia Bank Commercial Mtg. Trust VRS Series 2005-C18, Class XCzero coupondue 04/15/2042*(3)(6)(7)(8) | 50,096 | 4 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2005, Class AR19 2.22% (1 ML+0.35%) due 12/25/2045(5) | 13,764 | 13,540 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS(5) Series 2004-AR12, Class A2B 2.33% (1 ML+0.46%) due 10/25/2044 | 38,899 | 38,233 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C11, Class XA 1.23% due 03/15/2045*(6)(7)(8) | 248,356 | 11,597 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class XA 1.58% due 12/15/2045*(6)(7)(8) | 186,339 | 11,085 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class XA 1.91% due 11/15/2045*(6)(7)(8) | 121,152 | 8,530 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2013-C11, Class AS 3.31% due 03/15/2045(6) | 18,000 | 17,915 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-UBS1, Class AS 4.31% due 03/15/2046(6)(8) | 24,000 | 24,763 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class C 4.38% due 12/15/2045(6)(8) | 18,000 | 18,043 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C18, Class AS CMBS 4.3 4.39% due 12/15/2046(6)(8) | 67,000 | 69,969 |
123
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C15, Class C15 4.48% due 08/15/2046(6)(8) | $ | 56,000 | $ | 56,275 | |||||||
WF-RBS Commercial Mtg. Trust VRS Series 2014-C19, Class C 4.65% due 03/15/2047(6)(8) | 32,000 | 32,572 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class D 4.80% due 11/15/2045*(6)(8) | 44,000 | 41,690 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C7, Class D 4.83% due 06/15/2045*(6)(8) | 55,000 | 47,364 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C17, Class C 5.12% due 12/15/2046(6)(8) | 59,000 | 61,005 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C4, Class E 5.24% due 06/15/2044*(6)(8) | 30,000 | 27,994 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C3, Class D 5.69% due 03/15/2044*(6)(8) | 34,000 | 29,753 | |||||||||
Total Asset Backed Securities (cost $2,778,924) | 1,958,310 | ||||||||||
CONVERTIBLE BONDS & NOTES — 0.0% | |||||||||||
Semiconductor Equipment — 0.0% | |||||||||||
Jazz US Holdings, Inc. Company Guar. Notes 8.00% due 12/31/2018 (cost $2,905) | 3,000 | 8,132 | |||||||||
U.S. CORPORATE BONDS & NOTES — 5.6% | |||||||||||
Advertising Agencies — 0.0% | |||||||||||
Omnicom Group, Inc. Company Guar. Notes 3.60% due 04/15/2026 | 15,000 | 14,541 | |||||||||
Advertising Sales — 0.0% | |||||||||||
Outfront Media Capital LLC Company Guar. Notes 5.63% due 02/15/2024 | 7,000 | 7,018 | |||||||||
Outfront Media Capital LLC Company Guar. Notes 5.88% due 03/15/2025 | 10,000 | 10,138 | |||||||||
17,156 | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
Rockwell Collins, Inc. Senior Notes 4.35% due 04/15/2047 | 59,000 | 58,152 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Aerospace/Defense-Equipment — 0.0% | |||||||||||
L-3 Technologies, Inc. Company Guar. Notes 3.85% due 12/15/2026 | $ | 5,000 | $ | 4,943 | |||||||
TransDigm, Inc. Company Guar. Notes 6.38% due 06/15/2026 | 25,000 | 25,187 | |||||||||
TransDigm, Inc. Company Guar. Notes 6.50% due 07/15/2024 | 3,000 | 3,075 | |||||||||
TransDigm, Inc. Company Guar. Notes 6.50% due 05/15/2025 | 5,000 | 5,050 | |||||||||
United Technologies Corp. Senior Notes 5.70% due 04/15/2040 | 5,000 | 5,984 | |||||||||
44,239 | |||||||||||
Agricultural Chemicals — 0.1% | |||||||||||
CF Industries, Inc. Senior Sec. Notes 4.50% due 12/01/2026*(3) | 50,000 | 50,736 | |||||||||
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043 | 15,000 | 13,088 | |||||||||
63,824 | |||||||||||
Airlines — 0.0% | |||||||||||
Delta Air Lines Pass Through Trust Pass-Through Certs. Series 2009-1, Class A 7.75% due 06/17/2021 | 1,514 | 1,604 | |||||||||
United Airline Pass-Through Trust Pass-Through Certs. Series 2007-1, Class A 6.64% due 01/02/2024 | 7,265 | 7,616 | |||||||||
9,220 | |||||||||||
Apparel Manufacturers — 0.0% | |||||||||||
Hanesbrands, Inc. Company Guar. Notes 4.63% due 05/15/2024* | 10,000 | 9,788 | |||||||||
Applications Software — 0.0% | |||||||||||
Microsoft Corp. Senior Notes 2.40% due 08/08/2026 | 20,000 | 18,612 | |||||||||
Auto-Cars/Light Trucks — 0.1% | |||||||||||
Ford Motor Co. Senior Notes 4.35% due 12/08/2026 | 30,000 | 29,676 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.25% due 05/15/2018 | 20,000 | 20,005 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 4.00% due 10/06/2026 | 8,000 | 7,764 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 4.30% due 07/13/2025 | 9,000 | 9,012 | |||||||||
66,457 |
124
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Auto-Heavy Duty Trucks — 0.0% | |||||||||||
Navistar International Corp. Senior Notes 6.63% due 11/01/2025* | $ | 20,000 | $ | 20,000 | |||||||
Auto-Truck Trailers — 0.0% | |||||||||||
Wabash National Corp. Company Guar. Notes 5.50% due 10/01/2025* | 5,000 | 4,875 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.1% | |||||||||||
American Axle & Manufacturing, Inc. Company Guar. Notes 7.75% due 11/15/2019 | 16,000 | 17,080 | |||||||||
Lear Corp. Senior Notes 3.80% due 09/15/2027 | 23,000 | 22,072 | |||||||||
Tenneco, Inc. Company Guar. Notes 5.00% due 07/15/2026 | 10,000 | 9,703 | |||||||||
Tenneco, Inc. Company Guar. Notes 5.38% due 12/15/2024 | 15,000 | 15,188 | |||||||||
TI Group Automotive Systems, LLC Company Guar. Notes 8.75% due 07/15/2023* | 12,000 | 12,600 | |||||||||
76,643 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.0% | |||||||||||
Allison Transmission, Inc. Senior Notes 4.75% due 10/01/2027* | 5,000 | 4,713 | |||||||||
Allison Transmission, Inc. Senior Notes 5.00% due 10/01/2024* | 10,000 | 9,912 | |||||||||
14,625 | |||||||||||
Banks-Commercial — 0.0% | |||||||||||
CIT Group, Inc. Senior Notes 3.88% due 02/19/2019 | 6,000 | 6,036 | |||||||||
CIT Group, Inc. Senior Notes 5.00% due 08/15/2022 | 2,000 | 2,048 | |||||||||
CIT Group, Inc. Senior Notes 5.00% due 08/01/2023 | 16,000 | 16,375 | |||||||||
CIT Group, Inc. Senior Notes 5.25% due 03/07/2025 | 18,000 | 18,429 | |||||||||
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019* | 6,000 | 6,142 | |||||||||
49,030 | |||||||||||
Banks-Mortgage — 0.0% | |||||||||||
Freedom Mtg. Corp. Senior Notes 8.13% due 11/15/2024* | 10,000 | 10,250 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Banks-Mortgage (continued) | |||||||||||
Provident Funding Associates LP/PFG Finance Corp. Senior Notes 6.38% due 06/15/2025* | $ | 15,000 | $ | 15,056 | |||||||
25,306 | |||||||||||
Brewery — 0.1% | |||||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026 | 18,000 | 17,893 | |||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046 | 53,000 | 57,161 | |||||||||
75,054 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes 6.50% due 11/15/2022 | 28,000 | 28,580 | |||||||||
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes 7.63% due 03/15/2020 | 10,000 | 9,988 | |||||||||
iHeartCommunications, Inc. Senior Sec. Notes 9.00% due 12/15/2019†(9)(11) | 21,000 | 16,564 | |||||||||
Nexstar Broadcasting, Inc. Company Guar. Notes 5.63% due 08/01/2024* | 15,000 | 14,695 | |||||||||
Univision Communications, Inc. Senior Sec. Notes 5.13% due 02/15/2025* | 15,000 | 13,987 | |||||||||
83,814 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
American Woodmark Corp. Company Guar. Notes 4.88% due 03/15/2026* | 15,000 | 14,644 | |||||||||
BMC East LLC Senior Sec. Notes 5.50% due 10/01/2024* | 25,000 | 25,000 | |||||||||
Builders FirstSource, Inc. Senior Sec. Notes 5.63% due 09/01/2024* | 25,000 | 25,125 | |||||||||
CPG Merger Sub LLC Company Guar. Notes 8.00% due 10/01/2021* | 5,000 | 5,044 | |||||||||
Louisiana-Pacific Corp. Senior Notes 4.88% due 09/15/2024 | 25,000 | 25,062 | |||||||||
Standard Industries, Inc. Senior Notes 5.00% due 02/15/2027* | 50,000 | 48,534 | |||||||||
Standard Industries, Inc. Senior Notes 5.38% due 11/15/2024* | 20,000 | 20,250 | |||||||||
USG Corp. Company Guar. Notes 4.88% due 06/01/2027* | 15,000 | 15,150 |
125
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Building & Construction Products-Misc. (continued) | |||||||||||
USG Corp. Company Guar. Notes 5.50% due 03/01/2025* | $ | 10,000 | $ | 10,425 | |||||||
189,234 | |||||||||||
Building & Construction-Misc. — 0.0% | |||||||||||
Pisces Midco, Inc. Senior Sec. Notes 8.00% due 04/15/2026*(3) | 5,000 | 5,000 | |||||||||
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023 | 11,000 | 10,945 | |||||||||
15,945 | |||||||||||
Building Products-Cement — 0.0% | |||||||||||
US Concrete, Inc. Company Guar. Notes 6.38% due 06/01/2024 | 20,000 | 20,750 | |||||||||
Building Products-Doors & Windows — 0.0% | |||||||||||
Jeld-Wen, Inc. Company Guar. Notes 4.63% due 12/15/2025* | 5,000 | 4,763 | |||||||||
Jeld-Wen, Inc. Company Guar. Notes 4.88% due 12/15/2027* | 5,000 | 4,725 | |||||||||
9,488 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Boise Cascade Co. Company Guar. Notes 5.63% due 09/01/2024* | 30,000 | 30,675 | |||||||||
Building-Heavy Construction — 0.0% | |||||||||||
Brand Energy & Infrastructure Services, Inc. Senior Notes 8.50% due 07/15/2025* | 25,000 | 26,031 | |||||||||
MasTec, Inc. Company Guar. Notes 4.88% due 03/15/2023 | 10,000 | 9,900 | |||||||||
35,931 | |||||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
DR Horton, Inc. Company Guar. Notes 5.75% due 08/15/2023 | 25,000 | 27,702 | |||||||||
Lennar Corp. Company Guar. Notes 4.75% due 11/15/2022 | 9,000 | 9,056 | |||||||||
Lennar Corp. Company Guar. Notes 5.88% due 11/15/2024*(3) | 15,000 | 15,525 | |||||||||
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026 | 10,000 | 10,305 | |||||||||
PulteGroup, Inc. Company Guar. Notes 7.88% due 06/15/2032 | 20,000 | 23,900 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Building-Residential/Commercial (continued) | |||||||||||
TRI Pointe Group Inc./TRI Pointe Homes Inc. Company Guar. Notes 5.88% due 06/15/2024 | $ | 10,000 | $ | 10,147 | |||||||
96,635 | |||||||||||
Cable/Satellite TV — 0.3% | |||||||||||
Cablevision Systems Corp. Senior Notes 8.00% due 04/15/2020 | 6,000 | 6,326 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.13% due 05/01/2023* | 5,000 | 5,006 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.25% due 09/30/2022 | 11,000 | 11,165 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.50% due 05/01/2026* | 20,000 | 19,575 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.75% due 02/15/2026* | 5,000 | 4,975 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.88% due 04/01/2024* | 20,000 | 20,350 | |||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp. Senior Notes 5.13% due 12/15/2021* | 20,000 | 19,938 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 12,000 | 12,263 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 05/01/2047 | 22,000 | 21,279 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 28,000 | 30,735 | |||||||||
Comcast Cable Communications Holdings, Inc. Company Guar. Notes 9.46% due 11/15/2022 | 10,000 | 12,609 | |||||||||
Comcast Corp. Company Guar. Notes 3.15% due 03/01/2026 | 55,000 | 52,954 | |||||||||
Comcast Corp. Company Guar. Notes 4.00% due 11/01/2049 | 27,000 | 25,320 |
126
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV (continued) | |||||||||||
Comcast Corp. Company Guar. Notes 6.50% due 11/15/2035 | $ | 10,000 | $ | 12,768 | |||||||
Cox Communications, Inc. Senior Notes 3.50% due 08/15/2027* | 25,000 | 23,851 | |||||||||
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024 | 51,000 | 48,514 | |||||||||
CSC Holdings LLC Senior Notes 6.75% due 11/15/2021 | 9,000 | 9,371 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024 | 25,000 | 22,281 | |||||||||
359,280 | |||||||||||
Casino Hotels — 0.1% | |||||||||||
Boyd Gaming Corp. Company Guar. Notes 6.38% due 04/01/2026 | 5,000 | 5,213 | |||||||||
Boyd Gaming Corp. Company Guar. Notes 6.88% due 05/15/2023 | 10,000 | 10,550 | |||||||||
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp. Senior Sec. Notes 6.75% due 11/15/2021* | 25,000 | 25,812 | |||||||||
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp. Sec. Notes 10.25% due 11/15/2022* | 30,000 | 32,700 | |||||||||
MGM Resorts International Company Guar. Notes 6.63% due 12/15/2021 | 15,000 | 16,102 | |||||||||
MGM Resorts International Company Guar. Notes 6.75% due 10/01/2020 | 20,000 | 21,250 | |||||||||
MGM Resorts International Company Guar. Notes 8.63% due 02/01/2019 | 15,000 | 15,667 | |||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. Senior Sec. Notes 5.88% due 05/15/2025* | 10,000 | 9,525 | |||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Company Guar. Notes 5.25% due 05/15/2027* | 25,000 | 24,531 | |||||||||
161,350 | |||||||||||
Casino Services — 0.0% | |||||||||||
Eldorado Resorts, Inc. Company Guar. Notes 7.00% due 08/01/2023 | 5,000 | 5,290 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Casino Services (continued) | |||||||||||
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. Senior Sec. Notes 6.13% due 08/15/2021* | $ | 25,000 | $ | 24,125 | |||||||
29,415 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Crown Castle Towers LLC Senior Sec. Notes 4.88% due 08/15/2040* | 45,000 | 46,574 | |||||||||
Sprint Communications, Inc. Senior Notes 7.00% due 08/15/2020 | 6,000 | 6,240 | |||||||||
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018* | 8,000 | 8,250 | |||||||||
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021 | 16,000 | 16,540 | |||||||||
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023 | 43,000 | 43,860 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 4.00% due 04/15/2022 | 5,000 | 4,975 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 4.50% due 02/01/2026 | 5,000 | 4,800 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 4.75% due 02/01/2028 | 10,000 | 9,612 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 5.38% due 04/15/2027 | 20,000 | 20,150 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 6.00% due 03/01/2023 | 5,000 | 5,200 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 6.38% due 03/01/2025 | 10,000 | 10,450 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/01/2023 | 20,000 | 20,663 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 6.84% due 04/28/2023 | 3,000 | 3,105 | |||||||||
200,419 | |||||||||||
Chemicals-Diversified — 0.1% | |||||||||||
Celanese US Holdings LLC Company Guar. Notes 4.63% due 11/15/2022 | 19,000 | 19,818 | |||||||||
Eastman Chemical Co. Senior Notes 3.80% due 03/15/2025 | 29,000 | 29,320 | |||||||||
Westlake Chemical Corp. Company Guar. Notes 3.60% due 08/15/2026 | 31,000 | 29,937 |
127
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Chemicals-Diversified (continued) | |||||||||||
Westlake Chemical Corp. Company Guar. Notes 4.38% due 11/15/2047 | $ | 14,000 | $ | 13,525 | |||||||
92,600 | |||||||||||
Chemicals-Plastics — 0.0% | |||||||||||
A. Schulman, Inc. Company Guar. Notes 6.88% due 06/01/2023 | 5,000 | 5,275 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Chemours Co. Company Guar. Notes 5.38% due 05/15/2027 | 10,000 | 10,025 | |||||||||
Chemours Co. Company Guar. Notes 6.63% due 05/15/2023 | 10,000 | 10,500 | |||||||||
Chemours Co. Company Guar. Notes 7.00% due 05/15/2025 | 10,000 | 10,800 | |||||||||
Cornerstone Chemical Co. Senior Sec. Notes 6.75% due 08/15/2024* | 15,000 | 14,920 | |||||||||
GCP Applied Technologies, Inc. Senior Notes 5.50% due 04/15/2026*(3) | 10,000 | 9,975 | |||||||||
GCP Applied Technologies, Inc. Company Guar. Notes 9.50% due 02/01/2023* | 25,000 | 27,522 | |||||||||
Huntsman International LLC Company Guar. Notes 4.88% due 11/15/2020 | 14,000 | 14,263 | |||||||||
Ingevity Corp. Senior Notes 4.50% due 02/01/2026* | 10,000 | 9,625 | |||||||||
Kraton Polymers LLC/Kraton Polymers Capital Corp. Company Guar. Notes 7.00% due 04/15/2025* | 10,000 | 10,350 | |||||||||
Kraton Polymers LLC/Kraton Polymers Capital Corp. Company Guar. Notes 10.50% due 04/15/2023* | 15,000 | 16,650 | |||||||||
Platform Specialty Products Corp. Company Guar. Notes 5.88% due 12/01/2025* | 30,000 | 29,325 | |||||||||
Tronox, Inc. Company Guar. Notes 6.50% due 04/15/2026*(3) | 10,000 | 10,000 | |||||||||
W.R. Grace & Co. Company Guar. Notes 5.63% due 10/01/2024* | 10,000 | 10,300 | |||||||||
184,255 | |||||||||||
Circuit Boards — 0.0% | |||||||||||
TTM Technologies, Inc. Company Guar. Notes 5.63% due 10/01/2025* | 20,000 | 19,900 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Coal — 0.0% | |||||||||||
Murray Energy Corp. Sec. Notes 11.25% due 04/15/2021* | $ | 15,000 | $ | 5,625 | |||||||
Coatings/Paint — 0.0% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 35,000 | 33,476 | |||||||||
Commercial Services — 0.1% | |||||||||||
Ecolab, Inc. Senior Notes 3.25% due 12/01/2027*(3) | 50,000 | 48,209 | |||||||||
Live Nation Entertainment, Inc. Company Guar. Notes 4.88% due 11/01/2024* | 5,000 | 4,875 | |||||||||
Nielsen Finance LLC/Nielsen Finance Co. Company Guar. Notes 5.00% due 04/15/2022* | 10,000 | 9,992 | |||||||||
TMS International Corp. Senior Notes 7.25% due 08/15/2025* | 15,000 | 15,637 | |||||||||
78,713 | |||||||||||
Commercial Services-Finance — 0.0% | |||||||||||
Moody's Corp. Senior Notes 3.25% due 01/15/2028* | 20,000 | 19,038 | |||||||||
Computer Software — 0.0% | |||||||||||
Rackspace Hosting, Inc. Company Guar. Notes 8.63% due 11/15/2024* | 35,000 | 34,562 | |||||||||
Computers — 0.1% | |||||||||||
Apple, Inc. Senior Notes 4.38% due 05/13/2045 | 28,000 | 29,546 | |||||||||
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 5.45% due 06/15/2023* | 55,000 | 58,301 | |||||||||
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Company Guar. Notes 5.88% due 06/15/2021* | 5,000 | 5,138 | |||||||||
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Company Guar. Notes 7.13% due 06/15/2024* | 35,000 | 37,431 | |||||||||
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 8.35% due 07/15/2046* | 8,000 | 10,161 | |||||||||
140,577 | |||||||||||
Computers-Memory Devices — 0.0% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 50,000 | 49,890 |
128
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Consulting Services — 0.0% | |||||||||||
Gartner, Inc. Company Guar. Notes 5.13% due 04/01/2025* | $ | 5,000 | $ | 5,000 | |||||||
Consumer Products-Misc. — 0.0% | |||||||||||
Spectrum Brands, Inc. Company Guar. Notes 5.75% due 07/15/2025 | 10,000 | 10,200 | |||||||||
Spectrum Brands, Inc. Company Guar. Notes 6.13% due 12/15/2024 | 5,000 | 5,150 | |||||||||
15,350 | |||||||||||
Containers-Metal/Glass — 0.1% | |||||||||||
BWAY Holding Co. Senior Sec. Notes 5.50% due 04/15/2024* | 15,000 | 15,094 | |||||||||
BWAY Holding Co. Senior Notes 7.25% due 04/15/2025* | 35,000 | 35,700 | |||||||||
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026 | 10,000 | 11,150 | |||||||||
61,944 | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Berry Global, Inc. Sec. Notes 4.50% due 02/15/2026* | 5,000 | 4,731 | |||||||||
Berry Global, Inc. Sec. Notes 5.13% due 07/15/2023 | 15,000 | 15,169 | |||||||||
Berry Global, Inc. Sec. Notes 5.50% due 05/15/2022 | 6,000 | 6,158 | |||||||||
Crown Americas LLC/Crown Americas Capital Corp. VI Company Guar. Notes 4.75% due 02/01/2026* | 5,000 | 4,838 | |||||||||
Flex Acquisition Co, Inc. Senior Notes 6.88% due 01/15/2025* | 15,000 | 14,850 | |||||||||
WestRock MWV LLC Company Guar. Notes 7.95% due 02/15/2031 | 1,000 | 1,329 | |||||||||
WestRock MWV LLC Company Guar. Notes 8.20% due 01/15/2030 | 20,000 | 26,941 | |||||||||
74,016 | |||||||||||
Cosmetics & Toiletries — 0.0% | |||||||||||
Revlon Consumer Products Corp. Company Guar. Notes 5.75% due 02/15/2021 | 5,000 | 3,875 | |||||||||
Revlon Consumer Products Corp. Company Guar. Notes 6.25% due 08/01/2024 | 25,000 | 15,406 | |||||||||
19,281 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Data Processing/Management — 0.0% | |||||||||||
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023* | $ | 10,000 | $ | 10,175 | |||||||
First Data Corp. Sec. Notes 5.75% due 01/15/2024* | 25,000 | 25,156 | |||||||||
First Data Corp. Company Guar. Notes 7.00% due 12/01/2023* | 15,000 | 15,746 | |||||||||
51,077 | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Ortho-Clinical Diagnostics, Inc. Senior Notes 6.63% due 05/15/2022* | 17,000 | 16,575 | |||||||||
Disposable Medical Products — 0.0% | |||||||||||
Sotera Health Holdings LLC Senior Notes 6.50% due 05/15/2023* | 10,000 | 10,075 | |||||||||
Distribution/Wholesale — 0.1% | |||||||||||
American Builders & Contractors Supply Co., Inc. Senior Notes 5.75% due 12/15/2023* | 10,000 | 10,275 | |||||||||
American Tire Distributors, Inc. Senior Sub. Notes 10.25% due 03/01/2022* | 20,000 | 20,425 | |||||||||
Beacon Roofing Supply, Inc. Company Guar. Notes 6.38% due 10/01/2023 | 20,000 | 21,000 | |||||||||
Univar USA, Inc. Company Guar. Notes 6.75% due 07/15/2023* | 10,000 | 10,312 | |||||||||
62,012 | |||||||||||
Diversified Banking Institutions — 0.2% | |||||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 105,000 | 106,243 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.85% due 01/26/2027 | 60,000 | 59,245 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 9,000 | 11,274 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 11/15/2048 | 85,000 | 81,811 | |||||||||
258,573 | |||||||||||
Diversified Financial Services — 0.0% | |||||||||||
CNG Holdings, Inc. Senior Sec. Notes 9.38% due 05/15/2020* | 15,000 | 14,775 | |||||||||
E-Commerce/Products — 0.1% | |||||||||||
Amazon.com, Inc. Senior Notes 3.15% due 08/22/2027* | 30,000 | 28,946 |
129
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
E-Commerce/Products (continued) | |||||||||||
Amazon.com, Inc. Senior Notes 4.05% due 08/22/2047* | $ | 30,000 | $ | 30,024 | |||||||
58,970 | |||||||||||
E-Commerce/Services — 0.0% | |||||||||||
Match Group, Inc. Senior Notes 5.00% due 12/15/2027* | 10,000 | 9,850 | |||||||||
Educational Software — 0.0% | |||||||||||
Ascend Learning LLC Senior Notes 6.88% due 08/01/2025* | 15,000 | 15,413 | |||||||||
Electric-Distribution — 0.0% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 5.88% due 02/01/2033 | 25,000 | 29,849 | |||||||||
Electric-Generation — 0.0% | |||||||||||
Emera US Finance LP Company Guar. Notes 3.55% due 06/15/2026 | 13,000 | 12,415 | |||||||||
Electric-Integrated — 0.2% | |||||||||||
AES Corp. Senior Notes 4.50% due 03/15/2023 | 5,000 | 5,091 | |||||||||
AES Corp. Senior Notes 4.88% due 05/15/2023 | 6,000 | 6,105 | |||||||||
AES Corp. Senior Notes 5.13% due 09/01/2027 | 20,000 | 20,350 | |||||||||
AES Corp. Senior Notes 5.50% due 04/15/2025 | 30,000 | 31,012 | |||||||||
Appalachian Power Co. Senior Notes 5.80% due 10/01/2035 | 20,000 | 23,897 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036 | 25,000 | 31,861 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 6.50% due 09/15/2037 | 5,000 | 6,594 | |||||||||
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042 | 10,000 | 10,296 | |||||||||
FirstEnergy Corp. Senior Notes 3.90% due 07/15/2027 | 4,000 | 3,928 | |||||||||
FirstEnergy Corp. Senior Notes 4.85% due 07/15/2047 | 6,000 | 6,311 | |||||||||
FirstEnergy Transmission LLC Senior Notes 5.45% due 07/15/2044* | 35,000 | 40,168 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
IPALCO Enterprises Inc Senior Sec. Notes 3.70% due 09/01/2024 | $ | 10,000 | $ | 9,791 | |||||||
PacifiCorp 1st Mtg. Notes 6.25% due 10/15/2037 | 15,000 | 19,684 | |||||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. Escrow Notes 11.50% due 10/01/2020†(3) | 11,000 | 83 | |||||||||
Texas-New Mexico Power Co. 1st Mtg. Notes 9.50% due 04/01/2019* | 25,000 | 26,602 | |||||||||
241,773 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 4.10% due 06/01/2022 | 20,000 | 20,707 | |||||||||
Electronic Components-Semiconductors — 0.0% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027 | 46,000 | 44,739 | |||||||||
Micron Technology, Inc. Senior Notes 5.25% due 01/15/2024* | 10,000 | 10,337 | |||||||||
55,076 | |||||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
Itron, Inc. Company Guar. Notes 5.00% due 01/15/2026* | 10,000 | 9,853 | |||||||||
Engines-Internal Combustion — 0.0% | |||||||||||
Briggs & Stratton Corp. Company Guar. Notes 6.88% due 12/15/2020 | 30,000 | 32,475 | |||||||||
Enterprise Software/Service — 0.1% | |||||||||||
Infor Software Parent LLC/Infor Software Parent, Inc. Senior Notes 7.13% due 05/01/2021*(10) | 25,000 | 25,260 | |||||||||
Infor US, Inc. Senior Sec. Notes 5.75% due 08/15/2020* | 7,000 | 7,140 | |||||||||
Infor US, Inc. Company Guar. Notes 6.50% due 05/15/2022 | 20,000 | 20,350 | |||||||||
Oracle Corp. Senior Notes 2.65% due 07/15/2026 | 17,000 | 15,895 | |||||||||
Oracle Corp. Senior Notes 3.25% due 11/15/2027 | 13,000 | 12,681 | |||||||||
81,326 |
130
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Finance-Auto Loans — 0.1% | |||||||||||
Ally Financial, Inc. Sub. Notes 5.75% due 11/20/2025 | $ | 30,000 | $ | 30,909 | |||||||
Ally Financial, Inc. Sub. Notes 8.00% due 12/31/2018 | 14,000 | 14,438 | |||||||||
Ally Financial, Inc. Company Guar. Notes 8.00% due 03/15/2020 | 14,000 | 15,050 | |||||||||
Ally Financial, Inc. Company Guar. Notes 8.00% due 11/01/2031 | 31,000 | 37,820 | |||||||||
Credit Acceptance Corp. Company Guar. Notes 6.13% due 02/15/2021 | 6,000 | 6,043 | |||||||||
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023 | 5,000 | 5,206 | |||||||||
109,466 | |||||||||||
Finance-Commercial — 0.0% | |||||||||||
ASP AMC Merger Sub, Inc. Senior Notes 8.00% due 05/15/2025* | 20,000 | 18,750 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
TMX Finance LLC/TitleMax Finance Corp. Senior Sec. Notes 8.50% due 09/15/2018* | 7,000 | 6,668 | |||||||||
Finance-Credit Card — 0.0% | |||||||||||
Alliance Data Systems Corp. Company Guar. Notes 5.38% due 08/01/2022* | 15,000 | 15,000 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Cantor Fitzgerald LP Notes 6.50% due 06/17/2022* | 24,000 | 26,146 | |||||||||
LPL Holdings, Inc. Company Guar. Notes 5.75% due 09/15/2025* | 20,000 | 19,744 | |||||||||
45,890 | |||||||||||
Finance-Leasing Companies — 0.0% | |||||||||||
Air Lease Corp. Senior Notes 3.63% due 04/01/2027 | 15,000 | 14,302 | |||||||||
Finance-Other Services — 0.1% | |||||||||||
BGC Partners, Inc. Senior Notes 5.13% due 05/27/2021 | 5,000 | 5,123 | |||||||||
Nationstar Mtg. LLC/Nationstar Capital Corp. Company Guar. Notes 6.50% due 07/01/2021 | 25,000 | 25,375 | |||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. Senior Notes 6.75% due 06/01/2025* | 15,000 | 14,981 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Finance-Other Services (continued) | |||||||||||
Werner FinCo LP/Werner FinCo, Inc, Company Guar. Notes 8.75% due 07/15/2025* | $ | 20,000 | $ | 20,450 | |||||||
65,929 | |||||||||||
Food-Dairy Products — 0.0% | |||||||||||
Dean Foods Co. Company Guar. Notes 6.50% due 03/15/2023* | 15,000 | 14,269 | |||||||||
Food-Misc./Diversified — 0.1% | |||||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 45,000 | 41,264 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 6.50% due 02/09/2040 | 9,000 | 10,682 | |||||||||
Lamb Weston Holdings, Inc. Company Guar. Notes 4.88% due 11/01/2026* | 48,000 | 47,580 | |||||||||
99,526 | |||||||||||
Food-Retail — 0.0% | |||||||||||
Fresh Market, Inc. Senior Sec. Notes 9.75% due 05/01/2023* | 10,000 | 5,800 | |||||||||
Footwear & Related Apparel — 0.0% | |||||||||||
Wolverine World Wide, Inc. Company Guar. Notes 5.00% due 09/01/2026* | 10,000 | 9,750 | |||||||||
Funeral Services & Related Items — 0.0% | |||||||||||
Service Corp. International Senior Notes 4.63% due 12/15/2027 | 15,000 | 14,475 | |||||||||
Service Corp. International Senior Notes 5.38% due 01/15/2022 | 14,000 | 14,280 | |||||||||
Service Corp. International Senior Notes 5.38% due 05/15/2024 | 24,000 | 24,937 | |||||||||
53,692 | |||||||||||
Gambling (Non-Hotel) — 0.1% | |||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc. Company Guar. Notes 5.25% due 10/15/2025* | 20,000 | 19,174 | |||||||||
Jacobs Entertainment, Inc. Sec. Notes 7.88% due 02/01/2024* | 5,000 | 5,300 | |||||||||
Scientific Games International, Inc. Company Guar. Notes 10.00% due 12/01/2022 | 40,000 | 43,075 | |||||||||
67,549 |
131
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Golf — 0.0% | |||||||||||
Constellation Merger Sub, Inc. Senior Notes 8.50% due 09/15/2025* | $ | 30,000 | $ | 29,025 | |||||||
Home Decoration Products — 0.0% | |||||||||||
Newell Brands, Inc.. Senior Notes 4.20% due 04/01/2026 | 30,000 | 29,700 | |||||||||
Hospital Beds/Equipment — 0.0% | |||||||||||
Kinetic Concepts, Inc./KCI USA, Inc. Sec. Notes 12.50% due 11/01/2021* | 5,000 | 5,650 | |||||||||
Hotels/Motels — 0.1% | |||||||||||
Diamond Resorts International, Inc. Senior Sec. Notes 7.75% due 09/01/2023* | 25,000 | 27,160 | |||||||||
Diamond Resorts International, Inc. Senior Notes 10.75% due 09/01/2024* | 10,000 | 10,863 | |||||||||
Hilton Domestic Operating Co., Inc. Company Guar. Notes 4.25% due 09/01/2024 | 5,000 | 4,850 | |||||||||
Hilton Worldwide Finance LLC/ Hilton Worldwide Finance Corp. Company Guar. Notes 4.88% due 04/01/2027 | 55,000 | 54,381 | |||||||||
Hyatt Hotels Corp. Senior Notes 3.38% due 07/15/2023 | 10,000 | 9,907 | |||||||||
Wyndham Hotels & Resorts, Inc. Company Guar. Notes 5.38% due 04/15/2026*(3) | 10,000 | 10,000 | |||||||||
Wyndham Worldwide Corp. Senior Notes 4.50% due 04/01/2027 | 35,000 | 34,766 | |||||||||
151,927 | |||||||||||
Human Resources — 0.0% | |||||||||||
Ceridian HCM Holding, Inc. Senior Notes 11.00% due 03/15/2021* | 31,000 | 32,085 | |||||||||
Independent Power Producers — 0.1% | |||||||||||
Calpine Corp. Senior Sec. Notes 5.25% due 06/01/2026* | 10,000 | 9,650 | |||||||||
Calpine Corp. Senior Notes 5.75% due 01/15/2025 | 20,000 | 18,300 | |||||||||
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024* | 3,000 | 3,029 | |||||||||
Dynegy, Inc. Company Guar. Notes 7.63% due 11/01/2024 | 10,000 | 10,788 | |||||||||
Dynegy, Inc. Company Guar. Notes 8.13% due 01/30/2026* | 10,000 | 11,038 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Independent Power Producers (continued) | |||||||||||
GenOn Energy, Inc. Senior Notes 9.88% due 10/15/2020†(9)(11) | $ | 20,000 | $ | 16,100 | |||||||
NRG Energy, Inc. Company Guar. Notes 5.75% due 01/15/2028* | 10,000 | 9,775 | |||||||||
NRG Energy, Inc. Company Guar. Notes 6.63% due 01/15/2027 | 15,000 | 15,337 | |||||||||
NRG Energy, Inc. Company Guar. Notes 7.25% due 05/15/2026 | 10,000 | 10,578 | |||||||||
104,595 | |||||||||||
Insurance Brokers — 0.0% | |||||||||||
Alliant Holdings Intermediated LLC Senior Notes 8.25% due 08/01/2023* | 10,000 | 10,300 | |||||||||
HUB International, Ltd. Senior Notes 7.88% due 10/01/2021* | 17,000 | 17,595 | |||||||||
USIS Merger Sub, Inc. Senior Notes 6.88% due 05/01/2025* | 10,000 | 10,000 | |||||||||
37,895 | |||||||||||
Insurance-Life/Health — 0.1% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | 20,000 | 19,900 | |||||||||
OneAmerica Financial Partners, Inc. Senior Notes 7.00% due 10/15/2033* | 20,000 | 25,290 | |||||||||
Teachers Insurance & Annuity Assoc. of America Sub. Notes 6.85% due 12/16/2039* | 15,000 | 20,015 | |||||||||
65,205 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Hartford Financial Services Group, Inc. Senior Notes 6.63% due 03/30/2040 | 25,000 | 32,308 | |||||||||
Insurance-Mutual — 0.1% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 45,000 | 70,720 | |||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.30% due 05/15/2043 | 25,000 | 26,441 | |||||||||
Internet Content-Entertainment — 0.0% | |||||||||||
Netflix, Inc. Senior Notes 4.88% due 04/15/2028* | 10,000 | 9,616 |
132
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
BlueLine Rental Finance Corp./ BlueLine Rental LLC Sec. Notes 9.25% due 03/15/2024* | $ | 20,000 | $ | 21,444 | |||||||
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025 | 15,000 | 15,450 | |||||||||
36,894 | |||||||||||
Machinery-General Industrial — 0.1% | |||||||||||
RBS Global, Inc./Rexnord LLC Company Guar. Notes 4.88% due 12/15/2025* | 15,000 | 14,550 | |||||||||
Tennant Co. Company Guar. Notes 5.63% due 05/01/2025 | 10,000 | 10,200 | |||||||||
Welbilt, Inc. Company Guar. Notes 9.50% due 02/15/2024 | 30,000 | 33,450 | |||||||||
58,200 | |||||||||||
Marine Services — 0.0% | |||||||||||
Great Lakes Dredge & Dock Corp. Company Guar. Notes 8.00% due 05/15/2022 | 20,000 | 20,500 | |||||||||
Medical Products — 0.1% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 31,000 | 29,930 | |||||||||
Becton Dickinson and Co. Senior Notes 4.67% due 06/06/2047 | 36,000 | 36,384 | |||||||||
66,314 | |||||||||||
Medical-Biomedical/Gene — 0.0% | |||||||||||
Amgen, Inc. Senior Notes 2.60% due 08/19/2026 | 12,000 | 10,957 | |||||||||
Amgen, Inc. Senior Notes 4.66% due 06/15/2051 | 23,000 | 23,742 | |||||||||
34,699 | |||||||||||
Medical-Drugs — 0.0% | |||||||||||
AbbVie, Inc. Senior Notes 3.60% due 05/14/2025 | 4,000 | 3,942 | |||||||||
Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 5.38% due 01/15/2023* | 45,000 | 34,088 | |||||||||
Valeant Pharmaceuticals International Company Guar. Notes 9.25% due 04/01/2026*(3) | 10,000 | 9,962 | |||||||||
47,992 | |||||||||||
Medical-HMO — 0.0% | |||||||||||
Centene Corp. Senior Notes 4.75% due 05/15/2022 | 15,000 | 15,187 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Medical-HMO (continued) | |||||||||||
Centene Corp. Senior Notes 4.75% due 01/15/2025 | $ | 5,000 | $ | 4,875 | |||||||
Centene Corp. Senior Notes 6.13% due 02/15/2024 | 15,000 | 15,610 | |||||||||
Molina Healthcare, Inc. Company Guar. Notes 4.88% due 06/15/2025* | 5,000 | 4,663 | |||||||||
Molina Healthcare, Inc. Company Guar. Notes 5.38% due 11/15/2022 | 10,000 | 9,875 | |||||||||
WellCare Health Plans, Inc. Senior Notes 5.25% due 04/01/2025 | 5,000 | 5,019 | |||||||||
55,229 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023 | 15,000 | 13,819 | |||||||||
CHS/Community Health Systems, Inc. Company Guar. Notes 6.88% due 02/01/2022 | 28,000 | 16,205 | |||||||||
CHS/Community Health Systems, Inc. Company Guar. Notes 7.13% due 07/15/2020 | 15,000 | 12,225 | |||||||||
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019 | 6,000 | 6,023 | |||||||||
HCA, Inc. Senior Sec. Notes 5.00% due 03/15/2024 | 5,000 | 5,050 | |||||||||
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026 | 30,000 | 30,390 | |||||||||
HCA, Inc. Senior Sec. Notes 5.50% due 06/15/2047 | 30,000 | 28,987 | |||||||||
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020 | 24,000 | 25,170 | |||||||||
HCA, Inc. Company Guar. Notes 7.50% due 02/15/2022 | 3,000 | 3,296 | |||||||||
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020 | 14,000 | 14,472 | |||||||||
Tenet Healthcare Corp. Senior Notes 8.13% due 04/01/2022 | 5,000 | 5,213 | |||||||||
160,850 |
133
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Outpatient/Home Medical — 0.0% | |||||||||||
Air Medical Group Holdings, Inc. Senior Notes 6.38% due 05/15/2023* | $ | 35,000 | $ | 33,162 | |||||||
Metal Processors & Fabrication — 0.1% | |||||||||||
Novelis Corp. Company Guar. Notes 5.88% due 09/30/2026* | 25,000 | 24,500 | |||||||||
Novelis Corp. Company Guar. Notes 6.25% due 08/15/2024* | 10,000 | 10,250 | |||||||||
Park-Ohio Industries, Inc. Company Guar. Notes 6.63% due 04/15/2027 | 15,000 | 15,525 | |||||||||
Zekelman Industries, Inc. Senior Sec. Notes 9.88% due 06/15/2023* | 10,000 | 11,000 | |||||||||
61,275 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
Freeport-McMoRan, Inc. Company Guar. Notes 6.88% due 02/15/2023 | 15,000 | 16,088 | |||||||||
Metal-Diversified — 0.1% | |||||||||||
Glencore Funding LLC Company Guar. Notes 4.00% due 04/16/2025* | 16,000 | 15,688 | |||||||||
Glencore Funding LLC Company Guar. Notes 4.63% due 04/29/2024* | 34,000 | 34,792 | |||||||||
Joseph T Ryerson & Son, Inc. Senior Sec. Notes 11.00% due 05/15/2022* | 10,000 | 11,025 | |||||||||
61,505 | |||||||||||
Multimedia — 0.0% | |||||||||||
21st Century Fox America, Inc. Company Guar. Notes 7.75% due 01/20/2024 | 20,000 | 23,603 | |||||||||
21st Century Fox America, Inc. Company Guar. Notes 7.75% due 12/01/2045 | 10,000 | 15,034 | |||||||||
21st Century Fox America, Inc. Company Guar. Notes 7.85% due 03/01/2039 | 9,000 | 13,050 | |||||||||
51,687 | |||||||||||
Music — 0.0% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 5.00% due 08/01/2023* | 10,000 | 10,013 | |||||||||
WMG Acquisition Corp. Company Guar. Notes 5.50% due 04/15/2026* | 5,000 | 5,025 | |||||||||
15,038 | |||||||||||
Non-Hazardous Waste Disposal — 0.0% | |||||||||||
Advanced Disposal Services, Inc. Company Guar. Notes 5.63% due 11/15/2024* | 15,000 | 15,150 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Non-Hazardous Waste Disposal (continued) | |||||||||||
Waste Pro USA, Inc. Senior Notes 5.50% due 02/15/2026* | $ | 10,000 | $ | 9,875 | |||||||
Wrangler Buyer Corp. Senior Notes 6.00% due 10/01/2025* | 20,000 | 19,650 | |||||||||
44,675 | |||||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Nabors Industries, Inc. Company Guar. Notes 5.75% due 02/01/2025* | 15,000 | 14,156 | |||||||||
Oil Companies-Exploration & Production — 0.4% | |||||||||||
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. Company Guar. Notes 7.88% due 12/15/2024 | 20,000 | 20,825 | |||||||||
Antero Resources Corp. Company Guar. Notes 5.13% due 12/01/2022 | 6,000 | 6,045 | |||||||||
Antero Resources Corp. Company Guar. Notes 5.38% due 11/01/2021 | 11,000 | 11,192 | |||||||||
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023 | 5,000 | 5,100 | |||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp. Senior Notes 10.00% due 04/01/2022* | 10,000 | 10,800 | |||||||||
California Resources Corp. Company Guar. Notes 5.00% due 01/15/2020 | 10,000 | 9,000 | |||||||||
California Resources Corp. Sec. Notes 8.00% due 12/15/2022* | 9,000 | 7,065 | |||||||||
Chesapeake Energy Corp. Sec. Notes 8.00% due 12/15/2022* | 10,000 | 10,587 | |||||||||
Chesapeake Energy Corp. Company Guar. Notes 8.00% due 01/15/2025* | 40,000 | 38,700 | |||||||||
Chesapeake Energy Corp. Company Guar. Notes 8.00% due 06/15/2027* | 5,000 | 4,775 | |||||||||
Concho Resources, Inc. Company Guar. Notes 3.75% due 10/01/2027 | 43,000 | 42,045 | |||||||||
Continental Resources, Inc. Company Guar. Notes 3.80% due 06/01/2024 | 10,000 | 9,625 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023 | 10,000 | 10,112 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.90% due 06/01/2044 | 20,000 | 19,150 |
134
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Covey Park Energy LLC/Covey Park Finance Corp. Company Guar. Notes 7.50% due 05/15/2025* | $ | 20,000 | $ | 19,800 | |||||||
CrownRock LP/CrownRock Finance, Inc. Senior Notes 5.63% due 10/15/2025* | 10,000 | 9,900 | |||||||||
Denbury Resources, Inc. Company Guar. Notes 6.38% due 08/15/2021 | 10,000 | 8,425 | |||||||||
Denbury Resources, Inc. Sec. Notes 9.00% due 05/15/2021* | 12,000 | 12,300 | |||||||||
Diamondback Energy, Inc. Company Guar. Notes 4.75% due 11/01/2024 | 5,000 | 4,944 | |||||||||
Diamondback Energy, Inc. Company Guar. Notes 5.38% due 05/31/2025 | 25,000 | 25,387 | |||||||||
Endeavor Energy Resources LP/EER Finance, Inc. Senior Notes 5.50% due 01/30/2026* | 5,000 | 4,975 | |||||||||
Endeavor Energy Resources LP/EER Finance, Inc. Senior Notes 5.75% due 01/30/2028* | 20,000 | 19,925 | |||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. Senior Sec. Notes 8.00% due 11/29/2024* | 10,000 | 10,050 | |||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. Sec. Bonds 8.00% due 02/15/2025* | 5,000 | 3,338 | |||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 9.38% due 05/01/2020 | 5,000 | 4,650 | |||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. Sec. Notes 9.38% due 05/01/2024*(3) | 13,000 | 9,246 | |||||||||
EQT Corp. Senior Notes 3.90% due 10/01/2027 | 30,000 | 28,700 | |||||||||
Extraction Oil & Gas, Inc. Company Guar. Notes 5.63% due 02/01/2026* | 10,000 | 9,450 | |||||||||
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. Senior Notes 5.63% due 02/15/2026* | 15,000 | 14,737 | |||||||||
Indigo Natural Resources LLC Senior Notes 6.88% due 02/15/2026* | 10,000 | 9,425 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Newfield Exploration Co. Senior Notes 5.38% due 01/01/2026 | $ | 15,000 | $ | 15,487 | |||||||
Newfield Exploration Co. Senior Notes 5.75% due 01/30/2022 | 15,000 | 15,675 | |||||||||
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 03/15/2022 | 15,000 | 15,214 | |||||||||
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 01/15/2023 | 5,000 | 5,063 | |||||||||
QEP Resources, Inc. Senior Notes 5.63% due 03/01/2026 | 10,000 | 9,450 | |||||||||
Range Resources Corp. Company Guar. Notes 5.75% due 06/01/2021 | �� | 20,000 | 20,400 | ||||||||
SM Energy Co. Senior Notes 5.00% due 01/15/2024 | 10,000 | 9,275 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 5,000 | 5,000 | |||||||||
SM Energy Co. Senior Notes 6.50% due 11/15/2021 | 11,000 | 11,069 | |||||||||
SM Energy Co. Senior Notes 6.50% due 01/01/2023 | 3,000 | 2,978 | |||||||||
SM Energy Co. Senior Notes 6.75% due 09/15/2026 | 5,000 | 4,950 | |||||||||
Whiting Petroleum Corp. Senior Notes 6.63% due 01/15/2026* | 10,000 | 10,075 | |||||||||
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022 | 16,000 | 16,440 | |||||||||
WPX Energy, Inc. Senior Notes 7.50% due 08/01/2020 | 11,000 | 11,770 | |||||||||
553,119 | |||||||||||
Oil-Field Services — 0.0% | |||||||||||
Calfrac Holdings LP Company Guar. Notes 7.50% due 12/01/2020* | 10,000 | 9,837 | |||||||||
Chesapeake Oilfield Escrow Notes 6.63% due 11/15/2019†(2)(3) | 20,000 | 2 | |||||||||
Jonah Energy LLC/Jonah Energy Finance Corp. Company Guar. Notes 7.25% due 10/15/2025* | 10,000 | 9,000 | |||||||||
SESI LLC Company Guar. Notes 7.13% due 12/15/2021 | 5,000 | 5,094 |
135
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil-Field Services (continued) | |||||||||||
SESI LLC Company Guar. Notes 7.75% due 09/15/2024* | $ | 10,000 | $ | 10,350 | |||||||
Seventy Seven Energy, Inc. Escrow Notes 6.50% due 07/15/2022†(2)(3) | 5,000 | 1 | |||||||||
USA Compression Partners LP/USA Compression Finance Corp. Senior Notes 6.88% due 04/01/2026*(3) | 5,000 | 5,075 | |||||||||
Weatherford International LLC Company Guar. Notes 9.88% due 03/01/2025* | 5,000 | 4,498 | |||||||||
43,857 | |||||||||||
Paper & Related Products — 0.0% | |||||||||||
Georgia-Pacific LLC Senior Notes 7.75% due 11/15/2029 | 10,000 | 13,646 | |||||||||
International Paper Co. Senior Notes 8.70% due 06/15/2038 | 5,000 | 7,242 | |||||||||
Mercer International, Inc. Senior Notes 5.50% due 01/15/2026* | 10,000 | 9,925 | |||||||||
Mercer International, Inc. Senior Notes 6.50% due 02/01/2024 | 15,000 | 15,713 | |||||||||
Mercer International, Inc. Senior Notes 7.75% due 12/01/2022 | 4,000 | 4,250 | |||||||||
50,776 | |||||||||||
Pharmacy Services — 0.0% | |||||||||||
BioScrip, Inc. Company Guar. Notes 8.88% due 02/15/2021 | 5,000 | 4,712 | |||||||||
CVS Health Corp. Senior Notes 4.78% due 03/25/2038 | 19,000 | 19,257 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 6,000 | 6,311 | |||||||||
30,280 | |||||||||||
Pipelines — 0.4% | |||||||||||
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.13% due 06/30/2027 | 35,000 | 34,737 | |||||||||
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.88% due 03/31/2025 | 25,000 | 26,156 | |||||||||
El Paso Natural Gas Co. LLC Company Guar. Notes 8.38% due 06/15/2032 | 30,000 | 39,086 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
Energy Transfer Equity LP Senior Sec. Notes 5.50% due 06/01/2027 | $ | 5,000 | $ | 5,012 | |||||||
Energy Transfer Equity LP Senior Sec. Notes 5.88% due 01/15/2024 | 57,000 | 58,852 | |||||||||
Energy Transfer LP/Regency Energy Finance Corp. Company Guar. Notes 4.50% due 11/01/2023 | 9,000 | 9,116 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 5.20% due 02/01/2022 | 15,000 | 15,667 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 6.50% due 02/01/2042 | 6,000 | 6,481 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.25% due 02/15/2048 | 15,000 | 14,620 | |||||||||
Holly Energy Partners LP/Holly Energy Finance Corp. Company Guar. Notes 6.00% due 08/01/2024* | 20,000 | 20,400 | |||||||||
Kinder Morgan Energy Partners LP Company Guar. Notes 5.40% due 09/01/2044 | 4,000 | 4,042 | |||||||||
Kinder Morgan, Inc. Company Guar. Notes 7.75% due 01/15/2032 | 24,000 | 30,667 | |||||||||
Phillips 66 Partners LP Senior Notes 3.75% due 03/01/2028 | 24,000 | 23,184 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 35,000 | 34,491 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.00% due 03/15/2027 | 35,000 | 36,362 | |||||||||
SemGroup Corp. Company Guar. Notes 6.38% due 03/15/2025 | 5,000 | 4,775 | |||||||||
SemGroup Corp./Rose Rock Finance Corp. Company Guar. Notes 5.63% due 11/15/2023 | 10,000 | 9,450 | |||||||||
Tallgrass Energy Partners LP/ Tallgrass Energy Finance Corp. Company Guar. Notes 5.50% due 01/15/2028* | 10,000 | 10,087 | |||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. Company Guar. Notes 5.00% due 01/15/2028* | 60,000 | 57,225 | |||||||||
Valero Energy Partners LP Senior Notes 4.38% due 12/15/2026 | 7,000 | 6,990 | |||||||||
Williams Cos., Inc. Senior Notes 7.75% due 06/15/2031 | 10,000 | 12,200 |
136
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Williams Cos., Inc. Senior Notes 8.75% due 03/15/2032 | $ | 5,000 | $ | 6,625 | |||||||
Williams Partners LP Senior Notes 3.60% due 03/15/2022 | 5,000 | 4,977 | |||||||||
Williams Partners LP Senior Notes 4.30% due 03/04/2024 | 30,000 | 30,410 | |||||||||
501,612 | |||||||||||
Private Equity — 0.0% | |||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 5.88% due 02/01/2022 | 14,000 | 14,035 | |||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.00% due 08/01/2020 | 11,000 | 11,220 | |||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.25% due 02/01/2022 | 5,000 | 5,087 | |||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.75% due 02/01/2024 | 10,000 | 10,175 | |||||||||
40,517 | |||||||||||
Publishing-Periodicals — 0.0% | |||||||||||
Meredith Corp. Senior Notes 6.88% due 02/01/2026* | 15,000 | 15,394 | |||||||||
Quarrying — 0.0% | |||||||||||
Compass Minerals International, Inc. Company Guar. Notes 4.88% due 07/15/2024* | 20,000 | 19,625 | |||||||||
Racetracks — 0.0% | |||||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.88% due 11/01/2020 | 7,000 | 7,127 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026 | 10,000 | 10,150 | |||||||||
Penn National Gaming, Inc. Senior Notes 5.63% due 01/15/2027* | 10,000 | 9,641 | |||||||||
26,918 | |||||||||||
Radio — 0.1% | |||||||||||
CBS Radio, Inc. Company Guar. Notes 7.25% due 11/01/2024* | 20,000 | 20,375 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Radio (continued) | |||||||||||
Sirius XM Radio, Inc. Company Guar. Notes 5.00% due 08/01/2027* | $ | 60,000 | $ | 56,400 | |||||||
Sirius XM Radio, Inc. Company Guar. Notes 6.00% due 07/15/2024* | 9,000 | 9,253 | |||||||||
Townsquare Media, Inc. Company Guar. Notes 6.50% due 04/01/2023* | 5,000 | 4,700 | |||||||||
90,728 | |||||||||||
Real Estate Investment Trusts — 0.2% | |||||||||||
American Tower Corp. Senior Notes 3.38% due 10/15/2026 | 25,000 | 23,392 | |||||||||
American Tower Corp. Senior Notes 4.00% due 06/01/2025 | 20,000 | 19,877 | |||||||||
Crown Castle International Corp. Senior Notes 3.65% due 09/01/2027 | 26,000 | 24,774 | |||||||||
Crown Castle International Corp. Senior Bonds 3.80% due 02/15/2028 | 20,000 | 19,235 | |||||||||
Crown Castle International Corp. Senior Notes 4.75% due 05/15/2047 | 5,000 | 5,039 | |||||||||
Crown Castle International Corp. Senior Notes 4.88% due 04/15/2022 | 11,000 | 11,557 | |||||||||
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025* | 20,000 | 19,456 | |||||||||
Hospitality Properties Trust Senior Notes 4.38% due 02/15/2030 | 18,000 | 17,271 | |||||||||
Hospitality Properties Trust Senior Notes 4.50% due 03/15/2025 | 10,000 | 10,104 | |||||||||
Host Hotels & Resorts LP Senior Notes 5.25% due 03/15/2022 | 2,000 | 2,110 | |||||||||
Host Hotels & Resorts LP Senior Notes 6.00% due 10/01/2021 | 3,000 | 3,226 | |||||||||
Iron Mountain, Inc. Company Guar. Notes 4.88% due 09/15/2027* | 15,000 | 13,912 | |||||||||
Iron Mountain, Inc. Company Guar. Notes 5.25% due 03/15/2028*(3) | 5,000 | 4,706 | |||||||||
iStar, Inc. Senior Notes 5.25% due 09/15/2022 | 5,000 | 4,838 | |||||||||
iStar, Inc. Senior Notes 6.00% due 04/01/2022 | 5,000 | 5,012 |
137
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. Company Guar. Notes 4.50% due 01/15/2028 | $ | 5,000 | $ | 4,689 | |||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. Company Guar. Notes 5.63% due 05/01/2024 | 5,000 | 5,150 | |||||||||
Omega Healthcare Investors, Inc. Company Guar. Notes 4.50% due 04/01/2027 | 10,000 | 9,625 | |||||||||
Starwood Property Trust, Inc. Senior Notes 4.75% due 03/15/2025* | 15,000 | 14,625 | |||||||||
VEREIT Operating Partnership LP Company Guar. Notes 4.60% due 02/06/2024 | 25,000 | 25,323 | |||||||||
Weyerhaeuser Co. Senior Notes 7.38% due 03/15/2032 | 20,000 | 26,416 | |||||||||
WP Carey, Inc. Senior Notes 4.60% due 04/01/2024 | 35,000 | 35,874 | |||||||||
306,211 | |||||||||||
Real Estate Management/Services — 0.0% | |||||||||||
CBRE Services, Inc. Company Guar. Notes 4.88% due 03/01/2026 | 17,000 | 17,828 | |||||||||
CBRE Services, Inc. Company Guar. Notes 5.25% due 03/15/2025 | 13,000 | 13,907 | |||||||||
31,735 | |||||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
Howard Hughes Corp. Senior Notes 5.38% due 03/15/2025* | 20,000 | 19,750 | |||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
ERAC USA Finance LLC Company Guar. Notes 3.85% due 11/15/2024* | 15,000 | 15,164 | |||||||||
ERAC USA Finance LLC Company Guar. Notes 5.63% due 03/15/2042* | 39,000 | 44,306 | |||||||||
59,470 | |||||||||||
Research & Development — 0.0% | |||||||||||
Jaguar Holding Co. II/Pharmaceutical Product Development LLC Company Guar. Notes 6.38% due 08/01/2023* | 10,000 | 10,113 | |||||||||
Resorts/Theme Parks — 0.0% | |||||||||||
Boyne USA, Inc. Sec. Notes 7.25% due 05/01/2025*(3) | 5,000 | 5,131 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Resorts/Theme Parks (continued) | |||||||||||
Six Flags Entertainment Corp. Company Guar. Notes 4.88% due 07/31/2024* | $ | 20,000 | $ | 19,475 | |||||||
Six Flags Entertainment Corp. Company Guar. Notes 5.50% due 04/15/2027* | 20,000 | 19,800 | |||||||||
44,406 | |||||||||||
Retail-Auto Parts — 0.0% | |||||||||||
O'Reilly Automotive, Inc. Senior Notes 3.55% due 03/15/2026 | 10,000 | 9,780 | |||||||||
Retail-Automobile — 0.0% | |||||||||||
AutoNation, Inc. Company Guar. Notes 5.50% due 02/01/2020 | 3,000 | 3,123 | |||||||||
Penske Automotive Group, Inc. Company Guar. Notes 5.38% due 12/01/2024 | 10,000 | 10,050 | |||||||||
Penske Automotive Group, Inc. Company Guar. Notes 5.50% due 05/15/2026 | 15,000 | 14,737 | |||||||||
Penske Automotive Group, Inc. Company Guar. Notes 5.75% due 10/01/2022 | 14,000 | 14,350 | |||||||||
42,260 | |||||||||||
Retail-Building Products — 0.0% | |||||||||||
Beacon Escrow Corp. Company Guar. Notes 4.88% due 11/01/2025* | 15,000 | 14,288 | |||||||||
Retail-Discount — 0.0% | |||||||||||
Dollar General Corp. Senior Notes 3.25% due 04/15/2023 | 10,000 | 9,906 | |||||||||
Retail-Drug Store — 0.1% | |||||||||||
CVS Health Corp. Senior Notes 4.75% due 12/01/2022 | 2,000 | 2,095 | |||||||||
CVS Pass-Through Trust Pass-Through Certs. 7.51% due 01/10/2032* | 63,680 | 75,471 | |||||||||
Rite Aid Corp. Company Guar. Notes 6.13% due 04/01/2023* | 15,000 | 15,112 | |||||||||
Walgreens Boots Alliance, Inc. Senior Notes 3.45% due 06/01/2026 | 20,000 | 18,898 | |||||||||
111,576 | |||||||||||
Retail-Fabric Store — 0.0% | |||||||||||
Jo-Ann Stores Holdings, Inc. Senior Notes 9.75% due 10/15/2019*(10) | 10,000 | 10,000 | |||||||||
Retail-Mail Order — 0.0% | |||||||||||
QVC, Inc. Senior Sec. Notes 4.85% due 04/01/2024 | 15,000 | 15,268 |
138
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Retail-Major Department Stores — 0.0% | |||||||||||
Neiman Marcus Group, Ltd. LLC Company Guar. Notes 8.00% due 10/15/2021* | $ | 10,000 | $ | 6,325 | |||||||
Neiman Marcus Group, Ltd. LLC Company Guar. Notes 8.75% due 10/15/2021*(12) | 5,237 | 3,312 | |||||||||
9,637 | |||||||||||
Retail-Pet Food & Supplies — 0.0% | |||||||||||
PetSmart, Inc. Company Guar. Notes 7.13% due 03/15/2023* | 5,000 | 2,838 | |||||||||
Retail-Regional Department Stores — 0.0% | |||||||||||
Neiman-Marcus Group LLC Senior Sec. Notes 7.13% due 06/01/2028 | 15,000 | 12,000 | |||||||||
Retail-Restaurants — 0.1% | |||||||||||
CEC Entertainment, Inc. Company Guar. Notes 8.00% due 02/15/2022 | 20,000 | 17,700 | |||||||||
Golden Nugget, Inc. Senior Notes 6.75% due 10/15/2024* | 30,000 | 30,150 | |||||||||
Golden Nugget, Inc. Company Guar. Notes 8.75% due 10/01/2025* | 25,000 | 25,937 | |||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 4.75% due 06/01/2027* | 10,000 | 9,625 | |||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.00% due 06/01/2024* | 10,000 | 9,938 | |||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.25% due 06/01/2026* | 10,000 | 9,962 | |||||||||
103,312 | |||||||||||
Rubber/Plastic Products — 0.0% | |||||||||||
FXI Holdings, Inc. Senior Sec. Notes 7.88% due 11/01/2024* | 15,000 | 14,691 | |||||||||
Gates Global LLC/Gates Global Co. Company Guar. Notes 6.00% due 07/15/2022* | 14,000 | 14,227 | |||||||||
28,918 | |||||||||||
Software Tools — 0.0% | |||||||||||
VMware, Inc. Senior Notes 3.90% due 08/21/2027 | 15,000 | 14,200 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Specified Purpose Acquisitions — 0.0% | |||||||||||
Trident Merger Sub, Inc. Senior Notes 6.63% due 11/01/2025* | $ | 10,000 | $ | 9,750 | |||||||
Steel-Producers — 0.0% | |||||||||||
AK Steel Corp. Company Guar. Notes 6.38% due 10/15/2025 | 5,000 | 4,713 | |||||||||
Big River Steel LLC/BRS Finance Corp. Senior Sec. Notes 7.25% due 09/01/2025* | 15,000 | 15,562 | |||||||||
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025 | 5,000 | 4,762 | |||||||||
Steel Dynamics, Inc. Company Guar. Notes 5.00% due 12/15/2026 | 5,000 | 5,000 | |||||||||
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024 | 15,000 | 15,468 | |||||||||
45,505 | |||||||||||
Steel-Specialty — 0.0% | |||||||||||
Allegheny Technologies, Inc. Senior Notes 5.95% due 01/15/2021 | 10,000 | 10,200 | |||||||||
Telecommunication Equipment — 0.1% | |||||||||||
Aveta, Inc. Escrow Notes 7.00% due 04/01/2019†(2)(3) | 31,000 | 0 | |||||||||
CommScope Technologies Finance LLC Company Guar. Notes 6.00% due 06/15/2025* | 25,000 | 26,012 | |||||||||
CommScope Technologies LLC Company Guar. Notes 5.00% due 03/15/2027* | 15,000 | 14,250 | |||||||||
Plantronics, Inc. Company Guar. Notes 5.50% due 05/31/2023* | 20,000 | 19,826 | |||||||||
60,088 | |||||||||||
Telephone-Integrated — 0.1% | |||||||||||
AT&T, Inc. Senior Notes 4.25% due 03/01/2027 | 50,000 | 50,544 | |||||||||
AT&T, Inc. Senior Notes 4.75% due 05/15/2046 | 5,000 | 4,856 | |||||||||
CenturyLink, Inc. Senior Notes 5.63% due 04/01/2020 | 3,000 | 3,023 | |||||||||
CenturyLink, Inc. Senior Notes 6.75% due 12/01/2023 | 14,000 | 13,615 | |||||||||
Frontier Communications Corp. Sec. Notes 8.50% due 04/01/2026* | 15,000 | 14,512 |
139
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Telephone-Integrated (continued) | |||||||||||
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022 | $ | 10,000 | $ | 8,363 | |||||||
Frontier Communications Corp. Senior Notes 11.00% due 09/15/2025 | 5,000 | 3,747 | |||||||||
Sprint Capital Corp. Company Guar. Notes 6.88% due 11/15/2028 | 25,000 | 23,312 | |||||||||
Verizon Communications, Inc. Senior Notes 4.13% due 03/16/2027 | 5,000 | 5,065 | |||||||||
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048 | 18,000 | 17,344 | |||||||||
Windstream Services LLC Company Guar. Notes 6.38% due 08/01/2023 | 16,000 | 9,160 | |||||||||
153,541 | |||||||||||
Television — 0.1% | |||||||||||
CBS Corp. Company Guar. Notes 2.90% due 01/15/2027 | 18,000 | 16,313 | |||||||||
CBS Corp. Company Guar. Notes 4.00% due 01/15/2026 | 6,000 | 5,919 | |||||||||
CBS Corp. Company Guar. Notes 4.60% due 01/15/2045 | 21,000 | 20,325 | |||||||||
Gray Television, Inc. Company Guar. Notes 5.88% due 07/15/2026* | 10,000 | 9,725 | |||||||||
Sinclair Television Group, Inc. Company Guar. Notes 5.63% due 08/01/2024* | 30,000 | 29,775 | |||||||||
Tribune Media Co. Company Guar. Notes 5.88% due 07/15/2022 | 10,000 | 10,138 | |||||||||
92,195 | |||||||||||
Theaters — 0.0% | |||||||||||
AMC Entertainment Holdings, Inc. Company Guar. Notes 5.75% due 06/15/2025 | 10,000 | 9,850 | |||||||||
AMC Entertainment Holdings, Inc. Company Guar. Notes 5.88% due 11/15/2026 | 10,000 | 9,825 | |||||||||
AMC Entertainment, Inc. Company Guar. Notes 5.88% due 02/15/2022 | 11,000 | 11,137 | |||||||||
Cinemark USA, Inc. Company Guar. Notes 4.88% due 06/01/2023 | 13,000 | 12,835 | |||||||||
Live Nation Entertainment, Inc. Company Guar. Notes 5.63% due 03/15/2026*(3) | 10,000 | 10,125 | |||||||||
53,772 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Transactional Software — 0.0% | |||||||||||
Solera LLC Senior Notes 10.50% due 03/01/2024* | $ | 35,000 | $ | 38,937 | |||||||
Transport-Rail — 0.0% | |||||||||||
Watco Cos. LLC/Watco Finance Corp. Company Guar. Notes 6.38% due 04/01/2023* | 19,000 | 19,475 | |||||||||
Travel Services — 0.0% | |||||||||||
Sabre GLBL, Inc. Senior Sec. Notes 5.38% due 04/15/2023* | 15,000 | 15,131 | |||||||||
Trucking/Leasing — 0.0% | |||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.40% due 11/15/2026* | 16,000 | 15,247 | |||||||||
Web Portals/ISP — 0.0% | |||||||||||
Alphabet Inc Senior Notes 2.00% due 08/15/2026 | 15,000 | 13,630 | |||||||||
Total U.S. Corporate Bonds & Notes (cost $8,225,614) | 8,276,741 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 0.7% | |||||||||||
Banks-Commercial — 0.1% | |||||||||||
Bank of Montreal Sub. Notes 3.80% due 12/15/2032 | 10,000 | 9,474 | |||||||||
Commonwealth Bank of Australia Senior Notes 5.00% due 10/15/2019* | 10,000 | 10,305 | |||||||||
Royal Bank of Canada Sub. Notes 4.65% due 01/27/2026 | 10,000 | 10,312 | |||||||||
Toronto-Dominion Bank Sub. Notes 3.63% due 09/15/2031 | 19,000 | 18,209 | |||||||||
48,300 | |||||||||||
Building Products-Air & Heating — 0.0% | |||||||||||
Johnson Controls International PLC Senior Notes 4.50% due 02/15/2047 | 35,000 | 35,483 | |||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. Company Guar. Notes 6.13% due 07/01/2022* | 11,000 | 11,289 | |||||||||
Mattamy Group Corp. Senior Notes 6.50% due 10/01/2025* | 10,000 | 10,100 | |||||||||
Mattamy Group Corp. Senior Notes 6.88% due 12/15/2023* | 5,000 | 5,137 | |||||||||
26,526 |
140
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV — 0.0% | |||||||||||
Quebecor Media, Inc. Senior Notes 5.75% due 01/15/2023 | $ | 1,000 | $ | 1,025 | |||||||
Videotron, Ltd. Senior Notes 5.13% due 04/15/2027* | 30,000 | 29,400 | |||||||||
30,425 | |||||||||||
Chemicals-Diversified — 0.0% | |||||||||||
NOVA Chemicals Corp. Senior Notes 4.88% due 06/01/2024* | 8,000 | 7,660 | |||||||||
NOVA Chemicals Corp. Senior Notes 5.25% due 06/01/2027* | 12,000 | 11,400 | |||||||||
Trinseo Materials Operating SCA/ Trinseo Materials Finance, Inc. Company Guar. Notes 5.38% due 09/01/2025* | 10,000 | 9,825 | |||||||||
28,885 | |||||||||||
Chemicals-Specialty — 0.0% | |||||||||||
Tronox Finance PLC Company Guar. Notes 5.75% due 10/01/2025* | 5,000 | 4,863 | |||||||||
Commercial Services — 0.0% | |||||||||||
Nielsen Co. Luxembourg SARL Company Guar. Notes 5.00% due 02/01/2025* | 10,000 | 9,863 | |||||||||
Commercial Services-Finance — 0.1% | |||||||||||
IHS Markit, Ltd. Company Guar. Notes 4.00% due 03/01/2026* | 15,000 | 14,400 | |||||||||
IHS Markit, Ltd. Company Guar. Notes 4.75% due 02/15/2025* | 60,000 | 60,900 | |||||||||
75,300 | |||||||||||
Diamonds/Precious Stones — 0.0% | |||||||||||
Northwest Acquisitions ULC/ Dominion Finco, Inc. Sec. Notes 7.13% due 11/01/2022* | 5,000 | 5,100 | |||||||||
Diversified Manufacturing Operations — 0.1% | |||||||||||
Bombardier, Inc. Senior Notes 7.50% due 12/01/2024* | 20,000 | 20,700 | |||||||||
Bombardier, Inc. Senior Notes 8.75% due 12/01/2021* | 15,000 | 16,444 | |||||||||
37,144 | |||||||||||
Diversified Minerals — 0.0% | |||||||||||
Glencore Finance Canada, Ltd. Company Guar. Notes 6.00% due 11/15/2041* | 5,000 | 5,517 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Diversified Minerals (continued) | |||||||||||
Teck Resources, Ltd. Company Guar. Notes 3.75% due 02/01/2023 | $ | 5,000 | $ | 4,806 | |||||||
Teck Resources, Ltd. Company Guar. Notes 4.75% due 01/15/2022 | 5,000 | 5,063 | |||||||||
15,386 | |||||||||||
Electric Products-Misc. — 0.1% | |||||||||||
Legrand France SA Senior Notes 8.50% due 02/15/2025 | 41,000 | 52,061 | |||||||||
Electric-Integrated — 0.0% | |||||||||||
Iberdrola International BV Company Guar. Notes 6.75% due 07/15/2036 | 10,000 | 12,788 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
goeasy, Ltd. Company Guar. Notes 7.88% due 11/01/2022* | 5,000 | 5,361 | |||||||||
Finance-Other Services — 0.0% | |||||||||||
Travelport Corporate Finance PLC Senior Sec. Notes 6.00% due 03/15/2026*(3) | 10,000 | 10,038 | |||||||||
Gambling (Non-Hotel) — 0.0% | |||||||||||
Great Canadian Gaming Corp. Company Guar. Notes 6.63% due 07/25/2022* | CAD | 24,000 | 19,234 | ||||||||
Gold Mining — 0.0% | |||||||||||
New Gold, Inc. Company Guar. Notes 6.25% due 11/15/2022* | 10,000 | 10,212 | |||||||||
New Gold, Inc. Company Guar. Notes 6.38% due 05/15/2025* | 5,000 | 5,113 | |||||||||
15,325 | |||||||||||
Hazardous Waste Disposal — 0.0% | |||||||||||
GFL Environmental, Inc. Senior Notes 5.38% due 03/01/2023* | 5,000 | 4,913 | |||||||||
Machinery-General Industrial — 0.0% | |||||||||||
ATS Automation Tooling Systems, Inc. Company Guar. Notes 6.50% due 06/15/2023* | 5,000 | 5,225 | |||||||||
Machinery-Pumps — 0.0% | |||||||||||
Titan Acquisition, Ltd. / Titan Co-Borrower LLC Senior Notes 7.75% due 04/15/2026*(3) | 30,000 | 29,906 | |||||||||
Medical Products — 0.0% | |||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC Company Guar. Notes 5.50% due 04/15/2025* | 10,000 | 7,763 |
141
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Biomedical/Gene — 0.0% | |||||||||||
Concordia International Corp. Senior Notes 7.00% due 04/15/2023*†(9) | $ | 15,000 | $ | 975 | |||||||
Medical-Drugs — 0.1% | |||||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.88% due 09/23/2023 | 23,000 | 21,958 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 3.20% due 09/23/2026 | 28,000 | 26,109 | |||||||||
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.50% due 03/01/2023* | 5,000 | 4,375 | |||||||||
Valeant Pharmaceuticals International, Inc. Senior Sec. Notes 5.50% due 11/01/2025* | 5,000 | 4,868 | |||||||||
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.88% due 05/15/2023* | 19,000 | 16,767 | |||||||||
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 6.13% due 04/15/2025* | 20,000 | 17,260 | |||||||||
Valeant Pharmaceuticals International, Inc. Senior Sec. Notes 6.50% due 03/15/2022* | 5,000 | 5,163 | |||||||||
Valeant Pharmaceuticals International, Inc. Senior Sec. Notes 7.00% due 03/15/2024* | 15,000 | 15,637 | |||||||||
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 9.00% due 12/15/2025* | 10,000 | 9,937 | |||||||||
122,074 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
HudBay Minerals, Inc. Company Guar. Notes 7.63% due 01/15/2025* | 10,000 | 10,562 | |||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Lions Gate Entertainment Corp. Company Guar. Notes 5.88% due 11/01/2024* | 15,000 | 15,562 | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Ensco PLC Senior Notes 7.75% due 02/01/2026 | 10,000 | 9,175 | |||||||||
Noble Holding International, Ltd. Company Guar. Notes 7.75% due 01/15/2024 | 15,000 | 13,912 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Oil & Gas Drilling (continued) | |||||||||||
Noble Holding International, Ltd. Company Guar. Notes 7.88% due 02/01/2026* | $ | 5,000 | $ | 4,925 | |||||||
28,012 | |||||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Baytex Energy Corp. Company Guar. Notes 5.13% due 06/01/2021* | 5,000 | 4,675 | |||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 15,000 | 14,668 | |||||||||
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023* | 5,000 | 4,175 | |||||||||
MEG Energy Corp. Sec. Notes 6.50% due 01/15/2025* | 10,000 | 9,700 | |||||||||
Seven Generations Energy, Ltd. Company Guar. Notes 5.38% due 09/30/2025* | 20,000 | 19,100 | |||||||||
Seven Generations Energy, Ltd. Company Guar. Notes 6.75% due 05/01/2023* | 5,000 | 5,175 | |||||||||
Vermilion Energy, Inc. Company Guar. Notes 5.63% due 03/15/2025* | 5,000 | 4,888 | |||||||||
62,381 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
BP Capital Markets PLC Company Guar. Notes 3.12% due 05/04/2026 | 20,000 | 19,358 | |||||||||
Cenovus Energy, Inc. Senior Notes 4.25% due 04/15/2027 | 25,000 | 24,369 | |||||||||
Cenovus Energy, Inc. Senior Notes 6.75% due 11/15/2039 | 30,000 | 34,562 | |||||||||
Statoil ASA Company Guar. Notes 5.10% due 08/17/2040 | 30,000 | 35,168 | |||||||||
113,457 | |||||||||||
Oil-Field Services — 0.0% | |||||||||||
Trinidad Drilling, Ltd. Company Guar. Notes 6.63% due 02/15/2025* | 10,000 | 9,325 | |||||||||
Weatherford International, Ltd. Company Guar. Notes 8.25% due 06/15/2023 | 5,000 | 4,360 | |||||||||
Weatherford International, Ltd. Company Guar. Notes 9.88% due 02/15/2024 | 15,000 | 13,687 | |||||||||
27,372 | |||||||||||
Paper & Related Products — 0.0% | |||||||||||
Smurfit Kappa Treasury Funding, Ltd. Company Guar. Notes 7.50% due 11/20/2025 | 15,000 | 18,037 |
142
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines — 0.0% | |||||||||||
Enbridge, Inc. Senior Notes 4.25% due 12/01/2026 | $ | 15,000 | $ | 15,006 | |||||||
Retail-Convenience Store — 0.0% | |||||||||||
Alimentation Couche-Tard, Inc. Company Guar. Notes 3.55% due 07/26/2027* | 25,000 | 24,006 | |||||||||
Retail-Restaurants — 0.0% | |||||||||||
1011778 BC ULC/New Red Finance, Inc. Sec. Notes 5.00% due 10/15/2025* | 20,000 | 19,044 | |||||||||
New Red Finance, Inc. Senior Sec. Notes 4.25% due 05/15/2024* | 10,000 | 9,565 | |||||||||
New Red Finance, Inc. Senior Sec. Notes 4.63% due 01/15/2022* | 5,000 | 5,012 | |||||||||
33,621 | |||||||||||
Satellite Telecom — 0.0% | |||||||||||
Intelsat Jackson Holdings SA Company Guar. Notes 7.50% due 04/01/2021 | 2,000 | 1,811 | |||||||||
Intelsat Jackson Holdings SA Company Guar. Notes 9.75% due 07/15/2025* | 25,000 | 23,344 | |||||||||
25,155 | |||||||||||
Security Services — 0.0% | |||||||||||
Garda World Security Corp. Senior Notes 8.75% due 05/15/2025* | 15,000 | 15,712 | |||||||||
Steel-Producers — 0.0% | |||||||||||
ArcelorMittal Senior Notes 6.13% due 06/01/2025 | 10,000 | 10,875 | |||||||||
ArcelorMittal Senior Notes 7.25% due 10/15/2039 | 17,000 | 20,102 | |||||||||
30,977 | |||||||||||
Telephone-Integrated — 0.0% | |||||||||||
Koninklijke KPN NV Senior Notes 8.38% due 10/01/2030 | 5,000 | 6,794 | |||||||||
Television — 0.0% | |||||||||||
Videotron, Ltd. Company Guar. Notes 5.00% due 07/15/2022 | 25,000 | 25,375 | |||||||||
Total Foreign Corporate Bonds & Notes (cost $1,072,060) | 1,054,967 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
LOANS(13)(14)(15) — 0.1% | |||||||||||
Auto-Heavy Duty Trucks — 0.1% | |||||||||||
Navistar, Inc. FRS BTL-B 5.21% (1 ML +3.50%) due 11/06/2024 | $ | 30,000 | $ | 30,188 | |||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
CPG International, Inc. FRS BTL-B 5.59% (6 ML +3.75%) due 09/30/2020 | 4,711 | 4,752 | |||||||||
Building-Heavy Construction — 0.0% | |||||||||||
Brand Energy & Infrastructure Services, Inc. FRS 1st Lien 6.00% (3 ML+4.25%) due 06/21/2024 | 4,987 | 5,024 | |||||||||
Cosmetics & Toiletries — 0.0% | |||||||||||
Revlon Consumer Products Corp. FRS BTL-B 5.38% (1 ML+3.50%) due 09/07/2023 | 19,750 | 15,597 | |||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Ortho-Clinical Diagnostics, Inc. FRS BTL-B 5.63% (1 ML+3.75%) due 06/30/2021 | 14,809 | 14,920 | |||||||||
Environmental Consulting & Engineering — 0.0% | |||||||||||
Robertshaw US Holding Corp. FRS 1st Lien 5.44% (1 ML +3.50%) due 02/28/2025 | 10,000 | 10,075 | |||||||||
Robertshaw US Holding Corp. FRS 2nd Lien 9.94% (1 ML +8.00%) due 02/27/2026(1)(3) | 10,000 | 10,000 | |||||||||
20,075 | |||||||||||
Miscellaneous Manufacturing — 0.0% | |||||||||||
Gates Global LLC FRS BTL-B 5.05% (3 ML +2.75%) due 07/06/2021 | 6,954 | 6,990 | |||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
California Resources Corp. FRS BTL 6.57% (3 ML +4.25%) due 11/17/2022 | 15,000 | 15,234 | |||||||||
Oil-Field Services — 0.0% | |||||||||||
FTS International, Inc. FRS BTL 6.63% (1 ML +4.75%) due 04/16/2021 | 7,755 | 7,761 |
143
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
LOANS(13)(14)(15) (continued) | |||||||||||
Telecommunication Equipment — 0.0% | |||||||||||
Avaya, Inc. FRS 1st Lien 6.54% (1 ML +4.75%) due 12/15/2024 | $ | 24,938 | $ | 25,109 | |||||||
Total Loans (cost $146,733) | 145,650 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.1% | |||||||||||
North Texas Tollway Authority Revenue Bonds Series B 6.72% due 01/01/2049 | 25,000 | 36,680 | |||||||||
Ohio State University Revenue Bonds Series C 4.91% due 06/01/2040 | 15,000 | 17,578 | |||||||||
State of California General Obligation Bonds 7.50% due 04/01/2034 | 30,000 | 43,272 | |||||||||
Total Municipal Bonds & Notes (cost $70,181) | 97,530 | ||||||||||
U.S. GOVERNMENT AGENCIES — 2.2% | |||||||||||
Federal Home Loan Mtg. Corp. — 0.1% | |||||||||||
5.50% due 06/01/2035 | 3,587 | 3,954 | |||||||||
7.50% due 10/01/2029 | 4,220 | 4,722 | |||||||||
Federal Home Loan Mtg. Corp., REMIC FRS Series 2990, Class LB 12.40% (16.95-%1 ML) due 06/15/2034(5)(16) | 13,123 | 14,638 | |||||||||
Series 3065, Class DC 14.53% (19.86-%1 ML) due 03/15/2035(5)(16) | 29,231 | 35,022 | |||||||||
Series 3072, Class SM 17.28% (23.80-%1 ML) due 11/15/2035(5)(16) | 14,757 | 19,130 | |||||||||
77,466 | |||||||||||
Federal National Mtg. Assoc. — 2.1% | |||||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2016-C05, Class 2M1 3.22% (1 ML+1.35%) due 01/25/2029 | 4,768 | 4,790 | |||||||||
Series 2017-C01, Class 1M2 5.42% (1 ML+3.55%) due 07/25/2029 | 15,000 | 16,287 | |||||||||
Series 2015-C01, Class 1M2 6.17% (1 ML+4.30%) due 02/25/2025 | 14,548 | 16,023 | |||||||||
Series 2016-C03, Class 1M2 7.17% (1 ML+5.30%) due 10/25/2028 | 10,000 | 11,834 | |||||||||
Federal National Mtg. Assoc. 3.00% due April TBA | 1,000,000 | 975,312 | |||||||||
3.50% due 01/01/2047 | 1,003,361 | 1,009,255 | |||||||||
4.00% due 05/01/2019 | 14,050 | 14,455 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
4.00% due 09/01/2020 | $ | 3,031 | $ | 3,118 | |||||||
4.00% due 08/01/2047 | 960,330 | 986,822 | |||||||||
4.50% due 03/01/2020 | 1,390 | 1,400 | |||||||||
4.50% due 04/01/2020 | 2,258 | 2,275 | |||||||||
4.50% due 09/01/2020 | 2,613 | 2,633 | |||||||||
4.50% due 11/01/2020 | 1,411 | 1,428 | |||||||||
5.00% due 03/01/2021 | 1,180 | 1,199 | |||||||||
6.00% due 06/01/2036 | 1,442 | 1,620 | |||||||||
6.50% due 01/01/2036 | 374 | 417 | |||||||||
6.50% due 06/01/2036 | 6,753 | 7,536 | |||||||||
6.50% due 07/01/2036 | 3,927 | 4,391 | |||||||||
6.50% due 09/01/2036 | 11,335 | 12,650 | |||||||||
6.50% due 11/01/2036 | 20,851 | 23,269 | |||||||||
7.00% due 06/01/2033 | 3,939 | 4,413 | |||||||||
7.00% due 04/01/2035 | 6,021 | 6,859 | |||||||||
7.50% due 04/01/2024 | 4,782 | 5,090 | |||||||||
Federal National Mtg. Assoc., REMIC VRS Series 2001-50, Class BI 0.40% due 10/25/2041(5)(7)(8) | 82,069 | 1,395 | |||||||||
Federal National Mtg. Assoc., REMIC FRS Series 2005-75, Class GS 14.64% (20.25-%1 ML) due 08/25/2035(5)(16) | 7,299 | 9,060 | |||||||||
Series 2005-122, Class SE 16.55% (23.10-%1 ML) due 11/25/2035(5)(16) | 8,725 | 11,221 | |||||||||
Series 2006-8, Class HP 17.70% (24.57-%1 ML) due 03/25/2036(5)(16) | 15,375 | 22,335 | |||||||||
3,157,087 | |||||||||||
Government National Mtg. Assoc. — 0.0% | |||||||||||
6.50% due 08/20/2037 | 15,222 | 17,503 | |||||||||
6.50% due 09/20/2037 | 3,703 | 4,287 | |||||||||
21,790 | |||||||||||
Total U.S. Government Agencies (cost $3,296,419) | 3,256,343 | ||||||||||
U.S. GOVERNMENT TREASURIES — 3.5% | |||||||||||
United States Treasury Bonds — 0.6% | |||||||||||
2.75% due 08/15/2042(17) | 730,000 | 705,306 | |||||||||
3.00% due 02/15/2047 | 190,000 | 191,009 | |||||||||
896,315 | |||||||||||
United States Treasury Notes — 2.9% | |||||||||||
0.88% due 06/15/2019 | 300,000 | 295,348 | |||||||||
1.00% due 08/31/2019 | 910,000 | 894,608 | |||||||||
1.13% due 12/31/2019 | 420,000 | 411,895 | |||||||||
1.13% due 03/31/2020 | 600,000 | 586,313 | |||||||||
1.63% due 07/31/2019 | 70,000 | 69,475 | |||||||||
1.63% due 02/15/2026(17) | 370,000 | 341,354 | |||||||||
1.88% due 11/30/2021 | 430,000 | 421,064 | |||||||||
2.00% due 11/30/2020 | 450,000 | 445,693 | |||||||||
2.00% due 02/15/2022 | 510,000 | 500,955 | |||||||||
2.13% due 12/31/2022 | 140,000 | 137,304 |
144
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares/ Principal Amount(18) | Value (Note 2) | |||||||||
U.S. GOVERNMENT TREASURIES (continued) | |||||||||||
United States Treasury Notes (continued) | |||||||||||
2.25% due 11/15/2027 | $ | 30,000 | $ | 28,737 | |||||||
2.38% due 08/15/2024 | 120,000 | 117,970 | |||||||||
4,250,716 | |||||||||||
Total U.S. Government Treasuries (cost $5,217,967) | 5,147,031 | ||||||||||
EXCHANGE-TRADED FUNDS — 4.2% | |||||||||||
iShares MSCI EAFE | 7,000 | 487,760 | |||||||||
iShares MSCI Emerging Markets ETF | 4,991 | 240,966 | |||||||||
SPDR S&P 500 ETF Trust, Series 1 | 18,441 | 4,852,749 | |||||||||
SPDR S&P MidCap 400 ETF | 1,941 | 663,298 | |||||||||
Total Exchange-Traded funds (cost $6,231,871) | 6,244,773 | ||||||||||
EQUITY CERTIFICATES(3) — 0.1% | |||||||||||
Beverages-Wine/Spirits — 0.0% | |||||||||||
UBS AG - Wuliangye Yibin Co., Ltd. | 28 | 300 | |||||||||
Industrial Audio & Video Products — 0.1% | |||||||||||
UBS AG - Hangzhou Hikvision Digital Technology Co., Ltd. | 6,800 | 44,853 | |||||||||
Medical-Drugs — 0.0% | |||||||||||
UBS AG - Tonghua Dongbao Pharmaceutical Co., Ltd. | 13,100 | 52,094 | |||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
UBS AG – China Fortune Land Development Co., Ltd. | 7,200 | 38,428 | |||||||||
Total Equity Certificates (cost $133,961) | 135,675 | ||||||||||
WARRANTS† — 0.0% | |||||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Halcon Resources Corp. Expires 09/09/2020 (Strike Price $14.04) (cost $0) | 198 | 101 | |||||||||
Total Long-Term Investment Securities (cost $121,641,755) | 135,517,152 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 8.6% | |||||||||||
Commercial Paper — 7.3% | |||||||||||
Alpine Securitizaton Corp. 1.98% due 05/01/2018 | 730,000 | 728,680 | |||||||||
American Honda Finance Corp. 1.64% due 04/05/2018 | 700,000 | 699,762 | |||||||||
Atlantic Asset Securitization LLC 1.87% due 05/10/2018* | 700,000 | 698,383 | |||||||||
Australia & New Zealand Banking Group, Ltd. 1.93% due 04/16/2018* | 730,000 | 729,383 | |||||||||
BMW US Capital LLC 1.81% due 04/05/2018* | 730,000 | 729,749 | |||||||||
Chariot Funding LLC 2.22% due 06/11/2018* | 730,000 | 726,735 | |||||||||
Chevron Corp. 1.70% due 04/04/2018* | 730,000 | 729,796 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Commercial Paper (continued) | |||||||||||
Commonwealth Bank of Australia 2.08% due 05/24/2018* | $ | 730,000 | $ | 727,701 | |||||||
Fairway Finance Co. LLC 1.83% due 04/25/2018* | 730,000 | 728,926 | |||||||||
Lloyds Bank PLC 2.13% due 06/01/2018 | 730,000 | 727,315 | |||||||||
MetLife Short Term Funding LLC 1.93% due 05/14/2018* | 730,000 | 728,169 | |||||||||
National Australia Bank, Ltd. 1.69% due 04/03/2018* | 730,000 | 729,814 | |||||||||
Old Line Funding LLC 1.83% due 04/17/2018* | 730,000 | 729,286 | |||||||||
Victory Receivables Corp. 1.71% due 04/06/2018* | 730,000 | 729,720 | |||||||||
Walmart, Inc. 1.89% due 04/18/2018* | 730,000 | 729,242 | |||||||||
10,872,661 | |||||||||||
U.S. Government Agencies — 1.3% | |||||||||||
Federal Home Loan Bank Disc. Notes 1.71% due 04/17/2018 | 2,000,000 | 1,998,616 | |||||||||
Total Short-Term Investment Securities (cost $12,873,078) | 12,871,277 | ||||||||||
REPURCHASE AGREEMENTS — 1.1% | |||||||||||
Agreement with Bank of America Securities LLC, bearing interest at 1.77%, dated 03/29/2018, to be repurchased 04/02/2018 in the amount of $1,691,333 collateralized by $1,725,000 of United States Treasury Notes, bearing interest at 2.38% due 03/15/2021 and having an approximate value of $1,726,213. (cost $1,691,000) | 1,691,000 | 1,691,000 | |||||||||
TOTAL INVESTMENTS (cost $136,205,833)(19) | 100.9 | % | 150,079,429 | ||||||||
Liabilities in excess of other assets | (0.9 | ) | (1,306,005 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 148,773,424 |
@ See Note 1
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2018, the aggregate value of these securities was $13,993,779 representing 9.4% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.
145
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
(1) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2018, the Portfolio held the following restricted securities:
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
Vistra Energy Corp. CVR | 10/06/2016 | 1,362 | $ | 0 | $ | 695 | $ | 0.51 | 0.00 | % | |||||||||||||||||
Loans | |||||||||||||||||||||||||||
Robertshaw US Holding Corp. FRS 2nd Lien | 02/15/2018 | 10,000 | 9,900 | 10,000 | 100.00 | 0.00 | |||||||||||||||||||||
$ | 10,695 | 0.00 | % |
(2) Securities classified as Level 3 (see Note 2).
(3) Illiquid security. At March 31, 2018, the aggregate value of these securities was $486,152 representing 0.3% of net assets.
(4) Perpetual maturity — maturity date reflects the next call date.
(5) Collateralized Mortgage Obligation
(6) Commercial Mortgage Backed Security
(7) Interest Only
(8) 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 above.
(9) Security in default
(10) PIK ("Payment-in-Kind") security — Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in cash at the coupon rate listed.
(11) Company has filed for bankruptcy protection.
(12) PIK ("Payment-in-Kind") security — Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in the form of additional securities at the coupon rate listed.
(13) The Portfolio invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offer Rate ("LIBOR") or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Portfolio is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan.
(14) Senior loans in the Portfolio are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown.
(15) All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.
(16) Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at March 31, 2018.
(17) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(18) Denominated in United States Dollars unless otherwise indicated.
(19) See Note 4 for cost of investments on a tax basis
ADR — American Depositary Receipt
BTL — Bank Term Loan
CAD — Canadian Dollar
CVA — Certification Van Aandelen (Dutch Cert.)
CVR — Contingent Value Rights
DAC — Designated Activity Company
GDR — Global Depositary Receipt
REMIC — Real Estate Mortgage Investment Conduit
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at March 31, 2018 and unless noted otherwise, the dates shown are the original maturity dates.
Index Legend
1 ML — 1 Month USD LIBOR
3 ML — 3 Month USD LIBOR
6 ML — 6 Month USD LIBOR
12 MTA — 12 Month USD Treasury Average Index
146
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
96 | Long | E-Mini Russell 2000 Index | June 2018 | $ | 7,681,268 | $ | 7,349,760 | $ | (331,508 | ) | |||||||||||||||||
42 | Long | S&P 500 E-Mini Index | June 2018 | 5,562,678 | 5,550,300 | (12,378 | ) | ||||||||||||||||||||
17 | Short | S&P 500 E-Mini Index | June 2018 | 2,370,565 | 2,246,550 | 124,015 | |||||||||||||||||||||
9 | Long | TOPIX Index | June 2018 | 1,445,937 | 1,463,821 | 17,884 | |||||||||||||||||||||
66 | Long | U.S. Treasury 10 Year Notes | June 2018 | 7,937,781 | 7,995,281 | 57,500 | |||||||||||||||||||||
49 | Short | U.S. Treasury 10 Year Notes | June 2018 | 5,893,016 | 5,935,891 | (42,875 | ) | ||||||||||||||||||||
1 | Short | U.S. Treasury 10 Year Ultra Notes | June 2018 | 128,312 | 129,859 | (1,547 | ) | ||||||||||||||||||||
6 | Long | U.S. Treasury 2 Year Notes | June 2018 | 1,275,812 | 1,275,656 | (156 | ) | ||||||||||||||||||||
43 | Short | U.S. Treasury 2 Year Notes | June 2018 | 9,145,562 | 9,142,203 | 3,359 | |||||||||||||||||||||
53 | Short | U.S. Treasury 5 Year Notes | June 2018 | 6,053,180 | 6,066,430 | (13,250 | ) | ||||||||||||||||||||
$ | (198,956 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
Over the Counter Total Return Swap Contracts
Value | |||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000's) | Maturity Date | Payments Received (Paid) by Portfolio/Frequency | Total Return Received or Paid by Portfolio/Frequency | Upfront Premiums Paid/(Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Citibank N.A. | $ | 7,508 | 11/27/2018 | (3 Month USD LIBOR-BBA plus 37 bps)/Quarterly | Citibank U.S. Equity Custom Basket(1)/Quarterly | $ | — | $ | (159,410 | ) | |||||||||||||||||
Citibank N.A.@ | 6,215 | 11/27/2018 | 3 Month USD LIBOR-BBA plus 35 bps/Quarterly | Russell 1000 Index Total Return/ Quarterly | — | 205,581 | |||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | — | $ | 46,171 |
BBA — British Banker's Association
LIBOR — London Interbank Offered Rate
@ Fair valued swap contracts. Total return swap contracts are classified as Level 2 based on swaps valuation inputs (see Note 2).
(1) The following are the 50 largest components in the Citibank U.S. Equity Custom Basket:
Common Stock | Percentage* | Shares | Value | ||||||||||||
JPMorgan Chase & Co. | 2.9 | % | 51 | $ | 216,919 | ||||||||||
Alphabet, Inc., Class A | 2.3 | 4 | 173,201 | ||||||||||||
Raytheon Co. | 2.0 | 18 | 147,460 | ||||||||||||
Northrop Grumman Corp. | 1.9 | 11 | 146,256 | ||||||||||||
Apple, Inc. | 1.9 | 22 | 145,674 | ||||||||||||
McDonald's Corp. | 1.9 | 23 | 140,976 | ||||||||||||
Time Warner, Inc. | 1.9 | 38 | 140,704 | ||||||||||||
PNC Financial Services Group, Inc. | 1.8 | 23 | 135,929 | ||||||||||||
Texas Instruments, Inc. | 1.8 | 33 | 135,075 | ||||||||||||
eBay, Inc. | 1.8 | 86 | 134,803 | ||||||||||||
Intuit, Inc. | 1.8 | 20 | 133,677 | ||||||||||||
Constellation Brands, Inc., Class A | 1.8 | 15 | 133,599 | ||||||||||||
Cognizant Technology Solutions Corp., Class A | 1.8 | 43 | 133,444 | ||||||||||||
American Express Co. | 1.8 | 36 | 132,124 | ||||||||||||
Danaher Corp. | 1.8 | 35 | 132,046 | ||||||||||||
Humana, Inc. | 1.7 | 12 | 124,475 | ||||||||||||
Exxon Mobil Corp. | 1.5 | 39 | 114,342 | ||||||||||||
Pfizer, Inc. | 1.5 | 83 | 113,953 | ||||||||||||
American Electric Power Co., Inc. | 1.5 | 42 | 112,167 | ||||||||||||
TJX Cos., Inc. | 1.5 | 35 | 109,877 | ||||||||||||
Occidental Petroleum Corp. | 1.5 | 43 | 109,566 |
147
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Common Stock | Percentage* | Shares | Value | ||||||||||||
Honeywell International, Inc. | 1.4 | % | 19 | $ | 107,042 | ||||||||||
Lowe's Cos., Inc. | 1.4 | 31 | 105,295 | ||||||||||||
Kimberly-Clark Corp. | 1.3 | 23 | 99,899 | ||||||||||||
Johnson & Johnson | 1.3 | 20 | 97,608 | ||||||||||||
Baxter International, Inc. | 1.2 | 35 | 87,164 | ||||||||||||
Allstate Corp. | 1.2 | 24 | 86,620 | ||||||||||||
Duke Energy Corp. | 1.1 | 28 | 85,649 | ||||||||||||
Marathon Petroleum Corp. | 1.1 | 30 | 84,291 | ||||||||||||
Microsoft Corp. | 1.1 | 24 | 83,553 | ||||||||||||
General Dynamics Corp. | 1.1 | 10 | 81,767 | ||||||||||||
Norfolk Southern Corp. | 1.1 | 15 | 81,534 | ||||||||||||
Walt Disney Co. | 1.1 | 21 | 80,525 | ||||||||||||
HP, Inc. | 1.0 | 89 | 75,982 | ||||||||||||
Fidelity National Information Services, Inc. | 1.0 | 20 | 75,594 | ||||||||||||
Applied Materials, Inc. | 1.0 | 34 | 73,536 | ||||||||||||
Verizon Communications, Inc. | 1.0 | 39 | 72,915 | ||||||||||||
Red Hat, Inc. | 1.0 | 12 | 71,750 | ||||||||||||
Facebook, Inc., Class A | 0.9 | 11 | 70,702 | ||||||||||||
F5 Networks, Inc. | 0.9 | 13 | 70,663 | ||||||||||||
Harris Corp. | 0.9 | 11 | 67,984 | ||||||||||||
NetApp, Inc. | 0.9 | 28 | 67,634 | ||||||||||||
Sysco Corp. | 0.9 | 29 | 66,470 | ||||||||||||
Crown Holdings, Inc. | 0.9 | 33 | 64,295 | ||||||||||||
Ross Stores, Inc. | 0.8 | 20 | 61,112 | ||||||||||||
Waste Management, Inc. | 0.8 | 19 | 60,801 | ||||||||||||
CME Group, Inc. | 0.8 | 9 | 57,346 | ||||||||||||
Travelers Cos., Inc. | 0.8 | 11 | 57,307 | ||||||||||||
Kinder Morgan, Inc. | 0.8 | 97 | 56,491 | ||||||||||||
Zoetis, Inc. | 0.8 | 17 | 56,336 |
* Represents the weighting of the component in the custom basket.
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||||
Bank Of America, N.A. | USD | 121,860 | HKD | 950,700 | 05/16/2018 | $ | — | $ | (549 | ) | |||||||||||||||||||||
USD | 570,321 | GBP | 413,600 | 06/20/2018 | 11,818 | — | |||||||||||||||||||||||||
11,818 | (549 | ) | |||||||||||||||||||||||||||||
Citibank N.A. | CAD | 17,600 | USD | 14,095 | 04/18/2018 | 429 | — | ||||||||||||||||||||||||
USD | 244,857 | JPY | 26,610,000 | 05/16/2018 | 5,863 | — | |||||||||||||||||||||||||
USD | 183,667 | DKK | 1,100,000 | 06/20/2018 | — | (1,060 | ) | ||||||||||||||||||||||||
USD | 324,093 | EUR | 263,500 | 06/20/2018 | 1,974 | — | |||||||||||||||||||||||||
8,266 | (1,060 | ) | |||||||||||||||||||||||||||||
Goldman Sachs International | USD | 309,452 | EUR | 251,600 | 06/20/2018 | 1,889 | — | ||||||||||||||||||||||||
JPMorgan Chase Bank | NOK | 450,600 | USD | 57,741 | 06/20/2018 | 118 | — | ||||||||||||||||||||||||
USD | 296,498 | AUD | 379,000 | 04/18/2018 | — | (5,411 | ) | ||||||||||||||||||||||||
USD | 308,688 | JPY | 33,571,000 | 05/16/2018 | 7,619 | — | |||||||||||||||||||||||||
USD | 167,326 | SGD | 218,600 | 05/16/2018 | — | (443 | ) | ||||||||||||||||||||||||
USD | 238,023 | CHF | 221,700 | 06/20/2018 | — | (4,610 | ) | ||||||||||||||||||||||||
USD | 485,858 | EUR | 394,900 | 06/20/2018 | 2,809 | — | |||||||||||||||||||||||||
USD | 310,365 | GBP | 225,000 | 06/20/2018 | 6,321 | — | |||||||||||||||||||||||||
USD | 192,949 | SEK | 1,581,500 | 06/20/2018 | — | (2,459 | ) | ||||||||||||||||||||||||
16,867 | (12,923 | ) |
148
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (unaudited) (continued)
Forward Foreign Currency Contracts (continued)
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||||
State Street Bank and Trust Co. | USD | 12,765 | ILS | 43,900 | 04/18/2018 | $ | — | $ | (238 | ) | |||||||||||||||||||||
USD | 220,738 | JPY | 24,013,100 | 05/16/2018 | 5,514 | — | |||||||||||||||||||||||||
5,514 | (238 | ) | |||||||||||||||||||||||||||||
UBS AG | USD | 397,666 | AUD | 508,300 | 04/18/2018 | — | (7,272 | ) | |||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 44,354 | $ | (22,042 | ) |
AUD — Australian Dollar
CAD — Canadian Dollar
CHF — Swiss Franc
DKK — Danish Krone
EUR — Euro Currency
GBP — Pound Sterling
HKD — Hong Kong Dollar
ILS — New Israeli Sheqel
JPY — Japanese Yen
NOK — Norwegian Krone
SEK — Swedish Krona
SGD — Singpore Dollar
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Common Stocks: | |||||||||||||||||||
Electric-Generation | $ | — | $ | 65,483 | # | $ | — | $ | 65,483 | ||||||||||
Hazardous Waste Disposal | — | — | 74 | 74 | |||||||||||||||
Oil Companies-Exploration & Production | 63,863 | 178,901 | ** | 810 | 243,574 | ||||||||||||||
Other Industries | 91,563,669 | 16,700,368 | ** | — | 108,264,037 | ||||||||||||||
Convertible Preferred Securities | 12,277 | — | — | 12,277 | |||||||||||||||
Preferred Securities | 15,068 | — | — | 15,068 | |||||||||||||||
Preferred Securities/Capital Securities | — | 591,386 | — | 591,386 | |||||||||||||||
Asset Backed Securities | — | 1,958,310 | — | 1,958,310 | |||||||||||||||
Convertible Bonds & Notes | — | 8,132 | — | 8,132 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Oil-Field Services | — | 43,854 | 3 | 43,857 | |||||||||||||||
Telecommunication Equipment | — | 60,088 | 0 | 60,088 | |||||||||||||||
Other Industries | — | 8,172,796 | — | 8,172,796 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 1,054,967 | — | 1,054,967 | |||||||||||||||
Loans | — | 145,650 | — | 145,650 | |||||||||||||||
Municipal Bonds & Notes | — | 97,530 | — | 97,530 | |||||||||||||||
U.S. Government Agencies | — | 3,256,343 | — | 3,256,343 | |||||||||||||||
U.S. Government Treasuries | — | 5,147,031 | — | 5,147,031 | |||||||||||||||
Exchange-Traded Funds | 6,244,773 | — | — | 6,244,773 | |||||||||||||||
Equity Certificates | — | 135,675 | — | 135,675 | |||||||||||||||
Warrants | 101 | — | — | 101 | |||||||||||||||
Short-Term Investment Securities | — | 12,871,277 | 12,871,277 | ||||||||||||||||
Repurchase Agreements | — | 1,691,000 | — | 1,691,000 | |||||||||||||||
Total Investments at Value | $ | 97,899,751 | $ | 52,178,791 | $ | 887 | $ | 150,079,429 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 184,874 | $ | 17,884 | $ | — | $ | 202,758 | |||||||||||
Over the Counter Total Return Swap Contracts | — | 205,581 | — | 205,581 | |||||||||||||||
Forward Foreign Currency Contracts | — | 44,354 | — | 44,354 | |||||||||||||||
Total Other Financial Instruments | $ | 184,874 | $ | 267,819 | $ | — | $ | 452,693 |
149
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (unaudited) (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 401,714 | $ | — | $ | — | $ | 401,714 | |||||||||||
Over the Counter Total Return Swap Contracts | — | 159,410 | — | 159,410 | |||||||||||||||
Forward Foreign Currency Contracts | — | 22,042 | — | 22,042 | |||||||||||||||
Total Other Financial Instruments | $ | 401,714 | $ | 181,452 | $ | — | $ | 583,166 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
** Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).
# Amount includes $64,788 that represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).
† Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. Securities currently valued at $11,174,336 were transferred from Level 1 to Level 2 due to foreign equity securities whose values were adjusted for fair value pricing procedures for foreign equity securities. There were no additional transfers between Levels during the reporting period.
At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.
See Notes to Financial Statements
150
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
E-Commerce/Products | 9.9 | % | |||||
Applications Software | 9.3 | ||||||
E-Commerce/Services | 5.8 | ||||||
Internet Content-Entertainment | 5.1 | ||||||
Finance-Credit Card | 5.0 | ||||||
Web Portals/ISP | 4.9 | ||||||
Medical-HMO | 4.3 | ||||||
Commercial Services-Finance | 3.9 | ||||||
Medical-Biomedical/Gene | 3.4 | ||||||
Medical Products | 3.4 | ||||||
Aerospace/Defense | 3.3 | ||||||
Electronic Components-Semiconductors | 2.4 | ||||||
Auto-Cars/Light Trucks | 2.1 | ||||||
Real Estate Investment Trusts | 2.1 | ||||||
Diversified Banking Institutions | 2.0 | ||||||
Finance-Investment Banker/Broker | 1.9 | ||||||
Computers | 1.9 | ||||||
Casino Hotels | 1.8 | ||||||
Entertainment Software | 1.7 | ||||||
Tobacco | 1.6 | ||||||
Data Processing/Management | 1.5 | ||||||
Machinery-General Industrial | 1.4 | ||||||
Medical Instruments | 1.4 | ||||||
Internet Security | 1.3 | ||||||
Internet Application Software | 1.3 | ||||||
Multimedia | 1.0 | ||||||
Airlines | 1.0 | ||||||
Gas-Distribution | 0.9 | ||||||
Electronic Measurement Instruments | 0.9 | ||||||
Insurance-Multi-line | 0.9 | ||||||
Finance-Other Services | 0.9 | ||||||
Retail-Discount | 0.8 | ||||||
Instruments-Controls | 0.8 | ||||||
Enterprise Software/Service | 0.7 | ||||||
Registered Investment Companies | 0.7 | ||||||
Lighting Products & Systems | 0.7 | ||||||
Retail-Restaurants | 0.7 | ||||||
Semiconductor Equipment | 0.6 | ||||||
Software Tools | 0.6 | ||||||
Auto/Truck Parts & Equipment-Original | 0.6 | ||||||
Electric-Integrated | 0.6 | ||||||
Chemicals-Diversified | 0.6 | ||||||
Water | 0.5 | ||||||
Diversified Manufacturing Operations | 0.5 | ||||||
Diagnostic Equipment | 0.5 | ||||||
Athletic Footwear | 0.4 | ||||||
Banks-Fiduciary | 0.4 | ||||||
Semiconductor Components-Integrated Circuits | 0.4 | ||||||
Building & Construction Products-Misc. | 0.4 | ||||||
Banks-Commercial | 0.4 | ||||||
Building-Residential/Commercial | 0.3 | ||||||
Computer Software | 0.2 | ||||||
Hotels/Motels | 0.2 | ||||||
Retail-Building Products | 0.2 | ||||||
Real Estate Management/Services | 0.1 | ||||||
100.2 | % |
* Calculated as a percentage of net assets
@ See Note 1
151
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 97.8% | |||||||||||
Aerospace/Defense — 3.3% | |||||||||||
Boeing Co. | 41,990 | $ | 13,767,681 | ||||||||
Airlines — 1.0% | |||||||||||
American Airlines Group, Inc. | 81,410 | 4,230,064 | |||||||||
Applications Software — 9.0% | |||||||||||
Intuit, Inc. | 35,780 | 6,202,463 | |||||||||
Microsoft Corp. | 204,700 | 18,682,969 | |||||||||
Red Hat, Inc.† | 16,821 | 2,514,908 | |||||||||
salesforce.com, Inc.† | 56,200 | 6,536,060 | |||||||||
ServiceNow, Inc.† | 20,614 | 3,410,586 | |||||||||
37,346,986 | |||||||||||
Athletic Footwear — 0.4% | |||||||||||
NIKE, Inc., Class B | 27,300 | 1,813,812 | |||||||||
Auto-Cars/Light Trucks — 2.1% | |||||||||||
Ferrari NV | 18,249 | 2,199,369 | |||||||||
Tesla, Inc.† | 24,720 | 6,578,734 | |||||||||
8,778,103 | |||||||||||
Auto/Truck Parts & Equipment-Original — 0.6% | |||||||||||
Aptiv PLC | 28,700 | 2,438,639 | |||||||||
Banks-Commercial — 0.4% | |||||||||||
First Republic Bank | 16,525 | 1,530,380 | |||||||||
Banks-Fiduciary — 0.4% | |||||||||||
State Street Corp. | 17,900 | 1,785,167 | |||||||||
Building & Construction Products-Misc. — 0.4% | |||||||||||
Fortune Brands Home & Security, Inc. | 28,535 | 1,680,426 | |||||||||
Building-Residential/Commercial — 0.3% | |||||||||||
NVR, Inc.† | 480 | 1,344,000 | |||||||||
Casino Hotels — 1.8% | |||||||||||
Caesars Entertainment Corp.† | 260,948 | 2,935,665 | |||||||||
MGM Resorts International | 29,480 | 1,032,389 | |||||||||
Wynn Resorts, Ltd. | 18,652 | 3,401,379 | |||||||||
7,369,433 | |||||||||||
Chemicals-Diversified — 0.6% | |||||||||||
DowDuPont, Inc. | 36,200 | 2,306,302 | |||||||||
Commercial Services-Finance — 3.9% | |||||||||||
Equifax, Inc. | 24,356 | 2,869,380 | |||||||||
PayPal Holdings, Inc.† | 73,652 | 5,587,977 | |||||||||
TransUnion† | 55,265 | 3,137,947 | |||||||||
Worldpay, Inc., Class A† | 52,800 | 4,342,272 | |||||||||
15,937,576 | |||||||||||
Computer Software — 0.2% | |||||||||||
Dropbox, Inc., Class A† | 4,151 | 129,719 | |||||||||
Dropbox, Inc., Class A†(2)(3) | 25,608 | 760,237 | |||||||||
889,956 | |||||||||||
Computers — 1.9% | |||||||||||
Apple, Inc. | 46,272 | 7,763,516 | |||||||||
Data Processing/Management — 1.5% | |||||||||||
Fidelity National Information Services, Inc. | 27,400 | 2,638,620 | |||||||||
Fiserv, Inc.† | 48,034 | 3,425,304 | |||||||||
6,063,924 |
Security Description | Shares | Value (Note 2) | |||||||||
Diagnostic Equipment — 0.5% | |||||||||||
Danaher Corp. | 19,600 | $ | 1,919,036 | ||||||||
Diversified Banking Institutions — 2.0% | |||||||||||
JPMorgan Chase & Co. | 41,800 | 4,596,746 | |||||||||
Morgan Stanley | 70,400 | 3,798,784 | |||||||||
8,395,530 | |||||||||||
Diversified Manufacturing Operations — 0.5% | |||||||||||
Illinois Tool Works, Inc. | 12,400 | 1,942,584 | |||||||||
E-Commerce/Products — 9.6% | |||||||||||
Alibaba Group Holding, Ltd. ADR† | 62,939 | 11,551,824 | |||||||||
Amazon.com, Inc.† | 19,479 | 28,192,736 | |||||||||
Flipkart, Ltd.†(1)(2)(3) | 772 | 67,630 | |||||||||
39,812,190 | |||||||||||
E-Commerce/Services — 4.8% | |||||||||||
Booking Holdings, Inc.† | 9,450 | 19,659,686 | |||||||||
Uber Technologies, Inc., Class A†(1)(2)(3) | 834 | 28,980 | |||||||||
19,688,666 | |||||||||||
Electric-Integrated — 0.6% | |||||||||||
NextEra Energy, Inc. | 14,200 | 2,319,286 | |||||||||
Electronic Components-Semiconductors — 2.4% | |||||||||||
Broadcom, Ltd. | 17,400 | 4,100,310 | |||||||||
Texas Instruments, Inc. | 39,458 | 4,099,292 | |||||||||
Xilinx, Inc. | 23,089 | 1,667,949 | |||||||||
9,867,551 | |||||||||||
Electronic Measurement Instruments — 0.9% | |||||||||||
Fortive Corp. | 46,604 | 3,612,742 | |||||||||
Enterprise Software/Service — 0.7% | |||||||||||
Workday, Inc., Class A† | 24,109 | 3,064,495 | |||||||||
Entertainment Software — 1.7% | |||||||||||
Activision Blizzard, Inc. | 34,100 | 2,300,386 | |||||||||
Electronic Arts, Inc.† | 37,800 | 4,582,872 | |||||||||
6,883,258 | |||||||||||
Finance-Credit Card — 5.0% | |||||||||||
Mastercard, Inc., Class A | 53,100 | 9,300,996 | |||||||||
Visa, Inc., Class A | 95,200 | 11,387,824 | |||||||||
20,688,820 | |||||||||||
Finance-Investment Banker/Broker — 1.9% | |||||||||||
Charles Schwab Corp. | 47,000 | 2,454,340 | |||||||||
TD Ameritrade Holding Corp. | 93,733 | 5,551,806 | |||||||||
8,006,146 | |||||||||||
Finance-Other Services — 0.9% | |||||||||||
Intercontinental Exchange, Inc. | 48,700 | 3,531,724 | |||||||||
Gas-Distribution — 0.9% | |||||||||||
Sempra Energy | 32,498 | 3,614,428 | |||||||||
Hotels/Motels — 0.2% | |||||||||||
Marriott International, Inc., Class A | 6,864 | 933,367 | |||||||||
Instruments-Controls — 0.8% | |||||||||||
Honeywell International, Inc. | 22,700 | 3,280,377 | |||||||||
Insurance-Multi-line — 0.9% | |||||||||||
Chubb, Ltd. | 26,400 | 3,610,728 | |||||||||
Internet Application Software — 1.3% | |||||||||||
Tencent Holdings, Ltd. | 99,900 | 5,317,799 |
152
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Internet Content-Entertainment — 5.1% | |||||||||||
Facebook, Inc., Class A† | 95,328 | $ | 15,232,461 | ||||||||
Netflix, Inc.† | 16,300 | 4,814,205 | |||||||||
Snap, Inc., Class A† | 51,500 | 817,305 | |||||||||
20,863,971 | |||||||||||
Internet Security — 1.3% | |||||||||||
Symantec Corp. | 206,428 | 5,336,164 | |||||||||
Lighting Products & Systems — 0.7% | |||||||||||
Acuity Brands, Inc. | 20,954 | 2,916,587 | |||||||||
Machinery-General Industrial — 1.4% | |||||||||||
Roper Technologies, Inc. | 14,824 | 4,160,948 | |||||||||
Wabtec Corp. | 22,159 | 1,803,743 | |||||||||
5,964,691 | |||||||||||
Medical Instruments — 1.4% | |||||||||||
Intuitive Surgical, Inc.† | 13,953 | 5,760,217 | |||||||||
Medical Products — 3.4% | |||||||||||
Becton Dickinson and Co. | 35,739 | 7,744,641 | |||||||||
Stryker Corp. | 38,179 | 6,143,765 | |||||||||
13,888,406 | |||||||||||
Medical-Biomedical/Gene — 3.4% | |||||||||||
Alexion Pharmaceuticals, Inc.† | 35,746 | 3,984,249 | |||||||||
Alnylam Pharmaceuticals, Inc.† | 15,023 | 1,789,240 | |||||||||
Incyte Corp.† | 22,100 | 1,841,593 | |||||||||
Vertex Pharmaceuticals, Inc.† | 40,386 | 6,582,110 | |||||||||
14,197,192 | |||||||||||
Medical-HMO — 4.3% | |||||||||||
Anthem, Inc. | 20,800 | 4,569,760 | |||||||||
Centene Corp.† | 16,484 | 1,761,645 | |||||||||
Cigna Corp. | 12,982 | 2,177,601 | |||||||||
UnitedHealth Group, Inc. | 42,612 | 9,118,968 | |||||||||
17,627,974 | |||||||||||
Multimedia — 1.0% | |||||||||||
Walt Disney Co. | 42,700 | 4,288,788 | |||||||||
Real Estate Investment Trusts — 2.1% | |||||||||||
American Tower Corp. | 14,200 | 2,063,828 | |||||||||
Crown Castle International Corp. | 58,544 | 6,417,008 | |||||||||
8,480,836 | |||||||||||
Real Estate Management/Services — 0.0% | |||||||||||
WeWork Cos., Inc., Class A†(1)(2)(3) | 532 | 24,392 | |||||||||
Retail-Building Products — 0.2% | |||||||||||
Home Depot, Inc. | 3,600 | 641,664 | |||||||||
Retail-Discount — 0.8% | |||||||||||
Dollar General Corp. | 16,950 | 1,585,673 | |||||||||
Dollarama, Inc. | 14,323 | 1,740,750 | |||||||||
3,326,423 | |||||||||||
Retail-Restaurants — 0.7% | |||||||||||
Yum! Brands, Inc. | 33,600 | 2,860,368 | |||||||||
Semiconductor Components-Integrated Circuits — 0.4% | |||||||||||
QUALCOMM, Inc. | 31,400 | 1,739,874 | |||||||||
Semiconductor Equipment — 0.6% | |||||||||||
ASML Holding NV | 13,600 | 2,700,416 |
Security Description | Shares | Value (Note 2) | |||||||||
Software Tools — 0.6% | |||||||||||
VMware, Inc., Class A† | 20,256 | $ | 2,456,445 | ||||||||
Tobacco — 1.6% | |||||||||||
Philip Morris International, Inc. | 66,345 | 6,594,693 | |||||||||
Water — 0.5% | |||||||||||
American Water Works Co., Inc. | 24,200 | 1,987,546 | |||||||||
Web Portals/ISP — 4.9% | |||||||||||
Alphabet, Inc., Class A† | 9,200 | 9,541,688 | |||||||||
Alphabet, Inc., Class C† | 10,266 | 10,592,356 | |||||||||
20,134,044 | |||||||||||
Total Common Stocks (cost $299,478,502) | 403,325,383 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 1.7% | |||||||||||
Applications Software — 0.3% | |||||||||||
Magic Leap, Inc., Series C†(1)(2)(3) | 26,666 | 719,982 | |||||||||
Magic Leap, Inc., Series D†(1)(2)(3) | 16,678 | 450,306 | |||||||||
1,170,288 | |||||||||||
E-Commerce/Products — 0.3% | |||||||||||
Flipkart, Ltd., Series A†(1)(2)(3) | 265 | 23,215 | |||||||||
Flipkart, Ltd., Series C†(1)(2)(3) | 465 | 40,736 | |||||||||
Flipkart, Ltd., Series E†(1)(2)(3) | 864 | 75,689 | |||||||||
Flipkart, Ltd., Series G†(1)(2)(3) | 3,830 | 453,370 | |||||||||
Flipkart, Ltd., Series H†(1)(2)(3) | 3,563 | 500,933 | |||||||||
1,093,943 | |||||||||||
E-Commerce/Services — 1.0% | |||||||||||
Airbnb, Inc., Series D†(1)(2)(3) | 13,329 | 1,453,083 | |||||||||
Airbnb, Inc., Series E†(1)(2)(3) | 8,841 | 963,816 | |||||||||
Uber Technologies, Inc., Series A†(1)(2)(3) | 119 | 4,135 | |||||||||
Uber Technologies, Inc., Series B†(1)(2)(3) | 319 | 11,085 | |||||||||
Uber Technologies, Inc., Series C-1†(1)(2)(3) | 84 | 2,919 | |||||||||
Uber Technologies, Inc., Series C-2†(1)(2)(3) | 68 | 2,363 | |||||||||
Uber Technologies, Inc., Series C-3†(1)(2)(3) | 1 | 35 | |||||||||
Uber Technologies, Inc., Series D†(1)(2)(3) | 76 | 2,641 | |||||||||
Uber Technologies, Inc., Series E†(1)(2)(3) | 36 | 1,251 | |||||||||
Uber Technologies, Inc., Series G†(1)(2)(3) | 20,747 | 720,928 | |||||||||
Uber Technologies, Inc., Series G-1†(1)(2)(3) | 183 | 6,359 | |||||||||
Uber Technologies, Inc., Series Seed†(1)(2)(3) | 304 | 10,564 | |||||||||
Xiaoju Kuaizhi, Inc., Series A-17†(1)(2)(3) | 19,048 | 951,192 | |||||||||
4,130,371 | |||||||||||
Real Estate Management/Services — 0.1% | |||||||||||
WeWork Cos., Inc., Series E†(1)(2)(3) | 13,398 | 614,298 | |||||||||
Total Convertible Preferred Securities (cost $5,594,482) | 7,008,900 | ||||||||||
Total Long-Term Investment Securities (cost $305,072,984) | 410,334,283 |
153
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.7% | |||||||||||
Registered Investment Companies — 0.7% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.58%(4) | 600,891 | $ | 600,891 | ||||||||
T. Rowe Price Government Reserve Fund 1.63%(4) | 2,443,551 | 2,443,551 | |||||||||
Total Short-Term Investment Securities (cost $3,044,442) | 3,044,442 | ||||||||||
TOTAL INVESTMENTS (cost $308,117,426)(5) | 100.2 | % | 413,378,725 | ||||||||
Liabilities in excess of other assets | (0.2 | ) | (913,692 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 412,465,033 |
@ See Note 1
† Non-income producing security
(1) Securities classified as Level 3 (see Note 2).
(2) Illiquid security. At March 31, 2018, the aggregate value of these securities was $7,890,139 representing 1.9% of net assets.
(3) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2018, the Portfolio held the following restricted securities:
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
Dropbox, Inc., Class A | 11/07/2014 | 25,608 | $ | 733,734 | $ | 760,237 | $ | 29.69 | 0.18 | % | |||||||||||||||||
Flipkart, Ltd. | 03/19/2015 | 772 | 88,008 | 67,630 | 87.60 | 0.02 | |||||||||||||||||||||
Uber Technologies, Inc., Class A | 01/16/2018 | 834 | 27,496 | 28,980 | 34.75 | 0.01 | |||||||||||||||||||||
WeWork Cos., Inc., Class A | 06/23/2015 | 532 | 17,497 | 24,392 | 45.85 | 0.01 | |||||||||||||||||||||
Convertible Preferred Securities | |||||||||||||||||||||||||||
Airbnb, Inc., Series D | 04/16/2014 | 13,329 | 542,664 | 1,453,083 | 109.02 | 0.35 | |||||||||||||||||||||
Airbnb, Inc., Series E | 07/14/2015 | 8,841 | 823,048 | 963,816 | 109.02 | 0.23 | |||||||||||||||||||||
Flipkart, Ltd. Series A | 03/19/2015 | 265 | 30,209 | 23,215 | 87.60 | 0.01 | |||||||||||||||||||||
Flipkart, Ltd. Series C | 03/19/2015 | 465 | 53,010 | 40,736 | 87.60 | 0.01 |
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Convertible Preferred Securities (continued) | |||||||||||||||||||||||||||
Flipkart, Ltd. Series E | 03/19/2015 | 864 | $ | 98,496 | $ | 75,689 | $ | 87.60 | 0.02 | % | |||||||||||||||||
Flipkart, Ltd. Series G | 12/17/2014 | 3,830 | 458,681 | 453,370 | 118.37 | 0.11 | |||||||||||||||||||||
Flipkart, Ltd. Series H | 04/17/2015 | 3,563 | 506,801 | 500,933 | 140.59 | 0.12 | |||||||||||||||||||||
Magic Leap, Inc., Series C | 01/20/2016 | 26,666 | 614,198 | 719,982 | 27.00 | 0.17 | |||||||||||||||||||||
Magic Leap, Inc., Series D | 10/12/2017 | 16,678 | 450,306 | 450,306 | 27.00 | 0.11 | |||||||||||||||||||||
Uber Technologies, Inc., Series A | 01/16/2018 | 119 | 3,923 | 4,135 | 34.75 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series B | 01/16/2018 | 319 | 10,517 | 11,085 | 34.75 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series C-1 | 01/16/2018 | 84 | 2,769 | 2,919 | 34.75 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series C-2 | 01/16/2018 | 68 | 2,242 | 2,363 | 34.75 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series C-3 | 01/16/2018 | 1 | 33 | 35 | 34.75 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series D | 01/16/2018 | 76 | 2,506 | 2,641 | 34.75 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series E | 01/16/2018 | 36 | 1,187 | 1,251 | 34.75 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series G | 12/03/2015 | 20,747 | 1,011,877 | 720,928 | 34.75 | 0.17 | |||||||||||||||||||||
Uber Technologies, Inc., Series G-1 | 01/16/2018 | 183 | 8,925 | 6,359 | 34.75 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series Seed | 01/16/2018 | 304 | 10,023 | 10,564 | 34.75 | 0.00 | |||||||||||||||||||||
WeWork Cos., Inc., Series E | 06/23/2015 | 13,398 | 440,655 | 614,298 | 45.85 | 0.15 | |||||||||||||||||||||
Xiaoju Kuaizhi, Inc., Series A-17 | 10/19/15 | 19,048 | 522,414 | 951,192 | 49.94 | 0.23 | |||||||||||||||||||||
$ | 7,890,139 | 1.90 | % |
(4) The rate shown is the 7-day yield as of March 31, 2018.
(5) See Note 4 for cost of investments on a tax basis.
ADR — American Depositary Receipt
154
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Common Stocks: | |||||||||||||||||||
Computer Software | $ | 129,719 | $ | 760,237 | $ | — | $ | 889,956 | |||||||||||
E-Commerce/Products | 39,744,560 | — | 67,630 | 39,812,190 | |||||||||||||||
E-Commerce/Services | 19,659,686 | — | 28,980 | 19,688,666 | |||||||||||||||
Real Estate Management/Services | — | — | 24,392 | 24,392 | |||||||||||||||
Other Industries | 337,592,380 | 5,317,799 | ** | — | 342,910,179 | ||||||||||||||
Convertible Preferred Securities | — | — | 7,008,900 | 7,008,900 | |||||||||||||||
Short-Term Investment Securities | 3,044,442 | — | — | 3,044,442 | |||||||||||||||
Total Investment at Value | $ | 400,170,787 | $ | 6,078,036 | $ | 7,129,902 | $ | 413,378,725 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
** Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note2).
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. Securities currently valued at $5,317,799 were transferred from Level 1 to Level 2 due to foreign equity securities whose values were adjusted for fair value pricing prodecures for foreign equity securities. There were no other material transfers between Levels during the reporting period.
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Common Stocks | Convertible Preferred Securities | ||||||||||
Balance as of March 31, 2017 | $ | 488,832 | $ | 6,388,402 | |||||||
Accrued Discounts | — | — | |||||||||
Accrued Premiums | — | — | |||||||||
Realized Gain | 18,126 | — | |||||||||
Realized Loss | (4,305 | ) | (14,901 | ) | |||||||
Change in unrealized appreciation(1) | 410,501 | 729,340 | |||||||||
Change in unrealized depreciation(1) | (23,484 | ) | (377,878 | ) | |||||||
Net purchases | 27,496 | 492,431 | |||||||||
Net sales | (796,164 | ) | (208,494 | ) | |||||||
Transfers into Level 3 | — | — | |||||||||
Transfers out of Level 3 | — | — | |||||||||
Balance as of March 31, 2018 | $ | 121,002 | $ | 7,008,900 |
(1) The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at March 31, 2018 includes:
Common Stocks | Convertible Preferred Securities | ||||||
$ | (6,833 | ) | $ | 293,040 |
Any differences between the change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at March 31, 2018.
155
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
The following is quantitative information about Level 3 fair value measurements:
Description | Value at March 31, 2018 | Valuation Technique(s) | Unobservable Input (1) | Range (weighted average) | |||||||||||||||
Common Stocks | $ | 24,392 | Market Approach | Secondary Market Transaction/Tender Price* | $ | 26 - $51.81 | ($38.905) | ||||||||||||
$ | 96,610 | Market Approach | Primary Market Transaction Price* | $ | 48.7722 - $88.1135 | ($68.4429) | |||||||||||||
Secondary Market Transactions* | $ | 34.3971 - $85.30 | ($60.6346) | ||||||||||||||||
Tender Price* | $ | 32.9700 | |||||||||||||||||
Convertible Preferred Securities | $ | 614,298 | Market Approach | Secondary Market Transaction/Tender Price* | $ | 26 - $51.81 | ($38.905) | ||||||||||||
$ | 2,807,414 | Market Approach | Primary Market Transaction Price* | $ | 48.7722 - $88.1135 | ($62.6059) | |||||||||||||
Secondary Market Transactions* | $ | 34.3971 - $85.30 | ($55.3272) | ||||||||||||||||
Tender Price* | $ | 32.9700 | |||||||||||||||||
$ | 1,170,288 | Market Approach | Market Transaction Price* | $ | 27.000000 | ||||||||||||||
$ | 2,416,900 | Market Approach | Market Transaction Price* | $ | 105.0000 | ||||||||||||||
2020 Estimated Revenue Multiple* | 5.3 | x | |||||||||||||||||
2020 Estimated Gross Profit Multiple* | 7.3 | x | |||||||||||||||||
Discount for Lack of Marketability | 10.0 | % |
(1) The significant unobservable inputs regarding the Level 3 securities in the table above are attributable to private securities and include assumptions made from non-public financial statements, private transactions, and/or market comparables. For those unobservable inputs indicated with *, a significant increase (decrease) in any of those inputs in isolation may result in a significantly higher (lower) fair value measurement, while the remaining unobservable inputs have an inverse relationship.
See Notes to Financial Statements
156
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Applications Software | 7.2 | % | |||||
Computers | 5.7 | ||||||
Web Portals/ISP | 5.4 | ||||||
E-Commerce/Products | 4.9 | ||||||
Medical-Biomedical/Gene | 4.1 | ||||||
Internet Content-Entertainment | 3.7 | ||||||
Finance-Credit Card | 3.6 | ||||||
Electronic Components-Semiconductors | 3.6 | ||||||
Medical-Drugs | 3.4 | ||||||
Aerospace/Defense | 2.7 | ||||||
Retail-Restaurants | 2.5 | ||||||
Real Estate Investment Trusts | 2.5 | ||||||
Beverages-Non-alcoholic | 2.0 | ||||||
Medical Instruments | 1.8 | ||||||
Medical-HMO | 1.7 | ||||||
Diversified Manufacturing Operations | 1.6 | ||||||
Cable/Satellite TV | 1.5 | ||||||
Cosmetics & Toiletries | 1.5 | ||||||
Electronic Forms | 1.5 | ||||||
Tobacco | 1.3 | ||||||
Retail-Building Products | 1.2 | ||||||
E-Commerce/Services | 1.2 | ||||||
Diagnostic Equipment | 1.2 | ||||||
Transport-Rail | 1.2 | ||||||
Commercial Services-Finance | 1.2 | ||||||
Entertainment Software | 1.2 | ||||||
Athletic Footwear | 1.2 | ||||||
Commercial Services | 0.9 | ||||||
Enterprise Software/Service | 0.9 | ||||||
Oil Companies-Exploration & Production | 0.9 | ||||||
Electronic Components-Misc. | 0.9 | ||||||
Semiconductor Components-Integrated Circuits | 0.9 | ||||||
Semiconductor Equipment | 0.9 | ||||||
Machinery-General Industrial | 0.8 | ||||||
Auto/Truck Parts & Equipment-Original | 0.8 | ||||||
Coatings/Paint | 0.8 | ||||||
Instruments-Controls | 0.8 | ||||||
Finance-Other Services | 0.8 | ||||||
Multimedia | 0.8 | ||||||
Networking Products | 0.7 | ||||||
Exchange-Traded Funds | 0.7 | ||||||
Retail-Apparel/Shoe | 0.7 | ||||||
Electronic Connectors | 0.6 | ||||||
Computer Services | 0.6 | ||||||
Drug Delivery Systems | 0.6 | ||||||
Transport-Services | 0.6 | ||||||
Industrial Gases | 0.5 | ||||||
Finance-Investment Banker/Broker | 0.5 | ||||||
Electronic Measurement Instruments | 0.5 | ||||||
Consulting Services | 0.5 | ||||||
Aerospace/Defense-Equipment | 0.5 | ||||||
Banks-Fiduciary | 0.5 | ||||||
Medical Products | 0.5 | ||||||
Airlines | 0.4 | ||||||
Insurance-Property/Casualty | 0.4 | ||||||
Data Processing/Management | 0.4 | ||||||
Banks-Commercial | 0.4 | ||||||
Diversified Banking Institutions | 0.4 | ||||||
Machinery-Pumps | 0.4 | ||||||
Chemicals-Diversified | 0.4 |
Electric Products-Misc. | 0.4 | % | |||||
Computer Aided Design | 0.3 | ||||||
Containers-Metal/Glass | 0.3 | ||||||
Food-Misc./Diversified | 0.3 | ||||||
Casino Hotels | 0.3 | ||||||
Building Products-Cement | 0.3 | ||||||
Containers-Paper/Plastic | 0.3 | ||||||
Medical-Hospitals | 0.3 | ||||||
Registered Investment Companies | 0.3 | ||||||
Medical Information Systems | 0.3 | ||||||
Retail-Discount | 0.3 | ||||||
Cruise Lines | 0.2 | ||||||
Banks-Super Regional | 0.2 | ||||||
Food-Confectionery | 0.2 | ||||||
Investment Management/Advisor Services | 0.2 | ||||||
Therapeutics | 0.2 | ||||||
Repurchase Agreements | 0.2 | ||||||
Computer Software | 0.2 | ||||||
Medical-Generic Drugs | 0.2 | ||||||
U.S. Government Agencies | 0.2 | ||||||
Electric-Integrated | 0.2 | ||||||
Food-Catering | 0.2 | ||||||
Retail-Gardening Products | 0.2 | ||||||
Auto-Cars/Light Trucks | 0.2 | ||||||
Distribution/Wholesale | 0.2 | ||||||
Insurance Brokers | 0.2 | ||||||
Hotels/Motels | 0.2 | ||||||
Chemicals-Specialty | 0.2 | ||||||
Apparel Manufacturers | 0.2 | ||||||
Independent Power Producers | 0.1 | ||||||
Finance-Consumer Loans | 0.1 | ||||||
Beverages-Wine/Spirits | 0.1 | ||||||
Machinery-Construction & Mining | 0.1 | ||||||
Non-Hazardous Waste Disposal | 0.1 | ||||||
Building-Residential/Commercial | 0.1 | ||||||
Agricultural Chemicals | 0.1 | ||||||
Machinery-Farming | 0.1 | ||||||
Consumer Products-Misc. | 0.1 | ||||||
Retail-Major Department Stores | 0.1 | ||||||
Instruments-Scientific | 0.1 | ||||||
Retail-Auto Parts | 0.1 | ||||||
Dental Supplies & Equipment | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
@ See Note 1
157
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 98.6% | |||||||||||
Aerospace/Defense — 2.7% | |||||||||||
Boeing Co. | 17,788 | $ | 5,832,329 | ||||||||
General Dynamics Corp. | 8,022 | 1,772,060 | |||||||||
Lockheed Martin Corp. | 2,165 | 731,619 | |||||||||
Northrop Grumman Corp. | 12,952 | 4,521,802 | |||||||||
Raytheon Co. | 2,473 | 533,723 | |||||||||
Rockwell Collins, Inc. | 2,304 | 310,694 | |||||||||
TransDigm Group, Inc. | 682 | 209,333 | |||||||||
13,911,560 | |||||||||||
Aerospace/Defense-Equipment — 0.5% | |||||||||||
Harris Corp. | 1,051 | 169,505 | |||||||||
L3 Technologies, Inc. | 10,612 | 2,207,296 | |||||||||
2,376,801 | |||||||||||
Agricultural Chemicals — 0.1% | |||||||||||
CF Industries Holdings, Inc. | 1,410 | 53,199 | |||||||||
Monsanto Co. | 3,221 | 375,859 | |||||||||
429,058 | |||||||||||
Airlines — 0.4% | |||||||||||
American Airlines Group, Inc. | 3,196 | 166,064 | |||||||||
Southwest Airlines Co. | 5,093 | 291,727 | |||||||||
United Continental Holdings, Inc.† | 24,669 | 1,713,756 | |||||||||
2,171,547 | |||||||||||
Apparel Manufacturers — 0.2% | |||||||||||
Hanesbrands, Inc. | 2,126 | 39,161 | |||||||||
Michael Kors Holdings, Ltd.† | 2,137 | 132,665 | |||||||||
Under Armour, Inc., Class C† | 26,376 | 378,496 | |||||||||
VF Corp. | 2,869 | 212,650 | |||||||||
762,972 | |||||||||||
Applications Software — 7.2% | |||||||||||
Intuit, Inc. | 15,877 | 2,752,278 | |||||||||
Microsoft Corp. | 285,778 | 26,082,958 | |||||||||
Red Hat, Inc.† | 2,488 | 371,981 | |||||||||
salesforce.com, Inc.† | 65,125 | 7,574,037 | |||||||||
36,781,254 | |||||||||||
Athletic Footwear — 1.2% | |||||||||||
NIKE, Inc., Class B | 88,858 | 5,903,726 | |||||||||
Auto-Cars/Light Trucks — 0.2% | |||||||||||
Tesla, Inc.† | 3,343 | 889,673 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.8% | |||||||||||
Aptiv PLC | 42,462 | 3,607,996 | |||||||||
BorgWarner, Inc. | 1,864 | 93,629 | |||||||||
Delphi Technologies PLC | 11,180 | 532,727 | |||||||||
4,234,352 | |||||||||||
Banks-Commercial — 0.4% | |||||||||||
First Republic Bank | 20,407 | 1,889,892 | |||||||||
SVB Financial Group† | 743 | 178,328 | |||||||||
2,068,220 | |||||||||||
Banks-Fiduciary — 0.5% | |||||||||||
Northern Trust Corp. | 23,033 | 2,375,393 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Super Regional — 0.2% | |||||||||||
Comerica, Inc. | 1,239 | $ | 118,857 | ||||||||
SunTrust Banks, Inc. | 16,053 | 1,092,246 | |||||||||
1,211,103 | |||||||||||
Beverages-Non-alcoholic — 2.0% | |||||||||||
Coca-Cola Co. | 146,954 | 6,382,212 | |||||||||
Dr Pepper Snapple Group, Inc. | 1,213 | 143,595 | |||||||||
Monster Beverage Corp.† | 44,096 | 2,522,732 | |||||||||
PepsiCo, Inc. | 9,793 | 1,068,906 | |||||||||
10,117,445 | |||||||||||
Beverages-Wine/Spirits — 0.1% | |||||||||||
Brown-Forman Corp., Class B | 2,463 | 133,987 | |||||||||
Constellation Brands, Inc., Class A | 2,409 | 549,059 | |||||||||
683,046 | |||||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
Fortune Brands Home & Security, Inc. | 2,135 | 125,730 | |||||||||
Building Products-Cement — 0.3% | |||||||||||
Martin Marietta Materials, Inc. | 380 | 78,774 | |||||||||
Vulcan Materials Co. | 12,939 | 1,477,246 | |||||||||
1,556,020 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Masco Corp. | 2,907 | 117,559 | |||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
D.R. Horton, Inc. | 4,808 | 210,783 | |||||||||
Lennar Corp., Class A | 2,264 | 133,440 | |||||||||
PulteGroup, Inc. | 3,704 | 109,231 | |||||||||
453,454 | |||||||||||
Cable/Satellite TV — 1.5% | |||||||||||
Charter Communications, Inc., Class A† | 2,615 | 813,840 | |||||||||
Comcast Corp., Class A | 206,208 | 7,046,128 | |||||||||
7,859,968 | |||||||||||
Casino Hotels — 0.3% | |||||||||||
Las Vegas Sands Corp. | 17,823 | 1,281,474 | |||||||||
MGM Resorts International | 3,152 | 110,383 | |||||||||
Wynn Resorts, Ltd. | 1,129 | 205,884 | |||||||||
1,597,741 | |||||||||||
Chemicals-Diversified — 0.4% | |||||||||||
DowDuPont, Inc. | 23,721 | 1,511,265 | |||||||||
FMC Corp. | 1,888 | 144,564 | |||||||||
PPG Industries, Inc. | 1,717 | 191,617 | |||||||||
1,847,446 | |||||||||||
Chemicals-Specialty — 0.2% | |||||||||||
Albemarle Corp. | 917 | 85,043 | |||||||||
International Flavors & Fragrances, Inc. | 677 | 92,688 | |||||||||
Valvoline, Inc. | 27,822 | 615,701 | |||||||||
793,432 | |||||||||||
Coatings/Paint — 0.8% | |||||||||||
Sherwin-Williams Co. | 10,697 | 4,194,508 |
158
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Commercial Services — 0.9% | |||||||||||
Cintas Corp. | 1,212 | $ | 206,743 | ||||||||
CoStar Group, Inc.† | 4,540 | 1,646,567 | |||||||||
Ecolab, Inc. | 15,038 | 2,061,259 | |||||||||
ServiceMaster Global Holdings, Inc.† | 15,893 | 808,159 | |||||||||
4,722,728 | |||||||||||
Commercial Services-Finance — 1.2% | |||||||||||
Automatic Data Processing, Inc. | 6,230 | 706,981 | |||||||||
Equifax, Inc. | 996 | 117,339 | |||||||||
Global Payments, Inc. | 17,489 | 1,950,373 | |||||||||
H&R Block, Inc. | 1,880 | 47,771 | |||||||||
Moody's Corp. | 2,337 | 376,958 | |||||||||
PayPal Holdings, Inc.† | 15,855 | 1,202,919 | |||||||||
S&P Global, Inc. | 3,568 | 681,702 | |||||||||
Total System Services, Inc. | 2,324 | 200,468 | |||||||||
Western Union Co. | 2,517 | 48,402 | |||||||||
Worldpay, Inc., Class A† | 8,730 | 717,955 | |||||||||
6,050,868 | |||||||||||
Computer Aided Design — 0.3% | |||||||||||
ANSYS, Inc.† | 1,179 | 184,737 | |||||||||
Autodesk, Inc.† | 9,936 | 1,247,763 | |||||||||
Cadence Design Systems, Inc.† | 3,975 | 146,161 | |||||||||
Synopsys, Inc.† | 2,090 | 173,972 | |||||||||
1,752,633 | |||||||||||
Computer Services — 0.6% | |||||||||||
Accenture PLC, Class A | 5,460 | 838,110 | |||||||||
Amdocs, Ltd. | 20,041 | 1,337,136 | |||||||||
Cognizant Technology Solutions Corp., Class A | 8,264 | 665,252 | |||||||||
DXC Technology Co. | 2,085 | 209,605 | |||||||||
3,050,103 | |||||||||||
Computer Software — 0.2% | |||||||||||
Akamai Technologies, Inc.† | 956 | 67,857 | |||||||||
Citrix Systems, Inc.† | 1,018 | 94,470 | |||||||||
SS&C Technologies Holdings, Inc. | 16,678 | 894,608 | |||||||||
1,056,935 | |||||||||||
Computers — 5.7% | |||||||||||
Apple, Inc. | 172,858 | 29,002,115 | |||||||||
Computers-Memory Devices — 0.0% | |||||||||||
NetApp, Inc. | 3,765 | 232,263 | |||||||||
Consulting Services — 0.5% | |||||||||||
Gartner, Inc.† | 11,815 | 1,389,680 | |||||||||
Verisk Analytics, Inc.† | 10,329 | 1,074,216 | |||||||||
2,463,896 | |||||||||||
Consumer Products-Misc. — 0.1% | |||||||||||
Clorox Co. | 1,037 | 138,035 | |||||||||
Kimberly-Clark Corp. | 2,169 | 238,872 | |||||||||
376,907 | |||||||||||
Containers-Metal/Glass — 0.3% | |||||||||||
Ball Corp. | 43,259 | 1,717,815 |
Security Description | Shares | Value (Note 2) | |||||||||
Containers-Paper/Plastic — 0.3% | |||||||||||
Packaging Corp. of America | 862 | $ | 97,147 | ||||||||
Sealed Air Corp. | 33,934 | 1,452,036 | |||||||||
1,549,183 | |||||||||||
Cosmetics & Toiletries — 1.5% | |||||||||||
Colgate-Palmolive Co. | 32,087 | 2,299,996 | |||||||||
Estee Lauder Cos., Inc., Class A | 27,990 | 4,190,663 | |||||||||
Procter & Gamble Co. | 13,109 | 1,039,282 | |||||||||
7,529,941 | |||||||||||
Cruise Lines — 0.2% | |||||||||||
Carnival Corp. | 2,567 | 168,344 | |||||||||
Norwegian Cruise Line Holdings, Ltd.† | 17,176 | 909,813 | |||||||||
Royal Caribbean Cruises, Ltd. | 1,586 | 186,735 | |||||||||
1,264,892 | |||||||||||
Data Processing/Management — 0.4% | |||||||||||
Fidelity National Information Services, Inc. | 2,886 | 277,921 | |||||||||
Fiserv, Inc.† | 22,706 | 1,619,165 | |||||||||
Paychex, Inc. | 2,920 | 179,843 | |||||||||
2,076,929 | |||||||||||
Dental Supplies & Equipment — 0.1% | |||||||||||
Align Technology, Inc.† | 1,014 | 254,646 | |||||||||
Diagnostic Equipment — 1.2% | |||||||||||
Abbott Laboratories | 24,462 | 1,465,763 | |||||||||
Danaher Corp. | 24,999 | 2,447,652 | |||||||||
Thermo Fisher Scientific, Inc. | 11,279 | 2,328,662 | |||||||||
6,242,077 | |||||||||||
Diagnostic Kits — 0.0% | |||||||||||
IDEXX Laboratories, Inc.† | 1,224 | 234,261 | |||||||||
Distribution/Wholesale — 0.2% | |||||||||||
Fastenal Co. | 14,445 | 788,552 | |||||||||
LKQ Corp.† | 2,523 | 95,748 | |||||||||
884,300 | |||||||||||
Diversified Banking Institutions — 0.4% | |||||||||||
Bank of America Corp. | 64,539 | 1,935,525 | |||||||||
Diversified Manufacturing Operations — 1.6% | |||||||||||
3M Co. | 8,369 | 1,837,163 | |||||||||
A.O. Smith Corp. | 21,444 | 1,363,624 | |||||||||
Dover Corp. | 1,215 | 119,337 | |||||||||
Illinois Tool Works, Inc. | 17,264 | 2,704,578 | |||||||||
Ingersoll-Rand PLC | 1,475 | 126,127 | |||||||||
Parker-Hannifin Corp. | 13,080 | 2,237,073 | |||||||||
8,387,902 | |||||||||||
Drug Delivery Systems — 0.6% | |||||||||||
DexCom, Inc.† | 22,051 | 1,635,302 | |||||||||
Nektar Therapeutics† | 12,796 | 1,359,703 | |||||||||
2,995,005 | |||||||||||
E-Commerce/Products — 4.9% | |||||||||||
Amazon.com, Inc.† | 16,533 | 23,928,872 | |||||||||
eBay, Inc.† | 13,228 | 532,295 | |||||||||
Wayfair, Inc., Class A† | 7,695 | 519,643 | |||||||||
24,980,810 |
159
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
E-Commerce/Services — 1.2% | |||||||||||
Booking Holdings, Inc.† | 2,940 | $ | 6,116,346 | ||||||||
Expedia, Inc. | 1,014 | 111,956 | |||||||||
TripAdvisor, Inc.† | 564 | 23,062 | |||||||||
6,251,364 | |||||||||||
Electric Products-Misc. — 0.4% | |||||||||||
AMETEK, Inc. | 20,790 | 1,579,416 | |||||||||
Emerson Electric Co. | 3,658 | 249,842 | |||||||||
1,829,258 | |||||||||||
Electric-Integrated — 0.2% | |||||||||||
Dominion Energy, Inc. | 3,479 | 234,589 | |||||||||
FirstEnergy Corp. | 2,576 | 87,610 | |||||||||
NextEra Energy, Inc. | 3,372 | 550,749 | |||||||||
WEC Energy Group, Inc. | 1,863 | 116,810 | |||||||||
989,758 | |||||||||||
Electronic Components-Misc. — 0.9% | |||||||||||
Corning, Inc. | 12,214 | 340,526 | |||||||||
Flex, Ltd.† | 85,249 | 1,392,116 | |||||||||
Garmin, Ltd. | 777 | 45,789 | |||||||||
Sensata Technologies Holding PLC† | 49,929 | 2,587,820 | |||||||||
4,366,251 | |||||||||||
Electronic Components-Semiconductors — 3.6% | |||||||||||
Advanced Micro Devices, Inc.† | 3,936 | 39,557 | |||||||||
Broadcom, Ltd. | 16,921 | 3,987,434 | |||||||||
Intel Corp. | 37,490 | 1,952,479 | |||||||||
IPG Photonics Corp.† | 532 | 124,158 | |||||||||
Microchip Technology, Inc. | 27,675 | 2,528,388 | |||||||||
Micron Technology, Inc.† | 16,251 | 847,327 | |||||||||
NVIDIA Corp. | 16,790 | 3,888,396 | |||||||||
Qorvo, Inc.† | 1,778 | 125,260 | |||||||||
Skyworks Solutions, Inc. | 2,565 | 257,167 | |||||||||
Texas Instruments, Inc. | 41,811 | 4,343,745 | |||||||||
Xilinx, Inc. | 2,185 | 157,844 | |||||||||
18,251,755 | |||||||||||
Electronic Connectors — 0.6% | |||||||||||
Amphenol Corp., Class A | 33,520 | 2,887,077 | |||||||||
TE Connectivity, Ltd. | 3,554 | 355,045 | |||||||||
3,242,122 | |||||||||||
Electronic Forms — 1.5% | |||||||||||
Adobe Systems, Inc.† | 34,604 | 7,477,232 | |||||||||
Electronic Measurement Instruments — 0.5% | |||||||||||
Agilent Technologies, Inc. | 13,299 | 889,703 | |||||||||
FLIR Systems, Inc. | 1,328 | 66,413 | |||||||||
Fortive Corp. | 19,723 | 1,528,927 | |||||||||
2,485,043 | |||||||||||
Electronic Security Devices — 0.0% | |||||||||||
Allegion PLC | 870 | 74,202 | |||||||||
Enterprise Software/Service — 0.9% | |||||||||||
Oracle Corp. | 21,660 | 990,945 | |||||||||
Tyler Technologies, Inc.† | 8,659 | 1,826,702 | |||||||||
Ultimate Software Group, Inc.† | 6,824 | 1,663,009 | |||||||||
4,480,656 |
Security Description | Shares | Value (Note 2) | |||||||||
Entertainment Software — 1.2% | |||||||||||
Activision Blizzard, Inc. | 50,809 | $ | 3,427,575 | ||||||||
Electronic Arts, Inc.† | 20,448 | 2,479,116 | |||||||||
Take-Two Interactive Software, Inc.† | 1,045 | 102,180 | |||||||||
6,008,871 | |||||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Synchrony Financial | 21,156 | 709,361 | |||||||||
Finance-Credit Card — 3.6% | |||||||||||
Alliance Data Systems Corp. | 414 | 88,124 | |||||||||
American Express Co. | 6,075 | 566,676 | |||||||||
Mastercard, Inc., Class A | 61,865 | 10,836,273 | |||||||||
Visa, Inc., Class A | 58,101 | 6,950,042 | |||||||||
18,441,115 | |||||||||||
Finance-Investment Banker/Broker — 0.5% | |||||||||||
Charles Schwab Corp. | 16,842 | 879,489 | |||||||||
E*TRADE Financial Corp.† | 3,743 | 207,400 | |||||||||
Raymond James Financial, Inc. | 874 | 78,144 | |||||||||
TD Ameritrade Holding Corp. | 26,399 | 1,563,613 | |||||||||
2,728,646 | |||||||||||
Finance-Other Services — 0.8% | |||||||||||
CBOE Holdings, Inc. | 1,584 | 180,734 | |||||||||
CME Group, Inc. | 3,205 | 518,377 | |||||||||
Intercontinental Exchange, Inc. | 44,423 | 3,221,556 | |||||||||
Nasdaq, Inc. | 787 | 67,855 | |||||||||
3,988,522 | |||||||||||
Food-Catering — 0.2% | |||||||||||
Aramark | 24,562 | 971,673 | |||||||||
Food-Confectionery — 0.2% | |||||||||||
Hershey Co. | 12,235 | 1,210,776 | |||||||||
Food-Misc./Diversified — 0.3% | |||||||||||
General Mills, Inc. | 2,799 | 126,123 | |||||||||
Kellogg Co. | 1,259 | 81,848 | |||||||||
Kraft Heinz Co. | 21,727 | 1,353,375 | |||||||||
McCormick & Co., Inc. | 834 | 88,729 | |||||||||
1,650,075 | |||||||||||
Hotels/Motels — 0.2% | |||||||||||
Hilton Worldwide Holdings, Inc. | 1,137 | 89,550 | |||||||||
Marriott International, Inc., Class A | 4,220 | 573,836 | |||||||||
Wyndham Worldwide Corp. | 1,402 | 160,431 | |||||||||
823,817 | |||||||||||
Human Resources — 0.0% | |||||||||||
Robert Half International, Inc. | 1,030 | 59,627 | |||||||||
Independent Power Producers — 0.1% | |||||||||||
NRG Energy, Inc. | 23,696 | 723,439 | |||||||||
Industrial Automated/Robotic — 0.0% | |||||||||||
Rockwell Automation, Inc. | 1,239 | 215,834 | |||||||||
Industrial Gases — 0.5% | |||||||||||
Air Products & Chemicals, Inc. | 15,468 | 2,459,876 | |||||||||
Praxair, Inc. | 2,098 | 302,741 | |||||||||
2,762,617 |
160
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Instruments-Controls — 0.8% | |||||||||||
Honeywell International, Inc. | 26,838 | $ | 3,878,359 | ||||||||
Mettler-Toledo International, Inc.† | 358 | 205,861 | |||||||||
4,084,220 | |||||||||||
Instruments-Scientific — 0.1% | |||||||||||
PerkinElmer, Inc. | 963 | 72,918 | |||||||||
Waters Corp.† | 1,107 | 219,906 | |||||||||
292,824 | |||||||||||
Insurance Brokers — 0.2% | |||||||||||
Aon PLC | 2,041 | 286,414 | |||||||||
Arthur J. Gallagher & Co. | 1,300 | 89,349 | |||||||||
Marsh & McLennan Cos., Inc. | 4,066 | 335,811 | |||||||||
Willis Towers Watson PLC | 780 | 118,708 | |||||||||
830,282 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Principal Financial Group, Inc. | 1,741 | 106,044 | |||||||||
Torchmark Corp. | 626 | 52,691 | |||||||||
158,735 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Allstate Corp. | 2,341 | 221,927 | |||||||||
Insurance-Property/Casualty — 0.4% | |||||||||||
Progressive Corp. | 34,593 | 2,107,752 | |||||||||
Internet Content-Entertainment — 3.7% | |||||||||||
Facebook, Inc., Class A† | 93,471 | 14,935,731 | |||||||||
Netflix, Inc.† | 14,343 | 4,236,205 | |||||||||
19,171,936 | |||||||||||
Internet Infrastructure Software — 0.0% | |||||||||||
F5 Networks, Inc.† | 504 | 72,883 | |||||||||
Internet Security — 0.0% | |||||||||||
Symantec Corp. | 3,921 | 101,358 | |||||||||
Investment Management/Advisor Services — 0.2% | |||||||||||
Affiliated Managers Group, Inc. | 345 | 65,405 | |||||||||
Ameriprise Financial, Inc. | 1,419 | 209,927 | |||||||||
BlackRock, Inc. | 1,026 | 555,805 | |||||||||
T. Rowe Price Group, Inc. | 3,438 | 371,201 | |||||||||
1,202,338 | |||||||||||
Machinery-Construction & Mining — 0.1% | |||||||||||
Caterpillar, Inc. | 4,367 | 643,608 | |||||||||
Machinery-Farming — 0.1% | |||||||||||
Deere & Co. | 2,503 | 388,766 | |||||||||
Machinery-General Industrial — 0.8% | |||||||||||
Middleby Corp.† | 13,623 | 1,686,391 | |||||||||
Roper Technologies, Inc. | 9,352 | 2,625,013 | |||||||||
4,311,404 | |||||||||||
Machinery-Pumps — 0.4% | |||||||||||
Xylem, Inc. | 24,665 | 1,897,232 | |||||||||
Medical Information Systems — 0.3% | |||||||||||
athenahealth, Inc.† | 7,924 | 1,133,370 | |||||||||
Cerner Corp.† | 4,441 | 257,578 | |||||||||
1,390,948 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical Instruments — 1.8% | |||||||||||
Boston Scientific Corp.† | 144,714 | $ | 3,953,587 | ||||||||
Edwards Lifesciences Corp.† | 15,845 | 2,210,694 | |||||||||
Intuitive Surgical, Inc.† | 6,065 | 2,503,814 | |||||||||
Medtronic PLC | 8,190 | 657,002 | |||||||||
9,325,097 | |||||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
IQVIA Holdings, Inc.† | 1,188 | 116,555 | |||||||||
Laboratory Corp. of America Holdings† | 831 | 134,414 | |||||||||
250,969 | |||||||||||
Medical Products — 0.5% | |||||||||||
Baxter International, Inc. | 3,911 | 254,372 | |||||||||
Becton Dickinson and Co. | 3,742 | 810,891 | |||||||||
Cooper Cos., Inc. | 689 | 157,650 | |||||||||
Hologic, Inc.† | 3,886 | 145,181 | |||||||||
Stryker Corp. | 4,528 | 728,646 | |||||||||
Varian Medical Systems, Inc.† | 680 | 83,402 | |||||||||
Zimmer Biomet Holdings, Inc. | 1,599 | 174,355 | |||||||||
2,354,497 | |||||||||||
Medical-Biomedical/Gene — 4.1% | |||||||||||
Alexion Pharmaceuticals, Inc.† | 1,620 | 180,565 | |||||||||
Amgen, Inc. | 5,543 | 944,971 | |||||||||
AnaptysBio, Inc.† | 7,040 | 732,723 | |||||||||
Biogen, Inc.† | 8,188 | 2,242,038 | |||||||||
Celgene Corp.† | 26,561 | 2,369,507 | |||||||||
Gilead Sciences, Inc. | 11,967 | 902,192 | |||||||||
Illumina, Inc.† | 10,268 | 2,427,561 | |||||||||
Incyte Corp.† | 21,654 | 1,804,428 | |||||||||
Insmed, Inc.† | 13,687 | 308,231 | |||||||||
Puma Biotechnology, Inc.† | 14,116 | 960,594 | |||||||||
Regeneron Pharmaceuticals, Inc.† | 9,006 | 3,101,306 | |||||||||
Shire PLC ADR | 13,862 | 2,070,844 | |||||||||
Vertex Pharmaceuticals, Inc.† | 17,177 | 2,799,507 | |||||||||
20,844,467 | |||||||||||
Medical-Drugs — 3.4% | |||||||||||
AbbVie, Inc. | 22,403 | 2,120,444 | |||||||||
Alkermes PLC† | 15,463 | 896,236 | |||||||||
Bristol-Myers Squibb Co. | 14,455 | 914,279 | |||||||||
Eli Lilly & Co. | 70,575 | 5,460,388 | |||||||||
Global Blood Therapeutics, Inc.† | 9,278 | 448,127 | |||||||||
Johnson & Johnson | 20,361 | 2,609,262 | |||||||||
Merck & Co., Inc. | 14,020 | 763,669 | |||||||||
Pfizer, Inc. | 38,484 | 1,365,797 | |||||||||
Zoetis, Inc. | 33,181 | 2,770,945 | |||||||||
17,349,147 | |||||||||||
Medical-Generic Drugs — 0.2% | |||||||||||
Mylan NV† | 24,050 | 990,139 | |||||||||
Perrigo Co. PLC | 663 | 55,254 | |||||||||
1,045,393 | |||||||||||
Medical-HMO — 1.7% | |||||||||||
Aetna, Inc. | 2,297 | 388,193 | |||||||||
Anthem, Inc. | 1,905 | 418,528 | |||||||||
Centene Corp.† | 2,438 | 260,549 |
161
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-HMO (continued) | |||||||||||
Cigna Corp. | 3,413 | $ | 572,497 | ||||||||
Humana, Inc. | 11,814 | 3,175,958 | |||||||||
UnitedHealth Group, Inc. | 17,490 | 3,742,860 | |||||||||
8,558,585 | |||||||||||
Medical-Hospitals — 0.3% | |||||||||||
HCA Healthcare, Inc. | 2,124 | 206,028 | |||||||||
Universal Health Services, Inc., Class B | 10,985 | 1,300,734 | |||||||||
1,506,762 | |||||||||||
Multimedia — 0.8% | |||||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 22,864 | 705,355 | |||||||||
Walt Disney Co. | 31,230 | 3,136,741 | |||||||||
3,842,096 | |||||||||||
Networking Products — 0.7% | |||||||||||
Cisco Systems, Inc. | 84,737 | 3,634,370 | |||||||||
Non-Hazardous Waste Disposal — 0.1% | |||||||||||
Republic Services, Inc. | 1,456 | 96,431 | |||||||||
Waste Management, Inc. | 5,607 | 471,661 | |||||||||
568,092 | |||||||||||
Office Supplies & Forms — 0.0% | |||||||||||
Avery Dennison Corp. | 1,236 | 131,325 | |||||||||
Oil Companies-Exploration & Production — 0.9% | |||||||||||
Anadarko Petroleum Corp. | 11,583 | 699,729 | |||||||||
Cabot Oil & Gas Corp. | 2,979 | 71,436 | |||||||||
Cimarex Energy Co. | 429 | 40,111 | |||||||||
Diamondback Energy, Inc.† | 12,991 | 1,643,621 | |||||||||
EOG Resources, Inc. | 17,832 | 1,877,175 | |||||||||
Hess Corp. | 1,167 | 59,074 | |||||||||
4,391,146 | |||||||||||
Real Estate Investment Trusts — 2.5% | |||||||||||
Alexandria Real Estate Equities, Inc. | 768 | 95,915 | |||||||||
American Tower Corp. | 38,505 | 5,596,317 | |||||||||
Apartment Investment & Management Co., Class A | 973 | 39,650 | |||||||||
AvalonBay Communities, Inc. | 854 | 140,449 | |||||||||
Boston Properties, Inc. | 954 | 117,552 | |||||||||
Crown Castle International Corp. | 3,963 | 434,384 | |||||||||
Digital Realty Trust, Inc. | 1,732 | 182,518 | |||||||||
Equinix, Inc. | 8,455 | 3,535,374 | |||||||||
Essex Property Trust, Inc. | 483 | 116,248 | |||||||||
Extra Space Storage, Inc. | 1,771 | 154,715 | |||||||||
Federal Realty Investment Trust | 483 | 56,081 | |||||||||
GGP, Inc. | 3,462 | 70,832 | |||||||||
Invitation Homes, Inc. | 22,104 | 504,634 | |||||||||
Iron Mountain, Inc. | 1,780 | 58,491 | |||||||||
Prologis, Inc. | 7,492 | 471,921 | |||||||||
Public Storage | 1,179 | 236,260 | |||||||||
SBA Communications Corp.† | 1,637 | 279,796 | |||||||||
Simon Property Group, Inc. | 2,143 | 330,772 | |||||||||
UDR, Inc. | 2,487 | 88,587 | |||||||||
Vornado Realty Trust | 1,579 | 106,267 | |||||||||
12,616,763 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Management/Services — 0.0% | |||||||||||
CBRE Group, Inc., Class A† | 4,247 | $ | 200,543 | ||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
United Rentals, Inc.† | 1,188 | 205,203 | |||||||||
Respiratory Products — 0.0% | |||||||||||
ResMed, Inc. | 2,009 | 197,826 | |||||||||
Retail-Apparel/Shoe — 0.7% | |||||||||||
PVH Corp. | 10,000 | 1,514,300 | |||||||||
Ross Stores, Inc. | 23,488 | 1,831,594 | |||||||||
Tapestry, Inc. | 1,561 | 82,124 | |||||||||
3,428,018 | |||||||||||
Retail-Auto Parts — 0.1% | |||||||||||
AutoZone, Inc.† | 165 | 107,034 | |||||||||
O'Reilly Automotive, Inc.† | 635 | 157,086 | |||||||||
264,120 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
CarMax, Inc.† | 1,271 | 78,726 | |||||||||
Retail-Building Products — 1.2% | |||||||||||
Home Depot, Inc. | 31,879 | 5,682,113 | |||||||||
Lowe's Cos., Inc. | 7,932 | 696,033 | |||||||||
6,378,146 | |||||||||||
Retail-Discount — 0.3% | |||||||||||
Costco Wholesale Corp. | 4,279 | 806,292 | |||||||||
Dollar General Corp. | 1,740 | 162,777 | |||||||||
Dollar Tree, Inc.† | 3,332 | 316,207 | |||||||||
1,285,276 | |||||||||||
Retail-Gardening Products — 0.2% | |||||||||||
Tractor Supply Co. | 14,890 | 938,368 | |||||||||
Retail-Jewelry — 0.0% | |||||||||||
Tiffany & Co. | 602 | 58,791 | |||||||||
Retail-Major Department Stores — 0.1% | |||||||||||
TJX Cos., Inc. | 3,999 | 326,158 | |||||||||
Retail-Perfume & Cosmetics — 0.0% | |||||||||||
ULTA Beauty, Inc.† | 562 | 114,800 | |||||||||
Retail-Restaurants — 2.5% | |||||||||||
Chipotle Mexican Grill, Inc.† | 135 | 43,620 | |||||||||
Darden Restaurants, Inc. | 1,042 | 88,830 | |||||||||
Dunkin' Brands Group, Inc. | 37,193 | 2,220,050 | |||||||||
McDonald's Corp. | 47,312 | 7,398,651 | |||||||||
Starbucks Corp. | 49,584 | 2,870,418 | |||||||||
Yum! Brands, Inc. | 2,103 | 179,028 | |||||||||
12,800,597 | |||||||||||
Semiconductor Components-Integrated Circuits — 0.9% | |||||||||||
Analog Devices, Inc. | 43,370 | 3,952,308 | |||||||||
QUALCOMM, Inc. | 7,282 | 403,496 | |||||||||
4,355,804 | |||||||||||
Semiconductor Equipment — 0.9% | |||||||||||
Applied Materials, Inc. | 43,810 | 2,436,274 | |||||||||
KLA-Tencor Corp. | 2,201 | 239,931 | |||||||||
Lam Research Corp. | 8,259 | 1,677,899 | |||||||||
4,354,104 |
162
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Shipbuilding — 0.0% | |||||||||||
Huntington Ingalls Industries, Inc. | 434 | $ | 111,868 | ||||||||
Soap & Cleaning Preparation — 0.0% | |||||||||||
Church & Dwight Co., Inc. | 1,817 | 91,504 | |||||||||
Television — 0.0% | |||||||||||
CBS Corp., Class B | 2,183 | 112,184 | |||||||||
Textile-Home Furnishings — 0.0% | |||||||||||
Mohawk Industries, Inc.† | 578 | 134,223 | |||||||||
Therapeutics — 0.2% | |||||||||||
Neurocrine Biosciences, Inc.† | 14,064 | 1,166,328 | |||||||||
Tobacco — 1.3% | |||||||||||
Altria Group, Inc. | 57,985 | 3,613,625 | |||||||||
Philip Morris International, Inc. | 30,253 | 3,007,148 | |||||||||
6,620,773 | |||||||||||
Tools-Hand Held — 0.0% | |||||||||||
Stanley Black & Decker, Inc. | 1,422 | 217,850 | |||||||||
Toys — 0.0% | |||||||||||
Hasbro, Inc. | 858 | 72,329 | |||||||||
Mattel, Inc. | 1,305 | 17,161 | |||||||||
89,490 | |||||||||||
Transport-Rail — 1.2% | |||||||||||
CSX Corp. | 89,824 | 5,004,095 | |||||||||
Kansas City Southern | 681 | 74,808 | |||||||||
Norfolk Southern Corp. | 1,797 | 243,996 | |||||||||
Union Pacific Corp. | 5,753 | 773,376 | |||||||||
6,096,275 | |||||||||||
Transport-Services — 0.6% | |||||||||||
Expeditors International of Washington, Inc. | 1,365 | 86,405 | |||||||||
FedEx Corp. | 9,769 | 2,345,635 | |||||||||
United Parcel Service, Inc., Class B | 4,740 | 496,088 | |||||||||
2,928,128 | |||||||||||
Transport-Truck — 0.0% | |||||||||||
JB Hunt Transport Services, Inc. | 686 | 80,365 | |||||||||
Water — 0.0% | |||||||||||
American Water Works Co., Inc. | 1,380 | 113,339 | |||||||||
Web Hosting/Design — 0.0% | |||||||||||
VeriSign, Inc.† | 1,174 | 139,189 | |||||||||
Web Portals/ISP — 5.4% | |||||||||||
Alphabet, Inc., Class A† | 8,598 | 8,917,330 | |||||||||
Alphabet, Inc., Class C† | 17,976 | 18,547,457 | |||||||||
27,464,787 | |||||||||||
Wireless Equipment — 0.0% | |||||||||||
Motorola Solutions, Inc. | 2,277 | 239,768 | |||||||||
Total Common Stocks (cost $376,956,936) | 504,853,229 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
EXCHANGE-TRADED FUNDS — 0.7% | |||||||||||
iShares S&P 500 Growth Index Fund (cost $3,627,495) | 23,175 | $ | 3,593,747 | ||||||||
Total Long-Term Investment Securities (cost $380,584,431) | 508,446,976 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.5% | |||||||||||
Registered Investment Companies — 0.3% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Administration Class 1.33%(1) | 1,412,202 | 1,412,202 | |||||||||
U.S. Government Agencies — 0.2% | |||||||||||
Federal Home Loan Bank Disc. Note 1.35% due 04/02/2018 | $ | 1,000,000 | 1,000,000 | ||||||||
U.S. Government Treasuries — 0.0% | |||||||||||
United States Treasury Bills Disc. Notes 1.43% due 05/24/2018(2) | 15,000 | 14,964 | |||||||||
1.54% due 04/26/2018(2) | 80,000 | 79,915 | |||||||||
94,879 | |||||||||||
Total Short-Term Investment Securities (cost $2,507,054) | 2,507,081 | ||||||||||
REPURCHASE AGREEMENTS — 0.2% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.28% dated 03/29/2018, to be repurchased 04/02/2018 in the amount of $1,103,034 and collateralized by $1,145,000 of United States Treasury Notes, bearing interest at 2.38% due 08/15/2024 and having an approximate value of $1,126,827. (cost $1,103,000) | 1,103,000 | 1,103,000 | |||||||||
TOTAL INVESTMENTS (cost $384,194,485)(3) | 100.0 | % | 512,057,057 | ||||||||
Liabilities in excess of other assets | (0.0 | ) | (142,112 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 511,914,945 |
@ See Note 1
† Non-income producing security
(1) The rate shown is the 7-day yield as of March 31, 2018.
(2) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(3) See Note 4 for cost of investments on a tax basis.
ADR — American Depositary Receipts
163
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
4 | Long | S&P 500 Citigroup Growth Index | June 2018 | $ | 1,643,520 | $ | 1,557,900 | $ | (85,620 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Common Stocks | $ | 504,853,229 | $ | — | $ | — | $ | 504,853,229 | |||||||||||
Exchange-Traded Funds | 3,593,747 | — | — | 3,593,747 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 1,412,202 | — | — | 1,412,202 | |||||||||||||||
Other Short-Term Investment Securities | — | 1,094,879 | — | 1,094,879 | |||||||||||||||
Repurchase Agreements | — | 1,103,000 | — | 1,103,000 | |||||||||||||||
Total Investments at Value | $ | 509,859,178 | $ | 2,197,879 | $ | — | $ | 512,057,057 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 85,620 | $ | — | $ | — | $ | 85,620 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.
See Notes to Financial Statements
164
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Diversified Banking Institutions | 7.4 | % | |||||
Medical-Drugs | 7.2 | ||||||
Banks-Super Regional | 5.3 | ||||||
Oil Companies-Integrated | 5.1 | ||||||
Electric-Integrated | 3.2 | ||||||
Oil Companies-Exploration & Production | 3.2 | ||||||
Telephone-Integrated | 2.8 | ||||||
Oil-Field Services | 2.6 | ||||||
Diversified Manufacturing Operations | 2.6 | ||||||
Banks-Commercial | 2.5 | ||||||
Food-Misc./Diversified | 2.4 | ||||||
Cosmetics & Toiletries | 2.3 | ||||||
Networking Products | 2.2 | ||||||
Real Estate Investment Trusts | 2.0 | ||||||
Insurance-Multi-line | 2.0 | ||||||
Chemicals-Diversified | 1.9 | ||||||
Electronic Components-Semiconductors | 1.9 | ||||||
Medical Instruments | 1.6 | ||||||
Retail-Discount | 1.6 | ||||||
Investment Management/Advisor Services | 1.4 | ||||||
Multimedia | 1.4 | ||||||
Tobacco | 1.4 | ||||||
Medical Products | 1.3 | ||||||
Insurance-Reinsurance | 1.2 | ||||||
Semiconductor Components-Integrated Circuits | 1.2 | ||||||
Computer Services | 1.2 | ||||||
Insurance-Life/Health | 1.2 | ||||||
Transport-Rail | 1.1 | ||||||
Aerospace/Defense-Equipment | 1.0 | ||||||
Banks-Fiduciary | 1.0 | ||||||
Exchange-Traded Funds | 1.0 | ||||||
Computers-Memory Devices | 0.9 | ||||||
Enterprise Software/Service | 0.8 | ||||||
Beverages-Non-alcoholic | 0.8 | ||||||
Medical-Biomedical/Gene | 0.8 | ||||||
Building Products-Air & Heating | 0.7 | ||||||
Electric-Distribution | 0.7 | ||||||
Repurchase Agreements | 0.7 | ||||||
Machinery-Construction & Mining | 0.7 | ||||||
Pipelines | 0.7 | ||||||
Auto-Cars/Light Trucks | 0.6 | ||||||
Hotels/Motels | 0.6 | ||||||
Retail-Apparel/Shoe | 0.6 | ||||||
Cruise Lines | 0.5 | ||||||
Retail-Catalog Shopping | 0.5 | ||||||
Insurance Brokers | 0.5 | ||||||
Paper & Related Products | 0.5 | ||||||
Finance-Consumer Loans | 0.5 | ||||||
Transport-Services | 0.5 | ||||||
Finance-Other Services | 0.5 | ||||||
Retail-Drug Store | 0.5 | ||||||
Brewery | 0.5 | ||||||
Medical-Wholesale Drug Distribution | 0.5 | ||||||
Retail-Auto Parts | 0.5 | ||||||
Agricultural Chemicals | 0.5 | ||||||
Building & Construction Products-Misc. | 0.4 | ||||||
Food-Wholesale/Distribution | 0.4 | ||||||
Wireless Equipment | 0.4 | ||||||
Finance-Investment Banker/Broker | 0.4 | ||||||
Medical-HMO | 0.4 |
Airlines | 0.4 | % | |||||
Oil Refining & Marketing | 0.4 | ||||||
Building-Residential/Commercial | 0.4 | ||||||
Home Decoration Products | 0.4 | ||||||
Medical-Hospitals | 0.4 | ||||||
Transport-Truck | 0.4 | ||||||
Electronic Connectors | 0.3 | ||||||
Aerospace/Defense | 0.3 | ||||||
Time Deposits | 0.3 | ||||||
Commercial Services | 0.3 | ||||||
Pharmacy Services | 0.3 | ||||||
Computers | 0.3 | ||||||
Containers-Paper/Plastic | 0.3 | ||||||
Cable/Satellite TV | 0.3 | ||||||
Diagnostic Equipment | 0.3 | ||||||
Semiconductor Equipment | 0.2 | ||||||
Finance-Credit Card | 0.2 | ||||||
Retail-Restaurants | 0.2 | ||||||
Insurance-Property/Casualty | 0.2 | ||||||
Instruments-Controls | 0.1 | ||||||
Industrial Gases | 0.1 | ||||||
Retail-Major Department Stores | 0.1 | ||||||
Food-Meat Products | 0.1 | ||||||
Commercial Services-Finance | 0.1 | ||||||
Consumer Products-Misc. | 0.1 | ||||||
Athletic Footwear | 0.1 | ||||||
Medical-Generic Drugs | 0.1 | ||||||
Auto/Truck Parts & Equipment-Original | 0.1 | ||||||
Toys | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Distribution/Wholesale | 0.1 | ||||||
Advertising Agencies | 0.1 | ||||||
Electric Products-Misc. | 0.1 | ||||||
Engines-Internal Combustion | 0.1 | ||||||
Apparel Manufacturers | 0.1 | ||||||
Agricultural Operations | 0.1 | ||||||
Metal-Copper | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
Auto-Heavy Duty Trucks | 0.1 | ||||||
Machinery-Farming | 0.1 | ||||||
Food-Retail | 0.1 | ||||||
Gold Mining | 0.1 | ||||||
Food-Confectionery | 0.1 | ||||||
Retail-Regional Department Stores | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Data Processing/Management | 0.1 | ||||||
Retail-Consumer Electronics | 0.1 | ||||||
Tools-Hand Held | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Building Products-Cement | 0.1 | ||||||
99.8 | % |
* Calculated as a percentage of net assets
@ See Note 1
165
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 97.8% | |||||||||||
Advertising Agencies — 0.1% | |||||||||||
Interpublic Group of Cos., Inc. | 10,308 | $ | 237,393 | ||||||||
Omnicom Group, Inc. | 6,174 | 448,665 | |||||||||
686,058 | |||||||||||
Aerospace/Defense — 0.3% | |||||||||||
General Dynamics Corp. | 3,702 | 817,772 | |||||||||
Lockheed Martin Corp. | 2,531 | 855,301 | |||||||||
Northrop Grumman Corp. | 1,494 | 521,585 | |||||||||
Raytheon Co. | 3,017 | 651,129 | |||||||||
2,845,787 | |||||||||||
Aerospace/Defense-Equipment — 1.0% | |||||||||||
Arconic, Inc. | 11,391 | 262,449 | |||||||||
Harris Corp. | 1,178 | 189,988 | |||||||||
L3 Technologies, Inc. | 2,097 | 436,176 | |||||||||
United Technologies Corp. | 61,552 | 7,744,472 | |||||||||
8,633,085 | |||||||||||
Agricultural Chemicals — 0.5% | |||||||||||
CF Industries Holdings, Inc. | 3,565 | 134,507 | |||||||||
Monsanto Co. | 5,673 | 661,982 | |||||||||
Mosaic Co. | 9,399 | 228,208 | |||||||||
Nutrien, Ltd. | 60,980 | 2,881,915 | |||||||||
3,906,612 | |||||||||||
Agricultural Operations — 0.1% | |||||||||||
Archer-Daniels-Midland Co. | 14,994 | 650,290 | |||||||||
Airlines — 0.4% | |||||||||||
Alaska Air Group, Inc. | 3,298 | 204,344 | |||||||||
American Airlines Group, Inc. | 5,194 | 269,880 | |||||||||
Delta Air Lines, Inc. | 17,437 | 955,722 | |||||||||
Southwest Airlines Co. | 28,866 | 1,653,445 | |||||||||
United Continental Holdings, Inc.† | 6,488 | 450,721 | |||||||||
3,534,112 | |||||||||||
Apparel Manufacturers — 0.1% | |||||||||||
Hanesbrands, Inc. | 5,602 | 103,189 | |||||||||
Ralph Lauren Corp. | 1,486 | 166,135 | |||||||||
Under Armour, Inc., Class A† | 4,968 | 81,227 | |||||||||
Under Armour, Inc., Class C† | 4,943 | 70,932 | |||||||||
VF Corp. | 3,355 | 248,672 | |||||||||
670,155 | |||||||||||
Appliances — 0.0% | |||||||||||
Whirlpool Corp. | 1,895 | 290,143 | |||||||||
Athletic Footwear — 0.1% | |||||||||||
NIKE, Inc., Class B | 11,483 | 762,930 | |||||||||
Auto-Cars/Light Trucks — 0.6% | |||||||||||
Ford Motor Co. | 104,633 | 1,159,334 | |||||||||
General Motors Co. | 33,856 | 1,230,327 | |||||||||
Honda Motor Co., Ltd ADR | 84,630 | 2,939,200 | |||||||||
5,328,861 | |||||||||||
Auto-Heavy Duty Trucks — 0.1% | |||||||||||
PACCAR, Inc. | 9,437 | 624,446 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.1% | |||||||||||
Aptiv PLC | 7,650 | 650,020 | |||||||||
BorgWarner, Inc. | 1,751 | 87,953 | |||||||||
737,973 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial — 2.5% | |||||||||||
BB&T Corp. | 154,602 | $ | 8,045,488 | ||||||||
Citizens Financial Group, Inc. | 13,066 | 548,510 | |||||||||
ING Groep NV ADR | 213,517 | 3,614,843 | |||||||||
M&T Bank Corp. | 48,116 | 8,870,666 | |||||||||
Regions Financial Corp. | 30,098 | 559,221 | |||||||||
Zions Bancorporation | 5,269 | 277,834 | |||||||||
21,916,562 | |||||||||||
Banks-Fiduciary — 1.0% | |||||||||||
Bank of New York Mellon Corp. | 138,483 | 7,136,029 | |||||||||
Northern Trust Corp. | 2,624 | 270,613 | |||||||||
State Street Corp. | 9,857 | 983,039 | |||||||||
8,389,681 | |||||||||||
Banks-Super Regional — 5.3% | |||||||||||
Capital One Financial Corp. | 13,038 | 1,249,301 | |||||||||
Comerica, Inc. | 2,270 | 217,761 | |||||||||
Fifth Third Bancorp | 18,602 | 590,614 | |||||||||
Huntington Bancshares, Inc. | 29,556 | 446,296 | |||||||||
KeyCorp | 28,439 | 555,982 | |||||||||
PNC Financial Services Group, Inc. | 80,954 | 12,243,483 | |||||||||
SunTrust Banks, Inc. | 12,556 | 854,310 | |||||||||
US Bancorp | 194,136 | 9,803,868 | |||||||||
Wells Fargo & Co. | 385,496 | 20,203,845 | |||||||||
46,165,460 | |||||||||||
Beverages-Non-alcoholic — 0.8% | |||||||||||
Coca-Cola Co. | 56,616 | 2,458,833 | |||||||||
Dr Pepper Snapple Group, Inc. | 2,506 | 296,660 | |||||||||
PepsiCo, Inc. | 39,476 | 4,308,805 | |||||||||
7,064,298 | |||||||||||
Beverages-Wine/Spirits — 0.0% | |||||||||||
Brown-Forman Corp., Class B | 2,314 | 125,882 | |||||||||
Brewery — 0.5% | |||||||||||
Molson Coors Brewing Co., Class B | 53,896 | 4,059,986 | |||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Discovery Communications, Inc., Class A† | 4,172 | 89,406 | |||||||||
Discovery Communications, Inc., Class C† | 8,188 | 159,830 | |||||||||
249,236 | |||||||||||
Building & Construction Products-Misc. — 0.4% | |||||||||||
Fortune Brands Home & Security, Inc. | 64,888 | 3,821,254 | |||||||||
Building Products-Air & Heating — 0.7% | |||||||||||
Johnson Controls International PLC | 177,631 | 6,259,716 | |||||||||
Building Products-Cement — 0.1% | |||||||||||
Martin Marietta Materials, Inc. | 960 | 199,008 | |||||||||
Vulcan Materials Co. | 1,741 | 198,770 | |||||||||
397,778 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Masco Corp. | 2,857 | 115,537 | |||||||||
Building-Residential/Commercial — 0.4% | |||||||||||
Lennar Corp., Class A | 3,002 | 176,938 | |||||||||
PulteGroup, Inc. | 111,104 | 3,276,457 | |||||||||
3,453,395 |
166
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Cable/Satellite TV — 0.3% | |||||||||||
Comcast Corp., Class A | 62,137 | $ | 2,123,221 | ||||||||
DISH Network Corp., Class A† | 6,114 | 231,660 | |||||||||
2,354,881 | |||||||||||
Casino Hotels — 0.0% | |||||||||||
MGM Resorts International | 7,653 | 268,008 | |||||||||
Chemicals-Diversified — 1.9% | |||||||||||
DowDuPont, Inc. | 186,231 | 11,864,777 | |||||||||
Eastman Chemical Co. | 3,833 | 404,688 | |||||||||
LyondellBasell Industries NV, Class A | 39,875 | 4,213,990 | |||||||||
PPG Industries, Inc. | 3,548 | 395,957 | |||||||||
16,879,412 | |||||||||||
Chemicals-Specialty — 0.0% | |||||||||||
Albemarle Corp. | 1,216 | 112,772 | |||||||||
International Flavors & Fragrances, Inc. | 825 | 112,951 | |||||||||
225,723 | |||||||||||
Commercial Services — 0.3% | |||||||||||
Ecolab, Inc. | 3,764 | 515,931 | |||||||||
Nielsen Holdings PLC | 67,948 | 2,160,067 | |||||||||
Quanta Services, Inc.† | 4,122 | 141,591 | |||||||||
2,817,589 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Equifax, Inc. | 1,320 | 155,509 | |||||||||
H&R Block, Inc. | 2,018 | 51,277 | |||||||||
IHS Markit, Ltd.† | 9,706 | 468,218 | |||||||||
Western Union Co. | 7,512 | 144,456 | |||||||||
819,460 | |||||||||||
Computer Aided Design — 0.0% | |||||||||||
Autodesk, Inc.† | 2,303 | 289,211 | |||||||||
Computer Services — 1.2% | |||||||||||
Accenture PLC, Class A | 6,118 | 939,113 | |||||||||
Cognizant Technology Solutions Corp., Class A | 65,757 | 5,293,438 | |||||||||
CSRA, Inc. | 4,395 | 181,206 | |||||||||
DXC Technology Co. | 3,671 | 369,046 | |||||||||
International Business Machines Corp. | 22,969 | 3,524,134 | |||||||||
10,306,937 | |||||||||||
Computer Software — 0.0% | |||||||||||
Akamai Technologies, Inc.† | 2,735 | 194,130 | |||||||||
Citrix Systems, Inc.† | 1,526 | 141,613 | |||||||||
335,743 | |||||||||||
Computers — 0.3% | |||||||||||
Apple, Inc. | 5,690 | 954,668 | |||||||||
Hewlett Packard Enterprise Co. | 42,014 | 736,925 | |||||||||
HP, Inc. | 43,903 | 962,354 | |||||||||
2,653,947 | |||||||||||
Computers-Memory Devices — 0.9% | |||||||||||
NetApp, Inc. | 103,798 | 6,403,299 | |||||||||
Seagate Technology PLC | 7,637 | 446,917 | |||||||||
Western Digital Corp. | 7,978 | 736,130 | |||||||||
7,586,346 |
Security Description | Shares | Value (Note 2) | |||||||||
Consulting Services — 0.0% | |||||||||||
Verisk Analytics, Inc.† | 1,497 | $ | 155,688 | ||||||||
Consumer Products-Misc. — 0.1% | |||||||||||
Clorox Co. | 1,492 | 198,600 | |||||||||
Kimberly-Clark Corp. | 5,266 | 579,945 | |||||||||
778,545 | |||||||||||
Containers-Metal/Glass — 0.0% | |||||||||||
Ball Corp. | 9,386 | 372,718 | |||||||||
Containers-Paper/Plastic — 0.3% | |||||||||||
Packaging Corp. of America | 885 | 99,739 | |||||||||
Sealed Air Corp. | 2,782 | 119,042 | |||||||||
WestRock Co. | 34,440 | 2,210,015 | |||||||||
2,428,796 | |||||||||||
Cosmetics & Toiletries — 2.3% | |||||||||||
Colgate-Palmolive Co. | 12,439 | 891,627 | |||||||||
Coty, Inc., Class A | 12,660 | 231,678 | |||||||||
Procter & Gamble Co. | 144,813 | 11,480,775 | |||||||||
Unilever NV | 80,651 | 4,547,910 | |||||||||
Unilever NV CVA | 47,100 | 2,662,489 | |||||||||
19,814,479 | |||||||||||
Cruise Lines — 0.5% | |||||||||||
Carnival Corp. | 26,017 | 1,706,195 | |||||||||
Norwegian Cruise Line Holdings, Ltd.† | 53,301 | 2,823,354 | |||||||||
Royal Caribbean Cruises, Ltd. | 1,559 | 183,556 | |||||||||
4,713,105 | |||||||||||
Data Processing/Management — 0.1% | |||||||||||
Fidelity National Information Services, Inc. | 3,374 | 324,916 | |||||||||
Paychex, Inc. | 3,000 | 184,770 | |||||||||
509,686 | |||||||||||
Dental Supplies & Equipment — 0.0% | |||||||||||
DENTSPLY SIRONA, Inc. | 6,158 | 309,809 | |||||||||
Diagnostic Equipment — 0.3% | |||||||||||
Danaher Corp. | 16,459 | 1,611,501 | |||||||||
Thermo Fisher Scientific, Inc. | 3,016 | 622,683 | |||||||||
2,234,184 | |||||||||||
Dialysis Centers — 0.0% | |||||||||||
DaVita, Inc.† | 3,904 | 257,430 | |||||||||
Distribution/Wholesale — 0.1% | |||||||||||
Fastenal Co. | 3,393 | 185,224 | |||||||||
LKQ Corp.† | 3,486 | 132,294 | |||||||||
WW Grainger, Inc. | 1,369 | 386,427 | |||||||||
703,945 | |||||||||||
Diversified Banking Institutions — 7.4% | |||||||||||
Bank of America Corp. | 631,292 | 18,932,447 | |||||||||
Citigroup, Inc. | 202,815 | 13,690,013 | |||||||||
Goldman Sachs Group, Inc. | 9,472 | 2,385,618 | |||||||||
JPMorgan Chase & Co. | 248,136 | 27,287,516 | |||||||||
Morgan Stanley | 36,993 | 1,996,142 | |||||||||
64,291,736 |
167
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Diversified Manufacturing Operations — 2.6% | |||||||||||
Dover Corp. | 1,822 | $ | 178,957 | ||||||||
Eaton Corp. PLC | 93,903 | 7,503,789 | |||||||||
General Electric Co. | 442,205 | 5,960,923 | |||||||||
Ingersoll-Rand PLC | 63,760 | 5,452,118 | |||||||||
Parker-Hannifin Corp. | 1,570 | 268,517 | |||||||||
Pentair PLC | 4,441 | 302,565 | |||||||||
Textron, Inc. | 44,179 | 2,605,236 | |||||||||
22,272,105 | |||||||||||
E-Commerce/Services — 0.0% | |||||||||||
Expedia, Inc. | 1,345 | 148,502 | |||||||||
TripAdvisor, Inc.† | 1,833 | 74,951 | |||||||||
223,453 | |||||||||||
Electric Products-Misc. — 0.1% | |||||||||||
Emerson Electric Co. | 10,042 | 685,869 | |||||||||
Electric-Distribution — 0.7% | |||||||||||
CenterPoint Energy, Inc. | 11,556 | 316,635 | |||||||||
PPL Corp. | 43,839 | 1,240,205 | |||||||||
Sempra Energy | 41,837 | 4,653,111 | |||||||||
6,209,951 | |||||||||||
Electric-Integrated — 3.2% | |||||||||||
AES Corp. | 17,709 | 201,351 | |||||||||
Alliant Energy Corp. | 6,203 | 253,455 | |||||||||
Ameren Corp. | 6,505 | 368,378 | |||||||||
American Electric Power Co., Inc. | 13,192 | 904,839 | |||||||||
CMS Energy Corp. | 7,572 | 342,936 | |||||||||
Consolidated Edison, Inc. | 8,322 | 648,617 | |||||||||
Dominion Energy, Inc. | 10,830 | 730,267 | |||||||||
DTE Energy Co. | 4,810 | 502,164 | |||||||||
Duke Energy Corp. | 18,771 | 1,454,189 | |||||||||
Edison International | 105,026 | 6,685,955 | |||||||||
Entergy Corp. | 4,847 | 381,847 | |||||||||
Eversource Energy | 39,616 | 2,334,175 | |||||||||
Exelon Corp. | 25,874 | 1,009,345 | |||||||||
FirstEnergy Corp. | 7,072 | 240,519 | |||||||||
NextEra Energy, Inc. | 6,180 | 1,009,379 | |||||||||
PG&E Corp. | 13,807 | 606,542 | |||||||||
Pinnacle West Capital Corp. | 2,998 | 239,240 | |||||||||
Public Service Enterprise Group, Inc. | 13,534 | 679,948 | |||||||||
SCANA Corp. | 3,824 | 143,591 | |||||||||
Southern Co. | 27,030 | 1,207,160 | |||||||||
WEC Energy Group, Inc. | 4,907 | 307,669 | |||||||||
Xcel Energy, Inc. | 166,884 | 7,589,884 | |||||||||
27,841,450 | |||||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Garmin, Ltd. | 1,483 | 87,393 | |||||||||
Electronic Components-Semiconductors — 1.9% | |||||||||||
Advanced Micro Devices, Inc.† | 14,577 | 146,499 | |||||||||
Intel Corp. | 303,621 | 15,812,582 | |||||||||
Xilinx, Inc. | 2,664 | 192,447 | |||||||||
16,151,528 | |||||||||||
Electronic Connectors — 0.3% | |||||||||||
TE Connectivity, Ltd. | 28,750 | 2,872,125 |
Security Description | Shares | Value (Note 2) | |||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
FLIR Systems, Inc. | 1,192 | $ | 59,612 | ||||||||
Fortive Corp. | 2,792 | 216,436 | |||||||||
276,048 | |||||||||||
Electronic Security Devices — 0.0% | |||||||||||
Allegion PLC | 893 | 76,164 | |||||||||
Engineering/R&D Services — 0.1% | |||||||||||
Fluor Corp. | 3,751 | 214,632 | |||||||||
Jacobs Engineering Group, Inc. | 3,229 | 190,996 | |||||||||
405,628 | |||||||||||
Engines-Internal Combustion — 0.1% | |||||||||||
Cummins, Inc. | 4,176 | 676,888 | |||||||||
Enterprise Software/Service — 0.8% | |||||||||||
CA, Inc. | 8,384 | 284,218 | |||||||||
Oracle Corp. | 148,211 | 6,780,653 | |||||||||
7,064,871 | |||||||||||
Entertainment Software — 0.0% | |||||||||||
Take-Two Interactive Software, Inc.† | 1,074 | 105,016 | |||||||||
Finance-Consumer Loans — 0.5% | |||||||||||
Navient Corp. | 7,052 | 92,522 | |||||||||
Synchrony Financial | 128,241 | 4,299,921 | |||||||||
4,392,443 | |||||||||||
Finance-Credit Card — 0.2% | |||||||||||
Alliance Data Systems Corp. | 505 | 107,495 | |||||||||
American Express Co. | 7,726 | 720,681 | |||||||||
Discover Financial Services | 9,512 | 684,198 | |||||||||
1,512,374 | |||||||||||
Finance-Investment Banker/Broker — 0.4% | |||||||||||
Raymond James Financial, Inc. | 1,807 | 161,564 | |||||||||
TD Ameritrade Holding Corp. | 57,900 | 3,429,417 | |||||||||
3,590,981 | |||||||||||
Finance-Other Services — 0.5% | |||||||||||
CME Group, Inc. | 3,012 | 487,161 | |||||||||
Nasdaq, Inc. | 42,997 | 3,707,201 | |||||||||
4,194,362 | |||||||||||
Food-Confectionery — 0.1% | |||||||||||
Hershey Co. | 1,737 | 171,894 | |||||||||
J.M. Smucker Co. | 3,045 | 377,610 | |||||||||
549,504 | |||||||||||
Food-Meat Products — 0.1% | |||||||||||
Hormel Foods Corp. | 7,242 | 248,545 | |||||||||
Tyson Foods, Inc., Class A | 7,979 | 583,983 | |||||||||
832,528 | |||||||||||
Food-Misc./Diversified — 2.4% | |||||||||||
Campbell Soup Co. | 5,158 | 223,393 | |||||||||
Conagra Brands, Inc. | 100,172 | 3,694,343 | |||||||||
General Mills, Inc. | 44,637 | 2,011,343 | |||||||||
Kellogg Co. | 26,302 | 1,709,893 | |||||||||
Kraft Heinz Co. | 16,013 | 997,450 | |||||||||
McCormick & Co., Inc. | 1,656 | 176,182 | |||||||||
Mondelez International, Inc., Class A | 280,424 | 11,702,094 | |||||||||
20,514,698 |
168
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Food-Retail — 0.1% | |||||||||||
Kroger Co. | 23,631 | $ | 565,726 | ||||||||
Food-Wholesale/Distribution — 0.4% | |||||||||||
Sysco Corp. | 61,474 | 3,685,981 | |||||||||
Gas-Distribution — 0.0% | |||||||||||
NiSource, Inc. | 9,047 | 216,314 | |||||||||
Gold Mining — 0.1% | |||||||||||
Newmont Mining Corp. | 14,303 | 558,818 | |||||||||
Hazardous Waste Disposal — 0.0% | |||||||||||
Stericycle, Inc.† | 2,294 | 134,268 | |||||||||
Home Decoration Products — 0.4% | |||||||||||
Newell Brands, Inc. | 127,909 | 3,259,121 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Leggett & Platt, Inc. | 3,546 | 157,301 | |||||||||
Hotels/Motels — 0.6% | |||||||||||
Hilton Worldwide Holdings, Inc. | 66,060 | 5,202,886 | |||||||||
Human Resources — 0.0% | |||||||||||
Robert Half International, Inc. | 1,366 | 79,078 | |||||||||
Independent Power Producers — 0.0% | |||||||||||
NRG Energy, Inc. | 3,722 | 113,633 | |||||||||
Industrial Automated/Robotic — 0.0% | |||||||||||
Rockwell Automation, Inc. | 1,062 | 185,000 | |||||||||
Industrial Gases — 0.1% | |||||||||||
Air Products & Chemicals, Inc. | 3,757 | 597,476 | |||||||||
Praxair, Inc. | 3,695 | 533,188 | |||||||||
1,130,664 | |||||||||||
Instruments-Controls — 0.1% | |||||||||||
Honeywell International, Inc. | 8,267 | 1,194,664 | |||||||||
Instruments-Scientific — 0.0% | |||||||||||
PerkinElmer, Inc. | 1,126 | 85,261 | |||||||||
Insurance Brokers — 0.5% | |||||||||||
Aon PLC | 2,706 | 379,733 | |||||||||
Arthur J. Gallagher & Co. | 2,384 | 163,852 | |||||||||
Marsh & McLennan Cos., Inc. | 45,401 | 3,749,669 | |||||||||
Willis Towers Watson PLC | 2,055 | 312,750 | |||||||||
4,606,004 | |||||||||||
Insurance-Life/Health — 1.2% | |||||||||||
Aflac, Inc. | 84,326 | 3,690,106 | |||||||||
Brighthouse Financial, Inc.† | 2,569 | 132,047 | |||||||||
Lincoln National Corp. | 5,852 | 427,547 | |||||||||
Principal Financial Group, Inc. | 73,080 | 4,451,303 | |||||||||
Prudential Financial, Inc. | 11,315 | 1,171,668 | |||||||||
Torchmark Corp. | 1,650 | 138,880 | |||||||||
Unum Group | 5,932 | 282,422 | |||||||||
10,293,973 | |||||||||||
Insurance-Multi-line — 2.0% | |||||||||||
Allstate Corp. | 5,037 | 477,508 | |||||||||
American International Group, Inc.(1) | 24,103 | 1,311,685 | |||||||||
Assurant, Inc. | 1,407 | 128,614 | |||||||||
Chubb, Ltd. | 81,392 | 11,131,984 | |||||||||
Cincinnati Financial Corp. | 4,001 | 297,114 |
Security Description | Shares | Value (Note 2) | |||||||||
Insurance-Multi-line (continued) | |||||||||||
Hartford Financial Services Group, Inc. | 9,571 | $ | 493,098 | ||||||||
Loews Corp. | 7,229 | 359,498 | |||||||||
MetLife, Inc. | 64,504 | 2,960,088 | |||||||||
17,159,589 | |||||||||||
Insurance-Property/Casualty — 0.2% | |||||||||||
Travelers Cos., Inc. | 7,277 | 1,010,484 | |||||||||
XL Group, Ltd. | 6,888 | 380,631 | |||||||||
1,391,115 | |||||||||||
Insurance-Reinsurance — 1.2% | |||||||||||
Berkshire Hathaway, Inc., Class B† | 51,602 | 10,293,567 | |||||||||
Everest Re Group, Ltd. | 1,095 | 281,218 | |||||||||
10,574,785 | |||||||||||
Internet Infrastructure Software — 0.0% | |||||||||||
F5 Networks, Inc.† | 696 | 100,649 | |||||||||
Internet Security — 0.0% | |||||||||||
Symantec Corp. | 9,143 | 236,346 | |||||||||
Investment Companies — 0.0% | |||||||||||
Leucadia National Corp. | 8,406 | 191,068 | |||||||||
Investment Management/Advisor Services — 1.4% | |||||||||||
Affiliated Managers Group, Inc. | 804 | 152,422 | |||||||||
Ameriprise Financial, Inc. | 15,626 | 2,311,711 | |||||||||
BlackRock, Inc. | 1,360 | 736,739 | |||||||||
Franklin Resources, Inc. | 8,727 | 302,652 | |||||||||
Invesco, Ltd. | 271,349 | 8,685,882 | |||||||||
12,189,406 | |||||||||||
Lighting Products & Systems — 0.0% | |||||||||||
Acuity Brands, Inc. | 1,130 | 157,285 | |||||||||
Machinery-Construction & Mining — 0.7% | |||||||||||
Caterpillar, Inc. | 38,387 | 5,657,476 | |||||||||
Machinery-Farming — 0.1% | |||||||||||
Deere & Co. | 3,907 | 606,835 | |||||||||
Machinery-Pumps — 0.0% | |||||||||||
Flowserve Corp. | 3,507 | 151,958 | |||||||||
Xylem, Inc. | 1,495 | 114,996 | |||||||||
266,954 | |||||||||||
Medical Instruments — 1.6% | |||||||||||
Medtronic PLC | 173,556 | 13,922,662 | |||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
IQVIA Holdings, Inc.† | 1,642 | 161,097 | |||||||||
Laboratory Corp. of America Holdings† | 1,147 | 185,527 | |||||||||
Quest Diagnostics, Inc. | 3,637 | 364,791 | |||||||||
711,415 | |||||||||||
Medical Products — 1.3% | |||||||||||
Abbott Laboratories | 27,040 | 1,620,237 | |||||||||
Baxter International, Inc. | 5,862 | 381,264 | |||||||||
Henry Schein, Inc.† | 26,381 | 1,773,067 | |||||||||
Siemens Healthineers AG†* | 39,340 | 1,616,757 | |||||||||
Varian Medical Systems, Inc.† | 1,151 | 141,170 | |||||||||
Zimmer Biomet Holdings, Inc. | 51,257 | 5,589,063 | |||||||||
11,121,558 |
169
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Biomedical/Gene — 0.8% | |||||||||||
Alexion Pharmaceuticals, Inc.† | 2,853 | $ | 317,995 | ||||||||
Amgen, Inc. | 7,348 | 1,252,687 | |||||||||
Biogen, Inc.† | 1,758 | 481,376 | |||||||||
Celgene Corp.† | 13,270 | 1,183,817 | |||||||||
Gilead Sciences, Inc. | 12,293 | 926,769 | |||||||||
Vertex Pharmaceuticals, Inc.† | 17,641 | 2,875,130 | |||||||||
7,037,774 | |||||||||||
Medical-Drugs — 7.2% | |||||||||||
Allergan PLC | 53,922 | 9,074,533 | |||||||||
AstraZeneca PLC ADR | 112,349 | 3,928,845 | |||||||||
Bristol-Myers Squibb Co. | 83,177 | 5,260,945 | |||||||||
Eli Lilly & Co. | 57,681 | 4,462,779 | |||||||||
Johnson & Johnson | 99,319 | 12,727,730 | |||||||||
Merck & Co., Inc. | 158,292 | 8,622,165 | |||||||||
Pfizer, Inc. | 332,998 | 11,818,099 | |||||||||
Roche Holding AG | 12,020 | 2,756,906 | |||||||||
Roche Holding AG ADR | 126,180 | 3,611,902 | |||||||||
62,263,904 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Mylan NV† | 13,802 | 568,229 | |||||||||
Perrigo Co. PLC | 2,248 | 187,348 | |||||||||
755,577 | |||||||||||
Medical-HMO — 0.4% | |||||||||||
Aetna, Inc. | 4,383 | 740,727 | |||||||||
Anthem, Inc. | 3,222 | 707,874 | |||||||||
Cigna Corp. | 6,620 | 1,110,439 | |||||||||
Humana, Inc. | 3,692 | 992,520 | |||||||||
3,551,560 | |||||||||||
Medical-Hospitals — 0.4% | |||||||||||
Envision Healthcare Corp.† | 3,244 | 124,667 | |||||||||
HCA Healthcare, Inc. | 28,922 | 2,805,434 | |||||||||
Universal Health Services, Inc., Class B | 2,332 | 276,132 | |||||||||
3,206,233 | |||||||||||
Medical-Wholesale Drug Distribution — 0.5% | |||||||||||
AmerisourceBergen Corp. | 4,358 | 375,703 | |||||||||
Cardinal Health, Inc. | 8,438 | 528,894 | |||||||||
McKesson Corp. | 22,352 | 3,148,726 | |||||||||
4,053,323 | |||||||||||
Metal-Copper — 0.1% | |||||||||||
Freeport-McMoRan, Inc.† | 36,102 | 634,312 | |||||||||
Motorcycle/Motor Scooter — 0.0% | |||||||||||
Harley-Davidson, Inc. | 4,515 | 193,603 | |||||||||
Multimedia — 1.4% | |||||||||||
Time Warner, Inc. | 36,339 | 3,436,943 | |||||||||
Twenty-First Century Fox, Inc., Class A | 28,260 | 1,036,859 | |||||||||
Twenty-First Century Fox, Inc., Class B | 11,775 | 428,257 | |||||||||
Viacom, Inc., Class B | 163,633 | 5,082,441 | |||||||||
Walt Disney Co. | 21,368 | 2,146,202 | |||||||||
12,130,702 |
Security Description | Shares | Value (Note 2) | |||||||||
Networking Products — 2.2% | |||||||||||
Cisco Systems, Inc. | 449,546 | $ | 19,281,028 | ||||||||
Non-Hazardous Waste Disposal — 0.0% | |||||||||||
Republic Services, Inc. | 3,261 | 215,976 | |||||||||
Office Automation & Equipment — 0.0% | |||||||||||
Xerox Corp. | 5,736 | 165,082 | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Helmerich & Payne, Inc. | 2,919 | 194,289 | |||||||||
Oil Companies-Exploration & Production — 3.2% | |||||||||||
Anadarko Petroleum Corp. | 73,370 | 4,432,282 | |||||||||
Apache Corp. | 10,227 | 393,535 | |||||||||
Cabot Oil & Gas Corp. | 6,671 | 159,971 | |||||||||
Cimarex Energy Co. | 1,740 | 162,690 | |||||||||
Concho Resources, Inc.† | 3,997 | 600,869 | |||||||||
ConocoPhillips | 31,492 | 1,867,161 | |||||||||
Devon Energy Corp. | 14,106 | 448,430 | |||||||||
EOG Resources, Inc. | 53,180 | 5,598,259 | |||||||||
EQT Corp. | 6,564 | 311,856 | |||||||||
Hess Corp. | 4,954 | 250,771 | |||||||||
Marathon Oil Corp. | 22,781 | 367,457 | |||||||||
Newfield Exploration Co.† | 5,355 | 130,769 | |||||||||
Noble Energy, Inc. | 13,197 | 399,869 | |||||||||
Occidental Petroleum Corp. | 110,605 | 7,184,901 | |||||||||
Pioneer Natural Resources Co. | 27,443 | 4,714,158 | |||||||||
Range Resources Corp. | 6,064 | 88,170 | |||||||||
Southwestern Energy Co.† | 154,299 | 668,115 | |||||||||
27,779,263 | |||||||||||
Oil Companies-Integrated — 5.1% | |||||||||||
Chevron Corp. | 192,500 | 21,952,700 | |||||||||
Exxon Mobil Corp. | 132,058 | 9,852,847 | |||||||||
Royal Dutch Shell PLC, Class B ADR | 57,920 | 3,795,498 | |||||||||
TOTAL SA ADR | 143,410 | 8,273,323 | |||||||||
43,874,368 | |||||||||||
Oil Field Machinery & Equipment — 0.0% | |||||||||||
National Oilwell Varco, Inc. | 10,190 | 375,094 | |||||||||
Oil Refining & Marketing — 0.4% | |||||||||||
Andeavor | 3,793 | 381,424 | |||||||||
Marathon Petroleum Corp. | 12,719 | 929,886 | |||||||||
Phillips 66 | 11,257 | 1,079,771 | |||||||||
Valero Energy Corp. | 11,614 | 1,077,431 | |||||||||
3,468,512 | |||||||||||
Oil-Field Services — 2.6% | |||||||||||
Baker Hughes a GE Co., LLC | 120,980 | 3,359,615 | |||||||||
Halliburton Co. | 127,293 | 5,975,133 | |||||||||
Schlumberger, Ltd. | 194,526 | 12,601,394 | |||||||||
TechnipFMC PLC | 11,755 | 346,185 | |||||||||
22,282,327 | |||||||||||
Paper & Related Products — 0.5% | |||||||||||
International Paper Co. | 83,631 | 4,468,404 | |||||||||
Pharmacy Services — 0.3% | |||||||||||
CVS Health Corp. | 27,201 | 1,692,174 | |||||||||
Express Scripts Holding Co.† | 15,131 | 1,045,250 | |||||||||
2,737,424 |
170
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Pipelines — 0.7% | |||||||||||
Kinder Morgan, Inc. | 297,078 | $ | 4,473,995 | ||||||||
ONEOK, Inc. | 11,010 | 626,689 | |||||||||
Williams Cos., Inc. | 22,182 | 551,444 | |||||||||
5,652,128 | |||||||||||
Publishing-Newspapers — 0.0% | |||||||||||
News Corp., Class A | 10,269 | 162,250 | |||||||||
News Corp., Class B | 3,265 | 52,567 | |||||||||
214,817 | |||||||||||
Real Estate Investment Trusts — 2.0% | |||||||||||
Alexandria Real Estate Equities, Inc. | 1,249 | 155,988 | |||||||||
Apartment Investment & Management Co., Class A | 2,362 | 96,251 | |||||||||
AvalonBay Communities, Inc. | 2,073 | 340,926 | |||||||||
Boston Properties, Inc. | 12,987 | 1,600,258 | |||||||||
Brixmor Property Group, Inc. | 221,363 | 3,375,786 | |||||||||
Crown Castle International Corp. | 3,558 | 389,992 | |||||||||
Digital Realty Trust, Inc. | 2,203 | 232,152 | |||||||||
Duke Realty Corp. | 9,572 | 253,467 | |||||||||
Equity Residential | 9,871 | 608,251 | |||||||||
Essex Property Trust, Inc. | 850 | 204,578 | |||||||||
Federal Realty Investment Trust | 1,040 | 120,754 | |||||||||
GGP, Inc. | 10,330 | 211,352 | |||||||||
HCP, Inc. | 12,587 | 292,396 | |||||||||
Host Hotels & Resorts, Inc. | 19,683 | 366,891 | |||||||||
Iron Mountain, Inc. | 4,150 | 136,369 | |||||||||
Kimco Realty Corp. | 11,407 | 164,261 | |||||||||
Macerich Co. | 2,908 | 162,906 | |||||||||
Mid-America Apartment Communities, Inc. | 3,047 | 278,008 | |||||||||
Park Hotels & Resorts, Inc. | 164,935 | 4,456,544 | |||||||||
Public Storage | 1,768 | 354,290 | |||||||||
Realty Income Corp. | 7,620 | 394,183 | |||||||||
Regency Centers Corp. | 3,984 | 234,976 | |||||||||
Simon Property Group, Inc. | 4,255 | 656,759 | |||||||||
SL Green Realty Corp. | 2,422 | 234,522 | |||||||||
UDR, Inc. | 2,445 | 87,091 | |||||||||
Ventas, Inc. | 9,550 | 473,011 | |||||||||
Vornado Realty Trust | 1,622 | 109,161 | |||||||||
Welltower, Inc. | 9,930 | 540,490 | |||||||||
Weyerhaeuser Co. | 20,249 | 708,715 | |||||||||
17,240,328 | |||||||||||
Retail-Apparel/Shoe — 0.6% | |||||||||||
Foot Locker, Inc. | 3,250 | 148,005 | |||||||||
Gap, Inc. | 5,841 | 182,239 | |||||||||
L Brands, Inc. | 104,020 | 3,974,604 | |||||||||
PVH Corp. | 2,063 | 312,400 | |||||||||
Ross Stores, Inc. | 3,484 | 271,683 | |||||||||
Tapestry, Inc. | 4,659 | 245,110 | |||||||||
5,134,041 | |||||||||||
Retail-Auto Parts — 0.5% | |||||||||||
Advance Auto Parts, Inc. | 26,543 | 3,146,673 | |||||||||
AutoZone, Inc.† | 416 | 269,855 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Auto Parts (continued) | |||||||||||
Genuine Parts Co. | 3,934 | $ | 353,430 | ||||||||
O'Reilly Automotive, Inc.† | 1,032 | 255,296 | |||||||||
4,025,254 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
CarMax, Inc.† | 2,424 | 150,143 | |||||||||
Retail-Building Products — 0.1% | |||||||||||
Lowe's Cos., Inc. | 7,121 | 624,868 | |||||||||
Retail-Catalog Shopping — 0.5% | |||||||||||
Liberty Interactive Corp. QVC Group, Class A† | 183,597 | 4,621,136 | |||||||||
Retail-Consumer Electronics — 0.1% | |||||||||||
Best Buy Co., Inc. | 6,819 | 477,262 | |||||||||
Retail-Discount — 1.6% | |||||||||||
Costco Wholesale Corp. | 11,773 | 2,218,386 | |||||||||
Dollar General Corp. | 3,597 | 336,499 | |||||||||
Target Corp. | 39,264 | 2,726,100 | |||||||||
Walmart, Inc. | 92,249 | 8,207,394 | |||||||||
13,488,379 | |||||||||||
Retail-Drug Store — 0.5% | |||||||||||
Walgreens Boots Alliance, Inc. | 63,363 | 4,148,376 | |||||||||
Retail-Gardening Products — 0.0% | |||||||||||
Tractor Supply Co. | 1,979 | 124,717 | |||||||||
Retail-Jewelry — 0.0% | |||||||||||
Tiffany & Co. | 1,585 | 154,791 | |||||||||
Retail-Major Department Stores — 0.1% | |||||||||||
Nordstrom, Inc. | 3,134 | 151,717 | |||||||||
TJX Cos., Inc. | 9,324 | 760,465 | |||||||||
912,182 | |||||||||||
Retail-Perfume & Cosmetics — 0.0% | |||||||||||
Ulta Beauty, Inc.† | 482 | 98,458 | |||||||||
Retail-Regional Department Stores — 0.1% | |||||||||||
Kohl's Corp. | 4,505 | 295,123 | |||||||||
Macy's, Inc. | 8,172 | 243,035 | |||||||||
538,158 | |||||||||||
Retail-Restaurants — 0.2% | |||||||||||
Chipotle Mexican Grill, Inc.† | 402 | 129,890 | |||||||||
Darden Restaurants, Inc. | 1,325 | 112,956 | |||||||||
Starbucks Corp. | 13,564 | 785,220 | |||||||||
Yum! Brands, Inc. | 4,903 | 417,393 | |||||||||
1,445,459 | |||||||||||
Rubber-Tires — 0.0% | |||||||||||
Goodyear Tire & Rubber Co. | 6,444 | 171,281 | |||||||||
Savings & Loans/Thrifts — 0.0% | |||||||||||
People's United Financial, Inc. | 9,307 | 173,669 | |||||||||
Semiconductor Components-Integrated Circuits — 1.2% | |||||||||||
QUALCOMM, Inc. | 187,084 | 10,366,324 | |||||||||
Semiconductor Equipment — 0.2% | |||||||||||
Applied Materials, Inc. | 35,790 | 1,990,282 | |||||||||
Shipbuilding — 0.0% | |||||||||||
Huntington Ingalls Industries, Inc. | 390 | 100,526 |
171
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Soap & Cleaning Preparation — 0.0% | |||||||||||
Church & Dwight Co., Inc. | 3,074 | $ | 154,807 | ||||||||
Steel-Producers — 0.1% | |||||||||||
Nucor Corp. | 8,524 | 520,731 | |||||||||
Telecommunication Equipment — 0.0% | |||||||||||
Juniper Networks, Inc. | 9,217 | 224,250 | |||||||||
Telephone-Integrated — 2.8% | |||||||||||
AT&T, Inc. | 164,624 | 5,868,846 | |||||||||
CenturyLink, Inc. | 26,082 | 428,527 | |||||||||
Verizon Communications, Inc. | 377,468 | 18,050,520 | |||||||||
24,347,893 | |||||||||||
Television — 0.0% | |||||||||||
CBS Corp., Class B | 5,090 | 261,575 | |||||||||
Textile-Home Furnishings — 0.0% | |||||||||||
Mohawk Industries, Inc.† | 594 | 137,939 | |||||||||
Tobacco — 1.4% | |||||||||||
Altria Group, Inc. | 22,420 | 1,397,214 | |||||||||
British American Tobacco PLC ADR | 81,069 | 4,676,871 | |||||||||
Philip Morris International, Inc. | 60,592 | 6,022,845 | |||||||||
12,096,930 | |||||||||||
Tools-Hand Held — 0.1% | |||||||||||
Snap-on, Inc. | 1,521 | 224,408 | |||||||||
Stanley Black & Decker, Inc. | 1,398 | 214,174 | |||||||||
438,582 | |||||||||||
Toys — 0.1% | |||||||||||
Hasbro, Inc. | 1,394 | 117,514 | |||||||||
Mattel, Inc. | 47,101 | 619,378 | |||||||||
736,892 | |||||||||||
Transport-Rail — 1.1% | |||||||||||
Kansas City Southern | 1,464 | 160,821 | |||||||||
Norfolk Southern Corp. | 4,190 | 568,918 | |||||||||
Union Pacific Corp. | 67,619 | 9,090,022 | |||||||||
9,819,761 | |||||||||||
Transport-Services — 0.5% | |||||||||||
C.H. Robinson Worldwide, Inc. | 3,747 | 351,131 | |||||||||
Expeditors International of Washington, Inc. | 2,130 | 134,829 | |||||||||
FedEx Corp. | 2,841 | 682,153 | |||||||||
United Parcel Service, Inc., Class B | 30,731 | 3,216,306 | |||||||||
4,384,419 | |||||||||||
Transport-Truck — 0.4% | |||||||||||
JB Hunt Transport Services, Inc. | 987 | 115,627 | |||||||||
Schneider National, Inc., Class B | 117,450 | 3,060,747 | |||||||||
3,176,374 | |||||||||||
Water — 0.0% | |||||||||||
American Water Works Co., Inc. | 2,154 | 176,908 | |||||||||
Wireless Equipment — 0.4% | |||||||||||
Nokia OYJ ADR | 657,347 | 3,595,688 | |||||||||
Total Common Stocks (cost $766,768,954) | 848,681,912 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
EXCHANGE-TRADED FUNDS — 1.0% | |||||||||||
iShares Russell 1000 Value ETF | 28,380 | $ | 3,404,465 | ||||||||
iShares S&P 500 Value ETF | 43,788 | 4,787,780 | |||||||||
Total Exchange-Traded Funds (cost $8,551,767) | 8,192,245 | ||||||||||
Total Long-Term Investment Securities (cost $775,320,721) | 856,874,157 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.3% | |||||||||||
Time Deposits — 0.3% | |||||||||||
Euro Time Deposit with State Street Bank and Trust Co. 0.28% due 04/02/2018 | $ | 2,828,000 | 2,828,000 | ||||||||
U.S. Government Treasuries — 0.0% | |||||||||||
United States Treasury Bills 1.42% due 04/05/2018(2) | 70,000 | 69,990 | |||||||||
Total Short-Term Investment Securities (cost $2,897,989) | 2,897,990 | ||||||||||
REPURCHASE AGREEMENTS — 0.7% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.28%, dated 03/29/2018, to be repurchased 04/02/2018 in the amount of $337,010 and collateralized by $350,000 of United States Treasury Notes, bearing interest at 2.38% due 08/15/2024 and having an approximate value of $344,445 | 337,000 | 337,000 | |||||||||
Bank of America Securities LLC Joint Repurchase Agreement(3) | 1,565,000 | 1,565,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(3) | 915,000 | 915,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(3) | 1,555,000 | 1,555,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(3) | 1,215,000 | 1,215,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(3) | 605,000 | 605,000 | |||||||||
Total Repurchase Agreements (cost $6,192,000) | 6,192,000 | ||||||||||
TOTAL INVESTMENTS (cost $784,410,710)(4) | 99.8 | % | 865,964,147 | ||||||||
Other assets less liabilities | 0.2 | 1,838,208 | |||||||||
NET ASSETS | 100.0 | % | $ | 867,802,355 |
@ See Note 1
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2018, the aggregate value of these securities was $1,616,757 representing 0.2% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.
172
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
(1) Security represents an investment in an affiliated company (see Note 8).
(2) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(3) See Note 2 for details of Joint Repurchase Agreements.
(4) See Note 4 for cost of investments on a tax basis.
ADR — American Depositary Receipt
CVA — Certification Van Aandelen (Dutch Cert.)
ETF — Exchange-Traded Fund
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
4 | Long | S&P 500 Citigroup Value Index | June 2018 | $ | 1,115,020 | $ | 1,077,500 | $ | (37,520 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||||
Credit Suisse AG | CHF | 2,241,099 | USD | 2,369,527 | 06/29/2018 | $ | 8,000 | $ | — | ||||||||||||||||||||||
JPY | 277,258,196 | USD | 2,625,893 | 06/29/2018 | 4,984 | — | |||||||||||||||||||||||||
USD | 118,672 | JPY | 12,385,966 | 06/29/2018 | — | (1,589 | ) | ||||||||||||||||||||||||
12,984 | (1,589 | ) | |||||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | GBP | 2,276,504 | USD | 3,219,058 | 06/29/2018 | 13,531 | — | ||||||||||||||||||||||||
UBS AG | EUR | 8,558,532 | USD | 10,582,624 | 06/29/2018 | — | (15,961 | ) | |||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 26,515 | $ | (17,550 | ) |
CHF — Swiss Franc
EUR — Euro Currency
GBP — Pound Sterling
JPY — Japanese Yen
USD — United States Dollar
173
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Common Stocks | $ | 843,262,517 | $ | 5,419,395 | ** | $ | — | $ | 848,681,912 | ||||||||||
Exchange-Traded Funds | 8,192,245 | — | — | 8,192,245 | |||||||||||||||
Short-Term Investment Securities | — | 2,897,990 | — | 2,897,990 | |||||||||||||||
Repurchase Agreements | — | 6,192,000 | — | 6,192,000 | |||||||||||||||
Total Investments at Value | $ | 851,454,762 | $ | 14,509,385 | $ | — | $ | 865,964,147 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 26,515 | $ | — | $ | 26,515 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 37,520 | $ | — | $ | — | $ | 37,520 | |||||||||||
Forward Foreign Currency Contracts | — | 17,550 | — | 17,550 | |||||||||||||||
Total Other Financial Instruments | $ | 37,520 | $ | 17,550 | $ | — | $ | 55,070 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
** Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).
† Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards, swaps and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.
See Notes to Financial Statements
174
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Enterprise Software/Service | 4.5 | % | |||||
Electronic Components-Semiconductors | 4.3 | ||||||
Medical-Biomedical/Gene | 3.7 | ||||||
Commercial Services-Finance | 3.6 | ||||||
Applications Software | 3.3 | ||||||
Machinery-General Industrial | 2.6 | ||||||
E-Commerce/Services | 2.2 | ||||||
Commercial Services | 2.1 | ||||||
Data Processing/Management | 2.0 | ||||||
Retail-Discount | 2.0 | ||||||
Hotels/Motels | 1.9 | ||||||
Repurchase Agreements | 1.8 | ||||||
Finance-Investment Banker/Broker | 1.7 | ||||||
Real Estate Investment Trusts | 1.6 | ||||||
Medical Products | 1.6 | ||||||
Oil Companies-Exploration & Production | 1.5 | ||||||
Medical-Drugs | 1.4 | ||||||
Semiconductor Equipment | 1.4 | ||||||
Retail-Apparel/Shoe | 1.4 | ||||||
Transport-Truck | 1.3 | ||||||
Casino Hotels | 1.3 | ||||||
Medical Instruments | 1.3 | ||||||
Industrial Automated/Robotic | 1.2 | ||||||
Retail-Restaurants | 1.2 | ||||||
Airlines | 1.2 | ||||||
Web Hosting/Design | 1.1 | ||||||
Resorts/Theme Parks | 1.1 | ||||||
Dental Supplies & Equipment | 1.1 | ||||||
Exchange-Traded Funds | 1.1 | ||||||
Patient Monitoring Equipment | 1.0 | ||||||
Semiconductor Components-Integrated Circuits | 1.0 | ||||||
Aerospace/Defense-Equipment | 1.0 | ||||||
Building Products-Cement | 0.9 | ||||||
Consulting Services | 0.9 | ||||||
Electronic Measurement Instruments | 0.9 | ||||||
Banks-Commercial | 0.9 | ||||||
Computer Aided Design | 0.9 | ||||||
Auto/Truck Parts & Equipment-Original | 0.9 | ||||||
Apparel Manufacturers | 0.9 | ||||||
Drug Delivery Systems | 0.8 | ||||||
Computer Software | 0.8 | ||||||
Computer Services | 0.8 | ||||||
Distribution/Wholesale | 0.8 | ||||||
Internet Security | 0.8 | ||||||
E-Commerce/Products | 0.8 | ||||||
Food-Misc./Diversified | 0.7 | ||||||
Containers-Paper/Plastic | 0.7 | ||||||
Insurance-Property/Casualty | 0.7 | ||||||
Retail-Auto Parts | 0.7 | ||||||
Paper & Related Products | 0.7 | ||||||
Diversified Manufacturing Operations | 0.6 | ||||||
Recreational Centers | 0.6 | ||||||
Lasers-System/Components | 0.5 | ||||||
Aerospace/Defense | 0.5 | ||||||
Finance-Other Services | 0.5 | ||||||
Recreational Vehicles | 0.5 | ||||||
Electronic Connectors | 0.5 | ||||||
Retail-Automobile | 0.5 | ||||||
Banks-Super Regional | 0.5 | ||||||
Medical-HMO | 0.5 |
Retail-Building Products | 0.5 | % | |||||
Textile-Home Furnishings | 0.5 | ||||||
Beverages-Non-alcoholic | 0.4 | ||||||
Chemicals-Specialty | 0.4 | ||||||
Building-Residential/Commercial | 0.4 | ||||||
Containers-Metal/Glass | 0.4 | ||||||
Chemicals-Diversified | 0.4 | ||||||
Investment Management/Advisor Services | 0.4 | ||||||
Multimedia | 0.4 | ||||||
Medical Information Systems | 0.4 | ||||||
Machinery-Pumps | 0.4 | ||||||
Advertising Agencies | 0.4 | ||||||
Security Services | 0.4 | ||||||
Diagnostic Kits | 0.4 | ||||||
Transport-Services | 0.4 | ||||||
Real Estate Management/Services | 0.4 | ||||||
Entertainment Software | 0.3 | ||||||
Consumer Products-Misc. | 0.3 | ||||||
Electronic Components-Misc. | 0.3 | ||||||
Coatings/Paint | 0.3 | ||||||
Pipelines | 0.3 | ||||||
Auction Houses/Art Dealers | 0.3 | ||||||
Soap & Cleaning Preparation | 0.3 | ||||||
Therapeutics | 0.3 | ||||||
Food-Confectionery | 0.3 | ||||||
Beverages-Wine/Spirits | 0.3 | ||||||
Instruments-Controls | 0.3 | ||||||
Footwear & Related Apparel | 0.3 | ||||||
Insurance Brokers | 0.3 | ||||||
Electronic Security Devices | 0.3 | ||||||
Building & Construction Products-Misc. | 0.3 | ||||||
Retail-Perfume & Cosmetics | 0.2 | ||||||
Decision Support Software | 0.2 | ||||||
Shipbuilding | 0.2 | ||||||
Food-Meat Products | 0.2 | ||||||
Medical-Wholesale Drug Distribution | 0.2 | ||||||
Funeral Services & Related Items | 0.2 | ||||||
Power Converter/Supply Equipment | 0.2 | ||||||
Finance-Mortgage Loan/Banker | 0.2 | ||||||
Human Resources | 0.2 | ||||||
Gas-Distribution | 0.2 | ||||||
Medical Labs & Testing Services | 0.2 | ||||||
Schools | 0.2 | ||||||
Computers-Memory Devices | 0.2 | ||||||
Non-Hazardous Waste Disposal | 0.2 | ||||||
Transport-Rail | 0.2 | ||||||
Networking Products | 0.2 | ||||||
Garden Products | 0.2 | ||||||
Instruments-Scientific | 0.2 | ||||||
Building-Maintenance & Services | 0.2 | ||||||
Medical-Hospitals | 0.2 | ||||||
Lighting Products & Systems | 0.2 | ||||||
Banks-Fiduciary | 0.2 | ||||||
Finance-Credit Card | 0.2 | ||||||
Cruise Lines | 0.1 | ||||||
Computer Data Security | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Respiratory Products | 0.1 | ||||||
Retail-Gardening Products | 0.1 | ||||||
Telephone-Integrated | 0.1 |
175
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Tools-Hand Held | 0.1 | % | |||||
Machinery-Electrical | 0.1 | ||||||
Filtration/Separation Products | 0.1 | ||||||
Food-Catering | 0.1 | ||||||
Retail-Misc./Diversified | 0.1 | ||||||
Water | 0.1 | ||||||
E-Services/Consulting | 0.1 | ||||||
Retail-Jewelry | 0.1 | ||||||
Wireless Equipment | 0.1 | ||||||
Electric Products-Misc. | 0.1 | ||||||
Internet Infrastructure Software | 0.1 | ||||||
Office Supplies & Forms | 0.1 | ||||||
Engines-Internal Combustion | 0.1 | ||||||
Metal-Copper | 0.1 | ||||||
Retail-Catalog Shopping | 0.1 | ||||||
Batteries/Battery Systems | 0.1 | ||||||
Radio | 0.1 | ||||||
Industrial Gases | 0.1 | ||||||
Insurance-Multi-line | 0.1 | ||||||
Building Products-Wood | 0.1 | ||||||
Toys | 0.1 | ||||||
Insurance-Reinsurance | 0.1 | ||||||
Auto-Cars/Light Trucks | 0.1 | ||||||
Building Products-Air & Heating | 0.1 | ||||||
Retail-Convenience Store | 0.1 | ||||||
Steel Pipe & Tube | 0.1 | ||||||
Oil Refining & Marketing | 0.1 | ||||||
Food-Retail | 0.1 | ||||||
Auto-Heavy Duty Trucks | 0.1 | ||||||
Vitamins & Nutrition Products | 0.1 | ||||||
Dialysis Centers | 0.1 | ||||||
Agricultural Chemicals | 0.1 | ||||||
Disposable Medical Products | 0.1 | ||||||
Building-Mobile Home/Manufactured Housing | 0.1 | ||||||
Retail-Major Department Stores | 0.1 | ||||||
Home Furnishings | 0.1 | ||||||
Precious Metals | 0.1 | ||||||
Web Portals/ISP | 0.1 | ||||||
Hazardous Waste Disposal | 0.1 | ||||||
Retail-Arts & Crafts | 0.1 | ||||||
Machine Tools & Related Products | 0.1 | ||||||
Motorcycle/Motor Scooter | 0.1 | ||||||
Retail-Mail Order | 0.1 | ||||||
U.S. Government Treasuries | 0.1 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
176
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 95.9% | |||||||||||
Advanced Materials — 0.0% | |||||||||||
Hexcel Corp. | 1,363 | $ | 88,036 | ||||||||
Advertising Agencies — 0.4% | |||||||||||
Interpublic Group of Cos., Inc. | 12,680 | 292,020 | |||||||||
Omnicom Group, Inc. | 8,388 | 609,556 | |||||||||
901,576 | |||||||||||
Aerospace/Defense — 0.5% | |||||||||||
Rockwell Collins, Inc. | 3,706 | 499,754 | |||||||||
TransDigm Group, Inc. | 2,429 | 745,557 | |||||||||
1,245,311 | |||||||||||
Aerospace/Defense-Equipment — 1.0% | |||||||||||
Harris Corp. | 10,978 | 1,770,532 | |||||||||
HEICO Corp. | 699 | 60,680 | |||||||||
HEICO Corp., Class A | 1,377 | 97,698 | |||||||||
L3 Technologies, Inc. | 1,250 | 260,000 | |||||||||
2,188,910 | |||||||||||
Agricultural Chemicals — 0.1% | |||||||||||
CF Industries Holdings, Inc. | 3,500 | 132,055 | |||||||||
Airlines — 1.2% | |||||||||||
Alaska Air Group, Inc. | 5,858 | 362,962 | |||||||||
American Airlines Group, Inc. | 10,971 | 570,053 | |||||||||
Copa Holdings SA, Class A | 1,052 | 135,319 | |||||||||
JetBlue Airways Corp.† | 65,973 | 1,340,571 | |||||||||
United Continental Holdings, Inc.† | 4,200 | 291,774 | |||||||||
2,700,679 | |||||||||||
Apparel Manufacturers — 0.9% | |||||||||||
Carter's, Inc. | 2,162 | 225,064 | |||||||||
Hanesbrands, Inc. | 8,203 | 151,099 | |||||||||
Michael Kors Holdings, Ltd.† | 243 | 15,086 | |||||||||
Under Armour, Inc., Class A† | 42,126 | 688,760 | |||||||||
Under Armour, Inc., Class C† | 32,215 | 462,285 | |||||||||
VF Corp. | 5,521 | 409,217 | |||||||||
1,951,511 | |||||||||||
Appliances — 0.0% | |||||||||||
Whirlpool Corp. | 725 | 111,005 | |||||||||
Applications Software — 3.2% | |||||||||||
CDK Global, Inc. | 7,845 | 496,902 | |||||||||
PTC, Inc.† | 2,618 | 204,230 | |||||||||
Red Hat, Inc.† | 8,145 | 1,217,759 | |||||||||
ServiceNow, Inc.† | 28,580 | 4,728,561 | |||||||||
Tableau Software, Inc., Class A† | 5,114 | 413,314 | |||||||||
7,060,766 | |||||||||||
Auction Houses/Art Dealers — 0.3% | |||||||||||
KAR Auction Services, Inc. | 9,572 | 518,802 | |||||||||
Ritchie Bros. Auctioneers, Inc. | 3,100 | 97,557 | |||||||||
Sotheby's† | 2,000 | 102,620 | |||||||||
718,979 | |||||||||||
Auto-Cars/Light Trucks — 0.1% | |||||||||||
Ferrari NV | 1,440 | 173,549 | |||||||||
Auto-Heavy Duty Trucks — 0.1% | |||||||||||
PACCAR, Inc. | 2,300 | 152,191 |
Security Description | Shares | Value (Note 2) | |||||||||
Auto/Truck Parts & Equipment-Original — 0.9% | |||||||||||
Allison Transmission Holdings, Inc. | 2,842 | $ | 111,008 | ||||||||
Aptiv PLC | 12,515 | 1,063,400 | |||||||||
BorgWarner, Inc. | 3,798 | 190,774 | |||||||||
Delphi Technologies PLC | 2,036 | 97,015 | |||||||||
Lear Corp. | 1,262 | 234,846 | |||||||||
Visteon Corp.† | 714 | 78,711 | |||||||||
WABCO Holdings, Inc.† | 2,054 | 274,969 | |||||||||
2,050,723 | |||||||||||
Banks-Commercial — 0.9% | |||||||||||
Bank of the Ozarks | 1,269 | 61,255 | |||||||||
BankUnited, Inc. | 3,900 | 155,922 | |||||||||
East West Bancorp, Inc. | 201 | 12,570 | |||||||||
First Republic Bank | 7,941 | 735,416 | |||||||||
Pinnacle Financial Partners, Inc. | 502 | 32,228 | |||||||||
Signature Bank† | 1,828 | 259,485 | |||||||||
SVB Financial Group† | 2,086 | 500,661 | |||||||||
Webster Financial Corp. | 5,100 | 282,540 | |||||||||
Western Alliance Bancorp† | 1,258 | 73,102 | |||||||||
2,113,179 | |||||||||||
Banks-Fiduciary — 0.2% | |||||||||||
Citizens Financial Group, Inc. | 3,500 | 146,930 | |||||||||
Northern Trust Corp. | 900 | 92,817 | |||||||||
State Street Corp. | 1,200 | 119,676 | |||||||||
359,423 | |||||||||||
Banks-Super Regional — 0.5% | |||||||||||
Fifth Third Bancorp | 7,400 | 234,950 | |||||||||
SunTrust Banks, Inc. | 12,305 | 837,232 | |||||||||
1,072,182 | |||||||||||
Batteries/Battery Systems — 0.1% | |||||||||||
Energizer Holdings, Inc. | 3,244 | 193,277 | |||||||||
Beverages-Non-alcoholic — 0.4% | |||||||||||
Dr Pepper Snapple Group, Inc. | 8,495 | 1,005,638 | |||||||||
Beverages-Wine/Spirits — 0.3% | |||||||||||
Brown-Forman Corp., Class A | 1,158 | 61,756 | |||||||||
Brown-Forman Corp., Class B | 11,231 | 610,967 | |||||||||
672,723 | |||||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Discovery Communications, Inc., Class C† | 1,144 | 22,331 | |||||||||
Building & Construction Products-Misc. — 0.3% | |||||||||||
Armstrong World Industries, Inc.† | 1,007 | 56,694 | |||||||||
Fortune Brands Home & Security, Inc. | 8,818 | 519,292 | |||||||||
575,986 | |||||||||||
Building Products-Air & Heating — 0.1% | |||||||||||
Lennox International, Inc. | 812 | 165,948 | |||||||||
Building Products-Cement — 0.9% | |||||||||||
Eagle Materials, Inc. | 2,972 | 306,265 | |||||||||
Martin Marietta Materials, Inc. | 1,295 | 268,453 | |||||||||
Vulcan Materials Co. | 13,846 | 1,580,798 | |||||||||
2,155,516 | |||||||||||
Building Products-Wood — 0.1% | |||||||||||
Masco Corp. | 4,669 | 188,814 |
177
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building-Maintenance & Services — 0.2% | |||||||||||
Rollins, Inc. | 7,485 | $ | 381,960 | ||||||||
Building-Mobile Home/Manufactured Housing — 0.1% | |||||||||||
Thor Industries, Inc. | 1,128 | 129,912 | |||||||||
Building-Residential/Commercial — 0.4% | |||||||||||
D.R. Horton, Inc. | 4,286 | 187,898 | |||||||||
NVR, Inc.† | 174 | 487,200 | |||||||||
PulteGroup, Inc. | 1,698 | 50,074 | |||||||||
Toll Brothers, Inc. | 5,923 | 256,170 | |||||||||
981,342 | |||||||||||
Cable/Satellite TV — 0.0% | |||||||||||
Cable One, Inc. | 107 | 73,521 | |||||||||
Casino Hotels — 1.3% | |||||||||||
Melco Resorts & Entertainment, Ltd. ADR | 44,697 | 1,295,319 | |||||||||
MGM Resorts International | 31,470 | 1,102,079 | |||||||||
Wynn Resorts, Ltd. | 3,024 | 551,457 | |||||||||
2,948,855 | |||||||||||
Cellular Telecom — 0.0% | |||||||||||
Altice USA, Inc., Class A† | 2,387 | 44,112 | |||||||||
Chemicals-Diversified — 0.4% | |||||||||||
Celanese Corp., Series A | 3,743 | 375,086 | |||||||||
FMC Corp. | 3,053 | 233,768 | |||||||||
Huntsman Corp. | 2,221 | 64,965 | |||||||||
PPG Industries, Inc. | 2,000 | 223,200 | |||||||||
Westlake Chemical Corp. | 407 | 45,238 | |||||||||
942,257 | |||||||||||
Chemicals-Plastics — 0.0% | |||||||||||
PolyOne Corp. | 2,200 | 93,544 | |||||||||
Chemicals-Specialty — 0.4% | |||||||||||
Albemarle Corp. | 472 | 43,773 | |||||||||
Chemours Co. | 4,215 | 205,313 | |||||||||
International Flavors & Fragrances, Inc. | 1,807 | 247,396 | |||||||||
NewMarket Corp. | 157 | 63,064 | |||||||||
Platform Specialty Products Corp.† | 2,314 | 22,284 | |||||||||
Univar, Inc.† | 2,595 | 72,011 | |||||||||
Valvoline, Inc. | 10,414 | 230,462 | |||||||||
Versum Materials, Inc. | 224 | 8,429 | |||||||||
W.R. Grace & Co. | 1,557 | 95,335 | |||||||||
988,067 | |||||||||||
Coatings/Paint — 0.3% | |||||||||||
Axalta Coating Systems, Ltd.† | 11,557 | 348,906 | |||||||||
RPM International, Inc. | 8,246 | 393,087 | |||||||||
741,993 | |||||||||||
Commercial Services — 2.1% | |||||||||||
Cintas Corp. | 3,983 | 679,420 | |||||||||
CoreLogic, Inc.† | 6,595 | 298,292 | |||||||||
CoStar Group, Inc.† | 8,849 | 3,209,355 | |||||||||
Live Nation Entertainment, Inc.† | 3,061 | 128,991 | |||||||||
Nielsen Holdings PLC | 7,900 | 251,141 | |||||||||
Quanta Services, Inc.† | 860 | 29,541 | |||||||||
ServiceMaster Global Holdings, Inc.† | 3,065 | 155,855 | |||||||||
4,752,595 |
Security Description | Shares | Value (Note 2) | |||||||||
Commercial Services-Finance — 3.6% | |||||||||||
Equifax, Inc. | 6,017 | $ | 708,863 | ||||||||
Euronet Worldwide, Inc.† | 1,146 | 90,442 | |||||||||
FleetCor Technologies, Inc.† | 4,183 | 847,058 | |||||||||
Global Payments, Inc. | 12,421 | 1,385,190 | |||||||||
H&R Block, Inc. | 728 | 18,498 | |||||||||
IHS Markit, Ltd.† | 11,101 | 535,512 | |||||||||
MarketAxess Holdings, Inc. | 1,598 | 347,469 | |||||||||
Moody's Corp. | 6,595 | 1,063,773 | |||||||||
Morningstar, Inc. | 406 | 38,781 | |||||||||
Sabre Corp. | 13,533 | 290,283 | |||||||||
Square, Inc., Class A† | 5,548 | 272,962 | |||||||||
Total System Services, Inc. | 4,141 | 357,203 | |||||||||
TransUnion† | 10,201 | 579,213 | |||||||||
Western Union Co. | 10,492 | 201,761 | |||||||||
WEX, Inc.† | 2,113 | 330,938 | |||||||||
Worldpay, Inc., Class A† | 15,455 | 1,271,019 | |||||||||
8,338,965 | |||||||||||
Computer Aided Design — 0.9% | |||||||||||
ANSYS, Inc.† | 2,751 | 431,054 | |||||||||
Autodesk, Inc.† | 7,180 | 901,664 | |||||||||
Cadence Design Systems, Inc.† | 11,736 | 431,533 | |||||||||
Synopsys, Inc.† | 4,167 | 346,861 | |||||||||
2,111,112 | |||||||||||
Computer Data Security — 0.1% | |||||||||||
Fortinet, Inc.† | 6,219 | 333,214 | |||||||||
Computer Services — 0.8% | |||||||||||
CSRA, Inc. | 3,693 | 152,262 | |||||||||
Dell Technologies, Inc., Class V† | 4,560 | 333,838 | |||||||||
DST Systems, Inc. | 133 | 11,126 | |||||||||
DXC Technology Co. | 6,468 | 650,228 | |||||||||
EPAM Systems, Inc.† | 1,200 | 137,424 | |||||||||
Genpact, Ltd. | 7,365 | 235,606 | |||||||||
Leidos Holdings, Inc. | 4,500 | 294,300 | |||||||||
1,814,784 | |||||||||||
Computer Software — 0.7% | |||||||||||
Citrix Systems, Inc.† | 3,445 | 319,696 | |||||||||
Dropbox, Inc., Class A† | 753 | 23,531 | |||||||||
Dropbox, Inc., Class A†(2)(3) | 9,239 | 274,283 | |||||||||
Splunk, Inc.† | 6,612 | 650,555 | |||||||||
SS&C Technologies Holdings, Inc. | 11,515 | 617,665 | |||||||||
1,885,730 | |||||||||||
Computers-Integrated Systems — 0.0% | |||||||||||
NCR Corp.† | 2,755 | 86,838 | |||||||||
Computers-Memory Devices — 0.2% | |||||||||||
NetApp, Inc. | 5,224 | 322,269 | |||||||||
Western Digital Corp. | 968 | 89,317 | |||||||||
411,586 | |||||||||||
Consulting Services — 0.9% | |||||||||||
Booz Allen Hamilton Holding Corp. | 15,151 | 586,647 | |||||||||
Gartner, Inc.† | 6,202 | 729,479 | |||||||||
Verisk Analytics, Inc.† | 7,865 | 817,960 | |||||||||
2,134,086 |
178
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Consumer Products-Misc. — 0.3% | |||||||||||
Clorox Co. | 5,316 | $ | 707,613 | ||||||||
Spectrum Brands Holdings, Inc. | 552 | 57,242 | |||||||||
764,855 | |||||||||||
Containers-Metal/Glass — 0.4% | |||||||||||
Ball Corp. | 18,678 | 741,703 | |||||||||
Crown Holdings, Inc.† | 2,060 | 104,545 | |||||||||
Owens-Illinois, Inc.† | 2,904 | 62,901 | |||||||||
Silgan Holdings, Inc. | 1,694 | 47,178 | |||||||||
956,327 | |||||||||||
Containers-Paper/Plastic — 0.7% | |||||||||||
Ardagh Group SA | 225 | 4,203 | |||||||||
Berry Global Group, Inc.† | 2,993 | 164,046 | |||||||||
Graphic Packaging Holding Co. | 4,976 | 76,382 | |||||||||
Packaging Corp. of America | 9,487 | 1,069,185 | |||||||||
Sealed Air Corp. | 8,595 | 367,780 | |||||||||
1,681,596 | |||||||||||
Cruise Lines — 0.1% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 2,800 | 148,316 | |||||||||
Royal Caribbean Cruises, Ltd. | 1,600 | 188,384 | |||||||||
336,700 | |||||||||||
Data Processing/Management — 2.0% | |||||||||||
Broadridge Financial Solutions, Inc. | 2,678 | 293,750 | |||||||||
Dun & Bradstreet Corp. | 334 | 39,078 | |||||||||
Fair Isaac Corp.† | 5,051 | 855,488 | |||||||||
Fidelity National Information Services, Inc. | 11,679 | 1,124,688 | |||||||||
First Data Corp., Class A† | 10,841 | 173,456 | |||||||||
Fiserv, Inc.† | 18,906 | 1,348,187 | |||||||||
Jack Henry & Associates, Inc. | 1,769 | 213,960 | |||||||||
Paychex, Inc. | 9,906 | 610,110 | |||||||||
4,658,717 | |||||||||||
Decision Support Software — 0.2% | |||||||||||
MSCI, Inc. | 3,731 | 557,673 | |||||||||
Dental Supplies & Equipment — 1.1% | |||||||||||
Align Technology, Inc.† | 9,558 | 2,400,300 | |||||||||
DENTSPLY SIRONA, Inc. | 1,972 | 99,211 | |||||||||
Patterson Cos., Inc. | 181 | 4,024 | |||||||||
2,503,535 | |||||||||||
Diagnostic Kits — 0.4% | |||||||||||
IDEXX Laboratories, Inc.† | 4,271 | 817,427 | |||||||||
OPKO Health, Inc.† | 833 | 2,640 | |||||||||
QIAGEN NV† | 1,668 | 53,893 | |||||||||
873,960 | |||||||||||
Dialysis Centers — 0.1% | |||||||||||
DaVita, Inc.† | 2,100 | 138,474 | |||||||||
Disposable Medical Products — 0.1% | |||||||||||
STERIS PLC | 1,400 | 130,704 | |||||||||
Distribution/Wholesale — 0.8% | |||||||||||
Fastenal Co. | 7,800 | 425,802 | |||||||||
HD Supply Holdings, Inc.† | 14,959 | 567,545 | |||||||||
LKQ Corp.† | 997 | 37,836 |
Security Description | Shares | Value (Note 2) | |||||||||
Distribution/Wholesale (continued) | |||||||||||
Pool Corp. | 886 | $ | 129,551 | ||||||||
Watsco, Inc. | 1,692 | 306,201 | |||||||||
WW Grainger, Inc. | 1,090 | 307,674 | |||||||||
1,774,609 | |||||||||||
Diversified Manufacturing Operations — 0.6% | |||||||||||
A.O. Smith Corp. | 8,284 | 526,780 | |||||||||
Dover Corp. | 378 | 37,127 | |||||||||
Ingersoll-Rand PLC | 2,859 | 244,473 | |||||||||
Parker-Hannifin Corp. | 2,615 | 447,243 | |||||||||
Textron, Inc. | 3,400 | 200,498 | |||||||||
1,456,121 | |||||||||||
Diversified Operations — 0.0% | |||||||||||
Leucadia National Corp. | 1,753 | 39,846 | |||||||||
Drug Delivery Systems — 0.8% | |||||||||||
Catalent, Inc.† | 3,800 | 156,028 | |||||||||
DexCom, Inc.† | 18,348 | 1,360,688 | |||||||||
Nektar Therapeutics† | 3,969 | 421,746 | |||||||||
1,938,462 | |||||||||||
E-Commerce/Products — 0.7% | |||||||||||
The Honest Co., Inc.†(1)(2)(3) | 1,850 | 32,708 | |||||||||
Wayfair, Inc., Class A† | 21,892 | 1,478,367 | |||||||||
1,511,075 | |||||||||||
E-Commerce/Services — 1.7% | |||||||||||
Ctrip.com International, Ltd. ADR† | 4,200 | 195,804 | |||||||||
Expedia, Inc. | 2,802 | 309,369 | |||||||||
IAC/InterActiveCorp† | 3,492 | 546,079 | |||||||||
Liberty Expedia Holdings, Inc., Class A† | 230 | 9,034 | |||||||||
Match Group, Inc.† | 7,535 | 334,855 | |||||||||
MercadoLibre, Inc. | 400 | 142,556 | |||||||||
Shutterfly, Inc.† | 10,986 | 892,613 | |||||||||
TripAdvisor, Inc.† | 11,564 | 472,852 | |||||||||
Zillow Group, Inc., Class A† | 3,954 | 213,516 | |||||||||
Zillow Group, Inc., Class C† | 16,570 | 891,466 | |||||||||
4,008,144 | |||||||||||
E-Services/Consulting — 0.1% | |||||||||||
CDW Corp. | 3,413 | 239,968 | |||||||||
Educational Software — 0.0% | |||||||||||
2U, Inc.† | 800 | 67,224 | |||||||||
Electric Products-Misc. — 0.1% | |||||||||||
AMETEK, Inc. | 2,952 | 224,263 | |||||||||
Electronic Components-Misc. — 0.3% | |||||||||||
Corning, Inc. | 10,000 | 278,800 | |||||||||
Gentex Corp. | 4,106 | 94,520 | |||||||||
Sensata Technologies Holding PLC† | 7,261 | 376,338 | |||||||||
749,658 | |||||||||||
Electronic Components-Semiconductors — 4.3% | |||||||||||
Advanced Micro Devices, Inc.† | 110,000 | 1,105,500 | |||||||||
Cavium, Inc.† | 1,531 | 121,531 | |||||||||
IPG Photonics Corp.† | 5,380 | 1,255,585 | |||||||||
Microchip Technology, Inc. | 40,177 | 3,670,571 | |||||||||
Micron Technology, Inc.† | 24,765 | 1,291,247 | |||||||||
Microsemi Corp.† | 2,171 | 140,507 |
179
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electronic Components-Semiconductors (continued) | |||||||||||
Monolithic Power Systems, Inc. | 1,000 | $ | 115,770 | ||||||||
ON Semiconductor Corp.† | 8,992 | 219,944 | |||||||||
Qorvo, Inc.† | 1,503 | 105,886 | |||||||||
Skyworks Solutions, Inc. | 10,464 | 1,049,121 | |||||||||
Xilinx, Inc. | 11,405 | 823,897 | |||||||||
9,899,559 | |||||||||||
Electronic Connectors — 0.5% | |||||||||||
Amphenol Corp., Class A | 13,331 | 1,148,199 | |||||||||
Electronic Forms — 0.0% | |||||||||||
DocuSign, Inc. CVR†(1)(2)(3) | 2,581 | 0 | |||||||||
Electronic Measurement Instruments — 0.9% | |||||||||||
Agilent Technologies, Inc. | 6,193 | 414,312 | |||||||||
FLIR Systems, Inc. | 1,672 | 83,617 | |||||||||
Fortive Corp. | 10,751 | 833,417 | |||||||||
Keysight Technologies, Inc.† | 7,700 | 403,403 | |||||||||
National Instruments Corp. | 1,917 | 96,942 | |||||||||
Trimble, Inc.† | 8,044 | 288,619 | |||||||||
2,120,310 | |||||||||||
Electronic Security Devices — 0.3% | |||||||||||
ADT, Inc. | 12,116 | 96,080 | |||||||||
Allegion PLC | 5,979 | 509,949 | |||||||||
606,029 | |||||||||||
Engines-Internal Combustion — 0.1% | |||||||||||
Cummins, Inc. | 1,155 | 187,214 | |||||||||
Gates Industrial Corp. PLC† | 693 | 12,134 | |||||||||
199,348 | |||||||||||
Enterprise Software/Service — 4.5% | |||||||||||
Atlassian Corp. PLC, Class A† | 12,549 | 676,642 | |||||||||
Black Knight, Inc.† | 11,029 | 519,466 | |||||||||
Guidewire Software, Inc.† | 34,028 | 2,750,483 | |||||||||
Manhattan Associates, Inc.† | 1,538 | 64,412 | |||||||||
Tyler Technologies, Inc.† | 2,096 | 442,172 | |||||||||
Ultimate Software Group, Inc.† | 2,109 | 513,963 | |||||||||
Veeva Systems, Inc., Class A† | 19,318 | 1,410,601 | |||||||||
Workday, Inc., Class A† | 31,928 | 4,058,368 | |||||||||
10,436,107 | |||||||||||
Entertainment Software — 0.3% | |||||||||||
DraftKings, Inc.†(1)(2)(3) | 74,969 | 99,709 | |||||||||
Electronic Arts, Inc.† | 2,600 | 315,224 | |||||||||
Take-Two Interactive Software, Inc.† | 2,546 | 248,948 | |||||||||
Zynga, Inc., Class A† | 36,000 | 131,760 | |||||||||
795,641 | |||||||||||
Filtration/Separation Products — 0.1% | |||||||||||
Donaldson Co., Inc. | 6,443 | 290,257 | |||||||||
Finance-Auto Loans — 0.0% | |||||||||||
Credit Acceptance Corp.† | 231 | 76,325 | |||||||||
Finance-Credit Card — 0.2% | |||||||||||
Alliance Data Systems Corp. | 1,109 | 236,062 | |||||||||
Discover Financial Services | 1,700 | 122,281 | |||||||||
358,343 |
Security Description | Shares | Value (Note 2) | |||||||||
Finance-Investment Banker/Broker — 1.7% | |||||||||||
E*TRADE Financial Corp.† | 3,900 | $ | 216,099 | ||||||||
Lazard, Ltd., Class A | 7,712 | 405,342 | |||||||||
LPL Financial Holdings, Inc. | 2,015 | 123,056 | |||||||||
Raymond James Financial, Inc. | 768 | 68,667 | |||||||||
TD Ameritrade Holding Corp. | 52,786 | 3,126,515 | |||||||||
3,939,679 | |||||||||||
Finance-Leasing Companies — 0.0% | |||||||||||
Air Lease Corp. | 134 | 5,711 | |||||||||
Finance-Mortgage Loan/Banker — 0.2% | |||||||||||
Ellie Mae, Inc.† | 1,200 | 110,328 | |||||||||
FNF Group | 8,500 | 340,170 | |||||||||
450,498 | |||||||||||
Finance-Other Services — 0.5% | |||||||||||
BGC Partners, Inc., Class A | 1,358 | 18,265 | |||||||||
CBOE Holdings, Inc. | 7,151 | 815,929 | |||||||||
Nasdaq, Inc. | 2,000 | 172,440 | |||||||||
SEI Investments Co. | 3,025 | 226,603 | |||||||||
1,233,237 | |||||||||||
Food-Canned — 0.0% | |||||||||||
TreeHouse Foods, Inc.† | 377 | 14,428 | |||||||||
Food-Catering — 0.1% | |||||||||||
Aramark | 7,059 | 279,254 | |||||||||
Food-Confectionery — 0.3% | |||||||||||
Hershey Co. | 7,015 | 694,204 | |||||||||
Food-Meat Products — 0.2% | |||||||||||
Hormel Foods Corp. | 5,500 | 188,760 | |||||||||
Tyson Foods, Inc., Class A | 4,700 | 343,993 | |||||||||
532,753 | |||||||||||
Food-Misc./Diversified — 0.7% | |||||||||||
Blue Buffalo Pet Products, Inc.† | 2,134 | 84,955 | |||||||||
Campbell Soup Co. | 2,640 | 114,338 | |||||||||
Conagra Brands, Inc. | 4,500 | 165,960 | |||||||||
Kellogg Co. | 5,147 | 334,607 | |||||||||
Lamb Weston Holdings, Inc. | 773 | 45,004 | |||||||||
McCormick & Co., Inc. | 6,667 | 709,302 | |||||||||
Pinnacle Foods, Inc. | 4,600 | 248,860 | |||||||||
1,703,026 | |||||||||||
Food-Retail — 0.1% | |||||||||||
Sprouts Farmers Market, Inc.† | 6,564 | 154,057 | |||||||||
Footwear & Related Apparel — 0.3% | |||||||||||
Skechers U.S.A., Inc., Class A† | 17,117 | 665,680 | |||||||||
Funeral Services & Related Items — 0.2% | |||||||||||
Service Corp. International | 12,861 | 485,374 | |||||||||
Garden Products — 0.2% | |||||||||||
Scotts Miracle-Gro Co., Class A | 877 | 75,203 | |||||||||
Toro Co. | 5,010 | 312,874 | |||||||||
388,077 | |||||||||||
Gas-Distribution — 0.2% | |||||||||||
Atmos Energy Corp. | 3,300 | 277,992 | |||||||||
NiSource, Inc. | 6,600 | 157,806 | |||||||||
435,798 |
180
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Gold Mining — 0.0% | |||||||||||
Royal Gold, Inc. | 551 | $ | 47,314 | ||||||||
Hazardous Waste Disposal — 0.1% | |||||||||||
Clean Harbors, Inc.† | 842 | 41,098 | |||||||||
Stericycle, Inc.† | 1,400 | 81,942 | |||||||||
123,040 | |||||||||||
Home Decoration Products — 0.0% | |||||||||||
Newell Brands, Inc. | 4,000 | 101,920 | |||||||||
Home Furnishings — 0.1% | |||||||||||
Leggett & Platt, Inc. | 2,426 | 107,618 | |||||||||
Tempur Sealy International, Inc.† | 408 | 18,478 | |||||||||
126,096 | |||||||||||
Hotels/Motels — 1.9% | |||||||||||
Choice Hotels International, Inc. | 2,863 | 229,470 | |||||||||
Extended Stay America, Inc. | 8,958 | 177,100 | |||||||||
Hilton Grand Vacations, Inc.† | 21,393 | 920,327 | |||||||||
Hilton Worldwide Holdings, Inc. | 36,370 | 2,864,501 | |||||||||
Wyndham Worldwide Corp. | 2,266 | 259,298 | |||||||||
4,450,696 | |||||||||||
Housewares — 0.0% | |||||||||||
Tupperware Brands Corp. | 1,157 | 55,976 | |||||||||
Human Resources — 0.2% | |||||||||||
ManpowerGroup, Inc. | 1,300 | 149,630 | |||||||||
Robert Half International, Inc. | 5,070 | 293,502 | |||||||||
443,132 | |||||||||||
Independent Power Producers — 0.0% | |||||||||||
NRG Energy, Inc. | 1,348 | 41,154 | |||||||||
Industrial Automated/Robotic — 1.2% | |||||||||||
Cognex Corp. | 6,785 | 352,752 | |||||||||
Nordson Corp. | 2,514 | 342,759 | |||||||||
Rockwell Automation, Inc. | 12,184 | 2,122,453 | |||||||||
2,817,964 | |||||||||||
Industrial Gases — 0.1% | |||||||||||
Air Products & Chemicals, Inc. | 1,200 | 190,836 | |||||||||
Instruments-Controls — 0.3% | |||||||||||
Mettler-Toledo International, Inc.† | 1,160 | 667,035 | |||||||||
Instruments-Scientific — 0.2% | |||||||||||
PerkinElmer, Inc. | 476 | 36,043 | |||||||||
Waters Corp.† | 1,742 | 346,048 | |||||||||
382,091 | |||||||||||
Insurance Brokers — 0.3% | |||||||||||
Arthur J. Gallagher & Co. | 2,795 | 192,100 | |||||||||
Willis Towers Watson PLC | 3,000 | 456,570 | |||||||||
648,670 | |||||||||||
Insurance-Multi-line — 0.1% | |||||||||||
Assurant, Inc. | 1,941 | 177,427 | |||||||||
Voya Financial, Inc. | 238 | 12,019 | |||||||||
189,446 | |||||||||||
Insurance-Property/Casualty — 0.7% | |||||||||||
Arch Capital Group, Ltd.† | 374 | 32,011 | |||||||||
Erie Indemnity Co., Class A | 414 | 48,703 |
Security Description | Shares | Value (Note 2) | |||||||||
Insurance-Property/Casualty (continued) | |||||||||||
Progressive Corp. | 24,336 | $ | 1,482,792 | ||||||||
XL Group, Ltd. | 1,830 | 101,126 | |||||||||
1,664,632 | |||||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Aspen Insurance Holdings, Ltd. | 425 | 19,061 | |||||||||
Axis Capital Holdings, Ltd. | 2,600 | 149,682 | |||||||||
RenaissanceRe Holdings, Ltd. | 66 | 9,142 | |||||||||
177,885 | |||||||||||
Internet Application Software — 0.0% | |||||||||||
Zendesk, Inc.† | 2,300 | 110,101 | |||||||||
Internet Content-Entertainment — 0.0% | |||||||||||
Pandora Media, Inc.† | 5,513 | 27,730 | |||||||||
Twitter, Inc.† | 979 | 28,401 | |||||||||
56,131 | |||||||||||
Internet Infrastructure Software — 0.1% | |||||||||||
F5 Networks, Inc.† | 1,412 | 204,189 | |||||||||
Internet Security — 0.8% | |||||||||||
Palo Alto Networks, Inc.† | 3,832 | 695,585 | |||||||||
Proofpoint, Inc.† | 1,900 | 215,935 | |||||||||
Symantec Corp. | 33,052 | 854,394 | |||||||||
1,765,914 | |||||||||||
Investment Management/Advisor Services — 0.4% | |||||||||||
Ameriprise Financial, Inc. | 3,036 | 449,146 | |||||||||
Eaton Vance Corp. | 2,587 | 144,018 | |||||||||
Federated Investors, Inc., Class B | 592 | 19,773 | |||||||||
Financial Engines, Inc. | 2,400 | 84,000 | |||||||||
Invesco, Ltd. | 4,118 | 131,817 | |||||||||
Legg Mason, Inc. | 450 | 18,293 | |||||||||
T. Rowe Price Group, Inc. | 834 | 90,047 | |||||||||
937,094 | |||||||||||
Lasers-System/Components — 0.5% | |||||||||||
Coherent, Inc.† | 2,036 | 381,547 | |||||||||
II-VI, Inc.† | 21,407 | 875,546 | |||||||||
1,257,093 | |||||||||||
Lighting Products & Systems — 0.2% | |||||||||||
Acuity Brands, Inc. | 1,912 | 266,131 | |||||||||
Universal Display Corp. | 949 | 95,849 | |||||||||
361,980 | |||||||||||
Machine Tools & Related Products — 0.1% | |||||||||||
Lincoln Electric Holdings, Inc. | 1,343 | 120,803 | |||||||||
Machinery-Electrical — 0.1% | |||||||||||
BWX Technologies, Inc. | 4,643 | 294,970 | |||||||||
Machinery-General Industrial — 2.6% | |||||||||||
IDEX Corp. | 14,026 | 1,998,845 | |||||||||
Middleby Corp.† | 9,631 | 1,192,222 | |||||||||
Roper Technologies, Inc. | 3,409 | 956,872 | |||||||||
Wabtec Corp. | 3,227 | 262,678 | |||||||||
Welbilt, Inc.† | 2,938 | 57,144 | |||||||||
Zebra Technologies Corp., Class A† | 10,542 | 1,467,341 | |||||||||
5,935,102 |
181
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Machinery-Pumps — 0.4% | |||||||||||
Flowserve Corp. | 2,300 | $ | 99,659 | ||||||||
Gardner Denver Holdings, Inc.† | 1,681 | 51,573 | |||||||||
Graco, Inc. | 8,894 | 406,634 | |||||||||
Xylem, Inc. | 4,631 | 356,216 | |||||||||
914,082 | |||||||||||
Medical Information Systems — 0.4% | |||||||||||
athenahealth, Inc.† | 1,399 | 200,099 | |||||||||
Cerner Corp.† | 10,178 | 590,324 | |||||||||
Medidata Solutions, Inc.† | 2,100 | 131,901 | |||||||||
922,324 | |||||||||||
Medical Instruments — 1.3% | |||||||||||
Bio-Techne Corp. | 844 | 127,478 | |||||||||
Bruker Corp. | 4,448 | 133,084 | |||||||||
Edwards Lifesciences Corp.† | 16,280 | 2,271,385 | |||||||||
Teleflex, Inc. | 1,468 | 374,311 | |||||||||
2,906,258 | |||||||||||
Medical Labs & Testing Services — 0.2% | |||||||||||
IQVIA Holdings, Inc.† | 4,282 | 420,107 | |||||||||
Medical Products — 1.6% | |||||||||||
ABIOMED, Inc.† | 937 | 272,658 | |||||||||
Cooper Cos., Inc. | 3,456 | 790,767 | |||||||||
Henry Schein, Inc.† | 7,365 | 495,002 | |||||||||
Hill-Rom Holdings, Inc. | 1,407 | 122,409 | |||||||||
Hologic, Inc.† | 37,318 | 1,394,201 | |||||||||
Varian Medical Systems, Inc.† | 2,102 | 257,810 | |||||||||
West Pharmaceutical Services, Inc. | 3,074 | 271,403 | |||||||||
3,604,250 | |||||||||||
Medical-Biomedical/Gene — 3.7% | |||||||||||
ACADIA Pharmaceuticals, Inc.† | 7,442 | 167,222 | |||||||||
Alexion Pharmaceuticals, Inc.† | 1,200 | 133,752 | |||||||||
Alnylam Pharmaceuticals, Inc.† | 4,327 | 515,346 | |||||||||
BioMarin Pharmaceutical, Inc.† | 8,584 | 695,905 | |||||||||
Bluebird Bio, Inc.† | 900 | 153,675 | |||||||||
Blueprint Medicines Corp.† | 600 | 55,020 | |||||||||
Charles River Laboratories International, Inc.† | 1,076 | 114,852 | |||||||||
Exact Sciences Corp.† | 40,405 | 1,629,534 | |||||||||
Exelixis, Inc.† | 15,667 | 347,024 | |||||||||
FibroGen, Inc.† | 1,500 | 69,300 | |||||||||
Illumina, Inc.† | 5,472 | 1,293,690 | |||||||||
Incyte Corp.† | 8,764 | 730,304 | |||||||||
Intercept Pharmaceuticals, Inc.† | 409 | 25,162 | |||||||||
Intrexon Corp.† | 1,068 | 16,372 | |||||||||
Ionis Pharmaceuticals, Inc.† | 20,711 | 912,941 | |||||||||
Sage Therapeutics, Inc.† | 4,380 | 705,486 | |||||||||
Seattle Genetics, Inc.† | 13,741 | 719,204 | |||||||||
Spark Therapeutics, Inc.† | 3,976 | 264,762 | |||||||||
Ultragenyx Pharmaceutical, Inc.† | 1,000 | 50,990 | |||||||||
8,600,541 | |||||||||||
Medical-Drugs — 1.4% | |||||||||||
Akorn, Inc.† | 1,943 | 36,354 | |||||||||
Alkermes PLC† | 7,875 | 456,435 | |||||||||
Eisai Co., Ltd. | 7,100 | 452,470 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Drugs (continued) | |||||||||||
Ironwood Pharmaceuticals, Inc.† | 8,400 | $ | 129,612 | ||||||||
Jazz Pharmaceuticals PLC† | 1,000 | 150,990 | |||||||||
Ono Pharmaceutical Co., Ltd. | 14,600 | 451,975 | |||||||||
TESARO, Inc.† | 1,996 | 114,052 | |||||||||
Zoetis, Inc. | 17,236 | 1,439,378 | |||||||||
3,231,266 | |||||||||||
Medical-HMO — 0.5% | |||||||||||
Centene Corp.† | 4,290 | 458,472 | |||||||||
Molina Healthcare, Inc.† | 2,400 | 194,832 | |||||||||
WellCare Health Plans, Inc.† | 2,134 | 413,207 | |||||||||
1,066,511 | |||||||||||
Medical-Hospitals — 0.2% | |||||||||||
Acadia Healthcare Co., Inc.† | 4,846 | 189,866 | |||||||||
LifePoint Health, Inc.† | 142 | 6,674 | |||||||||
Universal Health Services, Inc., Class B | 1,500 | 177,615 | |||||||||
374,155 | |||||||||||
Medical-Wholesale Drug Distribution — 0.2% | |||||||||||
AmerisourceBergen Corp. | 5,624 | 484,845 | |||||||||
Premier, Inc., Class A† | 337 | 10,551 | |||||||||
495,396 | |||||||||||
Metal-Copper — 0.1% | |||||||||||
Freeport-McMoRan, Inc.† | 6,124 | 107,599 | |||||||||
Southern Copper Corp. | 1,673 | 90,643 | |||||||||
198,242 | |||||||||||
Miscellaneous Manufacturing — 0.0% | |||||||||||
AptarGroup, Inc. | 329 | 29,554 | |||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Lions Gate Entertainment Corp., Class A | 775 | 20,018 | |||||||||
Lions Gate Entertainment Corp., Class B | 1,511 | 36,385 | |||||||||
56,403 | |||||||||||
Motorcycle/Motor Scooter — 0.1% | |||||||||||
Harley-Davidson, Inc. | 2,802 | 120,150 | |||||||||
Multilevel Direct Selling — 0.0% | |||||||||||
Nu Skin Enterprises, Inc., Class A | 319 | 23,513 | |||||||||
Multimedia — 0.4% | |||||||||||
FactSet Research Systems, Inc. | 1,519 | 302,919 | |||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 20,421 | 629,988 | |||||||||
932,907 | |||||||||||
Networking Products — 0.2% | |||||||||||
Arista Networks, Inc.† | 1,226 | 312,998 | |||||||||
LogMeIn, Inc. | 739 | 85,391 | |||||||||
398,389 | |||||||||||
Non-Hazardous Waste Disposal — 0.2% | |||||||||||
Waste Connections, Inc. | 5,700 | 408,918 | |||||||||
Office Supplies & Forms — 0.1% | |||||||||||
Avery Dennison Corp. | 1,905 | 202,406 | |||||||||
Oil Companies-Exploration & Production — 1.5% | |||||||||||
Antero Resources Corp.† | 2,599 | 51,590 | |||||||||
Apache Corp. | 453 | 17,431 |
182
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Cabot Oil & Gas Corp. | 13,006 | $ | 311,884 | ||||||||
Centennial Resource Development, Inc., Class A† | 8,374 | 153,663 | |||||||||
Chesapeake Energy Corp.† | 1,407 | 4,249 | |||||||||
Cimarex Energy Co. | 2,595 | 242,632 | |||||||||
Concho Resources, Inc.† | 1,000 | 150,330 | |||||||||
Continental Resources, Inc.† | 876 | 51,640 | |||||||||
Devon Energy Corp. | 865 | 27,498 | |||||||||
Diamondback Energy, Inc.† | 1,709 | 216,223 | |||||||||
EQT Corp. | 754 | 35,823 | |||||||||
Gulfport Energy Corp.† | 360 | 3,474 | |||||||||
Jagged Peak Energy, Inc.† | 11,907 | 168,246 | |||||||||
Laredo Petroleum, Inc.† | 3,698 | 32,210 | |||||||||
Newfield Exploration Co.† | 26,807 | 654,627 | |||||||||
Parsley Energy, Inc., Class A† | 3,520 | 102,045 | |||||||||
RSP Permian, Inc.† | 4,610 | 216,117 | |||||||||
Venture Global LNG, Inc. Series B†(2)(3) | 3 | 9,060 | |||||||||
Venture Global LNG, Inc. Series C†(2)(3) | 42 | 126,840 | |||||||||
WPX Energy, Inc.† | 54,382 | 803,766 | |||||||||
3,379,348 | |||||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Andeavor | 1,600 | 160,896 | |||||||||
Oil-Field Services — 0.0% | |||||||||||
Oceaneering International, Inc. | 3,300 | 61,182 | |||||||||
RPC, Inc. | 1,219 | 21,979 | |||||||||
83,161 | |||||||||||
Paper & Related Products — 0.7% | |||||||||||
International Paper Co. | 28,910 | 1,544,661 | |||||||||
Patient Monitoring Equipment — 1.0% | |||||||||||
Insulet Corp.† | 26,797 | 2,322,764 | |||||||||
Pipelines — 0.3% | |||||||||||
Cheniere Energy, Inc.† | 3,079 | 164,573 | |||||||||
ONEOK, Inc. | 8,820 | 502,034 | |||||||||
Williams Cos., Inc. | 2,760 | 68,614 | |||||||||
735,221 | |||||||||||
Poultry — 0.0% | |||||||||||
Pilgrim's Pride Corp.† | 1,078 | 26,530 | |||||||||
Power Converter/Supply Equipment — 0.2% | |||||||||||
Generac Holdings, Inc.† | 2,600 | 119,366 | |||||||||
Hubbell, Inc. | 3,001 | 365,462 | |||||||||
484,828 | |||||||||||
Precious Metals — 0.1% | |||||||||||
Wheaton Precious Metals Corp. | 6,100 | 124,257 | |||||||||
Professional Sports — 0.0% | |||||||||||
Madison Square Garden Co., Class A† | 35 | 8,603 | |||||||||
Radio — 0.1% | |||||||||||
Sirius XM Holdings, Inc. | 30,759 | 191,936 | |||||||||
Real Estate Investment Trusts — 1.6% | |||||||||||
American Campus Communities, Inc. | 3,873 | 149,575 | |||||||||
Boston Properties, Inc. | 529 | 65,183 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
CoreSite Realty Corp. | 775 | $ | 77,701 | ||||||||
CubeSmart | 6,793 | 191,563 | |||||||||
CyrusOne, Inc. | 1,810 | 92,690 | |||||||||
Digital Realty Trust, Inc. | 3,563 | 375,469 | |||||||||
Douglas Emmett, Inc. | 2,939 | 108,038 | |||||||||
Equinix, Inc. | 306 | 127,951 | |||||||||
Equity LifeStyle Properties, Inc. | 1,878 | 164,832 | |||||||||
Extra Space Storage, Inc. | 2,360 | 206,170 | |||||||||
Federal Realty Investment Trust | 1,437 | 166,850 | |||||||||
Gaming and Leisure Properties, Inc. | 1,473 | 49,301 | |||||||||
Hudson Pacific Properties, Inc. | 368 | 11,971 | |||||||||
Iron Mountain, Inc. | 10,420 | 342,401 | |||||||||
Lamar Advertising Co., Class A | 1,693 | 107,776 | |||||||||
MGM Growth Properties LLC, Class A | 6,500 | 172,510 | |||||||||
OUTFRONT Media, Inc. | 446 | 8,358 | |||||||||
SBA Communications Corp.† | 6,255 | 1,069,105 | |||||||||
SL Green Realty Corp. | 1,500 | 145,245 | |||||||||
Tanger Factory Outlet Centers, Inc. | 141 | 3,102 | |||||||||
Taubman Centers, Inc. | 669 | 38,073 | |||||||||
VEREIT, Inc. | 16,401 | 114,151 | |||||||||
3,788,015 | |||||||||||
Real Estate Management/Services — 0.2% | |||||||||||
CBRE Group, Inc., Class A† | 2,948 | 139,205 | |||||||||
Jones Lang LaSalle, Inc. | 1,300 | 227,032 | |||||||||
WeWork Cos., Inc., Class A†(1)(2)(3) | 1,550 | 71,067 | |||||||||
437,304 | |||||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
VICI Properties, Inc. | 1,143 | 20,940 | |||||||||
Recreational Centers — 0.6% | |||||||||||
Planet Fitness, Inc., Class A† | 37,207 | 1,405,308 | |||||||||
Recreational Vehicles — 0.5% | |||||||||||
Brunswick Corp. | 1,621 | 96,271 | |||||||||
Polaris Industries, Inc. | 9,370 | 1,073,053 | |||||||||
1,169,324 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
United Rentals, Inc.† | 1,927 | 332,851 | |||||||||
Resorts/Theme Parks — 1.1% | |||||||||||
Marriott Vacations Worldwide Corp. | 5,585 | 743,922 | |||||||||
Six Flags Entertainment Corp. | 1,503 | 93,577 | |||||||||
Vail Resorts, Inc. | 7,556 | 1,675,165 | |||||||||
2,512,664 | |||||||||||
Respiratory Products — 0.1% | |||||||||||
ResMed, Inc. | 3,185 | 313,627 | |||||||||
Retail-Apparel/Shoe — 1.4% | |||||||||||
Burlington Stores, Inc.† | 4,278 | 569,616 | |||||||||
Foot Locker, Inc. | 191 | 8,698 | |||||||||
Gap, Inc. | 262 | 8,174 | |||||||||
L Brands, Inc. | 3,579 | 136,754 | |||||||||
lululemon athletica, Inc.† | 4,282 | 381,612 | |||||||||
PVH Corp. | 1,100 | 166,573 | |||||||||
Ross Stores, Inc. | 18,528 | 1,444,813 | |||||||||
Tapestry, Inc. | 8,900 | 468,229 | |||||||||
3,184,469 |
183
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Arts & Crafts — 0.1% | |||||||||||
Michaels Cos., Inc.† | 6,235 | $ | 122,892 | ||||||||
Retail-Auto Parts — 0.7% | |||||||||||
Advance Auto Parts, Inc. | 434 | 51,451 | |||||||||
AutoZone, Inc.† | 740 | 480,031 | |||||||||
Genuine Parts Co. | 1,236 | 111,042 | |||||||||
O'Reilly Automotive, Inc.† | 3,819 | 944,744 | |||||||||
1,587,268 | |||||||||||
Retail-Automobile — 0.5% | |||||||||||
CarMax, Inc.† | 8,913 | 552,071 | |||||||||
Copart, Inc.† | 10,637 | 541,743 | |||||||||
1,093,814 | |||||||||||
Retail-Building Products — 0.5% | |||||||||||
Floor & Decor Holdings, Inc., Class A† | 20,372 | 1,061,789 | |||||||||
Retail-Catalog Shopping — 0.1% | |||||||||||
Liberty Interactive Corp. QVC Group, Class A† | 6,260 | 157,564 | |||||||||
MSC Industrial Direct Co., Inc., Class A | 412 | 37,785 | |||||||||
195,349 | |||||||||||
Retail-Convenience Store — 0.1% | |||||||||||
Casey's General Stores, Inc. | 1,500 | 164,655 | |||||||||
Retail-Discount — 2.0% | |||||||||||
Dollar General Corp. | 9,772 | 914,170 | |||||||||
Dollar Tree, Inc.† | 37,833 | 3,590,352 | |||||||||
4,504,522 | |||||||||||
Retail-Drug Store — 0.0% | |||||||||||
Rite Aid Corp.† | 11,345 | 19,060 | |||||||||
Retail-Gardening Products — 0.1% | |||||||||||
Tractor Supply Co. | 4,971 | 313,272 | |||||||||
Retail-Jewelry — 0.1% | |||||||||||
Tiffany & Co. | 2,400 | 234,384 | |||||||||
Retail-Mail Order — 0.1% | |||||||||||
Williams-Sonoma, Inc. | 2,269 | 119,712 | |||||||||
Retail-Major Department Stores — 0.1% | |||||||||||
Nordstrom, Inc. | 2,671 | 129,303 | |||||||||
Retail-Misc./Diversified — 0.1% | |||||||||||
Five Below, Inc.† | 2,300 | 168,682 | |||||||||
PriceSmart, Inc. | 800 | 66,840 | |||||||||
Sally Beauty Holdings, Inc.† | 992 | 16,318 | |||||||||
251,840 | |||||||||||
Retail-Perfume & Cosmetics — 0.2% | |||||||||||
Ulta Beauty, Inc.† | 2,733 | 558,270 | |||||||||
Retail-Restaurants — 1.2% | |||||||||||
Chipotle Mexican Grill, Inc.† | 562 | 181,588 | |||||||||
Darden Restaurants, Inc. | 2,847 | 242,707 | |||||||||
Domino's Pizza, Inc. | 2,494 | 582,499 | |||||||||
Dunkin' Brands Group, Inc. | 8,462 | 505,097 | |||||||||
Papa John's International, Inc. | 2,100 | 120,330 | |||||||||
Restaurant Brands International LP | 20 | 1,134 | |||||||||
Restaurant Brands International, Inc. | 3,900 | 221,988 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Restaurants (continued) | |||||||||||
Wendy's Co. | 4,138 | $ | 72,622 | ||||||||
Yum China Holdings, Inc. | 11,281 | 468,161 | |||||||||
Yum! Brands, Inc. | 3,800 | 323,494 | |||||||||
2,719,620 | |||||||||||
Retail-Sporting Goods — 0.0% | |||||||||||
Dick's Sporting Goods, Inc. | 1,440 | 50,472 | |||||||||
Schools — 0.2% | |||||||||||
Bright Horizons Family Solutions, Inc.† | 2,824 | 281,609 | |||||||||
Grand Canyon Education, Inc.† | 1,300 | 136,396 | |||||||||
418,005 | |||||||||||
Security Services — 0.4% | |||||||||||
Brink's Co. | 12,482 | 890,591 | |||||||||
Semiconductor Components-Integrated Circuits — 1.0% | |||||||||||
Analog Devices, Inc. | 8,486 | 773,329 | |||||||||
Cypress Semiconductor Corp. | 632 | 10,719 | |||||||||
Integrated Device Technology, Inc.† | 3,700 | 113,072 | |||||||||
Marvell Technology Group, Ltd. | 19,264 | 404,544 | |||||||||
Maxim Integrated Products, Inc. | 16,023 | 964,905 | |||||||||
2,266,569 | |||||||||||
Semiconductor Equipment — 1.4% | |||||||||||
Entegris, Inc. | 7,200 | 250,560 | |||||||||
KLA-Tencor Corp. | 7,584 | 826,732 | |||||||||
Lam Research Corp. | 3,723 | 756,364 | |||||||||
Teradyne, Inc. | 29,897 | 1,366,592 | |||||||||
3,200,248 | |||||||||||
Shipbuilding — 0.2% | |||||||||||
Huntington Ingalls Industries, Inc. | 2,153 | 554,957 | |||||||||
Soap & Cleaning Preparation — 0.3% | |||||||||||
Church & Dwight Co., Inc. | 14,189 | 714,558 | |||||||||
Steel Pipe & Tube — 0.1% | |||||||||||
Valmont Industries, Inc. | 1,100 | 160,930 | |||||||||
Steel-Producers — 0.0% | |||||||||||
Steel Dynamics, Inc. | 670 | 29,627 | |||||||||
Telecom Services — 0.0% | |||||||||||
Switch, Inc., Class A | 605 | 9,626 | |||||||||
Telecommunication Equipment — 0.0% | |||||||||||
CommScope Holding Co., Inc.† | 2,178 | 87,055 | |||||||||
Telephone-Integrated — 0.1% | |||||||||||
Zayo Group Holdings, Inc.† | 9,149 | 312,530 | |||||||||
Television — 0.0% | |||||||||||
AMC Networks, Inc., Class A† | 1,116 | 57,697 | |||||||||
Textile-Home Furnishings — 0.5% | |||||||||||
Mohawk Industries, Inc.† | 4,516 | 1,048,705 | |||||||||
Therapeutics — 0.3% | |||||||||||
Agios Pharmaceuticals, Inc.† | 1,842 | 150,639 | |||||||||
Neurocrine Biosciences, Inc.† | 5,404 | 448,153 | |||||||||
Sarepta Therapeutics, Inc.† | 1,400 | 103,726 | |||||||||
702,518 |
184
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Tools-Hand Held — 0.1% | |||||||||||
Snap-on, Inc. | 1,668 | $ | 246,097 | ||||||||
Stanley Black & Decker, Inc. | 357 | 54,692 | |||||||||
300,789 | |||||||||||
Toys — 0.1% | |||||||||||
Hasbro, Inc. | 1,965 | 165,649 | |||||||||
Mattel, Inc. | 1,490 | 19,594 | |||||||||
185,243 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
Kirby Corp.† | 900 | 69,255 | |||||||||
Transport-Rail — 0.2% | |||||||||||
Genesee & Wyoming, Inc., Class A† | 2,000 | 141,580 | |||||||||
Kansas City Southern | 2,400 | 263,640 | |||||||||
405,220 | |||||||||||
Transport-Services — 0.4% | |||||||||||
C.H. Robinson Worldwide, Inc. | 5,561 | 521,121 | |||||||||
Expeditors International of Washington, Inc. | 5,048 | 319,539 | |||||||||
840,660 | |||||||||||
Transport-Truck — 1.3% | |||||||||||
JB Hunt Transport Services, Inc. | 11,219 | 1,314,306 | |||||||||
Knight-Swift Transportation Holdings, Inc. | 17,653 | 812,215 | |||||||||
Landstar System, Inc. | 1,954 | 214,256 | |||||||||
Old Dominion Freight Line, Inc. | 2,170 | 318,925 | |||||||||
Schneider National, Inc., Class B | 4,536 | 118,208 | |||||||||
XPO Logistics, Inc.† | 1,989 | 202,500 | |||||||||
2,980,410 | |||||||||||
Vitamins & Nutrition Products — 0.1% | |||||||||||
Herbalife, Ltd.† | 1,464 | 142,696 | |||||||||
Water — 0.1% | |||||||||||
American Water Works Co., Inc. | 2,936 | 241,134 | |||||||||
Web Hosting/Design — 1.1% | |||||||||||
GoDaddy, Inc., Class A† | 30,314 | 1,861,886 | |||||||||
Shopify, Inc., Class A† | 800 | 99,672 | |||||||||
VeriSign, Inc.† | 5,144 | 609,872 | |||||||||
2,571,430 | |||||||||||
Wireless Equipment — 0.1% | |||||||||||
Motorola Solutions, Inc. | 2,151 | 226,500 | |||||||||
Total Common Stocks (cost $166,711,038) | 220,565,104 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 1.1% | |||||||||||
Advertising Services — 0.0% | |||||||||||
Nanigans, Inc., Series B†(1)(2)(3) | 6,300 | 36,414 | |||||||||
Applications Software — 0.1% | |||||||||||
Magic Leap, Inc., Series C†(1)(2)(3) | 4,974 | 134,298 | |||||||||
Tanium, Inc., Series G†(1)(2)(3) | 32,619 | 169,945 | |||||||||
304,243 | |||||||||||
Computer Software — 0.1% | |||||||||||
Zuora, Inc., Series F†(1)(2)(3) | 17,835 | 230,072 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
E-Commerce/Products — 0.1% | |||||||||||
Flipkart, Ltd., Series G†(1)(2)(3) | 604 | $ | 71,497 | ||||||||
One Kings Lane Inc., Series E†(1)(2)(3) | 11,800 | 2,124 | |||||||||
The Honest Co., Inc., Series C†(1)(2)(3) | 4,317 | 131,755 | |||||||||
205,376 | |||||||||||
E-Commerce/Services — 0.5% | |||||||||||
Airbnb, Inc., Series D†(1)(2)(3) | 2,091 | 227,954 | |||||||||
Airbnb, Inc., Series E†(1)(2)(3) | 2,711 | 295,544 | |||||||||
Uber Technologies, Inc., Series D†(1)(2)(3) | 22,395 | 778,194 | |||||||||
1,301,692 | |||||||||||
Real Estate Management/Services — 0.2% | |||||||||||
WeWork Cos., Inc., Series D-1†(1)(2)(3) | 3,588 | 164,510 | |||||||||
WeWork Cos., Inc., Series D-2†(1)(2)(3) | 2,819 | 129,251 | |||||||||
WeWork Cos., Inc., Series E†(1)(2)(3) | 2,120 | 97,202 | |||||||||
390,963 | |||||||||||
Web Portals/ISP — 0.1% | |||||||||||
Pinterest, Inc., Series G†(1)(2)(3) | 19,490 | 123,956 | |||||||||
Total Convertible Preferred Securities (cost $1,674,154) | 2,592,716 | ||||||||||
EXCHANGE-TRADED FUNDS — 1.1% | |||||||||||
iShares Russell Midcap Growth Index Fund (cost $5,229,184) | 19,554 | 2,404,164 | |||||||||
Total Long-Term Investment Securities (cost $173,614,376) | 225,561,984 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.1% | |||||||||||
Registered Investment Companies — 0.0% | |||||||||||
State Street Institutional U.S. Government Money Market Fund Premier Class 1.58%(5) | 82,244 | 82,244 | |||||||||
T. Rowe Price Reserve Investment Fund 1.63%(5) | 1,008 | 1,008 | |||||||||
83,252 | |||||||||||
U.S. Government Treasuries — 0.1% | |||||||||||
United States Treasury Bills 1.54% due 04/26/2018(6) | $ | 90,000 | 89,904 | ||||||||
Total Short-Term Investment Securities (cost $173,156) | 173,156 |
185
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS — 1.8% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.28%, dated 03/29/2018, to be repurchased 04/02/2018 in the amount of $110,003 collateralized by $115,000 of Unites States Treasury Notes, bearing interest at 2.38% due 08/15/2024 and having an approximate value of $113,175. | $ | 110,000 | $ | 110,000 | |||||||
Bank of America Securities LLC Joint Repurchase Agreement(4) | 1,100,000 | 1,100,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(4) | 640,000 | 640,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(4) | 1,090,000 | 1,090,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(4) | 845,000 | 845,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(4) | 420,000 | 420,000 | |||||||||
Total Repurchase Agreements (cost $4,205,000) | 4,205,000 | ||||||||||
TOTAL INVESTMENTS (cost $177,992,532)(7) | 100.0 | % | 229,940,140 | ||||||||
Liabilities in excess of other assets | (0.0 | ) | (15,442 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 229,924,698 |
@ See Note 1
† Non-income producing security
(1) Securities classified as Level 3 (see Note 2).
(2) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2018, the Portfolio held the following restricted securities:
Description | Acquisition Date | Shares/ Principal Amount | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
DocuSign, Inc. CVR | 08/12/2016 | 2,581 | $ | 0 | $ | 0 | $ | 0.00 | 0.00 | % | |||||||||||||||||
DraftKings, Inc. | 07/13/2015 | 17,116 | 62,500 | ||||||||||||||||||||||||
07/17/2015 | 1,238 | 4,519 | |||||||||||||||||||||||||
08/11/2015 | 40,282 | 155,799 | |||||||||||||||||||||||||
08/11/2015 | 16,333 | 59,638 | |||||||||||||||||||||||||
74,969 | 282,456 | 99,709 | 1.33 | 0.04 |
Description | Acquisition Date | Shares/ Principal Amount | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks (continued) | |||||||||||||||||||||||||||
Dropbox, Inc., Class A | 05/01/2012 | 698 | $ | 9,474 | |||||||||||||||||||||||
05/01/2012 | 3,430 | 46,567 | |||||||||||||||||||||||||
05/01/2012 | 562 | 7,637 | |||||||||||||||||||||||||
11/07/2014 | 2,343 | 67,141 | |||||||||||||||||||||||||
01/28/2014 | 2,206 | 63,225 | |||||||||||||||||||||||||
9,239 | 194,044 | $ | 274,283 | $ | 29.69 | 0.12 | % | ||||||||||||||||||||
The Honest Co., Inc. | 08/20/2014 | 1,850 | 50,056 | 32,708 | 17.68 | 0.01 | |||||||||||||||||||||
Venture Global LNG, Inc. Series B | 03/09/2018 | 3 | 9,060 | 9,060 | 3,020.00 | 0.00 | |||||||||||||||||||||
Venture Global LNG, Inc. | |||||||||||||||||||||||||||
Series C | 10/16/2017 | 39 | 147,069 | ||||||||||||||||||||||||
| 03/09/2018 | 3 | 9,060 | ||||||||||||||||||||||||
42 | 156,129 | 126,840 | 3,020.00 | 0.06 | |||||||||||||||||||||||
WeWork Cos., Inc. Class A | 12/09/2014 | 28 | 466 | ||||||||||||||||||||||||
05/26/2015 | 1,286 | 18,224 | |||||||||||||||||||||||||
06/23/2015 | 236 | 7,762 | |||||||||||||||||||||||||
1,550 | 26,452 | 71,067 | 45.85 | 0.03 | |||||||||||||||||||||||
Convertible Preferred Securities | |||||||||||||||||||||||||||
Airbnb, Inc., Series D | 04/16/2014 | 2,091 | 85,131 | 227,954 | 109.02 | 0.10 | |||||||||||||||||||||
Airbnb, Inc., Series E | 06/24/2015 | 2,392 | 222,682 | ||||||||||||||||||||||||
07/14/2015 | 319 | 29,697 | |||||||||||||||||||||||||
2,711 | 252,379 | 295,544 | 109.02 | 0.13 | |||||||||||||||||||||||
Flipkart, Ltd., Series G | 12/17/2014 | 604 | 72,335 | 71,497 | 118.37 | 0.03 | |||||||||||||||||||||
The Honest Co., Inc., Series C | 08/20/2014 | 4,317 | 116,806 | 131,755 | 30.52 | 0.06 | |||||||||||||||||||||
Magic Leap, Inc., Series C | 12/28/2015 | 4,974 | 114,566 | 134,298 | 27.00 | 0.06 | |||||||||||||||||||||
Nanigans, Inc., Series B | 03/16/2015 | 6,300 | 68,787 | 36,414 | 5.78 | 0.02 | |||||||||||||||||||||
One Kings Lane, Inc., Series E | 01/28/2014 | 11,800 | 181,921 | 2,124 | 0.18 | 0.00 | |||||||||||||||||||||
Pinterest, Inc., Series G | 03/19/2015 | 19,490 | 139,921 | 123,956 | 6.36 | 0.05 | |||||||||||||||||||||
Tanium, Inc., Series G | 08/26/2015 | 32,619 | 161,930 | 169,945 | 5.21 | 0.07 | |||||||||||||||||||||
Uber Technologies, Inc., Series D | 06/05/2014 | 22,395 | 347,415 | 778,194 | 34.75 | 0.34 | |||||||||||||||||||||
WeWork Cos., Inc., Series D-1 | 12/09/2014 | 3,588 | 59,744 | 164,510 | 45.85 | 0.07 | |||||||||||||||||||||
WeWork Cos., Inc., Series D-2 | 12/09/2014 | 2,819 | 46,940 | 129,251 | 45.85 | 0.06 | |||||||||||||||||||||
WeWork Cos., Inc., Series E | 06/23/2015 | 2,120 | 69,726 | 97,202 | 45.85 | 0.04 | |||||||||||||||||||||
Zuora, Inc., Series F | 01/15/2015 | 17,835 | 135,525 | 230,072 | 6.45 | 0.10 | |||||||||||||||||||||
$ | 3,206,383 | 1.39 | % |
(3) Illiquid security. At March 31, 2018, the aggregate value of these securities was $3,206,383 representing 1.4% of net assets.
(4) See Note 2 for details of Joint Repurchase Agreements.
(5) The rate shown is the 7-day yield as of March 31, 2018.
(6) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(7) See Note 4 for cost of investments on a tax basis.
186
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
ADR — American Depositary Receipt
CVR — Contingent Value Rights
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
2 | Long | S&P 400 E-Mini Index | June 2018 | $ | 389,063 | $ | 376,620 | $ | (12,443 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Common Stocks: | |||||||||||||||||||
Computer Software | $ | 1,611,447 | $ | 274,283 | $ | — | $ | 1,885,730 | |||||||||||
E-Commerce/Products | 1,478,367 | — | 32,708 | 1,511,075 | |||||||||||||||
Electronic Forms | — | — | 0 | 0 | |||||||||||||||
Entertainment Software | 695,932 | — | 99,709 | 795,641 | |||||||||||||||
Oil Companies-Exploration & Production | 3,243,448 | — | 135,900 | 3,379,348 | |||||||||||||||
Real Estate Management/Services | 366,237 | — | 71,067 | 437,304 | |||||||||||||||
Other Industries | 212,556,006 | — | — | 212,556,006 | |||||||||||||||
Convertible Preferred Securities | — | — | 2,592,716 | 2,592,716 | |||||||||||||||
Exchange-Traded Funds | 2,404,164 | — | — | 2,404,164 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 83,252 | — | — | 83,252 | |||||||||||||||
U.S. Government Treasuries | — | 89,904 | — | 89,904 | |||||||||||||||
Repurchase Agreements | — | 4,205,000 | — | 4,205,000 | |||||||||||||||
Total Investments at Value | $ | 222,438,853 | $ | 4,569,187 | $ | 2,932,100 | $ | 229,940,140 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 12,443 | $ | — | $ | — | $ | 12,443 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.
187
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Common Stocks | Convertible Preferred Securities | ||||||||||
Balance as of March 31, 2017 | $ | 217,915 | $ | 3,228,081 | |||||||
Accrued Discounts | |||||||||||
Accrued Premiums | |||||||||||
Realized Gain | 24,400 | 54,162 | |||||||||
Realized Loss | — | (169,570 | ) | ||||||||
Change in unrealized appreciation(1) | 37,930 | 497,900 | |||||||||
Change in unrealized depreciation(1) | (277,772 | ) | (490,826 | ) | |||||||
Net purchases | 447,645 | 2,950 | |||||||||
Net sales | (110,734 | ) | (529,981 | ) | |||||||
Transfers into Level 3 | — | — | |||||||||
Transfers out of Level 3 | — | — | |||||||||
Balance as of March 31, 2018 | $ | 339,384 | $ | 2,592,716 |
(1) The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at March 31, 2018 includes:
Common Stocks | Convertible Preferred Securities | ||||||
$ | (191,438 | ) | $ | (263,107 | ) |
The following is quantitative information about Level 3 fair value measurements:
Any differences between the change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at March 31, 2018.
Description | Value at March 31, 2018 | Valuation Technique(s) | Unobservable Input (1) | Range (weighted average) | |||||||||||||||
Common Stocks | $ | 99,709 | Market Approach | 2019 Estimated Revenue Multiple* | 2.71 | x | |||||||||||||
|
|
| Discount for Lack of Marketability | 10.0 | % | ||||||||||||||
| $ | 71,067 | Market Approach | Secondary Market Transaction/Tender Price* | $ | 26 - $51.81 | ($38.905) | ||||||||||||
| $ | 135,900 | Market Approach | Market Transaction Price* | $ | 3,020.00 | |||||||||||||
| $ | 32,708 | Market Approach with | Valuation Based on Series E Offering* | $ | 22.1000 | |||||||||||||
|
| Option Pricing Method ("OPM") | Discount for Lack of Marketability | 10.00 | % | ||||||||||||||
|
|
| OPM assumptions: |
| |||||||||||||||
|
|
| Volatility* | 15.0 | % | ||||||||||||||
|
|
| Term to liquidity event in years | 3.00 | |||||||||||||||
|
|
| Risk-free rate | 1.62 | % | ||||||||||||||
| $ | 0 | Income Approach | Potential Future Cash Flows* | $ | 0.00 | |||||||||||||
Convertible Preferred Securities | $ | 134,298 | Market Approach | Market Transaction Price* | $ | 27.00 | |||||||||||||
| $ | 390,963 | Market Approach | Secondary Market Transaction/Tender Price* | $ | 26 - $51.81 | ($38.905) | ||||||||||||
| $ | 849,691 | Market Approach | Primary Market Transaction Price* | $ | 48.7722 - $88.1135 | ($68.4429) | ||||||||||||
|
|
| Secondary Market Transactions* | $ | 34.3971 - $85.30 | ($59.8486) | |||||||||||||
|
|
| Tender Price* | $ | 32.9700 | ||||||||||||||
| $ | 169,945 | Market Approach | Market Transaction Price* | $ | 4.9300 | |||||||||||||
|
|
| 2019 Projected Billings Multiple* | 5.7 | x | ||||||||||||||
|
|
| 2019 Estimated Gross Profit Multiple* | 7.7 | x | ||||||||||||||
|
|
| 2020 Projected Billings Multiple* | 5.1 | x | ||||||||||||||
|
|
| Discount for Lack of Marketability | 10.0 | % | ||||||||||||||
| $ | 523,498 | Market Approach | Market Transaction Price* | $ | 105.0000 | |||||||||||||
|
|
| 2020 Estimated Revenue Multiple* | 5.3 | x | ||||||||||||||
|
|
| 2020 Estimated Gross Profit Multiple* | 7.3 | x | ||||||||||||||
|
|
| Discount for Lack of Marketability | 10.0 | % | ||||||||||||||
| $ | 230,072 | Market Approach | 2018 Revenue Multiple* | 7.0 | x | |||||||||||||
|
|
| Discount for Lack of Marketability | 10.0 | % |
188
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Description | Value at March 31, 2018 | Valuation Technique(s) | Unobservable Input (1) | Range (weighted average) | |||||||||||||||
| $ | 131,755 | Market Approach with | Valuation Based on Series E Offering* | $ | 22.1000 | |||||||||||||
|
| Option Pricing Method ("OPM") | Discount for Lack of Marketability | 10.00 | % | ||||||||||||||
|
|
| OPM assumptions: |
| |||||||||||||||
|
|
| Volatility* | 15.0 | % | ||||||||||||||
|
|
| Term to liquidity event in years | 3.00 | |||||||||||||||
|
|
| Risk-free rate | 1.62 | % | ||||||||||||||
| $ | 36,414 | Market Approach with | Last Twelve Months Revenue Multiple* | 0.94 | x | |||||||||||||
|
| Option Pricing Method ("OPM") | Discount for Lack of Marketability | 10.00 | % | ||||||||||||||
|
|
| OPM assumptions: |
| |||||||||||||||
|
|
| Volatility* | 56.9 | % | ||||||||||||||
|
|
| Term to liquidity event in years | 3.00 | |||||||||||||||
|
|
| Risk-free rate | 2.41 | % | ||||||||||||||
| $ | 123,956 | Market Approach with | 2019 Estimated Revenue Multiple* | 5.5 | x | |||||||||||||
|
| Option Pricing Method ("OPM") | Discount for Lack of Marketability | 10.00 | % | ||||||||||||||
|
|
| OPM assumptions: |
| |||||||||||||||
|
|
| Volatility* | 38.0 | % | ||||||||||||||
|
|
| Term to liquidity event in years | 2.76 | |||||||||||||||
|
|
| Risk-free rate | 2.38 | % | ||||||||||||||
| $ | 2,124 | Income Approach | Future Cash Flows* | $ | 0.18 | |||||||||||||
|
|
| Discount for Potential Claims | 50.0 | % |
(1) The significant unobservable inputs regarding the Level 3 securities in the table above are attributable to private securities and include assumptions made from non-public financial statements, private transactions, and/or market comparables. For those unobservable inputs indicated with *, a significant increase (decrease) in any of those inputs in isolation may result in a significantly higher (lower) fair value measurement, while the remaining unobservable inputs have an inverse relationship.
See Notes to Financial Statements
189
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Real Estate Investment Trusts | 8.7 | % | |||||
Electric-Integrated | 6.2 | ||||||
Oil Companies-Exploration & Production | 5.0 | ||||||
Banks-Super Regional | 3.6 | ||||||
Insurance-Multi-line | 2.8 | ||||||
Banks-Commercial | 2.4 | ||||||
Diversified Manufacturing Operations | 2.2 | ||||||
Medical Products | 2.0 | ||||||
Gold Mining | 1.7 | ||||||
Agricultural Operations | 1.7 | ||||||
Banks-Fiduciary | 1.5 | ||||||
Registered Investment Companies | 1.5 | ||||||
Insurance-Property/Casualty | 1.5 | ||||||
Semiconductor Components-Integrated Circuits | 1.3 | ||||||
Chemicals-Diversified | 1.3 | ||||||
Medical-Generic Drugs | 1.3 | ||||||
Insurance-Life/Health | 1.2 | ||||||
Insurance Brokers | 1.2 | ||||||
Transport-Services | 1.2 | ||||||
Retail-Apparel/Shoe | 1.2 | ||||||
Aerospace/Defense-Equipment | 1.2 | ||||||
Containers-Paper/Plastic | 1.1 | ||||||
Medical-Hospitals | 1.1 | ||||||
Gas-Distribution | 1.0 | ||||||
Food-Misc./Diversified | 0.9 | ||||||
Finance-Investment Banker/Broker | 0.9 | ||||||
Airlines | 0.8 | ||||||
Exchange-Traded Funds | 0.8 | ||||||
Oil Refining & Marketing | 0.8 | ||||||
Electronic Measurement Instruments | 0.8 | ||||||
Computer Services | 0.8 | ||||||
Investment Management/Advisor Services | 0.8 | ||||||
Insurance-Reinsurance | 0.8 | ||||||
Brewery | 0.8 | ||||||
Finance-Consumer Loans | 0.8 | ||||||
Food-Retail | 0.7 | ||||||
Diversified Operations | 0.7 | ||||||
Real Estate Management/Services | 0.7 | ||||||
Medical-Drugs | 0.7 | ||||||
Data Processing/Management | 0.7 | ||||||
Oil Companies-Integrated | 0.7 | ||||||
Apparel Manufacturers | 0.7 | ||||||
Tools-Hand Held | 0.6 | ||||||
Steel-Producers | 0.6 | ||||||
Cosmetics & Toiletries | 0.6 | ||||||
Oil-Field Services | 0.6 | ||||||
Medical-Wholesale Drug Distribution | 0.6 | ||||||
Electronic Components-Misc. | 0.6 | ||||||
Transport-Rail | 0.6 | ||||||
Distribution/Wholesale | 0.6 | ||||||
Chemicals-Specialty | 0.6 | ||||||
Finance-Other Services | 0.6 | ||||||
Publishing-Newspapers | 0.5 | ||||||
Finance-Credit Card | 0.5 | ||||||
Dental Supplies & Equipment | 0.5 | ||||||
Medical Labs & Testing Services | 0.5 | ||||||
Multimedia | 0.5 | ||||||
Food-Meat Products | 0.5 | ||||||
Pipelines | 0.5 | ||||||
Machinery-Pumps | 0.5 |
Food-Baking | 0.5 | % | |||||
Cruise Lines | 0.5 | ||||||
Coatings/Paint | 0.5 | ||||||
Building Products-Cement | 0.5 | ||||||
Independent Power Producers | 0.5 | ||||||
Commercial Services | 0.4 | ||||||
Food-Confectionery | 0.4 | ||||||
Wireless Equipment | 0.4 | ||||||
Building-Residential/Commercial | 0.4 | ||||||
Telecommunication Equipment | 0.4 | ||||||
Retail-Jewelry | 0.4 | ||||||
Engineering/R&D Services | 0.4 | ||||||
Appliances | 0.4 | ||||||
Commercial Services-Finance | 0.4 | ||||||
Building & Construction Products-Misc. | 0.4 | ||||||
Auto/Truck Parts & Equipment-Original | 0.4 | ||||||
Finance-Auto Loans | 0.4 | ||||||
Disposable Medical Products | 0.3 | ||||||
Medical-Biomedical/Gene | 0.3 | ||||||
Engines-Internal Combustion | 0.3 | ||||||
Office Automation & Equipment | 0.3 | ||||||
Home Decoration Products | 0.3 | ||||||
Food-Wholesale/Distribution | 0.3 | ||||||
Savings & Loans/Thrifts | 0.3 | ||||||
Telephone-Integrated | 0.3 | ||||||
Hazardous Waste Disposal | 0.3 | ||||||
Schools | 0.3 | ||||||
Physicians Practice Management | 0.3 | ||||||
Advertising Agencies | 0.3 | ||||||
Electric-Generation | 0.3 | ||||||
Electric-Distribution | 0.3 | ||||||
Food-Catering | 0.3 | ||||||
Toys | 0.3 | ||||||
Investment Companies | 0.3 | ||||||
U.S. Government Agencies | 0.2 | ||||||
Oil & Gas Drilling | 0.2 | ||||||
Instruments-Scientific | 0.2 | ||||||
Non-Ferrous Metals | 0.2 | ||||||
Electronic Connectors | 0.2 | ||||||
Enterprise Software/Service | 0.2 | ||||||
Beverages-Non-alcoholic | 0.2 | ||||||
Aerospace/Defense | 0.2 | ||||||
Computer Data Security | 0.2 | ||||||
Computers-Memory Devices | 0.2 | ||||||
Retail-Gardening Products | 0.2 | ||||||
Oil Field Machinery & Equipment | 0.2 | ||||||
Machinery-Electrical | 0.2 | ||||||
Rubber-Tires | 0.2 | ||||||
Private Equity | 0.2 | ||||||
Computers-Integrated Systems | 0.2 | ||||||
Agricultural Chemicals | 0.2 | ||||||
Motorcycle/Motor Scooter | 0.2 | ||||||
Auto-Heavy Duty Trucks | 0.2 | ||||||
Drug Delivery Systems | 0.2 | ||||||
Recreational Vehicles | 0.2 | ||||||
Water | 0.2 | ||||||
Real Estate Operations & Development | 0.2 | ||||||
Retail-Regional Department Stores | 0.2 | ||||||
Metal-Copper | 0.2 | ||||||
Transport-Truck | 0.2 |
190
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Internet Content-Entertainment | 0.2 | % | |||||
Retail-Consumer Electronics | 0.1 | ||||||
Food-Canned | 0.1 | ||||||
Machinery-Farming | 0.1 | ||||||
Retail-Discount | 0.1 | ||||||
Retail-Auto Parts | 0.1 | ||||||
Medical-HMO | 0.1 | ||||||
Machinery-General Industrial | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Retail-Arts & Crafts | 0.1 | ||||||
Computer Aided Design | 0.1 | ||||||
Non-Hazardous Waste Disposal | 0.1 | ||||||
Electric Products-Misc. | 0.1 | ||||||
Medical Instruments | 0.1 | ||||||
Retail-Restaurants | 0.1 | ||||||
Textile-Home Furnishings | 0.1 | ||||||
Transport-Marine | 0.1 | ||||||
Cellular Telecom | 0.1 | ||||||
Professional Sports | 0.1 | ||||||
Computer Software | 0.1 | ||||||
Publishing-Books | 0.1 | ||||||
Electronic Parts Distribution | 0.1 | ||||||
Radio | 0.1 | ||||||
Cable/Satellite TV | 0.1 | ||||||
Medical Information Systems | 0.1 | ||||||
Finance-Mortgage Loan/Banker | 0.1 | ||||||
Dialysis Centers | 0.1 | ||||||
U.S. Government Treasuries | 0.1 | ||||||
Marine Services | 0.1 | ||||||
Containers-Metal/Glass | 0.1 | ||||||
Machinery-Construction & Mining | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Metal-Aluminum | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Human Resources | 0.1 | ||||||
Electronic Components-Semiconductors | 0.1 | ||||||
Hotels/Motels | 0.1 | ||||||
Repurchase Agreements | 0.1 | ||||||
E-Commerce/Services | 0.1 | ||||||
Retail-Catalog Shopping | 0.1 | ||||||
Food-Flour & Grain | 0.1 | ||||||
Energy-Alternate Sources | 0.1 | ||||||
Diagnostic Kits | 0.1 | ||||||
Television | 0.1 | ||||||
99.9 | % |
* Calculated as a percentage of net assets
@ See Note 1
191
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 97.1% | |||||||||||
Advanced Materials — 0.0% | |||||||||||
Hexcel Corp. | 623 | $ | 40,240 | ||||||||
Advertising Agencies — 0.3% | |||||||||||
Interpublic Group of Cos., Inc. | 28,911 | 665,820 | |||||||||
Aerospace/Defense — 0.2% | |||||||||||
Arconic, Inc. | 8,938 | 205,931 | |||||||||
Spirit AeroSystems Holdings, Inc., Class A | 2,424 | 202,889 | |||||||||
Teledyne Technologies, Inc.† | 729 | 136,447 | |||||||||
545,267 | |||||||||||
Aerospace/Defense-Equipment — 1.2% | |||||||||||
Cobham PLC† | 187,626 | 323,977 | |||||||||
Harris Corp. | 6,521 | 1,051,707 | |||||||||
L3 Technologies, Inc. | 6,614 | 1,375,712 | |||||||||
Orbital ATK, Inc. | 1,201 | 159,265 | |||||||||
2,910,661 | |||||||||||
Agricultural Chemicals — 0.2% | |||||||||||
CF Industries Holdings, Inc. | 8,173 | 308,367 | |||||||||
Mosaic Co. | 8,055 | 195,576 | |||||||||
503,943 | |||||||||||
Agricultural Operations — 1.6% | |||||||||||
Archer-Daniels-Midland Co. | 36,363 | 1,577,063 | |||||||||
Bunge, Ltd. | 32,156 | 2,377,615 | |||||||||
3,954,678 | |||||||||||
Airlines — 0.8% | |||||||||||
Alaska Air Group, Inc. | 5,798 | 359,244 | |||||||||
American Airlines Group, Inc. | 5,153 | 267,750 | |||||||||
Copa Holdings SA, Class A | 603 | 77,564 | |||||||||
Delta Air Lines, Inc. | 14,625 | 801,596 | |||||||||
JetBlue Airways Corp.† | 6,713 | 136,408 | |||||||||
Spirit Airlines, Inc.† | 1,429 | 53,988 | |||||||||
United Continental Holdings, Inc.† | 5,637 | 391,602 | |||||||||
2,088,152 | |||||||||||
Apparel Manufacturers — 0.7% | |||||||||||
Hanesbrands, Inc. | 30,980 | 570,651 | |||||||||
Michael Kors Holdings, Ltd.† | 2,785 | 172,893 | |||||||||
Ralph Lauren Corp. | 7,301 | 816,252 | |||||||||
Under Armour, Inc., Class A† | 1,042 | 17,037 | |||||||||
Under Armour, Inc., Class C† | 1,058 | 15,182 | |||||||||
VF Corp. | 1,769 | 131,118 | |||||||||
1,723,133 | |||||||||||
Appliances — 0.4% | |||||||||||
Whirlpool Corp. | 5,772 | 883,751 | |||||||||
Applications Software — 0.0% | |||||||||||
Nuance Communications, Inc.† | 6,133 | 96,595 | |||||||||
Auto-Heavy Duty Trucks — 0.2% | |||||||||||
PACCAR, Inc. | 7,187 | 475,564 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.4% | |||||||||||
Adient PLC | 10,625 | 634,950 | |||||||||
BorgWarner, Inc. | 3,974 | 199,614 | |||||||||
Lear Corp. | 240 | 44,662 | |||||||||
879,226 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial — 2.4% | |||||||||||
Associated Banc-Corp. | 3,539 | $ | 87,944 | ||||||||
Bank of Hawaii Corp. | 881 | 73,211 | |||||||||
Bank of the Ozarks | 1,358 | 65,551 | |||||||||
BankUnited, Inc. | 2,179 | 87,116 | |||||||||
BOK Financial Corp. | 522 | 51,673 | |||||||||
CIT Group, Inc. | 2,745 | 141,367 | |||||||||
Commerce Bancshares, Inc. | 1,965 | 117,723 | |||||||||
Cullen/Frost Bankers, Inc. | 1,178 | 124,950 | |||||||||
East West Bancorp, Inc. | 2,826 | 176,738 | |||||||||
First Hawaiian, Inc. | 1,111 | 30,919 | |||||||||
First Horizon National Corp. | 13,997 | 263,564 | |||||||||
First Republic Bank | 661 | 61,215 | |||||||||
FNB Corp. | 6,718 | 90,357 | |||||||||
M&T Bank Corp. | 7,345 | 1,354,124 | |||||||||
PacWest Bancorp | 2,661 | 131,799 | |||||||||
Pinnacle Financial Partners, Inc. | 1,023 | 65,677 | |||||||||
Popular, Inc. | 15,706 | 653,684 | |||||||||
Prosperity Bancshares, Inc. | 1,388 | 100,810 | |||||||||
Regions Financial Corp. | 23,770 | 441,647 | |||||||||
Signature Bank† | 463 | 65,723 | |||||||||
SVB Financial Group† | 285 | 68,403 | |||||||||
Synovus Financial Corp. | 2,475 | 123,602 | |||||||||
TCF Financial Corp. | 3,323 | 75,798 | |||||||||
Webster Financial Corp. | 1,917 | 106,202 | |||||||||
Westamerica Bancorporation | 10,500 | 609,840 | |||||||||
Western Alliance Bancorp† | 887 | 51,544 | |||||||||
Wintrust Financial Corp. | 7,763 | 668,006 | |||||||||
Zions Bancorporation | 4,091 | 215,718 | |||||||||
6,104,905 | |||||||||||
Banks-Fiduciary — 1.5% | |||||||||||
Citizens Financial Group, Inc. | 30,154 | 1,265,865 | |||||||||
Northern Trust Corp. | 24,817 | 2,559,377 | |||||||||
3,825,242 | |||||||||||
Banks-Super Regional — 3.6% | |||||||||||
Comerica, Inc. | 14,057 | 1,348,488 | |||||||||
Fifth Third Bancorp | 101,190 | 3,212,783 | |||||||||
Huntington Bancshares, Inc. | 91,474 | 1,381,257 | |||||||||
KeyCorp | 79,522 | 1,554,655 | |||||||||
SunTrust Banks, Inc. | 25,181 | 1,713,315 | |||||||||
9,210,498 | |||||||||||
Beverages-Non-alcoholic — 0.2% | |||||||||||
Coca-Cola European Partners PLC | 13,502 | 562,493 | |||||||||
Beverages-Wine/Spirits — 0.0% | |||||||||||
Brown-Forman Corp., Class A | 65 | 3,466 | |||||||||
Brown-Forman Corp., Class B | 279 | 15,178 | |||||||||
18,644 | |||||||||||
Brewery — 0.8% | |||||||||||
Carlsberg A/S, Class B | 10,173 | 1,215,662 | |||||||||
Molson Coors Brewing Co., Class B | 9,623 | 724,901 | |||||||||
1,940,563 |
192
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery Communications, Inc., Class A† | 3,172 | $ | 67,976 | ||||||||
Discovery Communications, Inc., Class C† | 5,138 | 100,294 | |||||||||
168,270 | |||||||||||
Building & Construction Products-Misc. — 0.4% | |||||||||||
Fortune Brands Home & Security, Inc. | 219 | 12,897 | |||||||||
Owens Corning | 9,882 | 794,513 | |||||||||
USG Corp.† | 1,782 | 72,028 | |||||||||
879,438 | |||||||||||
Building Products-Air & Heating — 0.0% | |||||||||||
Lennox International, Inc. | 59 | 12,058 | |||||||||
Building Products-Cement — 0.5% | |||||||||||
Martin Marietta Materials, Inc. | 125 | 25,913 | |||||||||
Vulcan Materials Co. | 9,790 | 1,117,724 | |||||||||
1,143,637 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Masco Corp. | 2,311 | 93,457 | |||||||||
Building-Residential/Commercial — 0.4% | |||||||||||
D.R. Horton, Inc. | 3,225 | 141,384 | |||||||||
Lennar Corp., Class A | 5,354 | 315,565 | |||||||||
Lennar Corp., Class B | 321 | 15,308 | |||||||||
PulteGroup, Inc. | 3,983 | 117,459 | |||||||||
Toll Brothers, Inc. | 8,894 | 384,665 | |||||||||
974,381 | |||||||||||
Cable/Satellite TV — 0.1% | |||||||||||
Liberty Broadband Corp., Class A† | 534 | 45,283 | |||||||||
Liberty Broadband Corp., Class C† | 2,177 | 186,547 | |||||||||
231,830 | |||||||||||
Casino Hotels — 0.1% | |||||||||||
MGM Resorts International | 9,698 | 339,624 | |||||||||
Cellular Telecom — 0.1% | |||||||||||
Altice USA, Inc., Class A† | 13,845 | 255,855 | |||||||||
United States Cellular Corp.† | 293 | 11,776 | |||||||||
267,631 | |||||||||||
Chemicals-Diversified — 1.3% | |||||||||||
Celanese Corp., Series A | 8,219 | 823,626 | |||||||||
Eastman Chemical Co. | 11,421 | 1,205,829 | |||||||||
FMC Corp. | 5,600 | 428,792 | |||||||||
Huntsman Corp. | 2,168 | 63,414 | |||||||||
Olin Corp. | 3,451 | 104,876 | |||||||||
PPG Industries, Inc. | 5,847 | 652,525 | |||||||||
Westlake Chemical Corp. | 372 | 41,348 | |||||||||
3,320,410 | |||||||||||
Chemicals-Specialty — 0.6% | |||||||||||
Albemarle Corp. | 1,878 | 174,166 | |||||||||
Ashland Global Holdings, Inc. | 1,296 | 90,448 | |||||||||
Brenntag AG | 5,769 | 343,321 | |||||||||
Cabot Corp. | 1,265 | 70,486 | |||||||||
NewMarket Corp. | 11 | 4,418 | |||||||||
Platform Specialty Products Corp.† | 2,507 | 24,142 | |||||||||
Univar, Inc.† | 19,977 | 554,362 |
Security Description | Shares | Value (Note 2) | |||||||||
Chemicals-Specialty (continued) | |||||||||||
Valvoline, Inc. | 4,193 | $ | 92,791 | ||||||||
Versum Materials, Inc. | 2,069 | 77,856 | |||||||||
1,431,990 | |||||||||||
Coal — 0.0% | |||||||||||
CONSOL Energy, Inc.† | 580 | 16,803 | |||||||||
Coatings/Paint — 0.5% | |||||||||||
Axalta Coating Systems, Ltd.† | 17,884 | 539,918 | |||||||||
RPM International, Inc. | 14,201 | 676,962 | |||||||||
1,216,880 | |||||||||||
Commercial Services — 0.4% | |||||||||||
Cintas Corp. | 3,500 | 597,030 | |||||||||
CoreLogic, Inc.† | 706 | 31,932 | |||||||||
Macquarie Infrastructure Corp. | 1,673 | 61,784 | |||||||||
Nielsen Holdings PLC | 7,485 | 237,948 | |||||||||
Quanta Services, Inc.† | 2,311 | 79,383 | |||||||||
1,008,077 | |||||||||||
Commercial Services-Finance — 0.4% | |||||||||||
Global Payments, Inc. | 5,117 | 570,648 | |||||||||
H&R Block, Inc. | 3,666 | 93,153 | |||||||||
IHS Markit, Ltd.† | 3,460 | 166,910 | |||||||||
Morningstar, Inc. | 25 | 2,388 | |||||||||
Sabre Corp. | 1,013 | 21,729 | |||||||||
WEX, Inc.† | 164 | 25,686 | |||||||||
880,514 | |||||||||||
Computer Aided Design — 0.1% | |||||||||||
Autodesk, Inc.† | 792 | 99,459 | |||||||||
Synopsys, Inc.† | 2,859 | 237,983 | |||||||||
337,442 | |||||||||||
Computer Data Security — 0.2% | |||||||||||
Check Point Software Technologies, Ltd.† | 5,468 | 543,191 | |||||||||
Computer Services — 0.8% | |||||||||||
Amdocs, Ltd. | 14,470 | 965,438 | |||||||||
Conduent, Inc.† | 3,968 | 73,963 | |||||||||
DST Systems, Inc. | 1,104 | 92,350 | |||||||||
Leidos Holdings, Inc. | 12,162 | 795,395 | |||||||||
Teradata Corp.† | 2,530 | 100,365 | |||||||||
2,027,511 | |||||||||||
Computer Software — 0.1% | |||||||||||
Akamai Technologies, Inc.† | 3,456 | 245,307 | |||||||||
SS&C Technologies Holdings, Inc. | 288 | 15,448 | |||||||||
260,755 | |||||||||||
Computers-Integrated Systems — 0.2% | |||||||||||
NCR Corp.† | 16,003 | 504,415 | |||||||||
Computers-Memory Devices — 0.2% | |||||||||||
NetApp, Inc. | 813 | 50,154 | |||||||||
Western Digital Corp. | 5,322 | 491,061 | |||||||||
541,215 | |||||||||||
Consulting Services — 0.0% | |||||||||||
Booz Allen Hamilton Holding Corp. | 175 | 6,776 | |||||||||
Consumer Products-Misc. — 0.0% | |||||||||||
Clorox Co. | 400 | 53,244 |
193
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Containers-Metal/Glass — 0.1% | |||||||||||
Ball Corp. | 3,240 | $ | 128,660 | ||||||||
Crown Holdings, Inc.† | 822 | 41,717 | |||||||||
Owens-Illinois, Inc.† | 737 | 15,963 | |||||||||
186,340 | |||||||||||
Containers-Paper/Plastic — 1.1% | |||||||||||
Ardagh Group SA | 182 | 3,400 | |||||||||
Bemis Co., Inc. | 1,890 | 82,253 | |||||||||
Berry Global Group, Inc.† | 14,081 | 771,779 | |||||||||
Graphic Packaging Holding Co. | 41,394 | 635,398 | |||||||||
Sealed Air Corp. | 13,326 | 570,219 | |||||||||
Sonoco Products Co. | 2,050 | 99,425 | |||||||||
WestRock Co. | 8,363 | 536,654 | |||||||||
2,699,128 | |||||||||||
Cosmetics & Toiletries — 0.6% | |||||||||||
Coty, Inc., Class A | 35,178 | 643,758 | |||||||||
Edgewell Personal Care Co.† | 19,027 | 928,898 | |||||||||
1,572,656 | |||||||||||
Cruise Lines — 0.5% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 4,192 | 222,050 | |||||||||
Royal Caribbean Cruises, Ltd. | 8,529 | 1,004,205 | |||||||||
1,226,255 | |||||||||||
Data Processing/Management — 0.7% | |||||||||||
Dun & Bradstreet Corp. | 468 | 54,756 | |||||||||
Fidelity National Information Services, Inc. | 12,352 | 1,189,498 | |||||||||
First Data Corp., Class A† | 33,642 | 538,272 | |||||||||
1,782,526 | |||||||||||
Dental Supplies & Equipment — 0.5% | |||||||||||
DENTSPLY SIRONA, Inc. | 12,197 | 613,631 | |||||||||
Patterson Cos., Inc. | 33,444 | 743,460 | |||||||||
1,357,091 | |||||||||||
Diagnostic Kits — 0.1% | |||||||||||
OPKO Health, Inc.† | 6,166 | 19,546 | |||||||||
QIAGEN NV† | 3,131 | 101,163 | |||||||||
120,709 | |||||||||||
Dialysis Centers — 0.1% | |||||||||||
DaVita, Inc.† | 3,058 | 201,644 | |||||||||
Disposable Medical Products — 0.3% | |||||||||||
STERIS PLC | 9,274 | 865,821 | |||||||||
Distribution/Wholesale — 0.6% | |||||||||||
HD Supply Holdings, Inc.† | 21,211 | 804,745 | |||||||||
LKQ Corp.† | 14,909 | 565,797 | |||||||||
WESCO International, Inc.† | 982 | 60,933 | |||||||||
WW Grainger, Inc. | 62 | 17,501 | |||||||||
1,448,976 | |||||||||||
Diversified Manufacturing Operations — 2.2% | |||||||||||
Carlisle Cos., Inc. | 1,273 | 132,914 | |||||||||
Colfax Corp.† | 1,850 | 59,015 | |||||||||
Crane Co. | 1,044 | 96,821 | |||||||||
Dover Corp. | 2,894 | 284,249 |
Security Description | Shares | Value (Note 2) | |||||||||
Diversified Manufacturing Operations (continued) | |||||||||||
Eaton Corp. PLC | 10,183 | $ | 813,724 | ||||||||
Ingersoll-Rand PLC | 2,605 | 222,754 | |||||||||
ITT, Inc. | 12,728 | 623,417 | |||||||||
Parker-Hannifin Corp. | 374 | 63,965 | |||||||||
Pentair PLC | 3,470 | 236,411 | |||||||||
Textron, Inc. | 47,256 | 2,786,686 | |||||||||
Trinity Industries, Inc. | 3,145 | 102,621 | |||||||||
5,422,577 | |||||||||||
Diversified Operations — 0.7% | |||||||||||
Leucadia National Corp. | 80,269 | 1,824,514 | |||||||||
Drug Delivery Systems — 0.2% | |||||||||||
DexCom, Inc.† | 6,400 | 474,624 | |||||||||
E-Commerce/Services — 0.1% | |||||||||||
Liberty Expedia Holdings, Inc., Class A† | 922 | 36,216 | |||||||||
TripAdvisor, Inc.† | 1,198 | 48,986 | |||||||||
Zillow Group, Inc., Class A† | 348 | 18,792 | |||||||||
Zillow Group, Inc., Class C† | 696 | 37,445 | |||||||||
141,439 | |||||||||||
Electric Products-Misc. — 0.1% | |||||||||||
AMETEK, Inc. | 3,975 | 301,981 | |||||||||
Electric-Distribution — 0.3% | |||||||||||
CenterPoint Energy, Inc. | 9,039 | 247,668 | |||||||||
PPL Corp. | 14,361 | 406,273 | |||||||||
653,941 | |||||||||||
Electric-Generation — 0.3% | |||||||||||
Vistra Energy Corp.† | 31,453 | 655,166 | |||||||||
Electric-Integrated — 6.2% | |||||||||||
AES Corp. | 49,646 | 564,475 | |||||||||
Alliant Energy Corp. | 4,847 | 198,048 | |||||||||
Ameren Corp. | 5,081 | 287,737 | |||||||||
Avangrid, Inc. | 1,187 | 60,680 | |||||||||
CMS Energy Corp. | 22,167 | 1,003,944 | |||||||||
Consolidated Edison, Inc. | 6,519 | 508,091 | |||||||||
DTE Energy Co. | 11,311 | 1,180,868 | |||||||||
Edison International | 6,658 | 423,848 | |||||||||
Entergy Corp. | 9,163 | 721,861 | |||||||||
Eversource Energy | 18,688 | 1,101,097 | |||||||||
FirstEnergy Corp. | 88,422 | 3,007,232 | |||||||||
Great Plains Energy, Inc. | 4,511 | 143,405 | |||||||||
Hawaiian Electric Industries, Inc. | 2,266 | 77,905 | |||||||||
MDU Resources Group, Inc. | 4,065 | 114,470 | |||||||||
OGE Energy Corp. | 4,177 | 136,880 | |||||||||
PG&E Corp. | 27,100 | 1,190,503 | |||||||||
Pinnacle West Capital Corp. | 11,042 | 881,152 | |||||||||
Public Service Enterprise Group, Inc. | 28,003 | 1,406,871 | |||||||||
SCANA Corp. | 9,557 | 358,865 | |||||||||
Southern Co. | 15,238 | 680,529 | |||||||||
WEC Energy Group, Inc. | 15,551 | 975,048 | |||||||||
Westar Energy, Inc. | 2,969 | 156,140 | |||||||||
Xcel Energy, Inc. | 10,646 | 484,180 | |||||||||
15,663,829 |
194
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electronic Components-Misc. — 0.6% | |||||||||||
AVX Corp. | 29,571 | $ | 489,400 | ||||||||
Garmin, Ltd. | 2,527 | 148,916 | |||||||||
Gentex Corp. | 2,075 | 47,767 | |||||||||
Jabil, Inc. | 3,610 | 103,715 | |||||||||
Sensata Technologies Holding PLC† | 13,567 | 703,178 | |||||||||
1,492,976 | |||||||||||
Electronic Components-Semiconductors — 0.1% | |||||||||||
Microsemi Corp.† | 465 | 30,095 | |||||||||
ON Semiconductor Corp.† | 489 | 11,961 | |||||||||
Qorvo, Inc.† | 1,269 | 89,401 | |||||||||
Xilinx, Inc. | 287 | 20,733 | |||||||||
152,190 | |||||||||||
Electronic Connectors — 0.2% | |||||||||||
TE Connectivity, Ltd. | 5,897 | 589,110 | |||||||||
Electronic Measurement Instruments — 0.8% | |||||||||||
Agilent Technologies, Inc. | 5,118 | 342,394 | |||||||||
FLIR Systems, Inc. | 1,353 | 67,664 | |||||||||
Fortive Corp. | 611 | 47,365 | |||||||||
Keysight Technologies, Inc.† | 16,927 | 886,806 | |||||||||
National Instruments Corp. | 13,372 | 676,222 | |||||||||
Trimble, Inc.† | 1,079 | 38,714 | |||||||||
2,059,165 | |||||||||||
Electronic Parts Distribution — 0.1% | |||||||||||
Arrow Electronics, Inc.† | 1,827 | 140,716 | |||||||||
Avnet, Inc. | 2,519 | 105,193 | |||||||||
245,909 | |||||||||||
Electronic Security Devices — 0.0% | |||||||||||
ADT, Inc. | 766 | 6,074 | |||||||||
Energy-Alternate Sources — 0.1% | |||||||||||
First Solar, Inc.† | 1,707 | 121,163 | |||||||||
Engineering/R&D Services — 0.4% | |||||||||||
AECOM† | 3,320 | 118,291 | |||||||||
Fluor Corp. | 2,926 | 167,426 | |||||||||
Jacobs Engineering Group, Inc. | 2,593 | 153,376 | |||||||||
KBR, Inc. | 29,690 | 480,681 | |||||||||
919,774 | |||||||||||
Engines-Internal Combustion — 0.3% | |||||||||||
Cummins, Inc. | 2,227 | 360,974 | |||||||||
Gates Industrial Corp. PLC† | 25,333 | 443,581 | |||||||||
804,555 | |||||||||||
Enterprise Software/Service — 0.2% | |||||||||||
CA, Inc. | 6,599 | 223,706 | |||||||||
Guidewire Software, Inc.† | 963 | 77,839 | |||||||||
Verint Systems, Inc.† | 6,364 | 271,107 | |||||||||
572,652 | |||||||||||
Entertainment Software — 0.0% | |||||||||||
Zynga, Inc., Class A† | 16,105 | 58,944 | |||||||||
Filtration/Separation Products — 0.0% | |||||||||||
Donaldson Co., Inc. | 211 | 9,506 |
Security Description | Shares | Value (Note 2) | |||||||||
Finance-Auto Loans — 0.4% | |||||||||||
Ally Financial, Inc. | 30,182 | $ | 819,441 | ||||||||
Credit Acceptance Corp.† | 23 | 7,600 | |||||||||
Santander Consumer USA Holdings, Inc. | 3,094 | 50,432 | |||||||||
877,473 | |||||||||||
Finance-Consumer Loans — 0.8% | |||||||||||
Navient Corp. | 5,465 | 71,701 | |||||||||
OneMain Holdings, Inc.† | 1,482 | 44,371 | |||||||||
SLM Corp.† | 9,022 | 101,137 | |||||||||
Synchrony Financial | 51,089 | 1,713,014 | |||||||||
1,930,223 | |||||||||||
Finance-Credit Card — 0.5% | |||||||||||
Discover Financial Services | 19,034 | 1,369,116 | |||||||||
Finance-Investment Banker/Broker — 0.9% | |||||||||||
E*TRADE Financial Corp.† | 5,597 | 310,130 | |||||||||
Interactive Brokers Group, Inc., Class A | 1,450 | 97,498 | |||||||||
Lazard, Ltd., Class A | 246 | 12,930 | |||||||||
Raymond James Financial, Inc. | 10,528 | 941,308 | |||||||||
TD Ameritrade Holding Corp. | 13,585 | 804,640 | |||||||||
2,166,506 | |||||||||||
Finance-Leasing Companies — 0.0% | |||||||||||
Air Lease Corp. | 1,895 | 80,765 | |||||||||
Finance-Mortgage Loan/Banker — 0.1% | |||||||||||
FNF Group | 5,484 | 219,470 | |||||||||
Finance-Other Services — 0.6% | |||||||||||
BGC Partners, Inc., Class A | 3,666 | 49,308 | |||||||||
Nasdaq, Inc. | 15,488 | 1,335,375 | |||||||||
1,384,683 | |||||||||||
Financial Guarantee Insurance — 0.0% | |||||||||||
Assured Guaranty, Ltd. | 2,423 | 87,713 | |||||||||
Food-Baking — 0.5% | |||||||||||
Flowers Foods, Inc. | 57,601 | 1,259,158 | |||||||||
Food-Canned — 0.1% | |||||||||||
TreeHouse Foods, Inc.† | 9,523 | 364,445 | |||||||||
Food-Catering — 0.3% | |||||||||||
Aramark | 16,494 | 652,503 | |||||||||
Food-Confectionery — 0.4% | |||||||||||
Hershey Co. | 300 | 29,688 | |||||||||
Hostess Brands, Inc.† | 5,137 | 75,976 | |||||||||
J.M. Smucker Co. | 7,254 | 899,569 | |||||||||
1,005,233 | |||||||||||
Food-Flour & Grain — 0.1% | |||||||||||
Post Holdings, Inc.† | 1,345 | 101,897 | |||||||||
Seaboard Corp. | 6 | 25,590 | |||||||||
127,487 | |||||||||||
Food-Meat Products — 0.5% | |||||||||||
Hormel Foods Corp. | 5,641 | 193,599 | |||||||||
Tyson Foods, Inc., Class A | 15,601 | 1,141,837 | |||||||||
1,335,436 |
195
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Food-Misc./Diversified — 0.9% | |||||||||||
Cal-Maine Foods, Inc.† | 1,621 | $ | 70,838 | ||||||||
Campbell Soup Co. | 1,273 | 55,134 | |||||||||
Conagra Brands, Inc. | 7,998 | 294,966 | |||||||||
General Mills, Inc. | 8,200 | 369,492 | |||||||||
Hain Celestial Group, Inc.† | 2,130 | 68,309 | |||||||||
Ingredion, Inc. | 1,493 | 192,477 | |||||||||
Kellogg Co. | 396 | 25,744 | |||||||||
Lamb Weston Holdings, Inc. | 2,357 | 137,224 | |||||||||
Pinnacle Foods, Inc. | 19,766 | 1,069,341 | |||||||||
2,283,525 | |||||||||||
Food-Retail — 0.7% | |||||||||||
Kroger Co. | 69,029 | 1,652,554 | |||||||||
Safeway PDC LLC CVR†(1)(2) | 7,948 | 388 | |||||||||
Tesco PLC | 78,513 | 226,865 | |||||||||
1,879,807 | |||||||||||
Food-Wholesale/Distribution — 0.3% | |||||||||||
Sysco Corp. | 10,300 | 617,588 | |||||||||
US Foods Holding Corp.† | 4,325 | 141,730 | |||||||||
759,318 | |||||||||||
Footwear & Related Apparel — 0.0% | |||||||||||
Skechers U.S.A., Inc., Class A† | 1,560 | 60,668 | |||||||||
Gambling (Non-Hotel) — 0.0% | |||||||||||
International Game Technology PLC | 2,259 | 60,383 | |||||||||
Garden Products — 0.0% | |||||||||||
Scotts Miracle-Gro Co., Class A | 68 | 5,831 | |||||||||
Gas-Distribution — 1.0% | |||||||||||
Atmos Energy Corp. | 2,275 | 191,646 | |||||||||
National Fuel Gas Co. | 1,682 | 86,539 | |||||||||
NiSource, Inc. | 26,571 | 635,313 | |||||||||
Sempra Energy | 10,850 | 1,206,737 | |||||||||
UGI Corp. | 3,620 | 160,800 | |||||||||
Vectren Corp. | 1,742 | 111,349 | |||||||||
2,392,384 | |||||||||||
Gold Mining — 1.7% | |||||||||||
Barrick Gold Corp. | 26,500 | 329,925 | |||||||||
Cia de Minas Buenaventura SAA ADR | 20,200 | 307,646 | |||||||||
Franco-Nevada Corp. | 16,600 | 1,132,565 | |||||||||
Newmont Mining Corp. | 61,693 | 2,410,345 | |||||||||
Royal Gold, Inc. | 857 | 73,591 | |||||||||
4,254,072 | |||||||||||
Hazardous Waste Disposal — 0.3% | |||||||||||
Clean Harbors, Inc.† | 12,804 | 624,963 | |||||||||
Stericycle, Inc.† | 1,729 | 101,199 | |||||||||
726,162 | |||||||||||
Home Decoration Products — 0.3% | |||||||||||
Newell Brands, Inc. | 30,327 | 772,732 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Leggett & Platt, Inc. | 541 | 23,999 | |||||||||
Tempur Sealy International, Inc.† | 597 | 27,038 | |||||||||
51,037 |
Security Description | Shares | Value (Note 2) | |||||||||
Hotels/Motels — 0.1% | |||||||||||
Extended Stay America, Inc. | 1,753 | $ | 34,657 | ||||||||
Hilton Worldwide Holdings, Inc. | 538 | 42,373 | |||||||||
Hyatt Hotels Corp., Class A | 959 | 73,133 | |||||||||
150,163 | |||||||||||
Human Resources — 0.1% | |||||||||||
ManpowerGroup, Inc. | 1,385 | 159,413 | |||||||||
Independent Power Producers — 0.5% | |||||||||||
NRG Energy, Inc. | 37,134 | 1,133,701 | |||||||||
Instruments-Scientific — 0.2% | |||||||||||
PerkinElmer, Inc. | 8,069 | 610,985 | |||||||||
Insurance Brokers — 1.2% | |||||||||||
Arthur J. Gallagher & Co. | 11,407 | 784,003 | |||||||||
Brown & Brown, Inc. | 39,308 | 999,996 | |||||||||
Marsh & McLennan Cos., Inc. | 10,400 | 858,936 | |||||||||
Willis Towers Watson PLC | 2,591 | 394,324 | |||||||||
3,037,259 | |||||||||||
Insurance-Life/Health — 1.2% | |||||||||||
Athene Holding, Ltd., Class A† | 11,244 | 537,576 | |||||||||
Brighthouse Financial, Inc.† | 7,136 | 366,790 | |||||||||
Lincoln National Corp. | 11,419 | 834,272 | |||||||||
Principal Financial Group, Inc. | 5,585 | 340,182 | |||||||||
Torchmark Corp. | 2,385 | 200,746 | |||||||||
Unum Group | 16,715 | 795,801 | |||||||||
3,075,367 | |||||||||||
Insurance-Multi-line — 2.8% | |||||||||||
American Financial Group, Inc. | 1,470 | 164,963 | |||||||||
American National Insurance Co. | 155 | 18,129 | |||||||||
Assurant, Inc. | 7,926 | 724,516 | |||||||||
Cincinnati Financial Corp. | 3,222 | 239,266 | |||||||||
CNA Financial Corp. | 18,898 | 932,616 | |||||||||
Hartford Financial Services Group, Inc. | 29,731 | 1,531,741 | |||||||||
Kemper Corp. | 10,044 | 572,508 | |||||||||
Loews Corp. | 32,281 | 1,605,334 | |||||||||
Old Republic International Corp. | 5,101 | 109,416 | |||||||||
Voya Financial, Inc. | 22,949 | 1,158,925 | |||||||||
7,057,414 | |||||||||||
Insurance-Property/Casualty — 1.5% | |||||||||||
Alleghany Corp. | 311 | 191,091 | |||||||||
Arch Capital Group, Ltd.† | 2,223 | 190,267 | |||||||||
Erie Indemnity Co., Class A | 137 | 16,117 | |||||||||
First American Financial Corp. | 2,250 | 132,030 | |||||||||
Hanover Insurance Group, Inc. | 6,059 | 714,295 | |||||||||
Markel Corp.† | 286 | 334,691 | |||||||||
Mercury General Corp. | 570 | 26,146 | |||||||||
ProAssurance Corp. | 1,098 | 53,308 | |||||||||
Progressive Corp. | 10,300 | 627,579 | |||||||||
White Mountains Insurance Group, Ltd. | 1,317 | 1,083,259 | |||||||||
WR Berkley Corp. | 1,993 | 144,891 | |||||||||
XL Group, Ltd. | 3,594 | 198,604 | |||||||||
3,712,278 |
196
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Insurance-Reinsurance — 0.8% | |||||||||||
Aspen Insurance Holdings, Ltd. | 854 | $ | 38,302 | ||||||||
Axis Capital Holdings, Ltd. | 9,115 | 524,751 | |||||||||
Everest Re Group, Ltd. | 3,510 | 901,438 | |||||||||
Reinsurance Group of America, Inc. | 1,343 | 206,822 | |||||||||
RenaissanceRe Holdings, Ltd. | 767 | 106,237 | |||||||||
Validus Holdings, Ltd. | 2,714 | 183,059 | |||||||||
1,960,609 | |||||||||||
Internet Content-Entertainment — 0.2% | |||||||||||
Twitter, Inc.† | 13,343 | 387,080 | |||||||||
Internet Security — 0.0% | |||||||||||
FireEye, Inc.† | 3,798 | 64,300 | |||||||||
Investment Companies — 0.3% | |||||||||||
Groupe Bruxelles Lambert SA | 1,887 | 215,774 | |||||||||
Pargesa Holding SA | 4,621 | 410,036 | |||||||||
625,810 | |||||||||||
Investment Management/Advisor Services — 0.8% | |||||||||||
Affiliated Managers Group, Inc. | 1,161 | 220,102 | |||||||||
Ameriprise Financial, Inc. | 309 | 45,713 | |||||||||
Federated Investors, Inc., Class B | 1,429 | 47,729 | |||||||||
Invesco, Ltd. | 33,078 | 1,058,827 | |||||||||
Legg Mason, Inc. | 1,346 | 54,715 | |||||||||
T. Rowe Price Group, Inc. | 4,170 | 450,235 | |||||||||
Waddell & Reed Financial, Inc., Class A | 4,800 | 97,008 | |||||||||
1,974,329 | |||||||||||
Lighting Products & Systems — 0.0% | |||||||||||
Acuity Brands, Inc. | 276 | 38,416 | |||||||||
Machinery-Construction & Mining — 0.1% | |||||||||||
Oshkosh Corp. | 1,560 | 120,541 | |||||||||
Terex Corp. | 1,628 | 60,904 | |||||||||
181,445 | |||||||||||
Machinery-Electrical — 0.2% | |||||||||||
Regal Beloit Corp. | 7,206 | 528,560 | |||||||||
Machinery-Farming — 0.1% | |||||||||||
AGCO Corp. | 5,594 | 362,771 | |||||||||
Machinery-General Industrial — 0.1% | |||||||||||
IDEX Corp. | 110 | 15,676 | |||||||||
Roper Technologies, Inc. | 114 | 31,999 | |||||||||
Wabtec Corp. | 3,667 | 298,494 | |||||||||
346,169 | |||||||||||
Machinery-Pumps — 0.5% | |||||||||||
Flowserve Corp. | 2,733 | 118,421 | |||||||||
Xylem, Inc. | 15,697 | 1,207,413 | |||||||||
1,325,834 | |||||||||||
Marine Services — 0.1% | |||||||||||
SEACOR Marine Holdings, Inc.† | 10,350 | 196,857 | |||||||||
Medical Information Systems — 0.1% | |||||||||||
Cotiviti Holdings, Inc.† | 6,547 | 225,479 | |||||||||
Medical Instruments — 0.1% | |||||||||||
Bruker Corp. | 1,356 | 40,572 | |||||||||
Halyard Health, Inc.† | 1,100 | 50,688 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical Instruments (continued) | |||||||||||
Teleflex, Inc. | 789 | $ | 201,179 | ||||||||
292,439 | |||||||||||
Medical Labs & Testing Services — 0.5% | |||||||||||
IQVIA Holdings, Inc.† | 1,153 | 113,121 | |||||||||
Laboratory Corp. of America Holdings† | 2,140 | 346,145 | |||||||||
Quest Diagnostics, Inc. | 8,923 | 894,977 | |||||||||
1,354,243 | |||||||||||
Medical Products — 2.0% | |||||||||||
Baxter International, Inc. | 22,600 | 1,469,904 | |||||||||
Cooper Cos., Inc. | 225 | 51,482 | |||||||||
Henry Schein, Inc.† | 6,900 | 463,749 | |||||||||
Hill-Rom Holdings, Inc. | 88 | 7,656 | |||||||||
Hologic, Inc.† | 29,591 | 1,105,520 | |||||||||
Zimmer Biomet Holdings, Inc. | 18,341 | 1,999,903 | |||||||||
5,098,214 | |||||||||||
Medical-Biomedical/Gene — 0.3% | |||||||||||
Alnylam Pharmaceuticals, Inc.† | 241 | 28,703 | |||||||||
Bio-Rad Laboratories, Inc., Class A† | 440 | 110,035 | |||||||||
Intrexon Corp.† | 361 | 5,534 | |||||||||
Seattle Genetics, Inc.† | 10,996 | 575,531 | |||||||||
United Therapeutics Corp.† | 898 | 100,899 | |||||||||
820,702 | |||||||||||
Medical-Drugs — 0.7% | |||||||||||
Akorn, Inc.† | 97 | 1,815 | |||||||||
Alkermes PLC† | 15,600 | 904,176 | |||||||||
Endo International PLC† | 4,664 | 27,704 | |||||||||
Mallinckrodt PLC† | 1,982 | 28,699 | |||||||||
Zoetis, Inc. | 10,000 | 835,100 | |||||||||
1,797,494 | |||||||||||
Medical-Generic Drugs — 1.3% | |||||||||||
Mylan NV† | 31,868 | 1,312,005 | |||||||||
Perrigo Co. PLC | 19,458 | 1,621,630 | |||||||||
Teva Pharmaceutical Industries, Ltd. ADR | 13,700 | 234,133 | |||||||||
3,167,768 | |||||||||||
Medical-HMO — 0.1% | |||||||||||
Centene Corp.† | 3,113 | 332,686 | |||||||||
WellCare Health Plans, Inc.† | 74 | 14,329 | |||||||||
347,015 | |||||||||||
Medical-Hospitals — 1.1% | |||||||||||
Acadia Healthcare Co., Inc.† | 1,643 | 64,373 | |||||||||
Envision Healthcare Corp.† | 2,507 | 96,344 | |||||||||
LifePoint Health, Inc.† | 8,180 | 384,460 | |||||||||
Select Medical Holdings Corp.† | 71,100 | 1,226,475 | |||||||||
Universal Health Services, Inc., Class B | 7,446 | 881,681 | |||||||||
2,653,333 | |||||||||||
Medical-Wholesale Drug Distribution — 0.6% | |||||||||||
AmerisourceBergen Corp. | 5,484 | 472,775 | |||||||||
Cardinal Health, Inc. | 10,726 | 672,306 | |||||||||
Premier, Inc., Class A† | 12,919 | 404,494 | |||||||||
1,549,575 |
197
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
Timken Co. | 1,446 | $ | 65,938 | ||||||||
Metal-Aluminum — 0.1% | |||||||||||
Alcoa Corp.† | 3,871 | 174,040 | |||||||||
Metal-Copper — 0.2% | |||||||||||
Freeport-McMoRan, Inc.† | 22,764 | 399,964 | |||||||||
Southern Copper Corp. | 184 | 9,969 | |||||||||
409,933 | |||||||||||
Miscellaneous Manufacturing — 0.0% | |||||||||||
AptarGroup, Inc. | 979 | 87,944 | |||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Dolby Laboratories, Inc., Class A | 1,204 | 76,526 | |||||||||
Lions Gate Entertainment Corp., Class A | 393 | 10,151 | |||||||||
Lions Gate Entertainment Corp., Class B | 769 | 18,518 | |||||||||
105,195 | |||||||||||
Motorcycle/Motor Scooter — 0.2% | |||||||||||
Harley-Davidson, Inc. | 11,673 | 500,538 | |||||||||
Multilevel Direct Selling — 0.0% | |||||||||||
Nu Skin Enterprises, Inc., Class A | 788 | 58,083 | |||||||||
Multimedia — 0.5% | |||||||||||
Liberty Media Corp. - Liberty Formula One, Series A† | 517 | 15,143 | |||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 3,911 | 120,654 | |||||||||
Viacom, Inc., Class A | 210 | 8,316 | |||||||||
Viacom, Inc., Class B | 38,762 | 1,203,948 | |||||||||
1,348,061 | |||||||||||
Networking Products — 0.0% | |||||||||||
LogMeIn, Inc. | 407 | 47,029 | |||||||||
Non-Ferrous Metals — 0.2% | |||||||||||
Cameco Corp. | 65,800 | 598,122 | |||||||||
Non-Hazardous Waste Disposal — 0.1% | |||||||||||
Republic Services, Inc. | 4,722 | 312,738 | |||||||||
Office Automation & Equipment — 0.3% | |||||||||||
Pitney Bowes, Inc. | 3,899 | 42,460 | |||||||||
Xerox Corp. | 25,700 | 739,646 | |||||||||
782,106 | |||||||||||
Office Supplies & Forms — 0.0% | |||||||||||
Avery Dennison Corp. | 103 | 10,944 | |||||||||
Oil & Gas Drilling — 0.2% | |||||||||||
Helmerich & Payne, Inc. | 2,221 | 147,830 | |||||||||
Nabors Industries, Ltd. | 6,464 | 45,184 | |||||||||
Patterson-UTI Energy, Inc. | 19,128 | 334,931 | |||||||||
Transocean, Ltd.† | 8,977 | 88,872 | |||||||||
616,817 | |||||||||||
Oil Companies-Exploration & Production — 5.0% | |||||||||||
Antero Resources Corp.† | 2,449 | 48,613 | |||||||||
Apache Corp. | 36,666 | 1,410,908 | |||||||||
ARC Resources, Ltd. | 31,800 | 346,545 | |||||||||
Cabot Oil & Gas Corp. | 29,313 | 702,926 |
Security Description | Shares | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Canadian Natural Resources, Ltd. | 2,200 | $ | 69,234 | ||||||||
Centennial Resource Development, Inc., Class A† | 3,291 | 60,390 | |||||||||
Chesapeake Energy Corp.† | 17,650 | 53,303 | |||||||||
Cimarex Energy Co. | 133 | 12,435 | |||||||||
CNX Resources Corp.† | 4,633 | 71,487 | |||||||||
Concho Resources, Inc.† | 5,665 | 851,619 | |||||||||
Continental Resources, Inc.† | 1,022 | 60,247 | |||||||||
Devon Energy Corp. | 10,220 | 324,894 | |||||||||
Diamondback Energy, Inc.† | 1,588 | 200,914 | |||||||||
Energen Corp.† | 13,004 | 817,431 | |||||||||
EQT Corp. | 50,439 | 2,396,357 | |||||||||
Extraction Oil & Gas, Inc.† | 2,517 | 28,845 | |||||||||
Gulfport Energy Corp.† | 3,003 | 28,979 | |||||||||
Hess Corp. | 58,827 | 2,977,823 | |||||||||
Kosmos Energy, Ltd.† | 4,829 | 30,423 | |||||||||
Marathon Oil Corp. | 17,794 | 287,017 | |||||||||
Noble Energy, Inc. | 10,091 | 305,757 | |||||||||
Parsley Energy, Inc., Class A† | 1,672 | 48,471 | |||||||||
PDC Energy, Inc.† | 8,031 | 393,760 | |||||||||
Pioneer Natural Resources Co. | 4,309 | 740,200 | |||||||||
QEP Resources, Inc.† | 5,015 | 49,097 | |||||||||
Range Resources Corp. | 4,780 | 69,501 | |||||||||
RSP Permian, Inc.† | 1,367 | 64,085 | |||||||||
SM Energy Co. | 2,317 | 41,775 | |||||||||
Southwestern Energy Co.† | 12,275 | 53,151 | |||||||||
Whiting Petroleum Corp.† | 1,883 | 63,721 | |||||||||
WPX Energy, Inc.† | 8,286 | 122,467 | |||||||||
12,732,375 | |||||||||||
Oil Companies-Integrated — 0.7% | |||||||||||
Imperial Oil, Ltd. | 25,900 | 686,350 | |||||||||
Murphy Oil Corp. | 40,513 | 1,046,856 | |||||||||
1,733,206 | |||||||||||
Oil Field Machinery & Equipment — 0.2% | |||||||||||
Forum Energy Technologies, Inc.† | 21,903 | 240,933 | |||||||||
National Oilwell Varco, Inc. | 7,970 | 293,376 | |||||||||
534,309 | |||||||||||
Oil Refining & Marketing — 0.8% | |||||||||||
Andeavor | 10,157 | 1,021,388 | |||||||||
HollyFrontier Corp. | 3,709 | 181,222 | |||||||||
Marathon Petroleum Corp. | 10,157 | 742,578 | |||||||||
Murphy USA, Inc.† | 669 | 48,703 | |||||||||
PBF Energy, Inc., Class A | 2,289 | 77,597 | |||||||||
2,071,488 | |||||||||||
Oil-Field Services — 0.6% | |||||||||||
Baker Hughes a GE Co., LLC | 8,915 | 247,570 | |||||||||
Frank's International NV | 76,758 | 416,796 | |||||||||
NOW, Inc.† | 22,374 | 228,662 | |||||||||
Oceaneering International, Inc. | 2,054 | 38,081 | |||||||||
Oil States International, Inc.† | 12,817 | 335,805 | |||||||||
RPC, Inc. | 97 | 1,749 | |||||||||
SEACOR Holdings, Inc.† | 4,809 | 245,740 | |||||||||
Weatherford International PLC† | 18,475 | 42,308 | |||||||||
1,556,711 |
198
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Paper & Related Products — 0.0% | |||||||||||
Domtar Corp. | 1,303 | $ | 55,430 | ||||||||
International Paper Co. | 785 | 41,942 | |||||||||
97,372 | |||||||||||
Physicians Practice Management — 0.3% | |||||||||||
MEDNAX, Inc.† | 12,458 | 693,039 | |||||||||
Pipelines — 0.5% | |||||||||||
Cheniere Energy, Inc.† | 1,451 | 77,556 | |||||||||
Plains GP Holdings LP, Class A | 31,725 | 690,019 | |||||||||
Targa Resources Corp. | 4,442 | 195,448 | |||||||||
Williams Cos., Inc. | 14,809 | 368,151 | |||||||||
1,331,174 | |||||||||||
Poultry — 0.0% | |||||||||||
Pilgrim's Pride Corp.† | 121 | 2,978 | |||||||||
Power Converter/Supply Equipment — 0.0% | |||||||||||
Hubbell, Inc. | 409 | 49,808 | |||||||||
Precious Metals — 0.0% | |||||||||||
Tahoe Resources, Inc. | 6,458 | 30,288 | |||||||||
Private Equity — 0.2% | |||||||||||
Apollo Global Management LLC, Class A | 17,074 | 505,732 | |||||||||
Professional Sports — 0.1% | |||||||||||
Madison Square Garden Co., Class A† | 1,064 | 261,531 | |||||||||
Publishing-Books — 0.1% | |||||||||||
John Wiley & Sons, Inc., Class A | 926 | 58,986 | |||||||||
Scholastic Corp. | 5,100 | 198,084 | |||||||||
257,070 | |||||||||||
Publishing-Newspapers — 0.5% | |||||||||||
News Corp., Class A | 84,278 | 1,331,592 | |||||||||
News Corp., Class B | 2,540 | 40,894 | |||||||||
1,372,486 | |||||||||||
Radio — 0.1% | |||||||||||
Liberty Media Corp. - Liberty SiriusXM, Series A† | 1,860 | 76,446 | |||||||||
Liberty Media Corp. - Liberty SiriusXM, Series C† | 3,742 | 152,861 | |||||||||
Sirius XM Holdings, Inc. | 1,558 | 9,722 | |||||||||
239,029 | |||||||||||
Real Estate Investment Trusts — 8.7% | |||||||||||
AGNC Investment Corp. | 8,193 | 155,012 | |||||||||
Alexandria Real Estate Equities, Inc. | 2,097 | 261,894 | |||||||||
American Campus Communities, Inc. | 2,852 | 110,144 | |||||||||
American Homes 4 Rent, Class A | 5,020 | 100,802 | |||||||||
Annaly Capital Management, Inc. | 51,620 | 538,397 | |||||||||
Apartment Investment & Management Co., Class A | 3,266 | 133,089 | |||||||||
Apple Hospitality REIT, Inc. | 4,391 | 77,150 | |||||||||
AvalonBay Communities, Inc. | 2,885 | 474,467 | |||||||||
Boston Properties, Inc. | 2,743 | 337,992 | |||||||||
Brandywine Realty Trust | 3,612 | 57,359 | |||||||||
Brixmor Property Group, Inc. | 41,431 | 631,823 | |||||||||
Camden Property Trust | 1,903 | 160,194 | |||||||||
Chimera Investment Corp. | 3,922 | 68,282 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Colony NorthStar, Inc., Class A | 11,267 | $ | 63,321 | ||||||||
Columbia Property Trust, Inc. | 2,507 | 51,293 | |||||||||
CoreCivic, Inc. | 2,466 | 48,136 | |||||||||
Corporate Office Properties Trust | 2,083 | 53,804 | |||||||||
CubeSmart | 1,209 | 34,094 | |||||||||
CyrusOne, Inc. | 231 | 11,829 | |||||||||
DCT Industrial Trust, Inc. | 1,952 | 109,976 | |||||||||
DDR Corp. | 6,474 | 47,454 | |||||||||
Digital Realty Trust, Inc. | 1,015 | 106,961 | |||||||||
Douglas Emmett, Inc. | 635 | 23,343 | |||||||||
Duke Realty Corp. | 7,445 | 197,144 | |||||||||
Empire State Realty Trust, Inc., Class A | 2,700 | 45,333 | |||||||||
EPR Properties | 10,811 | 598,929 | |||||||||
Equity Commonwealth† | 42,320 | 1,297,954 | |||||||||
Equity Residential | 16,200 | 998,244 | |||||||||
Essex Property Trust, Inc. | 1,370 | 329,732 | |||||||||
Extra Space Storage, Inc. | 387 | 33,808 | |||||||||
Federal Realty Investment Trust | 935 | 108,563 | |||||||||
Forest City Realty Trust, Inc., Class A | 15,877 | 321,668 | |||||||||
Gaming and Leisure Properties, Inc. | 2,855 | 95,557 | |||||||||
GGP, Inc. | 12,908 | 264,098 | |||||||||
HCP, Inc. | 9,834 | 228,444 | |||||||||
Healthcare Trust of America, Inc., Class A | 4,246 | 112,307 | |||||||||
Highwoods Properties, Inc. | 2,128 | 93,249 | |||||||||
Hospitality Properties Trust | 3,397 | 86,080 | |||||||||
Host Hotels & Resorts, Inc. | 15,290 | 285,006 | |||||||||
Hudson Pacific Properties, Inc. | 2,933 | 95,410 | |||||||||
Invitation Homes, Inc. | 6,136 | 140,085 | |||||||||
Iron Mountain, Inc. | 744 | 24,448 | |||||||||
JBG SMITH Properties | 1,800 | 60,678 | |||||||||
Kilroy Realty Corp. | 2,019 | 143,268 | |||||||||
Kimco Realty Corp. | 8,651 | 124,574 | |||||||||
Lamar Advertising Co., Class A | 184 | 11,713 | |||||||||
Liberty Property Trust | 3,079 | 122,329 | |||||||||
Life Storage, Inc. | 11,329 | 946,198 | |||||||||
Macerich Co. | 2,865 | 160,497 | |||||||||
Medical Properties Trust, Inc. | 65,956 | 857,428 | |||||||||
MFA Financial, Inc. | 8,252 | 62,138 | |||||||||
Mid-America Apartment Communities, Inc. | 9,484 | 865,320 | |||||||||
National Retail Properties, Inc. | 3,204 | 125,789 | |||||||||
New Residential Investment Corp. | 6,949 | 114,311 | |||||||||
Omega Healthcare Investors, Inc. | 4,074 | 110,161 | |||||||||
OUTFRONT Media, Inc. | 2,488 | 46,625 | |||||||||
Paramount Group, Inc. | 4,307 | 61,332 | |||||||||
Park Hotels & Resorts, Inc. | 3,740 | 101,055 | |||||||||
Piedmont Office Realty Trust, Inc., Class A | 2,980 | 52,418 | |||||||||
Prologis, Inc. | 11,049 | 695,976 | |||||||||
Rayonier, Inc. | 57,192 | 2,012,015 | |||||||||
Realty Income Corp. | 5,906 | 305,517 | |||||||||
Regency Centers Corp. | 12,022 | 709,058 | |||||||||
Retail Properties of America, Inc., Class A | 4,599 | 53,624 | |||||||||
Senior Housing Properties Trust | 4,925 | 77,125 |
199
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
SL Green Realty Corp. | 1,895 | $ | 183,493 | ||||||||
Spirit Realty Capital, Inc. | 9,545 | 74,069 | |||||||||
Starwood Property Trust, Inc. | 5,336 | 111,789 | |||||||||
STORE Capital Corp. | 3,568 | 88,558 | |||||||||
Sun Communities, Inc. | 7,983 | 729,407 | |||||||||
Tanger Factory Outlet Centers, Inc. | 1,802 | 39,644 | |||||||||
Taubman Centers, Inc. | 3,722 | 211,819 | |||||||||
Two Harbors Investment Corp. | 3,621 | 55,655 | |||||||||
UDR, Inc. | 5,557 | 197,940 | |||||||||
Uniti Group, Inc. | 3,463 | 56,274 | |||||||||
Ventas, Inc. | 7,432 | 368,107 | |||||||||
VEREIT, Inc. | 20,459 | 142,395 | |||||||||
Vornado Realty Trust | 3,603 | 242,482 | |||||||||
Washington Prime Group, Inc. | 40,169 | 267,927 | |||||||||
Weingarten Realty Investors | 2,511 | 70,509 | |||||||||
Welltower, Inc. | 7,771 | 422,975 | |||||||||
Weyerhaeuser Co. | 51,441 | 1,800,435 | |||||||||
WP Carey, Inc. | 2,208 | 136,874 | |||||||||
22,032,376 | |||||||||||
Real Estate Management/Services — 0.7% | |||||||||||
CBRE Group, Inc., Class A† | 3,451 | 162,956 | |||||||||
Jones Lang LaSalle, Inc. | 945 | 165,035 | |||||||||
Realogy Holdings Corp. | 53,972 | 1,472,356 | |||||||||
1,800,347 | |||||||||||
Real Estate Operations & Development — 0.2% | |||||||||||
Howard Hughes Corp.† | 767 | 106,712 | |||||||||
St. Joe Co.† | 12,401 | 233,759 | |||||||||
VICI Properties, Inc. | 4,659 | 85,353 | |||||||||
425,824 | |||||||||||
Recreational Vehicles — 0.2% | |||||||||||
Brunswick Corp. | 7,441 | 441,921 | |||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
AMERCO | 105 | 36,235 | |||||||||
Element Fleet Management Corp. | 43,807 | 141,110 | |||||||||
177,345 | |||||||||||
Retail-Apparel/Shoe — 1.2% | |||||||||||
Burlington Stores, Inc.† | 600 | 79,890 | |||||||||
Chico's FAS, Inc. | 11,000 | 99,440 | |||||||||
Foot Locker, Inc. | 2,350 | 107,019 | |||||||||
Gap, Inc. | 6,642 | 207,230 | |||||||||
L Brands, Inc. | 17,436 | 666,230 | |||||||||
PVH Corp. | 5,957 | 902,069 | |||||||||
Tapestry, Inc. | 4,960 | 260,946 | |||||||||
Urban Outfitters, Inc.† | 15,963 | 589,992 | |||||||||
2,912,816 | |||||||||||
Retail-Arts & Crafts — 0.1% | |||||||||||
Michaels Cos., Inc.† | 17,141 | 337,849 | |||||||||
Retail-Auto Parts — 0.1% | |||||||||||
Advance Auto Parts, Inc. | 1,091 | 129,338 | |||||||||
AutoZone, Inc.† | 82 | 53,193 | |||||||||
Genuine Parts Co. | 1,878 | 168,719 | |||||||||
351,250 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Automobile — 0.0% | |||||||||||
AutoNation, Inc.† | 1,212 | $ | 56,697 | ||||||||
Penske Automotive Group, Inc. | 744 | 32,982 | |||||||||
89,679 | |||||||||||
Retail-Bedding — 0.0% | |||||||||||
Bed Bath & Beyond, Inc. | 2,869 | 60,220 | |||||||||
Retail-Catalog Shopping — 0.1% | |||||||||||
Liberty Interactive Corp. QVC Group, Class A† | 3,591 | 90,385 | |||||||||
MSC Industrial Direct Co., Inc., Class A | 545 | 49,982 | |||||||||
140,367 | |||||||||||
Retail-Consumer Electronics — 0.1% | |||||||||||
Best Buy Co., Inc. | 5,261 | 368,217 | |||||||||
Retail-Convenience Store — 0.0% | |||||||||||
Casey's General Stores, Inc. | 781 | 85,730 | |||||||||
Retail-Discount — 0.1% | |||||||||||
Dollar General Corp. | 3,524 | 329,670 | |||||||||
Dollar Tree, Inc.† | 255 | 24,200 | |||||||||
353,870 | |||||||||||
Retail-Drug Store — 0.0% | |||||||||||
Rite Aid Corp.† | 11,914 | 20,016 | |||||||||
Retail-Gardening Products — 0.2% | |||||||||||
Tractor Supply Co. | 8,503 | 535,859 | |||||||||
Retail-Jewelry — 0.4% | |||||||||||
Signet Jewelers, Ltd. | 1,264 | 48,689 | |||||||||
Tiffany & Co. | 8,960 | 875,034 | |||||||||
923,723 | |||||||||||
Retail-Mail Order — 0.0% | |||||||||||
Williams-Sonoma, Inc. | 1,413 | 74,550 | |||||||||
Retail-Misc./Diversified — 0.0% | |||||||||||
GameStop Corp., Class A | 2,081 | 26,262 | |||||||||
Sally Beauty Holdings, Inc.† | 1,713 | 28,179 | |||||||||
54,441 | |||||||||||
Retail-Petroleum Products — 0.0% | |||||||||||
World Fuel Services Corp. | 1,393 | 34,198 | |||||||||
Retail-Regional Department Stores — 0.2% | |||||||||||
Kohl's Corp. | 3,517 | 230,399 | |||||||||
Macy's, Inc. | 6,394 | 190,157 | |||||||||
420,556 | |||||||||||
Retail-Restaurants — 0.1% | |||||||||||
Dave & Buster's Entertainment, Inc.† | 5,781 | 241,299 | |||||||||
Yum China Holdings, Inc. | 1,051 | 43,616 | |||||||||
284,915 | |||||||||||
Retail-Sporting Goods — 0.0% | |||||||||||
Dick's Sporting Goods, Inc. | 367 | 12,863 | |||||||||
Retirement/Aged Care — 0.0% | |||||||||||
Brookdale Senior Living, Inc.† | 3,851 | 25,840 | |||||||||
Rubber-Tires — 0.2% | |||||||||||
Goodyear Tire & Rubber Co. | 19,715 | 524,025 | |||||||||
Satellite Telecom — 0.0% | |||||||||||
EchoStar Corp., Class A† | 987 | 52,084 |
200
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Savings & Loans/Thrifts — 0.3% | |||||||||||
Capitol Federal Financial, Inc. | 38,400 | $ | 474,240 | ||||||||
New York Community Bancorp, Inc. | 9,957 | 129,740 | |||||||||
People's United Financial, Inc. | 7,164 | 133,680 | |||||||||
TFS Financial Corp. | 1,099 | 16,144 | |||||||||
753,804 | |||||||||||
Schools — 0.3% | |||||||||||
Graham Holdings Co., Class B | 89 | 53,600 | |||||||||
Strayer Education, Inc. | 6,600 | 666,930 | |||||||||
720,530 | |||||||||||
Semiconductor Components-Integrated Circuits — 1.3% | |||||||||||
Analog Devices, Inc. | 8,647 | 788,001 | |||||||||
Cypress Semiconductor Corp. | 6,390 | 108,375 | |||||||||
Marvell Technology Group, Ltd. | 80,139 | 1,682,919 | |||||||||
Maxim Integrated Products, Inc. | 12,347 | 743,536 | |||||||||
3,322,831 | |||||||||||
Semiconductor Equipment — 0.0% | |||||||||||
Teradyne, Inc. | 276 | 12,616 | |||||||||
Shipbuilding — 0.0% | |||||||||||
Huntington Ingalls Industries, Inc. | 153 | 39,437 | |||||||||
Steel Pipe & Tube — 0.0% | |||||||||||
Valmont Industries, Inc. | 463 | 67,737 | |||||||||
Steel-Producers — 0.6% | |||||||||||
Nucor Corp. | 19,189 | 1,172,256 | |||||||||
Reliance Steel & Aluminum Co. | 1,482 | 127,067 | |||||||||
Steel Dynamics, Inc. | 4,158 | 183,867 | |||||||||
United States Steel Corp. | 3,649 | 128,408 | |||||||||
1,611,598 | |||||||||||
Telecom Services — 0.0% | |||||||||||
Switch, Inc., Class A | 205 | 3,262 | |||||||||
Telecommunication Equipment — 0.4% | |||||||||||
ARRIS International PLC† | 3,705 | 98,442 | |||||||||
CommScope Holding Co., Inc.† | 1,957 | 78,221 | |||||||||
Juniper Networks, Inc. | 7,682 | 186,903 | |||||||||
NICE, Ltd., ADR† | 6,062 | 569,404 | |||||||||
932,970 | |||||||||||
Telephone-Integrated — 0.3% | |||||||||||
CenturyLink, Inc. | 20,158 | 331,196 | |||||||||
GCI Liberty, Inc., Class A† | 1,666 | 88,065 | |||||||||
Telephone & Data Systems, Inc. | 11,724 | 328,623 | |||||||||
747,884 | |||||||||||
Television — 0.1% | |||||||||||
TEGNA, Inc. | 4,492 | 51,164 | |||||||||
Tribune Media Co., Class A | 1,668 | 67,571 | |||||||||
118,735 | |||||||||||
Textile-Home Furnishings — 0.1% | |||||||||||
Mohawk Industries, Inc.† | 1,214 | 281,915 | |||||||||
Theaters — 0.0% | |||||||||||
Cinemark Holdings, Inc. | 2,223 | 83,740 | |||||||||
Therapeutics — 0.0% | |||||||||||
Agios Pharmaceuticals, Inc.† | 78 | 6,379 |
Security Description | Shares | Value (Note 2) | |||||||||
Tools-Hand Held — 0.6% | |||||||||||
Snap-on, Inc. | 1,029 | $ | 151,819 | ||||||||
Stanley Black & Decker, Inc. | 9,617 | 1,473,324 | |||||||||
1,625,143 | |||||||||||
Toys — 0.3% | |||||||||||
Hasbro, Inc. | 578 | 48,725 | |||||||||
Mattel, Inc. | 45,216 | 594,591 | |||||||||
643,316 | |||||||||||
Transport-Marine — 0.1% | |||||||||||
Dorian LPG, Ltd.† | 1,107 | 8,292 | |||||||||
Kirby Corp.† | 1,115 | 85,799 | |||||||||
Tidewater, Inc.† | 6,500 | 185,965 | |||||||||
280,056 | |||||||||||
Transport-Rail — 0.6% | |||||||||||
Genesee & Wyoming, Inc., Class A† | 1,275 | 90,257 | |||||||||
Kansas City Southern | 12,470 | 1,369,830 | |||||||||
1,460,087 | |||||||||||
Transport-Services — 1.2% | |||||||||||
C.H. Robinson Worldwide, Inc. | 22,692 | 2,126,467 | |||||||||
Expeditors International of Washington, Inc. | 11,599 | 734,217 | |||||||||
Ryder System, Inc. | 1,100 | 80,069 | |||||||||
2,940,753 | |||||||||||
Transport-Truck — 0.2% | |||||||||||
Old Dominion Freight Line, Inc. | 483 | 70,986 | |||||||||
Schneider National, Inc., Class B | 9,979 | 260,053 | |||||||||
XPO Logistics, Inc.† | 655 | 66,686 | |||||||||
397,725 | |||||||||||
Water — 0.2% | |||||||||||
American Water Works Co., Inc. | 3,739 | 307,084 | |||||||||
Aqua America, Inc. | 3,723 | 126,805 | |||||||||
433,889 | |||||||||||
Wireless Equipment — 0.4% | |||||||||||
Motorola Solutions, Inc. | 9,352 | 984,766 | |||||||||
Total Common Stocks (cost $215,921,894) | 245,257,449 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 0.1% | |||||||||||
Agricultural Operations — 0.1% | |||||||||||
Bunge, Ltd. (Preference Shares) (cost $220,716) | 1,948 | 212,274 | |||||||||
EXCHANGE-TRADED FUNDS — 0.8% | |||||||||||
iShares Russell Midcap Value Index Fund (cost $2,132,889) | 24,012 | 2,075,357 | |||||||||
Total Long-Term Investment Securities (cost $218,275,499) | 247,545,080 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.8% | |||||||||||
Registered Investment Companies — 1.5% | |||||||||||
State Street Institutional U.S. Government Money Market Fund Premier Class 1.58%(3) | 1,630,758 | 1,630,758 |
201
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES (continued) | |||||||||||
Registered Investment Companies (continued) | |||||||||||
T. Rowe Price Government Reserve Fund 1.63%(3) | 2,086,914 | $ | 2,086,914 | ||||||||
3,717,672 | |||||||||||
U.S. Government Agencies — 0.2% | |||||||||||
Federal Home Loan Bank Disc Notes 1.12% due 04/02/2018 | $ | 234,000 | 234,000 | ||||||||
1.22% due 04/02/2018 | 442,000 | 442,000 | |||||||||
676,000 | |||||||||||
U.S. Government Treasuries — 0.1% | |||||||||||
United States Treasury Bills Disc. Notes 1.61% due 05/24/2018(4) | 200,000 | 199,523 | |||||||||
Total Short-Term Investment Securities (cost $4,593,178) | 4,593,195 | ||||||||||
REPURCHASE AGREEMENTS — 0.1% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.28%, dated 03/29/2018, to be repurchased 04/02/2018 in the amount of $143,004 and collateralized by $150,000 of United States Treasury Notes, bearing interest at 2.38%, due 08/15/2024 and having an approximate value of $147,619 (cost $143,000) | 143,000 | 143,000 | |||||||||
TOTAL INVESTMENTS (cost $223,011,677)(5) | 99.9 | % | 252,281,275 | ||||||||
Other assets less liabilities | 0.1 | 279,513 | |||||||||
NET ASSETS | 100.0 | % | $ | 252,560,788 |
@ See Note 1
† Non-income producing security
(1) Security classified as Level 3 (see Note 2).
(2) Illiquid security. At March 31, 2018, the aggregate value of these securities was $388 representing 0.0% of net assets.
(3) The rate shown is the 7-day yield as of March 31, 2018.
(4) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(5) See Note 4 for cost of investments on a tax basis.
ADR — American Depositary Receipt
CVR — Contingent Value Rights
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
4 | Long | S&P 400 E-Mini Index | June 2018 | $ | 778,127 | $ | 753,240 | $ | (24,887 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
202
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Common Stocks: | |||||||||||||||||||
Food-Retail | $ | 1,652,554 | $ | 226,865 | ** | $ | 388 | $ | 1,879,807 | ||||||||||
Other Industries | 240,868,872 | 2,508,770 | ** | — | 243,377,642 | ||||||||||||||
Convertible Preferred Securities | 212,274 | — | — | 212,274 | |||||||||||||||
Exchange-Traded Funds | 2,075,357 | — | — | 2,075,357 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 3,717,672 | — | — | 3,717,672 | |||||||||||||||
Other Short-Term Investment Securities | — | 875,523 | — | 875,523 | |||||||||||||||
Repurchase Agreements | — | 143,000 | — | 143,000 | |||||||||||||||
Total Investments at Value | $ | 248,526,729 | $ | 3,754,158 | $ | 388 | $ | 252,281,275 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 24,887 | $ | — | $ | — | $ | 24,887 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
** Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).
† Other Financial Instruments are derivative instruments, not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.
At the beginning and end of the reporting period, Level 3 investment in securities were not considered a material portion of the
Portfolio.
See Notes to Financial Statements
203
Seasons Series Trust SA Multi-Managed Small Cap Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Banks-Commercial | 8.2 | % | |||||
Human Resources | 5.0 | ||||||
Real Estate Investment Trusts | 4.0 | ||||||
Insurance-Property/Casualty | 3.2 | ||||||
Aerospace/Defense-Equipment | 2.6 | ||||||
Medical-Biomedical/Gene | 2.3 | ||||||
Commercial Services-Finance | 1.7 | ||||||
Real Estate Management/Services | 1.7 | ||||||
Savings & Loans/Thrifts | 1.6 | ||||||
Recreational Vehicles | 1.6 | ||||||
Finance-Auto Loans | 1.5 | ||||||
Building-Residential/Commercial | 1.5 | ||||||
Chemicals-Specialty | 1.4 | ||||||
Veterinary Diagnostics | 1.4 | ||||||
Retail-Automobile | 1.3 | ||||||
Enterprise Software/Service | 1.3 | ||||||
Building & Construction Products-Misc. | 1.3 | ||||||
Medical Products | 1.2 | ||||||
Electronic Components-Misc. | 1.2 | ||||||
Applications Software | 1.1 | ||||||
Electronic Components-Semiconductors | 1.1 | ||||||
Miscellaneous Manufacturing | 1.1 | ||||||
Engineering/R&D Services | 1.0 | ||||||
Auto/Truck Parts & Equipment-Replacement | 1.0 | ||||||
Finance-Consumer Loans | 1.0 | ||||||
Retail-Restaurants | 1.0 | ||||||
Medical-Drugs | 0.9 | ||||||
Retail-Apparel/Shoe | 0.9 | ||||||
Medical-HMO | 0.9 | ||||||
Professional Sports | 0.9 | ||||||
Diversified Manufacturing Operations | 0.8 | ||||||
Oil Companies-Exploration & Production | 0.8 | ||||||
Computer Services | 0.8 | ||||||
Investment Management/Advisor Services | 0.8 | ||||||
B2B/E-Commerce | 0.8 | ||||||
Paper & Related Products | 0.8 | ||||||
Diversified Operations/Commercial Services | 0.8 | ||||||
Finance-Other Services | 0.8 | ||||||
Building & Construction-Misc. | 0.7 | ||||||
Finance-Investment Banker/Broker | 0.7 | ||||||
Machinery-General Industrial | 0.7 | ||||||
Computer Software | 0.7 | ||||||
Building-Heavy Construction | 0.7 | ||||||
Semiconductor Equipment | 0.7 | ||||||
Building Products-Wood | 0.6 | ||||||
Oil-Field Services | 0.6 | ||||||
Batteries/Battery Systems | 0.6 | ||||||
Food-Misc./Diversified | 0.6 | ||||||
Registered Investment Companies | 0.6 | ||||||
Medical Instruments | 0.6 | ||||||
Electric-Integrated | 0.6 | ||||||
Energy-Alternate Sources | 0.6 | ||||||
Consumer Products-Misc. | 0.6 | ||||||
E-Commerce/Services | 0.6 | ||||||
Power Converter/Supply Equipment | 0.5 | ||||||
Auto-Heavy Duty Trucks | 0.5 | ||||||
Time Deposits | 0.5 | ||||||
Gas-Distribution | 0.5 | ||||||
Home Furnishings | 0.5 | ||||||
Data Processing/Management | 0.5 |
Medical-Hospitals | 0.5 | % | |||||
Medical-Outpatient/Home Medical | 0.5 | ||||||
Machinery-Farming | 0.5 | ||||||
Distribution/Wholesale | 0.5 | ||||||
Computer Aided Design | 0.5 | ||||||
Bicycle Manufacturing | 0.5 | ||||||
Therapeutics | 0.5 | ||||||
Rubber/Plastic Products | 0.4 | ||||||
Auto/Truck Parts & Equipment-Original | 0.4 | ||||||
Gambling (Non-Hotel) | 0.4 | ||||||
Transport-Truck | 0.4 | ||||||
Insurance-Life/Health | 0.4 | ||||||
Telecom Equipment-Fiber Optics | 0.4 | ||||||
Footwear & Related Apparel | 0.4 | ||||||
Auto-Truck Trailers | 0.4 | ||||||
Containers-Paper/Plastic | 0.4 | ||||||
Consulting Services | 0.4 | ||||||
Racetracks | 0.3 | ||||||
Water | 0.3 | ||||||
Commercial Services | 0.3 | ||||||
Drug Delivery Systems | 0.3 | ||||||
Printing-Commercial | 0.3 | ||||||
Web Hosting/Design | 0.3 | ||||||
Office Supplies & Forms | 0.3 | ||||||
Exchange-Traded Funds | 0.3 | ||||||
Retail-Home Furnishings | 0.3 | ||||||
Airlines | 0.3 | ||||||
Building Products-Cement | 0.3 | ||||||
Chemicals-Diversified | 0.3 | ||||||
Publishing-Newspapers | 0.3 | ||||||
Electronic Measurement Instruments | 0.3 | ||||||
Oil Refining & Marketing | 0.3 | ||||||
Retail-Discount | 0.3 | ||||||
Computers-Integrated Systems | 0.2 | ||||||
Financial Guarantee Insurance | 0.2 | ||||||
Retail-Pawn Shops | 0.2 | ||||||
Metal-Aluminum | 0.2 | ||||||
Building Products-Doors & Windows | 0.2 | ||||||
Semiconductor Components-Integrated Circuits | 0.2 | ||||||
Telephone-Integrated | 0.2 | ||||||
Banks-Mortgage | 0.2 | ||||||
Internet Security | 0.2 | ||||||
Patient Monitoring Equipment | 0.2 | ||||||
Independent Power Producers | 0.2 | ||||||
Repurchase Agreements | 0.2 | ||||||
Telecom Services | 0.2 | ||||||
Wireless Equipment | 0.2 | ||||||
Broadcast Services/Program | 0.2 | ||||||
E-Services/Consulting | 0.2 | ||||||
Computers-Periphery Equipment | 0.2 | ||||||
Electronic Parts Distribution | 0.2 | ||||||
Retail-Jewelry | 0.2 | ||||||
Retail-Misc./Diversified | 0.2 | ||||||
Schools | 0.2 | ||||||
Computers-Other | 0.2 | ||||||
Engines-Internal Combustion | 0.2 | ||||||
Circuit Boards | 0.2 | ||||||
Health Care Cost Containment | 0.2 | ||||||
Computer Data Security | 0.2 | ||||||
Insurance-Multi-line | 0.2 |
204
Seasons Series Trust SA Multi-Managed Small Cap Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Medical-Generic Drugs | 0.2 | % | |||||
Metal Products-Distribution | 0.2 | ||||||
Lasers-System/Components | 0.1 | ||||||
Transport-Services | 0.1 | ||||||
Wire & Cable Products | 0.1 | ||||||
Disposable Medical Products | 0.1 | ||||||
Resorts/Theme Parks | 0.1 | ||||||
Networking Products | 0.1 | ||||||
Aerospace/Defense | 0.1 | ||||||
Publishing-Books | 0.1 | ||||||
Diagnostic Kits | 0.1 | ||||||
Firearms & Ammunition | 0.1 | ||||||
Retail-Hair Salons | 0.1 | ||||||
Television | 0.1 | ||||||
Poultry | 0.1 | ||||||
Medical Information Systems | 0.1 | ||||||
Appliances | 0.1 | ||||||
Oil & Gas Drilling | 0.1 | ||||||
Environmental Consulting & Engineering | 0.1 | ||||||
Transactional Software | 0.1 | ||||||
Coal | 0.1 | ||||||
Metal Processors & Fabrication | 0.1 | ||||||
Instruments-Controls | 0.1 | ||||||
Building-Mobile Home/Manufactured Housing | 0.1 | ||||||
Linen Supply & Related Items | 0.1 | ||||||
Diagnostic Equipment | 0.1 | ||||||
Medical Imaging Systems | 0.1 | ||||||
Office Furnishings-Original | 0.1 | ||||||
Medical-Nursing Homes | 0.1 | ||||||
Machinery-Pumps | 0.1 | ||||||
Food-Wholesale/Distribution | 0.1 | ||||||
Cosmetics & Toiletries | 0.1 | ||||||
Diversified Minerals | 0.1 | ||||||
Chemicals-Plastics | 0.1 | ||||||
Retail-Regional Department Stores | 0.1 | ||||||
Food-Retail | 0.1 | ||||||
Storage/Warehousing | 0.1 | ||||||
Building-Maintenance & Services | 0.1 | ||||||
Oil Field Machinery & Equipment | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Internet Connectivity Services | 0.1 | ||||||
Identification Systems | 0.1 | ||||||
Medical-Wholesale Drug Distribution | 0.1 | ||||||
Food-Dairy Products | 0.1 | ||||||
Electric-Generation | 0.1 | ||||||
Auto Repair Centers | 0.1 | ||||||
Environmental Monitoring & Detection | 0.1 | ||||||
Internet Telephone | 0.1 | ||||||
Multimedia | 0.1 | ||||||
Textile-Apparel | 0.1 | ||||||
Funeral Services & Related Items | 0.1 | ||||||
Machinery-Electrical | 0.1 | ||||||
Building Products-Air & Heating | 0.1 | ||||||
Golf | 0.1 | ||||||
Airport Development/Maintenance | 0.1 | ||||||
Vitamins & Nutrition Products | 0.1 | ||||||
E-Marketing/Info | 0.1 | ||||||
Transport-Air Freight | 0.1 | ||||||
Hotels/Motels | 0.1 | ||||||
Rental Auto/Equipment | 0.1 |
Telecommunication Equipment | 0.1 | % | |||||
Transport-Equipment & Leasing | 0.1 | ||||||
X-Ray Equipment | 0.1 | ||||||
Athletic Equipment | 0.1 | ||||||
Internet Content-Information/News | 0.1 | ||||||
Banks-Fiduciary | 0.1 | ||||||
Apparel Manufacturers | 0.1 | ||||||
Travel Services | 0.1 | ||||||
Tobacco | 0.1 | ||||||
Security Services | 0.1 | ||||||
Banks-Super Regional | 0.1 | ||||||
Hazardous Waste Disposal | 0.1 | ||||||
Motion Pictures & Services | 0.1 | ||||||
Web Portals/ISP | 0.1 | ||||||
Beverages-Wine/Spirits | 0.1 | ||||||
99.9 | % |
* Calculated as a percentage of net assets
@ See Note 1
205
Seasons Series Trust SA Multi-Managed Small Cap Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 98.3% | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
AeroVironment, Inc.† | 2,644 | $ | 120,329 | ||||||||
Cubic Corp. | 3,117 | 198,241 | |||||||||
National Presto Industries, Inc. | 624 | 58,500 | |||||||||
377,070 | |||||||||||
Aerospace/Defense-Equipment — 2.6% | |||||||||||
AAR Corp. | 8,519 | 375,773 | |||||||||
Aerojet Rocketdyne Holdings, Inc.† | 9,346 | 261,408 | |||||||||
Curtiss-Wright Corp. | 3,700 | 499,759 | |||||||||
HEICO Corp. | 38,971 | 3,383,073 | |||||||||
Kaman Corp. | 3,459 | 214,873 | |||||||||
KLX, Inc.† | 25,391 | 1,804,284 | |||||||||
Moog, Inc., Class A† | 7,432 | 612,471 | |||||||||
Triumph Group, Inc. | 6,182 | 155,786 | |||||||||
7,307,427 | |||||||||||
Agricultural Operations — 0.0% | |||||||||||
Andersons, Inc. | 3,282 | 108,634 | |||||||||
Airlines — 0.3% | |||||||||||
Allegiant Travel Co. | 1,560 | 269,178 | |||||||||
Hawaiian Holdings, Inc. | 6,385 | 247,099 | |||||||||
SkyWest, Inc. | 6,444 | 350,554 | |||||||||
866,831 | |||||||||||
Airport Development/Maintenance — 0.1% | |||||||||||
Hudson, Ltd., Class A† | 12,100 | 192,511 | |||||||||
Apparel Manufacturers — 0.1% | |||||||||||
Oxford Industries, Inc. | 2,095 | 156,203 | |||||||||
Appliances — 0.1% | |||||||||||
Hamilton Beach Brands Holding Co., Class A | 6,200 | 131,564 | |||||||||
iRobot Corp.† | 3,478 | 223,253 | |||||||||
354,817 | |||||||||||
Applications Software — 1.1% | |||||||||||
Ebix, Inc. | 6,643 | 494,903 | |||||||||
HubSpot, Inc.† | 2,500 | 270,750 | |||||||||
PDF Solutions, Inc.† | 3,419 | 39,866 | |||||||||
Progress Software Corp. | 29,173 | 1,121,702 | |||||||||
RealPage, Inc.† | 24,678 | 1,270,917 | |||||||||
3,198,138 | |||||||||||
Athletic Equipment — 0.1% | |||||||||||
Nautilus, Inc.† | 3,821 | 51,392 | |||||||||
Vista Outdoor, Inc.† | 7,134 | 116,427 | |||||||||
167,819 | |||||||||||
Audio/Video Products — 0.0% | |||||||||||
Daktronics, Inc. | 4,871 | 42,913 | |||||||||
Universal Electronics, Inc.† | 1,780 | 92,649 | |||||||||
135,562 | |||||||||||
Auto Repair Centers — 0.1% | |||||||||||
Monro, Inc. | 4,081 | 218,742 | |||||||||
Auto-Heavy Duty Trucks — 0.5% | |||||||||||
REV Group, Inc. | 71,690 | 1,488,284 | |||||||||
Auto-Truck Trailers — 0.4% | |||||||||||
Wabash National Corp. | 52,274 | 1,087,822 |
Security Description | Shares | Value (Note 2) | |||||||||
Auto/Truck Parts & Equipment-Original — 0.4% | |||||||||||
American Axle & Manufacturing Holdings, Inc.† | 12,326 | $ | 187,602 | ||||||||
Cooper-Standard Holding, Inc.† | 2,007 | 246,479 | |||||||||
Gentherm, Inc.† | 4,565 | 154,982 | |||||||||
Meritor, Inc.† | 1,300 | 26,728 | |||||||||
Superior Industries International, Inc. | 2,883 | 38,344 | |||||||||
Tenneco, Inc. | 9,225 | 506,176 | |||||||||
Titan International, Inc. | 6,178 | 77,904 | |||||||||
1,238,215 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 1.0% | |||||||||||
Dorman Products, Inc.† | 31,034 | 2,054,761 | |||||||||
Douglas Dynamics, Inc. | 14,400 | 624,240 | |||||||||
Motorcar Parts of America, Inc.† | 2,374 | 50,875 | |||||||||
Standard Motor Products, Inc. | 2,533 | 120,495 | |||||||||
2,850,371 | |||||||||||
B2B/E-Commerce — 0.8% | |||||||||||
ePlus, Inc.† | 28,206 | 2,191,606 | |||||||||
Banks-Commercial — 8.2% | |||||||||||
1st Source Corp. | 2,940 | 148,823 | |||||||||
Allegiance Bancshares, Inc.† | 14,643 | 573,273 | |||||||||
Ameris Bancorp | 4,759 | 251,751 | |||||||||
BancFirst Corp. | 9,100 | 483,210 | |||||||||
BancorpSouth Bank | 12,000 | 381,600 | |||||||||
Bank of the Ozarks | 71,379 | 3,445,464 | |||||||||
Banner Corp. | 14,960 | 830,130 | |||||||||
Cadence BanCorp | 800 | 21,784 | |||||||||
Cathay General Bancorp, Class B | 4,700 | 187,906 | |||||||||
Central Pacific Financial Corp. | 19,218 | 546,944 | |||||||||
Central Valley Community Bancorp | 1,100 | 21,516 | |||||||||
Citizens & Northern Corp. | 1,200 | 27,708 | |||||||||
City Holding Co. | 4,930 | 338,001 | |||||||||
Columbia Banking System, Inc. | 9,090 | 381,325 | |||||||||
Community Bank System, Inc. | 6,321 | 338,553 | |||||||||
Customers Bancorp, Inc.† | 3,671 | 107,010 | |||||||||
CVB Financial Corp. | 32,150 | 727,876 | |||||||||
East West Bancorp, Inc. | 155 | 9,694 | |||||||||
FCB Financial Holdings, Inc., Class A† | 14,400 | 735,840 | |||||||||
Fidelity Southern Corp. | 2,738 | 63,166 | |||||||||
First BanCorp./Puerto Rico† | 22,602 | 136,064 | |||||||||
First Commonwealth Financial Corp. | 31,837 | 449,857 | |||||||||
First Community Bancshares, Inc. | 1,300 | 38,805 | |||||||||
First Financial Bancorp | 10,827 | 317,772 | |||||||||
First Financial Bankshares, Inc. | 8,410 | 389,383 | |||||||||
First Hawaiian, Inc. | 4,300 | 119,669 | |||||||||
First Horizon National Corp. | 5,043 | 94,960 | |||||||||
First Interstate BancSystem, Inc., Class A | 3,200 | 126,560 | |||||||||
First Midwest Bancorp, Inc. | 12,819 | 315,219 | |||||||||
Fulton Financial Corp. | 5,000 | 88,750 | |||||||||
Glacier Bancorp, Inc. | 9,878 | 379,118 | |||||||||
Great Western Bancorp, Inc. | 8,822 | 355,262 | |||||||||
Green Bancorp, Inc.† | 3,055 | 67,974 | |||||||||
Guaranty Bancorp | 2,000 | 56,700 | |||||||||
Hanmi Financial Corp. | 4,039 | 124,199 |
206
Seasons Series Trust SA Multi-Managed Small Cap Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Banks-Commercial (continued) | |||||||||||
Heritage Financial Corp. | 4,300 | $ | 131,580 | ||||||||
Home BancShares, Inc. | 76,204 | 1,738,213 | |||||||||
HomeStreet, Inc.† | 3,347 | 95,892 | |||||||||
Hope Bancorp, Inc. | 25,678 | 467,083 | |||||||||
Independent Bank Corp./ Massachusetts | 4,023 | 287,846 | |||||||||
Independent Bank Corp./Michgan | 5,600 | 128,240 | |||||||||
LegacyTexas Financial Group, Inc. | 53,096 | 2,273,571 | |||||||||
MainSource Financial Group, Inc. | 1,400 | 56,910 | |||||||||
NBT Bancorp, Inc. | 5,425 | 192,479 | |||||||||
OFG Bancorp | 16,369 | 171,056 | |||||||||
Old National Bancorp | 16,653 | 281,436 | |||||||||
Opus Bank | 2,145 | 60,060 | |||||||||
PacWest Bancorp | 3,200 | 158,496 | |||||||||
S&T Bancorp, Inc. | 4,352 | 173,819 | |||||||||
Seacoast Banking Corp. of Florida† | 5,839 | 154,558 | |||||||||
ServisFirst Bancshares, Inc. | 5,615 | 229,204 | |||||||||
Sierra Bancorp | 1,400 | 37,296 | |||||||||
Simmons First National Corp., Class A | 15,325 | 435,996 | |||||||||
Southside Bancshares, Inc. | 4,369 | 151,779 | |||||||||
TCF Financial Corp. | 12,100 | 276,001 | |||||||||
Tompkins Financial Corp. | 1,538 | 116,519 | |||||||||
TrustCo Bank Corp. | 11,991 | 101,324 | |||||||||
Trustmark Corp. | 4,100 | 127,756 | |||||||||
UMB Financial Corp. | 2,900 | 209,931 | |||||||||
Union Bankshares Corp. | 14,563 | 534,608 | |||||||||
United Community Banks, Inc. | 9,156 | 289,787 | |||||||||
Veritex Holdings, Inc.† | 27,777 | 768,590 | |||||||||
Webster Financial Corp. | 2,800 | 155,120 | |||||||||
West Bancorporation, Inc. | 1,950 | 49,920 | |||||||||
Westamerica Bancorporation | 15,306 | 888,972 | |||||||||
23,425,908 | |||||||||||
Banks-Fiduciary — 0.1% | |||||||||||
Boston Private Financial Holdings, Inc. | 10,486 | 157,814 | |||||||||
Banks-Mortgage — 0.2% | |||||||||||
Walker & Dunlop, Inc. | 10,687 | 635,022 | |||||||||
Banks-Super Regional — 0.1% | |||||||||||
National Bank Holdings Corp., Class A | 4,457 | 148,195 | |||||||||
Batteries/Battery Systems — 0.6% | |||||||||||
EnerSys | 25,579 | 1,774,415 | |||||||||
Beverages-Non-alcoholic — 0.0% | |||||||||||
Coca-Cola Bottling Co. Consolidated | 578 | 99,803 | |||||||||
Beverages-Wine/Spirits — 0.1% | |||||||||||
MGP Ingredients, Inc. | 1,561 | 139,850 | |||||||||
Bicycle Manufacturing — 0.5% | |||||||||||
Fox Factory Holding Corp.† | 37,188 | 1,297,861 | |||||||||
Broadcast Services/Program — 0.2% | |||||||||||
Hemisphere Media Group, Inc.† | 12,400 | 139,500 | |||||||||
TiVo Corp. | 15,282 | 207,071 | |||||||||
World Wrestling Entertainment, Inc., Class A | 4,976 | 179,186 | |||||||||
525,757 |
Security Description | Shares | Value (Note 2) | |||||||||
Building & Construction Products-Misc. — 1.3% | |||||||||||
American Woodmark Corp.† | 1,764 | $ | 173,666 | ||||||||
Gibraltar Industries, Inc.† | 10,851 | 367,306 | |||||||||
Patrick Industries, Inc.† | 35,164 | 2,174,893 | |||||||||
Ply Gem Holdings, Inc.† | 6,300 | 136,080 | |||||||||
Quanex Building Products Corp. | 4,364 | 75,934 | |||||||||
Simpson Manufacturing Co., Inc. | 5,171 | 297,798 | |||||||||
Trex Co., Inc.† | 3,662 | 398,316 | |||||||||
3,623,993 | |||||||||||
Building & Construction-Misc. — 0.7% | |||||||||||
Aegion Corp.† | 4,061 | 93,038 | |||||||||
Comfort Systems USA, Inc. | 4,626 | 190,822 | |||||||||
EMCOR Group, Inc. | 15,900 | 1,239,087 | |||||||||
MYR Group, Inc.† | 8,849 | 272,726 | |||||||||
TopBuild Corp.† | 4,423 | 338,448 | |||||||||
2,134,121 | |||||||||||
Building Products-Air & Heating — 0.1% | |||||||||||
AAON, Inc. | 5,024 | 195,936 | |||||||||
Building Products-Cement — 0.3% | |||||||||||
Continental Building Products, Inc.† | 25,300 | 722,315 | |||||||||
US Concrete, Inc.† | 1,948 | 117,659 | |||||||||
839,974 | |||||||||||
Building Products-Doors & Windows — 0.2% | |||||||||||
Apogee Enterprises, Inc. | 3,536 | 153,286 | |||||||||
Griffon Corp. | 3,781 | 69,003 | |||||||||
Masonite International Corp.† | 5,700 | 349,695 | |||||||||
PGT Innovations , Inc.† | 6,180 | 115,257 | |||||||||
687,241 | |||||||||||
Building Products-Wood — 0.6% | |||||||||||
Boise Cascade Co. | 4,796 | 185,126 | |||||||||
Universal Forest Products, Inc. | 50,820 | 1,649,109 | |||||||||
1,834,235 | |||||||||||
Building-Heavy Construction — 0.7% | |||||||||||
Dycom Industries, Inc.† | 16,278 | 1,752,001 | |||||||||
MasTec, Inc.† | 3,000 | 141,150 | |||||||||
Orion Group Holdings, Inc.† | 3,509 | 23,124 | |||||||||
1,916,275 | |||||||||||
Building-Maintenance & Services — 0.1% | |||||||||||
ABM Industries, Inc. | 6,935 | 232,184 | |||||||||
Building-Mobile Home/Manufactured Housing — 0.1% | |||||||||||
Cavco Industries, Inc.† | 1,057 | 183,654 | |||||||||
Winnebago Industries, Inc. | 3,585 | 134,796 | |||||||||
318,450 | |||||||||||
Building-Residential/Commercial — 1.5% | |||||||||||
AV Homes, Inc.† | 2,700 | 50,085 | |||||||||
Beazer Homes USA, Inc.† | 19,500 | 311,025 | |||||||||
Hovnanian Enterprises, Inc., Class A† | 18,700 | 34,221 | |||||||||
Installed Building Products, Inc.† | 32,657 | 1,961,053 | |||||||||
KB Home | 3,400 | 96,730 | |||||||||
LGI Homes, Inc.† | 2,223 | 156,877 | |||||||||
M/I Homes, Inc.† | 3,468 | 110,456 | |||||||||
MDC Holdings, Inc. | 5,588 | 156,017 | |||||||||
Meritage Homes Corp.† | 4,718 | 213,489 |
207
Seasons Series Trust SA Multi-Managed Small Cap Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building-Residential/Commercial (continued) | |||||||||||
Taylor Morrison Home Corp., Class A† | 41,900 | $ | 975,432 | ||||||||
William Lyon Homes, Class A† | 3,582 | 98,469 | |||||||||
4,163,854 | |||||||||||
Capacitors — 0.0% | |||||||||||
KEMET Corp.† | 6,129 | 111,119 | |||||||||
Casino Hotels — 0.0% | |||||||||||
Monarch Casino & Resort, Inc.† | 1,414 | 59,798 | |||||||||
Cellular Telecom — 0.0% | |||||||||||
ATN International, Inc. | 1,356 | 80,845 | |||||||||
Chemicals-Diversified — 0.3% | |||||||||||
Aceto Corp. | 3,828 | 29,093 | |||||||||
AdvanSix, Inc.† | 3,788 | 131,747 | |||||||||
Innophos Holdings, Inc. | 2,432 | 97,791 | |||||||||
Innospec, Inc. | 3,030 | 207,858 | |||||||||
Koppers Holdings, Inc.† | 2,586 | 106,284 | |||||||||
Quaker Chemical Corp. | 1,656 | 245,303 | |||||||||
818,076 | |||||||||||
Chemicals-Fibers — 0.0% | |||||||||||
Rayonier Advanced Materials, Inc. | 6,432 | 138,095 | |||||||||
Chemicals-Other — 0.0% | |||||||||||
American Vanguard Corp. | 3,263 | 65,913 | |||||||||
Chemicals-Plastics — 0.1% | |||||||||||
A. Schulman, Inc. | 3,662 | 157,466 | |||||||||
PolyOne Corp. | 2,300 | 97,796 | |||||||||
255,262 | |||||||||||
Chemicals-Specialty — 1.4% | |||||||||||
Balchem Corp. | 27,576 | 2,254,338 | |||||||||
H.B. Fuller Co. | 6,288 | 312,702 | |||||||||
Hawkins, Inc. | 1,185 | 41,653 | |||||||||
Ingevity Corp.† | 5,239 | 386,062 | |||||||||
Kraton Corp.† | 3,944 | 188,168 | |||||||||
Minerals Technologies, Inc. | 6,100 | 408,395 | |||||||||
OMNOVA Solutions, Inc.† | 14,000 | 147,000 | |||||||||
Sensient Technologies Corp. | 1,800 | 127,044 | |||||||||
Stepan Co. | 2,461 | 204,706 | |||||||||
4,070,068 | |||||||||||
Circuit Boards — 0.2% | |||||||||||
Park Electrochemical Corp. | 2,367 | 39,861 | |||||||||
TTM Technologies, Inc.† | 27,363 | 418,380 | |||||||||
458,241 | |||||||||||
Coal — 0.1% | |||||||||||
Cloud Peak Energy, Inc.† | 9,341 | 27,182 | |||||||||
CONSOL Energy, Inc.† | 3,141 | 90,995 | |||||||||
NACCO Industries, Inc., Class A | 3,100 | 101,835 | |||||||||
SunCoke Energy, Inc.† | 10,603 | 114,088 | |||||||||
334,100 | |||||||||||
Commercial Services — 0.3% | |||||||||||
Care.com, Inc.† | 5,700 | 92,739 | |||||||||
HMS Holdings Corp.† | 10,316 | 173,722 | |||||||||
Medifast, Inc. | 2,007 | 187,554 | |||||||||
Nutrisystem, Inc. | 3,759 | 101,305 |
Security Description | Shares | Value (Note 2) | |||||||||
Commercial Services (continued) | |||||||||||
RPX Corp. | 32,600 | $ | 348,494 | ||||||||
Team, Inc.† | 3,723 | 51,191 | |||||||||
955,005 | |||||||||||
Commercial Services-Finance — 1.7% | |||||||||||
Cardtronics PLC, Class A† | 5,712 | 127,435 | |||||||||
Euronet Worldwide, Inc.† | 1,400 | 110,488 | |||||||||
EVERTEC, Inc. | 9,276 | 151,662 | |||||||||
Green Dot Corp., Class A† | 9,544 | 612,343 | |||||||||
MarketAxess Holdings, Inc. | 2,300 | 500,112 | |||||||||
Travelport Worldwide, Ltd. | 55,895 | 913,324 | |||||||||
WEX, Inc.† | 16,251 | 2,545,232 | |||||||||
4,960,596 | |||||||||||
Communications Software — 0.0% | |||||||||||
Digi International, Inc.† | 3,364 | 34,649 | |||||||||
Computer Aided Design — 0.5% | |||||||||||
Aspen Technology, Inc.† | 16,500 | 1,301,685 | |||||||||
Computer Data Security — 0.2% | |||||||||||
ForeScout Technologies, Inc.† | 1,100 | 35,684 | |||||||||
Qualys, Inc.† | 4,038 | 293,764 | |||||||||
VASCO Data Security International, Inc.† | 8,749 | 113,300 | |||||||||
442,748 | |||||||||||
Computer Graphics — 0.0% | |||||||||||
Monotype Imaging Holdings, Inc. | 5,172 | 116,111 | |||||||||
Computer Services — 0.8% | |||||||||||
CACI International, Inc., Class A† | 3,065 | 463,888 | |||||||||
Convergys Corp. | 9,300 | 210,366 | |||||||||
Engility Holdings, Inc.† | 2,197 | 53,607 | |||||||||
ExlService Holdings, Inc.† | 4,256 | 237,357 | |||||||||
Insight Enterprises, Inc.† | 4,460 | 155,788 | |||||||||
Science Applications International Corp. | 6,350 | 500,380 | |||||||||
Sykes Enterprises, Inc.† | 4,965 | 143,687 | |||||||||
TTEC Holdings, Inc. | 1,769 | 54,308 | |||||||||
Unisys Corp.† | 28,000 | 301,000 | |||||||||
Virtusa Corp.† | 3,406 | 165,055 | |||||||||
2,285,436 | |||||||||||
Computer Software — 0.7% | |||||||||||
Box, Inc., Class A† | 4,200 | 86,310 | |||||||||
Envestnet, Inc.† | 27,636 | 1,583,543 | |||||||||
SendGrid, Inc.† | 800 | 22,512 | |||||||||
Tintri, Inc.† | 8,200 | 14,022 | |||||||||
Workiva, Inc.† | 11,600 | 274,920 | |||||||||
1,981,307 | |||||||||||
Computers-Integrated Systems — 0.2% | |||||||||||
Agilysys, Inc.† | 1,915 | 22,827 | |||||||||
Cray, Inc.† | 5,037 | 104,266 | |||||||||
Mercury Systems, Inc.† | 6,003 | 290,065 | |||||||||
MTS Systems Corp. | 2,213 | 114,301 | |||||||||
NetScout Systems, Inc.† | 3,600 | 94,860 | |||||||||
Super Micro Computer, Inc.† | 4,727 | 80,359 | |||||||||
706,678 |
208
Seasons Series Trust SA Multi-Managed Small Cap Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Computers-Other — 0.2% | |||||||||||
Lumentum Holdings, Inc.† | 7,766 | $ | 495,471 | ||||||||
Computers-Periphery Equipment — 0.2% | |||||||||||
Electronics For Imaging, Inc.† | 18,886 | 516,154 | |||||||||
Consulting Services — 0.4% | |||||||||||
Forrester Research, Inc. | 1,230 | 50,984 | |||||||||
FTI Consulting, Inc.† | 4,659 | 225,542 | |||||||||
Huron Consulting Group, Inc.† | 16,600 | 632,460 | |||||||||
Navigant Consulting, Inc.† | 5,608 | 107,898 | |||||||||
1,016,884 | |||||||||||
Consumer Products-Misc. — 0.6% | |||||||||||
Central Garden & Pet Co.† | 1,286 | 55,298 | |||||||||
Central Garden & Pet Co., Class A† | 4,359 | 172,660 | |||||||||
Helen of Troy, Ltd.† | 13,442 | 1,169,454 | |||||||||
WD-40 Co. | 1,739 | 229,026 | |||||||||
1,626,438 | |||||||||||
Containers-Paper/Plastic — 0.4% | |||||||||||
Graphic Packaging Holding Co. | 36,900 | 566,415 | |||||||||
KapStone Paper and Packaging Corp. | 10,907 | 374,219 | |||||||||
Multi-Color Corp. | 1,730 | 114,267 | |||||||||
1,054,901 | |||||||||||
Cosmetics & Toiletries — 0.1% | |||||||||||
Avon Products, Inc.† | 54,804 | 155,644 | |||||||||
Inter Parfums, Inc. | 2,135 | 100,665 | |||||||||
256,309 | |||||||||||
Data Processing/Management — 0.5% | |||||||||||
Bottomline Technologies (DE), Inc.† | 4,331 | 167,826 | |||||||||
CSG Systems International, Inc. | 9,761 | 442,076 | |||||||||
Fair Isaac Corp.† | 4,600 | 779,102 | |||||||||
1,389,004 | |||||||||||
Diagnostic Equipment — 0.1% | |||||||||||
BioTelemetry, Inc.† | 3,846 | 119,418 | |||||||||
Repligen Corp.† | 4,665 | 168,780 | |||||||||
288,198 | |||||||||||
Diagnostic Kits — 0.1% | |||||||||||
Meridian Bioscience, Inc. | 17,465 | 248,003 | |||||||||
OraSure Technologies, Inc.† | 7,587 | 128,144 | |||||||||
376,147 | |||||||||||
Disposable Medical Products — 0.1% | |||||||||||
Merit Medical Systems, Inc.† | 6,256 | 283,710 | |||||||||
Utah Medical Products, Inc. | 1,100 | 108,735 | |||||||||
392,445 | |||||||||||
Distribution/Wholesale — 0.5% | |||||||||||
Anixter International, Inc.† | 3,605 | 273,079 | |||||||||
Core-Mark Holding Co., Inc. | 5,743 | 122,096 | |||||||||
Essendant, Inc. | 7,992 | 62,338 | |||||||||
Fossil Group, Inc.† | 5,388 | 68,428 | |||||||||
G-III Apparel Group, Ltd.† | 5,192 | 195,634 | |||||||||
ScanSource, Inc.† | 3,182 | 113,120 | |||||||||
Titan Machinery, Inc.† | 17,600 | 414,656 | |||||||||
Veritiv Corp.† | 1,386 | 54,331 | |||||||||
1,303,682 |
Security Description | Shares | Value (Note 2) | |||||||||
Diversified Manufacturing Operations — 0.8% | |||||||||||
Actuant Corp., Class A | 19,168 | $ | 445,656 | ||||||||
AZZ, Inc. | 3,231 | 141,195 | |||||||||
Barnes Group, Inc. | 6,095 | 365,030 | |||||||||
EnPro Industries, Inc. | 2,687 | 207,920 | |||||||||
Fabrinet† | 4,643 | 145,697 | |||||||||
Federal Signal Corp. | 7,467 | 164,423 | |||||||||
Harsco Corp.† | 18,412 | 380,208 | |||||||||
LSB Industries, Inc.† | 2,527 | 15,491 | |||||||||
Lydall, Inc.† | 2,160 | 104,220 | |||||||||
Raven Industries, Inc. | 4,450 | 155,972 | |||||||||
Standex International Corp. | 1,597 | 152,274 | |||||||||
Tredegar Corp. | 3,164 | 56,794 | |||||||||
2,334,880 | |||||||||||
Diversified Minerals — 0.1% | |||||||||||
US Silica Holdings, Inc. | 10,023 | 255,787 | |||||||||
Diversified Operations/Commercial Services — 0.8% | |||||||||||
Colliers International Group, Inc. | 29,514 | 2,049,747 | |||||||||
Viad Corp. | 2,542 | 133,328 | |||||||||
2,183,075 | |||||||||||
Drug Delivery Systems — 0.3% | |||||||||||
Depomed, Inc.† | 7,890 | 51,995 | |||||||||
Nektar Therapeutics† | 8,200 | 871,332 | |||||||||
923,327 | |||||||||||
E-Commerce/Products — 0.0% | |||||||||||
FTD Cos., Inc.† | 2,091 | 7,611 | |||||||||
E-Commerce/Services — 0.6% | |||||||||||
Cargurus, Inc.† | 1,000 | 38,470 | |||||||||
Shutterfly, Inc.† | 8,347 | 678,194 | |||||||||
Shutterstock, Inc.† | 2,292 | 110,360 | |||||||||
Stamps.com, Inc.† | 3,733 | 750,519 | |||||||||
1,577,543 | |||||||||||
E-Marketing/Info — 0.1% | |||||||||||
Liquidity Services, Inc.† | 3,219 | 20,924 | |||||||||
New Media Investment Group, Inc. | 6,625 | 113,552 | |||||||||
QuinStreet, Inc.† | 4,488 | 57,312 | |||||||||
191,788 | |||||||||||
E-Services/Consulting — 0.2% | |||||||||||
Perficient, Inc.† | 22,833 | 523,332 | |||||||||
Educational Software — 0.0% | |||||||||||
Rosetta Stone, Inc.† | 4,500 | 59,175 | |||||||||
Electric Products-Misc. — 0.0% | |||||||||||
Graham Corp. | 2,000 | 42,840 | |||||||||
Electric-Distribution — 0.0% | |||||||||||
Spark Energy, Inc., Class A | 8,200 | 97,170 | |||||||||
Electric-Generation — 0.1% | |||||||||||
Atlantic Power Corp.† | 104,900 | 220,290 | |||||||||
Electric-Integrated — 0.6% | |||||||||||
Avista Corp. | 9,567 | 490,309 | |||||||||
El Paso Electric Co. | 10,760 | 548,760 | |||||||||
NorthWestern Corp. | 1,500 | 80,700 | |||||||||
PNM Resources, Inc. | 4,200 | 160,650 | |||||||||
Portland General Electric Co. | 10,000 | 405,100 | |||||||||
1,685,519 |
209
Seasons Series Trust SA Multi-Managed Small Cap Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electronic Components-Misc. — 1.2% | |||||||||||
Bel Fuse, Inc., Class B | 2,527 | $ | 47,760 | ||||||||
Benchmark Electronics, Inc. | 23,064 | 688,460 | |||||||||
CTS Corp. | 4,099 | 111,493 | |||||||||
Knowles Corp.† | 17,900 | 225,361 | |||||||||
Methode Electronics, Inc. | 4,586 | 179,312 | |||||||||
OSI Systems, Inc.† | 2,225 | 145,226 | |||||||||
Plexus Corp.† | 4,193 | 250,448 | |||||||||
Rogers Corp.† | 2,279 | 272,432 | |||||||||
Sanmina Corp.† | 8,866 | 231,846 | |||||||||
Stoneridge, Inc.† | 18,200 | 502,320 | |||||||||
Vishay Intertechnology, Inc. | 34,000 | 632,400 | |||||||||
3,287,058 | |||||||||||
Electronic Components-Semiconductors — 1.1% | |||||||||||
Alpha & Omega Semiconductor, Ltd.† | 10,407 | 160,788 | |||||||||
Amkor Technology, Inc.† | 37,700 | 381,901 | |||||||||
CEVA, Inc.† | 2,765 | 100,093 | |||||||||
Diodes, Inc.† | 4,770 | 145,294 | |||||||||
DSP Group, Inc.† | 2,778 | 32,781 | |||||||||
Kopin Corp.† | 7,594 | 23,693 | |||||||||
Rambus, Inc.† | 36,670 | 492,478 | |||||||||
Semtech Corp.† | 8,258 | 322,475 | |||||||||
Silicon Laboratories, Inc.† | 1,000 | 89,900 | |||||||||
Synaptics, Inc.† | 10,900 | 498,457 | |||||||||
Xperi Corp. | 37,734 | 798,074 | |||||||||
3,045,934 | |||||||||||
Electronic Measurement Instruments — 0.3% | |||||||||||
Badger Meter, Inc. | 3,623 | 170,824 | |||||||||
ESCO Technologies, Inc. | 3,216 | 188,297 | |||||||||
FARO Technologies, Inc.† | 2,090 | 122,056 | |||||||||
Itron, Inc.† | 4,247 | 303,873 | |||||||||
785,050 | |||||||||||
Electronic Parts Distribution — 0.2% | |||||||||||
Tech Data Corp.† | 6,050 | 515,036 | |||||||||
Energy-Alternate Sources — 0.6% | |||||||||||
FutureFuel Corp. | 14,057 | 168,544 | |||||||||
Green Plains, Inc. | 4,803 | 80,690 | |||||||||
Pacific Ethanol, Inc.† | 14,500 | 43,500 | |||||||||
Pattern Energy Group, Inc., Class A | 7,800 | 134,862 | |||||||||
Renewable Energy Group, Inc.† | 18,800 | 240,640 | |||||||||
REX American Resources Corp.† | 9,994 | 727,563 | |||||||||
SolarEdge Technologies, Inc.† | 4,496 | 236,490 | |||||||||
1,632,289 | |||||||||||
Engineering/R&D Services — 1.0% | |||||||||||
Exponent, Inc. | 33,755 | 2,654,831 | |||||||||
VSE Corp. | 5,300 | 274,116 | |||||||||
2,928,947 | |||||||||||
Engines-Internal Combustion — 0.2% | |||||||||||
Briggs & Stratton Corp. | 23,140 | 495,427 | |||||||||
Enterprise Software/Service — 1.3% | |||||||||||
Donnelley Financial Solutions, Inc.† | 4,212 | 72,320 | |||||||||
LivePerson, Inc.† | 6,815 | 111,425 | |||||||||
Manhattan Associates, Inc.† | 2,400 | 100,512 |
Security Description | Shares | Value (Note 2) | |||||||||
Enterprise Software/Service (continued) | |||||||||||
ManTech International Corp., Class A | 3,241 | $ | 179,778 | ||||||||
MicroStrategy, Inc., Class A† | 1,171 | 151,047 | |||||||||
Omnicell, Inc.† | 4,826 | 209,449 | |||||||||
SailPoint Technologies Holding, Inc.† | 9,100 | 188,279 | |||||||||
SPS Commerce, Inc.† | 2,147 | 137,558 | |||||||||
Tyler Technologies, Inc.† | 12,312 | 2,597,340 | |||||||||
3,747,708 | |||||||||||
Entertainment Software — 0.0% | |||||||||||
Take-Two Interactive Software, Inc.† | 350 | 34,223 | |||||||||
Environmental Consulting & Engineering — 0.1% | |||||||||||
Tetra Tech, Inc. | 6,951 | 340,251 | |||||||||
Environmental Monitoring & Detection — 0.1% | |||||||||||
MSA Safety, Inc. | 2,600 | 216,424 | |||||||||
Finance-Auto Loans — 1.5% | |||||||||||
Credit Acceptance Corp.† | 12,660 | 4,182,991 | |||||||||
Finance-Consumer Loans — 1.0% | |||||||||||
Encore Capital Group, Inc.† | 2,954 | 133,521 | |||||||||
Enova International, Inc.† | 4,187 | 92,323 | |||||||||
Nelnet, Inc., Class A | 3,900 | 204,399 | |||||||||
PRA Group, Inc.† | 60,776 | 2,309,488 | |||||||||
World Acceptance Corp.† | 757 | 79,712 | |||||||||
2,819,443 | |||||||||||
Finance-Investment Banker/Broker — 0.7% | |||||||||||
Diamond Hill Investment Group, Inc. | 6,243 | 1,289,554 | |||||||||
Greenhill & Co., Inc. | 3,160 | 58,460 | |||||||||
Houlihan Lokey, Inc. | 6,600 | 294,360 | |||||||||
INTL. FCStone, Inc.† | 1,947 | 83,098 | |||||||||
Investment Technology Group, Inc. | 4,117 | 81,270 | |||||||||
Piper Jaffray Cos. | 1,778 | 147,663 | |||||||||
Stifel Financial Corp. | 1,350 | 79,960 | |||||||||
2,034,365 | |||||||||||
Finance-Other Services — 0.8% | |||||||||||
WageWorks, Inc.† | 48,051 | 2,171,905 | |||||||||
Financial Guarantee Insurance — 0.2% | |||||||||||
MBIA, Inc.† | 28,500 | 263,910 | |||||||||
MGIC Investment Corp.† | 12,300 | 159,900 | |||||||||
NMI Holdings, Inc., Class A† | 12,886 | 213,263 | |||||||||
Radian Group, Inc. | 3,200 | 60,928 | |||||||||
698,001 | |||||||||||
Firearms & Ammunition — 0.1% | |||||||||||
Axon Enterprise, Inc.† | 6,600 | 259,446 | |||||||||
Sturm Ruger & Co., Inc. | 2,169 | 113,872 | |||||||||
373,318 | |||||||||||
Food-Canned — 0.0% | |||||||||||
Seneca Foods Corp., Class A† | 1,941 | 53,766 | |||||||||
Food-Dairy Products — 0.1% | |||||||||||
Dean Foods Co. | 25,645 | 221,060 | |||||||||
Food-Flour & Grain — 0.0% | |||||||||||
Post Holdings, Inc.† | 1,400 | 106,064 | |||||||||
Food-Misc./Diversified — 0.6% | |||||||||||
B&G Foods, Inc. | 8,275 | 196,117 | |||||||||
Cal-Maine Foods, Inc.† | 3,704 | 161,865 | |||||||||
Darling Ingredients, Inc.† | 63,498 | 1,098,515 |
210
Seasons Series Trust SA Multi-Managed Small Cap Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Food-Misc./Diversified (continued) | |||||||||||
J&J Snack Foods Corp. | 1,860 | $ | 254,002 | ||||||||
John B. Sanfilippo & Son, Inc. | 1,088 | 62,963 | |||||||||
1,773,462 | |||||||||||
Food-Retail — 0.1% | |||||||||||
Ingles Markets, Inc., Class A | 5,000 | 169,250 | |||||||||
SUPERVALU, Inc.† | 4,773 | 72,693 | |||||||||
241,943 | |||||||||||
Food-Wholesale/Distribution — 0.1% | |||||||||||
Calavo Growers, Inc. | 1,964 | 181,081 | |||||||||
SpartanNash Co. | 4,486 | 77,204 | |||||||||
258,285 | |||||||||||
Footwear & Related Apparel — 0.4% | |||||||||||
Crocs, Inc.† | 8,566 | 139,197 | |||||||||
Steven Madden, Ltd. | 6,584 | 289,038 | |||||||||
Weyco Group, Inc. | 600 | 20,160 | |||||||||
Wolverine World Wide, Inc. | 23,048 | 666,087 | |||||||||
1,114,482 | |||||||||||
Funeral Services & Related Items — 0.1% | |||||||||||
Matthews International Corp., Class A | 4,019 | 203,361 | |||||||||
Gambling (Non-Hotel) — 0.4% | |||||||||||
Pinnacle Entertainment, Inc.† | 38,300 | 1,154,745 | |||||||||
Gas-Distribution — 0.5% | |||||||||||
Northwest Natural Gas Co. | 4,978 | 286,981 | |||||||||
South Jersey Industries, Inc. | 9,905 | 278,925 | |||||||||
Southwest Gas Holdings, Inc. | 2,800 | 189,364 | |||||||||
Spire, Inc. | 9,316 | 673,547 | |||||||||
1,428,817 | |||||||||||
Golf — 0.1% | |||||||||||
Callaway Golf Co. | 11,777 | 192,672 | |||||||||
Hazardous Waste Disposal — 0.1% | |||||||||||
US Ecology, Inc. | 2,722 | 145,083 | |||||||||
Health Care Cost Containment — 0.2% | |||||||||||
CorVel Corp.† | 1,198 | 60,559 | |||||||||
HealthEquity, Inc.† | 6,418 | 388,546 | |||||||||
449,105 | |||||||||||
Home Furnishings — 0.5% | |||||||||||
Ethan Allen Interiors, Inc. | 3,146 | 72,201 | |||||||||
Hooker Furniture Corp. | 20,031 | 735,138 | |||||||||
Sleep Number Corp.† | 16,590 | 583,138 | |||||||||
1,390,477 | |||||||||||
Hotels/Motels — 0.1% | |||||||||||
Belmond, Ltd., Class A† | 10,449 | 116,507 | |||||||||
Marcus Corp. | 2,395 | 72,688 | |||||||||
189,195 | |||||||||||
Housewares — 0.0% | |||||||||||
Lifetime Brands, Inc. | 1,000 | 12,400 | |||||||||
Human Resources — 5.0% | |||||||||||
AMN Healthcare Services, Inc.† | 69,201 | 3,927,157 | |||||||||
ASGN, Inc.† | 51,400 | 4,208,632 | |||||||||
Barrett Business Services, Inc. | 9,996 | 828,468 |
Security Description | Shares | Value (Note 2) | |||||||||
Human Resources (continued) | |||||||||||
Cross Country Healthcare, Inc.† | 26,734 | $ | 297,015 | ||||||||
Heidrick & Struggles International, Inc. | 2,338 | 73,062 | |||||||||
Insperity, Inc. | 52,817 | 3,673,422 | |||||||||
Kelly Services, Inc., Class A | 3,789 | 110,033 | |||||||||
Korn/Ferry International | 7,030 | 362,678 | |||||||||
Resources Connection, Inc. | 3,670 | 59,454 | |||||||||
TriNet Group, Inc.† | 1,600 | 74,112 | |||||||||
TrueBlue, Inc.† | 14,013 | 362,937 | |||||||||
Willdan Group, Inc.† | 14,878 | 421,791 | |||||||||
14,398,761 | |||||||||||
Identification Systems — 0.1% | |||||||||||
Brady Corp., Class A | 5,999 | 222,863 | |||||||||
Independent Power Producers — 0.2% | |||||||||||
Dynegy, Inc.† | 44,200 | 597,584 | |||||||||
Instruments-Controls — 0.1% | |||||||||||
Control4 Corp.† | 2,508 | 53,872 | |||||||||
Watts Water Technologies, Inc., Class A | 3,446 | 267,754 | |||||||||
321,626 | |||||||||||
Insurance Brokers — 0.0% | |||||||||||
eHealth, Inc.† | 2,039 | 29,178 | |||||||||
Insurance-Life/Health — 0.4% | |||||||||||
American Equity Investment Life Holding Co. | 11,185 | 328,392 | |||||||||
CNO Financial Group, Inc. | 16,600 | 359,722 | |||||||||
Primerica, Inc. | 4,800 | 463,680 | |||||||||
1,151,794 | |||||||||||
Insurance-Multi-line — 0.2% | |||||||||||
Horace Mann Educators Corp. | 5,075 | 216,956 | |||||||||
Kemper Corp. | 1,700 | 96,900 | |||||||||
United Fire Group, Inc. | 2,635 | 126,111 | |||||||||
439,967 | |||||||||||
Insurance-Property/Casualty — 3.2% | |||||||||||
Ambac Financial Group, Inc.† | 900 | 14,112 | |||||||||
AMERISAFE, Inc. | 25,584 | 1,413,516 | |||||||||
Employers Holdings, Inc. | 4,070 | 164,632 | |||||||||
First American Financial Corp. | 3,100 | 181,908 | |||||||||
Global Indemnity, Ltd. | 1,100 | 37,972 | |||||||||
HCI Group, Inc. | 986 | 37,626 | |||||||||
Infinity Property & Casualty Corp. | 1,361 | 161,142 | |||||||||
James River Group Holdings, Ltd. | 3,104 | 110,099 | |||||||||
Kinsale Capital Group, Inc. | 3,700 | 189,921 | |||||||||
National General Holdings Corp. | 75,509 | 1,835,624 | |||||||||
Navigators Group, Inc. | 7,393 | 426,206 | |||||||||
ProAssurance Corp. | 10,345 | 502,250 | |||||||||
RLI Corp. | 43,431 | 2,753,091 | |||||||||
Safety Insurance Group, Inc. | 1,894 | 145,554 | |||||||||
Selective Insurance Group, Inc. | 7,307 | 443,535 | |||||||||
Stewart Information Services Corp. | 2,955 | 129,843 | |||||||||
Third Point Reinsurance, Ltd.† | 16,411 | 228,933 | |||||||||
United Insurance Holdings Corp. | 2,554 | 48,884 | |||||||||
Universal Insurance Holdings, Inc. | 7,435 | 237,176 | |||||||||
9,062,024 |
211
Seasons Series Trust SA Multi-Managed Small Cap Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Blue Capital Reinsurance Holdings, Ltd. | 900 | $ | 10,980 | ||||||||
Maiden Holdings, Ltd. | 8,471 | 55,061 | |||||||||
66,041 | |||||||||||
Internet Connectivity Services — 0.1% | |||||||||||
Cogent Communications Holdings, Inc. | 5,149 | 223,467 | |||||||||
Internet Content-Information/News — 0.1% | |||||||||||
DHI Group, Inc.† | 15,397 | 24,635 | |||||||||
HealthStream, Inc. | 3,190 | 79,208 | |||||||||
XO Group, Inc.† | 3,007 | 62,395 | |||||||||
166,238 | |||||||||||
Internet Security — 0.2% | |||||||||||
Proofpoint, Inc.† | 3,575 | 406,299 | |||||||||
Zix Corp.† | 21,900 | 93,513 | |||||||||
Zscaler, Inc.† | 4,200 | 117,894 | |||||||||
617,706 | |||||||||||
Internet Telephone — 0.1% | |||||||||||
8x8, Inc.† | 11,469 | 213,897 | |||||||||
Investment Management/Advisor Services — 0.8% | |||||||||||
Artisan Partners Asset Management, Inc., Class A | 40,987 | 1,364,867 | |||||||||
BrightSphere Investment Group PLC | 3,100 | 48,856 | |||||||||
Financial Engines, Inc. | 7,848 | 274,680 | |||||||||
Virtus Investment Partners, Inc. | 1,892 | 234,229 | |||||||||
Waddell & Reed Financial, Inc., Class A | 10,347 | 209,113 | |||||||||
WisdomTree Investments, Inc. | 14,398 | 132,030 | |||||||||
2,263,775 | |||||||||||
Lasers-System/Components — 0.1% | |||||||||||
Applied Optoelectronics, Inc.† | 2,427 | 60,820 | |||||||||
Electro Scientific Industries, Inc.† | 4,175 | 80,703 | |||||||||
II-VI, Inc.† | 6,843 | 279,879 | |||||||||
421,402 | |||||||||||
Linen Supply & Related Items — 0.1% | |||||||||||
UniFirst Corp. | 1,926 | 311,338 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Astec Industries, Inc. | 2,383 | 131,494 | |||||||||
Machinery-Electrical — 0.1% | |||||||||||
Franklin Electric Co., Inc. | 4,816 | 196,252 | |||||||||
Machinery-Farming — 0.5% | |||||||||||
Alamo Group, Inc. | 10,936 | 1,201,866 | |||||||||
Lindsay Corp. | 1,323 | 120,975 | |||||||||
1,322,841 | |||||||||||
Machinery-General Industrial — 0.7% | |||||||||||
Albany International Corp., Class A | 3,609 | 226,284 | |||||||||
Applied Industrial Technologies, Inc. | 8,913 | 649,758 | |||||||||
Chart Industries, Inc.† | 3,848 | 227,147 | |||||||||
DXP Enterprises, Inc.† | 9,270 | 361,066 | |||||||||
Kadant, Inc. | 3,900 | 368,550 | |||||||||
Tennant Co. | 2,225 | 150,633 | |||||||||
1,983,438 |
Security Description | Shares | Value (Note 2) | |||||||||
Machinery-Pumps — 0.1% | |||||||||||
SPX FLOW, Inc.† | 5,288 | $ | 260,117 | ||||||||
Marine Services — 0.0% | |||||||||||
SEACOR Marine Holdings, Inc.† | 1,610 | 30,622 | |||||||||
Medical Imaging Systems — 0.1% | |||||||||||
Analogic Corp. | 1,554 | 149,028 | |||||||||
Lantheus Holdings, Inc.† | 8,122 | 129,140 | |||||||||
278,168 | |||||||||||
Medical Information Systems — 0.1% | |||||||||||
Allscripts Healthcare Solutions, Inc.† | 19,200 | 237,120 | |||||||||
Computer Programs & Systems, Inc. | 1,387 | 40,501 | |||||||||
Quality Systems, Inc.† | 5,868 | 80,098 | |||||||||
357,719 | |||||||||||
Medical Instruments — 0.6% | |||||||||||
Abaxis, Inc. | 2,825 | 199,501 | |||||||||
AngioDynamics, Inc.† | 20,873 | 360,059 | |||||||||
CONMED Corp. | 3,098 | 196,196 | |||||||||
CryoLife, Inc.† | 4,136 | 82,927 | |||||||||
Integra LifeSciences Holdings Corp.† | 7,911 | 437,795 | |||||||||
Natus Medical, Inc.† | 4,127 | 138,874 | |||||||||
NuVasive, Inc.† | 5,600 | 292,376 | |||||||||
1,707,728 | |||||||||||
Medical Labs & Testing Services — 0.0% | |||||||||||
Medpace Holdings, Inc.† | 2,100 | 73,311 | |||||||||
Medical Laser Systems — 0.0% | |||||||||||
Cutera, Inc.† | 1,724 | 86,631 | |||||||||
Medical Products — 1.2% | |||||||||||
Haemonetics Corp.† | 6,651 | 486,587 | |||||||||
Inogen, Inc.† | 2,153 | 264,474 | |||||||||
Integer Holdings Corp.† | 17,733 | 1,002,801 | |||||||||
Invacare Corp. | 4,086 | 71,096 | |||||||||
LeMaitre Vascular, Inc. | 1,894 | 68,620 | |||||||||
Luminex Corp. | 9,607 | 202,419 | |||||||||
MiMedx Group, Inc.† | 12,713 | 88,610 | |||||||||
Orthofix International NV† | 4,911 | 288,669 | |||||||||
OrthoPediatrics Corp.† | 2,200 | 33,132 | |||||||||
Surmodics, Inc.† | 1,642 | 62,478 | |||||||||
Tactile Systems Technology, Inc.† | 1,837 | 58,417 | |||||||||
Wright Medical Group NV† | 45,000 | 892,800 | |||||||||
3,520,103 | |||||||||||
Medical-Biomedical/Gene — 2.3% | |||||||||||
ACADIA Pharmaceuticals, Inc.† | 4,500 | 101,115 | |||||||||
Achillion Pharmaceuticals, Inc.† | 48,968 | 181,671 | |||||||||
Acorda Therapeutics, Inc.† | 5,838 | 138,069 | |||||||||
Alder Biopharmaceuticals, Inc.† | 16,400 | 208,280 | |||||||||
AMAG Pharmaceuticals, Inc.† | 13,042 | 262,796 | |||||||||
Amicus Therapeutics, Inc.† | 20,000 | 300,800 | |||||||||
ANI Pharmaceuticals, Inc.† | 1,115 | 64,915 | |||||||||
Arena Pharmaceuticals, Inc.† | 6,130 | 242,135 | |||||||||
ARMO BioSciences, Inc.† | 4,000 | 149,640 | |||||||||
Avexis, Inc.† | 2,550 | 315,129 | |||||||||
Biohaven Pharmaceutical Holding Co., Ltd.† | 6,000 | 154,560 | |||||||||
Bluebird Bio, Inc.† | 1,000 | 170,750 | |||||||||
Cambrex Corp.† | 4,088 | 213,803 |
212
Seasons Series Trust SA Multi-Managed Small Cap Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
CytomX Therapeutics, Inc.† | 6,800 | $ | 193,460 | ||||||||
Emergent BioSolutions, Inc.† | 4,365 | 229,817 | |||||||||
Homology Medicines, Inc.† | 8,600 | 160,820 | |||||||||
Innoviva, Inc.† | 8,617 | 143,645 | |||||||||
Ligand Pharmaceuticals, Inc.† | 2,626 | 433,710 | |||||||||
Medicines Co.† | 8,026 | 264,377 | |||||||||
Menlo Therapeutics, Inc.† | 5,500 | 206,690 | |||||||||
Myriad Genetics, Inc.† | 19,893 | 587,838 | |||||||||
NewLink Genetics Corp.† | 23,400 | 169,650 | |||||||||
Novavax, Inc.† | 99,700 | 209,370 | |||||||||
Prothena Corp. PLC† | 4,300 | 157,853 | |||||||||
Puma Biotechnology, Inc.† | 1,400 | 95,270 | |||||||||
REGENXBIO, Inc.† | 9,100 | 271,635 | |||||||||
resTORbio, Inc.† | 4,000 | 38,320 | |||||||||
Sangamo Therapeutics, Inc.† | 3,900 | 74,100 | |||||||||
Selecta Biosciences, Inc.† | 14,400 | 146,736 | |||||||||
Seres Therapeutics, Inc.† | 20,400 | 149,736 | |||||||||
Solid Biosciences, Inc.† | 15,000 | 112,500 | |||||||||
Spark Therapeutics, Inc.† | 4,500 | 299,655 | |||||||||
Spectrum Pharmaceuticals, Inc.† | 11,274 | 181,399 | |||||||||
6,630,244 | |||||||||||
Medical-Drugs — 0.9% | |||||||||||
Aimmune Therapeutics, Inc.† | 6,600 | 210,078 | |||||||||
Clovis Oncology, Inc.† | 3,700 | 195,360 | |||||||||
Corcept Therapeutics, Inc.† | 11,861 | 195,113 | |||||||||
Cytokinetics, Inc.† | 6,304 | 45,389 | |||||||||
Eagle Pharmaceuticals, Inc.† | 1,040 | 54,798 | |||||||||
Enanta Pharmaceuticals, Inc.† | 1,787 | 144,586 | |||||||||
Global Blood Therapeutics, Inc.† | 5,000 | 241,500 | |||||||||
Horizon Pharma PLC† | 12,300 | 174,660 | |||||||||
Lannett Co., Inc.† | 3,768 | 60,476 | |||||||||
Paratek Pharmaceuticals, Inc.† | 10,800 | 140,400 | |||||||||
Prestige Brands Holdings, Inc.† | 1,600 | 53,952 | |||||||||
Progenics Pharmaceuticals, Inc.† | 8,745 | 65,238 | |||||||||
Reata Pharmaceuticals, Inc., Class A† | 7,468 | 153,169 | |||||||||
Supernus Pharmaceuticals, Inc.† | 6,414 | 293,761 | |||||||||
Synergy Pharmaceuticals, Inc.† | 65,200 | 119,316 | |||||||||
TG Therapeutics, Inc.† | 14,100 | 200,220 | |||||||||
Vanda Pharmaceuticals, Inc.† | 11,400 | 192,090 | |||||||||
Voyager Therapeutics, Inc.† | 7,800 | 146,562 | |||||||||
2,686,668 | |||||||||||
Medical-Generic Drugs — 0.2% | |||||||||||
Amphastar Pharmaceuticals, Inc.† | 4,406 | 82,613 | |||||||||
Impax Laboratories, Inc.† | 9,201 | 178,959 | |||||||||
Momenta Pharmaceuticals, Inc.† | 9,565 | 173,605 | |||||||||
435,177 | |||||||||||
Medical-HMO — 0.9% | |||||||||||
Magellan Health, Inc.† | 3,027 | 324,192 | |||||||||
Molina Healthcare, Inc.† | 12,200 | 990,396 | |||||||||
Tivity Health, Inc.† | 28,358 | 1,124,395 | |||||||||
WellCare Health Plans, Inc.† | 350 | 67,770 | |||||||||
2,506,753 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Hospitals — 0.5% | |||||||||||
Community Health Systems, Inc.† | 14,265 | $ | 56,489 | ||||||||
Quorum Health Corp.† | 3,533 | 28,900 | |||||||||
Select Medical Holdings Corp.† | 13,323 | 229,822 | |||||||||
Surgery Partners, Inc.† | 22,500 | 385,875 | |||||||||
Tenet Healthcare Corp.† | 28,100 | 681,425 | |||||||||
1,382,511 | |||||||||||
Medical-Nursing Homes — 0.1% | |||||||||||
Ensign Group, Inc. | 6,023 | 158,405 | |||||||||
Kindred Healthcare, Inc. | 11,376 | 104,090 | |||||||||
262,495 | |||||||||||
Medical-Outpatient/Home Medical — 0.5% | |||||||||||
Almost Family, Inc.† | 1,564 | 87,584 | |||||||||
Amedisys, Inc.† | 3,553 | 214,388 | |||||||||
Chemed Corp. | 2,011 | 548,721 | |||||||||
Civitas Solutions, Inc.† | 18,775 | 289,135 | |||||||||
LHC Group, Inc.† | 2,025 | 124,659 | |||||||||
Providence Service Corp.† | 1,391 | 96,174 | |||||||||
1,360,661 | |||||||||||
Medical-Wholesale Drug Distribution — 0.1% | |||||||||||
Owens & Minor, Inc. | 14,256 | 221,681 | |||||||||
Metal Processors & Fabrication — 0.1% | |||||||||||
CIRCOR International, Inc. | 2,044 | 87,197 | |||||||||
Haynes International, Inc. | 1,558 | 57,818 | |||||||||
Mueller Industries, Inc. | 7,164 | 187,410 | |||||||||
332,425 | |||||||||||
Metal Products-Distribution — 0.2% | |||||||||||
Olympic Steel, Inc. | 1,136 | 23,299 | |||||||||
Worthington Industries, Inc. | 9,500 | 407,740 | |||||||||
431,039 | |||||||||||
Metal-Aluminum — 0.2% | |||||||||||
Century Aluminum Co.† | 6,211 | 102,730 | |||||||||
Kaiser Aluminum Corp. | 5,835 | 588,751 | |||||||||
691,481 | |||||||||||
Miscellaneous Manufacturing — 1.1% | |||||||||||
FreightCar America, Inc. | 2,100 | 28,140 | |||||||||
Hillenbrand, Inc. | 7,844 | 360,040 | |||||||||
John Bean Technologies Corp. | 23,131 | 2,623,055 | |||||||||
3,011,235 | |||||||||||
Motion Pictures & Services — 0.1% | |||||||||||
Eros International PLC† | 13,300 | 144,970 | |||||||||
MRI/Medical Diagnostic Imaging — 0.0% | |||||||||||
RadNet, Inc.† | 7,500 | 108,000 | |||||||||
Multimedia — 0.1% | |||||||||||
E.W. Scripps Co., Class A | 12,341 | 147,969 | |||||||||
Entravision Communications Corp., Class A | 13,300 | 62,510 | |||||||||
210,479 | |||||||||||
Networking Products — 0.1% | |||||||||||
Extreme Networks, Inc.† | 14,345 | 158,799 | |||||||||
NETGEAR, Inc.† | 3,905 | 223,366 | |||||||||
382,165 |
213
Seasons Series Trust SA Multi-Managed Small Cap Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Non-Ferrous Metals — 0.0% | |||||||||||
Materion Corp. | 2,503 | $ | 127,778 | ||||||||
Office Furnishings-Original — 0.1% | |||||||||||
Interface, Inc. | 10,984 | 276,797 | |||||||||
Office Supplies & Forms — 0.3% | |||||||||||
ACCO Brands Corp. | 70,200 | 881,010 | |||||||||
Oil & Gas Drilling — 0.1% | |||||||||||
Noble Corp. PLC† | 30,711 | 113,938 | |||||||||
Parker Drilling Co.† | 17,300 | 10,985 | |||||||||
Rowan Cos. PLC, Class A† | 18,700 | 215,798 | |||||||||
340,721 | |||||||||||
Oil Companies-Exploration & Production — 0.8% | |||||||||||
Carrizo Oil & Gas, Inc.† | 9,629 | 154,064 | |||||||||
Denbury Resources, Inc.† | 107,718 | 295,147 | |||||||||
EP Energy Corp., Class A† | 44,683 | 59,875 | |||||||||
HighPoint Resources Corp.† | 61,122 | 310,500 | |||||||||
PDC Energy, Inc.† | 8,199 | 401,997 | |||||||||
Ring Energy, Inc.† | 6,764 | 97,064 | |||||||||
Sanchez Energy Corp.† | 18,000 | 56,340 | |||||||||
SRC Energy, Inc.† | 30,090 | 283,749 | |||||||||
Unit Corp.† | 13,303 | 262,867 | |||||||||
W&T Offshore, Inc.† | 84,600 | 374,778 | |||||||||
2,296,381 | |||||||||||
Oil Field Machinery & Equipment — 0.1% | |||||||||||
Exterran Corp.† | 3,964 | 105,839 | |||||||||
Flotek Industries, Inc.† | 7,063 | 43,084 | |||||||||
Gulf Island Fabrication, Inc. | 1,687 | 11,978 | |||||||||
Natural Gas Services Group, Inc.† | 2,900 | 69,165 | |||||||||
230,066 | |||||||||||
Oil Refining & Marketing — 0.3% | |||||||||||
Adams Resources & Energy, Inc. | 800 | 34,800 | |||||||||
Delek US Holdings, Inc. | 16,700 | 679,690 | |||||||||
Par Pacific Holdings, Inc.† | 3,135 | 53,828 | |||||||||
768,318 | |||||||||||
Oil-Field Services — 0.6% | |||||||||||
Archrock, Inc. | 26,929 | 235,629 | |||||||||
Bristow Group, Inc. | 4,006 | 52,078 | |||||||||
CARBO Ceramics, Inc.† | 2,735 | 19,829 | |||||||||
Era Group, Inc.† | 2,515 | 23,515 | |||||||||
FTS International, Inc.† | 7,500 | 137,925 | |||||||||
Helix Energy Solutions Group, Inc.† | 17,323 | 100,300 | |||||||||
Matrix Service Co.† | 3,337 | 45,717 | |||||||||
McDermott International, Inc.† | 35,344 | 215,245 | |||||||||
MRC Global, Inc.† | 24,500 | 402,780 | |||||||||
Newpark Resources, Inc.† | 11,103 | 89,934 | |||||||||
Oil States International, Inc.† | 7,469 | 195,688 | |||||||||
Pioneer Energy Services Corp.† | 9,681 | 26,139 | |||||||||
SEACOR Holdings, Inc.† | 3,689 | 188,508 | |||||||||
TETRA Technologies, Inc.† | 15,622 | 58,582 | |||||||||
1,791,869 | |||||||||||
Paper & Related Products — 0.8% | |||||||||||
Clearwater Paper Corp.† | 2,047 | 80,038 | |||||||||
Domtar Corp. | 2,200 | 93,588 | |||||||||
Neenah, Inc. | 21,419 | 1,679,249 |
Security Description | Shares | Value (Note 2) | |||||||||
Paper & Related Products (continued) | |||||||||||
P.H. Glatfelter Co. | 5,437 | $ | 111,622 | ||||||||
Schweitzer-Mauduit International, Inc. | 3,829 | 149,905 | |||||||||
Verso Corp., Class A† | 4,400 | 74,096 | |||||||||
2,188,498 | |||||||||||
Pastoral & Agricultural — 0.0% | |||||||||||
Phibro Animal Health Corp., Class A | 2,438 | 96,789 | |||||||||
Patient Monitoring Equipment — 0.2% | |||||||||||
Masimo Corp.† | 7,000 | 615,650 | |||||||||
Pharmacy Services — 0.0% | |||||||||||
Diplomat Pharmacy, Inc.† | 5,992 | 120,739 | |||||||||
Physical Therapy/Rehabilitation Centers — 0.0% | |||||||||||
U.S. Physical Therapy, Inc. | 1,566 | 127,316 | |||||||||
Pollution Control — 0.0% | |||||||||||
CECO Environmental Corp. | 1,700 | 7,565 | |||||||||
Poultry — 0.1% | |||||||||||
Pilgrim's Pride Corp.† | 9,200 | 226,412 | |||||||||
Sanderson Farms, Inc. | 1,200 | 142,824 | |||||||||
369,236 | |||||||||||
Power Converter/Supply Equipment — 0.5% | |||||||||||
Advanced Energy Industries, Inc.† | 6,332 | 404,615 | |||||||||
Generac Holdings, Inc.† | 15,200 | 697,832 | |||||||||
Powell Industries, Inc. | 6,083 | 163,268 | |||||||||
SPX Corp.† | 5,324 | 172,923 | |||||||||
Vicor Corp.† | 2,025 | 57,814 | |||||||||
1,496,452 | |||||||||||
Printing-Commercial — 0.3% | |||||||||||
ARC Document Solutions, Inc.† | 4,500 | 9,900 | |||||||||
Deluxe Corp. | 5,800 | 429,258 | |||||||||
Ennis, Inc. | 16,400 | 323,080 | |||||||||
LSC Communications, Inc. | 4,342 | 75,768 | |||||||||
RR Donnelley & Sons Co. | 8,712 | 76,056 | |||||||||
914,062 | |||||||||||
Professional Sports — 0.9% | |||||||||||
Madison Square Garden Co., Class A† | 10,061 | 2,472,994 | |||||||||
Publishing-Books — 0.1% | |||||||||||
Houghton Mifflin Harcourt Co.† | 35,000 | 243,250 | |||||||||
Scholastic Corp. | 3,434 | 133,377 | |||||||||
376,627 | |||||||||||
Publishing-Newspapers — 0.3% | |||||||||||
Gannett Co., Inc. | 64,941 | 648,111 | |||||||||
tronc, Inc.† | 10,300 | 169,126 | |||||||||
817,237 | |||||||||||
Racetracks — 0.3% | |||||||||||
Penn National Gaming, Inc.† | 33,996 | 892,735 | |||||||||
Speedway Motorsports, Inc. | 4,600 | 81,972 | |||||||||
974,707 | |||||||||||
Real Estate Investment Trusts — 4.0% | |||||||||||
Acadia Realty Trust | 10,421 | 256,357 | |||||||||
Agree Realty Corp. | 3,857 | 185,290 | |||||||||
Alexander & Baldwin, Inc. | 2,456 | 56,807 |
214
Seasons Series Trust SA Multi-Managed Small Cap Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
American Assets Trust, Inc. | 10,360 | $ | 346,128 | ||||||||
Apollo Commercial Real Estate Finance, Inc. | 13,699 | 246,308 | |||||||||
Armada Hoffler Properties, Inc. | 5,613 | 76,842 | |||||||||
ARMOUR Residential REIT, Inc. | 5,211 | 121,312 | |||||||||
Ashford Hospitality Trust, Inc. | 34,800 | 224,808 | |||||||||
Capstead Mtg. Corp. | 37,442 | 323,873 | |||||||||
CareTrust REIT, Inc. | 9,475 | 126,965 | |||||||||
CBL & Associates Properties, Inc. | 27,185 | 113,361 | |||||||||
Cedar Realty Trust, Inc. | 9,807 | 38,640 | |||||||||
Chatham Lodging Trust | 5,708 | 109,308 | |||||||||
Cherry Hill Mtg. Investment Corp. | 2,800 | 49,112 | |||||||||
Chesapeake Lodging Trust | 7,479 | 207,991 | |||||||||
CorEnergy Infrastructure Trust, Inc. | 2,900 | 108,866 | |||||||||
CoreSite Realty Corp. | 7,500 | 751,950 | |||||||||
CubeSmart | 3,700 | 104,340 | |||||||||
CYS Investments, Inc. | 61,200 | 411,264 | |||||||||
DCT Industrial Trust, Inc. | 4,450 | 250,713 | |||||||||
DiamondRock Hospitality Co. | 45,356 | 473,517 | |||||||||
Dynex Capital, Inc. | 2,400 | 15,912 | |||||||||
Easterly Government Properties, Inc. | 5,596 | 114,158 | |||||||||
EastGroup Properties, Inc. | 6,723 | 555,723 | |||||||||
EPR Properties | 300 | 16,620 | |||||||||
Equity LifeStyle Properties, Inc. | 1,400 | 122,878 | |||||||||
First Industrial Realty Trust, Inc. | 2,800 | 81,844 | |||||||||
Four Corners Property Trust, Inc. | 7,615 | 175,830 | |||||||||
Franklin Street Properties Corp. | 18,145 | 152,600 | |||||||||
Getty Realty Corp. | 4,102 | 103,452 | |||||||||
Gladstone Commercial Corp. | 1,100 | 19,074 | |||||||||
Global Net Lease, Inc. | 8,380 | 141,454 | |||||||||
Government Properties Income Trust | 17,539 | 239,583 | |||||||||
Hersha Hospitality Trust | 17,559 | 314,306 | |||||||||
Highwoods Properties, Inc. | 2,100 | 92,022 | |||||||||
Hospitality Properties Trust | 5,700 | 144,438 | |||||||||
Independence Realty Trust, Inc. | 10,573 | 97,060 | |||||||||
InfraREIT, Inc.† | 1,700 | 33,031 | |||||||||
Invesco Mtg. Capital, Inc. | 21,486 | 351,941 | |||||||||
Kite Realty Group Trust | 10,403 | 158,438 | |||||||||
Lexington Realty Trust | 26,950 | 212,097 | |||||||||
LTC Properties, Inc. | 10,832 | 411,616 | |||||||||
Mack-Cali Realty Corp. | 5,000 | 83,550 | |||||||||
National Retail Properties, Inc. | 700 | 27,482 | |||||||||
National Storage Affiliates Trust | 6,258 | 156,951 | |||||||||
New York Mortgage Trust, Inc. | 13,927 | 82,587 | |||||||||
Pebblebrook Hotel Trust | 4,300 | 147,705 | |||||||||
Pennsylvania Real Estate Investment Trust | 11,658 | 112,500 | |||||||||
PennyMac Mtg. Investment Trust | 7,550 | 136,127 | |||||||||
PotlatchDeltic Corp. | 7,800 | 405,990 | |||||||||
PS Business Parks, Inc. | 3,901 | 440,969 | |||||||||
Ramco-Gershenson Properties Trust | 20,178 | 249,400 | |||||||||
Retail Opportunity Investments Corp. | 13,990 | 247,203 | |||||||||
RLJ Lodging Trust | 22,900 | 445,176 | |||||||||
Saul Centers, Inc. | 4,206 | 214,380 | |||||||||
Summit Hotel Properties, Inc. | 14,771 | 201,033 | |||||||||
Taubman Centers, Inc. | 1,800 | 102,438 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Universal Health Realty Income Trust | 1,573 | $ | 94,537 | ||||||||
Urstadt Biddle Properties, Inc., Class A | 3,711 | 71,622 | |||||||||
Whitestone REIT | 4,881 | 50,714 | |||||||||
Xenia Hotels & Resorts, Inc. | 2,300 | 45,356 | |||||||||
11,453,549 | |||||||||||
Real Estate Management/Services — 1.7% | |||||||||||
FirstService Corp. | 39,203 | 2,868,876 | |||||||||
HFF, Inc., Class A | 4,579 | 227,576 | |||||||||
RE/MAX Holdings, Inc., Class A | 26,844 | 1,622,720 | |||||||||
4,719,172 | |||||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
Community Healthcare Trust, Inc. | 2,149 | 55,315 | |||||||||
Recreational Vehicles — 1.6% | |||||||||||
Camping World Holdings, Inc., Class A | 42,199 | 1,360,918 | |||||||||
LCI Industries | 31,286 | 3,258,437 | |||||||||
4,619,355 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
Aaron's, Inc. | 2,800 | 130,480 | |||||||||
Rent-A-Center, Inc. | 6,647 | 57,364 | |||||||||
187,844 | |||||||||||
Resort/Theme Parks — 0.1% | |||||||||||
Marriott Vacations Worldwide Corp. | 2,939 | 391,475 | |||||||||
Retail-Apparel/Shoe — 0.9% | |||||||||||
Abercrombie & Fitch Co., Class A | 8,464 | 204,914 | |||||||||
Ascena Retail Group, Inc.† | 21,225 | 42,662 | |||||||||
Buckle, Inc. | 3,525 | 78,079 | |||||||||
Caleres, Inc. | 5,349 | 179,726 | |||||||||
Cato Corp., Class A | 2,897 | 42,702 | |||||||||
Chico's FAS, Inc. | 15,905 | 143,781 | |||||||||
Children's Place, Inc. | 7,940 | 1,073,885 | |||||||||
DSW, Inc., Class A | 8,993 | 201,983 | |||||||||
Express, Inc.† | 9,807 | 70,218 | |||||||||
Finish Line, Inc., Class A | 5,018 | 67,944 | |||||||||
Francesca's Holdings Corp.† | 4,503 | 21,614 | |||||||||
Genesco, Inc.† | 2,478 | 100,607 | |||||||||
Guess?, Inc. | 7,372 | 152,895 | |||||||||
Shoe Carnival, Inc. | 1,413 | 33,629 | |||||||||
Tailored Brands, Inc. | 6,128 | 153,568 | |||||||||
Vera Bradley, Inc.† | 2,340 | 24,827 | |||||||||
2,593,034 | |||||||||||
Retail-Automobile — 1.3% | |||||||||||
Asbury Automotive Group, Inc.† | 2,308 | 155,790 | |||||||||
Group 1 Automotive, Inc. | 2,446 | 159,822 | |||||||||
Lithia Motors, Inc., Class A | 34,166 | 3,434,366 | |||||||||
Sonic Automotive, Inc., Class A | 2,987 | 56,604 | |||||||||
3,806,582 | |||||||||||
Retail-Bookstores — 0.0% | |||||||||||
Barnes & Noble Education, Inc.† | 4,671 | 32,183 | |||||||||
Barnes & Noble, Inc. | 7,065 | 34,972 | |||||||||
67,155 |
215
Seasons Series Trust SA Multi-Managed Small Cap Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Building Products — 0.0% | |||||||||||
Lumber Liquidators Holdings, Inc.† | 3,546 | $ | 84,820 | ||||||||
Tile Shop Holdings, Inc. | 4,284 | 25,704 | |||||||||
110,524 | |||||||||||
Retail-Discount — 0.3% | |||||||||||
Big Lots, Inc. | 7,500 | 326,475 | |||||||||
Fred's, Inc., Class A | 4,472 | 13,371 | |||||||||
Ollie's Bargain Outlet Holdings, Inc.† | 6,138 | 370,122 | |||||||||
709,968 | |||||||||||
Retail-Hair Salons — 0.1% | |||||||||||
Regis Corp.† | 24,458 | 370,050 | |||||||||
Retail-Home Furnishings — 0.3% | |||||||||||
Haverty Furniture Cos., Inc. | 2,418 | 48,723 | |||||||||
Kirkland's, Inc.† | 1,990 | 19,283 | |||||||||
La-Z-Boy, Inc. | 5,858 | 175,447 | |||||||||
Pier 1 Imports, Inc. | 53,900 | 173,558 | |||||||||
RH† | 4,860 | 463,061 | |||||||||
880,072 | |||||||||||
Retail-Jewelry — 0.2% | |||||||||||
Movado Group, Inc. | 13,327 | 511,757 | |||||||||
Retail-Leisure Products — 0.0% | |||||||||||
MarineMax, Inc.† | 2,747 | 53,429 | |||||||||
Retail-Major Department Stores — 0.0% | |||||||||||
J.C. Penney Co., Inc.† | 38,828 | 117,261 | |||||||||
Retail-Misc./Diversified — 0.2% | |||||||||||
Five Below, Inc.† | 6,874 | 504,139 | |||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Office Depot, Inc. | 19,300 | 41,495 | |||||||||
Retail-Pawn Shops — 0.2% | |||||||||||
EZCORP, Inc., Class A† | 16,908 | 223,186 | |||||||||
FirstCash, Inc. | 5,794 | 470,762 | |||||||||
693,948 | |||||||||||
Retail-Pet Food & Supplies — 0.0% | |||||||||||
PetMed Express, Inc. | 2,564 | 107,047 | |||||||||
Retail-Regional Department Stores — 0.1% | |||||||||||
Dillard's, Inc., Class A | 3,075 | 247,045 | |||||||||
Retail-Restaurants — 1.0% | |||||||||||
Biglari Holdings, Inc.† | 126 | 51,460 | |||||||||
BJ's Restaurants, Inc. | 2,220 | 99,678 | |||||||||
Bloomin' Brands, Inc. | 28,400 | 689,552 | |||||||||
Brinker International, Inc. | 9,400 | 339,340 | |||||||||
Chuy's Holdings, Inc.† | 2,105 | 55,151 | |||||||||
Dave & Buster's Entertainment, Inc.† | 5,064 | 211,371 | |||||||||
Dine Brands Global, Inc. | 2,240 | 146,899 | |||||||||
El Pollo Loco Holdings, Inc.† | 2,694 | 25,593 | |||||||||
Fiesta Restaurant Group, Inc.† | 3,368 | 62,308 | |||||||||
Red Robin Gourmet Burgers, Inc.† | 1,613 | 93,554 | |||||||||
Ruth's Hospitality Group, Inc. | 3,620 | 88,509 | |||||||||
Shake Shack, Inc., Class A† | 2,359 | 98,205 | |||||||||
Sonic Corp. | 25,786 | 650,581 | |||||||||
Wingstop, Inc. | 3,621 | 171,020 | |||||||||
2,783,221 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Sporting Goods — 0.0% | |||||||||||
Big 5 Sporting Goods Corp. | 2,488 | $ | 18,038 | ||||||||
Hibbett Sports, Inc.† | 2,376 | 56,905 | |||||||||
Zumiez, Inc.† | 2,262 | 54,062 | |||||||||
129,005 | |||||||||||
Retail-Vision Service Center — 0.0% | |||||||||||
National Vision Holdings, Inc.† | 2,300 | 74,313 | |||||||||
Retail-Vitamins & Nutrition Supplements — 0.0% | |||||||||||
Vitamin Shoppe, Inc.† | 3,012 | 13,102 | |||||||||
Rubber/Plastic Products — 0.4% | |||||||||||
Myers Industries, Inc. | 4,427 | 93,631 | |||||||||
Proto Labs, Inc.† | 3,113 | 365,933 | |||||||||
Trinseo SA | 10,850 | 803,443 | |||||||||
1,263,007 | |||||||||||
Satellite Telecom — 0.0% | |||||||||||
Iridium Communications, Inc.† | 10,389 | 116,876 | |||||||||
Savings & Loans/Thrifts — 1.6% | |||||||||||
Banc of California, Inc. | 5,299 | 102,271 | |||||||||
BankFinancial Corp. | 4,900 | 83,202 | |||||||||
Beneficial Bancorp, Inc. | 37,499 | 583,109 | |||||||||
BofI Holding, Inc.† | 6,845 | 277,428 | |||||||||
Brookline Bancorp, Inc. | 9,561 | 154,888 | |||||||||
Capitol Federal Financial, Inc. | 1,100 | 13,585 | |||||||||
Charter Financial Corp. | 3,300 | 67,287 | |||||||||
Dime Community Bancshares, Inc. | 3,819 | 70,270 | |||||||||
First Defiance Financial Corp. | 1,100 | 63,052 | |||||||||
Flushing Financial Corp. | 4,000 | 107,840 | |||||||||
Investors Bancorp, Inc. | 13,200 | 180,048 | |||||||||
Meridian Bancorp, Inc. | 28,800 | 580,320 | |||||||||
Meta Financial Group, Inc. | 1,131 | 123,505 | |||||||||
Northfield Bancorp, Inc. | 36,100 | 563,521 | |||||||||
Northwest Bancshares, Inc. | 12,771 | 211,488 | |||||||||
Oritani Financial Corp. | 4,900 | 75,215 | |||||||||
Pacific Premier Bancorp, Inc.† | 27,129 | 1,090,586 | |||||||||
People's United Financial, Inc. | 6,606 | 123,268 | |||||||||
Provident Financial Holdings, Inc. | 1,700 | 30,753 | |||||||||
Provident Financial Services, Inc. | 7,570 | 193,716 | |||||||||
4,695,352 | |||||||||||
Schools — 0.2% | |||||||||||
American Public Education, Inc.† | 2,040 | 87,720 | |||||||||
Capella Education Co. | 1,453 | 126,920 | |||||||||
Career Education Corp.† | 8,172 | 107,380 | |||||||||
Strayer Education, Inc. | 1,720 | 173,806 | |||||||||
495,826 | |||||||||||
Security Services — 0.1% | |||||||||||
Alarm.com Holdings, Inc.† | 3,114 | 117,522 | |||||||||
Ascent Capital Group, Inc., Class A† | 8,600 | 31,648 | |||||||||
149,170 | |||||||||||
Seismic Data Collection — 0.0% | |||||||||||
Geospace Technologies Corp.† | 1,688 | 16,661 | |||||||||
Semiconductor Components-Integrated Circuits — 0.2% | |||||||||||
Cirrus Logic, Inc.† | 5,800 | 235,654 | |||||||||
MaxLinear, Inc.† | 7,583 | 172,513 | |||||||||
Power Integrations, Inc. | 3,713 | 253,784 | |||||||||
661,951 |
216
Seasons Series Trust SA Multi-Managed Small Cap Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Semiconductor Equipment — 0.7% | |||||||||||
Axcelis Technologies, Inc.† | 3,988 | $ | 98,105 | ||||||||
Brooks Automation, Inc. | 8,765 | 237,356 | |||||||||
Cabot Microelectronics Corp. | 3,187 | 341,360 | |||||||||
Cohu, Inc. | 7,352 | 167,699 | |||||||||
Entegris, Inc. | 7,800 | 271,440 | |||||||||
FormFactor, Inc.† | 9,026 | 123,205 | |||||||||
Kulicke & Soffa Industries, Inc.† | 8,788 | 219,788 | |||||||||
Nanometrics, Inc.† | 2,957 | 79,543 | |||||||||
Photronics, Inc.† | 8,633 | 71,222 | |||||||||
Rudolph Technologies, Inc.† | 3,934 | 108,972 | |||||||||
Ultra Clean Holdings, Inc.† | 4,783 | 92,073 | |||||||||
Veeco Instruments, Inc.† | 6,011 | 102,187 | |||||||||
1,912,950 | |||||||||||
Steel Pipe & Tube — 0.0% | |||||||||||
TimkenSteel Corp.† | 4,871 | 73,990 | |||||||||
Steel-Producers — 0.1% | |||||||||||
AK Steel Holding Corp.† | 39,175 | 177,463 | |||||||||
Carpenter Technology Corp. | 1,100 | 48,532 | |||||||||
225,995 | |||||||||||
Storage/Warehousing — 0.1% | |||||||||||
Mobile Mini, Inc. | 5,522 | 240,207 | |||||||||
Telecom Equipment-Fiber Optics — 0.4% | |||||||||||
Ciena Corp.† | 15,000 | 388,500 | |||||||||
Finisar Corp.† | 14,190 | 224,344 | |||||||||
Harmonic, Inc.† | 10,274 | 39,041 | |||||||||
Oclaro, Inc.† | 21,086 | 201,582 | |||||||||
Viavi Solutions, Inc.† | 28,116 | 273,288 | |||||||||
1,126,755 | |||||||||||
Telecom Services — 0.2% | |||||||||||
Consolidated Communications Holdings, Inc. | 8,015 | 87,844 | |||||||||
RigNet, Inc.† | 7,400 | 100,640 | |||||||||
Spok Holdings, Inc. | 2,491 | 37,241 | |||||||||
Switch, Inc., Class A | 2,600 | 41,366 | |||||||||
Vonage Holdings Corp.† | 25,896 | 275,792 | |||||||||
542,883 | |||||||||||
Telecommunication Equipment — 0.1% | |||||||||||
ADTRAN, Inc. | 6,026 | 93,704 | |||||||||
Comtech Telecommunications Corp. | 2,938 | 87,817 | |||||||||
181,521 | |||||||||||
Telephone-Integrated — 0.2% | |||||||||||
Cincinnati Bell, Inc.† | 5,276 | 73,073 | |||||||||
Frontier Communications Corp. | 44,858 | 332,846 | |||||||||
GCI Liberty, Inc., Class A† | 2,022 | 106,883 | |||||||||
Windstream Holdings, Inc. | 77,900 | 109,839 | |||||||||
622,641 | |||||||||||
Television — 0.1% | |||||||||||
Sinclair Broadcast Group, Inc., Class A | 11,800 | 369,340 | |||||||||
Textile-Apparel — 0.1% | |||||||||||
Perry Ellis International, Inc.† | 5,160 | 133,128 | |||||||||
Unifi, Inc.† | 2,118 | 76,777 | |||||||||
209,905 |
Security Description | Shares | Value (Note 2) | |||||||||
Therapeutics — 0.5% | |||||||||||
Anika Therapeutics, Inc.† | 1,829 | $ | 90,938 | ||||||||
Cara Therapeutics, Inc.† | 9,400 | 116,372 | |||||||||
Flexion Therapeutics, Inc.† | 7,100 | 159,111 | |||||||||
La Jolla Pharmaceutical Co.† | 6,500 | 193,570 | |||||||||
Mersana Therapeutics, Inc.† | 7,700 | 121,429 | |||||||||
Sarepta Therapeutics, Inc.† | 5,000 | 370,450 | |||||||||
Xencor, Inc.† | 7,700 | 230,846 | |||||||||
1,282,716 | |||||||||||
Tobacco — 0.1% | |||||||||||
Universal Corp. | 3,117 | 151,174 | |||||||||
Toys — 0.0% | |||||||||||
Funko, Inc., Class A† | 10,300 | 84,563 | |||||||||
Transactional Software — 0.1% | |||||||||||
ACI Worldwide, Inc.† | 4,800 | 113,856 | |||||||||
Synchronoss Technologies, Inc.† | 21,440 | 226,192 | |||||||||
340,048 | |||||||||||
Transport-Air Freight — 0.1% | |||||||||||
Atlas Air Worldwide Holdings, Inc.† | 3,165 | 191,324 | |||||||||
Transport-Equipment & Leasing — 0.1% | |||||||||||
Greenbrier Cos., Inc. | 3,572 | 179,493 | |||||||||
Transport-Marine — 0.0% | |||||||||||
Dorian LPG, Ltd.† | 376 | 2,816 | |||||||||
International Seaways, Inc.† | 4,100 | 72,160 | |||||||||
74,976 | |||||||||||
Transport-Services — 0.1% | |||||||||||
Echo Global Logistics, Inc.† | 3,278 | 90,473 | |||||||||
Hub Group, Inc., Class A† | 4,196 | 175,602 | |||||||||
Matson, Inc. | 5,283 | 151,305 | |||||||||
417,380 | |||||||||||
Transport-Truck — 0.4% | |||||||||||
ArcBest Corp. | 9,491 | 304,187 | |||||||||
Covenant Transportation Group, Inc., Class A† | 1,600 | 47,728 | |||||||||
Forward Air Corp. | 3,682 | 194,630 | |||||||||
Heartland Express, Inc. | 6,221 | 111,916 | |||||||||
Marten Transport, Ltd. | 4,814 | 109,759 | |||||||||
Roadrunner Transportation Systems, Inc.† | 3,911 | 9,934 | |||||||||
Saia, Inc.† | 3,195 | 240,104 | |||||||||
Schneider National, Inc., Class B | 2,800 | 72,968 | |||||||||
YRC Worldwide, Inc.† | 6,900 | 60,927 | |||||||||
1,152,153 | |||||||||||
Travel Services — 0.1% | |||||||||||
Liberty TripAdvisor Holdings, Inc., Class A† | 14,100 | 151,575 | |||||||||
Veterinary Diagnostics — 1.4% | |||||||||||
Heska Corp.† | 811 | 64,126 | |||||||||
Neogen Corp.† | 59,612 | 3,993,408 | |||||||||
4,057,534 | |||||||||||
Vitamins & Nutrition Products — 0.1% | |||||||||||
Herbalife, Ltd.† | 1,000 | 97,470 | |||||||||
USANA Health Sciences, Inc.† | 1,100 | 94,490 | |||||||||
191,960 |
217
Seasons Series Trust SA Multi-Managed Small Cap Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Water — 0.3% | |||||||||||
American States Water Co. | 13,969 | $ | 741,195 | ||||||||
California Water Service Group | 5,970 | 222,383 | |||||||||
963,578 | |||||||||||
Web Hosting/Design — 0.3% | |||||||||||
NIC, Inc. | 21,048 | 279,938 | |||||||||
Web.com Group, Inc.† | 34,300 | 620,830 | |||||||||
900,768 | |||||||||||
Web Portals/ISP — 0.1% | |||||||||||
Blucora, Inc.† | 5,813 | 143,000 | |||||||||
Wire & Cable Products — 0.1% | |||||||||||
Encore Wire Corp. | 2,593 | 147,023 | |||||||||
General Cable Corp. | 6,300 | 186,480 | |||||||||
Insteel Industries, Inc. | 2,251 | 62,195 | |||||||||
395,698 | |||||||||||
Wireless Equipment — 0.2% | |||||||||||
CalAmp Corp.† | 4,433 | 101,427 | |||||||||
InterDigital, Inc. | 5,925 | 436,080 | |||||||||
537,507 | |||||||||||
X-Ray Equipment — 0.1% | |||||||||||
Varex Imaging Corp.† | 4,697 | 168,059 | |||||||||
Total Common Stocks (cost $219,762,898) | 280,401,203 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.3% | |||||||||||
iShares Core S&P Small-Cap ETF (cost $881,680) | 11,431 | 880,301 | |||||||||
PREFERRED SECURITIES — 0.0% | |||||||||||
Telephone-Integrated — 0.0% | |||||||||||
GCI Liberty, Inc. Series A 5.00% (cost $4,580) | 642 | 14,991 | |||||||||
Total Long-Term Investment Securities (cost $220,649,158) | 281,296,495 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.1% | |||||||||||
Registered Investment Companies — 0.6% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Investor Class 1.50%(1) | 1,721,897 | $ | 1,721,897 | ||||||||
Time Deposits — 0.5% | |||||||||||
Euro Time Deposit with State Street Bank and Trust Co. 0.28% due 04/02/2018 | $ | 1,438,000 | 1,438,000 | ||||||||
U.S. Government Treasuries — 0.0% | |||||||||||
United States Treasury Bills 1.54% due 04/26/2018(2) | 100,000 | 99,894 | |||||||||
Total Short-Term Investment Securities (cost $3,259,791) | 3,259,791 | ||||||||||
REPURCHASE AGREEMENTS — 0.2% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.28%, dated 03/29/2018, to be repurchased 04/02/2018 in the amount of $596,019 and collateralized by $620,000 of United States Treasury Notes, bearing interest at 2.38% due 08/15/2024 and having an approximate value of $610,159 (cost $596,000) | 596,000 | 596,000 | |||||||||
TOTAL INVESTMENTS (cost $224,504,949)(3) | 99.9 | % | 285,152,286 | ||||||||
Other assets less liabilities | 0.1 | 188,595 | |||||||||
NET ASSETS | 100.0 | % | $ | 285,340,881 |
@ See Note 1
† Non-income producing security
(1) The rate shown is the 7-day yield as of March 31, 2018.
(2) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(3) See Note 4 for cost of investments on a tax basis.
ETF — Exchange-Traded Fund
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
29 | Long | E-Mini Russell 2000 Index | June 2018 | $ | 2,307,387 | $ | 2,220,240 | $ | (87,147 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
218
Seasons Series Trust SA Multi-Managed Small Cap Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Common Stocks | $ | 280,401,203 | $ | — | $ | — | $ | 280,401,203 | |||||||||||
Exchange-Traded Funds | 880,301 | — | — | 880,301 | |||||||||||||||
Preferred Securities | 14,991 | — | — | 14,991 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 1,721,897 | — | — | 1,721,897 | |||||||||||||||
Other Short-Term Investment Securities | — | 1,537,894 | — | 1,537,894 | |||||||||||||||
Repurchase Agreements | — | 596,000 | — | 596,000 | |||||||||||||||
Total Investments at Value | $ | 283,018,392 | $ | 2,133,894 | $ | — | $ | 285,152,286 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:+ | |||||||||||||||||||
Futures Contracts | $ | 87,147 | $ | — | $ | — | $ | 87,147 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
+ Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards, swaps and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.
See Notes to Financial Statements
219
Seasons Series Trust SA Multi-Managed International Equity Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Banks-Commercial | 8.7 | % | |||||
Medical-Drugs | 6.8 | ||||||
Diversified Banking Institutions | 5.1 | ||||||
Auto-Cars/Light Trucks | 3.7 | ||||||
Insurance-Life/Health | 3.6 | ||||||
Telephone-Integrated | 3.4 | ||||||
Oil Companies-Integrated | 3.3 | ||||||
Cosmetics & Toiletries | 2.6 | ||||||
Food-Misc./Diversified | 2.5 | ||||||
Insurance-Multi-line | 2.1 | ||||||
Chemicals-Diversified | 2.0 | ||||||
Machinery-Electrical | 1.8 | ||||||
Cellular Telecom | 1.4 | ||||||
Diversified Manufacturing Operations | 1.3 | ||||||
Electronic Components-Misc. | 1.3 | ||||||
Rubber-Tires | 1.3 | ||||||
Apparel Manufacturers | 1.2 | ||||||
Electronic Components-Semiconductors | 1.1 | ||||||
Beverages-Wine/Spirits | 1.1 | ||||||
Diversified Minerals | 1.1 | ||||||
Semiconductor Equipment | 1.0 | ||||||
Exchange-Traded Funds | 1.0 | ||||||
Semiconductor Components-Integrated Circuits | 1.0 | ||||||
Import/Export | 1.0 | ||||||
Auto/Truck Parts & Equipment-Original | 0.9 | ||||||
Insurance-Property/Casualty | 0.9 | ||||||
Medical-Biomedical/Gene | 0.8 | ||||||
Chemicals-Specialty | 0.8 | ||||||
Real Estate Operations & Development | 0.8 | ||||||
Industrial Gases | 0.8 | ||||||
Building-Residential/Commercial | 0.8 | ||||||
Electric-Generation | 0.8 | ||||||
Tobacco | 0.8 | ||||||
Food-Retail | 0.8 | ||||||
Real Estate Investment Trusts | 0.7 | ||||||
Toys | 0.7 | ||||||
Diversified Operations | 0.7 | ||||||
Soap & Cleaning Preparation | 0.7 | ||||||
Aerospace/Defense | 0.7 | ||||||
Human Resources | 0.6 | ||||||
Power Converter/Supply Equipment | 0.6 | ||||||
Enterprise Software/Service | 0.6 | ||||||
Audio/Video Products | 0.6 | ||||||
Metal-Diversified | 0.6 | ||||||
Multimedia | 0.6 | ||||||
Dialysis Centers | 0.6 | ||||||
Brewery | 0.6 | ||||||
Real Estate Management/Services | 0.6 | ||||||
Medical Products | 0.5 | ||||||
E-Commerce/Products | 0.5 | ||||||
Retail-Apparel/Shoe | 0.5 | ||||||
Electronic Measurement Instruments | 0.5 | ||||||
Insurance-Reinsurance | 0.5 | ||||||
Athletic Footwear | 0.5 | ||||||
Textile-Apparel | 0.5 | ||||||
Medical Instruments | 0.5 | ||||||
Internet Application Software | 0.5 | ||||||
Building Products-Cement | 0.5 | ||||||
Commercial Services | 0.5 | ||||||
Web Portals/ISP | 0.5 |
Transport-Rail | 0.4 | % | |||||
Investment Management/Advisor Services | 0.4 | ||||||
Building & Construction Products-Misc. | 0.4 | ||||||
Finance-Leasing Companies | 0.4 | ||||||
Machinery-Farming | 0.4 | ||||||
Food-Dairy Products | 0.4 | ||||||
Optical Supplies | 0.4 | ||||||
Consumer Products-Misc. | 0.4 | ||||||
Wireless Equipment | 0.4 | ||||||
Diversified Operations/Commercial Services | 0.4 | ||||||
Oil Companies-Exploration & Production | 0.4 | ||||||
Machine Tools & Related Products | 0.4 | ||||||
Electric-Integrated | 0.3 | ||||||
Gas-Distribution | 0.3 | ||||||
Distribution/Wholesale | 0.3 | ||||||
Computer Services | 0.3 | ||||||
Diagnostic Equipment | 0.3 | ||||||
E-Commerce/Services | 0.3 | ||||||
Wire & Cable Products | 0.3 | ||||||
Tools-Hand Held | 0.3 | ||||||
Paper & Related Products | 0.3 | ||||||
Metal-Copper | 0.3 | ||||||
Steel Pipe & Tube | 0.3 | ||||||
Electronic Security Devices | 0.3 | ||||||
Oil Refining & Marketing | 0.3 | ||||||
Metal-Aluminum | 0.3 | ||||||
Agricultural Chemicals | 0.3 | ||||||
Energy-Alternate Sources | 0.3 | ||||||
Advertising Agencies | 0.3 | ||||||
Retail-Building Products | 0.3 | ||||||
Metal Processors & Fabrication | 0.3 | ||||||
Aerospace/Defense-Equipment | 0.3 | ||||||
Computer Data Security | 0.3 | ||||||
Finance-Other Services | 0.3 | ||||||
Public Thoroughfares | 0.3 | ||||||
Machinery-General Industrial | 0.2 | ||||||
Hotels/Motels | 0.2 | ||||||
Food-Catering | 0.2 | ||||||
Electric Products-Misc. | 0.2 | ||||||
Repurchase Agreements | 0.2 | ||||||
Transport-Services | 0.2 | ||||||
Containers-Paper/Plastic | 0.2 | ||||||
Internet Content-Entertainment | 0.2 | ||||||
Machinery-Construction & Mining | 0.2 | ||||||
Steel-Producers | 0.2 | ||||||
Cable/Satellite TV | 0.2 | ||||||
Photo Equipment & Supplies | 0.2 | ||||||
Building-Heavy Construction | 0.1 | ||||||
Retail-Jewelry | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Industrial Automated/Robotic | 0.1 | ||||||
E-Marketing/Info | 0.1 | ||||||
Networking Products | 0.1 | ||||||
Advertising Sales | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Internet Content-Information/News | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Office Automation & Equipment | 0.1 | ||||||
Satellite Telecom | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 |
220
Seasons Series Trust SA Multi-Managed International Equity Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Finance-Credit Card | 0.1 | % | |||||
Investment Companies | 0.1 | ||||||
Telecom Services | 0.1 | ||||||
Finance-Investment Banker/Broker | 0.1 | ||||||
Instruments-Scientific | 0.1 | ||||||
Auto-Heavy Duty Trucks | 0.1 | ||||||
Registered Investment Companies | 0.1 | ||||||
Transactional Software | 0.1 | ||||||
Security Services | 0.1 | ||||||
Building Products-Air & Heating | 0.1 | ||||||
Resorts/Theme Parks | 0.1 | ||||||
Retail-Home Furnishings | 0.1 | ||||||
Respiratory Products | 0.1 | ||||||
99.2 | % | ||||||
Country Allocation* | |||||||
Japan | 21.7 | % | |||||
United Kingdom | 15.8 | ||||||
Germany | 10.4 | ||||||
France | 9.6 | ||||||
Switzerland | 7.4 | ||||||
Australia | 4.6 | ||||||
Netherlands | 3.1 | ||||||
Sweden | 2.5 | ||||||
United States | 2.1 | ||||||
Italy | 2.0 | ||||||
Cayman Islands | 2.0 | ||||||
Hong Kong | 1.9 | ||||||
Norway | 1.8 | ||||||
Spain | 1.8 | ||||||
Singapore | 1.8 | ||||||
Denmark | 1.6 | ||||||
Canada | 1.4 | ||||||
Belgium | 0.9 | ||||||
Taiwan | 0.9 | ||||||
Luxembourg | 0.8 | ||||||
Finland | 0.8 | ||||||
Jersey | 0.7 | ||||||
South Korea | 0.7 | ||||||
Austria | 0.6 | ||||||
India | 0.4 | ||||||
Bermuda | 0.4 | ||||||
Ireland | 0.4 | ||||||
Israel | 0.3 | ||||||
Brazil | 0.3 | ||||||
China | 0.2 | ||||||
Indonesia | 0.1 | ||||||
Mexico | 0.1 | ||||||
New Zealand | 0.1 | ||||||
99.2 | % |
* Calculated as a percentage of net assets
221
Seasons Series Trust SA Multi-Managed International Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 97.9% | |||||||||||
Australia — 4.6% | |||||||||||
AGL Energy, Ltd. | 8,665 | $ | 145,179 | ||||||||
Alumina, Ltd. | 33,895 | 61,868 | |||||||||
Amcor, Ltd. | 102,332 | 1,122,981 | |||||||||
AMP, Ltd. | 38,693 | 149,058 | |||||||||
APA Group (ASX) | 15,172 | 92,129 | |||||||||
Aristocrat Leisure, Ltd. | 7,281 | 135,739 | |||||||||
ASX, Ltd. | 2,586 | 111,940 | |||||||||
Aurizon Holdings, Ltd. | 27,345 | 89,759 | |||||||||
AusNet Services | 21,872 | 28,326 | |||||||||
Australia & New Zealand Banking Group, Ltd. | 123,834 | 2,569,191 | |||||||||
Bank of Queensland, Ltd. | 4,994 | 42,359 | |||||||||
Bendigo & Adelaide Bank, Ltd. | 6,175 | 47,012 | |||||||||
BGP Holdings PLC†(1)(2) | 98,723 | 23 | |||||||||
BHP Billiton, Ltd. | 55,624 | 1,230,422 | |||||||||
BlueScope Steel, Ltd. | 7,491 | 88,090 | |||||||||
Boral, Ltd. | 15,036 | 86,502 | |||||||||
Brambles, Ltd. | 295,486 | 2,274,107 | |||||||||
Caltex Australia, Ltd. | 3,614 | 87,758 | |||||||||
Challenger, Ltd. | 135,457 | 1,209,656 | |||||||||
CIMIC Group, Ltd. | 1,394 | 48,093 | |||||||||
Coca-Cola Amatil, Ltd. | 7,702 | 51,540 | |||||||||
Cochlear, Ltd. | 785 | 110,146 | |||||||||
Commonwealth Bank of Australia | 22,475 | 1,255,313 | |||||||||
Computershare, Ltd. | 6,288 | 84,147 | |||||||||
Crown Resorts, Ltd. | 4,830 | 47,381 | |||||||||
CSL, Ltd. | 26,920 | 3,237,036 | |||||||||
Dexus | 12,469 | 89,661 | |||||||||
Domino's Pizza Enterprises, Ltd. | 801 | 25,763 | |||||||||
Flight Centre Travel Group, Ltd. | 713 | 31,372 | |||||||||
Fortescue Metals Group, Ltd. | 21,123 | 70,701 | |||||||||
Goodman Group | 23,855 | 155,038 | |||||||||
GPT Group | 22,334 | 81,652 | |||||||||
Harvey Norman Holdings, Ltd. | 7,578 | 21,691 | |||||||||
Healthscope, Ltd. | 21,451 | 32,015 | |||||||||
Incitec Pivot, Ltd. | 22,617 | 61,410 | |||||||||
Independence Group NL | 267,985 | 955,554 | |||||||||
Insurance Australia Group, Ltd. | 31,870 | 183,981 | |||||||||
LendLease Group | 7,454 | 99,695 | |||||||||
Macquarie Group, Ltd. | 20,657 | 1,648,075 | |||||||||
Medibank Private, Ltd. | 37,064 | 83,111 | |||||||||
Mirvac Group | 49,510 | 82,123 | |||||||||
National Australia Bank, Ltd. | 34,889 | 767,664 | |||||||||
Newcrest Mining, Ltd. | 10,021 | 150,653 | |||||||||
Orica, Ltd. | 5,022 | 68,800 | |||||||||
Origin Energy, Ltd.† | 23,010 | 155,484 | |||||||||
QBE Insurance Group, Ltd. | 18,482 | 137,286 | |||||||||
Ramsay Health Care, Ltd. | 1,777 | 85,556 | |||||||||
REA Group, Ltd. | 716 | 43,792 | |||||||||
Rio Tinto, Ltd. | 15,204 | 854,555 | |||||||||
Santos, Ltd.† | 24,545 | 96,460 | |||||||||
Scentre Group | 379,672 | 1,121,569 | |||||||||
SEEK, Ltd. | 4,439 | 63,874 | |||||||||
Sonic Healthcare, Ltd. | 5,162 | 91,002 | |||||||||
South32, Ltd. | 323,807 | 807,127 | |||||||||
Stockland | 31,493 | 97,671 |
Security Description | Shares | Value (Note 2) | |||||||||
Australia (continued) | |||||||||||
Suncorp Group, Ltd. | 17,383 | $ | 178,806 | ||||||||
Sydney Airport | 14,419 | 74,752 | |||||||||
Tabcorp Holdings, Ltd. | 26,269 | 89,064 | |||||||||
Telstra Corp., Ltd. | 151,175 | 366,793 | |||||||||
TPG Telecom, Ltd. | 4,414 | 18,778 | |||||||||
Transurban Group | 26,585 | 234,130 | |||||||||
Treasury Wine Estates, Ltd. | 9,588 | 125,215 | |||||||||
Vicinity Centres | 45,417 | 84,417 | |||||||||
Wesfarmers, Ltd. | 14,750 | 473,274 | |||||||||
Westfield Corp. | 25,847 | 169,786 | |||||||||
Westpac Banking Corp. | 123,771 | 2,736,936 | |||||||||
Woodside Petroleum, Ltd. | 10,961 | 247,638 | |||||||||
Woolworths Group, Ltd. | 16,684 | 338,136 | |||||||||
WorleyParsons, Ltd. | 67,146 | 747,795 | |||||||||
28,454,610 | |||||||||||
Austria — 0.6% | |||||||||||
ANDRITZ AG | 975 | 54,519 | |||||||||
Erste Group Bank AG | 63,103 | 3,173,611 | |||||||||
OMV AG | 1,985 | 115,747 | |||||||||
Raiffeisen Bank International AG† | 1,919 | 74,769 | |||||||||
voestalpine AG | 1,517 | 79,606 | |||||||||
3,498,252 | |||||||||||
Belgium — 0.9% | |||||||||||
Ageas | 2,479 | 128,162 | |||||||||
Anheuser-Busch InBev SA/NV | 9,934 | 1,091,772 | |||||||||
Colruyt SA | 795 | 43,951 | |||||||||
Groupe Bruxelles Lambert SA | 1,091 | 124,754 | |||||||||
KBC Group NV | 3,280 | 285,904 | |||||||||
Proximus SADP | 2,043 | 63,441 | |||||||||
Solvay SA | 972 | 135,149 | |||||||||
Telenet Group Holding NV† | 708 | 47,320 | |||||||||
UCB SA | 1,707 | 139,246 | |||||||||
Umicore SA | 65,940 | 3,498,126 | |||||||||
5,557,825 | |||||||||||
Bermuda — 0.4% | |||||||||||
CK Infrastructure Holdings, Ltd. | 9,500 | 78,081 | |||||||||
First Pacific Co., Ltd. | 36,000 | 19,654 | |||||||||
Hongkong Land Holdings, Ltd. | 15,300 | 105,764 | |||||||||
Jardine Matheson Holdings, Ltd. | 2,803 | 172,899 | |||||||||
Jardine Strategic Holdings, Ltd. | 44,362 | 1,706,772 | |||||||||
Kerry Properties, Ltd. | 9,500 | 43,132 | |||||||||
Kingston Financial Group, Ltd. | 53,559 | 24,231 | |||||||||
Li & Fung, Ltd. | 76,000 | 37,526 | |||||||||
NWS Holdings, Ltd. | 20,000 | 36,437 | |||||||||
Shangri-La Asia, Ltd. | 20,000 | 40,586 | |||||||||
Yue Yuen Industrial Holdings, Ltd. | 10,000 | 39,939 | |||||||||
2,305,021 | |||||||||||
Brazil — 0.3% | |||||||||||
Lojas Renner SA | 55,130 | 573,601 | |||||||||
Telefonica Brasil SA (Preference Shares) | 79,000 | 1,206,016 | |||||||||
1,779,617 |
222
Seasons Series Trust SA Multi-Managed International Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Canada — 1.4% | |||||||||||
Element Fleet Management Corp. | 142,467 | $ | 458,911 | ||||||||
Magna International, Inc. | 25,100 | 1,414,385 | |||||||||
National Bank of Canada | 34,700 | 1,633,258 | |||||||||
Nutrien, Ltd. | 33,910 | 1,602,655 | |||||||||
Sun Life Financial, Inc. | 36,400 | 1,494,876 | |||||||||
Toronto-Dominion Bank | 32,394 | 1,838,262 | |||||||||
8,442,347 | |||||||||||
Cayman Islands — 2.0% | |||||||||||
Alibaba Group Holding, Ltd. ADR† | 17,513 | 3,214,336 | |||||||||
ASM Pacific Technology, Ltd. | 3,600 | 50,950 | |||||||||
Baidu, Inc. ADR† | 4,100 | 915,079 | |||||||||
CK Asset Holdings, Ltd. | 33,360 | 282,296 | |||||||||
CK Hutchison Holdings, Ltd. | 172,524 | 2,074,186 | |||||||||
iQIYI, Inc. ADR† | 62,378 | 969,978 | |||||||||
Melco Resorts & Entertainment, Ltd. ADR | 3,222 | 93,374 | |||||||||
MGM China Holdings, Ltd. | 12,800 | 33,441 | |||||||||
Minth Group, Ltd. | 10,853 | 49,753 | |||||||||
Sands China, Ltd. | 31,600 | 171,588 | |||||||||
Tencent Holdings, Ltd. | 54,200 | 2,885,132 | |||||||||
WH Group, Ltd.* | 114,000 | 122,538 | |||||||||
Wharf Real Estate Investment Co., Ltd.† | 17,000 | 111,293 | |||||||||
Wynn Macau, Ltd. | 20,800 | 76,278 | |||||||||
YY, Inc., ADR† | 10,179 | 1,070,831 | |||||||||
12,121,053 | |||||||||||
China — 0.2% | |||||||||||
Ping An Insurance Group Co. of China, Ltd. | 105,000 | 1,080,406 | |||||||||
Denmark — 1.6% | |||||||||||
AP Moller - Maersk A/S, Series A | 51 | 75,031 | |||||||||
AP Moller - Maersk A/S, Series B | 86 | 134,058 | |||||||||
Carlsberg A/S, Class B | 1,391 | 166,223 | |||||||||
Chr. Hansen Holding A/S | 1,299 | 112,237 | |||||||||
Coloplast A/S, Class B | 1,580 | 133,909 | |||||||||
Danske Bank A/S | 43,852 | 1,638,837 | |||||||||
DSV A/S | 2,513 | 198,174 | |||||||||
Genmab A/S† | 743 | 159,956 | |||||||||
GN Store Nord A/S | 38,279 | 1,358,344 | |||||||||
H. Lundbeck A/S | 907 | 50,699 | |||||||||
ISS A/S | 2,172 | 80,599 | |||||||||
Novo Nordisk A/S, Class B | 41,458 | 2,039,917 | |||||||||
Novozymes A/S, Class B | 3,073 | 159,135 | |||||||||
Orsted A/S* | 2,465 | 160,496 | |||||||||
Pandora A/S | 1,441 | 156,201 | |||||||||
TDC A/S† | 169,019 | 1,402,078 | |||||||||
Tryg A/S | 1,412 | 32,934 | |||||||||
Vestas Wind Systems A/S | 23,812 | 1,704,899 | |||||||||
William Demant Holding A/S† | 1,450 | 53,987 | |||||||||
9,817,714 | |||||||||||
Finland — 0.8% | |||||||||||
Elisa Oyj | 1,950 | 88,324 | |||||||||
Fortum Oyj | 6,021 | 129,463 | |||||||||
Kone Oyj, Class B | 4,504 | 224,977 |
Security Description | Shares | Value (Note 2) | |||||||||
Finland (continued) | |||||||||||
Metso Oyj | 1,510 | $ | 47,674 | ||||||||
Neste Oyj | 1,721 | 120,033 | |||||||||
Nokia Oyj | 75,491 | 417,288 | |||||||||
Nokian Renkaat Oyj | 32,635 | 1,484,444 | |||||||||
Orion Oyj, Class B | 1,387 | 42,489 | |||||||||
Sampo Oyj, Class A | 5,942 | 331,410 | |||||||||
Stora Enso Oyj, Class R | 78,939 | 1,453,021 | |||||||||
UPM-Kymmene Oyj | 6,905 | 256,236 | |||||||||
Wartsila Oyj Abp | 6,012 | 133,008 | |||||||||
4,728,367 | |||||||||||
France — 9.6% | |||||||||||
Accor SA | 2,308 | 124,677 | |||||||||
Aeroports de Paris | 393 | 85,670 | |||||||||
Air Liquide SA | 14,080 | 1,726,482 | |||||||||
Alstom SA | 2,013 | 90,810 | |||||||||
Amundi SA* | 19,720 | 1,586,945 | |||||||||
Arkema SA | 889 | 116,088 | |||||||||
Atos SE | 1,227 | 167,997 | |||||||||
AXA SA | 127,721 | 3,400,181 | |||||||||
BioMerieux | 527 | 43,516 | |||||||||
BNP Paribas SA | 80,112 | 5,939,939 | |||||||||
Bollore SA | 11,640 | 62,120 | |||||||||
Bouygues SA | 2,704 | 135,642 | |||||||||
Bureau Veritas SA | 3,552 | 92,370 | |||||||||
Capgemini SE | 2,090 | 260,664 | |||||||||
Carrefour SA | 7,388 | 153,444 | |||||||||
Casino Guichard Perrachon SA | 755 | 37,019 | |||||||||
Cie de Saint-Gobain | 34,699 | 1,832,839 | |||||||||
Cie Generale des Etablissements Michelin SCA | 2,241 | 331,251 | |||||||||
CNP Assurances | 2,276 | 57,467 | |||||||||
Credit Agricole SA | 14,564 | 236,970 | |||||||||
Danone SA | 29,609 | 2,398,166 | |||||||||
Dassault Aviation SA | 31 | 59,243 | |||||||||
Dassault Systemes SE | 1,717 | 233,565 | |||||||||
Edenred | 2,794 | 97,221 | |||||||||
Eiffage SA | 957 | 109,018 | |||||||||
Electricite de France SA | 7,160 | 103,826 | |||||||||
Engie SA | 126,611 | 2,115,231 | |||||||||
Essilor International Cie Generale d'Optique SA | 18,173 | 2,453,153 | |||||||||
Eurazeo SA | 601 | 55,342 | |||||||||
Eutelsat Communications SA | 31,892 | 632,411 | |||||||||
Faurecia SA | 996 | 80,702 | |||||||||
Fonciere Des Regions | 397 | 43,833 | |||||||||
Gecina SA | 604 | 104,981 | |||||||||
Getlink SE | 6,316 | 90,172 | |||||||||
Hermes International | 417 | 247,255 | |||||||||
ICADE | 508 | 49,370 | |||||||||
Iliad SA | 356 | 73,687 | |||||||||
Imerys SA | 478 | 46,487 | |||||||||
Ingenico Group SA | 732 | 59,559 | |||||||||
Ipsen SA | 487 | 75,622 | |||||||||
JCDecaux SA | 899 | 31,376 | |||||||||
Kering SA | 3,801 | 1,822,560 | |||||||||
Klepierre SA | 2,906 | 117,257 |
223
Seasons Series Trust SA Multi-Managed International Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
France (continued) | |||||||||||
L'Oreal SA | 11,007 | $ | 2,486,569 | ||||||||
Lagardere SCA | 1,584 | 45,270 | |||||||||
Legrand SA | 16,564 | 1,300,032 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | 9,864 | 3,041,949 | |||||||||
Natixis SA | 12,629 | 103,662 | |||||||||
Orange SA | 25,977 | 441,160 | |||||||||
Pernod Ricard SA | 2,791 | 464,937 | |||||||||
Peugeot SA | 7,682 | 185,000 | |||||||||
Publicis Groupe SA | 2,635 | 183,592 | |||||||||
Remy Cointreau SA | 339 | 48,359 | |||||||||
Renault SA | 2,506 | 304,447 | |||||||||
Rexel SA | 3,747 | 63,463 | |||||||||
Safran SA | 4,336 | 459,490 | |||||||||
Sanofi | 37,489 | 3,012,437 | |||||||||
Schneider Electric SE | 42,050 | 3,698,754 | |||||||||
SCOR SE | 2,223 | 91,046 | |||||||||
SEB SA | 292 | 55,817 | |||||||||
Societe BIC SA | 382 | 38,029 | |||||||||
Societe Generale SA | 10,026 | 545,467 | |||||||||
Sodexo SA | 1,211 | 122,180 | |||||||||
Suez | 4,829 | 70,031 | |||||||||
Teleperformance | 750 | 116,375 | |||||||||
Thales SA | 1,393 | 169,741 | |||||||||
TOTAL SA | 167,432 | 9,515,770 | |||||||||
UBISOFT Entertainment SA† | 817 | 69,014 | |||||||||
Unibail-Rodamco SE (Euronext Paris) | 6,552 | 1,498,030 | |||||||||
Valeo SA | 3,059 | 202,290 | |||||||||
Veolia Environnement SA | 6,217 | 147,434 | |||||||||
Vinci SA | 6,545 | 644,428 | |||||||||
Vivendi SA | 82,980 | 2,147,733 | |||||||||
Wendel SA | 370 | 57,753 | |||||||||
58,912,387 | |||||||||||
Germany — 10.4% | |||||||||||
adidas AG | 12,674 | 3,069,403 | |||||||||
Allianz SE | 5,860 | 1,324,327 | |||||||||
Axel Springer SE | 529 | 44,288 | |||||||||
BASF SE | 50,759 | 5,158,680 | |||||||||
Bayer AG | 69,322 | 7,838,453 | |||||||||
Bayerische Motoren Werke AG | 38,489 | 4,177,031 | |||||||||
Bayerische Motoren Werke AG (Preference Shares) | 733 | 68,711 | |||||||||
Beiersdorf AG | 1,363 | 154,345 | |||||||||
Brenntag AG | 2,107 | 125,390 | |||||||||
Commerzbank AG† | 48,028 | 623,992 | |||||||||
Continental AG | 7,787 | 2,150,964 | |||||||||
Covestro AG* | 9,136 | 899,271 | |||||||||
Daimler AG | 12,580 | 1,068,988 | |||||||||
Deutsche Bank AG | 26,870 | 374,654 | |||||||||
Deutsche Boerse AG | 2,496 | 340,019 | |||||||||
Deutsche Lufthansa AG | 3,116 | 99,536 | |||||||||
Deutsche Post AG | 12,726 | 556,499 | |||||||||
Deutsche Telekom AG | 206,140 | 3,362,801 | |||||||||
Deutsche Wohnen SE | 34,745 | 1,621,755 |
Security Description | Shares | Value (Note 2) | |||||||||
Germany (continued) | |||||||||||
Drillisch AG† | 692 | $ | 46,613 | ||||||||
E.ON SE | 76,495 | 850,036 | |||||||||
Evonik Industries AG | 2,101 | 74,130 | |||||||||
Fraport AG Frankfurt Airport Services Worldwide | 479 | 47,271 | |||||||||
Fresenius Medical Care AG & Co. KGaA | 2,781 | 283,958 | |||||||||
Fresenius SE & Co. KGaA | 37,333 | 2,851,601 | |||||||||
FUCHS PETROLUB SE (Preference Shares) | 925 | 50,235 | |||||||||
GEA Group AG | 24,754 | 1,053,078 | |||||||||
Hannover Rueck SE | 807 | 110,214 | |||||||||
HeidelbergCement AG | 18,630 | 1,830,439 | |||||||||
Henkel AG & Co. KGaA | 1,338 | 168,401 | |||||||||
Henkel AG & Co. KGaA (Preference Shares) | 2,329 | 306,267 | |||||||||
HOCHTIEF AG | 268 | 50,092 | |||||||||
HUGO BOSS AG | 895 | 78,003 | |||||||||
Infineon Technologies AG | 96,429 | 2,583,335 | |||||||||
Innogy SE* | 1,790 | 84,674 | |||||||||
K+S AG | 2,569 | 74,156 | |||||||||
KION Group AG | 929 | 86,695 | |||||||||
LANXESS AG | 1,241 | 95,150 | |||||||||
Linde AG† | 14,162 | 2,981,352 | |||||||||
MAN SE | 486 | 56,665 | |||||||||
Merck KGaA | 1,692 | 162,322 | |||||||||
METRO AG | 2,334 | 41,330 | |||||||||
MTU Aero Engines AG | 669 | 112,768 | |||||||||
Muenchener Rueckversicherungs- Gesellschaft AG | 10,909 | 2,537,096 | |||||||||
OSRAM Licht AG | 1,300 | 95,721 | |||||||||
Porsche Automobil Holding SE (Preference Shares) | 2,068 | 171,951 | |||||||||
ProSiebenSat.1 Media SE | 3,033 | 105,196 | |||||||||
RWE AG† | 6,606 | 163,183 | |||||||||
SAP SE | 33,569 | 3,512,863 | |||||||||
Schaeffler AG (Preference Shares) | 2,174 | 33,570 | |||||||||
Siemens AG | 34,483 | 4,398,312 | |||||||||
Siemens Healthineers AG†* | 22,198 | 912,272 | |||||||||
Stroeer SE & Co. KGaA | 10,512 | 735,337 | |||||||||
Symrise AG | 19,731 | 1,588,746 | |||||||||
Telefonica Deutschland Holding AG | 271,995 | 1,278,020 | |||||||||
thyssenkrupp AG | 5,841 | 152,334 | |||||||||
TUI AG | 5,766 | 123,787 | |||||||||
Uniper SE | 2,636 | 80,340 | |||||||||
United Internet AG | 1,658 | 104,418 | |||||||||
Volkswagen AG | 424 | 84,899 | |||||||||
Volkswagen AG (Preference Shares) | 2,417 | 480,750 | |||||||||
Vonovia SE | 6,312 | 313,026 | |||||||||
Wirecard AG | 1,526 | 180,386 | |||||||||
Zalando SE†* | 1,453 | 79,267 | |||||||||
64,269,366 | |||||||||||
Hong Kong — 1.9% | |||||||||||
AIA Group, Ltd. | 777,800 | 6,639,980 | |||||||||
Bank of East Asia, Ltd. | 15,800 | 63,422 | |||||||||
BOC Hong Kong Holdings, Ltd. | 311,000 | 1,525,090 |
224
Seasons Series Trust SA Multi-Managed International Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Hong Kong (continued) | |||||||||||
CLP Holdings, Ltd. | 21,500 | $ | 219,781 | ||||||||
Galaxy Entertainment Group, Ltd. | 31,000 | 284,169 | |||||||||
Hang Lung Group, Ltd. | 14,000 | 45,897 | |||||||||
Hang Lung Properties, Ltd. | 26,000 | 61,010 | |||||||||
Hang Seng Bank, Ltd. | 9,900 | 230,810 | |||||||||
Henderson Land Development Co., Ltd. | 17,333 | 113,561 | |||||||||
HKT Trust & HKT, Ltd. | 50,000 | 62,934 | |||||||||
Hong Kong & China Gas Co., Ltd. | 110,289 | 227,387 | |||||||||
Hong Kong Exchanges & Clearing, Ltd. | 15,300 | 502,909 | |||||||||
Hysan Development Co., Ltd. | 10,000 | 53,074 | |||||||||
I-CABLE Communications, Ltd.† | 23,414 | 598 | |||||||||
Link REIT | 29,000 | 248,715 | |||||||||
MTR Corp., Ltd. | 18,000 | 97,290 | |||||||||
New World Development Co., Ltd. | 73,000 | 104,068 | |||||||||
PCCW, Ltd. | 52,000 | 30,169 | |||||||||
Power Assets Holdings, Ltd. | 18,000 | 161,170 | |||||||||
Sino Land Co., Ltd. | 40,000 | 65,090 | |||||||||
SJM Holdings, Ltd. | 30,000 | 26,289 | |||||||||
Sun Hung Kai Properties, Ltd. | 20,000 | 318,598 | |||||||||
Swire Pacific, Ltd., Class A | 7,500 | 76,097 | |||||||||
Swire Properties, Ltd. | 15,800 | 55,559 | |||||||||
Techtronic Industries Co., Ltd. | 18,500 | 109,279 | |||||||||
Wharf Holdings, Ltd. | 17,000 | 58,892 | |||||||||
Wheelock & Co., Ltd. | 11,000 | 80,672 | |||||||||
11,462,510 | |||||||||||
India — 0.4% | |||||||||||
HDFC Bank, Ltd. ADR | 14,790 | 1,460,808 | |||||||||
Infosys, Ltd. ADR | 59,100 | 1,054,935 | |||||||||
2,515,743 | |||||||||||
Indonesia — 0.1% | |||||||||||
Bank Central Asia Tbk PT | 540,600 | 917,839 | |||||||||
Ireland — 0.4% | |||||||||||
AIB Group PLC | 10,622 | 64,049 | |||||||||
Bank of Ireland Group PLC† | 12,391 | 108,608 | |||||||||
CRH PLC | 10,782 | 366,581 | |||||||||
DCC PLC | 13,550 | 1,248,565 | |||||||||
James Hardie Industries PLC CDI | 6,065 | 107,149 | |||||||||
Kerry Group PLC, Class A | 2,070 | 210,489 | |||||||||
Paddy Power Betfair PLC | 1,036 | 106,443 | |||||||||
2,211,884 | |||||||||||
Isle of Man — 0.0% | |||||||||||
Genting Singapore PLC | 82,100 | 68,040 | |||||||||
Israel — 0.3% | |||||||||||
Azrieli Group, Ltd. | 502 | 24,110 | |||||||||
Bank Hapoalim B.M. | 14,331 | 98,532 | |||||||||
Bank Leumi Le-Israel B.M. | 17,940 | 108,354 | |||||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 26,679 | 34,136 | |||||||||
Check Point Software Technologies, Ltd.† | 14,903 | 1,480,464 | |||||||||
Elbit Systems, Ltd. | 298 | �� | 35,909 | ||||||||
Frutarom Industries, Ltd. | 493 | 45,319 |
Security Description | Shares | Value (Note 2) | |||||||||
Israel (continued) | |||||||||||
Israel Chemicals, Ltd. | 6,366 | $ | 26,974 | ||||||||
Mizrahi Tefahot Bank, Ltd. | 1,991 | 38,127 | |||||||||
NICE, Ltd.† | 756 | 70,931 | |||||||||
Teva Pharmaceutical Industries, Ltd. ADR | 11,887 | 203,149 | |||||||||
2,166,005 | |||||||||||
Italy — 2.0% | |||||||||||
Assicurazioni Generali SpA | 16,266 | 313,600 | |||||||||
Atlantia SpA | 5,912 | 183,280 | |||||||||
Davide Campari-Milano SpA | 7,431 | 56,320 | |||||||||
Enel SpA | 105,974 | 649,320 | |||||||||
Eni SpA | 33,294 | 586,904 | |||||||||
Intesa Sanpaolo SpA | 1,362,049 | 4,967,098 | |||||||||
Intesa Sanpaolo SpA (RSP) | 12,526 | 47,469 | |||||||||
Leonardo SpA | 5,453 | 63,067 | |||||||||
Luxottica Group SpA | 2,269 | 141,205 | |||||||||
Mediobanca Banca di Credito Finanziario SpA | 7,453 | 87,734 | |||||||||
Moncler SpA | 33,296 | 1,269,655 | |||||||||
Poste Italiane SpA* | 6,791 | 62,158 | |||||||||
Prysmian SpA | 63,454 | 1,996,400 | |||||||||
Recordati SpA | 1,379 | 51,099 | |||||||||
Snam SpA | 29,881 | 137,452 | |||||||||
Telecom Italia SpA† | 148,063 | 141,002 | |||||||||
Telecom Italia SpA( RSP) | 1,054,301 | 880,619 | |||||||||
Terna Rete Elettrica Nazionale SpA | 18,639 | 109,050 | |||||||||
UniCredit SpA† | 26,128 | 548,221 | |||||||||
UnipolSai Assicurazioni SpA | 12,334 | 29,374 | |||||||||
12,321,027 | |||||||||||
Japan — 21.7% | |||||||||||
ABC-Mart, Inc. | 500 | 32,940 | |||||||||
Acom Co., Ltd.† | 5,400 | 24,055 | |||||||||
Aeon Co., Ltd. | 8,000 | 142,813 | |||||||||
AEON Financial Service Co., Ltd. | 1,600 | 36,765 | |||||||||
Aeon Mall Co., Ltd. | 1,600 | 33,532 | |||||||||
Air Water, Inc. | 2,100 | 40,972 | |||||||||
Aisin Seiki Co., Ltd. | 13,100 | 711,602 | |||||||||
Ajinomoto Co., Inc. | 7,000 | 126,639 | |||||||||
Alfresa Holdings Corp. | 2,300 | 51,186 | |||||||||
Alps Electric Co., Ltd. | 2,625 | 64,339 | |||||||||
Amada Holdings Co., Ltd. | 4,100 | 49,783 | |||||||||
ANA Holdings, Inc. | 1,600 | 61,922 | |||||||||
Aozora Bank, Ltd. | 1,600 | 63,681 | |||||||||
Asahi Glass Co., Ltd. | 2,700 | 111,776 | |||||||||
Asahi Group Holdings, Ltd. | 5,100 | 271,620 | |||||||||
Asahi Kasei Corp. | 126,700 | 1,665,836 | |||||||||
Asics Corp. | 2,100 | 38,860 | |||||||||
Astellas Pharma, Inc. | 172,000 | 2,608,975 | |||||||||
Bandai Namco Holdings, Inc. | 2,600 | 85,400 | |||||||||
Bank of Kyoto, Ltd. | 800 | 44,660 | |||||||||
Benesse Holdings, Inc. | 1,200 | 43,475 | |||||||||
Bridgestone Corp. | 52,000 | 2,259,743 | |||||||||
Brother Industries, Ltd. | 3,000 | 69,724 | |||||||||
Calbee, Inc. | 1,100 | 36,389 | |||||||||
Canon, Inc. | 13,800 | 499,708 | |||||||||
Casio Computer Co., Ltd. | 3,000 | 44,716 |
225
Seasons Series Trust SA Multi-Managed International Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Japan (continued) | |||||||||||
Central Japan Railway Co. | 8,500 | $ | 1,608,054 | ||||||||
Chiba Bank, Ltd. | 10,000 | 80,353 | |||||||||
Chubu Electric Power Co., Inc. | 8,700 | 122,890 | |||||||||
Chugai Pharmaceutical Co., Ltd. | 3,000 | 151,685 | |||||||||
Chugoku Electric Power Co., Inc. | 4,000 | 48,193 | |||||||||
Coca-Cola Bottlers Japan Holdings, Inc. | 1,738 | 71,787 | |||||||||
Concordia Financial Group, Ltd. | 16,000 | 88,267 | |||||||||
Credit Saison Co., Ltd. | 39,000 | 640,318 | |||||||||
CyberAgent, Inc. | 15,900 | 790,480 | |||||||||
CYBERDYNE, Inc.† | 1,485 | 21,018 | |||||||||
Dai Nippon Printing Co., Ltd. | 3,300 | 68,168 | |||||||||
Dai-ichi Life Holdings, Inc. | 14,100 | 257,406 | |||||||||
Daicel Corp. | 3,900 | 42,590 | |||||||||
Daifuku Co., Ltd. | 1,448 | 86,685 | |||||||||
Daiichi Sankyo Co., Ltd. | 7,400 | 245,218 | |||||||||
Daikin Industries, Ltd. | 3,300 | 363,944 | |||||||||
Daito Trust Construction Co., Ltd. | 1,100 | 190,113 | |||||||||
Daiwa House Industry Co., Ltd. | 7,500 | 288,990 | |||||||||
Daiwa House REIT Investment Corp. | 19 | 45,462 | |||||||||
Daiwa Securities Group, Inc. | 22,000 | 140,326 | |||||||||
DeNA Co., Ltd. | 1,600 | 28,871 | |||||||||
Denso Corp. | 6,200 | 339,119 | |||||||||
Dentsu, Inc. | 2,800 | 122,889 | |||||||||
Disco Corp. | 500 | 107,843 | |||||||||
Don Quijote Holdings Co., Ltd. | 1,600 | 91,875 | |||||||||
East Japan Railway Co. | 4,300 | 398,540 | |||||||||
Eisai Co., Ltd. | 3,500 | 223,049 | |||||||||
Electric Power Development Co., Ltd. | 42,100 | 1,061,155 | |||||||||
FamilyMart UNY Holdings Co., Ltd. | 1,200 | 101,048 | |||||||||
FANUC Corp. | 2,600 | 658,766 | |||||||||
Fast Retailing Co., Ltd. | 700 | 284,460 | |||||||||
Fuji Electric Co., Ltd. | 9,000 | 61,238 | |||||||||
FUJIFILM Holdings Corp. | 5,300 | 211,442 | |||||||||
Fujitsu, Ltd. | 26,000 | 160,000 | |||||||||
Fukuoka Financial Group, Inc. | 12,000 | 64,621 | |||||||||
Hachijuni Bank, Ltd. | 5,000 | 26,784 | |||||||||
Hakuhodo DY Holdings, Inc. | 2,900 | 39,873 | |||||||||
Hamamatsu Photonics KK | 16,000 | 604,483 | |||||||||
Hankyu Hanshin Holdings, Inc. | 3,100 | 114,934 | |||||||||
Hikari Tsushin, Inc. | 300 | 47,958 | |||||||||
Hino Motors, Ltd. | 3,400 | 43,744 | |||||||||
Hirose Electric Co., Ltd. | 525 | 72,135 | |||||||||
Hisamitsu Pharmaceutical Co., Inc. | 1,000 | 77,440 | |||||||||
Hitachi Chemical Co., Ltd. | 1,500 | 34,185 | |||||||||
Hitachi Construction Machinery Co., Ltd. | 1,500 | 57,869 | |||||||||
Hitachi High-Technologies Corp. | 1,000 | 47,554 | |||||||||
Hitachi Metals, Ltd. | 3,000 | 35,468 | |||||||||
Hitachi, Ltd. | 63,000 | 456,373 | |||||||||
Honda Motor Co., Ltd. | 60,700 | 2,087,891 | |||||||||
Hoshizaki Corp. | 700 | 61,444 | |||||||||
Hoya Corp. | 5,100 | 254,269 | |||||||||
Hulic Co., Ltd. | 3,900 | 42,553 | |||||||||
Idemitsu Kosan Co., Ltd. | 1,900 | 72,229 | |||||||||
IHI Corp. | 2,100 | 65,227 |
Security Description | Shares | Value (Note 2) | |||||||||
Japan (continued) | |||||||||||
Iida Group Holdings Co., Ltd. | 2,100 | $ | 39,235 | ||||||||
Inpex Corp. | 12,700 | 157,072 | |||||||||
Isetan Mitsukoshi Holdings, Ltd. | 4,400 | 48,547 | |||||||||
Isuzu Motors, Ltd. | 7,200 | 110,431 | |||||||||
ITOCHU Corp. | 19,500 | 378,711 | |||||||||
J. Front Retailing Co., Ltd. | 3,000 | 51,003 | |||||||||
Japan Airlines Co., Ltd. | 1,800 | 72,436 | |||||||||
Japan Airport Terminal Co., Ltd. | 700 | 26,742 | |||||||||
Japan Exchange Group, Inc. | 6,900 | 127,748 | |||||||||
Japan Post Bank Co., Ltd. | 5,300 | 71,128 | |||||||||
Japan Post Holdings Co., Ltd. | 20,600 | 248,002 | |||||||||
Japan Prime Realty Investment Corp. | 14 | 49,866 | |||||||||
Japan Real Estate Investment Corp. | 17 | 88,032 | |||||||||
Japan Retail Fund Investment Corp. | 31 | 59,492 | |||||||||
Japan Tobacco, Inc. | 14,300 | 412,046 | |||||||||
JFE Holdings, Inc. | 6,600 | 132,955 | |||||||||
JGC Corp. | 2,700 | 58,717 | |||||||||
JSR Corp. | 2,300 | 51,726 | |||||||||
JTEKT Corp. | 2,800 | 41,472 | |||||||||
JXTG Holdings, Inc. | 39,950 | 241,679 | |||||||||
Kajima Corp. | 14,000 | 129,862 | |||||||||
Kakaku.com, Inc. | 31,600 | 552,974 | |||||||||
Kamigumi Co., Ltd. | 1,900 | 42,427 | |||||||||
Kaneka Corp. | 5,000 | 49,575 | |||||||||
Kansai Electric Power Co., Inc. | 9,400 | 120,763 | |||||||||
Kansai Paint Co., Ltd. | 2,900 | 67,536 | |||||||||
Kao Corp. | 6,500 | 487,538 | |||||||||
Kawasaki Heavy Industries, Ltd. | 1,900 | 61,426 | |||||||||
KDDI Corp. | 111,900 | 2,856,786 | |||||||||
Keihan Holdings Co., Ltd. | 1,500 | 46,238 | |||||||||
Keikyu Corp. | 3,100 | 53,898 | |||||||||
Keio Corp. | 1,500 | 64,071 | |||||||||
Keisei Electric Railway Co., Ltd. | 1,900 | 58,390 | |||||||||
Keyence Corp. | 5,000 | 3,103,238 | |||||||||
Kikkoman Corp. | 2,000 | 80,447 | |||||||||
Kintetsu Group Holdings Co., Ltd. | 2,300 | 89,596 | |||||||||
Kirin Holdings Co., Ltd. | 36,300 | 966,306 | |||||||||
Kobe Steel, Ltd.† | 4,100 | 41,075 | |||||||||
Koito Manufacturing Co., Ltd. | 8,800 | 610,347 | |||||||||
Komatsu, Ltd. | 12,000 | 400,019 | |||||||||
Konami Holdings Corp. | 1,400 | 73,549 | |||||||||
Konica Minolta, Inc. | 6,100 | 52,283 | |||||||||
Kose Corp. | 340 | 71,160 | |||||||||
Kubota Corp. | 137,600 | 2,407,887 | |||||||||
Kuraray Co., Ltd. | 4,500 | 76,463 | |||||||||
Kurita Water Industries, Ltd. | 1,500 | 47,578 | |||||||||
Kyocera Corp. | 4,200 | 236,989 | |||||||||
Kyowa Hakko Kirin Co., Ltd. | 3,300 | 72,479 | |||||||||
Kyushu Electric Power Co., Inc. | 5,600 | 66,734 | |||||||||
Kyushu Financial Group, Inc. | 4,600 | 22,740 | |||||||||
Kyushu Railway Co. | 2,200 | 68,437 | |||||||||
Lawson, Inc. | 800 | 54,509 | |||||||||
LINE Corp.† | 700 | 27,696 | |||||||||
Lion Corp. | 3,100 | 62,434 | |||||||||
LIXIL Group Corp. | 3,500 | 78,154 | |||||||||
M3, Inc. | 2,600 | 116,799 |
226
Seasons Series Trust SA Multi-Managed International Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Japan (continued) | |||||||||||
Mabuchi Motor Co., Ltd. | 800 | $ | 39,397 | ||||||||
Makita Corp. | 40,500 | 1,979,230 | |||||||||
Marubeni Corp. | 21,500 | 155,565 | |||||||||
Marui Group Co., Ltd. | 2,800 | 57,050 | |||||||||
Maruichi Steel Tube, Ltd. | 700 | 21,413 | |||||||||
Mazda Motor Corp. | 7,500 | 99,138 | |||||||||
McDonald's Holdings Co. Japan, Ltd. | 1,000 | 46,802 | |||||||||
Mebuki Financial Group, Inc. | 12,200 | 46,894 | |||||||||
Medipal Holdings Corp. | 2,200 | 45,073 | |||||||||
MEIJI Holdings Co., Ltd. | 1,700 | 129,411 | |||||||||
MinebeaMitsumi, Inc. | 5,000 | 106,762 | |||||||||
Miraca Holdings, Inc. | 14,500 | 566,209 | |||||||||
MISUMI Group, Inc. | 3,600 | 98,826 | |||||||||
Mitsubishi Chemical Holdings Corp. | 18,200 | 176,261 | |||||||||
Mitsubishi Corp. | 62,700 | 1,686,456 | |||||||||
Mitsubishi Electric Corp. | 188,900 | 3,020,660 | |||||||||
Mitsubishi Estate Co., Ltd. | 16,300 | 275,509 | |||||||||
Mitsubishi Gas Chemical Co., Inc. | 2,100 | 50,307 | |||||||||
Mitsubishi Heavy Industries, Ltd. | 4,100 | 156,979 | |||||||||
Mitsubishi Materials Corp. | 1,600 | 48,118 | |||||||||
Mitsubishi Motors Corp. | 8,700 | 62,222 | |||||||||
Mitsubishi Tanabe Pharma Corp. | 3,000 | 58,644 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 745,500 | 4,883,356 | |||||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 126,100 | 739,499 | |||||||||
Mitsui & Co., Ltd. | 22,400 | 383,666 | |||||||||
Mitsui Chemicals, Inc. | 2,500 | 78,826 | |||||||||
Mitsui Fudosan Co., Ltd. | 53,600 | 1,300,394 | |||||||||
Mitsui OSK Lines, Ltd. | 1,600 | 46,013 | |||||||||
Mixi, Inc. | 700 | 25,854 | |||||||||
Mizuho Financial Group, Inc. | 314,400 | 565,539 | |||||||||
MS&AD Insurance Group Holdings, Inc. | 6,200 | 195,489 | |||||||||
Murata Manufacturing Co., Ltd. | 12,900 | 1,766,393 | |||||||||
Nabtesco Corp. | 1,600 | 61,726 | |||||||||
Nagoya Railroad Co., Ltd. | 2,500 | 63,343 | |||||||||
NEC Corp. | 3,400 | 95,573 | |||||||||
Nexon Co., Ltd.† | 5,000 | 82,703 | |||||||||
NGK Insulators, Ltd. | 3,500 | 60,326 | |||||||||
NGK Spark Plug Co., Ltd. | 2,100 | 50,583 | |||||||||
NH Foods, Ltd. | 1,000 | 40,976 | |||||||||
Nidec Corp. | 3,100 | 477,506 | |||||||||
Nikon Corp. | 4,500 | 80,184 | |||||||||
Nintendo Co., Ltd. | 10,000 | 4,403,928 | |||||||||
Nippon Building Fund, Inc. | 19 | 104,995 | |||||||||
Nippon Electric Glass Co., Ltd. | 1,300 | 38,607 | |||||||||
Nippon Express Co., Ltd. | 1,100 | 73,606 | |||||||||
Nippon Paint Holdings Co., Ltd. | 2,100 | 77,069 | |||||||||
Nippon Prologis REIT, Inc. | 23 | 49,500 | |||||||||
Nippon Steel & Sumitomo Metal Corp. | 9,800 | 215,194 | |||||||||
Nippon Telegraph & Telephone Corp. | 80,100 | 3,688,642 | |||||||||
Nippon Yusen KK | 2,100 | 42,393 | |||||||||
Nissan Chemical Industries, Ltd. | 1,700 | 70,617 | |||||||||
Nissan Motor Co., Ltd. | 30,400 | 315,414 | |||||||||
Nisshin Seifun Group, Inc. | 2,800 | 55,497 |
Security Description | Shares | Value (Note 2) | |||||||||
Japan (continued) | |||||||||||
Nissin Foods Holdings Co., Ltd. | 900 | $ | 62,422 | ||||||||
Nitori Holdings Co., Ltd. | 1,100 | 194,403 | |||||||||
Nitto Denko Corp. | 2,200 | 164,951 | |||||||||
NOK Corp. | 1,500 | 29,125 | |||||||||
Nomura Holdings, Inc. | 47,900 | 276,988 | |||||||||
Nomura Real Estate Holdings, Inc. | 72,500 | 1,711,574 | |||||||||
Nomura Real Estate Master Fund, Inc. | 47 | 64,843 | |||||||||
Nomura Research Institute, Ltd. | 1,900 | 89,996 | |||||||||
NSK, Ltd. | 5,100 | 68,348 | |||||||||
NTT Data Corp. | 7,900 | 84,045 | |||||||||
NTT DOCOMO, Inc. | 18,000 | 459,537 | |||||||||
Obayashi Corp. | 8,300 | 90,797 | |||||||||
OBIC Co., Ltd. | 1,000 | 83,173 | |||||||||
Odakyu Electric Railway Co., Ltd. | 3,700 | 74,866 | |||||||||
Oji Holdings Corp. | 13,000 | 83,568 | |||||||||
Olympus Corp. | 3,700 | 140,482 | |||||||||
Omron Corp. | 22,600 | 1,329,599 | |||||||||
Ono Pharmaceutical Co., Ltd. | 5,200 | 160,977 | |||||||||
Oracle Corp. Japan | 600 | 48,776 | |||||||||
Oriental Land Co., Ltd. | 2,900 | 296,119 | |||||||||
ORIX Corp. | 107,000 | 1,886,993 | |||||||||
Osaka Gas Co., Ltd. | 4,900 | 96,683 | |||||||||
Otsuka Corp. | 1,600 | 80,598 | |||||||||
Otsuka Holdings Co., Ltd. | 5,100 | 255,419 | |||||||||
Panasonic Corp. | 139,200 | 1,989,786 | |||||||||
Park24 Co., Ltd. | 1,500 | 40,205 | |||||||||
Persol Holdings Co., Ltd. | 2,301 | 66,929 | |||||||||
Pola Orbis Holdings, Inc. | 15,944 | 653,314 | |||||||||
Rakuten, Inc. | 12,500 | 105,622 | |||||||||
Recruit Holdings Co., Ltd. | 140,600 | 3,494,354 | |||||||||
Renesas Electronics Corp.† | 56,421 | 567,365 | |||||||||
Resona Holdings, Inc. | 29,800 | 157,395 | |||||||||
Ricoh Co., Ltd. | 8,900 | 87,908 | |||||||||
Rinnai Corp. | 400 | 37,968 | |||||||||
Rohm Co., Ltd. | 1,400 | 133,283 | |||||||||
Ryohin Keikaku Co., Ltd. | 420 | 140,914 | |||||||||
Sankyo Co., Ltd. | 800 | 28,194 | |||||||||
Santen Pharmaceutical Co., Ltd. | 107,800 | 1,737,484 | |||||||||
SBI Holdings, Inc. | 3,000 | 68,596 | |||||||||
Secom Co., Ltd. | 2,800 | 208,411 | |||||||||
Sega Sammy Holdings, Inc. | 2,500 | 39,589 | |||||||||
Seibu Holdings, Inc. | 2,900 | 50,475 | |||||||||
Seiko Epson Corp. | 3,700 | 65,755 | |||||||||
Sekisui Chemical Co., Ltd. | 125,800 | 2,194,303 | |||||||||
Sekisui House, Ltd. | 7,500 | 136,883 | |||||||||
Seven & i Holdings Co., Ltd. | 47,600 | 2,041,694 | |||||||||
Seven Bank, Ltd. | 8,000 | 25,488 | |||||||||
Sharp Corp.† | 2,100 | 62,760 | |||||||||
Shimadzu Corp. | 3,200 | 89,981 | |||||||||
Shimamura Co., Ltd. | 400 | 50,035 | |||||||||
Shimano, Inc. | 1,100 | 158,583 | |||||||||
Shimizu Corp. | 7,200 | 64,350 | |||||||||
Shin-Etsu Chemical Co., Ltd. | 5,100 | 527,471 | |||||||||
Shinsei Bank, Ltd. | 2,400 | 36,901 | |||||||||
Shionogi & Co., Ltd. | 3,900 | 201,258 | |||||||||
Shiseido Co., Ltd. | 46,200 | 2,958,137 |
227
Seasons Series Trust SA Multi-Managed International Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Japan (continued) | |||||||||||
Shizuoka Bank, Ltd. | 8,000 | $ | 75,636 | ||||||||
Showa Shell Sekiyu KK | 2,500 | 33,857 | |||||||||
SMC Corp. | 7,400 | 2,995,329 | |||||||||
SoftBank Group Corp. | 21,700 | 1,621,305 | |||||||||
Sohgo Security Services Co., Ltd. | 1,100 | 54,377 | |||||||||
Sompo Holdings, Inc. | 4,600 | 185,115 | |||||||||
Sony Corp. | 32,000 | 1,547,596 | |||||||||
Sony Financial Holdings, Inc. | 2,200 | 40,028 | |||||||||
Stanley Electric Co., Ltd. | 1,900 | 70,175 | |||||||||
Start Today Co., Ltd. | 2,530 | 67,574 | |||||||||
Subaru Corp. | 8,000 | 262,168 | |||||||||
SUMCO Corp. | 3,112 | 81,598 | |||||||||
Sumitomo Chemical Co., Ltd. | 21,000 | 122,363 | |||||||||
Sumitomo Corp. | 162,400 | 2,733,503 | |||||||||
Sumitomo Dainippon Pharma Co., Ltd. | 2,100 | 35,248 | |||||||||
Sumitomo Electric Industries, Ltd. | 9,800 | 149,526 | |||||||||
Sumitomo Heavy Industries, Ltd. | 1,700 | 64,466 | |||||||||
Sumitomo Metal Mining Co., Ltd. | 3,100 | 130,520 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 56,100 | 2,350,395 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 34,500 | 1,396,471 | |||||||||
Sumitomo Realty & Development Co., Ltd. | 6,000 | 221,888 | |||||||||
Sumitomo Rubber Industries, Ltd. | 29,500 | 541,178 | |||||||||
Sundrug Co., Ltd. | 1,096 | 50,626 | |||||||||
Suntory Beverage & Food, Ltd. | 1,900 | 92,317 | |||||||||
Suruga Bank, Ltd. | 2,100 | 28,992 | |||||||||
Suzuken Co., Ltd. | 1,100 | 45,435 | |||||||||
Suzuki Motor Corp. | 55,300 | 2,977,952 | |||||||||
Sysmex Corp. | 2,100 | 190,254 | |||||||||
T&D Holdings, Inc. | 7,100 | 112,667 | |||||||||
Taiheiyo Cement Corp. | 1,600 | 58,118 | |||||||||
Taisei Corp. | 2,600 | 131,949 | |||||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 400 | 39,321 | |||||||||
Taiyo Nippon Sanso Corp. | 2,100 | 31,795 | |||||||||
Takashimaya Co., Ltd. | 5,000 | 47,977 | |||||||||
Takeda Pharmaceutical Co., Ltd. | 9,300 | 453,004 | |||||||||
TDK Corp. | 1,800 | 162,229 | |||||||||
Teijin, Ltd. | 2,300 | 43,253 | |||||||||
Terumo Corp. | 37,400 | 1,964,814 | |||||||||
THK Co., Ltd. | 41,500 | 1,716,085 | |||||||||
Tobu Railway Co., Ltd. | 2,700 | 81,326 | |||||||||
Toho Co., Ltd. | 1,600 | 53,080 | |||||||||
Toho Gas Co., Ltd. | 1,000 | 30,732 | |||||||||
Tohoku Electric Power Co., Inc. | 6,000 | 80,128 | |||||||||
Tokio Marine Holdings, Inc. | 46,200 | 2,055,890 | |||||||||
Tokyo Electric Power Co. Holdings, Inc.† | 19,700 | 75,908 | |||||||||
Tokyo Electron, Ltd. | 12,400 | 2,332,466 | |||||||||
Tokyo Gas Co., Ltd. | 5,100 | 135,235 | |||||||||
Tokyo Tatemono Co., Ltd. | 2,400 | 36,156 | |||||||||
Tokyu Corp. | 7,100 | 110,632 | |||||||||
Tokyu Fudosan Holdings Corp. | 6,500 | 47,343 | |||||||||
Toppan Printing Co., Ltd. | 7,000 | 57,432 |
Security Description | Shares | Value (Note 2) | |||||||||
Japan (continued) | |||||||||||
Toray Industries, Inc. | 18,900 | $ | 178,778 | ||||||||
Toshiba Corp.† | 52,000 | 150,519 | |||||||||
Tosoh Corp. | 18,900 | 370,877 | |||||||||
TOTO, Ltd. | 1,900 | 100,174 | |||||||||
Toyo Seikan Group Holdings, Ltd. | 2,100 | 31,222 | |||||||||
Toyo Suisan Kaisha, Ltd. | 1,400 | 54,274 | |||||||||
Toyoda Gosei Co., Ltd. | 1,200 | 27,901 | |||||||||
Toyota Industries Corp. | 2,100 | 127,099 | |||||||||
Toyota Motor Corp. | 132,100 | 8,473,122 | |||||||||
Toyota Tsusho Corp. | 2,700 | 91,476 | |||||||||
Trend Micro, Inc. | 1,700 | 101,452 | |||||||||
Tsuruha Holdings, Inc. | 487 | 69,431 | |||||||||
Unicharm Corp. | 5,200 | 148,027 | |||||||||
United Urban Investment Corp. | 38 | 59,569 | |||||||||
USS Co., Ltd. | 3,000 | 60,617 | |||||||||
West Japan Railway Co. | 2,200 | 153,641 | |||||||||
Yahoo Japan Corp. | 191,000 | 886,744 | |||||||||
Yakult Honsha Co., Ltd. | 1,300 | 96,152 | |||||||||
Yamada Denki Co., Ltd. | 9,000 | 53,964 | |||||||||
Yamaguchi Financial Group, Inc. | 3,000 | 36,314 | |||||||||
Yamaha Corp. | 2,200 | 96,659 | |||||||||
Yamaha Motor Co., Ltd. | 3,600 | 107,589 | |||||||||
Yamato Holdings Co., Ltd. | 4,600 | 115,362 | |||||||||
Yamazaki Baking Co., Ltd. | 1,600 | 33,201 | |||||||||
Yaskawa Electric Corp. | 3,100 | 140,571 | |||||||||
Yokogawa Electric Corp. | 2,900 | 59,905 | |||||||||
Yokohama Rubber Co., Ltd. | 1,600 | 37,036 | |||||||||
133,616,948 | |||||||||||
Jersey — 0.7% | |||||||||||
Experian PLC | 12,066 | 260,649 | |||||||||
Ferguson PLC | 3,330 | 250,481 | |||||||||
Glencore PLC | 158,773 | 790,023 | |||||||||
Randgold Resources, Ltd. | 1,186 | 98,238 | |||||||||
Shire PLC | 11,731 | 584,782 | |||||||||
Shire PLC ADR | 6,500 | 971,035 | |||||||||
WPP PLC | 107,701 | 1,711,800 | |||||||||
4,667,008 | |||||||||||
Luxembourg — 0.8% | |||||||||||
ArcelorMittal† | 8,671 | 275,028 | |||||||||
Eurofins Scientific SE | 143 | 75,592 | |||||||||
Millicom International Cellular SA SDR | 887 | 60,575 | |||||||||
RTL Group SA | 508 | 42,191 | |||||||||
Samsonite International SA | 519,900 | 2,377,329 | |||||||||
SES SA FDR | 4,732 | 64,109 | |||||||||
Tenaris SA | 109,258 | 1,888,912 | |||||||||
4,783,736 | |||||||||||
Mauritius — 0.0% | |||||||||||
Golden Agri-Resources, Ltd. | 93,800 | 25,137 | |||||||||
Mexico — 0.1% | |||||||||||
America Movil SAB de CV, Series L ADR | 36,600 | 698,694 | |||||||||
Netherlands — 3.1% | |||||||||||
Aalberts Industries NV | 33,547 | 1,712,717 | |||||||||
ABN AMRO Group NV CVA* | 37,537 | 1,131,730 |
228
Seasons Series Trust SA Multi-Managed International Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Netherlands (continued) | |||||||||||
Aegon NV | 22,788 | $ | 153,889 | ||||||||
AerCap Holdings NV† | 1,806 | 91,600 | |||||||||
Airbus SE | 7,519 | 869,976 | |||||||||
Akzo Nobel NV | 3,236 | 305,922 | |||||||||
Altice NV, Class A† | 6,251 | 51,702 | |||||||||
ASML Holding NV | 19,896 | 3,936,362 | |||||||||
Boskalis Westminster NV | 1,160 | 34,007 | |||||||||
CNH Industrial NV | 13,253 | 163,965 | |||||||||
EXOR NV | 1,334 | 95,310 | |||||||||
Ferrari NV | 1,604 | 193,204 | |||||||||
Fiat Chrysler Automobiles NV† | 13,968 | 286,398 | |||||||||
Heineken Holding NV | 1,567 | 161,579 | |||||||||
Heineken NV | 3,398 | 365,700 | |||||||||
ING Groep NV | 192,641 | 3,253,654 | |||||||||
Koninklijke Ahold Delhaize NV | 16,618 | 394,035 | |||||||||
Koninklijke DSM NV | 2,315 | 230,196 | |||||||||
Koninklijke KPN NV | 44,759 | 134,372 | |||||||||
Koninklijke Philips NV | 79,620 | 3,059,799 | |||||||||
Koninklijke Vopak NV | 949 | 46,624 | |||||||||
NN Group NV | 4,110 | 182,529 | |||||||||
NXP Semiconductors NV† | 4,476 | 523,692 | |||||||||
QIAGEN NV† | 2,808 | 90,711 | |||||||||
Randstad Holding NV | 1,557 | 102,588 | |||||||||
RELX NV | 12,656 | 262,562 | |||||||||
STMicroelectronics NV | 8,627 | 191,454 | |||||||||
Unilever NV CVA | 21,229 | 1,200,042 | |||||||||
Wolters Kluwer NV | 3,958 | 210,790 | |||||||||
19,437,109 | |||||||||||
New Zealand — 0.1% | |||||||||||
Auckland International Airport, Ltd. | 12,362 | 54,867 | |||||||||
Fisher & Paykel Healthcare Corp., Ltd. | 7,343 | 70,530 | |||||||||
Fletcher Building, Ltd. | 9,301 | 40,630 | |||||||||
Mercury NZ, Ltd. | 9,347 | 21,814 | |||||||||
Meridian Energy, Ltd. | 17,080 | 35,334 | |||||||||
Ryman Healthcare, Ltd. | 5,204 | 39,949 | |||||||||
Spark New Zealand, Ltd. | 25,170 | 60,987 | |||||||||
324,111 | |||||||||||
Norway — 1.8% | |||||||||||
Det Norske Oljeselskap ASA | 54,441 | 1,472,667 | |||||||||
DNB ASA | 263,404 | 5,139,292 | |||||||||
Gjensidige Forsikring ASA | 2,669 | 48,972 | |||||||||
Marine Harvest ASA | 5,422 | 108,944 | |||||||||
Norsk Hydro ASA | 289,607 | 1,707,810 | |||||||||
Orkla ASA | 11,065 | 118,947 | |||||||||
Schibsted ASA, Class B | 1,175 | 29,862 | |||||||||
Statoil ASA | 54,650 | 1,294,337 | |||||||||
Storebrand ASA | 146,017 | 1,195,445 | |||||||||
Telenor ASA | 9,786 | 222,577 | |||||||||
Yara International ASA | 2,432 | 103,315 | |||||||||
11,442,168 | |||||||||||
Papua New Guinea — 0.0% | |||||||||||
Oil Search, Ltd. | 18,117 | 100,109 |
Security Description | Shares | Value (Note 2) | |||||||||
Portugal — 0.0% | |||||||||||
Banco Espirito Santo SA†(1)(2) | 59,101 | $ | 0 | ||||||||
EDP - Energias de Portugal SA | 31,324 | 119,117 | |||||||||
Galp Energia SGPS SA | 6,524 | 123,058 | |||||||||
Jeronimo Martins SGPS SA | 3,393 | 61,878 | |||||||||
304,053 | |||||||||||
Singapore — 1.8% | |||||||||||
Ascendas Real Estate Investment Trust | 31,500 | 63,393 | |||||||||
Broadcom, Ltd. | 7,400 | 1,743,810 | |||||||||
CapitaLand Commercial Trust | 27,700 | 38,859 | |||||||||
CapitaLand Mall Trust | 32,000 | 50,923 | |||||||||
CapitaLand, Ltd. | 34,100 | 93,321 | |||||||||
City Developments, Ltd. | 5,000 | 49,845 | |||||||||
ComfortDelGro Corp., Ltd. | 26,400 | 41,533 | |||||||||
DBS Group Holdings, Ltd. | 113,600 | 2,396,384 | |||||||||
Hutchison Port Holdings Trust | 75,100 | 22,256 | |||||||||
Jardine Cycle & Carriage, Ltd. | 1,400 | 37,001 | |||||||||
Keppel Corp., Ltd. | 19,800 | 118,227 | |||||||||
Oversea-Chinese Banking Corp., Ltd. | 333,100 | 3,281,101 | |||||||||
SATS, Ltd. | 8,500 | 33,421 | |||||||||
Sembcorp Industries, Ltd. | 112,400 | 269,162 | |||||||||
Singapore Airlines, Ltd. | 6,800 | 56,473 | |||||||||
Singapore Exchange, Ltd. | 11,100 | 62,684 | |||||||||
Singapore Press Holdings, Ltd. | 19,500 | 37,627 | |||||||||
Singapore Technologies Engineering, Ltd. | 19,500 | 53,644 | |||||||||
Singapore Telecommunications, Ltd. | 104,760 | 271,266 | |||||||||
StarHub, Ltd. | 6,900 | 12,097 | |||||||||
Suntec Real Estate Investment Trust | 32,700 | 47,400 | |||||||||
United Overseas Bank, Ltd. | 63,300 | 1,334,811 | |||||||||
UOL Group, Ltd. | 6,400 | 41,947 | |||||||||
Wilmar International, Ltd. | 386,500 | 941,500 | |||||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 27,200 | 25,327 | |||||||||
11,124,012 | |||||||||||
South Korea — 0.7% | |||||||||||
KT Corp. | 24,987 | 645,832 | |||||||||
NAVER Corp. | 539 | 400,495 | |||||||||
Samsung Electronics Co., Ltd. | 1,090 | 2,516,643 | |||||||||
Samsung SD Co., Ltd. | 2,960 | 534,572 | |||||||||
4,097,542 | |||||||||||
Spain — 1.8% | |||||||||||
Abertis Infraestructuras SA | 8,952 | 200,787 | |||||||||
ACS Actividades de Construccion y Servicios SA | 3,049 | 118,958 | |||||||||
Aena SME SA* | 909 | 183,182 | |||||||||
Amadeus IT Group SA | 5,802 | 428,927 | |||||||||
Banco Bilbao Vizcaya Argentaria SA | 402,551 | 3,187,177 | |||||||||
Banco de Sabadell SA | 69,481 | 142,256 | |||||||||
Banco Santander SA | 209,682 | 1,367,560 | |||||||||
Bankia SA | 13,147 | 58,918 | |||||||||
Bankinter SA | 9,082 | 93,455 | |||||||||
CaixaBank SA | 46,598 | 222,235 | |||||||||
Enagas SA | 2,927 | 80,112 | |||||||||
Endesa SA | 4,231 | 93,174 | |||||||||
Ferrovial SA | 6,290 | 131,519 |
229
Seasons Series Trust SA Multi-Managed International Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Spain (continued) | |||||||||||
Gas Natural SDG SA | 4,717 | $ | 112,669 | ||||||||
Grifols SA | 4,041 | 114,462 | |||||||||
Iberdrola SA | 75,899 | 558,254 | |||||||||
Industria de Diseno Textil SA | 60,443 | 1,894,412 | |||||||||
International Consolidated Airlines Group SA | 8,293 | 71,771 | |||||||||
Mapfre SA | 12,570 | 41,808 | |||||||||
Red Electrica Corp. SA | 5,826 | 120,009 | |||||||||
Repsol SA | 16,019 | 284,604 | |||||||||
Siemens Gamesa Renewable Energy SA | 3,120 | 50,088 | |||||||||
Telefonica SA | 161,787 | 1,603,478 | |||||||||
11,159,815 | |||||||||||
SupraNational — 0.0% | |||||||||||
HK Electric Investments & HK Electric Investments, Ltd.* | 34,000 | 32,877 | |||||||||
Sweden — 2.5% | |||||||||||
Alfa Laval AB | 3,835 | 90,661 | |||||||||
Arjo AB, Class B† | 2,716 | 7,975 | |||||||||
Assa Abloy AB, Class B | 85,119 | 1,848,089 | |||||||||
Atlas Copco AB, Class A | 8,786 | 380,623 | |||||||||
Atlas Copco AB, Class B | 5,067 | 197,225 | |||||||||
Boliden AB | 3,693 | 130,191 | |||||||||
Electrolux AB, Series B | 3,265 | 102,742 | |||||||||
Elekta AB, Series B | 231,879 | 2,473,908 | |||||||||
Essity AB, Class B† | 38,937 | 1,076,680 | |||||||||
Getinge AB, Class B | 2,716 | 30,916 | |||||||||
Hennes & Mauritz AB, Class B | 12,546 | 188,200 | |||||||||
Hexagon AB, Class B | 3,464 | 207,533 | |||||||||
Husqvarna AB, Class B | 5,526 | 53,308 | |||||||||
ICA Gruppen AB | 1,045 | 36,998 | |||||||||
Industrivarden AB, Class C | 2,220 | 51,628 | |||||||||
Investor AB, Class B | 5,970 | 265,742 | |||||||||
Kinnevik AB, Class B | 3,185 | 114,751 | |||||||||
L E Lundbergforetagen AB | 469 | 33,631 | |||||||||
Lundin Petroleum AB† | 2,446 | 61,818 | |||||||||
Nordea Bank AB | 226,132 | 2,415,805 | |||||||||
Sandvik AB | 14,706 | 269,868 | |||||||||
Securitas AB, Class B | 4,186 | 71,290 | |||||||||
Skandinaviska Enskilda Banken AB, Class A | 19,766 | 207,244 | |||||||||
Skanska AB, Class B | 4,448 | 90,996 | |||||||||
SKF AB, Class B | 77,030 | 1,574,956 | |||||||||
Svenska Handelsbanken AB, Class A | 147,954 | 1,856,298 | |||||||||
Swedbank AB, Class A | 11,950 | 267,936 | |||||||||
Swedish Match AB | 2,537 | 115,335 | |||||||||
Tele2 AB, Class B | 4,239 | 50,899 | |||||||||
Telefonaktiebolaget LM Ericsson, Class B | 124,170 | 787,968 | |||||||||
Telia Co AB | 34,197 | 161,317 | |||||||||
Volvo AB, Class B | 20,155 | 367,974 | |||||||||
15,590,505 | |||||||||||
Switzerland — 7.4% | |||||||||||
ABB, Ltd. | 92,617 | 2,205,612 | |||||||||
Adecco Group AG | 2,188 | 155,897 |
Security Description | Shares | Value (Note 2) | |||||||||
Switzerland (continued) | |||||||||||
Baloise Holding AG | 643 | $ | 98,409 | ||||||||
Barry Callebaut AG | 30 | 58,641 | |||||||||
Chocoladefabriken Lindt & Spruengli AG | 2 | 145,467 | |||||||||
Chocoladefabriken Lindt & Spruengli AG (Participation Certificate) | 15 | 93,023 | |||||||||
Cie Financiere Richemont SA | 6,822 | 612,822 | |||||||||
Clariant AG | 3,009 | 71,852 | |||||||||
Coca-Cola HBC AG | 2,374 | 87,837 | |||||||||
Credit Suisse Group AG | 31,728 | 532,378 | |||||||||
Dufry AG† | 450 | 59,004 | |||||||||
EMS-Chemie Holding AG | 111 | 70,083 | |||||||||
GAM Holding AG | 40,325 | 678,501 | |||||||||
Geberit AG | 495 | 218,915 | |||||||||
Givaudan SA | 121 | 275,805 | |||||||||
Julius Baer Group, Ltd. | 2,914 | 179,430 | |||||||||
Kuehne & Nagel International AG | 729 | 114,789 | |||||||||
LafargeHolcim, Ltd. | 5,940 | 325,336 | |||||||||
Lonza Group AG | 8,488 | 2,002,224 | |||||||||
Nestle SA | 172,577 | 13,662,298 | |||||||||
Novartis AG | 72,012 | 5,825,918 | |||||||||
Pargesa Holding SA | 419 | 37,179 | |||||||||
Partners Group Holding AG | 226 | 168,197 | |||||||||
Roche Holding AG | 34,715 | 7,962,228 | |||||||||
Schindler Holding AG (Participation Certificate) (SIX) | 7,312 | 1,577,136 | |||||||||
Schindler Holding AG (RSP) | 267 | 55,909 | |||||||||
SGS SA | 637 | 1,566,051 | |||||||||
Sika AG | 28 | 219,469 | |||||||||
Sonova Holding AG | 676 | 107,450 | |||||||||
Straumann Holding AG | 124 | 78,183 | |||||||||
Swatch Group AG (TRQX) | 680 | 57,039 | |||||||||
Swatch Group AG (XEGT) | 404 | 178,255 | |||||||||
Swiss Life Holding AG | 432 | 153,909 | |||||||||
Swiss Prime Site AG | 852 | 82,491 | |||||||||
Swiss Re AG | 4,110 | 418,495 | |||||||||
Swisscom AG | 346 | 171,598 | |||||||||
UBS Group AG | 175,685 | 3,093,494 | |||||||||
Vifor Pharma AG | 635 | 97,933 | |||||||||
Zurich Insurance Group AG | 6,494 | 2,130,907 | |||||||||
45,630,164 | |||||||||||
Taiwan — 0.9% | |||||||||||
Largan Precision Co., Ltd. | 5,000 | 571,046 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 337,000 | 2,843,297 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 42,967 | 1,880,236 | |||||||||
5,294,579 | |||||||||||
United Kingdom — 15.8% | |||||||||||
3i Group PLC | 13,199 | 159,366 | |||||||||
Admiral Group PLC | 2,646 | 68,521 | |||||||||
Anglo American PLC | 17,379 | 406,010 | |||||||||
Antofagasta PLC | 148,204 | 1,918,581 | |||||||||
Ashtead Group PLC | 6,493 | 177,054 |
230
Seasons Series Trust SA Multi-Managed International Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
United Kingdom (continued) | |||||||||||
Associated British Foods PLC | 4,647 | $ | 162,459 | ||||||||
AstraZeneca PLC | 56,898 | 3,913,530 | |||||||||
Auto Trader Group PLC* | 13,155 | 64,754 | |||||||||
Aviva PLC | 602,337 | 4,197,532 | |||||||||
Babcock International Group PLC | 3,332 | 31,306 | |||||||||
BAE Systems PLC | 263,798 | 2,154,823 | |||||||||
Barclays PLC | 219,949 | 642,354 | |||||||||
Barclays PLC ADR | 28,100 | 332,142 | |||||||||
Barratt Developments PLC | 13,298 | 99,054 | |||||||||
Berkeley Group Holdings PLC | 1,701 | 90,533 | |||||||||
BHP Billiton PLC | 190,030 | 3,748,542 | |||||||||
BP PLC | 257,084 | 1,731,074 | |||||||||
British American Tobacco PLC | 29,873 | 1,734,162 | |||||||||
British Land Co. PLC | 13,138 | 118,504 | |||||||||
BT Group PLC | 110,765 | 353,929 | |||||||||
Bunzl PLC | 56,701 | 1,667,785 | |||||||||
Burberry Group PLC | 146,573 | 3,490,514 | |||||||||
Capita PLC | 8,942 | 18,097 | |||||||||
Carnival PLC | 2,481 | 159,866 | |||||||||
Centrica PLC | 70,803 | 141,382 | |||||||||
Close Brothers Group PLC | 9,951 | 200,635 | |||||||||
Cobham PLC† | 31,114 | 53,725 | |||||||||
Coca-Cola European Partners PLC | 2,787 | 116,106 | |||||||||
Compass Group PLC | 68,641 | 1,402,624 | |||||||||
ConvaTec Group PLC* | 17,874 | 50,013 | |||||||||
Croda International PLC | 1,780 | 114,225 | |||||||||
Diageo PLC | 172,044 | 5,820,264 | |||||||||
Direct Line Insurance Group PLC | 275,588 | 1,475,534 | |||||||||
easyJet PLC | 2,149 | 48,447 | |||||||||
Fresnillo PLC | 3,021 | 53,818 | |||||||||
G4S PLC | 21,038 | 73,347 | |||||||||
GKN PLC | 152,480 | 991,394 | |||||||||
GlaxoSmithKline PLC | 63,999 | 1,243,370 | |||||||||
GlaxoSmithKline PLC ADR | 44,500 | 1,738,615 | |||||||||
Great Portland Estates PLC | 52,428 | 489,793 | |||||||||
Hammerson PLC | 10,741 | 80,975 | |||||||||
Hargreaves Lansdown PLC | 3,194 | 73,304 | |||||||||
HSBC Holdings PLC | 261,999 | 2,449,130 | |||||||||
IMI PLC | 3,704 | 56,221 | |||||||||
Imperial Brands PLC | 12,530 | 427,002 | |||||||||
InterContinental Hotels Group PLC | 2,338 | 140,195 | |||||||||
Intertek Group PLC | 2,196 | 143,739 | |||||||||
Investec PLC | 8,528 | 65,872 | |||||||||
ITV PLC | 47,328 | 95,865 | |||||||||
J Sainsbury PLC | 21,055 | 70,567 | |||||||||
John Wood Group PLC | 8,826 | 66,951 | |||||||||
Johnson Matthey PLC | 27,743 | 1,186,012 | |||||||||
Kingfisher PLC | 399,556 | 1,644,236 | |||||||||
Land Securities Group PLC | 9,970 | 131,267 | |||||||||
Legal & General Group PLC | 78,617 | 284,784 | |||||||||
Liberty Global PLC, Class A† | 18,273 | 572,128 | |||||||||
Lloyds Banking Group PLC | 4,837,518 | 4,395,851 | |||||||||
London Stock Exchange Group PLC | 4,191 | 242,843 | |||||||||
Marks & Spencer Group PLC | 21,988 | 83,452 | |||||||||
Mediclinic International PLC | 4,805 | 40,576 | |||||||||
Meggitt PLC | 219,803 | 1,333,294 |
Security Description | Shares | Value (Note 2) | |||||||||
United Kingdom (continued) | |||||||||||
Merlin Entertainments PLC* | 8,843 | $ | 43,036 | ||||||||
Micro Focus International PLC | 5,730 | 80,164 | |||||||||
Mondi PLC | 4,919 | 132,372 | |||||||||
National Grid PLC | 158,103 | 1,778,000 | |||||||||
Next PLC | 1,878 | 125,515 | |||||||||
Old Mutual PLC | 64,458 | 216,748 | |||||||||
Pearson PLC | 11,047 | 116,223 | |||||||||
Persimmon PLC | 46,422 | 1,650,415 | |||||||||
Prudential PLC | 232,745 | 5,818,004 | |||||||||
Reckitt Benckiser Group PLC | 43,039 | 3,647,079 | |||||||||
RELX PLC | 14,120 | 290,527 | |||||||||
Rio Tinto PLC | 16,185 | 821,742 | |||||||||
Rolls-Royce Holdings PLC | 21,623 | 264,846 | |||||||||
Royal Bank of Scotland Group PLC† | 45,981 | 167,333 | |||||||||
Royal Dutch Shell PLC, Class A (TRQX) | 58,518 | 1,836,279 | |||||||||
Royal Dutch Shell PLC, Class B | 48,875 | 1,574,994 | |||||||||
Royal Dutch Shell PLC, Class B ADR | 31,800 | 2,083,854 | |||||||||
Royal Mail PLC | 11,863 | 90,085 | |||||||||
RSA Insurance Group PLC | 157,120 | 1,389,959 | |||||||||
Sage Group PLC | 14,456 | 129,874 | |||||||||
Schroders PLC | 1,703 | 76,370 | |||||||||
Segro PLC | 12,862 | 108,607 | |||||||||
Severn Trent PLC | 3,217 | 83,326 | |||||||||
Sky PLC | 13,892 | 252,938 | |||||||||
Smith & Nephew PLC | 11,746 | 219,579 | |||||||||
Smiths Group PLC | 81,887 | 1,741,375 | |||||||||
SSE PLC | 41,694 | 747,261 | |||||||||
St James's Place PLC | 6,973 | 106,454 | |||||||||
Standard Chartered PLC | 124,789 | 1,249,556 | |||||||||
Standard Life Aberdeen PLC | 35,895 | 181,394 | |||||||||
Taylor Wimpey PLC | 43,593 | 113,083 | |||||||||
Tesco PLC | 106,507 | 307,755 | |||||||||
Travis Perkins PLC | 3,342 | 57,928 | |||||||||
Unilever PLC | 121,384 | 6,744,912 | |||||||||
United Utilities Group PLC | 9,174 | 92,177 | |||||||||
Vodafone Group PLC | 1,501,757 | 4,112,103 | |||||||||
Vodafone Group PLC ADR | 85,800 | 2,386,956 | |||||||||
Weir Group PLC | 2,883 | 80,804 | |||||||||
Whitbread PLC | 27,756 | 1,444,681 | |||||||||
WM Morrison Supermarkets PLC | 28,110 | 84,230 | |||||||||
97,486,586 | |||||||||||
United States — 0.8% | |||||||||||
Autoliv, Inc. SDR | 8,101 | 1,173,139 | |||||||||
Booking Holdings, Inc.† | 930 | 1,934,763 | |||||||||
Philip Morris International, Inc. | 15,706 | 1,561,176 | |||||||||
Worldpay, Inc., Class A† | 1,747 | 141,094 | |||||||||
4,810,172 | |||||||||||
Total Common Stocks (cost $513,618,806) | 603,255,338 | ||||||||||
EXCHANGE-TRADED FUNDS — 1.0% | |||||||||||
iShares MSCI EAFE ETF Index Fund (cost $6,181,859) | 86,800 | 6,048,224 | |||||||||
Total Long-Term Investment Securities (cost $519,800,665) | 609,303,562 |
231
Seasons Series Trust SA Multi-Managed International Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.1% | |||||||||||
Registered Investment Companies — 0.1% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.58%(3) | 343,655 | $ | 343,655 | ||||||||
T. Rowe Price Government Reserve Fund 1.63%(3) | 130,576 | 130,576 | |||||||||
474,231 | |||||||||||
U.S. Government Treasuries — 0.0% | |||||||||||
United States Treasury Bills 1.42% due 04/05/2018(4) | $ | 130,000 | 129,982 | ||||||||
1.46% due 06/07/2018(4) | 50,000 | 49,848 | |||||||||
1.53% due 06/14/2018(4) | 40,000 | 39,866 | |||||||||
219,696 | |||||||||||
Total Short-Term Investment Securities (cost $693,950) | 693,927 | ||||||||||
REPURCHASE AGREEMENTS — 0.2% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.28%, dated 03/29/2018, to be repurchased 04/02/2018 in the amount of $1,263,039 collateralized by $1,310,000 of United States Treasury Notes, bearing interest at 2.38% due 08/15/2024 and having an approximate value of $1,289,208 (cost $ 1,263,000) | 1,263,000 | 1,263,000 | |||||||||
TOTAL INVESTMENTS (cost $521,757,615)(5) | 99.2 | % | 611,260,489 | ||||||||
Other assets less liabilities | 0.8 | 4,850,189 | |||||||||
NET ASSETS | 100.0 | % | $ | 616,110,678 |
@ See Note 1
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2018, the aggregate value of these securities was $5,413,213 representing 0.9% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.
(1) Securities classified as Level 3 (see Note 2).
(2) Illiquid security. At March 31, 2018, the aggregate value of these securities was $23 representing 0% of net assets.
(3) The rate shown is the 7-day yield as of March 31, 2018.
(4) The security or a portion thereof was pledged as collateral to cover margin requirements for open future contracts.
(5) See Note 4 for cost of investments on a tax basis.
ADR — American Depositary Receipt
ASX — Australian Stock Exchange
CDI — Chess Depositary Interest
CVA — Certification Van Aandelen (Dutch Cert.)
Euronext — Euro Stock Exchange
FDR — Fiduciary Depositary Receipt
RSP — Risparmio Shares-Savings Shares on the Italian Stock Exchange
SDR — Swedish Depositary Receipt
SIX — Swiss Stock Exchange
TRQX — Turquoise Stock Exchange
XEGT — Equiduct Stock Exchange
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
36 | Long | mini MSCI EAFE Index | June 2018 | $ | 3,655,501 | $ | 3,601,080 | $ | (54,421 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
232
Seasons Series Trust SA Multi-Managed International Equity Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Common Stocks: | |||||||||||||||||||
Australia | $ | — | $ | 28,454,587 | ** | $ | 23 | $ | 28,454,610 | ||||||||||
Portugal | — | 304,053 | ** | 0 | 304,053 | ||||||||||||||
Other Countries | 179,396,739 | 395,099,936 | ** | — | 574,496,675 | ||||||||||||||
Exchange-Traded Funds . | 6,048,224 | — | — | 6,048,224 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 474,231 | — | — | 474,231 | |||||||||||||||
U.S. Government Treasuries | — | 219,696 | — | 219,696 | |||||||||||||||
Repurchase Agreements | — | 1,263,000 | — | 1,263,000 | |||||||||||||||
Total Investments at Value | $ | 185,919,194 | $ | 425,341,272 | $ | 23 | $ | 611,260,489 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 54,421 | $ | — | $ | — | $ | 54,421 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
** Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).
† Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards, swaps and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. Securities currently valued at $404,363,275 were transferred from Level 1 to Level 2 due to foreign equity securities whose values were adjusted for fair value pricing procedures for foreign equity securities. There were no additional transfers between Levels during the reporting period.
At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.
See Notes to Financial Statements
233
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
United States Treasury Notes | 28.5 | % | |||||
Diversified Financial Services | 15.0 | ||||||
Federal National Mtg. Assoc. | 14.1 | ||||||
Diversified Banking Institutions | 8.0 | ||||||
United States Treasury Bonds | 7.2 | ||||||
Federal Home Loan Mtg. Corp. | 4.1 | ||||||
Government National Mtg. Assoc. | 4.0 | ||||||
Telephone-Integrated | 2.1 | ||||||
Banks-Commercial | 1.9 | ||||||
Electric-Integrated | 1.6 | ||||||
Sovereign | 1.5 | ||||||
Pipelines | 1.4 | ||||||
Cable/Satellite TV | 1.3 | ||||||
Banks-Super Regional | 1.2 | ||||||
Oil Companies-Exploration & Production | 1.2 | ||||||
Tobacco | 1.0 | ||||||
Pharmacy Services | 0.9 | ||||||
Oil Companies-Integrated | 0.9 | ||||||
Auto-Cars/Light Trucks | 0.8 | ||||||
Multimedia | 0.7 | ||||||
Municipal Bonds & Notes | 0.7 | ||||||
Brewery | 0.6 | ||||||
Medical-HMO | 0.6 | ||||||
Insurance-Multi-line | 0.5 | ||||||
Repurchase Agreements | 0.5 | ||||||
Electronic Components-Semiconductors | 0.5 | ||||||
Medical-Drugs | 0.4 | ||||||
Computers | 0.4 | ||||||
E-Commerce/Products | 0.4 | ||||||
Transport-Rail | 0.4 | ||||||
Medical-Generic Drugs | 0.4 | ||||||
Foreign Government Obligations | 0.4 | ||||||
Cellular Telecom | 0.4 | ||||||
Medical Products | 0.3 | ||||||
Oil Refining & Marketing | 0.3 | ||||||
Broadcast Services/Program | 0.3 | ||||||
Medical-Biomedical/Gene | 0.3 | ||||||
Medical-Wholesale Drug Distribution | 0.3 | ||||||
Insurance Brokers | 0.3 | ||||||
Real Estate Investment Trusts | 0.2 | ||||||
Banks-Fiduciary | 0.2 | ||||||
Applications Software | 0.2 | ||||||
Medical-Hospitals | 0.2 | ||||||
Beverages-Wine/Spirits | 0.2 | ||||||
Diversified Minerals | 0.2 | ||||||
Metal-Iron | 0.2 | ||||||
Enterprise Software/Service | 0.2 | ||||||
Chemicals-Specialty | 0.2 | ||||||
Computers-Memory Devices | 0.2 | ||||||
Internet Application Software | 0.2 | ||||||
Consulting Services | 0.2 | ||||||
Computer Services | 0.2 | ||||||
Aerospace/Defense | 0.2 | ||||||
Medical Labs & Testing Services | 0.2 | ||||||
Electric-Distribution | 0.1 | ||||||
Insurance-Life/Health | 0.1 | ||||||
Trucking/Leasing | 0.1 | ||||||
Office Automation & Equipment | 0.1 | ||||||
Transport-Services | 0.1 | ||||||
Medical Instruments | 0.1 | ||||||
Food-Misc./Diversified | 0.1 | ||||||
Diversified Manufacturing Operations | 0.1 |
Retail-Restaurants | 0.1 | % | |||||
Savings & Loans/Thrifts | 0.1 | ||||||
Finance-Credit Card | 0.1 | ||||||
Registered Investment Companies | 0.1 | ||||||
Paper & Related Products | 0.1 | ||||||
Finance-Other Services | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Insurance-Property/Casualty | 0.1 | ||||||
Federal Home Loan Bank | 0.1 | ||||||
Electronic Measurement Instruments | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
Coatings/Paint | 0.1 | ||||||
Insurance-Mutual | 0.1 | ||||||
Electric-Generation | 0.1 | ||||||
Aerospace/Defense-Equipment | 0.1 | ||||||
Tennessee Valley Authority | 0.1 | ||||||
Chemicals-Diversified | 0.1 | ||||||
Banks-Special Purpose | 0.1 | ||||||
Networking Products | 0.1 | ||||||
Auto/Truck Parts & Equipment-Original | �� | 0.1 | |||||
Commercial Services | 0.1 | ||||||
Airlines | 0.1 | ||||||
Food-Wholesale/Distribution | 0.1 | ||||||
Data Processing/Management | 0.1 | ||||||
Airport Development/Maintenance | 0.1 | ||||||
Metal-Copper | 0.1 | ||||||
Semiconductor Components-Integrated Circuits | 0.1 | ||||||
Gambling (Non-Hotel) | 0.1 | ||||||
Metal Processors & Fabrication | 0.1 | ||||||
Diagnostic Equipment | 0.1 | ||||||
Finance-Consumer Loans | 0.1 | ||||||
Wireless Equipment | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Semiconductor Equipment | 0.1 | ||||||
Building Products-Wood | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
112.8 | % | ||||||
Credit Quality†# | |||||||
Aaa | 58.8 | % | |||||
Aa | 1.1 | ||||||
A | 10.1 | ||||||
Baa | 15.7 | ||||||
Ba | 4.6 | ||||||
B | 1.7 | ||||||
Caa | 0.6 | ||||||
Ca | 0.3 | ||||||
Not Rated## | 7.1 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
† Source: Moody's
# Calculated as a percentage of total debt issues, excluding short-term securities.
## Represents debt issues that either have no rating, or the rating is unavailable from the data source.
@ See Note 1
234
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES — 15.0% | |||||||||||
Diversified Financial Services — 15.0% | |||||||||||
Adjustable Rate Mtg. Trust FRS Series 2005-10, Class 6A21 2.37% (1 ML+0.50%) due 01/25/2036(1) | $ | 136,464 | $ | 130,698 | |||||||
Adjustable Rate Mtg. Trust FRS Series 2005-9, Class 5A1 2.41% (1 ML+0.54%) due 11/25/2035(1) | 165,622 | 164,399 | |||||||||
Alternative Loan Trust Series 2005-64CB, Class A1 5.50% due 12/25/2035(1) | 200,521 | 177,640 | |||||||||
American Home Mtg. Assets Trust FRS Series 2006-2, Class 2A1 2.06% (1 ML+0.19%) due 09/25/2046(1) | 160,385 | 143,396 | |||||||||
American Home Mtg. Assets Trust FRS Series 2006-3, Class 2A11 2.22% (12 MTA+0.94%) due 10/25/2046(1) | 61,947 | 53,947 | |||||||||
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 3.00% (3 ML+1.25%) due 07/25/2029*(2) | 1,190,000 | 1,199,300 | |||||||||
Anchorage Capital CLO, Ltd. FRS Series 2016-9A, Class A 3.23% (3 ML+1.51%) due 01/15/2029*(2) | 841,716 | 847,994 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-2, Class A1 2.48% due 07/25/2047*(1)(3) | 725,067 | 712,350 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-3, Class A1 2.71% due 11/25/2047*(1)(3) | 527,551 | 527,525 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-1, Class A1 2.81% due 01/25/2047*(1)(3) | 197,127 | 194,023 | |||||||||
Apex Credit CLO, Ltd. FRS Series 2017-1A, Class A1 3.21% (3 ML+1.47%) due 04/24/2029*(2) | 1,080,000 | 1,087,140 | |||||||||
Apidos CLO XVI FRS Series 2013-16A, Class A1R 2.72% (3 ML+0.98%) due 01/19/2025*(2) | 795,000 | 794,778 | |||||||||
Apidos CLO XXI FRS Series 2015-21A, Class A1 3.16% (3 ML+1.43%) due 07/18/2027*(2) | 1,500,000 | 1,502,337 | |||||||||
Apidos CLO, Ltd. FRS Series 2015-20A, Class A1R 3.05% (3 ML+1.33%) due 01/16/2027*(2) | 1,305,000 | 1,304,532 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Atlas Senior Loan Fund X, Ltd. FRS Series 2018-10A, Class A 2.80% (3 ML+1.09%) due 01/15/2031*(2) | $ | 1,015,000 | $ | 1,015,376 | |||||||
Avery Point IV CLO, Ltd. FRS Series 2014-1A, Class AR 2.85% (3 ML+1.10%) due 04/25/2026*(2) | 1,205,000 | 1,204,819 | |||||||||
Avis Budget Rental Car Funding AESOP LLC Series 2015-1A, Class A 2.50% due 07/20/2021* | 100,000 | 98,916 | |||||||||
Babson CLO, Ltd. FRS Series 2014-IA, Class A1R 2.89% (3 ML+1.15%) due 07/20/2025*(2) | 295,000 | 294,954 | |||||||||
Babson CLO, Ltd. FRS Series 2016-2A, Class A 3.19% (3 ML+1.45%) due 07/20/2028*(2) | 1,834,000 | 1,838,686 | |||||||||
Bain Capital Credit CLO FRS Series 2017-1A, Class A1 2.99% (3 ML+1.25%) due 07/20/2030*(2) | 995,000 | 1,001,563 | |||||||||
Banc of America Funding Trust FRS Series 2007-1, Class TA1A 1.68% (1 ML+0.06%) due 01/25/2037(1) | 14,477 | 11,646 | |||||||||
Banc of America Funding Trust FRS Series 2007-A, Class 2A5 2.05% (1 ML+0.23%) due 02/20/2047(1) | 361,748 | 351,184 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.75% due 11/15/2050(3)(4)(5) | 8,646,040 | 499,988 | |||||||||
BANK Series 2017-BNK8, Class A4 3.49% due 11/15/2050(4) | 470,000 | 468,659 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(3) | 1,833,203 | 1,845,443 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(3) | 1,291,129 | 1,299,113 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(3) | 864,240 | 868,096 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(3) | 1,029,305 | 1,033,884 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(3) | 1,709,382 | 1,713,319 |
235
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(3) | $ | 733,292 | $ | 751,531 | |||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-NPL2, Class A1 2.98% due 10/28/2032*(6) | 926,956 | 922,696 | |||||||||
Bayview Opportunity Master Fund Trust Series 2017-RN7, Class A1 3.10% due 09/28/2032*(6) | 149,937 | 149,342 | |||||||||
Bayview Opportunity Master Fund Trust Series 2017-RN8, Class A1 3.35% due 11/28/2032*(6) | 987,199 | 984,118 | |||||||||
Bayview Opportunity Master Fund Trust Series 2018-RN2, Class A1 3.60% due 02/25/2033*(6) | 893,530 | 891,959 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(3) | 1,418,949 | 1,441,442 | |||||||||
BCAP LLC Trust FRS Series 2006-AA2, Class A1 2.04% (1 ML+0.17%) due 01/25/2037(1) | 21,411 | 20,195 | |||||||||
Bear Stearns ALT-A Trust FRS Series 2006-1, Class 11A1 2.35% (1 ML+0.48%) due 02/25/2036(1) | 62,783 | 59,602 | |||||||||
Bear Stearns ALT-A Trust FRS Series 2005-10, Class 11A1 2.37% (1 ML+0.50%) due 01/25/2036(1) | 188,668 | 196,256 | |||||||||
Bear Stearns Mtg. Funding Trust FRS Series 2006-AR3, Class 1A1 1.80% (1 ML+0.18%) due 10/25/2036(1) | 96,809 | 90,136 | |||||||||
Bear Stearns Mtg. Funding Trust FRS Series 2007-AR1, Class 2A3 1.82% (1 ML+0.20%) due 02/25/2037(1) | 203,643 | 205,327 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.53% due 01/15/2051(3)(4)(5) | 2,648,733 | 108,509 | |||||||||
Benchmark Mtg. Trust Series 2018-B1, Class A2 3.57% due 01/15/2051(4) | 432,000 | 440,749 | |||||||||
Benefit Street Partners CLO, Ltd. FRS Series 2016-10A, Class A1 3.21% (3 ML+1.49%) due 01/15/2029*(2) | 680,000 | 683,888 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
BlueMountain CLO, Ltd. FRS Series 2015-3A, Class A1R 3.01% (3 ML+1.00%) due 04/20/2031*(2)(8) | $ | 1,617,000 | $ | 1,617,000 | |||||||
BlueMountain CLO, Ltd. FRS Series 2014-1, Class A1R 3.03% (3 ML+1.26%) due 04/30/2026*(2) | 1,320,000 | 1,320,457 | |||||||||
BlueMountain CLO, Ltd. FRS Series 2015-3A, Class A1 3.22% (3 ML+1.48%) due 10/20/2027*(2) | 2,115,000 | 2,115,000 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1 3.23% (3 ML+1.47%) due 04/27/2027*(2) | 1,355,000 | 1,355,270 | |||||||||
CarMax Auto Owner Trust Series 2016-4, Class A4 1.60% due 06/15/2022 | 160,000 | 155,065 | |||||||||
CBAM CLO Management LLC FRS Series 2017-3A, Class A 2.60% (3 ML+1.23%) due 10/17/2029*(2) | 1,180,000 | 1,187,699 | |||||||||
Cent CLO, Ltd. FRS Series 2013-20A, Class AR 2.85% (3 ML+1.10%) due 01/25/2026*(2) | 1,495,000 | 1,494,765 | |||||||||
Cent CLO, Ltd. FRS Series 2014-21A, Class A1AR 2.97% (3 ML+1.21%) due 07/27/2026*(2) | 810,000 | 809,897 | |||||||||
Chase Issuance Trust Series 2016-A2, Class A 1.37% due 06/15/2021 | 119,000 | 117,314 | |||||||||
Chase Mtg. Finance Trust VRS Series 2016-2, Class M2 3.75% due 12/25/2045*(1)(3) | 272,625 | 272,003 | |||||||||
Chase Mtg. Finance Trust VRS Series 2005-A1, Class 2A2 3.48% due 12/25/2035(1)(3) | 164,242 | 161,088 | |||||||||
Chase Mtg. Finance Trust Series 2005-S3, Class A10 5.50% due 11/25/2035(1) | 271,087 | 257,964 | |||||||||
CHL Mtg. Pass Through Trust VRS Series 2007-HY4, Class 1A1 3.47% due 09/25/2047(1)(3) | 219,198 | 205,037 | |||||||||
CIFC Funding, Ltd. FRS Series 2014-2A, Class A1LR 3.14% (3 ML+1.20%) due 05/24/2026*(2) | 1,495,000 | 1,495,030 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(1)(3) | 1,718,315 | 1,704,589 |
236
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Citibank Credit Card Issuance Trust Series 2017-A3, Class A3 1.92% due 04/07/2022 | $ | 80,000 | $ | 78,785 | |||||||
Citibank Credit Card Issuance Trust Series 2014-A6, Class A6 2.15% due 07/15/2021 | 150,000 | 149,168 | |||||||||
Citibank Credit Card Issuance Trust FRS Series 2018-A2, Class A2 2.15% (1 ML+0.33%) due 01/21/2025 | 150,000 | 150,000 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2014-GC23, Class XA 1.04% due 07/10/2047(3)(4)(5) | 4,101,585 | 207,391 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2015-GC29,Class XA 1.11% due 04/10/2048(3)(4)(5) | 3,580,824 | 199,796 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(4) | 1,029,000 | 1,044,410 | |||||||||
COLT Mtg. Loan Trust VRS Series 2017-2, Class A1A 2.42% due 10/25/2047*(1)(3) | 1,469,059 | 1,471,265 | |||||||||
COLT Mtg. Loan Trust VRS Series 2017-1, Class A1 2.61% due 05/27/2047*(1)(3) | 572,711 | 568,052 | |||||||||
COLT Mtg. Loan Trust VRS Series 2016-3, Class A1 2.80% due 12/26/2046*(1)(3) | 311,745 | 309,157 | |||||||||
COLT Mtg. Loan Trust VRS Series 2018-1, Class A1 2.93% due 02/25/2048*(1)(3) | 737,286 | 737,256 | |||||||||
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(4) | 845,000 | 887,827 | |||||||||
Countrywide Alternative Loan Trust FRS Series 2005-72, Class A1 2.14% (1 ML+0.27%) due 01/25/2036(1) | 131,857 | 125,129 | |||||||||
Countrywide Alternative Loan Trust FRS Series 2005-56, Class 5A1 2.19% (1 ML+0.32%) due 11/25/2035(1) | 54,401 | 49,025 | |||||||||
Countrywide Alternative Loan Trust FRS Series 2005-64CB, Class 1A12 2.67% (1 ML+0.80%) due 12/25/2035(1) | 121,743 | 107,116 | |||||||||
Countrywide Alternative Loan Trust Series 2006-9T1, Class A1 5.75% due 05/25/2036(1) | 185,974 | 146,358 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-2, Class 2A3 2.55% (1 ML+0.68%) due 03/25/2035(1) | $ | 61,373 | $ | 56,632 | |||||||
Countrywide Home Loan Mtg. Pass Through Trust VRS Series 2005-HYB7, Class 6A1 3.30% due 11/20/2035(1)(3) | 37,660 | 34,255 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust VRS Series 2005-HYB3, Class 2A2A 3.41% due 06/20/2035(1)(3) | 106,891 | 107,565 | |||||||||
Covenant Credit Partners CLO III, Ltd. FRS Series 2017-1A, Class B 3.57% (3 ML+1.85%) due 10/15/2029*(2) | 540,000 | 544,344 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.84% due 06/15/2057(3)(4)(5) | 10,027,113 | 430,954 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2016-C6, Class XA 1.81% due 01/15/2049(3)(4)(5) | 2,807,005 | 281,450 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A3 3.45% due 08/15/2048(4) | 740,022 | 737,370 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C1, Class A4 3.51% due 04/15/2050(4) | 1,448,000 | 1,455,551 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(4) | 703,000 | 711,752 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(1)(3) | 704,476 | 687,605 | |||||||||
CSMC Trust Series 2015-GLPA, Class A 3.88% due 11/15/2037*(4) | 372,000 | 381,761 | |||||||||
DBCG Mtg. Trust FRS Series 2017-BBG, Class A 2.48% (1 ML+0.70%) due 06/15/2034*(4) | 300,000 | 300,187 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-3A, Class A1 2.58% due 10/25/2047*(1)(3) | 593,955 | 589,351 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(1)(3) | 557,809 | 545,519 | |||||||||
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-RMP1, Class A2 1.77% (1 ML+0.15%) due 12/25/2036(1) | 209,132 | 192,995 |
237
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-AR2, Class A1 2.02% (1 ML+0.15%) due 03/25/2037(1) | $ | 18,698 | $ | 16,887 | |||||||
Dryden Senior Loan Fund FRS Series 2017-50A, Class X 2.52% (3 ML+0.80%) due 07/15/2030*(2) | 765,000 | 764,614 | |||||||||
Dryden Senior Loan Fund FRS Series 2017-49A, Class A 2.94% (3 ML+1.21%) due 07/18/2030*(2) | 1,535,000 | 1,541,140 | |||||||||
Dryden Senior Loan Fund FRS Series 2015-38A, Class A 3.15% (3 ML+1.43%) due 07/15/2027*(2) | 575,000 | 575,624 | |||||||||
Dryden Senior Loan Fund FRS Series 2014-33A, Class AR 3.15% (3 ML+1.43%) due 10/15/2028*(2) | 1,370,000 | 1,376,643 | |||||||||
DSLA Mtg. Loan Trust FRS Series 2006-AR1, Class 1A1A 2.20% (12 MTA+0.92%) due 03/19/2046(1) | 427,523 | 385,591 | |||||||||
First Franklin Mtg. Loan Trust FRS Series 2006-FF12, Class A5 1.93% (1 ML+0.31%) due 09/25/2036(11) | 495,000 | 440,504 | |||||||||
Flatiron CLO, Ltd. FRS Series 2017-1A, Class A 3.09% (3 ML+1.25%) due 05/15/2030*(2) | 975,000 | 979,913 | |||||||||
Ford Credit Auto Owner Trust Series 2014-C, Class B 1.97% due 04/15/2020 | 168,000 | 167,296 | |||||||||
Ford Credit Auto Owner Trust Series 2015-2, Class A 2.44% due 01/15/2027* | 180,000 | 178,477 | |||||||||
Galton Funding Mtg. Trust VRS Series 2018-1, Class A43 3.50% due 11/25/2057*(1)(3) | 556,597 | 558,172 | |||||||||
GM Financial Consumer Automobile Receivables Trust Series 2017-3A, Class 4A 2.13% due 03/16/2023* | 100,000 | 97,659 | |||||||||
GMACM Mtg. Loan Trust VRS Series 2005-AR5, Class 4A1 3.71% due 09/19/2035(1)(3) | 40,590 | 39,824 | |||||||||
GMACM Mtg. Loan Trust VRS Series 2006-AR1, Class 1A1 3.90% due 04/19/2036(1)(3) | 264,910 | 249,484 | |||||||||
GreenPoint Mtg. Funding Trust FRS Series 2007-AR1, Class 3A2 1.78% (1 ML+0.16%) due 02/25/2037(1) | 62,348 | 61,122 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
GreenPoint Mtg. Funding Trust FRS Series 2005-AR4, Class 3A1 2.68% (12 MTA+1.40%) due 10/25/2045(1) | $ | 199,768 | $ | 170,470 | |||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(4) | 1,285,000 | 1,258,907 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(4) | 155,000 | 173,934 | |||||||||
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(4) | 1,225,000 | 1,244,473 | |||||||||
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(4) | 1,307,000 | 1,331,727 | |||||||||
GSAA Home Equity Trust Series 2005-7, Class AF4 5.06% due 05/25/2035(6)(11) | 365,000 | 371,867 | |||||||||
GSAA Home Equity Trust FRS Series 2006-20, Class 2A1A 1.92% (1 ML+0.05%) due 12/25/2046(11) | 43,468 | 32,154 | |||||||||
GSAA Home Equity Trust FRS Series 2006-20, Class 1A1 1.94% (1 ML+0.07%) due 12/25/2046(11) | 82,711 | 47,074 | |||||||||
GSAA Home Equity Trust FRS Series 2007-1, Class 1A1 1.95% (1 ML+0.08%) due 02/25/2037(11) | 423,219 | 226,983 | |||||||||
GSAA Home Equity Trust FRS Series 2006-19, Class A1 1.96% (1 ML+0.09%) due 12/25/2036(11) | 14,675 | 7,325 | |||||||||
GSAA Home Equity Trust FRS Series 2007-4, Class A1 1.97% (1 ML+0.10%) due 03/25/2037(11) | 471,516 | 240,914 | |||||||||
GSAA Home Equity Trust FRS Series 2006-17, Class A3A 2.11% (1 ML+0.24%) due 11/25/2036(11) | 107,087 | 65,037 | |||||||||
GSAA Home Equity Trust FRS Series 2006-3, Class A3 2.17% (1 ML+0.30%) due 03/25/2036(11) | 22,606 | 16,875 | |||||||||
GSAA Home Equity Trust FRS Series 2007-5, Class 2A3A 2.19% (1 ML+0.32%) due 04/25/2047(11) | 180,614 | 130,245 | |||||||||
GSAA Home Equity Trust Series 2006-15, Class AF6 5.88% due 09/25/2036(6)(11) | 109,021 | 56,894 | |||||||||
GSAA Home Equity Trust VRS Series 2006-10, Class AF3 5.98% due 06/25/2036(3)(11) | 353,243 | 175,751 |
238
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
GSR Mtg. Loan Trust FRS Series 2007-1F, Class 4A1 2.17% (1 ML+0.30%) due 01/25/2037(1) | $ | 557,371 | $ | 311,510 | |||||||
GSR Mtg. Loan Trust VRS Series 2005-AR5, Class 2A3 3.64% due 10/25/2035(1)(3) | 102,694 | 88,386 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A4 3.66% due 01/25/2036(1)(3) | 150,334 | 148,377 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 3.66% due 01/25/2036(1)(3) | 11,617 | 11,499 | |||||||||
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A2A 2.00% (1 ML+0.19%) due 01/19/2038(1) | 12,193 | 11,948 | |||||||||
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A13 2.05% (1 ML+0.24%) due 12/19/2036(1) | 286,971 | 265,458 | |||||||||
Honda Auto Receivables Owner Trust Series 2016-2, Class A4 1.62% due 08/15/2022 | 79,000 | 78,031 | |||||||||
HSI Asset Securitization Corp. Trust FRS Series 2006-OPT3, Class 3A4 1.89% (1 ML+0.27%) due 02/25/2036 | 200,000 | 198,419 | |||||||||
IndyMac Index Mtg. Loan Trust FRS Series 2005-AR14, Class 1A1A 2.15% (1 ML+0.28%) due 07/25/2035(1) | 6,260 | 5,433 | |||||||||
IndyMac Index Mtg. Loan Trust VRS Series 2007-AR9, Class 2A1 3.63% due 04/25/2037(1)(3) | 162,270 | 127,105 | |||||||||
IndyMac Index Mtg. Loan Trust VRS Series 2006-AR3, Class 1A1 3.69% due 12/25/2036(1)(3) | 255,043 | 243,317 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-HSBC, Class A 3.09% due 07/05/2032*(4) | 984,724 | 983,493 | |||||||||
JP Morgan Mtg. Trust VRS Series 2006-A3, Class 3A2 3.45% due 05/25/2036(1)(3) | 140,374 | 139,654 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C21, Class A5 3.77% due 08/15/2047(4) | 290,000 | 296,800 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(4) | 1,355,000 | 1,387,608 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class A2 6.32% due 04/15/2041(3)(4) | $ | 1,039 | $ | 1,054 | |||||||
Lehman XS Trust FRS Series 2006-16N, Class A4A 2.06% (1 ML+0.19%) due 11/25/2046(1)(11) | 394,262 | 384,592 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2018-1, Class A 3.14% (1 ML+1.55%) due 02/01/2023*(1) | 509,747 | 505,809 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-6, Class A 3.32% (1 ML+1.75%) due 09/01/2022*(1)(8) | 452,805 | 453,088 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-7, Class A 3.32% (1 ML+1.75%) due 10/01/2022*(1) | 755,096 | 751,630 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-3, Class A1 3.57% (1 ML+2.00%) due 04/01/2022*(1) | 658,851 | 659,675 | |||||||||
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class AR 3.00% (3 ML+1.26%) due 07/20/2026*(2) | 1,290,000 | 1,289,687 | |||||||||
Madison Park Funding XIII, Ltd. FRS Series 13A, Class AR 2.85% (3 ML+1.11%) due 01/19/2025*(2) | 740,000 | 739,828 | |||||||||
Madison Park Funding, Ltd. FRS Series 2013-11A, Class AR 2.90% (3 ML+1.16%) due 07/23/2029*(2) | 1,235,000 | 1,235,803 | |||||||||
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1R 2.75% (3 ML+1.00%) due 07/25/2026*(2) | 2,515,000 | 2,515,091 | |||||||||
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2R 3.25% (3 ML+1.50%) due 07/25/2026*(2) | 880,000 | 879,391 | |||||||||
Magnetite VIII, Ltd. FRS Series 2014-8A, Class AR 3.02% (3 ML+1.30%) due 04/15/2026*(2) | 745,000 | 744,812 | |||||||||
MASTR Adjustable Rate Mtg. Trust VRS Series 2004-13, Class 3A7 3.47% due 11/21/2034(1)(3) | 101,192 | 103,791 |
239
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A4, Class 1A 3.63% due 07/25/2035(1)(3) | $ | 235,345 | $ | 197,586 | |||||||
MetLife Securitization Trust VRS Series 2017-1A, Class A 3.00% due 04/25/2055*(1)(3) | 518,636 | 514,864 | |||||||||
MFA Trust VRS Series 2017-RPL1, Class A1 2.59% due 02/25/2057*(1)(3) | 480,104 | 472,898 | |||||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(6) | 1,249,585 | 1,241,443 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust FRS Series 2006-NC4, Class A2C 2.02% (1 ML+0.15%) due 06/25/2036(11) | 14,584 | 12,835 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.12% due 12/15/2047(3)(4)(5) | 2,729,874 | 123,160 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23, Class A2 2.98% due 07/15/2050(4) | 500,000 | 500,652 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4 3.25% due 02/15/2048(4) | 791,000 | 780,795 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22, Class A4 3.31% due 04/15/2048(4) | 1,857,000 | 1,840,607 | |||||||||
Morgan Stanley Capital Barclays Bank Trust Series 2016-MART, Class A 2.20% due 09/13/2031*(4) | 52,000 | 50,368 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.46% due 06/15/2050(3)(4)(5) | 1,765,698 | 161,119 | |||||||||
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(4) | 755,000 | 760,426 | |||||||||
Morgan Stanley Mtg. Loan Trust FRS Series 2006-16AX, Class 2A2 2.04% (1 ML+0.17%) due 11/25/2036(11) | 272,448 | 125,702 | |||||||||
Nationstar HECM Loan Trust Series 2017-1A, Class A 1.97% due 05/25/2027* | 210,563 | 209,822 | |||||||||
Nationstar HECM Loan Trust VRS Series 2017-2A, Class A1 2.04% due 09/25/2027*(3) | 366,747 | 364,455 | |||||||||
Nationstar HECM Loan Trust Series 2017-1A, Class M1 2.94% due 05/25/2027* | 140,000 | 139,006 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.12% (1 ML+1.50%) due 06/25/2057*(1) | $ | 1,826,791 | $ | 1,879,868 | |||||||
New Residential Mtg. Loan Trust VRSSeries 2016-2A, Class A1 3.75% due 11/26/2035*(1)(3) | 1,250,437 | 1,262,761 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(1)(3) | 1,120,472 | 1,130,852 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(1)(3) | 2,220,570 | 2,263,465 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(1)(3) | 2,216,439 | 2,258,837 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(1)(3) | 1,839,344 | 1,869,578 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(1)(3) | 1,533,609 | 1,561,174 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(3) | 1,785,128 | 1,812,162 | |||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 4.14% due 06/25/2036(1)(3) | 168,389 | 151,316 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 1,225,372 | 1,218,594 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023* | 755,547 | 753,481 | |||||||||
Oak Hill Advisors Residential Loan Trust Series 2017-NPL1, Class A1 3.00% due 06/25/2057*(6) | 578,698 | 575,288 | |||||||||
Oak Hill Credit Partners X, Ltd. FRS Series 2014-10A, Class AR 2.87% (3 ML+1.13%) due 07/20/2026*(2) | 405,000 | 404,880 | |||||||||
Oaktree EIF II, Ltd. FRS Series 2014-A2, Class AR 2.99% (3 ML+1.15%) due 11/15/2025*(2) | 1,780,000 | 1,780,470 |
240
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 2.58% (3 ML+0.85%) due 04/17/2027*(2) | $ | 1,160,000 | $ | 1,159,442 | |||||||
Octagon Investment Partners 30, Ltd. FRS Series 1A, Class A1 3.06% (3 ML+1.32%) due 03/17/2030*(2) | 865,000 | 879,722 | |||||||||
Octagon Investment Partners XVI, Ltd. FRS Series 2013-A, Class 1A 2.85% (3 ML+1.12%) due 07/17/2025*(2) | 479,005 | 478,867 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 1,910,000 | 1,877,374 | |||||||||
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028* | 2,116,694 | 2,131,825 | |||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1 3.22% (3 ML+1.45%) due 04/30/2027*(2) | 2,100,000 | 2,100,233 | |||||||||
Pretium Mtg. Credit Partners VRS Series 2017-NPL5 Class A1 3.33% due 12/30/2032*(3) | 228,589 | 228,103 | |||||||||
Pretium Mtg. Credit Partners Series 2018-NPL1, Class A1 3.38% due 01/27/2033*(6) | 302,351 | 301,422 | |||||||||
RALI Series Trust FRS Series 2006-QA3, Class A2 2.17% (1 ML+0.30%) due 04/25/2036(1) | 343,819 | 317,733 | |||||||||
RALI Series Trust VRS Series 2007-QH9, Class A1 2.59% due 11/25/2037(1)(3) | 74,071 | 64,443 | |||||||||
RALI Series Trust Series 2005-QS17, Class A9 6.00% due 12/25/2035(1) | 88,862 | 86,557 | |||||||||
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(6)(11) | 340,715 | 179,107 | |||||||||
Renaissance Home Equity Loan Trust Series 2006-3, Class AF5 6.12% due 11/25/2036(6)(11) | 158,647 | 99,328 | |||||||||
RFMSI Series Trust VRS Series 2007-SA2, Class 2A1 4.16% due 04/25/2037(1)(3) | 28,807 | 27,538 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2006-HE1, Class A2B 1.96% (1 ML+0.09%) due 07/25/2036(11) | 191,451 | 95,437 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Seneca Park CLO, Ltd. FRS Series 2014-1A, Class AR 2.85% (3 ML+1.12%) due 07/17/2026*(2) | $ | 955,000 | $ | 956,241 | |||||||
Sequoia Mtg. Trust VRS Series 2007-3, Class 2AA1 3.53% due 07/20/2037(1)(3) | 22,521 | 21,600 | |||||||||
Shackleton CLO, Ltd. FRS Series 2014-6A, Class A2R 2.89% (3 ML+1.16%) due 07/17/2026*(2) | 1,580,000 | 1,579,602 | |||||||||
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021*(11) | 1,085,000 | 1,084,618 | |||||||||
Sofi Consumer Loan Program LLC Series 2017-3, Class A 2.77% due 05/25/2026* | 256,197 | 254,402 | |||||||||
Sound Point CLO, Ltd. FRS Series 2018-1A, Class A 3.20% (3 ML+1.00%) due 04/15/2031*(2)(8) | 1,560,000 | 1,560,000 | |||||||||
Sound Point CLO, Ltd. FRS Series 2017-1A, Class A 3.13% (3 ML+1.39%) due 01/23/2029*(2) | 600,000 | 602,782 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 1.87% (1 ML+0.25%) due 11/25/2036(11) | 290,000 | 254,968 | |||||||||
Soundview Home Loan Trust FRS Series 2007-OPT2, Class 2A3 2.05% (1 ML+0.18%) due 07/25/2037(11) | 49,360 | 42,679 | |||||||||
SPS Servicer Advance Receivables Trust Series 2016-T2, Class AT2 2.75% due 11/15/2049* | 1,225,000 | 1,226,637 | |||||||||
Structured Adjustable Rate Mtg. Loan Trust FRS Series 2004-13, Class A2 1.92% (1 ML+0.30%) due 09/25/2034(1) | 25,011 | 23,348 | |||||||||
Structured Asset Mtg. Investments II Trust FRS Series 2006-AR1, Class 3A1 1.85% (1 ML+0.23%) due 02/25/2036(1) | 130,159 | 117,674 | |||||||||
Symphony CLO LP FRS Series 2012-BR, Class 8AR 3.30% (1 ML+1.75%) due 01/09/2023*(2) | 1,200,000 | 1,198,934 | |||||||||
Symphony CLO XV, Ltd. FRS Series 2014-15A, Class AR 2.91% (3 ML+1.18%) due 10/17/2026*(2) | 1,150,000 | 1,149,744 |
241
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Symphony CLO, Ltd. FRS Series 2014-14A, Class A2R 3.00% (3 ML+1.28%) due 07/14/2026*(2) | $ | 1,130,000 | $ | 1,129,692 | |||||||
Synchrony Credit Card Master Note Trust Series 2016-1, Class A 2.04% due 03/15/2022 | 100,000 | 99,510 | |||||||||
Synchrony Credit Card Master Note Trust Series 2016-2, Class A 2.21% due 05/15/2024 | 100,000 | 97,855 | |||||||||
Thacher Park CLO, Ltd. FRS Series 2014-1A, Class AR 2.90% (3 ML+1.16%) due 10/20/2026*(2) | 810,000 | 809,857 | |||||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 2.22% (1 ML+0.60%) due 02/25/2057* | 1,601,778 | 1,607,533 | |||||||||
Towd Point Mtg. Trust VRS Series 2015-4, Class A1B 2.75% due 04/25/2055*(3) | 375,815 | 372,938 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(3) | 885,396 | 873,164 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(3) | 2,230,562 | 2,205,507 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(3) | 632,756 | 628,072 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(3) | 1,643,930 | 1,620,066 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(3) | 1,178,224 | 1,167,237 | |||||||||
Toyota Auto Receivables Owner Trust Series 2018-A, Class A3 2.35% due 05/16/2022 | 150,000 | 148,939 | |||||||||
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 3.11% (3 ML+1.37%) due 04/20/2027*(2) | 1,280,000 | 1,279,959 | |||||||||
U.S. Residential Opportunity Fund Trust Series 2017-1III, Class A 3.35% due 11/27/2037*(6) | 919,929 | 917,519 | |||||||||
Venture XXVII CLO, Ltd. FRS Series 2017-27A, Class A 3.04% (3 ML+1.30%) due 07/20/2030*(2) | 665,000 | 669,816 | |||||||||
Vibrant CLO, Ltd. FRS Series 2015-3A, Class A1R 3.22% (3 ML+1.48%) due 04/20/2026*(2) | 1,120,000 | 1,119,783 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Vibrant CLO, Ltd. FRS Series 2017-6A, Class A 3.44% (3 ML+1.24%) due 06/20/2029*(2) | $ | 1,785,000 | $ | 1,792,481 | |||||||
VNDO Mtg. Trust Series 2012-6AVE, Class A 3.00% due 11/15/2030*(4) | 1,195,000 | 1,182,728 | |||||||||
VOLT LX LLC Series 2017-NPL7, Class A1 3.25% due 06/25/2047*(6) | 461,082 | 459,110 | |||||||||
VOLT LXII LLC Series 2017-NPL9, Class A1 3.13% due 09/25/2047*(6) | 361,360 | 359,376 | |||||||||
VOLT LXIII LLC Series NP10, Class A1 3.00% due 10/25/2047*(6) | 704,552 | 697,937 | |||||||||
VOLT LXIV LLC Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(6) | 1,662,826 | 1,658,289 | |||||||||
Voya CLO, Ltd. FRS Series 2014-4A, Class A1R 2.67% (3 ML+0.95%) due 10/14/2026*(2) | 350,000 | 349,846 | |||||||||
Voya CLO, Ltd. FRS Series 2014-2A, Class A1R 2.98% (3 ML+1.25%) due 04/17/2030*(2) | 250,000 | 251,141 | |||||||||
Voya CLO, Ltd. FRS Series 2014-1A, Class A1R 3.06% (3 ML+1.33%) due 04/18/2026*(2) | 565,000 | 564,935 | |||||||||
Voya CLO, Ltd. FRS Series 2014-1A, Class AAR2 3.19% (3 ML+0.99%) due 04/18/2031*(2)(8) | 555,000 | 555,000 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR17, Class 1A 2.02% (12 MTA+0.82%) due 12/25/2046(1) | 523,144 | 472,861 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR13, Class 1A 2.16% (12 MTA+0.88%) due 10/25/2046(1) | 208,140 | 186,539 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.28% (COFI 11+1.50%) due 11/25/2046(1) | 73,760 | 69,643 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust VRS Series 2007-HY6, Class 1A1 3.16% due 06/25/2037(1)(3) | 183,149 | 172,531 | |||||||||
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2006-AR9, Class 1A 2.11% (12 MTA+0.83%) due 11/25/2046(1) | 158,599 | 135,711 |
242
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2006-5, Class 1A1 2.47% (1 ML+0.60%) due 07/25/2036(1) | $ | 91,535 | $ | 64,588 | |||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.16% due 09/15/2057(3)(4)(5) | 9,564,633 | 496,940 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class XA 1.17% due 05/15/2048(3)(4)(5) | 3,686,949 | 200,723 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.10% due 05/15/2048(3)(4) | 75,000 | 66,934 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR16, Class 4A8 3.50% due 10/25/2035(1)(3) | 575,000 | 585,429 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR16, Class A1 3.72% due 10/25/2036(1)(3) | 133,935 | 131,259 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048*(11) | 448,875 | 444,705 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 1,215,000 | 1,208,576 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.78% due 02/15/2044*(3)(4)(5) | 472,729 | 9,376 | |||||||||
World Financial Network Credit Card Master Trust Series 2016-A, Class A 2.03% due 04/15/2025 | 150,000 | 145,638 | |||||||||
York CLO, Ltd. FRS Series 2016-2A, Class A 3.37% (3 ML+1.63%) due 01/20/2030*(2) | 1,240,000 | 1,260,932 | |||||||||
Total Asset Backed Securities (cost $159,189,901) | 159,222,027 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 26.9% | |||||||||||
Advertising Agencies — 0.0% | |||||||||||
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024 | 94,000 | 95,806 | |||||||||
Aerospace/Defense — 0.2% | |||||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 1,488,000 | 1,443,031 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
Triumph Group, Inc. Company Guar. Notes 4.88% due 04/01/2021 | $ | 115,000 | $ | 112,413 | |||||||
United Technologies Corp. Senior Notes 1.90% due 05/04/2020 | 165,000 | 161,664 | |||||||||
United Technologies Corp. Senior Notes 3.75% due 11/01/2046 | 160,000 | 144,280 | |||||||||
418,357 | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
Mosaic Co. Senior Notes 3.25% due 11/15/2022 | 101,000 | 98,886 | |||||||||
Mosaic Co. Senior Notes 4.05% due 11/15/2027 | 137,000 | 133,618 | |||||||||
Mosaic Co. Senior Notes 4.88% due 11/15/2041 | 66,000 | 63,319 | |||||||||
295,823 | |||||||||||
Airlines — 0.1% | |||||||||||
Atlas Air, Inc. Pass-Through Certs. Series 1999-1, Class B 7.63% due 01/02/2019(8) | 12,115 | 12,158 | |||||||||
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022 | 450,000 | 449,447 | |||||||||
United Airlines Pass-Through Trust Pass-Through Certs. Series 2014-2, Class B 4.63% due 03/03/2024 | 107,073 | 108,465 | |||||||||
United Airlines Pass-Through Trust Pass-Through Certs. Series 2013-1, Class B 5.38% due 02/15/2023 | 67,917 | 69,785 | |||||||||
639,855 | |||||||||||
Applications Software — 0.2% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 1,045,000 | 1,031,069 | |||||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 485,000 | 482,070 | |||||||||
Microsoft Corp. Senior Notes 4.10% due 02/06/2037 | 126,000 | 133,608 | |||||||||
Microsoft Corp. Senior Notes 4.45% due 11/03/2045 | 585,000 | 647,632 | |||||||||
2,294,379 | |||||||||||
Auto-Cars/Light Trucks — 0.8% | |||||||||||
American Honda Finance Corp. Senior Notes 1.20% due 07/12/2019 | 28,000 | 27,491 |
243
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Auto-Cars/Light Trucks (continued) | |||||||||||
BMW US Capital LLC Company Guar. Notes 1.50% due 04/11/2019* | $ | 163,000 | $ | 161,110 | |||||||
Daimler Finance North America LLC Company Guar. Notes 2.00% due 07/06/2021* | 155,000 | 149,270 | |||||||||
Daimler Finance North America LLC Company Guar. Notes 2.30% due 01/06/2020* | 318,000 | 314,081 | |||||||||
Daimler Finance North America LLC Company Guar. Notes 2.45% due 05/18/2020* | 287,000 | 282,929 | |||||||||
Daimler Finance North America LLC Company Guar. Notes 3.00% due 02/22/2021* | 1,250,000 | 1,242,887 | |||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 810,000 | 792,096 | |||||||||
Ford Motor Credit Co. LLC Senior Notes 2.34% due 11/02/2020 | 452,000 | 440,118 | |||||||||
Ford Motor Credit Co. LLC Senior Notes 3.82% due 11/02/2027 | 165,000 | 155,245 | |||||||||
General Motors Co. Senior Notes 4.00% due 04/01/2025 | 500,000 | 494,265 | |||||||||
General Motors Co. Senior Notes 4.88% due 10/02/2023 | 940,000 | 980,904 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 480,000 | 479,484 | |||||||||
General Motors Co. Senior Notes 6.25% due 10/02/2043 | 240,000 | 263,592 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 515,000 | 597,848 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.70% due 05/09/2023 | 1,275,000 | 1,265,710 | |||||||||
Nissan Motor Acceptance Corp. Senior Notes 2.15% due 09/28/2020* | 325,000 | 318,277 | |||||||||
Nissan Motor Acceptance Corp. Senior Notes 2.65% due 07/13/2022* | 258,000 | 251,840 | |||||||||
Toyota Motor Credit Corp. Senior Notes 1.70% due 01/09/2019 | 354,000 | 351,559 | |||||||||
8,568,706 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Auto-Heavy Duty Trucks — 0.0% | |||||||||||
JB Poindexter & Co., Inc. Senior Notes 9.00% due 04/01/2022* | $ | 75,000 | $ | 77,344 | |||||||
PACCAR Financial Corp. Senior Notes 2.05% due 11/13/2020 | 98,000 | 96,039 | |||||||||
173,383 | |||||||||||
Auto/Truck Parts & Equipment-Original — 0.0% | |||||||||||
Lear Corp. Senior Notes 3.80% due 09/15/2027 | 77,000 | 73,894 | |||||||||
Banks-Commercial — 0.6% | |||||||||||
BankUnited, Inc. Senior Notes 4.88% due 11/17/2025 | 653,000 | 672,050 | |||||||||
BB&T Corp Senior Notes 2.15% due 02/01/2021 | 140,000 | 136,460 | |||||||||
Branch Banking & Trust Co Senior Notes 1.45% due 05/10/2019 | 345,000 | 340,036 | |||||||||
Citizens Financial Group, Inc. Sub. Notes 4.15% due 09/28/2022* | 260,000 | 262,990 | |||||||||
First Horizon National Corp. Senior Notes 3.50% due 12/15/2020 | 458,000 | 460,468 | |||||||||
First Tennessee Bank NA Senior Notes 2.95% due 12/01/2019 | 258,000 | 257,412 | |||||||||
PNC Bank NA Senior Notes 2.00% due 05/19/2020 | 250,000 | 244,855 | |||||||||
Regions Financial Corp. Senior Notes 2.75% due 08/14/2022 | 234,000 | 227,368 | |||||||||
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037 | 671,000 | 883,478 | |||||||||
Santander Holdings USA, Inc. Senior Notes 3.40% due 01/18/2023 | 138,000 | 134,799 | |||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | 2,028,000 | 2,032,277 | |||||||||
Synovus Financial Corp. Senior Notes 3.13% due 11/01/2022 | 103,000 | 99,818 | |||||||||
5,752,011 | |||||||||||
Banks-Fiduciary — 0.2% | |||||||||||
Bank of New York Mellon Corp. Senior Notes 2.30% due 09/11/2019 | 1,890,000 | 1,875,425 | |||||||||
Bank of New York Mellon Corp. Senior Notes 2.66% due 05/16/2023 | 105,000 | 102,185 |
244
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Banks-Fiduciary (continued) | |||||||||||
State Street Corp. Sub. Notes 3.10% due 05/15/2023 | $ | 165,000 | $ | 164,005 | |||||||
2,141,615 | |||||||||||
Banks-Super Regional — 1.1% | |||||||||||
Capital One Financial Corp. Sub. Notes 4.20% due 10/29/2025 | 155,000 | 153,583 | |||||||||
Citibank NA Senior Notes 2.13% due 10/20/2020 | 313,000 | 306,089 | |||||||||
National City Corp. Sub. Notes 6.88% due 05/15/2019 | 169,000 | 176,404 | |||||||||
Wachovia Corp. Sub. Notes 5.50% due 08/01/2035 | 600,000 | 671,275 | |||||||||
Wells Fargo & Co. Senior Notes 2.63% due 07/22/2022 | 1,905,000 | 1,842,695 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | 655,000 | 614,947 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 935,000 | 875,586 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 1,836,000 | 1,805,479 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 1,560,000 | 1,522,217 | |||||||||
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046 | 323,000 | 313,498 | |||||||||
Wells Fargo & Co. Sub. Notes 4.75% due 12/07/2046 | 876,000 | 897,655 | |||||||||
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045 | 215,000 | 225,392 | |||||||||
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043 | 275,000 | 303,626 | |||||||||
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044 | 1,580,000 | 1,811,580 | |||||||||
Wells Fargo Bank NA Senior Notes 2.40% due 01/15/2020 | 265,000 | 262,815 | |||||||||
11,782,841 | |||||||||||
Batteries/Battery Systems — 0.0% | |||||||||||
EnerSys Company Guar. Notes 5.00% due 04/30/2023* | 86,000 | 87,397 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Beverages-Wine/Spirits — 0.2% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | $ | 1,285,000 | $ | 1,241,733 | |||||||
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022 | 175,000 | 169,765 | |||||||||
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028 | 770,000 | 742,904 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.50% due 05/09/2047 | 115,000 | 114,084 | |||||||||
2,268,486 | |||||||||||
Brewery — 0.6% | |||||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.65% due 02/01/2021 | 350,000 | 347,259 | |||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.30% due 02/01/2023 | 2,170,000 | 2,171,595 | |||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036 | 758,000 | 802,013 | |||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046 | 431,000 | 464,838 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.50% due 01/12/2024 | 540,000 | 543,790 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048 | 132,000 | 136,543 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 1,485,000 | 1,518,905 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 8.20% due 01/15/2039 | 500,000 | 747,408 | |||||||||
6,732,351 | |||||||||||
Broadcast Services/Program — 0.3% | |||||||||||
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes 6.50% due 11/15/2022 | 40,000 | 40,828 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 833,000 | 823,134 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026 | 430,000 | 445,716 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.00% due 09/20/2037 | 76,000 | 75,744 |
245
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Broadcast Services/Program (continued) | |||||||||||
Scripps Networks Interactive, Inc. Senior Notes 3.95% due 06/15/2025 | $ | 509,000 | $ | 506,017 | |||||||
Vrio Finco 1 LLC/ Vrio Finco 2, Inc. Senior Sec. Notes 6.25% due 04/04/2023* | 1,035,000 | 1,045,350 | |||||||||
2,936,789 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Owens Corning Company Guar. Notes 4.30% due 07/15/2047 | 314,000 | 286,846 | |||||||||
Owens Corning Company Guar. Notes 4.40% due 01/30/2048 | 88,000 | 81,262 | |||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 94,000 | 96,350 | |||||||||
464,458 | |||||||||||
Building & Construction-Misc. — 0.0% | |||||||||||
Weekley Homes LLC/ Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023 | 100,000 | 99,500 | |||||||||
Building Products-Air & Heating — 0.0% | |||||||||||
Lennox International, Inc. Company Guar. Notes 3.00% due 11/15/2023 | 106,000 | 103,283 | |||||||||
Building Products-Cement — 0.0% | |||||||||||
Martin Marietta Materials, Inc. Senior Notes 4.25% due 12/15/2047 | 65,000 | 60,099 | |||||||||
Vulcan Materials Co. Senior Notes 4.70% due 03/01/2048* | 157,000 | 153,267 | |||||||||
213,366 | |||||||||||
Building Products-Wood — 0.1% | |||||||||||
Boise Cascade Co. Company Guar. Notes 5.63% due 09/01/2024* | 85,000 | 86,912 | |||||||||
Masco Corp. Senior Notes 4.45% due 04/01/2025 | 221,000 | 226,039 | |||||||||
Masco Corp. Senior Notes 4.50% due 05/15/2047 | 116,000 | 110,619 | |||||||||
423,570 | |||||||||||
Building-Heavy Construction — 0.0% | |||||||||||
New Enterprise Stone & Lime Co, Inc. Senior Sec. Notes 6.25% due 03/15/2026* | 63,000 | 63,079 | |||||||||
Tutor Perini Corp. Company Guar. Notes 6.88% due 05/01/2025* | 120,000 | 123,600 | |||||||||
186,679 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Lennar Corp. Company Guar. Notes 4.13% due 01/15/2022 | $ | 68,000 | $ | 66,875 | |||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.35% due 02/15/2028 | 183,000 | 171,105 | |||||||||
William Lyon Homes, Inc. Senior Notes 6.00% due 09/01/2023* | 100,000 | 99,625 | |||||||||
337,605 | |||||||||||
Cable/Satellite TV — 1.1% | |||||||||||
Block Communications, Inc. Senior Notes 6.88% due 02/15/2025* | 165,000 | 165,921 | |||||||||
CCO Holdings LLC/ CCO Holdings Capital Corp. Senior Notes 5.00% due 02/01/2028* | 90,000 | 84,375 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.58% due 07/23/2020 | 600,000 | 601,689 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.75% due 02/15/2028 | 124,000 | 113,948 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022 | 455,000 | 464,778 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 880,000 | 899,277 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 05/01/2047 | 531,000 | 513,603 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.38% due 10/23/2035 | 115,000 | 128,461 |
246
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV (continued) | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | $ | 2,115,000 | $ | 2,321,607 | |||||||
Comcast Corp. Company Guar. Notes 3.90% due 03/01/2038 | 125,000 | 121,176 | |||||||||
Comcast Corp. Company Guar. Notes 3.97% due 11/01/2047 | 724,000 | 686,465 | |||||||||
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052 | 264,000 | 247,794 | |||||||||
Comcast Corp. Company Guar. Notes 4.75% due 03/01/2044 | 180,000 | 189,767 | |||||||||
Comcast Corp. Company Guar. Notes 6.40% due 05/15/2038 | 57,000 | 72,516 | |||||||||
Comcast Corp. Company Guar. Notes 7.05% due 03/15/2033 | 215,000 | 284,599 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 645,000 | 618,566 | |||||||||
Cox Communications, Inc. Senior Notes 3.35% due 09/15/2026* | 200,000 | 190,427 | |||||||||
Cox Communications, Inc. Senior Notes 3.85% due 02/01/2025* | 45,000 | 45,048 | |||||||||
Cox Communications, Inc. Senior Notes 4.80% due 02/01/2035* | 480,000 | 471,030 | |||||||||
CSC Holdings LLC Company Guar. Notes 5.50% due 04/15/2027* | 200,000 | 191,500 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 350,000 | 314,562 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024 | 83,000 | 73,974 | |||||||||
DISH DBS Corp. Company Guar. Notes 7.75% due 07/01/2026 | 19,000 | 17,817 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 310,000 | 268,491 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 125,000 | 130,554 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 6.55% due 05/01/2037 | 1,100,000 | 1,236,732 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Cable/Satellite TV (continued) | |||||||||||
Time Warner Cable LLC Senior Sec. Notes 6.75% due 07/01/2018 | $ | 300,000 | $ | 302,827 | |||||||
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019 | 1,190,000 | 1,246,102 | |||||||||
12,003,606 | |||||||||||
Cellular Telecom — 0.3% | |||||||||||
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024 | 80,000 | 78,000 | |||||||||
Sprint Corp. Company Guar. Notes 7.63% due 03/01/2026 | 174,000 | 169,772 | |||||||||
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023 | 211,000 | 215,220 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC Senior Sec. Notes 4.74% due 03/20/2025* | 417,000 | 418,564 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC Senior Sec. Notes 5.15% due 03/20/2028* | 1,950,000 | 1,960,335 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 4.75% due 02/01/2028 | 130,000 | 124,962 | |||||||||
United States Cellular Corp. Senior Notes 6.70% due 12/15/2033 | 68,000 | 70,890 | |||||||||
3,037,743 | |||||||||||
Chemicals-Diversified — 0.0% | |||||||||||
Westlake Chemical Corp. Company Guar. Notes 4.38% due 11/15/2047 | 76,000 | 73,422 | |||||||||
Chemicals-Specialty — 0.0% | |||||||||||
GCP Applied Technologies, Inc. Senior Notes 5.50% due 04/15/2026* | 69,000 | 68,828 | |||||||||
Kraton Polymers LLC/ Kraton Polymers Capital Corp. Company Guar. Notes 7.00% due 04/15/2025* | 75,000 | 77,625 | |||||||||
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034 | 108,000 | 141,542 | |||||||||
287,995 | |||||||||||
Circuit Boards — 0.0% | |||||||||||
TTM Technologies, Inc. Company Guar. Notes 5.63% due 10/01/2025* | 140,000 | 139,300 |
247
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Coal — 0.0% | |||||||||||
SunCoke Energy Partners LP/ SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.50% due 06/15/2025* | $ | 120,000 | $ | 123,600 | |||||||
Coatings/Paint — 0.1% | |||||||||||
RPM International, Inc. Senior Notes 3.75% due 03/15/2027 | 70,000 | 68,195 | |||||||||
RPM International, Inc. Senior Notes 4.25% due 01/15/2048 | 62,000 | 58,616 | |||||||||
Sherwin-Williams Co. Senior Notes 2.25% due 05/15/2020 | 66,000 | 64,905 | |||||||||
Sherwin-Williams Co. Senior Notes 2.75% due 06/01/2022 | 127,000 | 123,695 | |||||||||
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024 | 215,000 | 207,877 | |||||||||
Sherwin-Williams Co. Senior Notes 4.50% due 06/01/2047 | 350,000 | 348,396 | |||||||||
871,684 | |||||||||||
Commercial Services — 0.0% | |||||||||||
Ecolab, Inc. Senior Notes 2.38% due 08/10/2022 | 223,000 | 215,897 | |||||||||
Computer Services — 0.1% | |||||||||||
Harland Clarke Holdings Corp. Senior Sec. Notes 8.38% due 08/15/2022* | 200,000 | 203,500 | |||||||||
IBM Credit LLC Senior Notes 1.63% due 09/06/2019 | 262,000 | 258,481 | |||||||||
IBM Credit LLC Senior Notes 2.65% due 02/05/2021 | 576,000 | 572,981 | |||||||||
International Business Machines Corp. Senior Notes 4.00% due 06/20/2042 | 73,000 | 74,204 | |||||||||
1,109,166 | |||||||||||
Computers — 0.4% | |||||||||||
Apple, Inc. Senior Notes 2.85% due 05/06/2021 | 173,000 | 173,105 | |||||||||
Apple, Inc. Senior Notes 3.00% due 02/09/2024 | 145,000 | 143,364 | |||||||||
Apple, Inc. Senior Notes 3.35% due 02/09/2027 | 460,000 | 454,439 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Computers (continued) | |||||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | $ | 515,000 | $ | 475,232 | |||||||
Apple, Inc. Senior Notes 3.85% due 08/04/2046 | 280,000 | 273,978 | |||||||||
Apple, Inc. Senior Notes 4.45% due 05/06/2044 | 475,000 | 509,776 | |||||||||
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 6.02% due 06/15/2026* | 150,000 | 161,538 | |||||||||
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 8.10% due 07/15/2036* | 415,000 | 504,547 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 4.90% due 10/15/2025 | 465,000 | 482,787 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.20% due 10/15/2035 | 73,000 | 78,400 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 610,000 | 651,724 | |||||||||
3,908,890 | |||||||||||
Computers-Integrated Systems — 0.0% | |||||||||||
Diebold Nixdorf, Inc. Company Guar. Notes 8.50% due 04/15/2024 | 100,000 | 105,250 | |||||||||
Everi Payments, Inc. Company Guar. Notes 7.50% due 12/15/2025* | 140,000 | 142,100 | |||||||||
247,350 | |||||||||||
Computers-Memory Devices — 0.2% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 1,667,000 | 1,663,333 | |||||||||
Consumer Products-Misc. — 0.0% | |||||||||||
Central Garden & Pet Co. Company Guar. Notes 5.13% due 02/01/2028 | 75,000 | 71,250 | |||||||||
Containers-Metal/Glass — 0.0% | |||||||||||
Ball Corp. Company Guar. Notes 4.88% due 03/15/2026 | 65,000 | 65,169 | |||||||||
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026 | 44,000 | 49,060 | |||||||||
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.38% due 01/15/2025* | 105,000 | 105,394 | |||||||||
219,623 |
248
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
Crown Americas LLC/Crown Americas Capital Corp. VI Company Guar. Notes 4.75% due 02/01/2026* | $ | 32,000 | $ | 30,960 | |||||||
Multi-Color Corp. Company Guar. Notes 4.88% due 11/01/2025* | 95,000 | 88,825 | |||||||||
Multi-Color Corp. Company Guar. Notes 6.13% due 12/01/2022* | 103,000 | 106,090 | |||||||||
225,875 | |||||||||||
Cosmetics & Toiletries — 0.0% | |||||||||||
Coty, Inc. Senior Notes 6.50% due 04/15/2026* | 53,000 | 53,265 | |||||||||
First Quality Finance Co., Inc. Company Guar. Notes 5.00% due 07/01/2025* | 76,000 | 72,770 | |||||||||
126,035 | |||||||||||
Diagnostic Equipment — 0.1% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026 | 255,000 | 238,048 | |||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 260,000 | 253,360 | |||||||||
491,408 | |||||||||||
Dialysis Centers — 0.0% | |||||||||||
DaVita HealthCare Partners, Inc. Company Guar. Notes 5.00% due 05/01/2025 | 115,000 | 111,153 | |||||||||
Distribution/Wholesale — 0.0% | |||||||||||
H&E Equipment Services, Inc. Company Guar. Notes 5.63% due 09/01/2025 | 80,000 | 80,700 | |||||||||
Diversified Banking Institutions — 5.8% | |||||||||||
Bank of America Corp. Senior Notes 2.25% due 04/21/2020 | 2,070,000 | 2,039,876 | |||||||||
Bank of America Corp. Senior Notes 2.37% due 07/21/2021 | 690,000 | 677,089 | |||||||||
Bank of America Corp. Senior Notes 2.50% due 10/21/2022 | 1,835,000 | 1,762,684 | |||||||||
Bank of America Corp. Senior Notes 3.00% due 12/20/2023* | 1,525,000 | 1,495,808 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 2,210,000 | 2,149,882 | |||||||||
Bank of America Corp. Senior Notes 3.55% due 03/05/2024 | 157,000 | 157,649 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Bank of America Corp. Senior Notes 3.95% due 01/23/2049 | $ | 130,000 | $ | 124,930 | |||||||
Bank of America Corp. Senior Notes 4.10% due 07/24/2023 | 715,000 | 738,099 | |||||||||
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027 | 3,147,000 | 3,119,762 | |||||||||
Bank of America Corp. Senior Notes 4.44% due 01/20/2048 | 1,155,000 | 1,205,762 | |||||||||
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037 | 694,000 | 834,998 | |||||||||
Bank of America Corp. Senior Notes 6.88% due 04/25/2018 | 615,000 | 616,594 | |||||||||
Citigroup, Inc. Senior Notes 1.70% due 04/27/2018 | 600,000 | 599,670 | |||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | 835,000 | 807,737 | |||||||||
Citigroup, Inc. Senior Notes 2.88% due 07/24/2023 | 236,000 | 229,641 | |||||||||
Citigroup, Inc. FRS Senior Notes 2.98% (3 ML+1.10%) due 05/17/2024 | 1,940,000 | 1,957,430 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 530,000 | 511,640 | |||||||||
Citigroup, Inc. Senior Notes 3.67% due 07/24/2028 | 133,000 | 129,664 | |||||||||
Citigroup, Inc. Senior Notes 3.70% due 01/12/2026 | 1,220,000 | 1,204,763 | |||||||||
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026 | 2,025,000 | 2,026,106 | |||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 837,000 | 846,908 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 412,000 | 438,973 | |||||||||
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025 | 335,000 | 362,707 | |||||||||
Citigroup, Inc. Sub. Notes 6.00% due 10/31/2033 | 99,000 | 116,358 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021 | 1,115,000 | 1,075,123 |
249
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Goldman Sachs Group, Inc. Senior Notes 2.60% due 04/23/2020 | $ | 820,000 | $ | 812,377 | |||||||
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020 | 1,764,000 | 1,746,047 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 02/25/2021 | 75,000 | 74,233 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022 | 2,875,000 | 2,814,429 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 1,610,000 | 1,565,769 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 06/05/2023 | 228,000 | 221,897 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.63% due 01/22/2023 | 206,000 | 206,711 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028 | 1,415,000 | 1,371,804 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.00% due 03/03/2024 | 1,135,000 | 1,152,465 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | 254,000 | 245,182 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.75% due 10/21/2045 | 495,000 | 529,689 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045 | 575,000 | 618,854 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033 | 150,000 | 180,281 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 610,000 | 773,492 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 874,000 | 1,094,871 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.30% due 08/15/2021 | 1,375,000 | 1,336,895 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021 | 740,000 | 722,327 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.55% due 03/01/2021 | 621,000 | 611,028 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.70% due 05/18/2023 | 675,000 | 651,223 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
JPMorgan Chase & Co. FRS Senior Notes 2.97% (3 ML+1.23%) due 10/24/2023 | $ | 460,000 | $ | 466,761 | |||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 1,105,000 | 1,077,143 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 1,710,000 | 1,704,938 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 1,230,000 | 1,193,963 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.88% due 07/24/2038 | 445,000 | 432,383 | |||||||||
JPMorgan Chase & Co. Senior Notes 4.25% due 10/15/2020 | 45,000 | 46,306 | |||||||||
JPMorgan Chase & Co. Senior Notes 4.26% due 02/22/2048 | 250,000 | 251,506 | |||||||||
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021 | 450,000 | 466,096 | |||||||||
JPMorgan Chase & Co. Senior Notes 4.63% due 05/10/2021 | 525,000 | 547,246 | |||||||||
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041 | 125,000 | 151,167 | |||||||||
JPMorgan Chase & Co. Sub. Notes 5.63% due 08/16/2043 | 125,000 | 145,622 | |||||||||
Merrill Lynch & Co., Inc. Sub. Notes 7.75% due 05/14/2038 | 650,000 | 899,949 | |||||||||
Morgan Stanley Senior Notes 2.13% due 04/25/2018 | 790,000 | 789,767 | |||||||||
Morgan Stanley Senior Notes 2.45% due 02/01/2019 | 75,000 | 74,846 | |||||||||
Morgan Stanley Senior Notes 2.50% due 04/21/2021 | 275,000 | 269,454 | |||||||||
Morgan Stanley Senior Notes 2.75% due 05/19/2022 | 251,000 | 244,780 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 1,445,000 | 1,367,452 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 3,374,000 | 3,263,536 | |||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | 565,000 | 553,029 |
250
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Morgan Stanley Senior Notes 3.70% due 10/23/2024 | $ | 510,000 | $ | 507,511 | |||||||
Morgan Stanley Senior Notes 3.75% due 02/25/2023 | 400,000 | 404,237 | |||||||||
Morgan Stanley Senior Notes 3.77% due 01/24/2029 | 127,000 | 125,034 | |||||||||
Morgan Stanley Senior Notes 3.88% due 01/27/2026 | 810,000 | 809,296 | |||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 550,000 | 535,522 | |||||||||
Morgan Stanley Senior Notes 3.97% due 07/22/2038 | 111,000 | 108,439 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 980,000 | 989,125 | |||||||||
Morgan Stanley Sub. Notes 4.10% due 05/22/2023 | 340,000 | 344,574 | |||||||||
Morgan Stanley Sub. Notes 4.35% due 09/08/2026 | 170,000 | 171,212 | |||||||||
Morgan Stanley Sub. Notes 5.00% due 11/24/2025 | 700,000 | 731,998 | |||||||||
Morgan Stanley Senior Notes 5.50% due 07/24/2020 | 200,000 | 210,082 | |||||||||
Morgan Stanley Senior Notes 6.63% due 04/01/2018 | 425,000 | 425,000 | |||||||||
Morgan Stanley Senior Notes 7.30% due 05/13/2019 | 125,000 | 130,981 | |||||||||
61,398,382 | |||||||||||
Diversified Manufacturing Operations — 0.1% | |||||||||||
Carlisle Cos., Inc. Senior Notes 3.75% due 12/01/2027 | 159,000 | 154,294 | |||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 730,000 | 728,158 | |||||||||
882,452 | |||||||||||
E-Commerce/Products — 0.2% | |||||||||||
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024* | 330,000 | 320,200 | |||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037* | 1,325,000 | 1,320,309 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
E-Commerce/Products (continued) | |||||||||||
Amazon.com, Inc. Senior Notes 4.95% due 12/05/2044 | $ | 290,000 | $ | 326,789 | |||||||
1,967,298 | |||||||||||
Electric Products-Misc. — 0.0% | |||||||||||
WESCO Distribution, Inc. Company Guar. Notes 5.38% due 06/15/2024 | 12,000 | 12,045 | |||||||||
Electric-Distribution — 0.1% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046 | 465,000 | 439,498 | |||||||||
Entergy Louisiana LLC Collateral Trust Bonds 4.00% due 03/15/2033 | 90,000 | 91,777 | |||||||||
NextEra Energy Operating Partners LP Company Guar. Notes 4.25% due 09/15/2024* | 58,000 | 56,260 | |||||||||
NextEra Energy Operating Partners LP Company Guar. Notes 4.50% due 09/15/2027* | 40,000 | 37,700 | |||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 750,000 | 741,995 | |||||||||
1,367,230 | |||||||||||
Electric-Generation — 0.1% | |||||||||||
Basin Electric Power Cooperative 1st Mtg. Notes 4.75% due 04/26/2047* | 351,000 | 374,325 | |||||||||
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046 | 60,000 | 60,215 | |||||||||
434,540 | |||||||||||
Electric-Integrated — 1.5% | |||||||||||
AES Corp. Senior Notes 4.00% due 03/15/2021 | 750,000 | 752,812 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028* | 345,000 | 332,957 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036 | 492,000 | 627,033 | |||||||||
Dominion Energy, Inc. Junior Sub. Notes 2.58% due 07/01/2020 | 107,000 | 105,649 | |||||||||
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033 | 336,000 | 381,274 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 750,000 | 732,877 |
251
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
Duke Energy Carolinas LLC 1st Mtg. Notes 4.00% due 09/30/2042 | $ | 80,000 | $ | 80,560 | |||||||
Duke Energy Carolinas LLC 1st Mtg. Notes 6.00% due 01/15/2038 | 40,000 | 50,896 | |||||||||
Duke Energy Carolinas LLC Senior Notes 6.10% due 06/01/2037 | 50,000 | 63,913 | |||||||||
Duke Energy Corp. Senior Notes 3.75% due 04/15/2024 | 1,110,000 | 1,111,061 | |||||||||
Duke Energy Corp. Senior Notes 3.75% due 09/01/2046 | 195,000 | 175,884 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 785,000 | 713,488 | |||||||||
Duke Energy Indiana LLC 1st Mtg. Notes 4.90% due 07/15/2043 | 195,000 | 220,557 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 2.80% due 05/15/2022 | 162,000 | 160,009 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 4.15% due 12/01/2044 | 900,000 | 924,019 | |||||||||
Exelon Corp. Senior Notes 2.45% due 04/15/2021 | 240,000 | 234,563 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 565,000 | 559,931 | |||||||||
Exelon Corp. Junior Sub. Notes 3.50% due 06/01/2022 | 218,000 | 215,906 | |||||||||
Exelon Generation Co. LLC Senior Notes 2.95% due 01/15/2020 | 129,000 | 128,641 | |||||||||
FirstEnergy Corp. Senior Notes 3.90% due 07/15/2027 | 94,000 | 92,315 | |||||||||
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023 | 750,000 | 768,044 | |||||||||
FirstEnergy Corp. Senior Notes 4.85% due 07/15/2047 | 246,000 | 258,753 | |||||||||
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031 | 476,000 | 626,096 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 1,610,000 | 1,573,953 | |||||||||
Georgia Power Co. Senior Notes 4.75% due 09/01/2040 | 350,000 | 378,009 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Great Plains Energy, Inc. Senior Notes 4.85% due 06/01/2021 | $ | 91,000 | $ | 94,212 | |||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 740,000 | 724,521 | |||||||||
Massachusetts Electric Co. Notes 4.00% due 08/15/2046* | 266,000 | 264,180 | |||||||||
Pacific Gas & Electric Co. Senior Notes 4.75% due 02/15/2044 | 470,000 | 485,147 | |||||||||
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034 | 610,000 | 727,087 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Bonds 4.50% due 06/01/2064 | 600,000 | 579,118 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Bonds 5.10% due 06/01/2065 | 235,000 | 250,439 | |||||||||
Southern Co. Senior Notes 1.85% due 07/01/2019 | 460,000 | 453,818 | |||||||||
Southern Co. Senior Notes 2.75% due 06/15/2020 | 685,000 | 679,196 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 655,000 | 636,204 | |||||||||
16,163,122 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022 | 160,000 | 184,764 | |||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Jabil, Inc. Senior Notes 3.95% due 01/12/2028 | 106,000 | 102,638 | |||||||||
Electronic Components-Semiconductors — 0.5% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 2.38% due 01/15/2020 | 1,040,000 | 1,025,489 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.00% due 01/15/2022 | 510,000 | 500,436 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025 | 920,000 | 869,685 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024 | 2,015,000 | 1,982,215 |
252
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electronic Components-Semiconductors (continued) | |||||||||||
Intel Corp. Senior Notes 2.45% due 07/29/2020 | $ | 303,000 | $ | 301,276 | |||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 160,000 | 164,074 | |||||||||
4,843,175 | |||||||||||
Electronic Measurement Instruments — 0.1% | |||||||||||
Fortive Corp. Senior Notes 2.35% due 06/15/2021 | 700,000 | 680,535 | |||||||||
Electronic Parts Distribution — 0.0% | |||||||||||
Ingram Micro, Inc. Senior Notes 5.45% due 12/15/2024 | 95,000 | 91,970 | |||||||||
Energy-Alternate Sources — 0.0% | |||||||||||
Pattern Energy Group, Inc. Company Guar. Notes 5.88% due 02/01/2024* | 116,000 | 118,610 | |||||||||
Enterprise Software/Service — 0.2% | |||||||||||
BMC Software Finance, Inc. Senior Notes 8.13% due 07/15/2021* | 85,000 | 84,894 | |||||||||
Donnelley Financial Solutions, Inc. Company Guar. Notes 8.25% due 10/15/2024 | 159,000 | 168,341 | |||||||||
Oracle Corp. Senior Notes 1.90% due 09/15/2021 | 334,000 | 322,463 | |||||||||
Oracle Corp. Senior Notes 3.80% due 11/15/2037 | 126,000 | 124,595 | |||||||||
Oracle Corp. Senior Notes 3.85% due 07/15/2036 | 244,000 | 241,728 | |||||||||
Oracle Corp. Senior Notes 3.90% due 05/15/2035 | 45,000 | 44,994 | |||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 450,000 | 443,569 | |||||||||
Oracle Corp. Senior Notes 5.38% due 07/15/2040 | 215,000 | 256,733 | |||||||||
1,687,317 | |||||||||||
Finance-Auto Loans — 0.0% | |||||||||||
Ally Financial, Inc. Sub. Notes 5.75% due 11/20/2025 | 90,000 | 92,727 | |||||||||
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023 | 93,000 | 96,836 | |||||||||
189,563 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Enova International, Inc. Company Guar. Notes 8.50% due 09/01/2024* | $ | 140,000 | $ | 147,700 | |||||||
Enova International, Inc. Company Guar. Notes 9.75% due 06/01/2021 | 15,000 | 15,787 | |||||||||
SLM Corp. Senior Notes 5.63% due 08/01/2033 | 125,000 | 109,375 | |||||||||
Springleaf Finance Corp. Company Guar. Notes 6.88% due 03/15/2025 | 100,000 | 100,375 | |||||||||
373,237 | |||||||||||
Finance-Credit Card — 0.1% | |||||||||||
Alliance Data Systems Corp. Company Guar. Notes 5.88% due 11/01/2021* | 100,000 | 102,000 | |||||||||
American Express Co. Senior Notes 2.50% due 08/01/2022 | 528,000 | 509,304 | |||||||||
American Express Co. Senior Notes 3.40% due 02/27/2023 | 625,000 | 622,891 | |||||||||
1,234,195 | |||||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Jefferies Group LLC/Jefferies Group Capital Finance, Inc. Senior Notes 4.15% due 01/23/2030 | 127,000 | 118,173 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(8)(11) | 131,000 | 13 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(8)(11) | 99,000 | 10 | |||||||||
LPL Holdings, Inc. Company Guar. Notes 5.75% due 09/15/2025* | 90,000 | 88,848 | |||||||||
TD Ameritrade Holding Corp. Senior Notes 2.95% due 04/01/2022 | 123,000 | 121,894 | |||||||||
328,938 | |||||||||||
Finance-Leasing Companies — 0.0% | |||||||||||
Washington Prime Group LP Senior Notes 5.95% due 08/15/2024 | 105,000 | 100,126 | |||||||||
Finance-Mortgage Loan/Banker — 0.0% | |||||||||||
Quicken Loans, Inc. Company Guar. Notes 5.75% due 05/01/2025* | 125,000 | 124,687 | |||||||||
Finance-Other Services — 0.1% | |||||||||||
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.30% due 11/01/2020 | 273,000 | 267,926 |
253
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Finance-Other Services (continued) | |||||||||||
National Rural Utilities Cooperative Finance Corp. Senior Notes 2.30% due 09/15/2022 | $ | 145,000 | $ | 139,904 | |||||||
National Rural Utilities Cooperative Finance Corp. Collateral Trust Notes 2.40% due 04/25/2022 | 118,000 | 114,035 | |||||||||
Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc. Senior Notes 6.38% due 12/15/2022* | 81,000 | 82,822 | |||||||||
604,687 | |||||||||||
Food-Meat Products — 0.0% | |||||||||||
JBS USA LLC/ JBS USA Finance, Inc. Company Guar. Notes 5.88% due 07/15/2024* | 59,000 | 57,543 | |||||||||
JBS USA LUX SA/ JBS USA Finance, Inc. Company Guar. Notes 5.75% due 06/15/2025* | 31,000 | 28,907 | |||||||||
Smithfield Foods, Inc. Senior Notes 2.65% due 10/03/2021* | 82,000 | 78,513 | |||||||||
164,963 | |||||||||||
Food-Misc./Diversified — 0.1% | |||||||||||
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020 | 605,000 | 600,810 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 525,000 | 481,417 | |||||||||
Kraft Heinz Foods Co. Sec. Notes 4.88% due 02/15/2025* | 221,000 | 230,418 | |||||||||
1,312,645 | |||||||||||
Food-Retail — 0.0% | |||||||||||
Albertsons Cos. LLC/ Safeway, Inc./New Albertson's, Inc./Albertson's LLC Company Guar. Notes 5.75% due 03/15/2025 | 125,000 | 106,600 | |||||||||
Kroger Co. Senior Notes 4.65% due 01/15/2048 | 226,000 | 219,915 | |||||||||
326,515 | |||||||||||
Food-Wholesale/Distribution — 0.1% | |||||||||||
C&S Group Enterprises LLC Senior Sec. Notes 5.38% due 07/15/2022* | 91,000 | 85,756 | |||||||||
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021 | 525,000 | 515,150 | |||||||||
600,906 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Gambling (Non-Hotel) — 0.0% | |||||||||||
Mohegan Gaming & Entertainment Company Guar. Notes 7.88% due 10/15/2024* | $ | 62,000 | $ | 61,690 | |||||||
Waterford Gaming LLC/ Waterford Gaming Financial Corp. Escrow Notes 8.63% due 09/15/2014*†(8)(11) | 1,320 | 21 | |||||||||
61,711 | |||||||||||
Gas-Distribution — 0.0% | |||||||||||
NiSource, Inc. Senior Notes 4.38% due 05/15/2047 | 74,000 | 74,307 | |||||||||
Gold Mining — 0.0% | |||||||||||
Barrick North America Finance LLC Company Guar. Notes 5.75% due 05/01/2043 | 160,000 | 186,315 | |||||||||
Hotels/Motels — 0.0% | |||||||||||
Wyndham Worldwide Corp. Senior Notes 4.50% due 04/01/2027 | 100,000 | 99,330 | |||||||||
Insurance Brokers — 0.2% | |||||||||||
Aon Corp. Company Guar. Notes 5.00% due 09/30/2020 | 275,000 | 287,134 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 290,000 | 287,868 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.05% due 10/15/2023 | 295,000 | 302,545 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 610,000 | 600,049 | |||||||||
1,477,596 | |||||||||||
Insurance-Life/Health — 0.1% | |||||||||||
Brighthouse Financial, Inc. Senior Notes 4.70% due 06/22/2047* | 75,000 | 68,736 | |||||||||
Lincoln National Corp. Senior Notes 3.80% due 03/01/2028 | 65,000 | 64,441 | |||||||||
Principal Life Global Funding II Senior Sec. Notes 2.20% due 04/08/2020* | 575,000 | 566,315 | |||||||||
Prudential Financial, Inc. Senior Notes 3.88% due 03/27/2028 | 125,000 | 126,692 | |||||||||
826,184 | |||||||||||
Insurance-Multi-line — 0.4% | |||||||||||
Assurant, Inc. FRS Senior Notes 3.54% (3 ML+1.25%) due 03/26/2021 | 3,560,000 | 3,563,982 |
254
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Insurance-Multi-line (continued) | |||||||||||
Assurant, Inc. Senior Notes 4.90% due 03/27/2028 | $ | 188,000 | $ | 192,276 | |||||||
Assurant, Inc. Senior Notes 6.75% due 02/15/2034 | 132,000 | 159,123 | |||||||||
Hartford Financial Services Group, Inc. Senior Notes 4.40% due 03/15/2048 | 155,000 | 158,175 | |||||||||
Metropolitan Life Global Funding I Sec. Notes 2.30% due 04/10/2019* | 355,000 | 353,335 | |||||||||
4,426,891 | |||||||||||
Insurance-Mutual — 0.1% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 4.50% due 04/15/2065* | 63,000 | 60,890 | |||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 149,000 | 234,160 | |||||||||
MassMutual Global Funding II Senior Sec. Notes 2.75% due 06/22/2024* | 200,000 | 193,135 | |||||||||
New York Life Global Funding Sec. Notes 1.95% due 09/28/2020* | 366,000 | 357,154 | |||||||||
845,339 | |||||||||||
Insurance-Property/Casualty — 0.0% | |||||||||||
Markel Corp. Senior Notes 4.30% due 11/01/2047 | 122,000 | 119,215 | |||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Berkshire Hathaway, Inc. Senior Notes 1.15% due 08/15/2018 | 152,000 | 151,262 | |||||||||
Internet Connectivity Services — 0.0% | |||||||||||
Cogent Communications Group, Inc. Senior Sec. Notes 5.38% due 03/01/2022* | 135,000 | 138,037 | |||||||||
Zayo Group LLC/ Zayo Capital, Inc. Company Guar. Notes 6.38% due 05/15/2025 | 80,000 | 82,800 | |||||||||
220,837 | |||||||||||
Internet Content-Entertainment — 0.0% | |||||||||||
Netflix, Inc. Senior Notes 5.88% due 02/15/2025 | 106,000 | 111,035 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Caterpillar Financial Services Corp. Senior Notes 1.85% due 09/04/2020 | $ | 218,000 | $ | 212,830 | |||||||
Caterpillar Financial Services Corp. Senior Notes 2.55% due 11/29/2022 | 139,000 | 135,041 | |||||||||
347,871 | |||||||||||
Machinery-Electrical — 0.0% | |||||||||||
ABB Finance USA, Inc. Company Guar. Notes 3.38% due 04/03/2023 | 100,000 | 100,262 | |||||||||
ABB Finance USA, Inc. Company Guar. Notes 3.80% due 04/03/2028 | 126,000 | 127,196 | |||||||||
227,458 | |||||||||||
Machinery-Farming — 0.0% | |||||||||||
CNH Industrial Capital LLC Company Guar. Notes 4.38% due 04/05/2022 | 112,000 | 113,400 | |||||||||
John Deere Capital Corp. Senior Notes 2.35% due 01/08/2021 | 167,000 | 164,400 | |||||||||
277,800 | |||||||||||
Machinery-Thermal Process — 0.0% | |||||||||||
Cleaver-Brooks, Inc. Senior Sec. Notes 7.88% due 03/01/2023* | 82,000 | 85,177 | |||||||||
Marine Services — 0.0% | |||||||||||
Great Lakes Dredge & Dock Corp. Company Guar. Notes 8.00% due 05/15/2022 | 120,000 | 123,000 | |||||||||
Medical Instruments — 0.1% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 1,319,000 | 1,320,813 | |||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Laboratory Corp. of America Holdings Senior Notes 3.20% due 02/01/2022 | 50,000 | 49,759 | |||||||||
Laboratory Corp. of America Holdings Senior Notes 3.25% due 09/01/2024 | 93,000 | 90,577 | |||||||||
Roche Holdings, Inc. Company Guar. Notes 1.75% due 01/28/2022* | 204,000 | 195,237 | |||||||||
Roche Holdings, Inc. Company Guar. Notes 2.25% due 09/30/2019* | 278,000 | 276,572 | |||||||||
612,145 |
255
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical Products — 0.3% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | $ | 2,340,000 | $ | 2,252,247 | |||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 1,345,000 | 1,298,566 | |||||||||
3,550,813 | |||||||||||
Medical-Biomedical/Gene — 0.3% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 1,377,000 | 1,343,570 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 80,000 | 79,754 | |||||||||
Celgene Corp. Senior Notes 3.63% due 05/15/2024 | 158,000 | 155,997 | |||||||||
Celgene Corp. Senior Notes 4.55% due 02/20/2048 | 197,000 | 193,123 | |||||||||
Celgene Corp. Senior Notes 4.63% due 05/15/2044 | 495,000 | 493,647 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022 | 310,000 | 310,294 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.70% due 04/01/2024 | 515,000 | 517,298 | |||||||||
3,093,683 | |||||||||||
Medical-Drugs — 0.2% | |||||||||||
AbbVie, Inc. Senior Notes 2.00% due 11/06/2018 | 940,000 | 936,377 | |||||||||
Endo Finance LLC/ Endo Finco, Inc. Company Guar. Notes 5.38% due 01/15/2023* | 100,000 | 75,750 | |||||||||
Wyeth LLC Company Guar. Notes 6.50% due 02/01/2034 | 750,000 | 993,642 | |||||||||
2,005,769 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048* | 424,000 | 427,837 | |||||||||
Medical-HMO — 0.5% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 375,000 | 360,317 | |||||||||
Anthem, Inc. Senior Notes 2.30% due 07/15/2018 | 500,000 | 499,570 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Medical-HMO (continued) | |||||||||||
Anthem, Inc. Senior Notes 3.50% due 08/15/2024 | $ | 785,000 | $ | 769,773 | |||||||
Anthem, Inc. Senior Notes 4.63% due 05/15/2042 | 400,000 | 405,254 | |||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 780,000 | 841,626 | |||||||||
Coventry Health Care, Inc. Senior Notes 5.45% due 06/15/2021 | 80,000 | 84,776 | |||||||||
Humana, Inc. Senior Notes 2.50% due 12/15/2020 | 365,000 | 358,005 | |||||||||
UnitedHealth Group, Inc. Senior Notes 1.95% due 10/15/2020 | 149,000 | 145,561 | |||||||||
UnitedHealth Group, Inc. Senior Notes 2.13% due 03/15/2021 | 158,000 | 154,069 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022 | 111,000 | 111,572 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 385,000 | 389,972 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.25% due 04/15/2047 | 130,000 | 132,810 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045 | 800,000 | 880,370 | |||||||||
5,133,675 | |||||||||||
Medical-Hospitals — 0.2% | |||||||||||
Dignity Health Sec. Notes 2.64% due 11/01/2019 | 2,115,000 | 2,105,980 | |||||||||
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026 | 80,000 | 81,040 | |||||||||
Tenet Healthcare Corp. Senior Sec. Notes 4.63% due 07/15/2024* | 71,000 | 68,249 | |||||||||
Tenet Healthcare Corp. Senior Notes 6.75% due 06/15/2023 | 100,000 | 97,875 | |||||||||
2,353,144 | |||||||||||
Medical-Wholesale Drug Distribution — 0.3% | |||||||||||
Allergan Sales LLC Company Guar. Notes 4.88% due 02/15/2021* | 85,000 | 87,851 | |||||||||
Cardinal Health, Inc. Senior Notes 1.95% due 06/15/2018 | 720,000 | 719,168 |
256
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Wholesale Drug Distribution (continued) | |||||||||||
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022 | $ | 2,245,000 | $ | 2,170,237 | |||||||
2,977,256 | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
Grinding Media, Inc./ Moly-Cop AltaSteel, Ltd. Senior Sec. Notes 7.38% due 12/15/2023* | 93,000 | 97,650 | |||||||||
Novelis Corp. Company Guar. Notes 5.88% due 09/30/2026* | 40,000 | 39,200 | |||||||||
Novelis Corp. Company Guar. Notes 6.25% due 08/15/2024* | 59,000 | 60,475 | |||||||||
197,325 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
Freeport-McMoRan Copper & Gold, Inc. Company Guar. Notes 3.88% due 03/15/2023 | 99,000 | 95,674 | |||||||||
Metal-Diversified — 0.0% | |||||||||||
Glencore Funding LLC Company Guar. Notes 3.88% due 10/27/2027* | 89,000 | 84,422 | |||||||||
Glencore Funding LLC Company Guar. Notes 4.00% due 03/27/2027* | 46,000 | 44,407 | |||||||||
128,829 | |||||||||||
Metal-Iron — 0.0% | |||||||||||
Cliffs Natural Resources, Inc. Company Guar. Notes 5.75% due 03/01/2025* | 75,000 | 71,625 | |||||||||
Multimedia — 0.7% | |||||||||||
21st Century Fox America, Inc. Company Guar. Notes 3.00% due 09/15/2022 | 380,000 | 375,389 | |||||||||
21st Century Fox America, Inc. Company Guar. Notes 6.15% due 02/15/2041 | 470,000 | 591,438 | |||||||||
21st Century Fox America, Inc. Company Guar. Notes 6.40% due 12/15/2035 | 150,000 | 189,509 | |||||||||
21st Century Fox America, Inc. Company Guar. Notes 6.90% due 03/01/2019 | 150,000 | 155,472 | |||||||||
21st Century Fox America, Inc. Company Guar. Notes 7.28% due 06/30/2028 | 95,000 | 119,364 | |||||||||
Time Warner, Inc. Company Guar. Notes 2.95% due 07/15/2026 | 545,000 | 499,135 | |||||||||
Time Warner, Inc. Company Guar. Notes 3.80% due 02/15/2027 | 1,605,000 | 1,551,762 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Multimedia (continued) | |||||||||||
Time Warner, Inc. Company Guar. Notes 4.85% due 07/15/2045 | $ | 44,000 | $ | 44,967 | |||||||
Time Warner, Inc. Company Guar. Notes 4.88% due 03/15/2020 | 860,000 | 889,215 | |||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 2,550,000 | 2,587,967 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 870,000 | 779,620 | |||||||||
7,783,838 | |||||||||||
Networking Products — 0.1% | |||||||||||
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021 | 710,000 | 697,162 | |||||||||
Office Automation & Equipment — 0.1% | |||||||||||
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023 | 1,440,000 | 1,350,000 | �� | ||||||||
Oil Companies-Exploration & Production — 0.8% | |||||||||||
Anadarko Petroleum Corp. Senior Notes 3.45% due 07/15/2024 | 850,000 | 825,215 | |||||||||
Anadarko Petroleum Corp. Senior Notes 4.50% due 07/15/2044 | 115,000 | 110,369 | |||||||||
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026 | 415,000 | 453,034 | |||||||||
Anadarko Petroleum Corp. Senior Notes 6.45% due 09/15/2036 | 201,000 | 240,992 | |||||||||
Anadarko Petroleum Corp. Senior Notes 6.60% due 03/15/2046 | 200,000 | 251,459 | |||||||||
Carrizo Oil & Gas, Inc. Company Guar. Notes 6.25% due 04/15/2023 | 90,000 | 90,000 | |||||||||
Concho Resources, Inc. Company Guar. Notes 4.38% due 01/15/2025 | 98,000 | 99,281 | |||||||||
Continental Resources, Inc. Company Guar. Notes 3.80% due 06/01/2024 | 75,000 | 72,188 | |||||||||
Continental Resources, Inc. Senior Notes 4.38% due 01/15/2028* | 1,847,000 | 1,800,825 | |||||||||
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022 | 75,000 | 76,031 | |||||||||
Devon Energy Corp. Senior Notes 5.00% due 06/15/2045 | 77,000 | 81,838 |
257
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Devon Energy Corp. Senior Notes 5.60% due 07/15/2041 | $ | 78,000 | $ | 87,811 | |||||||
Endeavor Energy Resources LP/ EER Finance, Inc. Senior Notes 5.50% due 01/30/2026* | 75,000 | 74,625 | |||||||||
Hess Corp. Senior Notes 4.30% due 04/01/2027 | 970,000 | 949,365 | |||||||||
Hess Corp. Senior Notes 5.60% due 02/15/2041 | 198,000 | 202,245 | |||||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 150,000 | 179,890 | |||||||||
Hess Corp. Senior Notes 7.88% due 10/01/2029 | 230,000 | 281,749 | |||||||||
Hilcorp Energy I LP/ Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024* | 119,000 | 117,215 | |||||||||
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024 | 375,000 | 433,142 | |||||||||
Marathon Oil Corp. Senior Notes 2.70% due 06/01/2020 | 215,000 | 211,819 | |||||||||
Marathon Oil Corp. Senior Notes 4.40% due 07/15/2027 | 687,000 | 697,545 | |||||||||
Marathon Oil Corp. Senior Notes 6.60% due 10/01/2037 | 212,000 | 255,723 | |||||||||
Newfield Exploration Co. Senior Notes 5.38% due 01/01/2026 | 90,000 | 92,925 | |||||||||
QEP Resources, Inc. Senior Notes 5.63% due 03/01/2026 | 55,000 | 51,975 | |||||||||
Sanchez Energy Corp. Company Guar. Notes 6.13% due 01/15/2023 | 115,000 | 83,878 | |||||||||
Southwestern Energy Co. Senior Notes 7.50% due 04/01/2026 | 75,000 | 75,750 | |||||||||
WPX Energy, Inc. Senior Notes 7.50% due 08/01/2020 | 51,000 | 54,570 | |||||||||
7,951,459 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
Chevron Corp. Senior Notes 1.99% due 03/03/2020 | 349,000 | 345,055 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Oil Companies-Integrated (continued) | |||||||||||
Chevron Corp. Senior Notes 2.50% due 03/03/2022 | $ | 209,000 | $ | 205,588 | |||||||
550,643 | |||||||||||
Oil Field Machinery & Equipment — 0.0% | |||||||||||
Forum Energy Technologies, Inc. Company Guar. Notes 6.25% due 10/01/2021 | 94,000 | 93,060 | |||||||||
Oil Refining & Marketing — 0.3% | |||||||||||
Andeavor Senior Notes 3.80% due 04/01/2028 | 540,000 | 515,124 | |||||||||
Andeavor Senior Notes 4.50% due 04/01/2048 | 62,000 | 58,001 | |||||||||
Murphy Oil USA, Inc. Company Guar. Notes 5.63% due 05/01/2027 | 23,000 | 23,057 | |||||||||
PBF Holding Co. LLC/ PBF Finance Corp. Company Guar. Notes 7.25% due 06/15/2025 | 137,000 | 142,309 | |||||||||
Phillips 66 Company Guar. Notes 3.90% due 03/15/2028 | 1,351,000 | 1,346,103 | |||||||||
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026 | 1,240,000 | 1,189,754 | |||||||||
3,274,348 | |||||||||||
Oil-Field Services — 0.0% | |||||||||||
Halliburton Co. Senior Notes 4.85% due 11/15/2035 | 58,000 | 62,460 | |||||||||
Pioneer Energy Services Corp. Company Guar. Notes 6.13% due 03/15/2022 | 100,000 | 86,750 | |||||||||
USA Compression Partners LP/ USA Compression Finance Corp. Senior Notes 6.88% due 04/01/2026* | 64,000 | 64,960 | |||||||||
214,170 | |||||||||||
Paper & Related Products — 0.1% | |||||||||||
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044 | 130,000 | 145,065 | |||||||||
Georgia-Pacific LLC Senior Notes 3.60% due 03/01/2025* | 163,000 | 163,979 | |||||||||
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023* | 396,000 | 403,755 | |||||||||
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020* | 127,000 | 134,262 |
258
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Paper & Related Products (continued) | |||||||||||
International Paper Co. Senior Notes 5.00% due 09/15/2035 | $ | 84,000 | $ | 89,576 | |||||||
International Paper Co. Senior Notes 7.30% due 11/15/2039 | 115,000 | 150,643 | |||||||||
1,087,280 | |||||||||||
Petrochemicals — 0.0% | |||||||||||
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP Senior Notes 3.30% due 05/01/2023* | 145,000 | 145,558 | |||||||||
Pharmacy Services — 0.9% | |||||||||||
CVS Health Corp. Senior Notes 2.80% due 07/20/2020 | 4,539,000 | 4,506,608 | |||||||||
CVS Health Corp. Senior Notes 3.13% due 03/09/2020 | 1,505,000 | 1,506,518 | |||||||||
CVS Health Corp. Senior Notes 4.10% due 03/25/2025 | 765,000 | 770,393 | |||||||||
CVS Health Corp. Senior Notes 4.78% due 03/25/2038 | 203,000 | 205,746 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 849,000 | 892,967 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 1,140,000 | 1,209,167 | |||||||||
CVS Pass-Through Trust Pass-Through Certs. 4.70% due 01/10/2036* | 84,535 | 83,960 | |||||||||
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033* | 59,881 | 63,859 | |||||||||
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034* | 110,245 | 121,147 | |||||||||
9,360,365 | |||||||||||
Physicians Practice Management — 0.0% | |||||||||||
MEDNAX, Inc. Company Guar. Notes 5.25% due 12/01/2023* | 155,000 | 155,775 | |||||||||
Pipelines — 1.3% | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 3.50% due 12/01/2022 | 182,000 | 178,854 | |||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027 | 1,045,000 | 1,018,749 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.20% due 12/01/2047 | $ | 191,000 | $ | 188,054 | |||||||
Antero Midstream Partners LP/ Antero Midstream Finance Corp. Company Guar. Notes 5.38% due 09/15/2024 | 85,000 | 85,638 | |||||||||
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.13% due 06/30/2027 | 190,000 | 188,575 | |||||||||
Cheniere Energy Partners LP Senior Sec. Notes 5.25% due 10/01/2025* | 105,000 | 103,556 | |||||||||
Duke Energy Field Services LLC Company Guar. Notes 6.45% due 11/03/2036* | 75,000 | 80,625 | |||||||||
Energy Transfer Equity LP Senior Sec. Notes 4.25% due 03/15/2023 | 95,000 | 92,150 | |||||||||
Energy Transfer Partners LP Senior Notes 4.90% due 03/15/2035 | 54,000 | 50,942 | |||||||||
Energy Transfer Partners LP Senior Notes 5.15% due 02/01/2043 | 260,000 | 237,424 | |||||||||
Energy Transfer Partners LP Senior Notes 6.05% due 06/01/2041 | 23,000 | 23,330 | |||||||||
Energy Transfer Partners LP Senior Notes 6.63% due 10/15/2036 | 270,000 | 298,855 | |||||||||
EnLink Midstream Partners LP Senior Notes 4.85% due 07/15/2026 | 146,000 | 147,508 | |||||||||
EnLink Midstream Partners LP Senior Notes 5.05% due 04/01/2045 | 153,000 | 142,269 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.25% due 02/15/2048 | 182,000 | 177,386 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 5.95% due 02/01/2041 | 140,000 | 165,984 | |||||||||
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 5.63% due 06/15/2024 | 74,000 | 69,745 | |||||||||
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 6.00% due 05/15/2023 | 70,000 | 68,950 | |||||||||
Holly Energy Partners LP/ Holly Energy Finance Corp. Company Guar. Notes 6.00% due 08/01/2024* | 98,000 | 99,960 |
259
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Kinder Morgan Energy Partners LP Company Guar. Notes 5.00% due 08/15/2042 | $ | 770,000 | $ | 744,407 | |||||||
Kinder Morgan, Inc. Company Guar. Notes 5.00% due 02/15/2021* | 115,000 | 119,405 | |||||||||
Kinder Morgan, Inc. Company Guar. Notes 5.63% due 11/15/2023* | 620,000 | 663,358 | |||||||||
MPLX LP Senior Notes 4.00% due 03/15/2028 | 420,000 | 413,916 | |||||||||
MPLX LP Senior Notes 4.13% due 03/01/2027 | 658,000 | 651,948 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 378,000 | 368,209 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 310,000 | 323,947 | |||||||||
NGPL PipeCo LLC Senior Notes 4.38% due 08/15/2022* | 176,000 | 174,900 | |||||||||
ONEOK, Inc. Company Guar. Notes 4.00% due 07/13/2027 | 184,000 | 181,272 | |||||||||
Phillips 66 Partners LP Senior Notes 4.90% due 10/01/2046 | 69,000 | 69,267 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 615,000 | 606,055 | |||||||||
SemGroup Corp. Company Guar. Notes 7.25% due 03/15/2026 | 107,000 | 106,732 | |||||||||
SemGroup Corp./ Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022 | 87,000 | 84,390 | |||||||||
SemGroup Corp./ Rose Rock Finance Corp. Company Guar. Notes 5.63% due 11/15/2023 | 37,000 | 34,965 | |||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. Company Guar. Notes 5.50% due 08/15/2022 | 68,000 | 66,300 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027 | 325,000 | 307,881 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.25% due 04/01/2024 | 320,000 | 318,188 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 5.30% due 04/01/2044 | $ | 55,000 | $ | 51,160 | |||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 5.35% due 05/15/2045 | 55,000 | 51,238 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 5.40% due 10/01/2047 | 1,185,000 | 1,128,910 | |||||||||
Tallgrass Energy Partners LP/ Tallgrass Energy Finance Corp. Company Guar. Notes 5.50% due 09/15/2024* | 89,000 | 90,558 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 980,000 | 941,180 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 275,000 | 262,571 | |||||||||
Valero Energy Partners LP Senior Notes 4.50% due 03/15/2028 | 1,065,000 | 1,071,248 | |||||||||
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028 | 900,000 | 901,833 | |||||||||
Western Gas Partners LP Senior Notes 4.65% due 07/01/2026 | 156,000 | 157,931 | |||||||||
Williams Cos., Inc. Senior Notes 3.70% due 01/15/2023 | 313,000 | 304,392 | |||||||||
Williams Partners LP Senior Notes 5.10% due 09/15/2045 | 131,000 | 132,954 | |||||||||
13,747,669 | |||||||||||
Poultry — 0.0% | |||||||||||
Pilgrim's Pride Corp. Senior Notes 5.88% due 09/30/2027* | 90,000 | 84,807 | |||||||||
Publishing-Books — 0.0% | |||||||||||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance Senior Notes 7.88% due 05/15/2024* | 90,000 | 86,042 | |||||||||
Racetracks — 0.0% | |||||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026 | 120,000 | 121,800 | |||||||||
Radio — 0.0% | |||||||||||
Sirius XM Radio, Inc. Company Guar. Notes 5.38% due 07/15/2026* | 120,000 | 118,500 |
260
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Real Estate Investment Trusts — 0.2% | |||||||||||
American Tower Corp. Senior Notes 3.45% due 09/15/2021 | $ | 295,000 | $ | 295,568 | |||||||
Brandywine Operating Partnership LP Company Guar. Notes 3.95% due 11/15/2027 | 86,000 | 83,423 | |||||||||
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023 | 735,000 | 711,902 | |||||||||
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024 | 425,000 | 407,487 | |||||||||
CTR Partnership LP/ CareTrust Capital Corp. Company Guar. Notes 5.25% due 06/01/2025 | 111,000 | 111,000 | |||||||||
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025* | 125,000 | 121,600 | |||||||||
GEO Group, Inc. Company Guar. Notes 5.13% due 04/01/2023 | 85,000 | 83,937 | |||||||||
Goodman US Finance Three LLC Company Guar. Notes 4.50% due 10/15/2037* | 75,000 | 74,731 | |||||||||
Iron Mountain, Inc. Company Guar. Notes 4.88% due 09/15/2027* | 90,000 | 83,475 | |||||||||
iStar, Inc. Senior Notes 5.25% due 09/15/2022 | 106,000 | 102,555 | |||||||||
iStar, Inc. Senior Notes 6.00% due 04/01/2022 | 48,000 | 48,120 | |||||||||
Life Storage LP Company Guar. Notes 3.88% due 12/15/2027 | 61,000 | 58,750 | |||||||||
MPT Operating Partnership LP/MPT Finance Corp. Company Guar. Notes 5.00% due 10/15/2027 | 118,000 | 115,675 | |||||||||
Starwood Property Trust, Inc. Senior Notes 4.75% due 03/15/2025* | 125,000 | 121,875 | |||||||||
VICI Properties 1 LLC/ VICI FC, Inc. Sec. Notes 8.00% due 10/15/2023 | 1,812 | 2,007 | |||||||||
2,422,105 | |||||||||||
Real Estate Management/Services — 0.0% | |||||||||||
Kennedy-Wilson, Inc. Company Guar. Notes 5.88% due 04/01/2024 | 135,000 | 133,819 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Real Estate Management/Services (continued) | |||||||||||
Realogy Group LLC/ Realogy Co-Issuer Corp. Company Guar. Notes 4.88% due 06/01/2023* | $ | 145,000 | $ | 138,837 | |||||||
272,656 | |||||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
Greystar Real Estate Partners LLC Senior Sec. Notes 5.75% due 12/01/2025* | 85,000 | 84,787 | |||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
Ahern Rentals, Inc. Sec. Notes 7.38% due 05/15/2023* | 180,000 | 174,600 | |||||||||
Retail-Appliances — 0.0% | |||||||||||
Conn's, Inc. Company Guar. Notes 7.25% due 07/15/2022 | 113,000 | 112,152 | |||||||||
Retail-Auto Parts — 0.0% | |||||||||||
O'Reilly Automotive, Inc. Senior Notes 3.60% due 09/01/2027 | 132,000 | 127,902 | |||||||||
Retail-Automobile — 0.0% | |||||||||||
Asbury Automotive Group, Inc. Company Guar. Notes 6.00% due 12/15/2024 | 84,000 | 85,470 | |||||||||
AutoNation, Inc. Company Guar. Notes 3.80% due 11/15/2027 | 189,000 | 180,920 | |||||||||
266,390 | |||||||||||
Retail-Building Products — 0.1% | |||||||||||
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056 | 425,000 | 379,508 | |||||||||
Home Depot, Inc. Senior Notes 5.88% due 12/16/2036 | 230,000 | 295,571 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046 | 215,000 | 199,906 | |||||||||
874,985 | |||||||||||
Retail-Discount — 0.0% | |||||||||||
Wal-Mart Stores, Inc. Senior Notes 1.90% due 12/15/2020 | 363,000 | 355,925 | |||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Arch Merger Sub, Inc. Company Guar. Notes 8.50% due 09/15/2025* | 185,000 | 171,125 | |||||||||
Retail-Pawn Shops — 0.0% | |||||||||||
FirstCash, Inc. Company Guar. Notes 5.38% due 06/01/2024* | 62,000 | 62,989 |
261
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Retail-Restaurants — 0.1% | |||||||||||
Brinker International, Inc. Company Guar. Notes 5.00% due 10/01/2024* | $ | 72,000 | $ | 70,560 | |||||||
Darden Restaurants, Inc. Senior Notes 4.55% due 02/15/2048 | 35,000 | 34,851 | |||||||||
Golden Nugget, Inc. Company Guar. Notes 8.75% due 10/01/2025* | 125,000 | 129,688 | |||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 955,000 | 960,289 | |||||||||
McDonald's Corp. Senior Notes 4.88% due 12/09/2045 | 50,000 | 54,407 | |||||||||
1,249,795 | |||||||||||
Satellite Telecom — 0.0% | |||||||||||
Hughes Satellite Systems Corp. Senior Sec. Notes 5.25% due 08/01/2026 | 105,000 | 102,900 | |||||||||
Hughes Satellite Systems Corp. Company Guar. Notes 6.63% due 08/01/2026 | 25,000 | 24,875 | |||||||||
127,775 | |||||||||||
Savings & Loans/Thrifts — 0.1% | |||||||||||
Astoria Financial Corp. Senior Notes 3.50% due 06/08/2020 | 299,000 | 297,758 | |||||||||
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020 | 541,000 | 576,790 | |||||||||
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021 | 332,000 | 373,108 | |||||||||
1,247,656 | |||||||||||
Semiconductor Components-Integrated Circuits — 0.1% | |||||||||||
QUALCOMM, Inc. Senior Notes 2.10% due 05/20/2020 | 169,000 | 167,073 | |||||||||
QUALCOMM, Inc. Senior Notes 4.30% due 05/20/2047 | 399,000 | 386,608 | |||||||||
553,681 | |||||||||||
Semiconductor Equipment — 0.1% | |||||||||||
Applied Materials, Inc. Senior Notes 3.30% due 04/01/2027 | 220,000 | 216,173 | |||||||||
Applied Materials, Inc. Senior Notes 4.35% due 04/01/2047 | 155,000 | 164,848 | |||||||||
381,021 | |||||||||||
Steel-Producers — 0.1% | |||||||||||
AK Steel Corp. Company Guar. Notes 6.38% due 10/15/2025 | 75,000 | 70,688 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Steel-Producers (continued) | |||||||||||
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025 | $ | 205,000 | $ | 195,262 | |||||||
United States Steel Corp. Senior Notes 6.25% due 03/15/2026 | 43,000 | 42,893 | |||||||||
United States Steel Corp. Senior Notes 6.88% due 08/15/2025 | 75,000 | 77,062 | |||||||||
385,905 | |||||||||||
Telecom Services — 0.0% | |||||||||||
Embarq Corp. Senior Notes 8.00% due 06/01/2036 | 120,000 | 113,100 | |||||||||
Telecommunication Equipment — 0.0% | |||||||||||
Plantronics, Inc. Company Guar. Notes 5.50% due 05/31/2023* | 44,000 | 43,617 | |||||||||
Telephone-Integrated — 1.6% | |||||||||||
AT&T, Inc. Senior Notes 2.85% due 02/14/2023 | 230,000 | 231,067 | |||||||||
AT&T, Inc. Senior Notes 4.10% due 02/15/2028* | 765,000 | 759,589 | |||||||||
AT&T, Inc. Senior Notes 4.25% due 03/01/2027 | 355,000 | 358,863 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030* | 2,353,000 | 2,339,560 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 06/15/2045 | 192,000 | 175,455 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 249,000 | 244,556 | |||||||||
AT&T, Inc. Senior Notes 4.55% due 03/09/2049 | 999,000 | 933,688 | |||||||||
AT&T, Inc. Senior Notes 4.75% due 05/15/2046 | 384,000 | 372,958 | |||||||||
AT&T, Inc. Senior Notes 4.90% due 08/14/2037 | 692,000 | 695,907 | |||||||||
AT&T, Inc. Senior Notes 5.15% due 03/15/2042 | 735,000 | 757,244 | |||||||||
AT&T, Inc. Senior Notes 5.15% due 02/14/2050 | 2,300,000 | 2,323,394 | |||||||||
AT&T, Inc. Senior Notes 5.30% due 08/14/2058 | 209,000 | 210,747 |
262
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Telephone-Integrated (continued) | |||||||||||
CenturyLink, Inc. Senior Notes 5.80% due 03/15/2022 | $ | 95,000 | $ | 92,744 | |||||||
Citizens Communications Co. Senior Notes 9.00% due 08/15/2031 | 115,000 | 69,863 | |||||||||
Verizon Communications, Inc. Senior Notes 3.38% due 02/15/2025 | 100,000 | 98,291 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 825,000 | 789,743 | |||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | 79,000 | 78,021 | |||||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 1,850,000 | 1,872,796 | |||||||||
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048 | 660,000 | 635,936 | |||||||||
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039 | 1,115,000 | 1,139,424 | |||||||||
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046 | 250,000 | 252,294 | |||||||||
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054 | 630,000 | 629,911 | |||||||||
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037 | 1,859,000 | 2,004,578 | |||||||||
17,066,629 | |||||||||||
Television — 0.0% | |||||||||||
Belo Corp. Company Guar. Notes 7.75% due 06/01/2027 | 87,000 | 96,135 | |||||||||
Theaters — 0.0% | |||||||||||
Live Nation Entertainment, Inc. Company Guar. Notes 5.63% due 03/15/2026* | 45,000 | 45,562 | |||||||||
Tobacco — 0.7% | |||||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 570,000 | 532,549 | |||||||||
Altria Group, Inc. Company Guar. Notes 9.25% due 08/06/2019 | 31,000 | 33,603 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020* | 3,665,000 | 3,593,350 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037* | 1,505,000 | 1,495,368 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Tobacco (continued) | |||||||||||
Philip Morris International, Inc. Senior Notes 4.13% due 03/04/2043 | $ | 825,000 | $ | 810,664 | |||||||
Reynolds American, Inc. Company Guar. Notes 3.25% due 06/12/2020 | 1,096,000 | 1,096,105 | |||||||||
7,561,639 | |||||||||||
Transport-Equipment & Leasing — 0.0% | |||||||||||
GATX Corp. Senior Notes 3.25% due 09/15/2026 | 134,000 | 125,969 | |||||||||
GATX Corp. Senior Notes 3.50% due 03/15/2028 | 30,000 | 28,457 | |||||||||
GATX Corp. Senior Notes 3.85% due 03/30/2027 | 44,000 | 43,199 | |||||||||
197,625 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
Kirby Corp. Senior Notes 4.20% due 03/01/2028 | 153,000 | 153,052 | |||||||||
Transport-Rail — 0.3% | |||||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 1,960,000 | 1,873,443 | |||||||||
Norfolk Southern Corp. Senior Notes 2.90% due 06/15/2026 | 840,000 | 799,463 | |||||||||
2,672,906 | |||||||||||
Transport-Services — 0.1% | |||||||||||
FedEx Corp. Company Guar. Notes 4.05% due 02/15/2048 | 675,000 | 633,758 | |||||||||
FedEx Corp. Company Guar. Notes 4.10% due 02/01/2045 | 480,000 | 454,350 | |||||||||
FedEx Corp. Company Guar. Notes 4.40% due 01/15/2047 | 245,000 | 241,916 | |||||||||
1,330,024 | |||||||||||
Travel Services — 0.0% | |||||||||||
Sabre GLBL, Inc. Senior Sec. Notes 5.38% due 04/15/2023* | 113,000 | 113,989 | |||||||||
Trucking/Leasing — 0.1% | |||||||||||
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 3.95% due 03/10/2025* | 242,000 | 242,519 | |||||||||
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.88% due 07/11/2022* | 1,060,000 | 1,115,616 | |||||||||
1,358,135 | |||||||||||
Total U.S. Corporate Bonds & Notes (cost $287,426,616) | 285,912,009 |
263
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES — 6.6% | |||||||||||
Aerospace/Defense-Equipment — 0.0% | |||||||||||
Airbus Finance BV Company Guar. Notes 2.70% due 04/17/2023* | $ | 155,000 | $ | 151,562 | |||||||
Agricultural Chemicals — 0.0% | |||||||||||
Agrium, Inc. Senior Notes 4.90% due 06/01/2043 | 200,000 | 208,043 | |||||||||
Consolidated Energy Finance SA Senior Notes 6.88% due 06/15/2025* | 150,000 | 157,125 | |||||||||
365,168 | |||||||||||
Airport Development/Maintenance — 0.1% | |||||||||||
Mexico City Airport Trust Senior Sec. Notes 3.88% due 04/30/2028* | 630,000 | 578,101 | |||||||||
Auto-Cars/Light Trucks — 0.0% | |||||||||||
Hyundai Capital Services, Inc. Senior Notes 3.00% due 08/29/2022* | 201,000 | 195,252 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.1% | |||||||||||
Delphi Jersey Holdings PLC Company Guar. Notes 5.00% due 10/01/2025* | 95,000 | 91,081 | |||||||||
Toyota Industries Corp. Senior Notes 3.24% due 03/16/2023* | 529,000 | 527,876 | |||||||||
618,957 | |||||||||||
Banks-Commercial — 0.9% | |||||||||||
Bank of Montreal Sub. Notes 3.80% due 12/15/2032 | 130,000 | 123,158 | |||||||||
Bank of Nova Scotia Senior Notes 2.50% due 01/08/2021 | 209,000 | 205,872 | |||||||||
Barclays Bank PLC Senior Notes 2.65% due 01/11/2021 | 2,450,000 | 2,414,946 | |||||||||
BPCE SA Senior Notes 2.75% due 01/11/2023* | 940,000 | 907,391 | |||||||||
BPCE SA Company Guar. Notes 3.00% due 05/22/2022* | 345,000 | 337,905 | |||||||||
BPCE SA Sub. Notes 4.50% due 03/15/2025* | 255,000 | 256,052 | |||||||||
Canadian Imperial Bank of Commerce Senior Notes 2.10% due 10/05/2020 | 357,000 | 348,935 | |||||||||
Credit Suisse AG Senior Notes 3.00% due 10/29/2021 | 550,000 | 544,573 | |||||||||
DBS Group Holdings, Ltd. Senior Notes 2.25% due 07/16/2019* | 260,000 | 258,210 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Banks-Commercial (continued) | |||||||||||
ICICI Bank, Ltd. Senior Notes 5.75% due 11/16/2020 | $ | 150,000 | $ | 158,001 | |||||||
Intesa Sanpaolo SpA Senior Notes 3.38% due 01/12/2023* | 485,000 | 473,475 | |||||||||
Intesa Sanpaolo SpA Senior Notes 3.88% due 01/12/2028* | 675,000 | 636,642 | |||||||||
Intesa Sanpaolo SpA Sub. Notes 5.71% due 01/15/2026* | 265,000 | 265,945 | |||||||||
Royal Bank of Canada Senior Notes 2.15% due 10/26/2020 | 2,500,000 | 2,445,585 | |||||||||
Toronto-Dominion Bank Senior Notes 1.85% due 09/11/2020 | 253,000 | 246,222 | |||||||||
9,622,912 | |||||||||||
Building Societies — 0.0% | |||||||||||
Nationwide Building Society Sub. Notes 4.13% due 10/18/2032* | 250,000 | 237,635 | |||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Mattamy Group Corp. Senior Notes 6.50% due 10/01/2025* | 109,000 | 110,090 | |||||||||
Cable/Satellite TV — 0.1% | |||||||||||
Altice Financing SA Senior Sec. Notes 7.50% due 05/15/2026* | 200,000 | 196,000 | |||||||||
SFR Group SA Senior Sec. Notes 7.38% due 05/01/2026* | 400,000 | 381,000 | |||||||||
Sky PLC Company Guar. Notes 2.63% due 09/16/2019* | 765,000 | 761,778 | |||||||||
Ziggo Secured Finance BV Senior Sec. Notes 5.50% due 01/15/2027* | 150,000 | 140,957 | |||||||||
1,479,735 | |||||||||||
Chemicals-Diversified — 0.1% | |||||||||||
LyondellBasell Industries NV Senior Notes 4.63% due 02/26/2055 | 560,000 | 546,763 | |||||||||
NOVA Chemicals Corp. Senior Notes 5.00% due 05/01/2025* | 70,000 | 67,179 | |||||||||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Company Guar. Notes 5.38% due 09/01/2025* | 85,000 | 83,512 | |||||||||
697,454 |
264
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | $ | 755,000 | $ | 745,659 | |||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 300,000 | 299,788 | |||||||||
1,045,447 | |||||||||||
Computers-Memory Devices — 0.0% | |||||||||||
Seagate HDD Cayman Company Guar. Notes 4.75% due 01/01/2025 | 120,000 | 116,881 | |||||||||
Consulting Services — 0.2% | |||||||||||
ACWA Power Management and Investments One, Ltd. Senior Sec. Notes 5.95% due 12/15/2039* | 1,499,000 | 1,544,240 | |||||||||
Cruise Lines — 0.0% | |||||||||||
Silversea Cruise Finance, Ltd. Senior Sec. Notes 7.25% due 02/01/2025* | 150,000 | 158,625 | |||||||||
Diversified Banking Institutions — 1.3% | |||||||||||
Banco Santander SA Senior Notes 3.80% due 02/23/2028 | 800,000 | 772,486 | |||||||||
Barclays PLC Sub. Notes 4.84% due 05/09/2028 | 200,000 | 196,672 | |||||||||
BNP Paribas SA Senior Notes 2.95% due 05/23/2022* | 360,000 | 352,865 | |||||||||
BNP Paribas SA Senior Notes 3.38% due 01/09/2025* | 1,235,000 | 1,194,600 | |||||||||
BNP Paribas SA Senior Notes 3.80% due 01/10/2024* | 240,000 | 239,415 | |||||||||
Credit Agricole SA Sub. Notes 4.00% due 01/10/2033* | 360,000 | 342,606 | |||||||||
Credit Suisse Group AG Senior Notes 4.28% due 01/09/2028* | 357,000 | 357,839 | |||||||||
Deutsche Bank AG Senior Notes 2.70% due 07/13/2020 | 2,035,000 | 1,991,879 | |||||||||
HSBC Holdings PLC Senior Notes 3.03% due 11/22/2023 | 1,630,000 | 1,591,216 | |||||||||
HSBC Holdings PLC Senior Notes 3.26% due 03/13/2023 | 200,000 | 197,399 | |||||||||
HSBC Holdings PLC Senior Notes 3.40% due 03/08/2021 | 1,485,000 | 1,491,888 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
HSBC Holdings PLC Sub. Notes 4.25% due 08/18/2025 | $ | 1,200,000 | $ | 1,190,697 | |||||||
HSBC Holdings PLC Sub. Notes 4.38% due 11/23/2026 | 565,000 | 562,687 | |||||||||
Lloyds Banking Group PLC Company Guar. Notes 4.38% due 03/22/2028 | 209,000 | 211,090 | |||||||||
Macquarie Group, Ltd. Senior Notes 3.76% due 11/28/2028* | 70,000 | 66,067 | |||||||||
Mitsubishi UFJ Financial Group, Inc. Senior Notes 2.67% due 07/25/2022 | 189,000 | 183,111 | |||||||||
Mitsubishi UFJ Financial Group, Inc. Senior Notes 3.78% due 03/02/2025 | 262,000 | 262,232 | |||||||||
Mizuho Financial Group, Inc. Senior Notes 2.27% due 09/13/2021 | 602,000 | 579,542 | |||||||||
Mizuho Financial Group, Inc. Senior Notes 3.55% due 03/05/2023 | 304,000 | 302,498 | |||||||||
UBS AG Senior Notes 2.45% due 12/01/2020* | 860,000 | 844,389 | |||||||||
UniCredit SpA Sub. Notes 5.86% due 06/19/2032* | 560,000 | 568,019 | |||||||||
13,499,197 | |||||||||||
Diversified Financial Services — 0.0% | |||||||||||
GE Capital International Funding Co. ULC Company Guar. Notes 4.42% due 11/15/2035 | 255,000 | 249,275 | |||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Bombardier, Inc. Senior Notes 5.75% due 03/15/2022* | 100,000 | 99,125 | |||||||||
Siemens Financieringsmaatschappij NV Company Guar. Notes 2.20% due 03/16/2020* | 321,000 | 317,228 | |||||||||
416,353 | |||||||||||
Diversified Minerals — 0.2% | |||||||||||
Anglo American Capital PLC Company Guar. Notes 3.75% due 04/10/2022* | 2,005,000 | 1,998,584 | |||||||||
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 4.75% due 05/15/2022* | 76,000 | 75,050 | |||||||||
2,073,634 |
265
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
E-Commerce/Products — 0.2% | |||||||||||
Alibaba Group Holding, Ltd. Senior Notes 3.40% due 12/06/2027 | $ | 1,030,000 | $ | 977,578 | |||||||
Alibaba Group Holding, Ltd. Senior Notes 4.00% due 12/06/2037 | 980,000 | 927,285 | |||||||||
1,904,863 | |||||||||||
Electric-Generation — 0.0% | |||||||||||
Electricite de France SA Senior Notes 2.35% due 10/13/2020* | 208,000 | 204,555 | |||||||||
Electricite de France SA Senior Notes 6.00% due 01/22/2114* | 85,000 | 90,952 | |||||||||
295,507 | |||||||||||
Electric-Integrated — 0.1% | |||||||||||
EDP Finance BV Senior Notes 3.63% due 07/15/2024* | 309,000 | 303,950 | |||||||||
Enel Finance International NV Company Guar. Notes 3.50% due 04/06/2028* | 200,000 | 186,418 | |||||||||
Enel Finance International NV Company Guar. Notes 3.63% due 05/25/2027* | 425,000 | 404,775 | |||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 340,000 | 325,024 | |||||||||
1,220,167 | |||||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
goeasy, Ltd. Company Guar. Notes 7.88% due 11/01/2022* | 100,000 | 107,220 | |||||||||
Finance-Other Services — 0.0% | |||||||||||
Charming Light Investments, Ltd. Company Guar. Notes 4.38% due 12/21/2027 | 400,000 | 381,176 | |||||||||
Gold Mining — 0.0% | |||||||||||
Goldcorp, Inc. Senior Notes 3.70% due 03/15/2023 | 70,000 | 69,611 | |||||||||
Kinross Gold Corp. Company Guar. Notes 4.50% due 07/15/2027* | 127,000 | 124,371 | |||||||||
193,982 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Athene Holding, Ltd. Senior Notes 4.13% due 01/12/2028 | 380,000 | 364,652 | |||||||||
Insurance-Multi-line — 0.0% | |||||||||||
XLIT, Ltd. Company Guar. Notes 5.50% due 03/31/2045 | 133,000 | 145,886 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Insurance-Property/Casualty — 0.0% | |||||||||||
Enstar Group, Ltd. Senior Notes 4.50% due 03/10/2022 | $ | 78,000 | $ | 78,351 | |||||||
Internet Application Software — 0.2% | |||||||||||
Tencent Holdings, Ltd. Senior Notes 2.99% due 01/19/2023* | 1,235,000 | 1,203,561 | |||||||||
Tencent Holdings, Ltd. Senior Notes 3.60% due 01/19/2028* | 495,000 | 476,774 | |||||||||
1,680,335 | |||||||||||
Machinery-Farming — 0.0% | |||||||||||
CNH Industrial NV Senior Notes 3.85% due 11/15/2027 | 177,000 | 171,979 | |||||||||
Machinery-Pumps — 0.0% | |||||||||||
Nvent Finance SARL Company Guar. Notes 4.55% due 04/15/2028* | 126,000 | 126,581 | |||||||||
Medical-Drugs — 0.2% | |||||||||||
AstraZeneca PLC Senior Notes 6.45% due 09/15/2037 | 315,000 | 408,042 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 1,160,000 | 1,120,005 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.88% due 09/23/2023 | 138,000 | 131,746 | |||||||||
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.88% due 05/15/2023* | 235,000 | 207,385 | |||||||||
Valeant Pharmaceuticals International, Inc. Senior Sec. Notes 7.00% due 03/15/2024* | 91,000 | 94,868 | |||||||||
1,962,046 | |||||||||||
Medical-Generic Drugs — 0.3% | |||||||||||
Allergen Funding SCS Company Guar. Notes 3.45% due 03/15/2022 | 1,330,000 | 1,318,629 | |||||||||
Mylan NV Company Guar. Notes 3.00% due 12/15/2018 | 345,000 | 344,995 | |||||||||
Mylan NV Company Guar. Notes 3.15% due 06/15/2021 | 1,320,000 | 1,301,587 | |||||||||
Mylan NV Company Guar. Notes 3.75% due 12/15/2020 | 395,000 | 397,691 | |||||||||
3,362,902 |
266
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Metal-Copper — 0.1% | |||||||||||
First Quantum Minerals, Ltd. Company Guar. Notes 6.50% due 03/01/2024* | $ | 200,000 | $ | 189,750 | |||||||
First Quantum Minerals, Ltd. Company Guar. Notes 7.25% due 04/01/2023* | 200,000 | 197,500 | |||||||||
Hudbay Minerals, Inc. Company Guar. Notes 7.25% due 01/15/2023* | 80,000 | 83,000 | |||||||||
470,250 | |||||||||||
Metal-Iron — 0.2% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 1,170,000 | 1,310,400 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039 | 555,000 | 657,675 | |||||||||
1,968,075 | |||||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Noble Holding International, Ltd. Company Guar. Notes 7.75% due 01/15/2024 | 95,000 | 88,112 | |||||||||
Noble Holding International, Ltd. Company Guar. Notes 7.88% due 02/01/2026* | 57,000 | 56,145 | |||||||||
Shelf Drilling Holdings, Ltd. Senior Notes 8.25% due 02/15/2025* | 50,000 | 50,125 | |||||||||
Trinidad Drilling, Ltd. Company Guar. Notes 6.63% due 02/15/2025* | 100,000 | 93,250 | |||||||||
287,632 | |||||||||||
Oil Companies-Exploration & Production — 0.4% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 1,835,000 | 1,794,409 | |||||||||
CNOOC Curtis Funding No. 1 Pty, Ltd. Company Guar. Notes 4.50% due 10/03/2023 | 400,000 | 410,571 | |||||||||
Encana Corp. Senior Notes 3.90% due 11/15/2021 | 650,000 | �� | 659,700 | ||||||||
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023* | 148,000 | 123,580 | |||||||||
MEG Energy Corp. Sec. Notes 6.50% due 01/15/2025* | 73,000 | 70,810 | |||||||||
Nexen Energy ULC Company Guar. Notes 6.20% due 07/30/2019 | 100,000 | 103,749 | |||||||||
Tullow Oil PLC Senior Notes 7.00% due 03/01/2025* | 540,000 | 540,000 | |||||||||
3,702,819 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Oil Companies-Integrated — 0.8% | |||||||||||
BP Capital Markets PLC Company Guar. Notes 3.25% due 05/06/2022 | $ | 233,000 | $ | 233,438 | |||||||
Cenovus Energy, Inc. Senior Notes 4.25% due 04/15/2027 | 64,000 | 62,384 | |||||||||
Cenovus Energy, Inc. Senior Notes 5.40% due 06/15/2047 | 134,000 | 134,876 | |||||||||
Petrobras Global Finance BV Company Guar. Notes 5.63% due 05/20/2043 | 1,395,000 | 1,217,137 | |||||||||
Petrobras Global Finance BV Company Guar. Notes 6.75% due 01/27/2041 | 280,000 | 273,000 | |||||||||
Petroleos Mexicanos Company Guar. Notes 4.88% due 01/24/2022 | 360,000 | 368,964 | |||||||||
Petroleos Mexicanos Company Guar. Notes 5.35% due 02/12/2028* | 485,000 | 478,404 | |||||||||
Petroleos Mexicanos Senior Notes 6.35% due 02/12/2048* | 679,000 | 656,084 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.63% due 06/15/2035 | 200,000 | 206,636 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 1,661,000 | 1,680,733 | |||||||||
Petronas Capital, Ltd. Company Guar. Notes 5.25% due 08/12/2019 | 100,000 | 103,031 | |||||||||
Shell International Finance BV Company Guar. Notes 2.13% due 05/11/2020 | 152,000 | 149,700 | |||||||||
Shell International Finance BV Company Guar. Notes 4.38% due 05/11/2045 | 1,140,000 | 1,211,483 | |||||||||
Suncor Energy, Inc. Senior Notes 4.00% due 11/15/2047 | 90,000 | 88,247 | |||||||||
YPF SA Senior Notes 16.50% due 05/09/2022* | ARS | 22,904,817 | 1,074,319 | ||||||||
7,938,436 | |||||||||||
Oil-Field Services — 0.0% | |||||||||||
KCA Deutag UK Finance PLC Senior Sec. Notes 9.88% due 04/01/2022* | 200,000 | 208,894 | |||||||||
Weatherford International, Ltd. Company Guar. Notes 9.88% due 02/15/2024 | 50,000 | 45,625 | |||||||||
254,519 |
267
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Paper & Related Products — 0.0% | |||||||||||
Cascades, Inc. Company Guar. Notes 5.50% due 07/15/2022* | $ | 25,000 | $ | 25,156 | |||||||
Cascades, Inc. Company Guar. Notes 5.75% due 07/15/2023* | 31,000 | 31,465 | |||||||||
56,621 | |||||||||||
Pipelines — 0.0% | |||||||||||
Enbridge, Inc. Senior Notes 3.70% due 07/15/2027 | 475,000 | 455,324 | |||||||||
Printing-Commercial — 0.0% | |||||||||||
Cimpress NV Company Guar. Notes 7.00% due 04/01/2022* | 150,000 | 156,375 | |||||||||
Satellite Telecom — 0.0% | |||||||||||
Inmarsat Finance PLC Company Guar. Notes 6.50% due 10/01/2024* | 200,000 | 203,000 | |||||||||
Intelsat Jackson Holdings SA Company Guar. Notes 5.50% due 08/01/2023 | 130,000 | 104,650 | |||||||||
Intelsat Luxembourg SA Company Guar. Notes 8.13% due 06/01/2023 | 115,000 | 55,200 | |||||||||
362,850 | |||||||||||
Semiconductor Equipment — 0.0% | |||||||||||
Sensata Technologies BV Company Guar. Notes 4.88% due 10/15/2023* | 64,000 | 64,099 | |||||||||
Telephone-Integrated — 0.5% | |||||||||||
Deutsche Telekom International Finance BV Company Guar. Notes 2.49% due 09/19/2023* | 193,000 | 182,301 | |||||||||
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038 | 205,000 | 250,654 | |||||||||
Telecom Italia SpA Senior Notes 5.30% due 05/30/2024* | 2,055,000 | 2,090,962 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 4.67% due 03/06/2038 | 700,000 | 708,058 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 4.90% due 03/06/2048 | 730,000 | 742,727 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 5.21% due 03/08/2047 | 162,000 | 172,169 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 5.88% due 07/15/2019 | 1,000,000 | 1,037,152 | |||||||||
5,184,023 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Tobacco — 0.3% | |||||||||||
BAT International Finance PLC Company Guar. Notes 2.75% due 06/15/2020* | $ | 490,000 | $ | 485,816 | |||||||
Imperial Brands Finance PLC Company Guar. Notes 2.05% due 07/20/2018* | 400,000 | 399,168 | |||||||||
Imperial Brands Finance PLC Company Guar. Notes 2.95% due 07/21/2020* | 1,550,000 | 1,538,892 | |||||||||
Imperial Brands Finance PLC Company Guar. Notes 3.75% due 07/21/2022* | 510,000 | 511,994 | |||||||||
2,935,870 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
SCF Capital Designated Activity Co. Company Guar. Notes 5.38% due 06/16/2023 | 200,000 | 203,320 | |||||||||
Transport-Rail — 0.1% | |||||||||||
Canadian Pacific Railway Co. Senior Notes 4.50% due 01/15/2022 | 425,000 | 442,296 | |||||||||
Canadian Pacific Railway Co. Senior Notes 5.95% due 05/15/2037 | 285,000 | 359,778 | |||||||||
Canadian Pacific Railway Co. Senior Notes 6.13% due 09/15/2115 | 112,000 | 139,879 | |||||||||
Kazakhstan Temir Zholy Finance BV Company Guar. Notes 6.95% due 07/10/2042 | 200,000 | 223,656 | |||||||||
1,165,609 | |||||||||||
Wireless Equipment — 0.1% | |||||||||||
Nokia OYJ Senior Notes 4.38% due 06/12/2027 | 505,000 | 474,069 | |||||||||
Total Foreign Corporate Bonds & Notes (cost $72,296,839) | 70,836,056 | ||||||||||
U.S. GOVERNMENT AGENCIES — 22.4% | |||||||||||
Federal Home Loan Bank — 0.1% | |||||||||||
1.88% due 12/09/2022 | 1,000,000 | 965,674 | |||||||||
Federal Home Loan Mtg. Corp. — 4.1% | |||||||||||
1.25% due 10/02/2019 | 1,272,000 | 1,252,928 | |||||||||
2.38% due 01/13/2022 | 1,097,000 | 1,089,200 | |||||||||
2.50% due 01/01/2028 | 144,718 | 142,779 | |||||||||
2.50% due 04/01/2028 | 497,811 | 491,135 | |||||||||
2.50% due 03/01/2031 | 274,993 | 269,448 | |||||||||
2.50% due 10/01/2032 | 379,608 | 371,936 | |||||||||
3.00% due 08/01/2027 | 294,310 | 295,958 | |||||||||
3.00% due 10/01/2042 | 281,885 | 277,098 | |||||||||
3.00% due 11/01/2042 | 307,207 | 301,990 | |||||||||
3.00% due 02/01/2043 | 671,366 | 656,246 | |||||||||
3.00% due 04/01/2043 | 353,555 | 347,276 | |||||||||
3.00% due 08/01/2043 | 1,309,182 | 1,286,167 | |||||||||
3.00% due 07/01/2045 | 1,143,168 | 1,118,353 | |||||||||
3.00% due 10/01/2045 | 591,415 | 578,095 | |||||||||
3.00% due 08/01/2046 | 707,917 | 691,395 |
268
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
3.11% (6 ML+1.49%) due 02/01/2037 FRS | $ | 34,411 | $ | 35,417 | |||||||
3.50% due 01/01/2032 | 907,402 | 926,561 | |||||||||
3.50% due 11/01/2041 | 304,100 | 306,403 | |||||||||
3.50% due 03/01/2042 | 147,109 | 148,224 | |||||||||
3.50% due 08/01/2042 | 268,018 | 270,051 | |||||||||
3.50% due 09/01/2043 | 103,587 | 104,373 | |||||||||
3.50% due 03/01/2045 | 878,646 | 882,333 | |||||||||
3.50% due 07/01/2045 | 1,979,243 | 1,988,389 | |||||||||
3.50% due 08/01/2045 | 449,786 | 452,189 | |||||||||
3.50% due 10/01/2045 | 809,874 | 813,191 | |||||||||
3.50% due 11/01/2045 | 1,022,159 | 1,026,345 | |||||||||
3.50% due 01/01/2046 | 37,504 | 37,658 | |||||||||
3.50% due 11/01/2047 | 982,147 | 985,104 | |||||||||
3.50% due April TBA | 3,800,000 | 3,808,866 | |||||||||
3.69% (12 ML+1.89%) due 11/01/2037 FRS | 248,098 | 261,312 | |||||||||
3.75% due 03/27/2019 | 796,000 | 807,996 | |||||||||
4.00% due 09/01/2040 | 231,861 | 240,022 | |||||||||
4.00% due 07/01/2044 | 401,687 | 414,007 | |||||||||
4.00% due 10/01/2045 | 399,906 | 412,143 | |||||||||
4.00% due April TBA | 6,800,000 | 6,980,359 | |||||||||
4.50% due 04/01/2044 | 84,274 | 88,369 | |||||||||
4.50% due 09/01/2044 | 889,936 | 933,001 | |||||||||
4.50% due April TBA | 1,300,000 | 1,361,090 | |||||||||
5.00% due 11/01/2043 | 425,789 | 459,453 | |||||||||
5.00% due April TBA | 2,000,000 | 2,135,000 | |||||||||
5.50% due 01/01/2036 | 158,338 | 174,538 | |||||||||
6.00% due 03/01/2040 | 12,394 | 13,880 | |||||||||
6.25% due 07/15/2032 | 206,000 | 280,676 | |||||||||
6.75% due 03/15/2031 | 100,000 | 138,924 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.00% due 10/25/2047*(3)(4) | 730,000 | 726,843 | |||||||||
Series 2017-K728, Class B 3.65% due 11/25/2050*(3)(4) | 225,000 | 219,571 | |||||||||
Series 2017-K729,Class B 3.67% due 11/25/2049*(3)(4) | 340,000 | 329,463 | |||||||||
Series 2017-K729,Class C 3.67% due 11/25/2049*(3)(4) | 310,000 | 291,517 | |||||||||
Series 2017-K71, Class B 3.75% due 11/25/2050*(3)(4) | 295,000 | 284,966 | |||||||||
Series 2017-K67, Class B 3.94% due 09/25/2049*(3)(4) | 310,000 | 309,998 | |||||||||
Series 2017-K64, Class B 3.98% due 03/25/2027*(3)(4) | 165,000 | 162,807 | |||||||||
Series 2017-K66, Class B 4.03% due 07/25/2027*(3)(4) | 563,000 | 567,077 | |||||||||
Series 2017-K65, Class B 4.07% due 05/25/2027*(3)(4) | 640,000 | 645,694 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K013, Class X1 VRS 0.54% due 01/25/2021 (3)(4)(5) | 2,040,956 | 27,448 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series K064, Class X1 VRS 0.61% due 03/25/2027 (3)(4)(5) | $ | 5,174,586 | $ | 241,481 | |||||||
Series K068, Class A2 3.24% due 08/25/2027(4) | 1,113,000 | 1,112,975 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2017-HQA1, Class M1 2.82% (1 ML+1.20%) due 08/25/2029(1) | 458,681 | 462,697 | |||||||||
Series 2015-DNA1, Class M2 3.47% (1 ML+1.85%) due 10/25/2027(1) | 114,000 | 116,364 | |||||||||
Series 2014-DN1, Class M2 3.82% (1 ML+2.20%) due 02/25/2024(1) | 262,902 | 270,670 | |||||||||
Series 2014-HQ2, Class M2 3.82% (1 ML+2.20%) due 09/25/2024(1) | 445,709 | 460,116 | |||||||||
Series 2015-HQA2, Class M2 4.42% (1 ML+2.80%) due 05/25/2028(1) | 214,034 | 220,745 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3883, Class PB 3.00% due 05/15/2041(1) | 348,006 | 347,497 | |||||||||
Series 4740, Class BA 3.00% due 09/15/2045(1) | 492,227 | 487,751 | |||||||||
Series 3820, Class DA 4.00% due 11/15/2035(1) | 180,778 | 183,308 | |||||||||
43,124,866 | |||||||||||
Federal National Mtg. Assoc. — 14.1% | |||||||||||
zero coupon due 10/09/2019 | 7,452,000 | 7,188,090 | |||||||||
0.88% due 05/21/2018 | 5,955,000 | 5,948,080 | |||||||||
1.88% due 09/24/2026 | 837,000 | 771,418 | |||||||||
2.50% due 04/01/2028 | 330,437 | 326,192 | |||||||||
2.50% due 01/01/2032 | 1,147,194 | 1,124,669 | |||||||||
2.50% due April TBA | 2,600,000 | 2,450,338 | |||||||||
2.63% due 09/06/2024 | 2,025,000 | 2,007,308 | |||||||||
2.64% due 03/01/2027 | 292,565 | 283,248 | |||||||||
2.78% due 03/01/2027 | 593,000 | 576,529 | |||||||||
2.88% due 11/01/2027 | 2,145,000 | 2,087,466 | |||||||||
2.97% due 06/01/2027 | 1,075,705 | 1,060,416 | |||||||||
2.97% due 06/01/2030 | 1,235,000 | 1,202,943 | |||||||||
3.00% due 04/01/2027 | 35,998 | 36,169 | |||||||||
3.00% due 07/01/2027 | 1,510,000 | 1,484,757 | |||||||||
3.00% due 10/01/2027 | 437,873 | 439,954 | |||||||||
3.00% due 10/01/2030 | 435,083 | 435,546 | |||||||||
3.00% due 10/01/2032 | 1,040,057 | 1,039,565 | |||||||||
3.00% due 03/01/2042 | 556,406 | 547,674 | |||||||||
3.00% due 12/01/2042 | 158,933 | 156,482 | |||||||||
3.00% due 05/01/2043 | 393,003 | 386,937 | |||||||||
3.00% due 02/01/2045 | 323,309 | 316,811 | |||||||||
3.00% due 09/01/2046 | 352,675 | 344,285 | |||||||||
3.00% due 12/01/2046 | 556,290 | 543,047 | |||||||||
3.00% due 01/01/2047 | 1,491,071 | 1,455,566 |
269
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
3.00% due 02/01/2048 | $ | 1,562,909 | $ | 1,525,607 | |||||||
3.00% due April TBA | 2,600,000 | 2,596,615 | |||||||||
3.13% due 02/01/2027 | 402,000 | 401,036 | |||||||||
3.16% due 08/01/2027 | 2,025,000 | 2,017,702 | |||||||||
3.22% (1 Yr USTYCR+2.26%) due 11/01/2036 FRS | 97,293 | 103,021 | |||||||||
3.22% (6 ML+1.54%) due 09/01/2035 FRS | 212,283 | 219,590 | |||||||||
3.35% (1 Yr USTYCR+2.19%) due 10/01/2035 FRS | 258,635 | 272,106 | |||||||||
3.36% (12 ML+1.57%) due 05/01/2037 FRS | 50,773 | 52,946 | |||||||||
3.45% (12 ML+1.66%) due 07/01/2039 FRS | 176,006 | 184,601 | |||||||||
3.50% due 08/01/2026 | 163,959 | 167,306 | |||||||||
3.50% due 09/01/2026 | 195,007 | 199,001 | |||||||||
3.50% due 08/01/2027 | 27,712 | 28,278 | |||||||||
3.50% due 10/01/2028 | 70,496 | 72,002 | |||||||||
3.50% due 03/01/2042 | 332,352 | 335,485 | |||||||||
3.50% due 08/01/2042 | 742,908 | 747,866 | |||||||||
3.50% due 07/01/2045 | 272,662 | 273,748 | |||||||||
3.50% due 08/01/2045 | 660,544 | 663,237 | |||||||||
3.50% due 09/01/2045 | 607,857 | 610,389 | |||||||||
3.50% due 10/01/2045 | 506,832 | 508,993 | |||||||||
3.50% due 11/01/2045 | 617,097 | 619,185 | |||||||||
3.50% due 12/01/2045 | 844,568 | 847,425 | |||||||||
3.50% due 02/01/2046 | 366,664 | 367,847 | |||||||||
3.50% due 03/01/2046 | 572,999 | 574,846 | |||||||||
3.50% due 07/01/2046 | 932,761 | 937,318 | |||||||||
3.50% due April TBA | 73,100,000 | 73,252,764 | |||||||||
3.54% (12 ML+1.77%) due 05/01/2040 FRS | 252,405 | 263,383 | |||||||||
3.57% (12 ML+1.82%) due 10/01/2040 FRS | 57,246 | 59,879 | |||||||||
3.58% (12 ML+1.83%) due 10/01/2040 FRS | 125,731 | 131,440 | |||||||||
3.69% (12 ML+1.91%) due 08/01/2035 FRS | 141,050 | 149,300 | |||||||||
4.00% due 10/01/2040 | 160,236 | 165,620 | |||||||||
4.00% due 11/01/2040 | 294,531 | 304,470 | |||||||||
4.00% due 10/01/2041 | 255,740 | 264,377 | |||||||||
4.00% due 11/01/2041 | 237,497 | 245,503 | |||||||||
4.00% due 01/01/2043 | 880,893 | 911,251 | |||||||||
4.00% due 10/01/2044 | 476,472 | 489,985 | |||||||||
4.00% due 02/01/2045 | 917,834 | 947,879 | |||||||||
4.00% due 02/01/2046 | 63,988 | 65,711 | |||||||||
4.00% due 01/01/2047 | 1,020,157 | 1,047,770 | |||||||||
4.00% due 05/01/2047 | 221,472 | 227,518 | |||||||||
4.00% due 07/01/2047 | 2,751,552 | 2,827,030 | |||||||||
4.00% due 08/01/2047 | 456,926 | 469,508 | |||||||||
4.00% due April TBA | 3,500,000 | 3,591,683 | |||||||||
4.50% due 10/01/2024 | 50,944 | 51,326 | |||||||||
4.50% due 06/01/2039 | 148,461 | 155,976 | |||||||||
4.50% due 05/01/2041 | 99,859 | 105,590 | |||||||||
4.50% due 03/01/2042 | 303,778 | 320,628 | |||||||||
4.50% due 08/01/2045 | 1,017,607 | 1,083,017 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
4.50% due 04/01/2047 | $ | 806,272 | $ | 845,156 | |||||||
4.50% due 11/01/2047 | 952,594 | 999,598 | |||||||||
5.00% due 05/01/2040 | 253,859 | 274,436 | |||||||||
5.00% due 06/01/2040 | 25,526 | 27,606 | |||||||||
5.00% due 07/01/2040 | 576,629 | 623,385 | |||||||||
5.00% due 02/01/2045 | 648,283 | 702,701 | |||||||||
5.50% due 12/01/2029 | 39,951 | 43,371 | |||||||||
5.50% due 08/01/2037 | 152,821 | 167,669 | |||||||||
5.50% due 06/01/2038 | 87,374 | 95,886 | |||||||||
5.50% due April TBA | 1,900,000 | 2,064,766 | |||||||||
6.00% due 11/01/2038 | 10,120 | 11,345 | |||||||||
6.00% due 06/01/2040 | 82,658 | 92,664 | |||||||||
6.50% due 10/01/2037 | 1,267 | 1,414 | |||||||||
6.63% due 11/15/2030 | 871,000 | 1,192,564 | |||||||||
7.25% due 05/15/2030 | 2,260,000 | 3,209,559 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2013-C01, Class M1 3.62% (1 ML+2.00%) due 10/25/2023(1) | 14,318 | 14,393 | |||||||||
Series 2016-C07, Class 2M2 5.97% (1 ML+4.35%) due 05/25/2029(1) | 940,000 | 1,043,923 | |||||||||
Series 2014-C04, Class 1M2 6.52% (1 ML+4.90%) due 11/25/2024(1) | 352,062 | 403,062 | |||||||||
Series 2015-C04, Class 1M2 7.32% (1 ML+5.70%) due 04/25/2028(1) | 176,667 | 204,919 | |||||||||
Series 2016-C02, Class 1M2 7.62% (1 M+6.00%) due 09/25/2028(1) | 113,000 | 135,267 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2012-21, Class PQ 2.00% due 09/25/2041(1) | 306,047 | 291,350 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(1) | 584,003 | 558,266 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(1) | 620,281 | 603,490 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(1) | 807,834 | 802,613 | |||||||||
Series 2017-94, Class DA 3.00% due 06/25/2045(1) | 145,653 | 144,608 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(1) | 733,132 | 726,694 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(1) | 758,298 | 751,611 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(1) | 696,880 | 706,809 | |||||||||
150,410,373 | |||||||||||
Government National Mtg. Assoc. — 4.0% | |||||||||||
3.00% due 02/20/2045 | 325,648 | 322,827 | |||||||||
3.00% due 05/20/2045 | 261,423 | 258,188 | |||||||||
3.00% due 07/20/2045 | 58,010 | 57,292 | |||||||||
3.00% due April TBA | 7,000,000 | 6,886,660 | |||||||||
3.50% due 03/20/2045 | 221,317 | 223,824 |
270
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
3.50% due 04/20/2045 | $ | 342,470 | $ | 346,350 | |||||||
3.50% due 07/20/2045 | 104,861 | 106,049 | |||||||||
3.50% due 03/20/2047 | 528,455 | 534,075 | |||||||||
3.50% due April TBA | 14,300,000 | 14,438,617 | |||||||||
4.00% due 03/15/2039 | 112,985 | 116,290 | |||||||||
4.00% due 04/15/2039 | 8,391 | 8,635 | |||||||||
4.00% due 05/15/2039 | 38,869 | 39,997 | |||||||||
4.00% due 08/15/2039 | 10,699 | 11,009 | |||||||||
4.00% due 10/15/2039 | 43,385 | 44,643 | |||||||||
4.00% due 03/15/2040 | 34,790 | 35,799 | |||||||||
4.00% due 09/15/2040 | 28,930 | 29,828 | |||||||||
4.00% due 10/15/2040 | 23,727 | 24,533 | |||||||||
4.00% due 12/15/2040 | 14,159 | 14,604 | |||||||||
4.00% due 01/15/2041 | 11,641 | 11,981 | |||||||||
4.00% due 02/15/2041 | 8,925 | 9,245 | |||||||||
4.00% due 06/15/2041 | 132,078 | 137,115 | |||||||||
4.00% due 07/15/2041 | 31,135 | 32,139 | |||||||||
4.00% due 08/15/2041 | 331,920 | 342,415 | |||||||||
4.00% due 09/15/2041 | 64,559 | 66,648 | |||||||||
4.00% due 10/15/2041 | 144,671 | 149,417 | |||||||||
4.00% due 11/15/2041 | 148,086 | 152,601 | |||||||||
4.00% due 12/15/2041 | 144,848 | 149,439 | |||||||||
4.00% due 01/15/2042 | 29,469 | 30,377 | |||||||||
4.00% due 02/15/2042 | 14,071 | 14,547 | |||||||||
4.00% due 03/15/2042 | 100,919 | 104,324 | |||||||||
4.00% due 04/15/2042 | 4,310 | 4,435 | |||||||||
4.00% due 03/20/2044 | 150,491 | 155,786 | |||||||||
4.00% due 07/20/2045 | 430,232 | 445,365 | |||||||||
4.00% due 10/20/2045 | 74,312 | 76,922 | |||||||||
4.00% due April TBA | 6,500,000 | 6,681,162 | |||||||||
4.50% due 04/15/2018 | 19 | 19 | |||||||||
4.50% due 05/15/2018 | 1,038 | 1,037 | |||||||||
4.50% due 08/15/2018 | 260 | 260 | |||||||||
4.50% due 09/15/2018 | 4,337 | 4,338 | |||||||||
4.50% due 10/15/2018 | 21,071 | 21,066 | |||||||||
4.50% due 09/15/2033 | 57,907 | 60,703 | |||||||||
4.50% due 03/15/2039 | 96,208 | 100,053 | |||||||||
4.50% due 05/15/2039 | 51,143 | 54,043 | |||||||||
4.50% due 07/15/2039 | 30,043 | 31,464 | |||||||||
4.50% due 10/15/2039 | 110,582 | 115,940 | |||||||||
4.50% due 11/15/2039 | 1,482 | 1,541 | |||||||||
4.50% due 01/15/2040 | 34,385 | 36,362 | |||||||||
4.50% due 02/15/2040 | 51,413 | 53,472 | |||||||||
4.50% due 03/15/2040 | 31,620 | 32,885 | |||||||||
4.50% due 04/15/2040 | 1,793 | 1,897 | |||||||||
4.50% due 05/15/2040 | 8,459 | 8,943 | |||||||||
4.50% due 07/15/2040 | 35,613 | 37,671 | |||||||||
4.50% due 04/15/2041 | 10,516 | 10,933 | |||||||||
4.50% due 05/15/2041 | 126,216 | 132,832 | |||||||||
4.50% due 06/15/2041 | 20,356 | 21,431 | |||||||||
4.50% due 07/15/2041 | 115,210 | 120,774 | |||||||||
4.50% due 08/15/2041 | 59,864 | 62,542 | |||||||||
4.50% due April TBA | 3,400,000 | 3,534,605 | |||||||||
4.50% due May TBA | 3,400,000 | 3,528,496 | |||||||||
5.00% due 06/15/2033 | 2,523 | 2,696 | |||||||||
5.00% due 08/15/2033 | 19,415 | 20,874 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
5.00% due 09/15/2033 | $ | 40,423 | $ | 43,426 | |||||||
5.00% due 10/15/2033 | 20,112 | 21,601 | |||||||||
5.00% due 11/15/2033 | 4,757 | 5,133 | |||||||||
5.00% due 06/15/2034 | 63,597 | 67,618 | |||||||||
5.00% due 05/15/2035 | 2,783 | 2,934 | |||||||||
5.00% due 09/15/2035 | 2,556 | 2,746 | |||||||||
5.00% due 11/15/2035 | 91,018 | 95,950 | |||||||||
5.00% due 02/15/2036 | 25,492 | 26,877 | |||||||||
5.00% due 02/20/2036 | 103,997 | 111,639 | |||||||||
5.00% due 03/15/2036 | 25,132 | 26,488 | |||||||||
5.00% due 05/15/2036 | 82,153 | 88,030 | |||||||||
5.00% due 06/15/2036 | 41,727 | 43,996 | |||||||||
5.00% due 08/15/2038 | 278,681 | 295,746 | |||||||||
5.50% due 02/15/2032 | 1,648 | 1,793 | |||||||||
5.50% due 03/15/2032 | 4,738 | 5,164 | |||||||||
5.50% due 12/15/2032 | 4,468 | 4,866 | |||||||||
5.50% due 01/15/2033 | 2,320 | 2,557 | |||||||||
5.50% due 02/15/2033 | 12,852 | 14,174 | |||||||||
5.50% due 03/15/2033 | 57,177 | 62,620 | |||||||||
5.50% due 04/15/2033 | 47,728 | 52,479 | |||||||||
5.50% due 05/15/2033 | 48 | 48 | |||||||||
5.50% due 06/15/2033 | 55,898 | 61,319 | |||||||||
5.50% due 07/15/2033 | 222,923 | 244,072 | |||||||||
5.50% due 08/15/2033 | 43,310 | 47,187 | |||||||||
5.50% due 09/15/2033 | 10,042 | 11,079 | |||||||||
5.50% due 11/15/2033 | 35,237 | 38,327 | |||||||||
5.50% due 12/15/2033 | 1,951 | 2,122 | |||||||||
5.50% due 01/15/2034 | 81,255 | 89,539 | |||||||||
5.50% due 02/15/2034 | 51,787 | 56,317 | |||||||||
6.00% due 04/15/2028 | 93,168 | 104,616 | |||||||||
6.00% due 01/15/2029 | 17,731 | 19,731 | |||||||||
6.00% due 03/15/2029 | 21,321 | 23,727 | |||||||||
6.00% due 11/15/2031 | 3,583 | 3,987 | |||||||||
6.00% due 12/15/2031 | 3,568 | 3,970 | |||||||||
6.00% due 04/15/2032 | 13,379 | 15,156 | |||||||||
6.00% due 09/15/2032 | 11,148 | 12,527 | |||||||||
6.00% due 10/15/2032 | 68,168 | 76,675 | |||||||||
6.00% due 11/15/2032 | 18,956 | 21,319 | |||||||||
6.00% due 01/15/2033 | 2,896 | 3,257 | |||||||||
6.00% due 02/15/2033 | 27,200 | 30,693 | |||||||||
6.00% due 03/15/2033 | 10,738 | 12,065 | |||||||||
6.00% due 09/15/2033 | 14,607 | 16,255 | |||||||||
6.00% due 01/15/2034 | 84,456 | 93,986 | |||||||||
6.00% due 03/15/2034 | 15,352 | 17,085 | |||||||||
6.00% due 05/15/2034 | 2,408 | 2,680 | |||||||||
6.00% due 07/15/2034 | 7,211 | 8,024 | |||||||||
6.00% due 08/15/2034 | 92,450 | 103,356 | |||||||||
6.00% due 09/15/2034 | 5,948 | 6,644 | |||||||||
6.00% due 11/15/2034 | 69,679 | 77,542 | |||||||||
6.00% due 03/15/2035 | 43,561 | 48,476 | |||||||||
6.00% due 08/15/2035 | 58,845 | 65,485 | |||||||||
6.00% due 01/15/2036 | 28,069 | 31,758 | |||||||||
6.00% due 02/15/2036 | 37,120 | 41,308 | |||||||||
6.00% due 04/15/2036 | 43,981 | 48,943 | |||||||||
6.00% due 05/15/2036 | 29,481 | 32,925 | |||||||||
6.00% due 06/15/2036 | 55,839 | 62,510 |
271
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
6.00% due 07/15/2036 | $ | 4,096 | $ | 4,558 | |||||||
6.00% due 08/15/2036 | 58,555 | 66,029 | |||||||||
6.00% due 09/15/2036 | 12,754 | 14,193 | |||||||||
6.00% due 10/15/2036 | 155,566 | 173,280 | |||||||||
6.00% due 11/15/2036 | 42,686 | 47,899 | |||||||||
6.00% due 12/15/2036 | 12,082 | 13,445 | |||||||||
6.50% due 09/15/2028 | 3,893 | 4,355 | |||||||||
6.50% due 09/15/2031 | 7,401 | 8,278 | |||||||||
6.50% due 10/15/2031 | 4,704 | 5,261 | |||||||||
6.50% due 11/15/2031 | 1,199 | 1,341 | |||||||||
6.50% due 12/15/2031 | 6,088 | 6,809 | |||||||||
7.50% due 09/15/2030 | 18,360 | 18,712 | |||||||||
42,934,722 | |||||||||||
Tennessee Valley Authority — 0.1% | |||||||||||
1.75% due 10/15/2018 | 105,000 | 104,825 | |||||||||
4.25% due 09/15/2065 | 577,000 | 668,477 | |||||||||
773,302 | |||||||||||
Total U.S. Government Agencies (cost $238,717,315) | 238,208,937 | ||||||||||
U.S. GOVERNMENT TREASURIES — 35.7% | |||||||||||
United States Treasury Bonds — 7.2% | |||||||||||
2.25% due 08/15/2046 | 2,722,000 | 2,344,641 | |||||||||
2.50% due 02/15/2045 | 5,500,000 | 5,021,973 | |||||||||
2.50% due 02/15/2046 | 1,638,000 | 1,490,772 | |||||||||
2.50% due 05/15/2046 | 3,258,000 | 2,962,744 | |||||||||
2.75% due 08/15/2042 | 2,787,000 | 2,692,721 | |||||||||
2.75% due 11/15/2042 | 1,787,000 | 1,724,874 | |||||||||
2.75% due 08/15/2047 | 3,048,000 | 2,913,102 | |||||||||
2.75% due 11/15/2047 | 1,004,000 | 959,800 | |||||||||
2.88% due 05/15/2043 | 1,774,000 | 1,748,637 | |||||||||
2.88% due 08/15/2045 | 2,826,000 | 2,775,220 | |||||||||
2.88% due 11/15/2046 | 499,000 | 489,371 | |||||||||
3.00% due 05/15/2042 | 1,378,000 | 1,393,180 | |||||||||
3.00% due 11/15/2044 | 2,061,000 | 2,074,686 | |||||||||
3.00% due 05/15/2045 | 787,000 | 791,949 | |||||||||
3.00% due 11/15/2045 | 4,262,000 | 4,285,974 | |||||||||
3.00% due 05/15/2047 | 3,224,000 | 3,239,742 | |||||||||
3.13% due 11/15/2041 | 1,061,000 | 1,096,146 | |||||||||
3.13% due 02/15/2043 | 1,770,000 | 1,824,552 | |||||||||
3.13% due 08/15/2044 | 3,825,000 | 3,938,854 | |||||||||
3.38% due 05/15/2044 | 869,000 | 934,548 | |||||||||
3.63% due 08/15/2043 | 3,158,000 | 3,535,356 | |||||||||
3.63% due 02/15/2044 | 2,405,000 | 2,694,821 | |||||||||
3.88% due 08/15/2040 | 1,577,000 | 1,826,733 | |||||||||
4.25% due 11/15/2040 | 1,100,000 | 1,342,945 | |||||||||
4.38% due 11/15/2039 | 1,082,000 | 1,339,778 | |||||||||
4.38% due 05/15/2040 | 953,000 | 1,181,385 | |||||||||
4.50% due 02/15/2036 | 1,034,000 | 1,277,677 | |||||||||
4.63% due 02/15/2040 | 1,159,000 | 1,483,022 | |||||||||
4.75% due 02/15/2041 | 1,123,000 | 1,466,348 | |||||||||
5.25% due 11/15/2028 | 1,045,000 | 1,283,921 | |||||||||
5.25% due 02/15/2029 | 1,966,000 | 2,423,633 | |||||||||
5.38% due 02/15/2031 | 1,289,000 | 1,650,474 | |||||||||
6.13% due 11/15/2027 | 544,000 | 699,550 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
United States Treasury Bonds (continued) | |||||||||||
6.25% due 08/15/2023 | $ | 1,613,000 | $ | 1,908,948 | |||||||
6.25% due 05/15/2030 | 1,090,000 | 1,479,079 | |||||||||
6.38% due 08/15/2027 | 1,217,000 | 1,584,667 | |||||||||
6.75% due 08/15/2026 | 377,000 | 491,455 | |||||||||
7.88% due 02/15/2021 | 1,267,000 | 1,460,960 | |||||||||
8.75% due 05/15/2020 | 1,035,000 | 1,174,968 | |||||||||
8.75% due 08/15/2020 | 1,389,000 | 1,594,095 | |||||||||
76,603,301 | |||||||||||
United States Treasury Notes — 28.5% | |||||||||||
0.13% due 04/15/2019 TIPS(13) | 268,638 | 268,438 | |||||||||
0.13% due 04/15/2020 TIPS(13) | 264,565 | 263,535 | |||||||||
0.13% due 07/15/2024 TIPS(13) | 991,525 | 968,714 | |||||||||
0.25% due 01/15/2025 TIPS(7)(13) | 14,210,982 | 13,898,042 | |||||||||
0.38% due 07/15/2027 TIPS(13) | 14,097,287 | 13,752,667 | |||||||||
0.88% due 07/31/2019 | 9,173,000 | 9,015,339 | |||||||||
1.00% due 06/30/2019 | 10,922,000 | 10,760,303 | |||||||||
1.00% due 11/30/2019 | 7,446,000 | 7,294,462 | |||||||||
1.13% due 05/31/2019 | 5,211,000 | 5,147,898 | |||||||||
1.13% due 12/31/2019 | 4,241,000 | 4,159,162 | |||||||||
1.13% due 04/30/2020 | 2,743,000 | 2,677,211 | |||||||||
1.13% due 02/28/2021 | 2,872,000 | 2,769,685 | |||||||||
1.13% due 07/31/2021 | 2,131,000 | 2,041,182 | |||||||||
1.13% due 08/31/2021 | 3,679,000 | 3,518,762 | |||||||||
1.13% due 09/30/2021 | 2,760,000 | 2,636,555 | |||||||||
1.25% due 11/30/2018 | 393,000 | 391,020 | |||||||||
1.25% due 01/31/2020 | 3,306,000 | 3,245,304 | |||||||||
1.25% due 02/29/2020 | 7,378,000 | 7,235,628 | |||||||||
1.25% due 10/31/2021 | 7,625,000 | 7,307,788 | |||||||||
1.38% due 02/29/2020 | 6,085,000 | 5,981,603 | |||||||||
1.38% due 05/31/2020 | 4,553,000 | 4,461,406 | |||||||||
1.38% due 08/31/2020 | 1,910,000 | 1,866,279 | |||||||||
1.38% due 10/31/2020 | 1,229,000 | 1,198,563 | |||||||||
1.38% due 05/31/2021 | 2,443,000 | 2,364,557 | |||||||||
1.50% due 07/15/2020 | 3,447,000 | 3,382,773 | |||||||||
1.50% due 01/31/2022 | 12,752,000 | 12,289,740 | |||||||||
1.50% due 02/28/2023 | 4,797,000 | 4,561,835 | |||||||||
1.50% due 08/15/2026 | 3,171,000 | 2,878,302 | |||||||||
1.63% due 08/15/2022 | 4,238,000 | 4,081,227 | |||||||||
1.63% due 11/15/2022 | 4,550,000 | 4,368,000 | |||||||||
1.63% due 02/15/2026 | 3,744,000 | 3,454,132 | |||||||||
1.63% due 05/15/2026 | 2,455,000 | 2,258,121 | |||||||||
1.75% due 10/31/2020 | 3,843,000 | 3,783,704 | |||||||||
1.75% due 12/31/2020 | 69,000 | 67,854 | |||||||||
1.75% due 05/15/2022 | 4,641,000 | 4,504,308 | |||||||||
1.75% due 05/15/2023 | 9,605,000 | 9,223,051 | |||||||||
1.88% due 11/30/2021 | 9,434,000 | 9,237,950 | |||||||||
1.88% due 10/31/2022 | 967,000 | 939,425 | |||||||||
1.88% due 08/31/2024 | 3,421,000 | 3,263,714 | |||||||||
2.00% due 01/15/2021 | 330,000 | 326,623 | |||||||||
2.00% due 05/31/2021 | 3,075,000 | 3,035,001 | |||||||||
2.00% due 11/15/2021 | 4,434,000 | 4,362,640 |
272
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. GOVERNMENT TREASURIES (continued) | |||||||||||
United States Treasury Notes (continued) | |||||||||||
2.00% due 02/15/2023 | $ | 9,939,000 | $ | 9,684,701 | |||||||
2.00% due 02/15/2025(18) | 12,972,000 | 12,412,076 | |||||||||
2.00% due 08/15/2025 | 3,825,000 | 3,645,105 | |||||||||
2.00% due 11/15/2026 | 4,490,000 | 4,234,631 | |||||||||
2.13% due 06/30/2021 | 6,094,000 | 6,034,250 | |||||||||
2.13% due 08/15/2021 | 6,481,000 | 6,410,620 | |||||||||
2.13% due 02/29/2024 | 4,967,000 | 4,827,885 | |||||||||
2.13% due 03/31/2024 | 4,502,000 | 4,372,567 | |||||||||
2.13% due 09/30/2024 | 1,983,000 | 1,918,785 | |||||||||
2.13% due 05/15/2025 | 3,749,000 | 3,610,316 | |||||||||
2.25% due 07/31/2021 | 3,756,000 | 3,732,378 | |||||||||
2.25% due 11/15/2024 | 3,725,000 | 3,627,655 | |||||||||
2.25% due 12/31/2024 | 3,815,000 | 3,713,515 | |||||||||
2.25% due 11/15/2025 | 5,147,000 | 4,981,934 | |||||||||
2.25% due 11/15/2027 | 3,771,000 | 3,612,206 | |||||||||
2.38% due 01/31/2023 | 600,000 | 595,078 | |||||||||
2.38% due 08/15/2024 | 5,657,000 | 5,561,317 | |||||||||
2.38% due 05/15/2027 | 2,683,000 | 2,603,034 | |||||||||
2.50% due 08/15/2023 | 6,555,000 | 6,524,273 | |||||||||
2.50% due 05/15/2024 | 315,000 | 312,367 | |||||||||
2.50% due 01/31/2025 | 600,000 | 593,250 | |||||||||
2.63% due 08/15/2020 | 922,000 | 927,799 | |||||||||
2.63% due 11/15/2020 | 2,646,000 | 2,662,538 | |||||||||
2.63% due 02/28/2023 | 1,144,000 | 1,147,486 | |||||||||
3.13% due 05/15/2019 | 2,092,000 | 2,113,574 | |||||||||
3.38% due 11/15/2019 | 759,000 | 772,549 | |||||||||
3.50% due 05/15/2020 | 671,000 | 687,172 | |||||||||
3.63% due 02/15/2020 | 3,814,000 | 3,907,562 | |||||||||
3.63% due 02/15/2021 | 8,096,000 | 8,373,035 | |||||||||
302,842,161 | |||||||||||
Total U.S. Government Treasuries (cost $383,147,119) | 379,445,462 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.7% | |||||||||||
Chicago Board of Education General Obligation Bonds 5.48% due 12/01/2024 | 365,000 | 355,353 | |||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 160,000 | 150,094 | |||||||||
Chicago Transit Authority Revenue Bonds Series A 6.90% due 12/01/2040 | 90,000 | 118,754 | |||||||||
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040 | 690,000 | 910,448 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029 | 620,000 | 668,552 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 535,000 | 593,021 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
MUNICIPAL BONDS & NOTES (continued) | |||||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | $ | 115,000 | $ | 142,852 | |||||||
Puerto Rico Commonwealth Government Employees Retirement System Revenue Bonds Series A 6.15% due 07/01/2038(14) | 2,400,000 | 870,000 | |||||||||
State of California General Obligation Bonds 7.35% due 11/01/2039 | 805,000 | 1,176,822 | |||||||||
State of California General Obligation Bonds 7.60% due 11/01/2040 | 430,000 | 665,184 | |||||||||
State of Illinois General Obligation Bonds 5.38% due 07/01/2018 | 485,000 | 487,445 | |||||||||
State of Illinois General Obligation Bonds 5.88% due 03/01/2019 | 700,000 | 715,155 | |||||||||
Total Municipal Bonds & Notes (cost $6,968,315) | 6,853,680 | ||||||||||
LOANS(9)(10)(15) — 1.2% | |||||||||||
Aerospace/Defense-Equipment — 0.0% | |||||||||||
TransDigm, Inc. FRS BTL-E 4.63% (1 ML+2.75%) due 05/14/2022 | 208,980 | 209,699 | |||||||||
Applications Software — 0.0% | |||||||||||
SS&C Technologies Holdings Europe SARL FRS BTL Coupon TBD due 02/28/2025 | 26,449 | 26,573 | |||||||||
SS&C Technologies, Inc. FRS BTL-B3 Coupon TBD due 02/28/2025 | 74,143 | 74,491 | |||||||||
101,064 | |||||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Univision Communications, Inc. FRS BTL 4.63% (1 ML+2.75%) due 03/15/2024 | 163,845 | 161,209 | |||||||||
Building & Construction-Misc. — 0.0% | |||||||||||
Ply Gem Industries, Inc. FRS BTL-B Coupon TBD due 03/28/2025(8) | 100,000 | 99,500 | |||||||||
Building Products-Cement — 0.0% | |||||||||||
Quikrete Holdings, Inc. FRS BTL-B 4.63% (1 ML+2.75%) due 11/15/2023 | 125,000 | 125,508 |
273
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
LOANS(9)(10)(15) (continued) | |||||||||||
Building-Heavy Construction — 0.0% | |||||||||||
Brand Energy & Infrastructure Services, Inc. FRS 1st Lien 6.00% (3 ML+4.25%) due 06/21/2024 | $ | 297,750 | $ | 299,942 | |||||||
Cable/Satellite TV — 0.1% | |||||||||||
Altice Financing SA FRS 1st Lien 4.47% (3 ML+2.75%) due 01/31/2026 | 99,750 | 97,713 | |||||||||
CSC Holdings LLC FRS BTL-B 4.04% (1 ML+2.25%) due 07/17/2025 | 149,805 | 149,543 | |||||||||
Numericable Group SA FRS BTL-B2 4.72% (3 ML+3.00%) due 01/31/2026 | 99,750 | 96,359 | |||||||||
Unitymedia Finance LLC FRS BTL-B 4.03% (1 ML+2.25%) due 09/30/2025 | 145,000 | 144,891 | |||||||||
488,506 | |||||||||||
Casino Hotels — 0.0% | |||||||||||
Boyd Gaming Corp. FRS BTL-B 4.25% (1 WL+2.50%) due 09/15/2023 | 119,479 | 120,076 | |||||||||
Caesars Resort Collection LLC FRS BTL-B 4.63% (1 ML+2.75%) due 12/23/2024 | 148,016 | 148,994 | |||||||||
269,070 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Communications, Inc. FRS BTL-B 4.44% (1 ML+2.50%) due 02/02/2024 | 321,750 | 321,650 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Chemours Co. FRS BTL-B1 6.25% (3 ML+1.50%) due 05/12/2022 | 138,616 | 138,501 | |||||||||
HB Fuller Co. FRS BTL-B 4.07% (1 ML+2.25%) due 10/20/2024 | 99,500 | 99,926 | |||||||||
MacDermid, Inc. FRS BTL-B6 4.88% (1 ML+3.00%) due 06/07/2023 | 184,451 | 185,512 | |||||||||
W.R. Grace & Co. FRS BTL-B1 Coupon TBD due 02/12/2025 | 36,842 | 36,934 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Chemicals-Specialty (continued) | |||||||||||
W.R. Grace & Co. FRS BTL-B2 Coupon TBD due 02/12/2025 | $ | 63,158 | $ | 63,316 | |||||||
524,189 | |||||||||||
Coal — 0.0% | |||||||||||
Foresight Energy LLC 1st Lien 7.63% (1 ML+5.75%) due 03/28/2022 | 202,950 | 198,764 | |||||||||
Commercial Services — 0.1% | |||||||||||
Brickman Group, Ltd. FRS BTL-B 4.85% (1 ML+3.00%) due 12/18/2020 | 332,420 | 334,238 | |||||||||
Camelot Finance LP FRS BTL 5.13% (1 ML+3.25%) due 10/03/2023 | 98,508 | 99,053 | |||||||||
433,291 | |||||||||||
Commercial Services-Finance — 0.0% | |||||||||||
WEX, Inc. FRS BTL-B2 4.13% (1 ML+2.25%) due 06/30/2023 | 294,750 | 296,500 | |||||||||
Computer Services — 0.1% | |||||||||||
Tempo Acquisition LLC FRS BTL-B 4.88% (1 ML+3.00%) due 05/01/2024 | 218,350 | 219,237 | |||||||||
Xerox Business Services LLC FRS BTL-B 4.88% (1 ML+3.00%) due 12/07/2023 | 128,375 | 128,910 | |||||||||
348,147 | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Berry Global, Inc. FRS BTL 3.74% (1 ML+2.00%) due 01/06/2021 | 427,179 | 428,781 | |||||||||
Flex Acquisition Co, Inc. FRS BTL 5.31% (3 ML+3.00%) due 12/29/2023 | 99,250 | 99,643 | |||||||||
Reynolds Group Holdings, Inc. FRS BTL-B 4.63% (1 ML+2.75%) due 02/05/2023(15) | 245,515 | 246,686 | |||||||||
775,110 | |||||||||||
Cosmetics & Toiletries — 0.0% | |||||||||||
Coty, Inc. FRS BTL-B 4.57% (1 ML+2.25%) due 03/28/2025(8) | 109,725 | 109,451 |
274
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
LOANS(9)(10)(15) (continued) | |||||||||||
Cosmetics & Toiletries (continued) | |||||||||||
Galleria Co. FRS BTL-B 4.94% (1 ML +3.00%) due 09/29/2023 | $ | 109,450 | $ | 109,450 | |||||||
218,901 | |||||||||||
Data Processing/Management — 0.1% | |||||||||||
First Data Corp. FRS BTL 4.12% (1 ML+2.25%) due 07/08/2022 | 590,944 | 591,756 | |||||||||
Dialysis Centers — 0.0% | |||||||||||
U.S. Renal Care, Inc. FRS BTL 6.55% (3 ML+4.25%) due 12/31/2022 | 234,600 | 235,553 | |||||||||
Direct Marketing — 0.0% | |||||||||||
Acosta, Inc. FRS BTL 5.13% (1 ML+3.25%) due 09/26/2021 | 125,793 | 106,059 | |||||||||
Distribution/Wholesale — 0.0% | |||||||||||
Univar USA, Inc. FRS BTL-B3 4.38% (1 ML+2.50%) due 07/01/2024 | 140,065 | 140,919 | |||||||||
Diversified Operations/Commercial Services — 0.0% | |||||||||||
PSAV Holdings LLC FRS BTL-B coupon TBD due 03/01/2025 | 100,000 | 100,000 | |||||||||
E-Commerce/Services — 0.0% | |||||||||||
Shutterfly, Inc. FRS BTL-B2 4.77% ((1 ML +2.75%) due 08/17/2024 | 100,000 | 100,500 | |||||||||
Electric-Generation — 0.0% | |||||||||||
Helix Gen Funding LLC FRS BTL-B 5.63% (1 ML+3.75%) due 06/02/2024 | 105,785 | 106,740 | |||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
Techem Gmbh BTL-B 3.00% (3 ML+3.00%) due 10/02/2024 | 160,000 | 196,696 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Almonde, Inc. FRS BTL-B Coupon TBD due 06/13/2024 | 238,800 | 238,468 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Extended Service Contracts — 0.0% | |||||||||||
Sedgwick Claims Management Services, Inc. FRS 1st Lien 4.63% (1 ML+2.75%) due 03/01/2021 | $ | 160,392 | $ | 160,231 | |||||||
Sedgwick Claims Management Services, Inc. FRS 2nd Lien 7.63% (1 ML+5.75%) due 02/28/2022 | 125,000 | 125,313 | |||||||||
285,544 | |||||||||||
Food-Baking — 0.0% | |||||||||||
Hostess Brands LLC FRS BTL-B 4.13% (1 ML+2.25%) due 08/03/2022 | 146,645 | 147,164 | |||||||||
Food-Flour & Grain — 0.0% | |||||||||||
Post Holdings, Inc. FRS BTL 3.88% (1 ML+2.00%) due 05/24/2024 | 208,425 | 208,783 | |||||||||
Food-Meat Products — 0.0% | |||||||||||
Informatica LLC FRS BTL-B Coupon TBD due 10/30/2022 | 103,603 | 103,188 | |||||||||
Food-Retail — 0.0% | |||||||||||
Albertson's LLC FRS BTL-B4 4.63% (1 ML+2.75%) due 08/25/2021 | 139,758 | 138,167 | |||||||||
Albertson's LLC FRS BTL-B5 5.29% (3 ML+3.00%) due 12/21/2022 | 98,507 | 97,522 | |||||||||
235,689 | |||||||||||
Gambling (Non-Hotel) — 0.1% | |||||||||||
CEOC LLC FRS BTL-B 4.38% (1 ML+2.50%) due 10/07/2024 | 159,600 | 160,484 | |||||||||
Golden Entertainment, Inc. FRS BTL-B 4.88% (1 ML+3.00) due 10/20/2024 | 209,475 | 209,475 | |||||||||
Scientific Games International, Inc. FRS BTL-B4 4.72% (1 ML+2.75) due 08/14/2024 | 114,713 | 115,071 | |||||||||
485,030 | |||||||||||
Gas-Distribution — 0.0% | |||||||||||
Powerteam Services LLC FRS 1st Lien 5.55% (3 ML+3.25%) due 02/27/2025 | 243,852 | 243,242 |
275
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
LOANS(9)(10)(15) (continued) | |||||||||||
Insurance Brokers — 0.1% | |||||||||||
HUB International, Ltd. FRS BTL-B 4.84% (3 ML+3.00%) due 10/02/2020 | $ | 336,008 | $ | 337,604 | |||||||
USI, Inc. FRS BTL-B 5.30% (3 ML+3.00%) due 05/16/2024 | 109,450 | 109,724 | |||||||||
447,328 | |||||||||||
Insurance-Property/Casualty — 0.0% | |||||||||||
Asurion LLC FRS BTL-B6 4.63% (1 ML+2.75%) due 11/03/2023 | 294,218 | 296,109 | |||||||||
Investment Management/Advisor Services — 0.0% | |||||||||||
AlixPartners LLP FRS BTL-B 5.05% (3 ML+2.75%) due 04/04/2024 | 99,000 | 99,371 | |||||||||
Machinery-General Industrial — 0.0% | |||||||||||
Gardner Denver, Inc. FRS BTL-B1 5.05% (3 ML+2.75%) due 07/30/2024 | 169,328 | 170,104 | |||||||||
RBS Global, Inc. FRS BTL-B 4.11% (1 ML+2.25%) due 08/21/2024 | 93,538 | 93,977 | |||||||||
264,081 | |||||||||||
Media — 0.0% | |||||||||||
Cineworld, Ltd. FRS BTL-B 4.38% (1 ML+2.50%) due 02/28/2025 | 105,000 | 104,816 | |||||||||
Meredith Corp. FRS BTL-B 4.88% (1 ML+3.00%) due 01/31/2025 | 100,000 | 100,542 | |||||||||
205,358 | |||||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Jaguar Holding Co. II FRS BTL 4.60% (1 ML+2.50) due 08/18/2022 | 220,087 | 220,609 | |||||||||
Syneos Health, Inc. FRS BTL-B 4.13% (1 ML+2.25%) due 06/28/2024 | 228,750 | 229,358 | |||||||||
449,967 | |||||||||||
Medical-Drugs — 0.0% | |||||||||||
Endo Luxembourg Finance Co. I SARL FRS BTL-B 6.19% (1 ML+4.25%) due 04/29/2024 | 183,613 | 183,245 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Medical-HMO — 0.1% | |||||||||||
MultiPlan, Inc. FRS BTL-B 5.05% (3 ML+2.75%) due 06/07/2023 | $ | 347,923 | $ | 349,445 | |||||||
Opal Acquisition, Inc. FRS 1st Lien 6.30% (3 ML+4.00%) due 11/27/2020 | 299,629 | 283,150 | |||||||||
632,595 | |||||||||||
Medical-Hospitals — 0.0% | |||||||||||
CHS/Community Health Systems, Inc. FRS BTL-G 4.73% (3 ML+2.75%) due 12/31/2019 | 23,126 | 22,529 | |||||||||
Metal Processors & Fabrication — 0.1% | |||||||||||
CIRCOR International, Inc. FRS 1st Lien 5.24% (1 ML+3.50%) due 12/11/2024 | 99,750 | 100,000 | |||||||||
Crosby US Acquisition Corp. FRS 1st Lien 4.90% (3 ML+3.00%) due 11/23/2020 | 223,396 | 219,263 | |||||||||
319,263 | |||||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Paragon Offshore, Ltd. Escrow Loans†(8)(11)(19) | 706 | 0 | |||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Ascent Resources-Marcellus LLC FRS 1st Lien 5.47% (1 ML+3.50%) due 08/04/2020(8) | 16,667 | 16,667 | |||||||||
California Resources Corp. BTL 12.22% (1 ML+10.38%) due 12/31/2021 | 130,000 | 145,600 | |||||||||
Chesapeake Energy Corp Term Loan FRS BTL 9.44% (3 ML+7.50%) due 08/23/2021(15) | 105,000 | 111,333 | |||||||||
273,600 | |||||||||||
Pharmacy Services — 0.0% | |||||||||||
Change Healthcare Holdings LLC FRS BTL-B 4.63% (1 ML +2.75%) due 03/01/2024 | 148,500 | 148,789 |
276
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
LOANS(9)(10)(15) (continued) | |||||||||||
Professional Sports — 0.0% | |||||||||||
Delta 2 Luxembourg SARL FRS BTL 4.57% (1 ML+3.00%) due 02/21/2024 | $ | 153,800 | $ | 153,993 | |||||||
Real Estate Management/Services — 0.0% | |||||||||||
DTZ US Borrower LLC FRS BTL-B 5.18% (3 ML+3.25%) due 11/04/2021 | 207,272 | 206,150 | |||||||||
Recreational Centers — 0.0% | |||||||||||
Town Sports International LLC FRS BTL-B 5.38% (1 ML+3.50%) due 11/15/2020 | 174,311 | 172,677 | |||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Staples, Inc. FRS BTL 5.79% (3 ML+4.00%) due 09/12/2024 | 129,675 | 128,432 | |||||||||
Retail-Sporting Goods — 0.0% | |||||||||||
Bass Pro Group LLC FRS BTL-B 6.88% (1 ML+5.00%) due 09/25/2024 | 124,375 | 123,100 | |||||||||
Rubber/Plastic Products — 0.0% | |||||||||||
Gates Global LLC FRS BTL-B2 5.05% (3 ML+2.75%) due 04/01/2024 | 124,703 | 125,342 | |||||||||
Soap & Cleaning Preparation — 0.0% | |||||||||||
Diamond BC BV FRS BTL 4.99% (2 ML+3.00%) due 09/06/2024 | 114,713 | 114,497 | |||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc. FRS BTL-B3 4.54% (2 ML+2.75%) due 12/18/2020 | 177,551 | 177,921 | |||||||||
Sinclair Television Group, Inc. FRS BTL-B1 Coupon TBD due 12/12/2024 | 100,000 | 100,425 | |||||||||
278,346 | |||||||||||
Total Loans (cost $12,998,256) | 13,041,153 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 1.6% | |||||||||||
Banks-Special Purpose — 0.1% | |||||||||||
Brazilian Development Bank Senior Notes 5.50% due 07/12/2020 | $ | 350,000 | $ | 362,618 | |||||||
Brazilian Development Bank Senior Notes 6.50% due 06/10/2019 | 350,000 | 361,718 | |||||||||
724,336 | |||||||||||
Central Bank — 0.0% | |||||||||||
Central Bank of Tunisia Senior Notes 5.75% due 01/30/2025 | 200,000 | 190,250 | |||||||||
Sovereign — 1.5% | |||||||||||
Abu Dhabi Government Senior Notes 3.13% due 10/11/2027* | 320,000 | 302,400 | |||||||||
Abu Dhabi Government Senior Notes 4.13% due 10/11/2047* | 1,620,000 | 1,515,679 | |||||||||
Dominican Republic Senior Notes 5.88% due 04/18/2024 | 260,000 | 273,005 | |||||||||
Dominican Republic Senior Notes 7.45% due 04/30/2044 | 280,000 | 316,400 | |||||||||
Government of Egypt Senior Notes 5.58% due 02/21/2023* | 200,000 | 202,840 | |||||||||
Government of Egypt Senior Notes 8.50% due 01/31/2047 | 200,000 | 222,900 | |||||||||
Government of Romania Senior Notes 6.13% due 01/22/2044 | 200,000 | 240,218 | |||||||||
Government of Ukraine Senior Notes 7.38% due 09/25/2032* | 200,000 | 192,800 | |||||||||
Kingdom of Jordan Senior Notes 7.38% due 10/10/2047 | 200,000 | 202,000 | |||||||||
Kingdom of Saudi Arabia Senior Notes 4.63% due 10/04/2047* | 1,480,000 | 1,411,550 | |||||||||
Oriental Republic of Uruguay Senior Notes 4.38% due 10/27/2027 | 135,000 | 138,956 | |||||||||
Oriental Republic of Uruguay Senior Notes 5.10% due 06/18/2050 | 125,000 | 128,125 | |||||||||
Republic of Argentina Senior Notes 4.63% due 01/11/2023 | 170,000 | 163,882 | |||||||||
Republic of Argentina Senior Notes 5.25% due 01/15/2028 | EUR | 385,000 | 461,880 | ||||||||
Republic of Argentina Senior Notes 5.88% due 01/11/2028 | 50,000 | 47,025 |
277
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||||||||
Sovereign (continued) | |||||||||||
Republic of Argentina Senior Notes 6.88% due 04/22/2021 | $ | 150,000 | $ | 159,000 | |||||||
Republic of Argentina Senior Notes 6.88% due 01/11/2048 | 100,000 | 91,250 | |||||||||
Republic of Argentina Senior Notes 8.28% due 12/31/2033 | 42,061 | 46,057 | |||||||||
Republic of Argentina Senior Notes 8.28% due 12/31/2033 | 168,245 | 184,228 | |||||||||
Republic of Azerbaijan Senior Notes 4.75% due 03/18/2024 | 200,000 | 201,200 | |||||||||
Republic of Chile Senior Notes 3.24% due 02/06/2028 | 405,000 | 397,103 | |||||||||
Republic of Chile Senior Notes 3.24% due 02/06/2028 | 270,000 | 264,735 | |||||||||
Republic of Colombia Senior Notes 7.38% due 09/18/2037 | 200,000 | 256,000 | |||||||||
Republic of Colombia Senior Notes 8.13% due 05/21/2024 | 100,000 | 122,250 | |||||||||
Republic of Croatia Senior Notes 6.38% due 03/24/2021 | 400,000 | 432,282 | |||||||||
Republic of Ecuador Senior Notes 7.88% due 01/23/2028* | 200,000 | 192,540 | |||||||||
Republic of Ecuador Senior Notes 9.63% due 06/02/2027 | 250,000 | 267,675 | |||||||||
Republic of Guatemala Senior Notes 4.38% due 06/05/2027* | 200,000 | 194,500 | |||||||||
Republic of Guatemala Senior Notes 4.38% due 06/05/2027 | 200,000 | 194,500 | |||||||||
Republic of Honduras Senior Notes 6.25% due 01/19/2027 | 300,000 | 317,091 | |||||||||
Republic of Hungary Senior Notes 5.38% due 02/21/2023 | 250,000 | 269,975 | |||||||||
Republic of Indonesia Senior Notes 2.95% due 01/11/2023 | 200,000 | 193,021 | |||||||||
Republic of Indonesia Senior Notes 5.88% due 01/15/2024 | 200,000 | 219,760 | |||||||||
Republic of Indonesia Senior Notes 6.63% due 02/17/2037 | 200,000 | 242,227 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Sovereign (continued) | |||||||||||
Republic of Ivory Coast Senior Notes 6.13% due 06/15/2033* | $ | 200,000 | $ | 190,048 | |||||||
Republic of Kazakhstan Senior Notes 6.50% due 07/21/2045 | 200,000 | 241,476 | |||||||||
Republic of Lebanon Senior Notes 5.80% due 04/14/2020 | 100,000 | 99,250 | |||||||||
Republic of Lebanon Senior Notes 8.25% due 04/12/2021 | 50,000 | 52,635 | |||||||||
Republic of Nigeria Senior Notes 7.14% due 02/23/2030* | 200,000 | 207,500 | |||||||||
Republic of Panama Senior Notes 4.00% due 09/22/2024 | 250,000 | 256,625 | |||||||||
Republic of Paraguay Senior Notes 4.63% due 01/25/2023 | 200,000 | 205,360 | |||||||||
Republic of Peru Senior Notes 5.63% due 11/18/2050 | 120,000 | 144,300 | |||||||||
Republic of Peru Senior Notes 8.75% due 11/21/2033 | 100,000 | 149,650 | |||||||||
Republic of Poland Senior Notes 5.13% due 04/21/2021 | 100,000 | 106,250 | |||||||||
Republic of Senegal Senior Notes 6.75% due 03/13/2048* | 200,000 | 195,880 | |||||||||
Republic of Serbia Senior Notes 4.88% due 02/25/2020 | 200,000 | 204,757 | |||||||||
Republic of South Africa Senior Notes 4.67% due 01/17/2024 | 130,000 | 130,499 | |||||||||
Republic of South Africa Senior Notes 6.25% due 03/08/2041 | 200,000 | 214,847 | |||||||||
Republic of Sri Lanka Senior Notes 6.83% due 07/18/2026 | 450,000 | 462,620 | |||||||||
Republic of the Philippines Senior Notes 4.00% due 01/15/2021 | 170,000 | 173,928 | |||||||||
Republic of Turkey Senior Notes 6.25% due 09/26/2022 | 200,000 | 211,839 | |||||||||
Republic of Turkey Notes 6.63% due 02/17/2045 | 200,000 | 197,770 | |||||||||
Republic of Turkey Senior Notes 8.00% due 02/14/2034 | 120,000 | 138,614 |
278
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares/ Principal Amount(17) | Value (Note 2) | |||||||||
Sovereign (continued) | |||||||||||
Republic of Zambia Senior Notes 8.50% due 04/14/2024 | $ | 200,000 | $ | 209,000 | |||||||
Russian Federation Senior Notes 4.38% due 03/21/2029* | 200,000 | 197,330 | |||||||||
Socialist Republic of Vietnam Senior Notes 4.80% due 11/19/2024 | 200,000 | 203,924 | |||||||||
Sultanate of Oman Senior Notes 5.63% due 01/17/2028* | 400,000 | 390,000 | |||||||||
Sultanate of Oman Senior Notes 6.75% due 01/17/2048* | 505,000 | 484,582 | |||||||||
United Mexican States Senior Notes 3.63% due 03/15/2022 | 230,000 | 233,896 | |||||||||
United Mexican States Senior Notes 3.75% due 01/11/2028 | 220,000 | 212,740 | |||||||||
United Mexican States Senior Notes 4.35% due 01/15/2047 | 200,000 | 182,776 | |||||||||
United Mexican States Senior Notes 4.75% due 03/08/2044 | 236,000 | 229,510 | |||||||||
15,992,660 | |||||||||||
Total Foreign Government Obligations (cost $17,390,816) | 16,907,246 | ||||||||||
COMMON STOCKS — 0.0% | |||||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
WMIH Corp.† | 1,989 | 2,824 | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Paragon Offshore Litigation Trust Class A†(11)(19) | 162 | 173 | |||||||||
Paragon Offshore Litigation Trust Class B†(11)(19) | 81 | 2,389 | |||||||||
2,562 | |||||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Ascent Resources- Marcellus LLC, Class A†(8) | 11,973 | 38,014 | |||||||||
TE Holdcorp LLC, Class A†(8)(11)(19) | 2,426 | 3,033 | |||||||||
41,047 | |||||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc.†(8)(11)(19) | 22 | 17,736 | |||||||||
Total Common Stocks (cost $126,741) | 64,169 | ||||||||||
PREFERRED SECURITIES — 0.0% | |||||||||||
Electric-Distribution — 0.0% | |||||||||||
Entergy Louisiana LLC 4.70% | 7,606 | 181,707 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Telecom Services — 0.0% | |||||||||||
Qwest Corp. 6.13% | 9,010 | $ | 185,066 | ||||||||
Total Preferred Securities (cost $415,371) | 366,773 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.7% | |||||||||||
Banks-Commercial — 0.4% | |||||||||||
Banco Bilbao Vizcaya Argentaria SA 6.13% due 11/16/2027(12) | $ | 1,000,000 | 969,500 | ||||||||
Banco Bilbao Vizcaya Argentaria SA 8.88% due 04/14/2021(12) | EUR | 200,000 | 291,227 | ||||||||
Banco de Sabadell SA 6.50% due 05/18/2022(12) | EUR | 400,000 | 521,006 | ||||||||
Bank of Nova Scotia 4.65% due 10/12/2022(12) | 410,000 | 386,938 | |||||||||
CaixaBank SA 6.75% due 06/13/2024(12) | EUR | 400,000 | 557,333 | ||||||||
Caixa Geral de Depositos SA 10.75% due 03/30/2022(12) | EUR | 200,000 | 284,608 | ||||||||
Intesa Sanpaolo SpA 7.70% due 09/17/2025*(12) | 825,000 | 864,187 | |||||||||
Rabobank Nederland 11.00% due 06/30/2019*(12) | 147,000 | 160,746 | |||||||||
4,035,545 | |||||||||||
Banks-Fiduciary — 0.0% | |||||||||||
State Street Corp. FRS 3.12% (3 ML+1.00%) due 06/01/2077 | 300,000 | 271,530 | |||||||||
Banks-Money Center — 0.0% | |||||||||||
BBVA Bancomer SA 5.13% due 01/18/2033* | 200,000 | 192,000 | |||||||||
Banks-Super Regional — 0.1% | |||||||||||
Huntington Bancshares, Inc. Series E 5.70% due 04/15/2023(12) | 138,000 | 138,690 | |||||||||
SunTrust Banks, Inc. 5.05% due 06/15/2022(12) | 292,000 | 290,175 | |||||||||
Wells Fargo Capital X 5.95% due 12/01/2086 | 84,000 | 90,720 | |||||||||
519,585 | |||||||||||
Diversified Banking Institutions — 0.9% | |||||||||||
Bank of America Corp. 5.88% due 03/15/2028(12) | 225,000 | 226,419 | |||||||||
Barclays PLC 7.88% due 03/15/2022(12) | 225,000 | 238,951 | |||||||||
BNP Paribas SA 5.13% due 11/15/2027*(12) | 285,000 | 261,131 | |||||||||
BNP Paribas SA 7.63% due 03/30/2021*(12) | 470,000 | 504,663 | |||||||||
Credit Agricole SA 8.13% due 12/23/2025*(12) | 1,125,000 | 1,281,586 | |||||||||
Credit Suisse Group AG 6.25% due 12/18/2024*(12) | 1,535,000 | 1,575,294 |
279
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Goldman Sachs Group, Inc. Series P 5.00% due 11/10/2022(12) | $ | 353,000 | $ | 343,293 | |||||||
HSBC Holdings PLC 6.00% due 05/22/2027(12) | 981,000 | 955,984 | |||||||||
HSBC Holdings PLC 6.25% due 03/23/2023(12) | 832,000 | 850,720 | |||||||||
JPMorgan Chase & Co. Series CC 4.63% due 11/01/2022(12) | 331,000 | 315,278 | |||||||||
JPMorgan Chase & Co. Series U 6.13% due 04/30/2024(12) | 192,000 | 201,120 | |||||||||
Societe Generale SA 7.38% due 09/13/2021*(12) | 800,000 | 851,000 | |||||||||
UBS Group AG 6.88% due 03/22/2021(12) | 450,000 | 471,600 | |||||||||
UBS Group AG 7.00% due 02/19/2025(12) | 200,000 | 215,250 | |||||||||
UBS Group AG 7.13% due 02/19/2020(12) | 900,000 | 936,000 | |||||||||
UniCredit SpA 6.63% due 06/03/2023(12) | EUR | 200,000 | 267,008 | ||||||||
9,495,297 | |||||||||||
Electric-Integrated — 0.0% | |||||||||||
Dominion Resources, Inc. 5.75% due 10/01/2054 | 123,000 | 129,950 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(8)(11) | 58,000 | 6 | |||||||||
Finance-Other Services — 0.0% | |||||||||||
National Rural Utilities Cooperative Finance Corp. 4.75% due 04/30/2043 | 142,000 | 145,116 | |||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Prudential Financial, Inc. 4.50% due 09/15/2047 | 87,000 | 82,911 | |||||||||
Prudential Financial, Inc. 5.63% due 06/15/2043 | 167,000 | 175,141 | |||||||||
258,052 | |||||||||||
Insurance-Multi-line — 0.1% | |||||||||||
Assurant, Inc. 7.00% due 03/27/2048 | 254,000 | 259,647 | |||||||||
MetLife, Inc. 6.40% due 12/15/2066 | 189,000 | 207,191 | |||||||||
466,838 | |||||||||||
Insurance-Property/Casualty — 0.1% | |||||||||||
ACE Capital Trust II 9.70% due 04/01/2030 | 250,000 | 362,500 | |||||||||
Progressive Corp. 5.38% due 03/15/2023(12) | 131,000 | 132,474 | |||||||||
494,974 |
Security Description | Principal/ Notional Amount(17)/ Shares | Value (Note 2) | |||||||||
Pipelines — 0.1% | |||||||||||
Enbridge, Inc. 5.50% due 07/15/2077 | $ | 254,000 | $ | 241,300 | |||||||
Energy Transfer Partners LP 6.25% due 02/15/2023(12) | 168,000 | 160,755 | |||||||||
EnLink Midstream Partners LP 6.00% due 12/15/2022(12) | 140,000 | 130,550 | |||||||||
Enterprise Products Operating LLC 4.88% due 08/16/2077 | 123,000 | 120,663 | |||||||||
Enterprise Products Operating LLC 5.25% due 08/16/2077 | 108,000 | 105,030 | |||||||||
TransCanada Trust 5.30% due 03/15/2077 | 112,000 | 110,600 | |||||||||
TransCanada Trust 5.63% due 05/20/2075 | 83,000 | 85,075 | |||||||||
953,973 | |||||||||||
Tools-Hand Held — 0.0% | |||||||||||
Stanley Black & Decker, Inc. 5.75% due 12/15/2053 | 284,000 | 286,840 | |||||||||
Total Preferred Securities/Capital Securities (cost $16,404,765) | 17,249,706 | ||||||||||
OPTIONS — PURCHASED†(11)(20) — 0.0% | |||||||||||
Put Options — Purchased (cost $623,914) | 38,090,000 | 420,899 | |||||||||
WARRANTS† — 0.0% | |||||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Ascent Resources-Marcellus LLC Expires 03/30/2023(8) (strike price $6.15) (cost $296) | 3,100 | 310 | |||||||||
Total Long-Term Investment Securities (cost $1,195,706,264) | 1,188,528,427 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.5% | |||||||||||
Foreign Government Obligations — 0.4% | |||||||||||
Government of Egypt Bills 17.41% due 10/16/2018 | EGP | 11,075,000 | 574,167 | ||||||||
Republic of Argentina Bills 3.06% due 06/15/2018 | 1,702,413 | 1,691,839 | |||||||||
Republic of Argentina Bills 3.13% due 05/24/2018 | 504,252 | 502,077 | |||||||||
Republic of Argentina Bills 3.30% due 04/27/2018 | 890,031 | 888,329 | |||||||||
3,656,412 | |||||||||||
Registered Investment Companies — 0.1% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.58%(21) | 1,206,656 | 1,206,656 | |||||||||
Total Short-Term Investment Securities (cost $4,864,647) | 4,863,068 |
280
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS — 0.5% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(16) | $ | 1,335,000 | $ | 1,335,000 | |||||||
Barclays Capital, Inc. Joint Repurchase Agreement(16) | 780,000 | 780,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(16) | 1,325,000 | 1,325,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(16) | 1,030,000 | 1,030,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(16) | 515,000 | 515,000 | |||||||||
Total Repurchase Agreements (cost $4,985,000) | 4,985,000 | ||||||||||
TOTAL INVESTMENTS (cost $1,205,555,911)(22) | 112.8 | % | 1,198,376,495 | ||||||||
Liabilities in excess of other assets | (12.8 | ) | (135,830,872 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 1,062,545,623 |
@ See Note 1
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2018, the aggregate value of these securities was $212,582,944 representing 20.0% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.
† Non-income producing security
(1) Collateralized Mortgage Obligation
(2) Collateralized Loan Obligation
(3) 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 above.
(4) Commercial Mortgage Backed Security
(5) Interest Only
(6) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2018.
(7) The security or a portion thereof was pledged as collateral to cover margin requirements for open future contracts.
(8) Securities classified as Level 3 (see Note 2).
(9) The Portfolio invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offer Rate ("LIBOR") or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Portfolio is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan.
(10) Senior loans in the Portfolio are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown.
(11) Illiquid security. At March 31, 2018, the aggregate value of these securities was $4,979,874 representing 0.5% of net assets.
(12) Perpetual maturity — maturity date reflects the next call date.
(13) Principal amount of security is adjusted for inflation.
(14) Security in default of interest.
(15) All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.
(16) See Note 2 for details of Joint Repurchase Agreements.
(17) Denominated in United States dollars unless otherwise indicated.
(18) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(19) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2018, the SA Multi-Managed Diversified Fixed Income Portfolio held the following restricted securities:
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Loans: | |||||||||||||||||||||||||||
Paragon Offshore, Ltd. Escrow Loans | 07/18/2016 | 706 | $ | 0 | $ | 0 | $ | 0.00 | 0.00 | % | |||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
ION Media Networks, Inc. | 03/05/2014 | 22 | 0 | 17,736 | 806.17 | 0.00 | |||||||||||||||||||||
Paragon Offshore Litigation Trust, Class A | 07/11/2014 | 162 | 92 | 173 | 1.07 | 0.00 | |||||||||||||||||||||
Paragon Offshore Litigation Trust, Class B | 07/14/2014 | 81 | 1,377 | 2,389 | 29.49 | 0.00 | |||||||||||||||||||||
TE Holdcorp. LLC, Class A | 09/18/2014 | 2,426 | 89,032 | 3,033 | 1.25 | 0.00 | |||||||||||||||||||||
$ | 23,331 | 0.00 | % |
281
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
(20) Purchased Options:
Over the Counter Purchased Put Options on Interest Rate Swap Contracts
Issue | Counterparty | Expiration Month | Strike Rate | Notional Amount(000's) | Premiums Paid | Value at March 31, 2018 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Put option to enter into an interest rate swap for the right to pay a fixed rate of 3.20% versus 10 Yr. U.S. Treasury Bonds maturing on 02/28/2019 | Bank of America, N.A. | March 2019 | 3.20 | % | $ | 38,090 | $ | 623,914 | $ | 420,899 | $ | (203,015 | ) |
(21) The rate shown is the 7-day yield as of March 31, 2018.
(22) See Note 4 for cost of investments on a tax basis.
ARS — Argentine Peso
BTL — Bank Term Loan
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
EGP — Egyptian Pound
EUR — Euro Currency
REMIC — Real Estate Mortgage Investment Conduit
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
TBD — Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to the settlement.
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on the FRS and VRS are the current interest rates at March 31, 2018 and unless otherwise, the dates shown are the original maturity dates.
Index Legend |
1 ML — 1 Month USD LIBOR
2 ML — 2 Month USD LIBOR
3 ML — 3 Month USD LIBOR
6 ML — 6 Month USD LIBOR
12 ML — 12 Month USD LIBOR
12 MTA — 12 Month USD Treasury Average Index
1 Yr USTYCR — 1 Year US Treasury Yield Curve Rate
COFI 11th District Cost of Funds
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
28 | Long | 90 Day Eurodollar | March 2019 | $ | 6,812,400 | $ | 6,818,700 | $ | 6,300 | ||||||||||||||||||
55 | Short | 90 Day Eurodollar | March 2020 | 13,361,038 | 13,365,688 | (4,650 | ) | ||||||||||||||||||||
35 | Short | Canadian 10 Year Bond | June 2018 | 3,600,514 | 3,620,484 | (19,970 | ) | ||||||||||||||||||||
196 | Short | U.S. Treasury 10 Year Notes | June 2018 | 23,615,299 | 23,743,563 | (128,264 | ) | ||||||||||||||||||||
115 | Short | U.S. Treasury 10 Year Ultra Bonds | June 2018 | 14,718,359 | 14,933,828 | (215,469 | ) | ||||||||||||||||||||
84 | Long | U.S. Treasury 2 Year Notes | June 2018 | 17,866,172 | 17,859,188 | (6,984 | ) | ||||||||||||||||||||
339 | Long | U.S. Treasury 5 Year Notes | June 2018 | 38,680,328 | 38,802,258 | 121,930 | |||||||||||||||||||||
120 | Long | U.S. Treasury Long Bonds | June 2018 | 17,299,259 | 17,595,000 | 295,741 | |||||||||||||||||||||
71 | Short | U.S. Treasury Ultra Bonds | June 2018 | 11,027,218 | 11,393,281 | (366,063 | ) | ||||||||||||||||||||
$ | (317,429 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Morgan Stanley and Co. | EUR | 1,771,000 | USD | 2,190,072 | 04/30/2018 | $ | 6,914 | $ | — | ||||||||||||||
State Street Bank and Trust Co. | EUR | 384,000 | USD | 476,449 | 06/20/2018 | 1,270 | — | ||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 8,184 | $ | — |
EUR — Euro Currency
USD — United States Dollar
282
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Centrally Cleared Interest Rate Swap Contracts
Rates Exchanged | Value | ||||||||||||||||||||||
Notional Amount (000's) | Maturity Date | Payments Received by the Portfolio/Frequency | Payments Made by the Portfolio/Frequency | Upfront Payments Made (Received) by the Portfolio | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
USD | 2,070 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-Compound/Annually | 2.18%/Annually | $ | — | $ | 21,456 | |||||||||||||||
USD | 2,015 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-Compound/Annually | 2.18%/Annually | (3,252 | ) | 24,137 | ||||||||||||||||
USD | 270 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-Compound/Annually | 2.25%/Annually | 3,257 | (1,645 | ) | ||||||||||||||||
USD | 985 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-Compound/Annually | 2.25%/Annually | 11,869 | (5,988 | ) | ||||||||||||||||
USD | 2,945 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-Compound/Annually | 2.06%/Annually | 65,778 | (13,657 | ) | ||||||||||||||||
USD | 1,670 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-Compound/Annually | 2.46%/Annually | — | (11,520 | ) | ||||||||||||||||
USD | 1,675 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-Compound/Annually | 2.45%/Annually | — | (11,036 | ) | ||||||||||||||||
USD | 1,465 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-Compound/Annually | 2.45%/Annually | — | (9,585 | ) | ||||||||||||||||
USD | 4,835 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (107,550 | ) | 182,344 | ||||||||||||||||
USD | 24,026 | 06/20/2028 | USD-LIBOR-BBA/Quarterly | 2.25%/Semi-annually | 1,339,241 | (195,465 | ) | ||||||||||||||||
$ | 1,309,343 | $ | (20,959 | ) |
Centrally Cleared Credit Default Swaps on Credit Indicies — Sell Protection(1)
Value(4) | |||||||||||||||||||||||||||
Reference Obligation | Fixed Deal (Pay) Rate | Termination Date | Implied Credit Spread at March 31, 2018(2) | Notional Amount (000's)(3) | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Markit CDX Emerging Markets Index | (1.00 | )% | 12/20/2022 | 1.17 | % | $ | 2,243 | $ | 24,283 | $ | (7,828 | ) |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
OIS — Overnight Index Swap
USD — United States Dollar
(1) If the Portfolio is a seller of protection and 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 (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.
(2) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or 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 upfront 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 or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as "Defaulted" indicates a credit event has occurred for the referenced entity or obligation.
(3) The maximum potential amount the Portfolio could be required to make 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) The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, 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 or risk of default or other credit event occurring as defined under the terms of the agreement.
283
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Asset Backed Securities: | |||||||||||||||||||
Diversified Financial Services | $ | — | $ | 155,036,939 | $ | 4,185,088 | $ | 159,222,027 | |||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Airlines | — | 627,697 | 12,158 | 639,855 | |||||||||||||||
Finance-Investment Banker/Broker | — | 328,915 | 23 | 328,938 | |||||||||||||||
Gambling (Non-Hotel) | — | 61,690 | 21 | 61,711 | |||||||||||||||
Other Industries | — | 284,881,505 | — | 284,881,505 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 70,836,056 | — | 70,836,056 | |||||||||||||||
U.S. Government Agencies | — | 238,208,937 | — | 238,208,937 | |||||||||||||||
U.S. Government Treasuries | — | 379,445,462 | — | 379,445,462 | |||||||||||||||
Municipal Bond & Notes | — | 6,853,680 | — | 6,853,680 | |||||||||||||||
Loans: | |||||||||||||||||||
Building & Construction-Misc. | — | — | 99,500 | 99,500 | |||||||||||||||
Cosmetics & Toiletries | — | 109,450 | 109,451 | 218,901 | |||||||||||||||
Oil & Gas Drilling | — | — | 0 | 0 | |||||||||||||||
Oil Companies-Exploration & Production | — | 256,933 | 16,667 | 273,600 | |||||||||||||||
Other Industries | — | 12,449,152 | — | 12,449,152 | |||||||||||||||
Foreign Government Obligations | — | 16,907,246 | — | 16,907,246 | |||||||||||||||
Common Stocks: | |||||||||||||||||||
Oil Companies-Exploration & Production | — | — | 41,047 | 41,047 | |||||||||||||||
Television | — | — | 17,736 | 17,736 | |||||||||||||||
Other Industries | 2,824 | 2,562 | — | 5,386 | |||||||||||||||
Preferred Securities | 366,773 | — | — | 366,773 | |||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 6 | 6 | |||||||||||||||
Other Industries | — | 17,249,700 | — | 17,249,700 | |||||||||||||||
Options | — | 420,899 | — | 420,899 | |||||||||||||||
Warrants | — | — | 310 | 310 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Foreign Government Obligatons | — | 3,656,412 | — | 3,656,412 | |||||||||||||||
Registered Investment Companies | 1,206,656 | — | — | 1,206,656 | |||||||||||||||
Repurchase Agreements | — | 4,985,000 | — | 4,985,000 | |||||||||||||||
Total Investments at Value | $ | 1,576,253 | $ | 1,192,318,235 | $ | 4,482,007 | $ | 1,198,376,495 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 423,971 | $ | — | $ | — | $ | 423,971 | |||||||||||
Forward Foreign Currency Contracts | — | 8,184 | — | 8,184 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 227,937 | — | 227,937 | |||||||||||||||
Total Other Financial Instruments | $ | 423,971 | $ | 236,121 | $ | — | $ | 660,092 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 741,400 | $ | — | $ | — | $ | 741,400 | |||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 248,896 | — | 248,896 | |||||||||||||||
Centrally Cleared Credit Default Swaps on Credit Indices — Sell Protection | — | 7,828 | — | 7,828 | |||||||||||||||
Total Other Financial Instruments | $ | 741,400 | $ | 256,724 | $ | — | $ | 998,124 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.
At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.
See Notes to Financial Statements
284
Seasons Series Trust SA Wellington Real Return Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Sovereign | 40.4 | % | |||||
United States Treasury Notes | 33.4 | ||||||
United States Treasury Bonds | 14.7 | ||||||
Repurchase Agreements | 6.3 | ||||||
94.8 | % | ||||||
Credit Quality†# | |||||||
Aaa | 66.4 | % | |||||
Aa | 22.5 | ||||||
A | 3.0 | ||||||
Baa | 8.1 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
† Source: Moody's
# Calculated as a percentage of total debt issues, excluding short-term securities.
@ See Note 1
285
Seasons Series Trust SA Wellington Real Return Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS(1) — 40.4% | |||||||||||
Sovereign — 40.4% | |||||||||||
Federal Republic of Germany Bonds 0.10% due 04/15/2023 | EUR | 24,743,985 | $ | 32,851,268 | |||||||
Government of Australia Senior Notes 1.00% due 11/21/2018 | AUD | 6,187,008 | 4,765,033 | ||||||||
Government of Australia Senior Notes 3.00% due 09/20/2025 | AUD | 3,452,266 | 3,091,450 | ||||||||
Government of Australia Senior Notes 4.00% due 08/20/2020 | AUD | 18,981,760 | 15,758,120 | ||||||||
Government of Canada Bonds 2.00% due 12/01/2041 | CAD | 12,555,153 | 12,868,265 | ||||||||
Government of Canada Bonds 4.25% due 12/01/2021 | CAD | 14,105,788 | 12,569,135 | ||||||||
Government of France Bonds 0.10% due 03/01/2025 | EUR | 4,906,856 | 6,503,238 | ||||||||
Government of France Bonds 0.25% due 07/25/2024 | EUR | 14,538,544 | 19,692,582 | ||||||||
Government of France Bonds 1.10% due 07/25/2022 | EUR | 16,016,058 | 22,135,639 | ||||||||
Government of France Bonds 1.30% due 07/25/2019 | EUR | 11,302,785 | 14,511,706 | ||||||||
Government of France Bonds 2.10% due 07/25/2023 | EUR | 6,673,239 | 9,717,325 | ||||||||
Government of Japan Senior Notes 0.10% due 03/10/2027 | JPY | 2,068,538,316 | 20,647,475 | ||||||||
Government of Japan Senior Bonds 0.10% due 03/10/2025 | JPY | 467,224,500 | 4,621,968 | ||||||||
Government of New Zealand Senior Notes 2.00% due 09/20/2025 | NZD | 17,168,650 | 12,913,775 | ||||||||
Government of Spain Senior Notes 0.55% due 11/30/2019* | EUR | 8,113,638 | 10,417,403 | ||||||||
Republic of Italy Senior Notes 2.35% due 09/15/2024* | EUR | 17,613,467 | 25,285,289 | ||||||||
Republic of Italy Senior Notes 2.60% due 09/15/2023 | EUR | 8,571,815 | 12,379,234 | ||||||||
United Kingdom Gilt Treasury Bonds 0.13% due 03/22/2024 | GBP | 8,882,640 | 14,020,231 |
Security Description | Principal Amount(9) | Value (Note 2) | |||||||||
Sovereign (continued) | |||||||||||
United Kingdom Gilt Treasury Notes 0.13% due 03/22/2026 | GBP | 5,325,907 | $ | 8,651,777 | |||||||
United Kingdom Inflation Linked Gilt Treasury Bonds 1.88% due 11/22/2022 | GBP | 8,154,837 | 13,616,177 | ||||||||
United Kingdom Inflation Linked Gilt Treasury Bonds 2.50% due 04/16/2020 | GBP | 12,220,915 | 18,748,671 | ||||||||
United Kingdom Inflation Linked Gilt Treasury Bonds 2.50% due 07/17/2024 | GBP | 10,174,346 | 18,165,665 | ||||||||
Total Foreign Government Obligations (cost $301,882,325) | 313,931,426 | ||||||||||
U.S. GOVERNMENT TREASURIES(1) — 48.1% | |||||||||||
United States Treasury Bonds — 14.7% | |||||||||||
2.38% due 01/15/2025 TIPS | 47,195,222 | 52,849,785 | |||||||||
2.50% due 01/15/2029 TIPS | 51,749,835 | 61,298,983 | |||||||||
114,148,768 | |||||||||||
United States Treasury Notes — 33.4% | |||||||||||
0.13% due 04/15/2019 TIPS(2)(3) | 13,809,475 | 13,799,174 | |||||||||
0.13% due 04/15/2021 TIPS | 75,549,581 | 74,906,230 | |||||||||
0.13% due 01/15/2022 TIPS | 476,299 | 471,233 | |||||||||
0.13% due 07/15/2024 TIPS | 40,108,732 | 39,186,008 | |||||||||
0.25% due 01/15/2025 TIPS | 11,910,147 | 11,647,873 | |||||||||
0.38% due 07/15/2025 TIPS | 40,192,238 | 39,684,350 | |||||||||
0.63% due 07/15/2021 TIPS | 36,062,269 | 36,500,087 | |||||||||
0.63% due 01/15/2024 TIPS | 19,707,451 | 19,812,287 | |||||||||
0.63% due 01/15/2026 TIPS | 24,152,288 | 24,148,705 | |||||||||
260,155,947 | |||||||||||
Total U.S. Government Treasuries (cost $378,107,451) | 374,304,715 | ||||||||||
COMMON STOCKS — 0.0% | |||||||||||
Printing-Commercial — 0.0% | |||||||||||
Quad/Graphics, Inc. | 56 | 1,420 | |||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc.†(4)(5)(6) | 233 | 187,838 | |||||||||
Total Common Stocks (cost $2) | 189,258 | ||||||||||
Total Long-Term Investment Securities (cost $679,989,778) | 688,425,399 |
286
Seasons Series Trust SA Wellington Real Return Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Security Description | Shares/ Principal Amount(9) | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS — 6.3% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(7) | $ | 13,020,000 | $ | 13,020,000 | |||||||
Barclays Capital, Inc. Joint Repurchase Agreement(7) | 7,645,000 | 7,645,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(7) | 13,000,000 | 13,000,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(7) | 10,135,000 | 10,135,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(7) | 5,045,000 | 5,045,000 | |||||||||
Total Repurchase Agreements (cost $48,845,000) | 48,845,000 | ||||||||||
TOTAL INVESTMENTS (cost $728,834,778)(8) | 94.8 | % | 737,270,399 | ||||||||
Other assets less liabilities | 5.2 | 40,175,067 | |||||||||
NET ASSETS | 100.0 | % | $ | 777,445,466 |
@ See Note 1
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2018, the aggregate value of these securities was $35,702,692 representing 4.6% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.
† Non-income producing security
(1) Principal amount of security is adjusted for inflation.
(2) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(3) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(4) Illiquid security. At March 31, 2018, the aggregate value of this security was $187,838 representing 0.0% of net assets.
(5) Securities classified as Level 3 (see Note 2).
(6) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2018, the Portfolio held the following restricted securities:
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
ION Media Networks, Inc. | 12/21/2016 | 233 | $ | 2 | $ | 187,838 | $ | 806.17 | 0.02 | % |
(7) See Note 2 for details of Joint Repurchase Agreements.
(8) See Note 4 for cost of investments on a tax basis.
(9) Denominated in United States dollars unless otherwise indicated.
AUD — Australian Dollar
CAD — Canadian Dollar
EUR — Euro Currency
GBP — Pound Sterling
JPY — Japanese Yen
NZD — New Zealand Dollar
TIPS — Treasury Inflation Protected Securities
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
51 | Short | Canada 10 Year Bonds | June 2018 | $ | 5,246,444 | $ | 5,275,562 | $ | (29,118 | ) | |||||||||||||||||
176 | Short | U.S. Treasury 10 Year Notes | June 2018 | 21,220,500 | 21,320,750 | (100,250 | ) | ||||||||||||||||||||
84 | Short | U.S. Treasury 10 Year Ultra Notes | June 2018 | 10,792,213 | 10,908,188 | (115,975 | ) | ||||||||||||||||||||
144 | Short | U.S. Ultra Bonds | June 2018 | 22,338,760 | 23,107,500 | (768,740 | ) | ||||||||||||||||||||
$ | (1,014,083 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
287
Seasons Series Trust SA Wellington Real Return Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||||
Australia and New Zealand Banking Group | JPY | 6,723,191,000 | USD | 63,937,529 | 04/27/2018 | $ | 667,219 | $ | — | ||||||||||||||||||||||
Bank of Montreal | CAD | 32,423,000 | USD | 25,211,600 | 04/30/2018 | 31,434 | — | ||||||||||||||||||||||||
Barclays Bank PLC Wholesale | AUD | 30,870,000 | USD | 23,859,824 | 04/30/2018 | 149,981 | — | ||||||||||||||||||||||||
GBP | 52,557,000 | USD | 74,476,633 | 04/30/2018 | 657,670 | — | |||||||||||||||||||||||||
NZD | 17,679,000 | USD | 12,820,599 | 04/30/2018 | 44,831 | — | |||||||||||||||||||||||||
852,482 | — | ||||||||||||||||||||||||||||||
Morgan Stanley and Co., International PLC | EUR | 124,638,000 | USD | 154,131,090 | 04/30/2018 | 486,565 | — | ||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 2,037,700 | $ | — |
AUD — Australian Dollar
CAD — Canadian Dollar
EUR — Euro Currency
GBP — Pound Sterling
JPY — Japanese Yen
NZD — New Zealand Dollar
USD — United States Dollar
Centrally Cleared Interest Rate Swap Contracts
Rates Exchanged | Value | ||||||||||||||||||||||
Notional Amount (000's) | Maturity Date | Payments Made by the Portfolio/Frequency | Payments Received by the Portfolio/Frequency | Upfront Payments Made (Received) by the Portfolio | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
USD | 8,437 | 11/15/2024 | 1 Year USD Federal Funds — H.15-OIS-Compound/Annually | 2.44%/Annually | $ | — | $ | (50,130 | ) |
OIS — Overnight Index Swap
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Foreign Government Obligations | $ | — | $ | 313,931,426 | $ | — | $ | 313,931,426 | |||||||||||
U.S. Government Treasuries | — | 374,304,715 | — | 374,304,715 | |||||||||||||||
Common Stocks | |||||||||||||||||||
Printing-Commercial | 1,420 | — | — | 1,420 | |||||||||||||||
Television | — | — | 187,838 | 187,838 | |||||||||||||||
Repurchase Agreements | — | 48,845,000 | — | 48,845,000 | |||||||||||||||
Total Investments at Value | $ | 1,420 | $ | 737,081,141 | $ | 187,838 | $ | 737,270,399 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 2,037,700 | $ | — | $ | 2,037,700 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 1,014,083 | $ | — | $ | — | $ | 1,014,083 | |||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 50,130 | — | 50,130 | |||||||||||||||
Total Other Financial Instruments | $ | 1,014,083 | $ | 50,130 | $ | — | $ | 1,064,213 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Other financial instruments are derivative instruments, not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
288
Seasons Series Trust SA Wellington Real Return Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.
At the beginning and end of the reporting period, Level 3 investment in securities were not considered a material portion of the Portfolio.
See Notes to Financial Statements
289
Seasons Series Trust SA Columbia Focused Growth Portfolio
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Medical-Biomedical/Gene | 12.5 | % | |||||
E-Commerce/Services | 8.2 | ||||||
E-Commerce/Products | 7.9 | ||||||
Applications Software | 7.1 | ||||||
Commercial Services-Finance | 4.0 | ||||||
Electronic Components-Semiconductors | 3.8 | ||||||
Internet Content-Entertainment | 3.6 | ||||||
Finance-Credit Card | 3.4 | ||||||
Electronic Forms | 3.4 | ||||||
Semiconductor Equipment | 3.2 | ||||||
Finance-Investment Banker/Broker | 3.2 | ||||||
Athletic Footwear | 3.2 | ||||||
Beverages-Non-alcoholic | 3.1 | ||||||
Medical-Drugs | 3.1 | ||||||
Computer Software | 3.0 | ||||||
Entertainment Software | 2.9 | ||||||
Banks-Commercial | 2.6 | ||||||
Industrial Automated/Robotic | 2.5 | ||||||
Retail-Perfume & Cosmetics | 2.4 | ||||||
Diagnostic Kits | 2.3 | ||||||
Medical Instruments | 2.2 | ||||||
Schools | 2.2 | ||||||
Medical-HMO | 2.2 | ||||||
Retail-Discount | 2.1 | ||||||
Aerospace/Defense | 2.1 | ||||||
Oil Companies-Exploration & Production | 2.0 | ||||||
Decision Support Software | 1.6 | ||||||
Repurchase Agreements | 0.4 | ||||||
100.2 | % |
* Calculated as a percentage of net assets
290
Seasons Series Trust SA Columbia Focused Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 99.8% | |||||||||||
Aerospace/Defense — 2.1% | |||||||||||
Northrop Grumman Corp. | 7,832 | $ | 2,734,308 | ||||||||
Applications Software — 7.1% | |||||||||||
salesforce.com, Inc.† | 39,165 | 4,554,889 | |||||||||
ServiceNow, Inc.† | 28,406 | 4,699,773 | |||||||||
9,254,662 | |||||||||||
Athletic Footwear — 3.2% | |||||||||||
NIKE, Inc., Class B | 62,383 | 4,144,727 | |||||||||
Banks-Commercial — 2.6% | |||||||||||
First Republic Bank | 37,200 | 3,445,092 | |||||||||
Beverages-Non-alcoholic — 3.1% | |||||||||||
Monster Beverage Corp.† | 70,366 | 4,025,639 | |||||||||
Commercial Services-Finance — 4.0% | |||||||||||
PayPal Holdings, Inc.† | 67,660 | 5,133,364 | |||||||||
Computer Software — 3.0% | |||||||||||
Splunk, Inc.† | 39,021 | 3,839,276 | |||||||||
Decision Support Software — 1.6% | |||||||||||
MSCI, Inc. | 13,626 | 2,036,678 | |||||||||
Diagnostic Kits — 2.3% | |||||||||||
IDEXX Laboratories, Inc.† | 15,583 | 2,982,430 | |||||||||
E-Commerce/Products — 7.9% | |||||||||||
Alibaba Group Holding, Ltd. ADR† | 24,438 | 4,485,351 | |||||||||
Amazon.com, Inc.† | 4,012 | 5,806,728 | |||||||||
10,292,079 | |||||||||||
E-Commerce/Services — 8.2% | |||||||||||
Booking Holdings, Inc.† | 2,710 | 5,637,857 | |||||||||
Ctrip.com International, Ltd. ADR† | 57,839 | 2,696,454 | |||||||||
MercadoLibre, Inc. | 6,418 | 2,287,311 | |||||||||
10,621,622 | |||||||||||
Electronic Components-Semiconductors — 3.8% | |||||||||||
NVIDIA Corp. | 21,375 | 4,950,236 | |||||||||
Electronic Forms — 3.4% | |||||||||||
Adobe Systems, Inc.† | 20,516 | 4,433,097 | |||||||||
Entertainment Software — 2.9% | |||||||||||
Activision Blizzard, Inc. | 56,426 | 3,806,498 | |||||||||
Finance-Credit Card — 3.4% | |||||||||||
Visa, Inc., Class A | 37,448 | 4,479,530 | |||||||||
Finance-Investment Banker/Broker — 3.2% | |||||||||||
Charles Schwab Corp. | 79,463 | 4,149,558 | |||||||||
Industrial Automated/Robotic — 2.5% | |||||||||||
Cognex Corp. | 61,327 | 3,188,391 | |||||||||
Internet Content-Entertainment — 3.6% | |||||||||||
Facebook, Inc., Class A† | 29,133 | 4,655,162 | |||||||||
Medical Instruments — 2.2% | |||||||||||
Edwards Lifesciences Corp.† | 20,520 | 2,862,950 | |||||||||
Medical-Biomedical/Gene — 12.5% | |||||||||||
Alexion Pharmaceuticals, Inc.† | 33,138 | 3,693,562 | |||||||||
Celgene Corp.† | 39,407 | 3,515,498 | |||||||||
Illumina, Inc.† | 18,408 | 4,352,019 | |||||||||
Vertex Pharmaceuticals, Inc.† | 28,616 | 4,663,836 | |||||||||
16,224,915 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
Medical-Drugs — 3.1% | |||||||||||
Bristol-Myers Squibb Co. | 63,195 | $ | 3,997,084 | ||||||||
Medical-HMO — 2.2% | |||||||||||
UnitedHealth Group, Inc. | 13,106 | 2,804,684 | |||||||||
Oil Companies-Exploration & Production — 2.0% | |||||||||||
Pioneer Natural Resources Co. | 15,073 | 2,589,240 | |||||||||
Retail-Discount — 2.1% | |||||||||||
Costco Wholesale Corp. | 14,668 | 2,763,891 | |||||||||
Retail-Perfume & Cosmetics — 2.4% | |||||||||||
ULTA Beauty, Inc.† | 15,243 | 3,113,688 | |||||||||
Schools — 2.2% | |||||||||||
New Oriental Education & Technology Group, Inc. ADR | 32,643 | 2,861,159 | |||||||||
Semiconductor Equipment — 3.2% | |||||||||||
Applied Materials, Inc. | 75,732 | 4,211,456 | |||||||||
Total Long-Term Investment Securities (cost $98,459,249) | 129,601,416 | ||||||||||
REPURCHASE AGREEMENTS — 0.4% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.28% dated 03/29/2018, to be repurchased 04/02/2018 in the amount of $501,016 and collateralized by $535,000 of United States Treasury Notes, bearing interest at 2.25% due 02/15/2027 and having an approximate value of $514,113 (cost $501,000) | $ | 501,000 | 501,000 | ||||||||
TOTAL INVESTMENTS (cost $98,960,249)(1) | 100.2 | % | 130,102,416 | ||||||||
Liabilities in excess of other assets | (0.2 | ) | (299,100 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 129,803,316 |
† Non-income producing security
(1) See Note 4 for cost of investments on a tax basis.
ADR — American Depositary Receipt
291
Seasons Series Trust SA Columbia Focused Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Common Stocks | $ | 129,601,416 | $ | — | $ | — | $ | 129,601,416 | |||||||||||
Repurchase Agreements | — | 501,000 | — | 501,000 | |||||||||||||||
Total Investments at Value | $ | 129,601,416 | $ | 501,000 | $ | — | $ | 130,102,416 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.
See Notes to Financial Statements
292
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Diversified Banking Institutions | 14.7 | % | |||||
Electric-Integrated | 5.9 | ||||||
Tobacco | 5.5 | ||||||
Transport-Rail | 4.5 | ||||||
Oil Refining & Marketing | 4.2 | ||||||
Telephone-Integrated | 3.9 | ||||||
Chemicals-Diversified | 3.7 | ||||||
Oil Companies-Exploration & Production | 3.6 | ||||||
Food-Meat Products | 3.5 | ||||||
Computer Services | 3.2 | ||||||
Medical-HMO | 3.2 | ||||||
Insurance-Life/Health | 3.1 | ||||||
Banks-Super Regional | 3.1 | ||||||
Retail-Building Products | 3.1 | ||||||
Semiconductor Equipment | 3.0 | ||||||
Semiconductor Components-Integrated Circuits | 3.0 | ||||||
Instruments-Controls | 3.0 | ||||||
Insurance-Multi-line | 2.9 | ||||||
Electronic Components-Misc. | 2.7 | ||||||
Medical-Drugs | 2.6 | ||||||
Medical Products | 2.6 | ||||||
Aerospace/Defense-Equipment | 2.5 | ||||||
Oil-Field Services | 2.5 | ||||||
Pipelines | 2.3 | ||||||
Oil Companies-Integrated | 2.2 | ||||||
Pharmacy Services | 1.9 | ||||||
Retail-Discount | 1.1 | ||||||
Telecommunication Equipment | 1.1 | ||||||
Repurchase Agreements | 1.0 | ||||||
99.6 | % |
* Calculated as a percentage of net assets
293
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 98.6% | |||||||||||
Aerospace/Defense-Equipment — 2.5% | |||||||||||
United Technologies Corp. | 63,000 | $ | 7,926,660 | ||||||||
Banks-Super Regional — 3.1% | |||||||||||
Wells Fargo & Co. | 185,000 | 9,695,850 | |||||||||
Chemicals-Diversified — 3.7% | |||||||||||
FMC Corp. | 149,500 | 11,447,215 | |||||||||
Computer Services — 3.2% | |||||||||||
Teradata Corp.† | 256,500 | 10,175,355 | |||||||||
Diversified Banking Institutions — 14.7% | |||||||||||
Bank of America Corp. | 400,000 | 11,996,000 | |||||||||
Citigroup, Inc. | 160,000 | 10,800,000 | |||||||||
JPMorgan Chase & Co. | 117,000 | 12,866,490 | |||||||||
Morgan Stanley | 190,000 | 10,252,400 | |||||||||
45,914,890 | |||||||||||
Electric-Integrated — 5.9% | |||||||||||
AES Corp. | 701,000 | 7,970,370 | |||||||||
NextEra Energy, Inc. | 65,000 | 10,616,450 | |||||||||
18,586,820 | |||||||||||
Electronic Components-Misc. — 2.7% | |||||||||||
Corning, Inc. | 301,200 | 8,397,456 | |||||||||
Food-Meat Products — 3.5% | |||||||||||
Tyson Foods, Inc., Class A | 150,000 | 10,978,500 | |||||||||
Instruments-Controls — 3.0% | |||||||||||
Honeywell International, Inc. | 65,000 | 9,393,150 | |||||||||
Insurance-Life/Health — 3.1% | |||||||||||
Unum Group | 206,000 | 9,807,660 | |||||||||
Insurance-Multi-line — 2.9% | |||||||||||
MetLife, Inc. | 200,000 | 9,178,000 | |||||||||
Medical Products — 2.6% | |||||||||||
Baxter International, Inc. | 124,000 | 8,064,960 | |||||||||
Medical-Drugs — 2.6% | |||||||||||
Bristol-Myers Squibb Co. | 130,000 | 8,222,500 | |||||||||
Medical-HMO — 3.2% | |||||||||||
Humana, Inc. | 37,000 | 9,946,710 | |||||||||
Oil Companies-Exploration & Production — 3.6% | |||||||||||
Anadarko Petroleum Corp. | 184,127 | 11,123,112 | |||||||||
Oil Companies-Integrated — 2.2% | |||||||||||
Chevron Corp. | 59,204 | 6,751,624 | |||||||||
Oil Refining & Marketing — 4.2% | |||||||||||
Marathon Petroleum Corp. | 90,000 | 6,579,900 | |||||||||
Valero Energy Corp. | 70,000 | 6,493,900 | |||||||||
13,073,800 | |||||||||||
Oil-Field Services — 2.5% | |||||||||||
Halliburton Co. | 163,500 | 7,674,690 | |||||||||
Pharmacy Services — 1.9% | |||||||||||
Express Scripts Holding Co.† | 84,000 | 5,802,720 | |||||||||
Pipelines — 2.3% | |||||||||||
Williams Cos., Inc. | 290,500 | 7,221,830 | |||||||||
Retail-Building Products — 3.1% | |||||||||||
Lowe's Cos., Inc. | 109,500 | 9,608,625 | |||||||||
Retail-Discount — 1.1% | |||||||||||
Costco Wholesale Corp. | 19,000 | 3,580,170 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
Semiconductor Components-Integrated Circuits — 3.0% | |||||||||||
QUALCOMM, Inc. | 172,084 | $ | 9,535,175 | ||||||||
Semiconductor Equipment — 3.0% | |||||||||||
Applied Materials, Inc. | 171,600 | 9,542,676 | |||||||||
Telecommunication Equipment — 1.1% | |||||||||||
Juniper Networks, Inc. | 140,000 | 3,406,200 | |||||||||
Telephone-Integrated — 3.9% | |||||||||||
Verizon Communications, Inc. | 257,000 | 12,289,740 | |||||||||
Tobacco — 5.5% | |||||||||||
Altria Group, Inc. | 114,500 | 7,135,640 | |||||||||
Philip Morris International, Inc. | 100,000 | 9,940,000 | |||||||||
17,075,640 | |||||||||||
Transport-Rail — 4.5% | |||||||||||
CSX Corp. | 160,000 | 8,913,600 | |||||||||
Union Pacific Corp. | 39,500 | 5,309,985 | |||||||||
14,223,585 | |||||||||||
Total Long-Term Investment Securities (cost $238,985,139) | 308,645,313 | ||||||||||
REPURCHASE AGREEMENTS — 1.0% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.28% dated 03/29/2018, to be repurchased 04/02/2018 in the amount of $2,977,093 and collateralized by $3,100,000 of United States Treasury Notes, bearing interest at 2.25% due 11/15/2024 and having an approximate value of $3,039,389 (cost $2,977,000) | $ | 2,977,000 | 2,977,000 | ||||||||
TOTAL INVESTMENTS (cost $241,962,139)(1) | 99.6 | % | 311,622,313 | ||||||||
Other assets less liabilities | 0.4 | 1,270,962 | |||||||||
NET ASSETS | 100.0 | % | $ | 312,893,275 |
† Non-income producing security
(1) See Note 4 for cost of investments on a tax basis.
294
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Common Stocks | $ | 308,645,313 | $ | — | $ | — | $ | 308,645,313 | |||||||||||
Repurchase Agreements | — | 2,977,000 | — | 2,977,000 | |||||||||||||||
Total Investments at Value | $ | 308,645,313 | $ | 2,977,000 | $ | — | $ | 311,622,313 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.
See Notes to Financial Statements
295
Seasons Series Trust SA Allocation Growth Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Domestic Equity Investment Companies | 59.1 | % | |||||
International Equity Investment Companies | 23.0 | ||||||
Domestic Fixed Income Investment Companies | 18.0 | ||||||
100.1 | % |
* Calculated as a percentage of net assets
@ See Note 1
296
Seasons Series Trust SA Allocation Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.1% | |||||||||||
Domestic Equity Investment Companies — 59.1% | |||||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 866,173 | $ | 13,269,765 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 866,782 | 14,492,594 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 82,272 | 1,561,521 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 119,311 | 2,003,239 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 131,595 | 1,879,175 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 81,010 | 3,690,816 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1† | 30,215 | 703,410 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 94,238 | 895,261 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 167,520 | 5,893,344 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 100,124 | 1,914,367 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1† | 370,291 | 8,201,940 | |||||||||
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 110,733 | 2,442,778 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 377,399 | 5,011,864 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 169,104 | 1,877,058 | |||||||||
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 196,002 | 4,304,206 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 320,513 | 3,631,408 | |||||||||
Total Domestic Equity Investment Companies (cost $69,131,382) | 71,772,746 | ||||||||||
Domestic Fixed Income Investment Companies — 18.0% | |||||||||||
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 113,840 | 1,688,248 | |||||||||
Seasons Series Trust SA Multi -Managed Diversified Fixed Income Portfolio, Class 1 | 428,126 | 4,936,294 | |||||||||
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1 | 289,431 | 2,790,118 | |||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1 | 57,005 | 602,540 | |||||||||
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1 | 169,359 | 2,238,921 | |||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1† | 334,533 | 3,382,129 |
Security Description | Shares | Value (Note 2) | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1† | 309,474 | $ | 3,045,226 | ||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 256,188 | 2,262,144 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 163,692 | 929,768 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $22,333,014) | 21,875,388 | ||||||||||
International Equity Investment Companies — 23.0% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 1,277,323 | 12,402,806 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 569,715 | 6,511,846 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 332,802 | 3,178,260 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 344,345 | 3,705,149 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 186,787 | 2,063,994 | |||||||||
Total International Equity Investment Companies (cost $25,746,595) | 27,862,055 | ||||||||||
TOTAL INVESTMENTS (cost $117,210,991)(2) | 100.1 | % | 121,510,189 | ||||||||
Liabilities in excess of other assets | (0.1 | ) | (71,773 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 121,438,416 |
# The Seasons Series Trust SA Allocation Growth Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Anchor Series Trust, Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information of the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.
@ See Note 1
† Non-income producing security
(1) See Note 8
(2) See Note 4 for cost of investments on a tax basis.
297
Seasons Series Trust SA Allocation Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Affiliated Registered Investment Companies | $ | 121,510,189 | $ | — | $ | — | $ | 121,510,189 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.
See Notes to Financial Statements
298
Seasons Series Trust SA Allocation Moderate Growth Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Domestic Equity Investment Companies | 47.8 | % | |||||
Domestic Fixed Income Investment Companies | 34.3 | ||||||
International Equity Investment Companies | 17.9 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
@ See Note 1
299
Seasons Series Trust SA Allocation Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0% | |||||||||||
Domestic Equity Investment Companies — 47.8% | |||||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 2,941,244 | $ | 45,059,861 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 2,930,416 | 48,996,553 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 262,869 | 4,989,245 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 417,926 | 7,016,979 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 440,770 | 6,294,200 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 267,577 | 12,190,796 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1† | 130,199 | 3,031,034 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 354,822 | 3,370,809 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 561,760 | 19,762,726 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 295,151 | 5,643,278 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1† | 1,365,260 | 30,240,515 | |||||||||
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 387,549 | 8,549,336 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 1,315,462 | 17,469,342 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 238,113 | 2,643,057 | |||||||||
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 674,192 | 14,805,266 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 1,105,389 | 12,524,054 | |||||||||
Total Domestic Equity Investment Companies (cost $228,335,740) | 242,587,051 | ||||||||||
Domestic Fixed Income Investment Companies — 34.3% | |||||||||||
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 856,331 | 12,699,394 | |||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 5,708,689 | 65,821,188 | |||||||||
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1 | 2,205,687 | 21,262,826 |
Security Description | Shares | Value (Note 2) | |||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1 | 463,824 | $ | 4,902,620 | ||||||||
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1 | 1,257,092 | 16,618,759 | |||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1† | 1,356,215 | 13,711,334 | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1† | 1,280,815 | 12,603,221 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 2,378,055 | 20,998,225 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 1,031,306 | 5,857,818 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $177,792,499) | 174,475,385 | ||||||||||
International Equity Investment Companies — 17.9% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 4,102,781 | 39,837,999 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 2,011,416 | 22,990,483 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 977,883 | 9,338,787 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 1,153,001 | 12,406,294 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 573,485 | 6,337,005 | |||||||||
Total International Equity Investment Companies (cost $82,667,526) | 90,910,568 | ||||||||||
TOTAL INVESTMENTS (cost $488,795,765)(2) | 100.0 | % | 507,973,004 | ||||||||
Liabilities in excess of other assets | (0.0 | ) | (212,583 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 507,760,421 |
# The Seasons Series Trust SA Allocation Moderate Growth Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Anchor Series Trust, Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information of the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus
@ See Note 1
† Non-income producing security
(1) See Note 8
(2) See Note 4 for cost of investments on a tax basis.
300
Seasons Series Trust SA Allocation Moderate Growth Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Affliated Registered Invesment Companies | $ | 507,973,004 | $ | — | $ | — | $ | 507,973,004 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.
See Notes to Financial Statements
301
Seasons Series Trust SA Allocation Moderate Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Domestic Fixed Income Investment Companies | 43.2 | % | |||||
Domestic Equity Investment Companies | 42.3 | ||||||
International Equity Investment Companies | 14.5 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
@ See Note 1
302
Seasons Series Trust SA Allocation Moderate Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0% | |||||||||||
Domestic Equity Investment Companies — 42.3% | |||||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 1,623,124 | $ | 24,866,260 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 1,594,479 | 26,659,692 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 146,482 | 2,780,236 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 234,490 | 3,937,088 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 246,596 | 3,521,399 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 159,546 | 7,268,930 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1† | 52,760 | 1,228,252 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 179,585 | 1,706,056 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 308,123 | 10,839,769 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 169,874 | 3,247,985 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1† | 702,255 | 15,554,961 | |||||||||
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 207,860 | 4,585,384 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 712,870 | 9,466,907 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 121,239 | 1,345,751 | |||||||||
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 383,109 | 8,413,080 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 678,102 | 7,682,893 | |||||||||
Total Domestic Equity Investment Companies (cost $126,329,110) | 133,104,643 | ||||||||||
Domestic Fixed Income Investment Companies — 43.2% | |||||||||||
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 644,053 | 9,551,306 | |||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 4,418,703 | 50,947,645 | |||||||||
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1 | 1,668,377 | 16,083,155 | |||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1 | 300,544 | 3,176,754 | |||||||||
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1 | 946,993 | 12,519,249 | |||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1† | 1,178,842 | 11,918,089 |
Security Description | Shares | Value (Note 2) | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1† | 1,128,900 | $ | 11,108,374 | ||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 1,829,897 | 16,157,991 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 796,498 | 4,524,111 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $138,775,993) | 135,986,674 | ||||||||||
International Equity Investment Companies — 14.5% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 2,071,846 | 20,117,623 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 968,493 | 11,069,874 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 510,970 | 4,879,761 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 582,216 | 6,264,644 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 282,950 | 3,126,595 | |||||||||
Total International Equity Investment Companies (cost $41,581,500) | 45,458,497 | ||||||||||
TOTAL INVESTMENTS (cost $306,686,603)(2) | 100.0 | % | 314,549,814 | ||||||||
Liabilities in excess of other assets | (0.0 | ) | (142,517 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 314,407,297 |
# The Seasons Series Trust Allocation Moderate Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Anchor Series Trust, Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information of the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.
@ See Note 1
† Non-income producing security
(1) See Note 8
(2) See Note 4 for cost of investments on a tax basis.
303
Seasons Series Trust SA Allocation Moderate Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Affiliated Registered Investment Companies | $ | 314,549,814 | $ | — | $ | — | $ | 314,549,814 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
@ See Note 1
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.
See Notes to Financial Statements
304
Seasons Series Trust SA Allocation Balanced Portfolio@
PORTFOLIO PROFILE — March 31, 2018 (unaudited)
Industry Allocation* | |||||||
Domestic Fixed Income Investment Companies | 59.5 | % | |||||
Domestic Equity Investment Companies | 30.1 | ||||||
International Equity Investment Companies | 10.4 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
@ See Note 1
305
Seasons Series Trust SA Allocation Balanced Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0% | |||||||||||
Domestic Equity Investment Companies — 30.1% | |||||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 832,518 | $ | 12,754,183 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 816,866 | 13,658,003 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 71,145 | 1,350,326 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 116,366 | 1,953,788 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 132,850 | 1,897,092 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 80,618 | 3,672,956 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1† | 23,854 | 555,311 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 91,336 | 867,692 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 156,834 | 5,517,414 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 95,573 | 1,827,356 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1† | 339,470 | 7,519,269 | |||||||||
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 108,263 | 2,388,281 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 353,998 | 4,701,090 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 65,678 | 729,026 | |||||||||
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 203,377 | 4,466,154 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 363,334 | 4,116,578 | |||||||||
Total Domestic Equity Investment Companies (cost $64,553,472) | 67,974,519 | ||||||||||
Domestic Fixed Income Investment Companies — 59.5% | |||||||||||
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 617,710 | 9,160,640 | |||||||||
Seasons Series Trust SA Multi -Managed Diversified Fixed Income Portfolio, Class 1 | 4,571,473 | 52,709,087 | |||||||||
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1 | 1,598,311 | 15,407,722 | |||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1 | 312,466 | 3,302,761 | |||||||||
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1 | 905,716 | 11,973,567 | |||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1† | 1,142,843 | 11,554,142 |
Security Description | Shares | Value (Note 2) | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1† | 1,087,207 | $ | 10,698,114 | ||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 1,733,697 | 15,308,546 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 762,815 | 4,332,788 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $137,215,611) | 134,447,367 | ||||||||||
International Equity Investment Companies — 10.4% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 1,066,317 | 10,353,942 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 503,032 | 5,749,650 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 236,497 | 2,258,546 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 317,365 | 3,414,849 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 153,752 | 1,698,955 | |||||||||
Total International Equity Investment Companies (cost $21,396,677) | 23,475,942 | ||||||||||
TOTAL INVESTMENTS (cost $223,165,760)(2) | 100.0 | % | 225,897,828 | ||||||||
Liabilities in excess of other assets | (0.0 | ) | (39,509 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 225,858,319 |
# The Seasons Series Trust SA Allocation Balanced Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Anchor Series Trust, Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information of the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.
@ See Note 1
† Non-income producing security
(1) See Note 8
(2) See Note 4 for cost of investments on a tax basis.
306
Seasons Series Trust SA Allocation Balanced Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2018 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2018 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Affliated Registered Investment Companies | $ | 225,897,828 | $ | — | $ | — | $ | 225,897,828 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
The Portfolio's policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.
See Notes to Financial Statements
307
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
March 31, 2018
SA Multi- Managed Growth Portfolio# | SA Multi- Managed Moderate Growth Portfolio# | SA Multi- Managed Income/ Equity Portfolio# | SA Multi- Managed Income Portfolio# | SA Putnam Asset Allocation Diversified Growth Portfolio# | |||||||||||||||||||
ASSETS: | |||||||||||||||||||||||
Investments at value (unaffiliated)* | $ | 56,934,491 | $ | 99,714,785 | $ | 73,437,403 | $ | 63,155,950 | $ | 148,388,429 | |||||||||||||
Investments at value (affiliated)* | — | — | — | — | — | ||||||||||||||||||
Repurchase agreements (cost approximates value) | 215,000 | 75,000 | 180,000 | 520,000 | 1,691,000 | ||||||||||||||||||
Cash | 104,513 | 88,982 | 57,465 | 68,601 | — | ||||||||||||||||||
Foreign cash* | 101 | 240 | 274 | 274 | 63,216 | ||||||||||||||||||
Cash collateral for futures contracts | 29,930 | 60,268 | — | — | 41,134 | ||||||||||||||||||
Cash collateral for centrally cleared swap contracts | — | — | — | — | — | ||||||||||||||||||
Due from broker | — | — | — | — | 1,484 | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | 6,154 | 225 | 1,721 | 2,301 | 163,739 | ||||||||||||||||||
Dividends and interest | 109,919 | 251,813 | 245,070 | 252,671 | 406,312 | ||||||||||||||||||
Investments sold | 52,246 | 477,150 | 443,206 | 429,322 | 292,621 | ||||||||||||||||||
Investments sold on an extended settlement basis | — | — | — | — | 72,744 | ||||||||||||||||||
Receipts on swap contracts | 97 | 255 | 296 | 216 | 25,647 | ||||||||||||||||||
Prepaid expenses and other assets | 4,099 | 4,169 | 4,125 | 4,110 | 4,456 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | 19 | 22 | — | — | 23,940 | ||||||||||||||||||
Variation margin on futures contracts | 5,514 | 11,165 | 10,792 | 9,268 | 182,999 | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 816 | — | 44,354 | ||||||||||||||||||
Swap premiums paid | — | — | — | 9,049 | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | 10,471 | 27,746 | 32,520 | 44,083 | 205,581 | ||||||||||||||||||
Total assets | 57,472,554 | 100,711,820 | 74,413,688 | 64,495,845 | 151,607,656 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 76,607 | 30,425 | 75,720 | 305,076 | 213,537 | ||||||||||||||||||
Investments purchased | 293,845 | 620,781 | 586,796 | 586,796 | 852,200 | ||||||||||||||||||
Investments purchased on an extended settlement basis | 3,942,522 | 11,847,074 | 12,873,111 | 13,843,978 | 1,081,094 | ||||||||||||||||||
Payments on swap contracts | 1,003 | 2,623 | 3,048 | 2,276 | 2,768 | ||||||||||||||||||
Investment advisory and management fees | 40,675 | 64,234 | 41,812 | 32,489 | 107,333 | ||||||||||||||||||
Service fees — Class 2 | 2,490 | 5,494 | 4,231 | 3,478 | 7,125 | ||||||||||||||||||
Service fees — Class 3 | 5,136 | 7,697 | 4,019 | 3,581 | 16,341 | ||||||||||||||||||
Transfer agent fees and expenses | 102 | 102 | 102 | 128 | 494 | ||||||||||||||||||
Trustees' fees and expenses | 206 | 268 | 227 | 199 | 292 | ||||||||||||||||||
Other accrued expenses | 96,388 | 105,267 | 92,326 | 91,854 | 138,217 | ||||||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | 6,502 | ||||||||||||||||||
Variation margin on futures contracts | 5,724 | 14,963 | 16,980 | 20,358 | 49,106 | ||||||||||||||||||
Due to custodian | — | — | — | — | 177,771 | ||||||||||||||||||
Due to custodian for foreign cash | — | — | — | — | — | ||||||||||||||||||
Due to broker | 8,565 | 22,944 | 27,087 | 51,111 | — | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 14,618 | 38,669 | 45,028 | 44,911 | 22,042 | ||||||||||||||||||
Swap premiums received | 683 | 1,851 | 2,315 | — | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | 1,485 | 3,564 | 3,779 | 3,747 | 159,410 | ||||||||||||||||||
Total liabilities | 4,490,049 | 12,765,956 | 13,776,581 | 14,989,982 | 2,834,232 | ||||||||||||||||||
NET ASSETS | $ | 52,982,505 | $ | 87,945,864 | $ | 60,637,107 | $ | 49,505,863 | $ | 148,773,424 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 48,553,842 | $ | 88,711,696 | $ | 69,542,214 | $ | 61,605,104 | $ | 134,514,833 | |||||||||||||
Investments (affiliated) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Foreign cash | $ | 94 | $ | 232 | $ | 259 | $ | 257 | $ | 63,362 |
# See Note 1
See Notes to Financial Statements
308
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2018
SA Multi- Managed Growth Portfolio# | SA Multi- Managed Moderate Growth Portfolio# | SA Multi- Managed Income/ Equity Portfolio# | SA Multi- Managed Income Portfolio# | SA Putnam Asset Allocation Diversified Growth Portfolio# | |||||||||||||||||||
NET ASSETS REPRESENTED BY: | |||||||||||||||||||||||
Capital paid-in | $ | 39,958,106 | $ | 70,894,230 | $ | 53,402,704 | $ | 46,015,443 | $ | 126,569,212 | |||||||||||||
Accumulated undistributed net investment income (loss) | 393,928 | 961,200 | 1,040,970 | 967,912 | 2,680,946 | ||||||||||||||||||
Accumulated undistributed net realized gain (loss) on investments, futures contracts, written options contracts, swap contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds | 4,265,594 | 5,109,661 | 2,332,061 | 1,014,993 | 5,785,420 | ||||||||||||||||||
Unrealized appreciation (depreciation) on investments | 8,380,649 | 11,003,089 | 3,895,189 | 1,550,846 | 13,873,596 | ||||||||||||||||||
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts | (1,038 | ) | 16,686 | 10,777 | 1,961 | (152,785 | ) | ||||||||||||||||
Unrealized foreign exchange gain (loss) on other assets and liabilities | (14,734 | ) | (39,002 | ) | (44,594 | ) | (45,292 | ) | 23,093 | ||||||||||||||
Unrealized appreciation (depreciation) on securities sold short | — | — | — | — | — | ||||||||||||||||||
Accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | (6,058 | ) | |||||||||||||||||
NET ASSETS | $ | 52,982,505 | $ | 87,945,864 | $ | 60,637,107 | $ | 49,505,863 | $ | 148,773,424 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 9,976,412 | $ | 9,450,058 | $ | 8,614,094 | $ | 5,537,911 | $ | 15,727,014 | |||||||||||||
Shares of beneficial interest issued and outstanding | 586,090 | 732,453 | 769,777 | 501,084 | 1,294,827 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 17.02 | $ | 12.90 | $ | 11.19 | $ | 11.05 | $ | 12.15 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 19,251,461 | $ | 42,662,139 | $ | 33,123,473 | $ | 27,062,106 | $ | 55,476,705 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,131,859 | 3,311,646 | 2,964,093 | 2,452,073 | 4,567,145 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 17.01 | $ | 12.88 | $ | 11.17 | $ | 11.04 | $ | 12.15 | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 23,754,632 | $ | 35,833,667 | $ | 18,899,540 | $ | 16,905,846 | $ | 77,569,705 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,399,598 | 2,785,218 | 1,690,574 | 1,531,992 | 6,402,864 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 16.97 | $ | 12.87 | $ | 11.18 | $ | 11.04 | $ | 12.11 |
# See Note 1
See Notes to Financial Statements
309
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2018
SA T. Rowe Price Growth Stock Portfolio# | SA Multi- Managed Large Cap Growth Portfolio# | SA Multi- Managed Large Cap Value Portfolio# | SA Multi- Managed Mid Cap Growth Portfolio# | SA Multi- Managed Mid Cap Value Portfolio# | |||||||||||||||||||
ASSETS: | |||||||||||||||||||||||
Investments at value (unaffiliated)* | $ | 413,378,725 | $ | 510,954,057 | $ | 858,460,462 | $ | 225,735,140 | $ | 252,138,275 | |||||||||||||
Investments at value (affiliated)* | — | — | 1,311,685 | — | — | ||||||||||||||||||
Repurchase agreements (cost approximates value) | — | 1,103,000 | 6,192,000 | 4,205,000 | 143,000 | ||||||||||||||||||
Cash | 111,117 | 56,531 | 172,063 | 37,460 | 70,009 | ||||||||||||||||||
Foreign cash* | — | — | 2 | — | 25,214 | ||||||||||||||||||
Cash collateral for futures contracts | — | — | — | — | 21 | ||||||||||||||||||
Cash collateral for centrally cleared swap contracts | — | — | — | — | — | ||||||||||||||||||
Due from broker | — | — | — | — | — | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | 13,537 | 379,151 | 758,796 | 124,954 | 182,852 | ||||||||||||||||||
Dividends and interest | 177,680 | 291,967 | 1,685,376 | 106,159 | 367,658 | ||||||||||||||||||
Investments sold | 15,184 | 20,418 | 705,253 | 589,258 | 292,130 | ||||||||||||||||||
Investments sold on an extended settlement basis | — | — | — | — | — | ||||||||||||||||||
Receipts on swap contracts | — | — | — | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 5,088 | 5,171 | 6,549 | 4,516 | 4,697 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | — | — | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | — | 26,900 | 16,200 | 5,380 | 10,760 | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 26,515 | — | — | ||||||||||||||||||
Swap premiums paid | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Total assets | 413,701,331 | 512,837,195 | 869,334,901 | 230,807,867 | 253,234,616 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 153,299 | 460,088 | 355,171 | 189,394 | 49,874 | ||||||||||||||||||
Investments purchased | 665,713 | — | 432,202 | 434,040 | 341,563 | ||||||||||||||||||
Investments purchased on an extended settlement basis | — | — | — | — | — | ||||||||||||||||||
Payments on swap contracts | — | — | — | — | — | ||||||||||||||||||
Investment advisory and management fees | 302,608 | 343,906 | 556,661 | 168,925 | 183,874 | ||||||||||||||||||
Service fees — Class 2 | 5,923 | 4,576 | 3,522 | 3,043 | 3,219 | ||||||||||||||||||
Service fees — Class 3 | 8,160 | 4,041 | 3,198 | 3,300 | 3,536 | ||||||||||||||||||
Transfer agent fees and expenses | 486 | 307 | 281 | 384 | 384 | ||||||||||||||||||
Trustees' fees and expenses | 924 | 998 | 2,154 | 462 | 631 | ||||||||||||||||||
Other accrued expenses | 99,185 | 108,306 | 161,779 | 83,621 | 90,747 | ||||||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | — | — | — | — | — | ||||||||||||||||||
Due to custodian | — | — | — | — | — | ||||||||||||||||||
Due to custodian for foreign cash | — | — | — | — | — | ||||||||||||||||||
Due to broker | — | 28 | 28 | — | — | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 17,550 | — | — | ||||||||||||||||||
Swap premiums received | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Total liabilities | 1,236,298 | 922,250 | 1,532,546 | 883,169 | 673,828 | ||||||||||||||||||
NET ASSETS | $ | 412,465,033 | $ | 511,914,945 | $ | 867,802,355 | $ | 229,924,698 | $ | 252,560,788 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 308,117,426 | $ | 383,091,485 | $ | 776,896,627 | $ | 173,787,532 | $ | 222,868,677 | |||||||||||||
Investments (affiliated) | $ | — | $ | — | $ | 1,322,083 | $ | — | $ | — | |||||||||||||
Foreign cash | $ | — | $ | — | $ | 2 | $ | — | $ | 25,188 |
# See Note 1
See Notes to Financial Statements
310
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2018
SA T. Rowe Price Growth Stock Portfolio# | SA Multi- Managed Large Cap Growth Portfolio# | SA Multi- Managed Large Cap Value Portfolio# | SA Multi- Managed Mid Cap Growth Portfolio# | SA Multi- Managed Mid Cap Value Portfolio# | |||||||||||||||||||
NET ASSETS REPRESENTED BY: | |||||||||||||||||||||||
Capital paid-in | $ | 212,343,454 | $ | 307,027,130 | $ | 692,527,904 | $ | 154,483,858 | $ | 207,374,677 | |||||||||||||
Accumulated undistributed net investment income (loss) | (2 | ) | 2,940,323 | 14,906,168 | 1,965 | 2,082,911 | |||||||||||||||||
Accumulated undistributed net realized gain (loss) on investments, futures contracts, written options contracts, swap contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds | 94,860,291 | 74,170,552 | 78,843,525 | 23,503,717 | 13,857,771 | ||||||||||||||||||
Unrealized appreciation (depreciation) on investments | 105,261,299 | 127,862,572 | �� | 81,553,437 | 51,947,608 | 29,269,598 | |||||||||||||||||
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts | — | (85,620 | ) | (37,520 | ) | (12,443 | ) | (24,887 | ) | ||||||||||||||
Unrealized foreign exchange gain (loss) on other assets and liabilities | (9 | ) | (12 | ) | 8,841 | (7 | ) | 718 | |||||||||||||||
Unrealized appreciation (depreciation) on securities sold short | — | — | — | — | — | ||||||||||||||||||
Accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | — | ||||||||||||||||||
NET ASSETS | $ | 412,465,033 | $ | 511,914,945 | $ | 867,802,355 | $ | 229,924,698 | $ | 252,560,788 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 333,144,415 | $ | 458,603,349 | $ | 825,844,479 | $ | 191,354,519 | $ | 211,202,787 | |||||||||||||
Shares of beneficial interest issued and outstanding | 12,198,102 | 29,930,336 | 49,389,236 | 10,081,358 | 12,577,587 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 27.31 | $ | 15.32 | $ | 16.72 | $ | 18.98 | $ | 16.79 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 43,404,157 | $ | 34,894,936 | $ | 27,174,293 | $ | 23,376,759 | $ | 25,021,080 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,633,500 | 2,323,780 | 1,627,094 | 1,287,266 | 1,494,665 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 26.57 | $ | 15.02 | $ | 16.70 | $ | 18.16 | $ | 16.74 | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 35,916,461 | $ | 18,416,660 | $ | 14,783,583 | $ | 15,193,420 | $ | 16,336,921 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,374,719 | 1,238,715 | 885,455 | 858,268 | 977,972 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 26.13 | $ | 14.87 | $ | 16.70 | $ | 17.70 | $ | 16.70 |
# See Note 1
See Notes to Financial Statements
311
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2018
SA Multi- Managed Small Cap Portfolio# | SA Multi- Managed International Equity Portfolio# | SA Multi- Managed Diversified Fixed Income Portfolio# | SA Wellington Real Return Portfolio# | SA Columbia Focused Growth Portfolio | |||||||||||||||||||
ASSETS: | |||||||||||||||||||||||
Investments at value (unaffiliated)* | $ | 284,556,286 | $ | 609,997,489 | $ | 1,193,391,495 | $ | 688,425,399 | $ | 129,601,416 | |||||||||||||
Investments at value (affiliated)* | — | — | — | — | — | ||||||||||||||||||
Repurchase agreements (cost approximates value) | 596,000 | 1,263,000 | 4,985,000 | 48,845,000 | 501,000 | ||||||||||||||||||
Cash | 49,983 | 884,698 | 238,840 | — | 16 | ||||||||||||||||||
Foreign cash* | — | 2,145,741 | 28,278 | 37,943,727 | — | ||||||||||||||||||
Cash collateral for futures contracts | 246,836 | — | — | — | — | ||||||||||||||||||
Cash collateral for centrally cleared swap contracts | — | — | — | 39,084 | — | ||||||||||||||||||
Due from broker | — | — | — | — | — | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | 245,332 | 406,861 | 332,299 | 157,172 | 2,118 | ||||||||||||||||||
Dividends and interest | 204,154 | 3,301,970 | 6,728,349 | 1,875,857 | 52,428 | ||||||||||||||||||
Investments sold | 615,900 | 452,291 | 10,351,515 | 1,573,998 | — | ||||||||||||||||||
Investments sold on an extended settlement basis | — | — | 16,386,709 | — | — | ||||||||||||||||||
Receipts on swap contracts | — | — | 3,623 | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 4,795 | 5,912 | 8,775 | 5,656 | 4,520 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | 44 | 40,688 | — | 62,944 | 66,775 | ||||||||||||||||||
Variation margin on futures contracts | 20,010 | 34,740 | 119,641 | — | — | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 8,184 | 2,037,700 | — | ||||||||||||||||||
Swap premiums paid | — | — | 1,333,626 | — | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | — | — | 227,937 | — | — | ||||||||||||||||||
Total assets | 286,539,340 | 618,533,390 | 1,234,144,271 | 780,966,537 | 130,228,273 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 83,239 | 248,043 | 746,947 | 2,570,959 | 245,814 | ||||||||||||||||||
Investments purchased | 810,275 | 1,291,970 | 10,801,559 | — | — | ||||||||||||||||||
Investments purchased on an extended settlement basis | — | 164,052 | 157,356,410 | — | — | ||||||||||||||||||
Payments on swap contracts | — | — | 38,045 | — | — | ||||||||||||||||||
Investment advisory and management fees | 206,551 | 479,754 | 566,334 | 385,316 | 114,091 | ||||||||||||||||||
Service fees — Class 2 | 2,293 | 2,807 | 3,085 | — | 3,731 | ||||||||||||||||||
Service fees — Class 3 | 2,649 | 3,585 | 3,191 | 88,057 | 4,880 | ||||||||||||||||||
Transfer agent fees and expenses | 281 | 358 | 332 | 435 | 230 | ||||||||||||||||||
Trustees' fees and expenses | 670 | 1,406 | 2,540 | 1,446 | 344 | ||||||||||||||||||
Other accrued expenses | 92,501 | 230,737 | 263,985 | 164,219 | 55,867 | ||||||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | — | — | 181,649 | 251,704 | — | ||||||||||||||||||
Due to custodian | — | — | — | 1,061 | — | ||||||||||||||||||
Due to custodian for foreign cash | — | — | — | — | — | ||||||||||||||||||
Due to broker | — | — | 1,377,847 | 7,744 | — | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | — | — | ||||||||||||||||||
Swap premiums received | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | — | — | 256,724 | 50,130 | — | ||||||||||||||||||
Total liabilities | 1,198,459 | 2,422,712 | 171,598,648 | 3,521,071 | 424,957 | ||||||||||||||||||
NET ASSETS | $ | 285,340,881 | $ | 616,110,678 | $ | 1,062,545,623 | $ | 777,445,466 | $ | 129,803,316 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 223,908,949 | $ | 520,494,615 | $ | 1,200,570,911 | $ | 679,989,778 | $ | 98,459,249 | |||||||||||||
Investments (affiliated) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Foreign cash | $ | — | $ | 2,148,246 | $ | 29,639 | $ | 37,965,907 | $ | — |
# See Note 1
See Notes to Financial Statements
312
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2018
SA Multi- Managed Small Cap Portfolio# | SA Multi- Managed International Equity Portfolio# | SA Multi- Managed Diversified Fixed Income Portfolio# | SA Wellington Real Return Portfolio# | SA Columbia Focused Growth Portfolio | |||||||||||||||||||
NET ASSETS REPRESENTED BY: | |||||||||||||||||||||||
Capital paid-in | $ | 206,130,536 | $ | 522,368,082 | $ | 1,045,614,907 | $ | 796,458,788 | $ | 89,779,989 | |||||||||||||
Accumulated undistributed net investment income (loss) | 472,494 | 11,138,065 | 26,705,258 | (19,875,739 | ) | (150,249 | ) | ||||||||||||||||
Accumulated undistributed net realized gain (loss) on investments, futures contracts, written options contracts, swap contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds | 18,177,661 | (6,891,624 | ) | (2,250,512 | ) | (8,540,152 | ) | 9,031,409 | |||||||||||||||
Unrealized appreciation (depreciation) on investments | 60,647,337 | 89,502,874 | (7,179,416 | ) | 8,435,621 | 31,142,167 | |||||||||||||||||
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts | (87,147 | ) | (54,421 | ) | (346,216 | ) | (1,064,213 | ) | — | ||||||||||||||
Unrealized foreign exchange gain (loss) on other assets and liabilities | — | 47,702 | 1,602 | 2,031,161 | — | ||||||||||||||||||
Unrealized appreciation (depreciation) on securities sold short | — | — | — | — | — | ||||||||||||||||||
Accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | — | ||||||||||||||||||
NET ASSETS | $ | 285,340,881 | $ | 616,110,678 | $ | 1,062,545,623 | $ | 777,445,466 | $ | 129,803,316 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 255,292,762 | $ | 577,543,571 | $ | 1,023,385,189 | $ | 364,976,757 | $ | 79,540,348 | |||||||||||||
Shares of beneficial interest issued and outstanding | 17,872,663 | 59,593,249 | 88,792,535 | 37,857,640 | 7,277,269 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 14.28 | $ | 9.69 | $ | 11.53 | $ | 9.64 | $ | 10.93 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 17,739,478 | $ | 21,848,162 | $ | 24,193,409 | $ | — | $ | 28,233,166 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,274,920 | 2,250,857 | 2,101,681 | — | 2,701,368 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 13.91 | $ | 9.71 | $ | 11.51 | $ | — | $ | 10.45 | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 12,308,641 | $ | 16,718,945 | $ | 14,967,025 | $ | 412,468,709 | $ | 22,029,802 | |||||||||||||
Shares of beneficial interest issued and outstanding | 898,948 | 1,728,164 | 1,306,637 | 43,132,748 | 2,164,664 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 13.69 | $ | 9.67 | $ | 11.45 | $ | 9.56 | $ | 10.18 |
# See Note 1
See Notes to Financial Statements
313
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2018
SA Columbia Focused Value Portfolio | SA Allocation Growth Portfolio# | SA Allocation Moderate Growth Portfolio# | SA Allocation Moderate Portfolio# | SA Allocation Balanced Portfolio# | |||||||||||||||||||
ASSETS: | |||||||||||||||||||||||
Investments at value (unaffiliated)* | $ | 308,645,313 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Investments at value (affiliated)* | — | 121,510,189 | 507,973,004 | 314,549,814 | 225,897,828 | ||||||||||||||||||
Repurchase agreements (cost approximates value) | 2,977,000 | — | — | — | — | ||||||||||||||||||
Cash | 80,525 | — | — | — | — | ||||||||||||||||||
Foreign cash* | — | — | — | — | — | ||||||||||||||||||
Cash collateral for futures contracts | — | — | — | — | — | ||||||||||||||||||
Cash collateral for centrally cleared swap contracts | — | — | — | — | — | ||||||||||||||||||
Due from broker | — | — | — | — | — | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | 269,580 | 455,153 | 19,606 | 78,132 | 145,238 | ||||||||||||||||||
Dividends and interest | 278,370 | — | — | — | — | ||||||||||||||||||
Investments sold | 965,595 | — | 871,885 | 158,821 | 2,679,061 | ||||||||||||||||||
Investments sold on an extended settlement basis | — | — | — | — | — | ||||||||||||||||||
Receipts on swap contracts | — | — | — | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 5,707 | 4,015 | 4,160 | 4,095 | 4,070 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | 166,207 | 1,958 | 8,351 | 5,180 | 75,080 | ||||||||||||||||||
Variation margin on futures contracts | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | — | — | ||||||||||||||||||
Swap premiums paid | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Total assets | 313,388,297 | 121,971,315 | 508,877,006 | 314,796,042 | 228,801,277 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 143,227 | 23,392 | 891,402 | 236,898 | 2,824,259 | ||||||||||||||||||
Investments purchased | — | 431,741 | — | — | — | ||||||||||||||||||
Investments purchased on an extended settlement basis | — | — | — | — | — | ||||||||||||||||||
Payments on swap contracts | — | — | — | — | — | ||||||||||||||||||
Investment advisory and management fees | 268,757 | 10,373 | 43,637 | 27,033 | 19,547 | ||||||||||||||||||
Service fees — Class 2 | 1,938 | — | — | — | — | ||||||||||||||||||
Service fees — Class 3 | 2,305 | 25,901 | 109,061 | 67,559 | 48,843 | ||||||||||||||||||
Transfer agent fees and expenses | 205 | 162 | 170 | 162 | 153 | ||||||||||||||||||
Trustees' fees and expenses | 712 | 243 | 1,079 | 710 | 576 | ||||||||||||||||||
Other accrued expenses | 77,878 | 41,087 | 71,236 | 56,383 | 49,580 | ||||||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | — | — | — | — | — | ||||||||||||||||||
Due to custodian | — | — | — | — | — | ||||||||||||||||||
Due to custodian for foreign cash | — | — | — | — | — | ||||||||||||||||||
Due to broker | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | — | — | ||||||||||||||||||
Swap premiums received | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Total liabilities | 495,022 | 532,899 | 1,116,585 | 388,745 | 2,942,958 | ||||||||||||||||||
NET ASSETS | $ | 312,893,275 | $ | 121,438,416 | $ | 507,760,421 | $ | 314,407,297 | $ | 225,858,319 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 238,985,139 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Investments (affiliated) | $ | — | $ | 117,210,991 | $ | 488,795,765 | $ | 306,686,603 | $ | 223,165,760 | |||||||||||||
Foreign cash | $ | — | $ | — | $ | — | $ | — | $ | — |
# See Note 1
See Notes to Financial Statements
314
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2018
SA Columbia Focused Value Portfolio | SA Allocation Growth Portfolio# | SA Allocation Moderate Growth Portfolio# | SA Allocation Moderate Portfolio# | SA Allocation Balanced Portfolio# | |||||||||||||||||||
NET ASSETS REPRESENTED BY: | |||||||||||||||||||||||
Capital paid-in | $ | 219,074,527 | $ | 107,511,046 | $ | 434,329,046 | $ | 276,170,259 | $ | 203,568,598 | |||||||||||||
Accumulated undistributed net investment income (loss) | 4,930,872 | 1,767,826 | 8,868,008 | 5,596,679 | 4,347,164 | ||||||||||||||||||
Accumulated undistributed net realized gain (loss) on investments, futures contracts, written options contracts, swap contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds | 19,227,702 | 7,860,346 | 45,386,128 | 24,777,148 | 15,210,489 | ||||||||||||||||||
Unrealized appreciation (depreciation) on investments | 69,660,174 | 4,299,198 | 19,177,239 | 7,863,211 | 2,732,068 | ||||||||||||||||||
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts | — | — | — | — | — | ||||||||||||||||||
Unrealized foreign exchange gain (loss) on other assets and liabilities | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation (depreciation) on securities sold short | — | — | — | — | — | ||||||||||||||||||
Accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | — | ||||||||||||||||||
NET ASSETS | $ | 312,893,275 | $ | 121,438,416 | $ | 507,760,421 | $ | 314,407,297 | $ | 225,858,319 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 287,475,042 | $ | 152,865 | $ | 147,435 | $ | 112,981 | $ | 109,435 | |||||||||||||
Shares of beneficial interest issued and outstanding | 14,121,928 | 10,579 | 12,550 | 9,735 | 10,107 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 20.36 | $ | 14.45 | $ | 11.75 | $ | 11.61 | $ | 10.83 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 14,852,599 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Shares of beneficial interest issued and outstanding | 730,686 | — | — | — | — | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 20.33 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 10,565,634 | $ | 121,285,551 | $ | 507,612,986 | $ | 314,294,316 | $ | 225,748,884 | |||||||||||||
Shares of beneficial interest issued and outstanding | 521,111 | 8,417,779 | 43,320,549 | 27,151,861 | 20,898,069 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 20.28 | $ | 14.41 | $ | 11.72 | $ | 11.58 | $ | 10.80 |
# See Note 1
See Notes to Financial Statements
315
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS
For the Year Ended March 31, 2018
SA Multi- Managed Growth Portfolio# | SA Multi- Managed Moderate Growth Portfolio# | SA Multi- Managed Income/ Equity Portfolio# | SA Multi- Managed Income Portfolio# | SA Putnam Asset Allocation Diversified Growth Portfolio# | |||||||||||||||||||
Investment Income: | |||||||||||||||||||||||
Dividends (unaffiliated) | $ | 459,373 | $ | 612,906 | $ | 232,237 | $ | 98,139 | $ | 2,336,522 | |||||||||||||
Dividends (affiliated) | — | — | — | — | — | ||||||||||||||||||
Interest (unaffiliated) | 441,138 | 1,119,280 | 1,334,502 | 1,367,225 | 986,305 | ||||||||||||||||||
Total investment income* | 900,511 | 1,732,186 | 1,566,739 | 1,465,364 | 3,322,827 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 487,348 | 767,731 | 512,363 | 398,537 | 1,153,874 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 29,354 | 64,386 | 51,758 | 42,647 | 85,851 | ||||||||||||||||||
Class 3 | 63,337 | 94,148 | 49,744 | 43,734 | 156,431 | ||||||||||||||||||
Transfer agent fees and expenses | 706 | 706 | 706 | 882 | 3,378 | ||||||||||||||||||
Custodian and accounting fees | 87,515 | 103,296 | 79,313 | 79,617 | 157,839 | ||||||||||||||||||
Reports to shareholders | 5,528 | 8,896 | 6,291 | 5,188 | 14,446 | ||||||||||||||||||
Audit and tax fees | 54,887 | 54,887 | 54,491 | 54,491 | 63,503 | ||||||||||||||||||
Legal fees | 7,676 | 7,516 | 7,007 | 6,948 | 23,972 | ||||||||||||||||||
Trustees' fees and expenses | 1,483 | 2,385 | 1,705 | 1,405 | 3,407 | ||||||||||||||||||
Interest expense | 202 | 60 | 87 | 26 | 70 | ||||||||||||||||||
Other expenses | 30,729 | 31,525 | 19,712 | 19,528 | 20,805 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 768,765 | 1,135,536 | 783,177 | 653,003 | 1,683,576 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | (68 | ) | (103 | ) | — | — | (135,750 | ) | |||||||||||||||
Fees paid indirectly (Note 5) | (1,913 | ) | (2,269 | ) | (911 | ) | (392 | ) | (200 | ) | |||||||||||||
Net expenses | 766,784 | 1,133,164 | 782,266 | 652,611 | 1,547,626 | ||||||||||||||||||
Net investment income (loss) | 133,727 | 599,022 | 784,473 | 812,753 | 1,775,201 | ||||||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 4,819,767 | 6,114,038 | 3,024,555 | 1,432,026 | 5,861,778 | ||||||||||||||||||
Investments (affiliated)** | — | — | — | — | — | ||||||||||||||||||
Futures contracts | (23,820 | ) | (48,468 | ) | (100,951 | ) | (13,564 | ) | 977,833 | ||||||||||||||
Forward contracts | 14,041 | 42,404 | 20,952 | 48,253 | 309,624 | ||||||||||||||||||
Swap contracts | (3,843 | ) | (7,840 | ) | (8,503 | ) | (8,223 | ) | (39,993 | ) | |||||||||||||
Written options contracts | — | — | — | — | 14,804 | ||||||||||||||||||
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated) | — | — | — | — | — | ||||||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | 6,241 | 11,461 | 15,299 | 15,039 | (7,993 | ) | |||||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 4,812,386 | 6,111,595 | 2,951,352 | 1,473,531 | 7,116,053 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | 955,138 | 1,252,957 | 379,450 | (191,789 | ) | 6,333,637 | |||||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | (16,083 | ) | (18,945 | ) | (13,314 | ) | (51,221 | ) | (277,648 | ) | |||||||||||||
Forward contracts | (7,916 | ) | (30,825 | ) | (34,322 | ) | (34,061 | ) | (54,245 | ) | |||||||||||||
Swap contracts | 7,312 | 19,775 | 23,383 | 21,811 | 151,361 | ||||||||||||||||||
Written options contracts | — | — | — | — | (1,394 | ) | |||||||||||||||||
Change in net unrealized foreign exchange gain (loss) on other assets and liabilities | (7,942 | ) | (16,620 | ) | (20,773 | ) | (20,755 | ) | 5,357 | ||||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | (4,901 | ) | |||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 930,509 | 1,206,342 | 334,424 | (276,015 | ) | 6,152,167 | |||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 5,742,895 | 7,317,937 | 3,285,776 | 1,197,516 | 13,268,220 | ||||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 5,876,622 | $ | 7,916,959 | $ | 4,070,249 | $ | 2,010,269 | $ | 15,043,421 | |||||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 20 | $ | 14 | $ | (39 | ) | $ | (33 | ) | $ | 82,368 | |||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — | $ | 7,531 |
# See Note 1
See Notes to Financial Statements
316
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)
For the Year Ended March 31, 2018
SA T. Rowe Price Growth Stock Portfolio# | SA Multi- Managed Large Cap Growth Portfolio# | SA Multi- Managed Large Cap Value Portfolio# | SA Multi- Managed Mid Cap Growth Portfolio# | SA Multi- Managed Mid Cap Value Portfolio# | |||||||||||||||||||
Investment Income: | |||||||||||||||||||||||
Dividends (unaffiliated) | $ | 3,928,480 | $ | 7,024,578 | $ | 23,842,649 | $ | 1,958,095 | $ | 4,488,831 | |||||||||||||
Dividends (affiliated) | — | — | 35,338 | — | 9,225 | ||||||||||||||||||
Interest (unaffiliated) | 56,949 | 29,129 | 64,339 | 19,535 | 75,482 | ||||||||||||||||||
Total investment income* | 3,985,429 | 7,053,707 | 23,942,326 | 1,977,630 | 4,573,538 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 3,702,645 | 4,164,845 | 6,910,195 | 1,866,025 | 2,181,802 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 69,458 | 52,355 | 43,524 | 34,484 | 39,762 | ||||||||||||||||||
Class 3 | 98,159 | 46,647 | 39,225 | 38,561 | 44,254 | ||||||||||||||||||
Transfer agent fees and expenses | 3,351 | 2,117 | 1,940 | 2,646 | 2,646 | ||||||||||||||||||
Custodian and accounting fees | 69,700 | 76,937 | 133,421 | 50,387 | 71,954 | ||||||||||||||||||
Reports to shareholders | 43,673 | 52,139 | 82,786 | 22,327 | 25,833 | ||||||||||||||||||
Audit and tax fees | 39,981 | 40,678 | 40,434 | 40,629 | 40,743 | ||||||||||||||||||
Legal fees | 17,035 | 10,944 | 14,585 | 12,914 | 11,616 | ||||||||||||||||||
Trustees' fees and expenses | 11,412 | 13,645 | 24,657 | 5,530 | 6,827 | ||||||||||||||||||
Interest expense | — | 3,594 | 2,506 | 134 | 1,713 | ||||||||||||||||||
Other expenses | 11,949 | 21,514 | 29,834 | 49,417 | 50,043 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 4,067,363 | 4,485,415 | 7,323,107 | 2,123,054 | 2,477,193 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | — | — | — | — | — | ||||||||||||||||||
Fees paid indirectly (Note 5) | (1,554 | ) | (8,924 | ) | (2,388 | ) | (763 | ) | (6,622 | ) | |||||||||||||
Net expenses | 4,065,809 | 4,476,491 | 7,320,719 | 2,122,291 | 2,470,571 | ||||||||||||||||||
Net investment income (loss) | (80,380 | ) | 2,577,216 | 16,621,607 | (144,661 | ) | 2,102,967 | ||||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 95,940,601 | 75,691,447 | 86,386,624 | 24,286,836 | 16,102,424 | ||||||||||||||||||
Investments (affiliated)** | — | — | 171,665 | — | 30,341 | ||||||||||||||||||
Futures contracts | — | 307,154 | 70,204 | 91,075 | 83,485 | ||||||||||||||||||
Forward contracts | — | — | (1,577,163 | ) | — | — | |||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Written options contracts | — | — | — | — | — | ||||||||||||||||||
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated) | — | — | — | — | — | ||||||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | (927 | ) | — | 399 | 381 | 788 | |||||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 95,939,674 | 75,998,601 | 85,051,729 | 24,378,292 | 16,217,038 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | 3,382,920 | 17,097,884 | (40,297,988 | ) | 17,443,070 | (2,199,874 | ) | ||||||||||||||||
Investments (affiliated) | — | — | (377,182 | ) | — | (40,005 | ) | ||||||||||||||||
Futures contracts | — | (80,014 | ) | (21,114 | ) | (8,036 | ) | (20,480 | ) | ||||||||||||||
Forward contracts | — | — | (134,819 | ) | — | — | |||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Written options contracts | — | — | — | — | — | ||||||||||||||||||
Change in net unrealized foreign exchange gain (loss) on other assets and liabilities | 895 | (11 | ) | 164 | 18 | 786 | |||||||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | — | ||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 3,383,815 | 17,017,859 | (40,830,939 | ) | 17,435,052 | (2,259,573 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 99,323,489 | 93,016,460 | 44,220,790 | 41,813,344 | 13,957,465 | ||||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 99,243,109 | $ | 95,593,676 | $ | 60,842,397 | $ | 41,668,683 | $ | 16,060,432 | |||||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 6,561 | $ | — | $ | 234,187 | $ | 3,447 | $ | 18,851 | |||||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — | $ | — |
# See Note 1
See Notes to Financial Statements
317
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)
For the Year Ended March 31, 2018
SA Multi- Managed Small Cap Portfolio# | SA Multi- Managed International Equity Portfolio# | SA Multi- Managed Diversified Fixed Income Portfolio# | SA Wellington Real Return Portfolio# | SA Columbia Focused Growth Portfolio | |||||||||||||||||||
Investment Income: | |||||||||||||||||||||||
Dividends (unaffiliated) | $ | 3,113,105 | $ | 18,014,100 | $ | 22,734 | $ | 37 | $ | 721,689 | |||||||||||||
Dividends (affiliated) | — | — | — | — | — | ||||||||||||||||||
Interest (unaffiliated) | 31,111 | 7,717 | 32,810,759 | 11,406,458 | 1,574 | ||||||||||||||||||
Total investment income* | 3,144,216 | 18,021,817 | 32,833,493 | 11,406,495 | 723,263 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 2,412,595 | 6,113,173 | 6,950,982 | 4,314,144 | 1,332,422 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 27,320 | 33,452 | 39,544 | — | 41,151 | ||||||||||||||||||
Class 3 | 31,111 | 43,931 | 40,107 | 1,046,490 | 55,164 | ||||||||||||||||||
Transfer agent fees and expenses | 1,940 | 2,469 | 2,293 | 2,985 | 1,930 | ||||||||||||||||||
Custodian and accounting fees | 84,061 | 325,114 | 299,925 | 112,832 | 26,790 | ||||||||||||||||||
Reports to shareholders | 24,413 | 65,022 | 107,108 | 100,244 | 12,789 | ||||||||||||||||||
Audit and tax fees | 40,793 | 85,071 | 57,746 | 52,756 | 35,915 | ||||||||||||||||||
Legal fees | 8,452 | 42,561 | 16,473 | 25,263 | 8,648 | ||||||||||||||||||
Trustees' fees and expenses | 7,579 | 17,150 | 28,126 | 18,696 | 3,299 | ||||||||||||||||||
Interest expense | 336 | 7,850 | 481 | 336 | 477 | ||||||||||||||||||
Other expenses | 24,706 | 35,106 | 36,629 | 20,182 | 8,121 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 2,663,306 | 6,770,899 | 7,579,414 | 5,693,928 | 1,526,706 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | (223 | ) | (270,032 | ) | — | (369,468 | ) | (413,051 | ) | ||||||||||||||
Fees paid indirectly (Note 5) | (3,817 | ) | — | — | — | (8,898 | ) | ||||||||||||||||
Net expenses | 2,659,266 | 6,500,867 | 7,579,414 | 5,324,460 | 1,104,757 | ||||||||||||||||||
Net investment income (loss) | 484,950 | 11,520,950 | 25,254,079 | 6,082,035 | (381,494 | ) | |||||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 20,275,152 | 37,993,589 | 10,578,941 | 1,994,934 | 11,880,879 | ||||||||||||||||||
Investments (affiliated)** | — | — | — | — | — | ||||||||||||||||||
Futures contracts | 425,740 | 499,588 | (1,336,630 | ) | (70,853 | ) | — | ||||||||||||||||
Forward contracts | — | — | 297,423 | (27,290,465 | ) | — | |||||||||||||||||
Swap contracts | — | — | (84,945 | ) | 120,088 | — | |||||||||||||||||
Written options contracts | — | — | — | — | — | ||||||||||||||||||
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated) | — | — | — | — | — | ||||||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | — | 210,764 | (79,499 | ) | 3,036,245 | (2,547 | ) | ||||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 20,700,892 | 38,703,941 | 9,375,290 | (22,210,051 | ) | 11,878,332 | |||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | 8,748,326 | 55,168,526 | (15,976,842 | ) | 26,986,792 | 17,279,300 | |||||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | (134,986 | ) | (76,739 | ) | (580,681 | ) | (898,909 | ) | — | ||||||||||||||
Forward contracts | — | — | (168,303 | ) | 711,376 | — | |||||||||||||||||
Swap contracts | — | — | 9,863 | (50,130 | ) | — | |||||||||||||||||
Written options contracts | — | — | — | — | — | ||||||||||||||||||
Change in net unrealized foreign exchange gain (loss) on other assets and liabilities | — | 145,506 | (13,446 | ) | (1,305,427 | ) | 3,138 | ||||||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | — | ||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 8,613,340 | 55,237,293 | (16,729,409 | ) | 25,443,702 | 17,282,438 | |||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 29,314,232 | 93,941,234 | (7,354,119 | ) | 3,233,651 | 29,160,770 | |||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 29,799,182 | $ | 105,462,184 | $ | 17,899,960 | $ | 9,315,686 | $ | 28,779,276 | |||||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 4,405 | $ | 2,091,151 | $ | 11,600 | $ | 447 | $ | 1,238 | |||||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — | $ | — |
# See Note 1
See Notes to Financial Statements
318
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)
For the Year Ended March 31, 2018
SA Columbia Focused Value Portfolio | SA Allocation Growth Portfolio# | SA Allocation Moderate Growth Portfolio# | SA Allocation Moderate Portfolio# | SA Allocation Balanced Portfolio# | |||||||||||||||||||
Investment Income: | |||||||||||||||||||||||
Dividends (unaffiliated) | $ | 7,312,833 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Dividends (affiliated) | — | 1,661,682 | 8,623,635 | 5,580,350 | 4,454,241 | ||||||||||||||||||
Interest (unaffiliated) | 3,931 | — | — | — | — | ||||||||||||||||||
Total investment income* | 7,316,764 | 1,661,682 | 8,623,635 | 5,580,350 | 4,454,241 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 3,249,618 | 107,730 | 521,374 | 324,185 | 237,904 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 22,267 | — | — | — | — | ||||||||||||||||||
Class 3 | 28,199 | 269,022 | 1,303,135 | 810,184 | 594,492 | ||||||||||||||||||
Transfer agent fees and expenses | 1,699 | 1,079 | 1,101 | 1,080 | 1,058 | ||||||||||||||||||
Custodian and accounting fees | 46,652 | 12,000 | 12,000 | 12,000 | 12,000 | ||||||||||||||||||
Reports to shareholders | 29,449 | 11,920 | 51,781 | 32,128 | 23,499 | ||||||||||||||||||
Audit and tax fees | 35,932 | 27,113 | 27,113 | 27,113 | 27,113 | ||||||||||||||||||
Legal fees | 9,379 | 6,975 | 10,467 | 8,695 | 7,942 | ||||||||||||||||||
Trustees' fees and expenses | 8,731 | 2,710 | 13,313 | 8,319 | 6,176 | ||||||||||||||||||
Interest expense | 214 | — | — | — | — | ||||||||||||||||||
Other expenses | 11,804 | 6,422 | 11,121 | 8,584 | 7,678 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 3,443,944 | 444,971 | 1,951,405 | 1,232,288 | 917,862 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | (1,045,940 | ) | (10,773 | ) | (52,138 | ) | (32,419 | ) | (95,130 | ) | |||||||||||||
Fees paid indirectly (Note 5) | (12,111 | ) | — | — | — | — | |||||||||||||||||
Net expenses | 2,385,893 | 434,198 | 1,899,267 | 1,199,869 | 822,732 | ||||||||||||||||||
Net investment income (loss) | 4,930,871 | 1,227,484 | 6,724,368 | 4,380,481 | 3,631,509 | ||||||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 19,313,183 | — | — | — | — | ||||||||||||||||||
Investments (affiliated)** | — | 8,090,588 | 43,015,792 | 24,823,726 | 13,949,455 | ||||||||||||||||||
Futures contracts | — | — | — | — | — | ||||||||||||||||||
Forward contracts | — | — | — | — | — | ||||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Written options contracts | — | — | — | — | — | ||||||||||||||||||
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated) | — | 3,283,827 | 12,761,487 | 7,080,633 | 3,886,224 | ||||||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | — | — | — | — | — | ||||||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 19,313,183 | 11,374,415 | 55,777,279 | 31,904,359 | 17,835,679 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | 15,540,404 | — | — | — | — | ||||||||||||||||||
Investments (affiliated) | — | (1,673,483 | ) | (15,508,839 | ) | (10,880,670 | ) | (7,073,919 | ) | ||||||||||||||
Futures contracts | — | — | — | — | — | ||||||||||||||||||
Forward contracts | — | — | — | — | — | ||||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Written options contracts | — | — | — | — | — | ||||||||||||||||||
Change in net unrealized foreign exchange gain (loss) on other assets and liabilities | — | — | — | — | — | ||||||||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | — | ||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 15,540,404 | (1,673,483 | ) | (15,508,839 | ) | (10,880,670 | ) | (7,073,919 | ) | ||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 34,853,587 | 9,700,932 | 40,268,440 | 21,023,689 | 10,761,760 | ||||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 39,784,458 | $ | 10,928,416 | $ | 46,992,808 | $ | 25,404,170 | $ | 14,393,269 | |||||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 1,575 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — | $ | — |
# See Note 1
See Notes to Financial Statements
319
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
SA Multi-Managed Growth# | SA Multi-Managed Moderate Growth# | SA Multi-Managed Income/Equity# | |||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 133,727 | $ | 186,933 | $ | 599,022 | $ | 780,456 | $ | 784,473 | $ | 948,450 | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 4,812,386 | 3,727,190 | 6,111,595 | 4,297,273 | 2,951,352 | 1,583,027 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 930,509 | 2,058,804 | 1,206,342 | 3,790,750 | 334,424 | 1,300,168 | |||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 5,876,622 | 5,972,927 | 7,916,959 | 8,868,479 | 4,070,249 | 3,831,645 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income — Class 1 | (47,140 | ) | (57,631 | ) | (90,803 | ) | (111,763 | ) | (139,685 | ) | (147,904 | ) | |||||||||||||||
Net investment income — Class 2 | (65,113 | ) | (82,402 | ) | (339,045 | ) | (425,650 | ) | (501,793 | ) | (519,239 | ) | |||||||||||||||
Net investment income — Class 3 | (55,234 | ) | (67,146 | ) | (251,891 | ) | (320,410 | ) | (263,436 | ) | (248,351 | ) | |||||||||||||||
Net realized gain on investments — Class 1 | (678,837 | ) | (641,365 | ) | (473,212 | ) | (706,846 | ) | (255,134 | ) | (379,071 | ) | |||||||||||||||
Net realized gain on investments — Class 2 | (1,353,925 | ) | (1,274,084 | ) | (2,105,054 | ) | (3,153,165 | ) | (1,016,154 | ) | (1,487,994 | ) | |||||||||||||||
Net realized gain on investments — Class 3 | (1,723,144 | ) | (1,621,165 | ) | (1,830,810 | ) | (2,917,111 | ) | (579,934 | ) | (861,874 | ) | |||||||||||||||
Total distributions to shareholders | (3,923,393 | ) | (3,743,793 | ) | (5,090,815 | ) | (7,634,945 | ) | (2,756,136 | ) | (3,644,433 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (4,599,313 | ) | (4,861,713 | ) | (5,230,490 | ) | (7,116,385 | ) | (5,244,909 | ) | (6,296,302 | ) | |||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (2,646,084 | ) | (2,632,579 | ) | (2,404,346 | ) | (5,882,851 | ) | (3,930,796 | ) | (6,109,090 | ) | |||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 55,628,589 | 58,261,168 | 90,350,210 | 96,233,061 | 64,567,903 | 70,676,993 | |||||||||||||||||||||
End of period† | $ | 52,982,505 | $ | 55,628,589 | $ | 87,945,864 | $ | 90,350,210 | $ | 60,637,107 | $ | 64,567,903 | |||||||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 393,928 | $ | 174,124 | $ | 961,200 | $ | 687,202 | $ | 1,040,970 | $ | 920,537 |
# See Note 1
See Notes to Financial Statements
320
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Multi-Managed Income# | SA Putnam Asset Allocation: Diversified Growth# | SA T. Rowe Price Growth Stock# | |||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 812,753 | $ | 974,913 | $ | 1,775,201 | $ | 1,540,933 | $ | (80,380 | ) | $ | (363,332 | ) | |||||||||||||
Net realized gain (loss) on investments and foreign currencies | 1,473,531 | 771,525 | 7,116,053 | 10,487,247 | 95,939,674 | 52,686,001 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (276,015 | ) | 634,613 | 6,152,167 | 3,888,561 | 3,383,815 | 24,036,637 | ||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 2,010,269 | 2,381,051 | 15,043,421 | 15,916,741 | 99,243,109 | 76,359,306 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income — Class 1 | (108,409 | ) | (131,767 | ) | (247,682 | ) | (150,628 | ) | — | — | |||||||||||||||||
Net investment income — Class 2 | (494,379 | ) | (531,779 | ) | (814,369 | ) | (440,144 | ) | — | — | |||||||||||||||||
Net investment income — Class 3 | (288,283 | ) | (282,330 | ) | (967,861 | ) | (303,199 | ) | — | — | |||||||||||||||||
Net realized gain on investments — Class 1 | (109,537 | ) | (136,688 | ) | (1,156,276 | ) | (1,412,639 | ) | (42,229,712 | ) | (33,926,523 | ) | |||||||||||||||
Net realized gain on investments — Class 2 | (544,692 | ) | (603,214 | ) | (4,211,004 | ) | (5,041,395 | ) | (5,508,566 | ) | (4,728,985 | ) | |||||||||||||||
Net realized gain on investments — Class 3 | (337,480 | ) | (367,956 | ) | (5,090,124 | ) | (4,152,562 | ) | (4,686,165 | ) | (4,073,286 | ) | |||||||||||||||
Total distributions to shareholders | (1,882,780 | ) | (2,053,734 | ) | (12,487,316 | ) | (11,500,567 | ) | (52,424,443 | ) | (42,728,794 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (3,484,613 | ) | (5,804,210 | ) | 23,592,001 | (10,862,142 | ) | (75,721,148 | ) | (69,466,367 | ) | ||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (3,357,124 | ) | (5,476,893 | ) | 26,148,106 | (6,445,968 | ) | (28,902,482 | ) | (35,835,855 | ) | ||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 52,862,987 | 58,339,880 | 122,625,318 | 129,071,286 | 441,367,515 | 477,203,370 | |||||||||||||||||||||
End of period† | $ | 49,505,863 | $ | 52,862,987 | $ | 148,773,424 | $ | 122,625,318 | $ | 412,465,033 | $ | 441,367,515 | |||||||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 967,912 | $ | 910,498 | $ | 2,680,946 | $ | 1,978,117 | $ | (2 | ) | $ | (2 | ) |
# See Note 1
See Notes to Financial Statements
321
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Multi-Managed Large Cap Growth# | SA Multi-Managed Large Cap Value# | SA Multi-Managed Mid Cap Growth# | |||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 2,577,216 | $ | 2,476,716 | $ | 16,621,607 | $ | 17,835,955 | $ | (144,661 | ) | $ | (200,209 | ) | |||||||||||||
Net realized gain (loss) on investments and foreign currencies | 75,998,601 | 30,767,131 | 85,051,729 | 66,422,713 | 24,378,292 | 19,207,902 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 17,017,859 | 30,596,924 | (40,830,939 | ) | 86,772,743 | 17,435,052 | 9,137,348 | ||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 95,593,676 | 63,840,771 | 60,842,397 | 171,031,411 | 41,668,683 | 28,145,041 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income — Class 1 | (2,356,489 | ) | (1,921,859 | ) | (17,894,250 | ) | (16,003,628 | ) | — | — | |||||||||||||||||
Net investment income — Class 2 | (130,076 | ) | (93,478 | ) | (581,718 | ) | (431,512 | ) | — | — | |||||||||||||||||
Net investment income — Class 3 | (47,820 | ) | (34,736 | ) | (296,099 | ) | (228,625 | ) | — | — | |||||||||||||||||
Net realized gain on investments — Class 1 | (27,776,840 | ) | (13,587,091 | ) | (63,574,076 | ) | (31,213,239 | ) | (15,475,813 | ) | (8,295,756 | ) | |||||||||||||||
Net realized gain on investments — Class 2 | (2,044,679 | ) | (1,008,538 | ) | (2,203,293 | ) | (922,331 | ) | (2,014,389 | ) | (1,140,967 | ) | |||||||||||||||
Net realized gain on investments — Class 3 | (1,103,867 | ) | (560,219 | ) | (1,198,254 | ) | (524,754 | ) | (1,395,287 | ) | (811,154 | ) | |||||||||||||||
Total distributions to shareholders | (33,459,771 | ) | (17,205,921 | ) | (85,747,690 | ) | (49,324,089 | ) | (18,885,489 | ) | (10,247,877 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (77,101,935 | ) | 1,149,086 | (133,117,091 | ) | (52,285,920 | ) | 3,278,212 | (35,514,911 | ) | |||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (14,968,030 | ) | 47,783,936 | (158,022,384 | ) | 69,421,402 | 26,061,406 | (17,617,747 | ) | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 526,882,975 | 479,099,039 | 1,025,824,739 | 956,403,337 | 203,863,292 | 221,481,039 | |||||||||||||||||||||
End of period† | $ | 511,914,945 | $ | 526,882,975 | $ | 867,802,355 | $ | 1,025,824,739 | $ | 229,924,698 | $ | 203,863,292 | |||||||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 2,940,323 | $ | 2,484,204 | $ | 14,906,168 | $ | 18,629,508 | $ | 1,965 | $ | 10,462 |
# See Note 1
See Notes to Financial Statements
322
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Multi-Managed Mid Cap Value# | SA Multi-Managed Small Cap# | SA Multi-Managed International Equity# | |||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 2,102,967 | $ | 2,991,224 | $ | 484,950 | $ | 740,901 | $ | 11,520,950 | $ | 13,925,429 | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 16,217,038 | 31,226,718 | 20,700,892 | 25,756,967 | 38,703,941 | (11,464,870 | ) | ||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (2,259,573 | ) | 16,235,248 | 8,613,340 | 32,659,608 | 55,237,293 | 68,234,721 | ||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 16,060,432 | 50,453,190 | 29,799,182 | 59,157,476 | 105,462,184 | 70,695,280 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income — Class 1 | (2,594,232 | ) | (2,754,064 | ) | (918,885 | ) | (597,387 | ) | (12,521,978 | ) | (12,419,142 | ) | |||||||||||||||
Net investment income — Class 2 | (296,949 | ) | (249,178 | ) | (44,242 | ) | (12,439 | ) | (432,780 | ) | (344,358 | ) | |||||||||||||||
Net investment income — Class 3 | (177,672 | ) | (151,822 | ) | (17,981 | ) | — | (318,610 | ) | (275,577 | ) | ||||||||||||||||
Net realized gain on investments — Class 1 | (25,124,578 | ) | (4,750,917 | ) | (21,895,260 | ) | (4,213,868 | ) | — | — | |||||||||||||||||
Net realized gain on investments — Class 2 | (3,220,882 | ) | (502,562 | ) | (1,618,164 | ) | (281,993 | ) | — | — | |||||||||||||||||
Net realized gain on investments — Class 3 | (2,122,841 | ) | (351,318 | ) | (1,128,985 | ) | (193,211 | ) | — | — | |||||||||||||||||
Total distributions to shareholders | (33,537,154 | ) | (8,759,861 | ) | (25,623,517 | ) | (5,298,898 | ) | (13,273,368 | ) | (13,039,077 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (15,009,851 | ) | (68,641,891 | ) | (16,219,792 | ) | (69,628,102 | ) | (144,836,267 | ) | (142,652,165 | ) | |||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (32,486,573 | ) | (26,948,562 | ) | (12,044,127 | ) | (15,769,524 | ) | (52,647,451 | ) | (84,995,962 | ) | |||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 285,047,361 | 311,995,923 | 297,385,008 | 313,154,532 | 668,758,129 | 753,754,091 | |||||||||||||||||||||
End of period† | $ | 252,560,788 | $ | 285,047,361 | $ | 285,340,881 | $ | 297,385,008 | $ | 616,110,678 | $ | 668,758,129 | |||||||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 2,082,911 | $ | 3,038,832 | $ | 472,494 | $ | 935,317 | $ | 11,138,065 | $ | 12,107,965 |
# See Note 1
See Notes to Financial Statements
323
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Multi-Managed Diversified Fixed Income# | SA Wellington Real Return# | SA Columbia Focused Growth | |||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 25,254,079 | $ | 25,100,076 | $ | 6,082,035 | $ | 4,705,931 | $ | (381,494 | ) | $ | (716,931 | ) | |||||||||||||
Net realized gain (loss) on investments and foreign currencies | 9,375,290 | 6,672,246 | (22,210,051 | ) | 10,506,203 | 11,878,332 | (1,257,804 | ) | |||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (16,729,409 | ) | (14,608,921 | ) | 25,443,702 | (4,032,891 | ) | 17,282,438 | 30,697,169 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 17,899,960 | 17,163,401 | 9,315,686 | 11,179,243 | 28,779,276 | 28,722,434 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income — Class 1 | (21,767,568 | ) | (13,333,880 | ) | (8,021,823 | ) | — | — | — | ||||||||||||||||||
Net investment income — Class 2 | (539,386 | ) | (311,624 | ) | — | — | — | — | |||||||||||||||||||
Net investment income — Class 3 | (301,448 | ) | (169,802 | ) | (9,143,842 | ) | — | — | — | ||||||||||||||||||
Net realized gain on investments — Class 1 | (1,970,059 | ) | (8,744,847 | ) | — | — | — | (12,640,920 | ) | ||||||||||||||||||
Net realized gain on investments — Class 2 | (52,285 | ) | (232,898 | ) | — | — | — | (3,422,901 | ) | ||||||||||||||||||
Net realized gain on investments — Class 3 | (31,635 | ) | (139,402 | ) | — | — | — | (2,879,159 | ) | ||||||||||||||||||
Total distributions to shareholders | (24,662,381 | ) | (22,932,453 | ) | (17,165,665 | ) | — | — | (18,942,980 | ) | |||||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (103,782,499 | ) | (43,975,265 | ) | 91,051,046 | 86,479,071 | (30,714,115 | ) | (83,551,322 | ) | |||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (110,544,920 | ) | (49,744,317 | ) | 83,201,067 | 97,658,314 | (1,934,839 | ) | (73,771,868 | ) | |||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 1,173,090,543 | 1,222,834,860 | 694,244,399 | 596,586,085 | 131,738,155 | 205,510,023 | |||||||||||||||||||||
End of period† | $ | 1,062,545,623 | $ | 1,173,090,543 | $ | 777,445,466 | $ | 694,244,399 | $ | 129,803,316 | $ | 131,738,155 | |||||||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 26,705,258 | $ | 22,501,230 | $ | (19,875,739 | ) | $ | 12,691,211 | $ | (150,249 | ) | $ | (109,375 | ) |
# See Note 1
See Notes to Financial Statements
324
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Columbia Focused Value | SA Allocation Growth# | SA Allocation Moderate Growth# | |||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 4,930,871 | $ | 4,941,217 | $ | 1,227,484 | $ | 1,019,117 | $ | 6,724,368 | $ | 6,395,904 | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 19,313,183 | 9,018,963 | 11,374,415 | 5,401,197 | 55,777,279 | 29,694,972 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 15,540,404 | 66,780,705 | (1,673,483 | ) | 3,537,631 | (15,508,839 | ) | 13,343,001 | |||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 39,784,458 | 80,740,885 | 10,928,416 | 9,957,945 | 46,992,808 | 49,433,877 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income — Class 1 | (4,577,879 | ) | (4,300,446 | ) | (1,246 | ) | — | (1,817 | ) | — | |||||||||||||||||
Net investment income — Class 2 | (212,077 | ) | (157,766 | ) | — | — | — | — | |||||||||||||||||||
Net investment income — Class 3 | (151,261 | ) | (120,628 | ) | (1,106,919 | ) | (1,524,052 | ) | (7,249,386 | ) | (9,027,944 | ) | |||||||||||||||
Net realized gain on investments — Class 1 | (8,278,697 | ) | (31,269,897 | ) | (2,631 | ) | — | (3,821 | ) | — | |||||||||||||||||
Net realized gain on investments — Class 2 | (418,595 | ) | (1,287,162 | ) | — | — | — | — | |||||||||||||||||||
Net realized gain on investments — Class 3 | (321,671 | ) | (1,068,214 | ) | (2,578,625 | ) | (2,089,038 | ) | (16,626,862 | ) | (68,945,877 | ) | |||||||||||||||
Total distributions to shareholders | (13,960,180 | ) | (38,204,113 | ) | (3,689,421 | ) | (3,613,090 | ) | (23,881,886 | ) | (77,973,821 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (72,887,023 | ) | (13,595,730 | ) | 20,843,164 | (5,240,008 | ) | (31,459,406 | ) | 21,322,483 | |||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (47,062,745 | ) | 28,941,042 | 28,082,159 | 1,104,847 | (8,348,484 | ) | (7,217,461 | ) | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 359,956,020 | 331,014,978 | 93,356,257 | 92,251,410 | 516,108,905 | 523,326,366 | |||||||||||||||||||||
End of period† | $ | 312,893,275 | $ | 359,956,020 | $ | 121,438,416 | $ | 93,356,257 | $ | 507,760,421 | $ | 516,108,905 | |||||||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 4,930,872 | $ | 4,941,218 | $ | 1,767,826 | $ | 1,108,165 | $ | 8,868,008 | $ | 7,251,203 |
# See Note 1
See Notes to Financial Statements
325
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Allocation Moderate# | SA Allocation Balanced# | ||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||
OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 4,380,481 | $ | 3,987,427 | $ | 3,631,509 | $ | 3,034,879 | |||||||||||
Net realized gain (loss) on investments and foreign currencies | 31,904,359 | 12,716,291 | 17,835,679 | 9,933,877 | |||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (10,880,670 | ) | 11,052,691 | (7,073,919 | ) | 4,305,340 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 25,404,170 | 27,756,409 | 14,393,269 | 17,274,096 | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||
Net investment income — Class 1 | (1,760 | ) | — | (1,867 | ) | — | |||||||||||||
Net investment income — Class 2 | — | — | — | — | |||||||||||||||
Net investment income — Class 3 | (4,667,853 | ) | (5,699,000 | ) | (3,727,674 | ) | (4,597,839 | ) | |||||||||||
Net realized gain on investments — Class 1 | (2,407 | ) | — | (3,570 | ) | — | |||||||||||||
Net realized gain on investments — Class 2 | — | — | — | — | |||||||||||||||
Net realized gain on investments — Class 3 | (6,951,317 | ) | (33,441,168 | ) | (7,730,428 | ) | (22,831,891 | ) | |||||||||||
Total distributions to shareholders | (11,623,337 | ) | (39,140,168 | ) | (11,463,539 | ) | (27,429,730 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (23,480,398 | ) | 12,309,128 | (17,990,794 | ) | (5,530,317 | ) | ||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (9,699,565 | ) | 925,369 | (15,061,064 | ) | (15,685,951 | ) | ||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 324,106,862 | 323,181,493 | 240,919,383 | 256,605,334 | |||||||||||||||
End of period† | $ | 314,407,297 | $ | 324,106,862 | $ | 225,858,319 | $ | 240,919,383 | |||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 5,596,679 | $ | 4,669,613 | $ | 4,347,164 | $ | 3,729,541 |
# See Note 1
See Notes to Financial Statements
326
SEASONS SERIES TRUST
NOTES TO FINANCIALS STATEMENTS
Note 1. Description of Business and Basis of Presentation: Seasons Series Trust (the "Trust"), organized as a Massachusetts business trust on October 10, 1995, is an open-end management investment company. The Trust consists of 20 separate series or portfolios (each, a "Portfolio," and collectively, the "Portfolios"). Shares of the Portfolios are issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life policies (collectively, the "Variable Contracts"). Shares of the Trust are not offered directly to the public. Instead, they are offered through the Variable Contracts issued by life insurance companies affiliated with the Trust's adviser, SunAmerica Asset Management, LLC ("SAAMCo" or the "Adviser"). SAAMCo and the life companies are indirect wholly-owned subsidiaries of American International Group, Inc., a Delaware corporation ("AIG"). SAAMCo serves as investment adviser for all the Portfolios of the Trust. Shares of the Trust are held by separate accounts of American General Life Insurance Company ("AGL"), a Texas life insurer, The Variable Annuity Life Insurance Company ("VALIC"), a Texas life insurer and The United States Life Insurance Company in The City of New York ("USL"), a New York life insurer. Each of the life insurance companies listed above are collectively referred to as the "Life Companies."
Each of the Portfolios represents a separate managed portfolio of securities with its own investment objectives. The Board of Trustees (the "Board"), may establish additional portfolios or classes in the future. Six of the Portfolios, called the "Seasons Strategies Portfolios," are available only through the selection of one of four "strategies" described in the Seasons Variable Contract prospectus. The Seasons Strategies Portfolios may also be available indirectly through certain investment options under other Variable Contracts offered by the Life Companies. Fourteen additional Portfolios, called the "Seasons Select Portfolios," the "Seasons Focused Portfolios" and the "Seasons Managed Allocation Portfolios," are available in addition to the Seasons Strategies Portfolios as variable investment options under Variable Contracts offered by the Life Companies. All shares may be purchased or redeemed at net asset value without any sales or redemption charge. Please refer to your Seasons Variable Contract prospectus for sales and/or redemption charges under your Variable Contract. Each Seasons Managed Allocation Portfolio is structured as a "fund-of-funds" which means that it pursues its principal investment strategy by investing its assets in a combination of the portfolios of the Trust, SunAmerica Series Trust and Anchor Series Trust (collectively, the "Underlying Portfolios").
Class 1 shares, Class 2 shares and/or Class 3 shares of each Portfolio may be offered only in connection with certain Variable Contracts. Class 2 and Class 3 shares of a given Portfolio are identical in all respects to Class 1 shares of the same Portfolio, except that (i) each class may bear differing amounts of certain class-specific expenses; (ii) Class 2 and Class 3 shares are subject to service fees, while Class 1 shares are not subject to service fees; and (iii) Class 2 and Class 3 shares have voting rights on matters that pertain to the Rule 12b-1 plan adopted with respect to Class 2 and Class 3 shares. Class 2 and Class 3 shares of each Portfolio, pay service fees at an annual rate of 0.15% and 0.25%, respectively, of each class' average daily net assets.
Effective October 9, 2017, certain Portfolios' names changed as shown in the chart below to reflect the "New Portfolio Name." Each Portfolio will maintain its current investment adviser. In addition, there will be no changes in the Portfolios' investment goals, strategies, or portfolio managers in connection with the renaming.
Current Portfolio Name | New Portfolio Name | ||||||
Allocation Balanced Portfolio | SA Allocation Balanced Portfolio | ||||||
Allocation Growth Portfolio | SA Allocation Growth Portfolio | ||||||
Allocation Moderate Growth Portfolio | SA Allocation Moderate Growth Portfolio | ||||||
Allocation Moderate Portfolio | SA Allocation Moderate Portfolio | ||||||
Diversified Fixed Income Portfolio | SA Multi-Managed Diversified Fixed Income Portfolio | ||||||
Multi-Managed Growth Portfolio | SA Multi-Managed Growth Portfolio | ||||||
Multi-Managed Income Portfolio | SA Multi-Managed Income Portfolio | ||||||
Multi-Managed Income/Equity Portfolio | SA Multi-Managed Income/Equity Portfolio | ||||||
International Equity Portfolio | SA Multi-Managed International Equity Portfolio | ||||||
Large Cap Growth Portfolio | SA Multi-Managed Large Cap Growth Portfolio |
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Current Portfolio Name | New Portfolio Name | ||||||
Large Cap Value Portfolio | SA Multi-Managed Large Cap Value Portfolio | ||||||
Mid Cap Growth Portfolio | SA Multi-Managed Mid Cap Growth Portfolio | ||||||
Mid Cap Value Portfolio | SA Multi-Managed Mid Cap Value Portfolio | ||||||
Multi-Managed Moderate Growth Portfolio | SA Multi-Managed Moderate Growth Portfolio | ||||||
Small Cap Portfolio | SA Multi-Managed Small Cap Portfolio | ||||||
Asset Allocation: Diversified Growth Portfolio | SA Putnam Asset Allocation Diversified Growth Portfolio | ||||||
Stock Portfolio | SA T. Rowe Price Growth Stock Portfolio | ||||||
Real Return Portfolio | SA Wellington Real Return Portfolio |
The investment goal for each Portfolio is as follows:
Seasons Strategies Portfolios
The SA Multi-Managed Growth Portfolio seeks long-term growth of capital.
The SA Multi-Managed Moderate Growth Portfolio seeks long-term growth of capital, with capital preservation as a secondary objective.
The SA Multi-Managed Income/Equity Portfolio seeks conservation of principal while maintaining some potential for long-term growth of capital.
The SA Multi-Managed Income Portfolio seeks capital preservation.
The SA Putnam Asset Allocation Diversified Growth Portfolio seeks capital appreciation by investing, under normal circumstances, through strategic allocation of approximately 80% (with a range of 65-95%) of its assets in equity securities and approximately 20% (with a range of 5-35%) of its assets in fixed income securities.
The SA T. Rowe Price Growth Stock Portfolio seeks long-term capital appreciation with a secondary objective of increasing dividend income by investing, under normal circumstances, at least 80% of its net assets in common stocks of a diversified group of growth companies.
Seasons Select Portfolios
The SA Multi-Managed Large Cap Growth Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of large capitalization companies selected through a growth strategy.
The SA Multi-Managed Large Cap Value Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of large companies selected through a value strategy.
The SA Multi-Managed Mid Cap Growth Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of medium-capitalization companies selected through a growth strategy.
The SA Multi-Managed Mid Cap Value Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of medium-capitalization companies selected through a value strategy.
The SA Multi-Managed Small Cap Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of small-cap companies.
The SA Multi-Managed International Equity Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of issuers in at least three countries other than the U.S.
The SA Multi-Managed Diversified Fixed Income Portfolio seeks relatively high current income and, secondarily, capital appreciation by investing, under normal circumstances, at least 80% of its net assets in fixed income securities including U.S. and foreign government securities, asset- and mortgage-backed securities, investment-grade debt securities, and lower-rated fixed income securities, or junk bonds.
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The SA Wellington Real Return Portfolio seeks total return that equals or exceeds the rate of inflation over the long term, consistent with prudent investment management by investing, under normal circumstances, primarily in inflation-adjusted debt securities including inflation-indexed bonds issued by the U.S. Treasury and inflation-indexed securities issued by other entities such as U.S. and foreign corporations and foreign governments.
Seasons Focused Portfolios
The SA Columbia Focused Growth Portfolio seeks long-term growth of capital by investing in equity securities selected on the basis of growth criteria. The Portfolio invests primarily in common stock of large-cap companies.
The SA Columbia Focused Value Portfolio seeks long-term growth of capital by investing in equity securities selected on the basis of value criteria. The Portfolio invests primarily in common stock of large-cap companies.
Seasons Managed Allocation Portfolios
The SA Allocation Growth Portfolio seeks long-term capital appreciation by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 70% of its net assets in equity portfolios.
The SA Allocation Moderate Growth Portfolio seeks long-term capital appreciation by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 30% and no more than 90% of its net assets in equity portfolios and at least 10% and no more than 70% of its net assets in fixed income portfolios.
The SA Allocation Moderate Portfolio seeks long-term capital appreciation and moderate current income by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 20% and no more than 80% of its net assets in equity portfolios and at least 20% and no more than 80% of its net assets in fixed income portfolios.
The SA Allocation Balanced Portfolio seeks long-term capital appreciation and current income by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests no more than 70% of its net assets in equity portfolios.
Each Portfolio is diversified as such term is defined under the Investment Company Act of 1940, as amended (the "1940 Act").
Indemnifications: The Trust's organizational documents provide current and former officers and trustees with a limited indemnification against liabilities arising out of the performance of their duties to the Trust. In addition, pursuant to Indemnification Agreements between the Trust and each of the current (and certain former) trustees who is not an "interested person," as defined in Section 2(a)(19) of the Act, of the Trust (collectively, the "Disinterested Trustees"), the Trust provides the Disinterested Trustees with a limited indemnification against liabilities arising out of the performance of their duties to the Trust, whether such liabilities are asserted during or after their service as trustees. In addition, in the normal course of business, the Trust enters into contracts that contain the obligation to indemnify others. The Trust's maximum exposure under these arrangements is unknown. Currently, however, the Trust expects the risk of loss to be remote.
Note 2. Significant Accounting Policies: The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") 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 and those differences could be significant. The Portfolios are considered investment companies under GAAP and follow the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements:
Security Valuation: In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Portfolios disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Portfolios would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. 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 are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs
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are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:
Level 1 — Unadjusted quoted prices in active markets for identical securities
Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board, etc.)
Level 3 — Significant unobservable inputs (includes inputs that reflect the Portfolios' own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available under the circumstances)
Changes in valuation techniques may result in transfers in or out of an investment's assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is recently issued and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The summary of each Portfolio's assets and liabilities classified in the fair value hierarchy as of March 31, 2018, is reported on a schedule following each Portfolio's Portfolio of Investments.
Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price ("NOCP"). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.
As of the close of regular trading on the New York Stock Exchange ("NYSE"), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security's price is available from more than one exchange, the Portfolios use the exchange that is the primary market for the security. Such securities are generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Portfolio's shares, and the Portfolio may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on the review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Portfolio determines that closing prices do not reflect the fair value of the securities, the Portfolio will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Portfolios may also fair value securities in other situations, for example, when a particular foreign market is closed but a Portfolio is open. For foreign equity securities and foreign equity futures contracts, the Portfolios use an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and when so adjusted, such securities and futures are generally categorized as Level 2.
On March 30, 2018, the New York Stock Exchange was closed for the Good Friday holiday, however, certain foreign markets were open. As a result, the Portfolios' priced securities that traded on the open foreign markets at the closing price of the applicable market and the remaining securities were valued at their applicable closing or fair value prices on March 29, 2018, the last day in the reporting period that the Portfolios were open.
Bonds, debentures and other debt securities are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a
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price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.
Senior floating rate loans ("Loans") are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.
Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Registered investment companies are generally categorized as Level 1.
Futures contracts traded on national securities exchanges are valued at the quoted daily settlement price established by the exchange on which they trade reported by a Board-approved pricing service, and are generally categorized as Level 1. Option contracts traded on national securities exchanges are valued at the mean of the last bid and ask price reported by a Board-approved pricing service as of the close of the exchange on which they are traded, and are generally categorized as Level 1. Option contracts traded in the over-the-counter ("OTC") market are valued at the mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Option contracts on swaps ("swaptions") and other option derivatives (i.e., straddle options) are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Swap contracts traded on national securities exchanges are valued at the closing price of the exchange on which they are traded or if a closing price of the exchange is not available, the swap will be valued using a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Swap contracts traded in the OTC market are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Forward foreign currency contracts ("forward contracts") are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.
Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) which is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or OTC market, and are generally categorized as Level 1 or Level 2.
The Board is responsible for the share valuation process and has adopted policies and procedures (the "PRC Procedures") for valuing the securities and other assets held by the Portfolios, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the Trust's fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.
Derivative Instruments
Forward Foreign Currency Contracts: During the period, the SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, Multi-Managed Income, SA Putnam Asset Allocation Diversified Growth, SA Multi-Managed Large Cap Value, SA Multi-Managed Diversified Fixed Income and SA Wellington Real Return Portfolios used forward contracts to attempt to protect the value of securities and related receivable and payables against changes in future foreign exchange rates, to manage and/or gain exposure to certain foreign currencies and to enhance total return.
A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the cumulative change in market value is recorded by a Portfolio as unrealized appreciation or depreciation. On the settlement date, a Portfolio records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Risks to a Portfolio of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio's loss will generally consist of the net amount of contractual payments that the Portfolio has not yet received though the Portfolio's maximum exposure due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the
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exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported on the Statement of Assets and Liabilities. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.
Forward foreign currency contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.
Futures: During the period, the SA Multi-Managed Large Cap Growth, SA Multi-Managed Large Cap Value, SA Multi-Managed Mid Cap Growth, SA Multi-Managed Mid Cap Value, SA Multi-Managed Small Cap and SA Multi-Managed International Equity Portfolios used futures contracts to increase or decrease exposure to equity or bond markets. The SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, SA Multi-Managed Diversified Fixed Income and SA Wellington Real Return Portfolios used futures contracts to manage duration and yield curve positioning and to increase exposure to equity or bond markets. The SA Putnam Asset Allocation Diversified Growth Portfolio used futures contracts to hedge against changes in interest rates, increase exposure to equity or bond markets and enhance total return.
A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a Portfolio will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the "broker"). Subsequent payments are made or received by a Portfolio as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. Such receipts or payments are recorded in the Statement of Assets and Liabilities as variation margin for changes in the value of the contracts and as cash collateral for futures contracts for the changes in the value of the initial margin requirement. When a contract is closed, a Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The primary risk to a Portfolio of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security or securities. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statement of Assets and Liabilities. There may also be trading restrictions or limitations imposed by an exchange, and government regulations may restrict trading in futures contracts. While a Portfolio will generally only purchase exchange-traded futures, due to market conditions, there may not always be a liquid secondary market for a futures contract and, as a result, the Portfolio may be unable to close out its futures contracts at a time which is advantageous. In addition, if a Portfolio has insufficient cash to meet margin requirements, the Portfolio may need to sell other investments, including at disadvantageous times. There is generally minimal counterparty risk to a Portfolio since the futures contracts are generally exchange-traded.
Futures contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.
Options: During the period, the SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, SA Putnam Asset Allocation Diversified Growth and SA Multi-Managed Diversified Fixed Income Portfolio used option contracts to seek protection against a decline in the value of a Portfolio's securities or an increase in prices of securities that may be purchased or to generate income.
An option is a contract conveying a right to buy or sell a financial instrument at a specified price during a stipulated period. When a Portfolio writes a call or a put option, it receives a premium which is equal to the current market value of the option written. The premiums on written options are recorded as a liability on the Statement of Assets and Liabilities. If a Portfolio purchases a call or a put option, it pays a premium which reflects the current market value of the option and which is included on the Portfolio's Statement of Assets and Liabilities as an investment. The option position is marked to market daily and its value fluctuates based upon the value of the underlying financial instrument, time to expiration, cost of borrowing funds, and volatility of the value of the underlying financial instrument. If an option which a Portfolio has written either expires on its stipulated expiration date, or if the Portfolio enters into a closing purchase transaction, the Portfolio realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such options is extinguished. If a call option
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which a Portfolio has written is exercised, the Portfolio realizes a gain or loss from the sale of the underlying security and the proceeds from such sale are increased by the premium originally received. If a put option which a Portfolio has written is exercised, the amount of the premium originally received reduces the cost of the security which the Portfolio purchased upon exercise of the option. Options may be traded on a national securities exchange or in the OTC market.
Risks to a Portfolio of entering into option contracts include counterparty risk, market risk and, with respect to OTC options, illiquidity risk. Counterparty risk arises from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio's loss will consist of the net amount of contractual payments that the Portfolio has not yet received. Market risk is the risk that there will be an unfavorable change in the value of the underlying securities. There is also the risk a Portfolio may not be able to enter into a closing transaction because of an illiquid market. In addition, unlisted options are not traded on an exchange and may not be as actively traded as listed options, making the valuation of such securities more difficult. An unlisted option also entails a greater risk that the party on the other side of the option transaction may default, which would make it impossible to close out an unlisted option position in some cases, and profits related to the transaction lost thereby.
Option contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.
Swap Contracts: Certain Portfolios may enter into credit default, interest rate, equity and/or total return swap contracts. Swap contracts are privately negotiated in the OTC market and may be entered into as a bilateral contract or a centrally cleared contract ("centrally cleared swaps"). In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the "CCP") and a Portfolio faces the CCP through a broker. Upon entering into a centrally cleared swap, a Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Portfolio of Investments and cash deposited is recorded on the Statement of Assets and Liabilities as cash collateral for centrally clear swap contracts. Unlike a bilateral swap contract, for centrally cleared swaps, a Portfolio has no credit exposure to the counterparty as the CCP stands between the Portfolios and the counterparty. Swaps are marked-to-market daily and the changes in value are recorded as an unrealized gain (loss). The daily change in valuation of swap contracts, if any, is recorded as unrealized appreciation (depreciation) on swap contracts. When the swap is terminated, a Portfolio will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Portfolio's basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Upfront payments and receipts on swap contracts are amortized on a daily basis. Net periodic payments made or received by a Portfolio are included as part of realized gain (loss).
Credit Default Swap Agreements: During the period, the SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income and SA Multi-Managed Diversified Fixed Income Portfolios used credit default swaps to manage credit risk (i.e., hedging), as a substitute for physical securities and to enhance returns.
Credit default swaps are generally contracts in which one party makes periodic fixed-rate payments or a one time premium payment (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified payment in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swaps, a Portfolio will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Portfolio would effectively add leverage to its portfolio because, in addition to its total net assets, the Portfolio would be subject to investment exposure on the notional amount of the swap. If a Portfolio is a seller of protection and 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, other deliverable obligations 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. As a buyer of protection on credit default swaps, a Portfolio will make periodic payments, similar to an insurance premium and the seller of protection agrees to compensate the Portfolio for future potential losses as a result of a credit event on the reference bond or other asset. A Portfolio effectively transfers the credit event risk of the reference bond or asset from it to the seller of protection. If a Portfolio is a buyer of protection and 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 deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or
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(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. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Credit default swaps on corporate issues or sovereign issues of an emerging market country are contracts in which the buyer of protection makes periodic fixed payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to deliver option (the buyer of protection's right to choose the deliverable obligation with the lowest value following a credit event). A Portfolio may use credit default swaps on corporate issues or sovereign issues of an emerging market country to provide a measure of protection against defaults of the issuers (i.e., to reduce credit risk where the Portfolio owns or has exposure to the referenced obligation) or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular issuer's default.
Credit default swaps on asset-backed securities are contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. Unlike credit default swaps on corporate issues or sovereign issues of an emerging market country, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Portfolio may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular referenced obligation's default.
Credit default swaps on credit indices are generally contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name's weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Portfolio may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds which is less expensive than it would be to enter into many credit default swaps to achieve a similar effect. Credit-default swaps on indices are used for protecting investors owning bonds against default, and also to speculate on changes in credit quality.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swaps on corporate issues or sovereign issues of an emerging market country as of period end are reported on a schedule following each Portfolio's Portfolio of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or 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 upfront payments required to be made to enter into the agreement. For credit default swaps on asset-based securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, 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 or risk of default or other credit event occurring as defined under the terms of the agreement. The maximum potential amount of future payments (undiscounted) that a Portfolio as a seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swaps outstanding at the end of the period, for which a Portfolio is the seller of protection, if any, are disclosed on a schedule following each Portfolio's Portfolio of Investments. These potential amounts would be partially
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offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swaps entered into by a Portfolio for the same referenced entity or entities.
Credit default swap contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.
Equity Swap Agreements: During the period, the SA Putnam Asset Allocation Diversified Growth Portfolio used equity swaps, a type of total return swap, to hedge the portfolio's sector exposure, to gain exposure to certain sectors and to enhance total return.
Equity swaps are contracts that are typically entered into for the purpose of investing in a security or index without owning or taking physical custody of securities. Total return swaps are contracts that obligate a party to pay or receive interest in exchange for the payment by the other party of the total return generated by a security, a basket of securities, an index or an index component. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Portfolio will receive a payment from or make a payment to the counterparty.
The counterparty to an equity swap will typically be a bank, investment banking firm or broker/dealer. Equity swaps may be structured in different ways. The counterparty will generally agree to pay a Portfolio the amount, if any, by which the notional amount of the equity swap contract would have increased in value had it been invested in particular stocks (or an index of stocks), plus the dividends that would have been received on those stocks. In these cases, a Portfolio may agree to pay to the counterparty a floating rate of interest on the notional amount of the equity swap contract plus the amount, if any, by which that notional amount would have decreased in value had it been invested in such stocks.
Therefore, the return to a Portfolio on any equity swap should be the gain or loss on the notional amount plus dividends on the stocks less the interest paid by the Portfolio on the notional amount. In other cases, the counterparty and a Portfolio may agree to pay to the other the difference between the relative investment performances that would have been achieved if the notional amount of the equity swap contract had been invested in different stocks (or indices of stocks).
A Portfolio will generally enter into equity swaps only on a net basis, which means that the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments. Payments may be made at the conclusion of an equity swap contract or periodically during its term. Equity swaps normally do not involve the delivery of securities or other underlying assets. Accordingly, the risk of loss with respect to equity swaps is normally limited to the net amount of payments that a Portfolio is contractually obligated to make. If the counterparty to an equity swap defaults, a Portfolio's risk of loss consists of the net discounted amount of payments that the Portfolio is contractually entitled to receive, if any. In addition, the value of some components of an equity swap (such as the dividends on a common stock) may also be sensitive to changes in interest rates.
Equity swap contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.
Interest Rate Swap Agreements: During the period, the SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, SA Multi-Managed Diversified Fixed Income and SA Wellington Real Return Portfolios used interest rate swap agreements, including cross-currency swaps, to manage exposure to fluctuations in interest rates and to make active interest rate anticipation decisions.
Interest rate swaps involve the exchange by a Portfolio with another party of their respective commitments to pay or receive interest with respect to the notional amount of principal. Since interest rate swaps are individually negotiated, a Portfolio expects to achieve an acceptable degree of correlation between their respective portfolio investments and their interest rate positions. A Portfolio will enter into interest rate swaps only on a net basis, which means that the two payment streams are netted out, with the Portfolios receiving or paying, as the case may be, only the net amount of the two payments.
A cross-currency swap is an interest rate swap agreement where the two instruments are denominated in two different currencies. Each agreement comprises both long and short exposures based on the reference legs of the swap.
Interest rate swaps do not involve the delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that a Portfolio is contractually obligated to make. If the other party to an interest rate swap defaults, a Portfolio's risk of loss consists of the net discounted amount of
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interest payments that the Portfolio is contractually entitled to receive, if any. The use of interest rate swaps is a highly specialized activity which involves investment techniques and risks different from those associated with ordinary portfolio securities transactions.
Interest rate swap contracts outstanding at the end of the period, if any, are reported on a schedule following each Portfolio's Portfolio of Investments.
Risks of Entering into Swap Agreements: Risks to a Portfolio of entering into credit default swaps, equity swaps and interest rate swaps, include credit risk, market risk, counterparty risk, liquidity risk and documentation risk. By entering into swap agreements, a Portfolio may be exposed to risk of potential loss due to unfavorable changes in interest rates, the price of the underlying security or index, or the underlying referenced asset's perceived or actual credit, that the counterparty may default on its obligation to perform or the possibility that there is no liquid market for these agreements. There is also the risk that the parties may disagree as to the meaning of contractual terms in the swap agreement. In addition, to the extent that a subadviser does not accurately analyze and predict the underlying economic factors influencing the value of the swap, a Portfolio may suffer a loss.
Master Agreements: Certain Portfolios that hold derivative instruments and other financial instruments may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements ("Master Agreements") with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by a Portfolio and applicable counterparty. Collateral requirements are generally determined based on a Portfolio's net position with each counterparty. Master Agreements may also include certain provisions that require a Portfolio to post additional collateral upon the occurrence of certain events, such as when the Portfolio's net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Portfolio may also occur upon a decline the Portfolio's net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty's long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty's credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, 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 a Portfolio's counterparties to elect early termination could cause the Portfolio to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to a Portfolio's financial statements. The Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
The following tables represent the value of derivatives held as of March 31, 2018, by their primary underlying risk exposure and respective location on the Statement of Assets and Liabilities and the effect of derivatives on the Statement of Operations for the year ended March 31, 2018. The derivative contracts held during the period are not accounted for as hedging instruments under GAAP. For a detailed presentation of derivatives held as of March 31, 2018, please refer to a schedule following each Portfolio's Portfolio of Investments.
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Asset Derivatives | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Contracts | Equity Contracts | Credit Contracts | Foreign Exchange Contracts | ||||||||||||||||||||||||||||||||||||||||
Portfolio | Futures Contracts(1)(8) | Swap Contracts(2) | Options Purchased(3) | Futures Contracts(1)(8) | Swap Contracts(2) | Options Purchased(3) | Swap Contracts(2) | Foreign Exchange Contracts(4) | Options Purchased(3) | Total | |||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | 4,134 | $ | 10,471 | $ | — | $ | 1,380 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 15,985 | |||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 11,165 | 27,746 | — | — | — | — | — | — | — | 38,911 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | 10,792 | 32,520 | — | — | — | — | — | 816 | — | 44,128 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | 9,268 | 44,083 | — | — | — | — | — | — | — | 53,351 | |||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 15,656 | — | — | 167,343 | 205,581 | — | — | 44,354 | — | 432,934 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | — | — | — | 26,900 | — | — | — | — | — | 26,900 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | — | — | — | 16,200 | — | — | — | 26,515 | — | 42,715 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | — | — | — | 5,380 | — | — | — | — | — | 5,380 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | — | — | — | 10,760 | — | — | — | — | — | 10,760 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | — | — | — | 20,010 | — | — | — | — | — | 20,010 | |||||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | — | — | — | 34,740 | — | — | — | — | — | 34,740 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 119,641 | 227,937 | 420,899 | — | — | — | — | 8,184 | — | 776,661 | |||||||||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | — | — | — | — | — | — | — | 2,037,700 | — | 2,037,700 |
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Liability Derivatives | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Contracts | Equity Contracts | Credit Contracts | Foreign Exchange Contracts | ||||||||||||||||||||||||||||||||||||||||
Portfolio | Futures Contracts(1)(8) | Swap Contracts(5) | Options Written(6) | Futures Contracts(1)(8) | Swap Contracts(5) | Options Written(6) | Swap Contracts(5) | Foreign Exchange Contracts(7) | Options Written(6) | Total | |||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | 5,724 | $ | 1,485 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 14,618 | $ | — | $ | 21,827 | |||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 14,963 | 3,564 | — | — | — | — | — | 38,669 | — | 57,196 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | 16,980 | 3,779 | — | — | — | — | — | 45,028 | — | 65,787 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | 20,358 | 3,747 | — | — | — | — | — | 44,911 | — | 69,016 | |||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 19,017 | — | — | 30,089 | 159,410 | — | — | 22,042 | — | 230,558 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | — | — | — | — | — | — | — | 17,550 | — | 17,550 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 181,649 | 248,896 | — | — | — | — | 7,828 | — | — | 438,373 | |||||||||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | 251,704 | 50,130 | — | — | — | — | — | — | — | 301,834 |
Statement of Assets and Liabilities Location:
(1) Variation margin on futures contracts
(2) Unrealized appreciation on swap contracts
(3) Investments, at value
(4) Unrealized appreciation on forward foreign currency contracts
(5) Unrealized depreciation on swap contracts
(6) Call and put options written, at value
(7) Unrealized depreciation on forward foreign currency contracts
(8) The variation margin on futures contracts is included in the cumulative appreciation (depreciation) as reported on each Portfolio's Portfolio of Investments in the following amounts:
Portfolio | Cumulative Appreciation (Depreciation) | ||||||
SA Multi-Managed Growth Portfolio | $ | (10,024 | ) | ||||
SA Multi-Managed Moderate Growth Portfolio | (7,496 | ) |
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Portfolio | Cumulative Appreciation (Depreciation) | ||||||
SA Multi-Managed Income/Equity Portfolio | $ | (17,964 | ) | ||||
SA Multi-Managed Income Portfolio | (38,375 | ) | |||||
SA Putnam Asset Allocation Diversified Growth Portfolio | (198,956 | ) | |||||
SA Multi-Managed Large Cap Growth Portfolio | (85,620 | ) | |||||
SA Multi-Managed Large Cap Value Portfolio | (37,520 | ) | |||||
SA Multi-Managed Mid Cap Growth Portfolio | (12,443 | ) | |||||
SA Multi-Managed Mid Cap Value Portfolio | (24,887 | ) | |||||
SA Multi-Managed Small Cap Portfolio | (87,147 | ) | |||||
SA Multi-Managed International Equity Portfolio | (54,421 | ) | |||||
SA Multi-Managed Diversified Fixed Income Portfolio | (317,429 | ) | |||||
SA Wellington Real Return Portfolio | (1,014,083 | ) |
Realized Gain (Loss) on Derivatives Recognized in Statement of Operations | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Contracts | Equity Contracts | Credit Contracts | Foreign Exchange Contracts | ||||||||||||||||||||||||||||||||||||||||
Portfolio | Futures Contracts(1) | Swap Contracts(2) | Options* | Futures Contracts(1) | Swap Contracts(2) | Options* | Swap Contracts(2) | Foreign Exchange Contracts(3) | Options* | Total | |||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | (41,684 | ) | $ | (3,843 | ) | $ | — | $ | 17,864 | $ | — | $ | — | $ | — | $ | 14,041 | $ | 1,173 | $ | (12,449 | ) | ||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | (51,092 | ) | (6,148 | ) | — | 2,624 | — | — | (1,692 | ) | 42,404 | 3,078 | (10,826 | ) | |||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | (100,951 | ) | (6,811 | ) | — | — | — | — | (1,692 | ) | 20,952 | 3,520 | (84,982 | ) | |||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | (13,564 | ) | (6,531 | ) | — | — | — | — | (1,692 | ) | 48,253 | 3,516 | 29,982 | ||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 5,326 | — | — | 972,507 | (39,993 | ) | (15,510 | ) | — | 309,624 | — | 1,231,954 | |||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | — | — | — | 307,154 | — | — | — | — | — | 307,154 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | — | — | — | 70,204 | — | — | — | (1,577,163 | ) | — | (1,506,959 | ) | |||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | — | — | — | 91,075 | — | — | — | — | — | 91,075 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | — | — | — | 83,485 | — | — | — | — | — | 83,485 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | — | — | — | 425,740 | — | — | — | — | — | 425,740 |
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Realized Gain (Loss) on Derivatives Recognized in Statement of Operations | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Contracts | Equity Contracts | Credit Contracts | Foreign Exchange Contracts | ||||||||||||||||||||||||||||||||||||||||
Portfolio | Futures Contracts(1) | Swap Contracts(2) | Options* | Futures Contracts(1) | Swap Contracts(2) | Options* | Swap Contracts(2) | Foreign Exchange Contracts(3) | Options* | Total | |||||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | $ | — | $ | — | $ | — | $ | 499,588 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 499,588 | |||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | (1,336,630 | ) | 80,587 | — | — | — | — | (165,532 | ) | 297,423 | 47,063 | (1,077,089 | ) | ||||||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | (70,853 | ) | 120,088 | — | — | — | — | — | (27,290,465 | ) | — | (27,241,230 | ) | ||||||||||||||||||||||||||||||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Contracts | Equity Contracts | Credit Contracts | Foreign Exchange Contracts | ||||||||||||||||||||||||||||||||||||||||
Portfolio | Futures Contracts(4) | Swap Contracts(5) | Options* | Futures Contracts(4) | Swap Contracts(5) | Options* | Swap Contracts(5) | Foreign Exchange Contracts(6) | Options* | Total | |||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | (8,122 | ) | $ | 7,312 | $ | — | $ | (7,961 | ) | $ | — | $ | — | $ | — | $ | (7,916 | ) | $ | — | $ | (16,687 | ) | |||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | (14,933 | ) | 19,775 | — | (4,012 | ) | — | — | — | (30,825 | ) | — | (29,995 | ) | |||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | (13,314 | ) | 23,383 | — | — | — | — | — | (34,322 | ) | — | (24,253 | ) | ||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | (51,221 | ) | 21,811 | — | — | — | — | — | (34,061 | ) | — | (63,471 | ) | ||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | (4,484 | ) | — | — | (273,164 | ) | 151,361 | (1,394 | ) | — | (54,245 | ) | — | (181,926 | ) | ||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | — | — | — | (80,014 | ) | — | — | — | — | — | (80,014 | ) | |||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | — | — | — | (21,114 | ) | — | — | — | (134,819 | ) | — | (155,933 | ) | ||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | — | — | — | (8,036 | ) | — | — | — | — | — | (8,036 | ) | |||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | — | — | — | (20,480 | ) | — | — | — | — | — | (20,480 | ) |
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Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Contracts | Equity Contracts | Credit Contracts | Foreign Exchange Contracts | ||||||||||||||||||||||||||||||||||||||||
Portfolio | Futures Contracts(4) | Swap Contracts(5) | Options* | Futures Contracts(4) | Swap Contracts(5) | Options* | Swap Contracts(5) | Foreign Exchange Contracts(6) | Options* | Total | |||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | $ | — | $ | — | $ | — | $ | (134,986 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (134,986 | ) | |||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | — | — | — | (76,739 | ) | — | — | — | — | — | (76,739 | ) | |||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | (580,681 | ) | 10,911 | (203,015 | ) | — | — | — | (1,048 | ) | (168,303 | ) | — | (942,136 | ) | ||||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | (898,909 | ) | (50,130 | ) | — | — | — | — | — | 711,376 | — | (237,663 | ) |
* Includes amounts relating to purchased and written options as follows:
Realized Gain (Loss) on Derivatives Recognized in Statement of Operations | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations | ||||||||||||||||||||||||||||||||||||||||||||||||||
Interest Rate Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Equity Contracts | Foreign Exchange Contracts | ||||||||||||||||||||||||||||||||||||||||||||||
Options Purchased(7) | Options Written(8) | Options Purchased(7) | Options Written(8) | Options Purchased(7) | Options Written(8) | Options Purchased(9) | Options Written(10) | Options Purchased(9) | Options Written(10) | Options Purchased(9) | Options Written(10) | ||||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | — | $ | — | $ | — | $ | — | $ | 1,173 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||||||
SA Multi Managed Moderate Growth Portfolio | — | — | — | — | 3,078 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | — | — | — | — | 3,520 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | — | — | — | — | 3,516 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | — | — | (30,314 | ) | 14,804 | — | — | — | — | — | (1,394 | ) | — | — | |||||||||||||||||||||||||||||||||||||
SA Diversified Fixed Income Portfolio | — | — | — | — | 47,063 | — | (203,015 | ) | — | — | — | — | — |
Statement of Operations Location:
(1) Net realized gain (loss) on futures contracts
(2) Net realized gain (loss) on swap contracts
(3) Net realized gain (loss) on forward contracts
(4) Change in unrealized appreciation (depreciation) on futures contracts
(5) Change in unrealized appreciation (depreciation) on swap contracts
(6) Change in unrealized appreciation (depreciation) on forward contracts
(7) Net realized gain (loss) on investments
(8) Net realized gain (loss) on written options contracts
(9) Change in unrealized appreciation (depreciation) on investments
(10) Change in unrealized appreciation (depreciation) on written options contracts
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The following table represents the average monthly balances of derivatives held during the year ended March 31, 2018.
Average Amount Outstanding During the Period | |||||||||||||||||||||||||||||||||||
Portfolio | Futures Contracts(1) | Foreign Exchange Contracts(1) | Purchased Options Contracts(2) | Interest Rate Swap Contracts(1) | Credit Default Swap Contracts(1) | Total Return Swap Contracts(2) | Written Call Option Contracts(2) | Written Put Option Contracts(2) | |||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | 4,267,160 | $ | 568,107 | $ | 19,417 | $ | 311,495 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 11,200,875 | 1,507,793 | 50,333 | 837,597 | 17,000 | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Income/ Equity Portfolio | 9,680,966 | 1,999,312 | 59,167 | 973,818 | 17,000 | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | 12,069,801 | 1,771,792 | 60,000 | 1,053,068 | 17,000 | — | — | — | |||||||||||||||||||||||||||
SA Putnam Asset Allocation: Diversified Growth Portfolio | 41,124,142 | 5,884,350 | — | — | — | 12,429,508 | 223 | 15,941 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | 1,476,692 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | 1,072,767 | 21,780,331 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | 632,307 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | 727,337 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | 2,629,667 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | 3,828,678 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 122,539,562 | 16,196,362 | 7,176,750 | 14,412,859 | 5,846,120 | — | — | — | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | 54,143,307 | 334,420,108 | — | 6,134,745 | — | — | — | — |
(1) Amounts represent notional amounts in US dollars.
(2) Amounts represent values in US dollars.
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The following tables set forth the Portfolios' derivative assets and liabilities by counterparty, net of amounts available for offset under Master Agreements and net of the related collateral pledged/(received) as of March 31, 2018. The repurchase agreements held by the Portfolios as of March 31, 2018, are also subject to Master Agreements but are not included in the following tables. See the Portfolio of Investments and the Notes to the Financial Statements for more information about the Portfolios' holdings in repurchase agreements.
SA Multi-Managed Growth Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Citibank N.A. | $ | — | $ | — | $ | — | $ | — | $ | 14,618 | $ | — | $ | — | $ | 14,618 | $ | (14,618 | ) | $ | — | $ | (14,618 | ) |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
SA Multi-Managed Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Citibank N.A | $ | — | $ | — | $ | — | $ | — | $ | 38,669 | $ | — | $ | — | $ | 38,669 | $ | (38,669 | ) | $ | — | $ | (38,669 | ) |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
SA Multi-Managed Income/Equity Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Citibank N.A. | $ | — | $ | — | $ | — | $ | — | $ | 45,028 | $ | — | $ | — | $ | 45,028 | $ | (45,028 | ) | $ | — | $ | (45,028 | ) | |||||||||||||||||||||||
Morgan Stanley and Co., Inc. | 816 | — | — | 816 | — | — | — | — | 816 | — | 816 | ||||||||||||||||||||||||||||||||||||
Total | $ | 816 | $ | — | $ | — | $ | 816 | $ | 45,028 | $ | — | $ | — | $ | 45,028 | $ | (44,212 | ) | $ | — | $ | (44,212 | ) |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
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SA Multi-Managed Income Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Citibank N.A. | $ | — | $ | — | $ | — | $ | — | $ | 44,911 | $ | — | $ | — | $ | 44,911 | $ | (44,911 | ) | $ | — | $ | (44,911 | ) | |||||||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | 44,911 | $ | — | $ | — | $ | 44,911 | $ | (44,911 | ) | $ | — | $ | (44,911 | ) |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
SA Putnam Asset Allocation Diversified Growth Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Bank of America, N.A. | $ | 11,818 | $ | — | $ | — | $ | 11,818 | $ | 549 | $ | — | $ | — | $ | 549 | $ | 11,269 | $ | — | $ | 11,269 | |||||||||||||||||||||||||
Citibank N.A. | 8,266 | 205,581 | — | 213,847 | 1,060 | 159,410 | — | 160,470 | 53,377 | — | 53,377 | ||||||||||||||||||||||||||||||||||||
Goldman Sachs International | 1,889 | — | — | 1,889 | — | — | — | — | 1,889 | — | 1,889 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 16,867 | — | — | 16,867 | 12,923 | — | — | 12,923 | 3,944 | — | 3,944 | ||||||||||||||||||||||||||||||||||||
State Street Bank and Trust Co. | 5,514 | — | — | 5,514 | 238 | — | — | 238 | 5,276 | — | 5,276 | ||||||||||||||||||||||||||||||||||||
UBS AG | — | — | — | — | 7,272 | — | — | 7,272 | (7,272 | ) | — | (7,272 | ) | ||||||||||||||||||||||||||||||||||
Total | $ | 44,354 | $ | 205,581 | $ | — | $ | 249,935 | $ | 22,042 | $ | 159,410 | $ | — | $ | 181,452 | $ | 68,483 | $ | — | $ | 68,483 |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
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SA Multi-Managed Large Cap Value Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Credit Suisse AG | $ | 12,984 | $ | — | $ | — | $ | 12,984 | $ | 1,589 | $ | — | $ | — | $ | 1,589 | $ | 11,395 | $ | — | $ | 11,395 | |||||||||||||||||||||||||
Morgan Stanley and Co., Inc. | 13,531 | — | — | 13,531 | — | — | — | — | 13,531 | — | 13,531 | ||||||||||||||||||||||||||||||||||||
UBS AG | — | — | — | — | 15,961 | — | — | 15,961 | (15,961 | ) | — | (15,961 | ) | ||||||||||||||||||||||||||||||||||
Total | $ | 26,515 | $ | — | $ | — | $ | 26,515 | $ | 17,550 | $ | — | $ | — | $ | 17,550 | $ | 8,965 | $ | — | $ | 8,965 |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
SA Multi-Managed Diversified Fixed Income Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Bank of America, N.A. | $ | — | $ | — | $ | 420,899 | $ | 420,899 | $ | — | $ | — | $ | — | $ | — | $ | 420,899 | $ | — | $ | 420,899 | |||||||||||||||||||||||||
Morgan Stanley and Co., Inc. | 6,914 | — | — | 6,914 | — | — | — | — | 6,914 | — | 6,914 | ||||||||||||||||||||||||||||||||||||
State Street Bank and Trust Co. | 1,270 | — | — | 1,270 | — | — | — | — | 1,270 | — | 1,270 | ||||||||||||||||||||||||||||||||||||
Total | $ | 8,184 | $ | — | $ | 420,899 | $ | 429,083 | $ | — | $ | — | $ | — | $ | — | $ | 429,083 | $ | — | $ | 429,083 |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
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SA Wellington Real Return Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Australia and New Zealand Banking Group | $ | 667,219 | $ | — | $ | — | $ | 667,219 | $ | — | $ | — | $ | — | $ | — | $ | 667,219 | $ | — | $ | 667,219 | |||||||||||||||||||||||||
Bank of Montreal | 31,434 | — | — | 31,434 | — | — | — | — | 31,434 | — | 31,434 | ||||||||||||||||||||||||||||||||||||
Barclays Bank PLC Wholesale | 852,482 | — | — | 852,482 | — | — | — | — | 852,482 | — | 852,482 | ||||||||||||||||||||||||||||||||||||
Morgan Stanley and Co., Inc. | 486,565 | — | — | 486,565 | — | — | — | — | 486,565 | — | 486,565 | ||||||||||||||||||||||||||||||||||||
Total | $ | 2,037,700 | $ | — | $ | — | $ | 2,037,700 | $ | — | $ | — | $ | — | $ | — | $ | 2,037,700 | $ | — | $ | 2,037,700 |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
Inflation-Indexed Bonds: Certain Portfolios may purchase inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and certain other issuers use a structure that reflects inflation in the principal value of the bond. Other issuers pay out any inflation related accruals as part of a semiannual coupon. The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rates minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will be directly correlated to changes in nominal interest rates, and short-term increases in inflation may lead to a decline in their value. Coupon payments received from inflation-indexed bonds are recorded in the Statement of Operations as interest income. In addition, any increase or decrease in the principal amount of an inflation-indexed bond will be recorded in the Statement of Operations as an increase or decrease to interest income, even though principal is not paid until maturity.
Repurchase Agreements: The Portfolios, along with other affiliated registered investment companies, pursuant to procedures adopted by the Board and applicable guidance from the Securities and Exchange Commission ("SEC"), may transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by U.S. Treasury or federal agency obligations.
In a repurchase agreement, the seller of a security agrees to repurchase the security at a mutually agreed-upon time and price, which reflects the effective rate of return for the term of the agreement. For repurchase agreements and joint repurchase agreements, the Trust's custodian takes possession of the collateral pledged for investments in such repurchase agreements ("repo" or collectively "repos"). The underlying collateral is valued daily on a mark to market basis, plus accrued interest to ensure that the value, at the time the agreement is entered into, is equal to at least 102% of the repurchase price, including accrued interest. In the event of default of the obligation to repurchase, a Portfolio has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by a Portfolio may be delayed or limited.
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As of March 31, 2018, the following Portfolios held an undivided interest in the joint repurchase agreement with Bank of America Securities LLC:
Portfolio | Percentage Ownership | Principal Amount | |||||||||
SA Multi-Managed Growth | 0.08 | % | $ | 70,000 | |||||||
SA Multi-Managed Moderate Growth | 0.04 | 30,000 | |||||||||
SA Multi-Managed Income/Equity | 0.07 | 60,000 | |||||||||
SA Multi-Managed Income | 0.18 | 150,000 | |||||||||
SA Multi-Managed Large Cap Value | 1.84 | 1,565,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 1.29 | 1,100,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 1.57 | 1,335,000 | |||||||||
SA Wellington Real Return | 15.32 | 13,020,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Bank of America Securities LLC, dated March 29, 2018, bearing interest at a rate of 1.78% per annum, with a principal amount of $85,000,000, a repurchase price of $85,016,811, and a maturity date of April 02, 2018. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Notes | 2.38 | % | 03/15/2021 | $ | 86,701,000 | $ | 86,703,650 |
As of March 31, 2018, the following Portfolios held an undivided interest in the joint repurchase agreement with Barclays Capital, Inc.:
Portfolio | Percentage Ownership | Principal Amount | |||||||||
SA Multi-Managed Growth | 0.06 | % | $ | 30,000 | |||||||
SA Multi-Managed Moderate Growth | 0.02 | 10,000 | |||||||||
SA Multi-Managed Income/Equity | 0.05 | 25,000 | |||||||||
SA Multi-Managed Income | 0.16 | 80,000 | |||||||||
SA Multi-Managed Large Cap Value | 1.83 | 915,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 1.28 | 640,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 1.56 | 780,000 | |||||||||
SA Wellington Real Return | 15.29 | 7,645,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Barclays Capital, Inc., dated March 29, 2018, bearing interest at a rate of 1.77% per annum, with a principal amount of $50,000,000, a repurchase price of $50,009,833, and a maturity date of April 02, 2018. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Bonds | 3.00 | % | 05/15/2047 | $ | 50,496,000 | $ | 50,889,334 |
As of March 31, 2018, the following Portfolios held an undivided interest in the joint repurchase agreement with BNP Paribas SA:
Portfolio | Percentage Ownership | Principal Amount | |||||||||
SA Multi-Managed Growth | 0.06 | % | $ | 55,000 | |||||||
SA Multi-Managed Moderate Growth | 0.02 | 15,000 | |||||||||
SA Multi-Managed Income/Equity | 0.05 | 45,000 | |||||||||
SA Multi-Managed Income | 0.16 | 135,000 | |||||||||
SA Multi-Managed Large Cap Value | 1.83 | 1,555,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 1.28 | 1,090,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 1.56 | 1,325,000 | |||||||||
SA Wellington Real Return | 15.29 | 13,000,000 |
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As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
BNP Paribas SA, dated March 29, 2018, bearing interest at a rate of 1.77% per annum, with a principal amount of $85,000,000, a repurchase price of $85,016,717, and a maturity date of April 02, 2018. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Notes | 2.38 | % | 08/15/2024 | $ | 88,167,500 | $ | 86,769,979 |
As of March 31, 2018, the following Portfolios held an undivided interest in the joint repurchase agreement with Deutsche Bank AG:
Portfolio | Percentage Ownership | Principal Amount | |||||||||
SA Multi-Managed Growth | 0.06 | % | $ | 40,000 | |||||||
SA Multi-Managed Moderate Growth | 0.02 | 15,000 | |||||||||
SA Multi-Managed Income/Equity | 0.05 | 35,000 | |||||||||
SA Multi-Managed Income | 0.16 | 105,000 | |||||||||
SA Multi-Managed Large Cap Value | 1.83 | 1,215,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 1.28 | 845,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 1.55 | 1,030,000 | |||||||||
SA Wellington Real Return | 15.30 | 10,135,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Deutsche Bank AG, dated March 29, 2018, bearing interest at a rate of 1.79% per annum, with a principal amount of $66,250,000, a repurchase price of $66,263,176, and a maturity date of April 02, 2018. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Notes | 3.63 | % | 08/15/2019 | $ | 66,364,000 | $ | 67,896,677 |
As of March 31, 2018, the following Portfolios held an undivided interest in the joint repurchase agreement with RBS Securities, Inc.:
Portfolio | Percentage Ownership | Principal Amount | |||||||||
SA Multi-Managed Growth | 0.06 | % | $ | 20,000 | |||||||
SA Multi-Managed Moderate Growth | 0.02 | 5,000 | |||||||||
SA Multi-Managed Income/Equity | 0.05 | 15,000 | |||||||||
SA Multi-Managed Income | 0.15 | 50,000 | |||||||||
SA Multi-Managed Large Cap Value | 1.83 | 605,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 1.27 | 420,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 1.56 | 515,000 | |||||||||
SA Wellington Real Return | 15.29 | 5,045,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
RBS Securities, Inc., dated March 29, 2018, bearing interest at a rate of 1.75% per annum, with a principal amount of $33,000,000, a repurchase price of $33,006,417, and a maturity date of April 02, 2018. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Bills | Zero Coupon | 03/28/2019 | $ | 34,405,000 | $ | 33,664,797 |
Stripped Mortgage-Backed Securities: Stripped Mortgage-Backed Securities ("SMBS") are multiple-class mortgage-backed securities. SMBS are often structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. SMBS have greater market volatility than other types of U.S. government securities in which a Portfolio invests. A common type of SMBS has one class receiving some of the interest and all or most of the principal (the "principal only" class) from the mortgage pool, while the other class will receive all or most of the interest (the
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"interest only" class). The yield to maturity on an interest only class is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments, including principal prepayments, on the underlying pool of mortgage assets, and a rapid rate of principal payment may have a material adverse effect on a Portfolio's yield.
Mortgage-Backed Dollar Rolls: During the year ended March 31, 2018, the SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, SA Multi-Managed Asset Allocation Diversified Growth and SA Multi-Managed Diversified Fixed Income Portfolios entered into dollar rolls using "to be announced" ("TBA") mortgage-backed securities ("TBA Rolls"). TBA Roll transactions involve the sale of mortgage or other asset backed securities with the commitment to purchase substantially similar securities on a specified future date. The Portfolios' policy is to record the components of TBA Rolls as purchase/sale transactions. Any difference between the purchase and sale price is recorded as a realized gain or loss on the date the transaction is entered into. TBA Roll transactions involve the risk that the market value of the securities held by a Portfolio may decline below the price of the securities that the Portfolio has sold but is obligated to repurchase under the agreement. In the event that the buyer of securities in a TBA Roll transaction files bankruptcy or becomes insolvent, a Portfolio's use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Portfolio's obligation to repurchase the securities. Mortgage-Backed Dollar Rolls outstanding at the end of the period, if any, are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.
When-Issued Securities and Forward Commitments: Certain Portfolios may purchase or sell when-issued securities, that have been authorized, but not yet issued in the market. In addition, a Portfolio may purchase or sell securities on a forward commitment basis. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The Portfolios may engage in when-issued or forward commitment transactions in order to secure what is considered to be an advantageous price and yield at the time of entering into the obligation. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a when- issued or forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. For the year ended March 31, 2018, the SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, SA Putnam Asset Allocation Diversified Growth and SA Multi-Managed Diversified Fixed Income Portfolios purchased and/or sold when-issued securities. Securities purchased or sold on a when-issued or forward commitment basis outstanding at the end of the period, if any, are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.
Foreign Currency Translation: The books and records of the Portfolios are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies and commitments under forward foreign currency contracts are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation.
The Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the changes in the market prices of portfolio securities sold during the period.
Realized foreign exchange gains and losses on other assets and liabilities and change in unrealized foreign exchange gains and losses on other assets and liabilities located in the Statements of Operations include realized foreign exchange gains and losses from currency gains or losses between the trade and the settlement dates of securities transactions, 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 and changes in the unrealized foreign exchange gains and losses relating to the other assets and liabilities arising as a result of changes in the exchange rates.
Loans: Certain Portfolios may invest in senior loans which generally consist of direct debt obligations of companies (collectively, "Borrowers"), primarily U.S. companies and their affiliates, undertaken to finance the growth of the Borrower's business internally and externally, or to finance a capital restructuring. Transactions in senior loans may settle on a delayed basis. Unsettled loans at the end of the period, if any, are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.
Securities Transactions, Investment Income, Expenses, Dividends and Distributions to Shareholders: Security transactions are recorded on a trade date basis. Realized gains and losses on the sale of investments are calculated on the identified cost basis. For financial statement purposes, the Portfolios amortize all premiums and accrete all discounts on fixed income securities.
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Interest income is accrued daily from settlement date except when collection is not expected. Dividend income is recorded on the ex-dividend date except for certain dividends from foreign securities, which are recorded as soon as the Trust is informed after the ex-dividend date. Paydown gains and losses on mortgage and asset-backed securities are recorded as components of interest income on the Statement of Operations.
Portfolios which earn foreign income and capital gains may be subject to foreign withholding taxes and capital gains taxes at various rates. Under applicable foreign law, a withholding of tax may be imposed on interest, dividends, and capital gains from the sale of foreign securities at various rates. India, Thailand, and other countries' tax regulations require that taxes be paid on capital gains realized by a Portfolio.
Net investment income, expenses other than class specific expenses, and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for current capital shares activity of the respective class).
Expenses common to all Portfolios, are allocated among the Portfolios based upon relative net assets or other appropriate allocation methods. In all other respects, expenses are charged to each Portfolio as incurred on a specific identification basis.
For the Seasons Managed Allocation Portfolios, the expenses included in the accompanying financial statements reflect the expenses of the Seasons Managed Allocation Portfolios and do not include indirect expenses borne by each Underlying Portfolio in connection with its investment in the Underlying Portfolio.
Distributions received from Real Estate Investment Trust ("REIT") investments are recharacterized based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available on a timely basis from the REIT, the recharacterization will be based on available information which may include the previous year's allocation. If new or additional information becomes available from the REIT at a later date, a recharacterization will be made in the following year. The amount recharacterized as ordinary income is recorded as dividend income and the amount recharacterized as capital gain is recorded as realized gain in the Statement of Operations. The amount recharacterized as return of capital is recorded as a reduction to the cost of investments in the Statement of Assets and Liabilities. These recharacterizations are reflected in the accompanying financial statements.
Dividends from net investment income and capital gain distributions, if any, are paid annually. The Portfolios record dividends and distributions to their shareholders on the ex-dividend date.
For Seasons Managed Allocation Portfolios, distributions from income from the underlying Seasons Portfolios, if any, are recorded to income on the ex-dividend date. Distributions from net realized capital gains from underlying Seasons Portfolios, if any, are recorded to realized gains on the ex-dividend date.
The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts at fiscal year end based on their federal tax-basis treatment; temporary differences do not require reclassification. Net assets are not affected by these reclassifications.
Each Portfolio is considered a separate entity for tax purposes and intends to comply with the requirements of the Internal Revenue Code, as amended, applicable to regulated investment companies and distribute all of its taxable income, including any net capital gains on investments, to its shareholders. Each Portfolio also intends to distribute sufficient net investment income and net capital gains, if any, it will not be subject to excise tax on undistributed income and gains. Therefore, no federal income tax or excise tax provision is required.
The Portfolios recognize the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities. Management has analyzed each Portfolio's tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years 2014-2016 or expected to be taken in each Portfolio's 2017 tax return. The Portfolios are not aware of any tax provisions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. The Portfolios file U.S. federal and certain state income tax returns. With few exceptions, the Portfolios are no longer subject to U.S. federal and state tax examinations by tax authorities for tax returns ending before 2014.
New Accounting Pronouncement: In October 2016, the SEC adopted amendments to rules under the 1940 Act ("final rules") intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosure in fund financial statements
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in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments and investments in and advances to affiliates and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X was August 1, 2017. All required changes have been made in accordance with Regulation S-X.
Note 3. Investment Advisory and Management Agreement, and Service Agreement (12b-1 Plan): SAAMCo serves as investment adviser for all of the Portfolios of the Trust. The Trust, on behalf of each Portfolio, entered into an Investment Advisory and Management Agreement (the "Agreement") with SAAMCo to handle the Trust's day-to-day affairs, to provide investment advisory services, office space, and other facilities for the management of the affairs of the Trust, and to pay the compensation of certain officers of the Trust who are affiliated persons of SAAMCo. Pursuant to the Agreement entered into between the Adviser and the Trust, each Portfolio pays the Adviser a fee equal to the following percentage of average daily net assets:
Portfolio | Assets | Management Fees | |||||||||
SA Multi-Managed Growth(1) | 0-$250 million | 0.89 | % | ||||||||
| >$250 million | 0.84 | % | ||||||||
| >$500 million | 0.79 | % | ||||||||
SA Multi-Managed Moderate Growth(1) | 0-$250 million | 0.85 | % | ||||||||
>$250 million | 0.80 | % | |||||||||
>$500 million | 0.75 | % | |||||||||
SA Multi-Managed Income/Equity | 0-$250 million | 0.81 | % | ||||||||
>$250 million | 0.76 | % | |||||||||
>$500 million | 0.71 | % | |||||||||
SA Multi-Managed Income | 0-$250 million | 0.77 | % | ||||||||
>$250 million | 0.72 | % | |||||||||
>$500 million | 0.67 | % | |||||||||
SA Putnam Asset Allocation Diversified Growth(2) | 0-$250 million | 0.85 | % | ||||||||
>$250 million | 0.80 | % | |||||||||
>$500 million | 0.75 | % | |||||||||
SA T. Rowe Price Growth Stock | 0-$250 million | 0.85 | % | ||||||||
>$250 million | 0.80 | % | |||||||||
>$500 million | 0.75 | % | |||||||||
SA Multi-Managed Large Cap Growth, SA Multi-Managed Large Cap Value | 0-$250 million | 0.80 | % | ||||||||
>$250 million | 0.75 | % | |||||||||
>$500 million | 0.70 | % | |||||||||
SA Multi-Managed Mid Cap Growth, SA Multi-Managed Mid Cap Value, | 0-$250 million | 0.85 | % | ||||||||
SA Multi-Managed Small Cap(1) | >$250 million | 0.80 | % | ||||||||
>$500 million | 0.75 | % | |||||||||
SA Multi-Managed International Equity(3) | 0-$250 million | 0.95 | % | ||||||||
>$250 million | 0.90 | % | |||||||||
>$500 million | 0.85 | % | |||||||||
SA Multi-Managed Diversified Fixed Income | 0-$200 million | 0.70 | % | ||||||||
>$200 million | 0.65 | % | |||||||||
>$400 million | 0.60 | % | |||||||||
SA Wellington Real Return(4) | 0-$500 million | 0.60 | % | ||||||||
>$500 million | 0.55 | % | |||||||||
SA Columbia Focused Growth(5) | 0-$250 million | 1.00 | % | ||||||||
>$250 million | 0.95 | % | |||||||||
>$500 million | 0.90 | % | |||||||||
SA Columbia Focused Value(6) | 0-$250 million | 1.00 | % | ||||||||
>$250 million | 0.95 | % | |||||||||
>$500 million | 0.90 | % | |||||||||
SA Allocation Growth(7), SA Allocation Moderate Growth(7), | |||||||||||
SA Allocation Moderate(7), SA Allocation Balanced(7) | >0 | 0.10 | % |
(1) The Adviser has agreed to waive a portion of its advisory fee in an amount equal to the amount of any advisory fees waived by the Portfolio's Subadviser, J.P. Morgan Investment Management, Inc., in connection with those shares of the Portfolio beneficially owned by qualified employer-sponsored retirement plans and IRAs (the "Plans") that are held through separate accounts of AGL and USL under variable insurance contracts sold to the Plans by an affiliated broker-dealer of the Subadviser, who is the broker-dealer of record for such shares. This arrangement will remain in effect so long as the JPM Portfolio Waiver is in effect. For the
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year ended March 31, 2018, the amount of advisory fees waived were $68, $103, and $223 for the SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, and SA Multi-Managed Small Cap Portfolios, respectively.
(2) The Adviser voluntarily agreed, until further notice, to waive 0.10% of advisory fees for the SA Putnam Asset Allocation Diversified Growth Portfolio. For the year ended March 31, 2018, the amount of advisory fees waived was $135,750.
(3) The Adviser contractually agreed to waive 0.04% of advisory fees for the SA Multi-Managed International Equity Portfolio. For the year ended March 31, 2018, the amount of advisory fees waived was $270,032.
(4) The Adviser voluntarily agreed to waive 0.05% of advisory fees for the SA Wellington Real Return Portfolio. For the year ended March 31, 2018, the amount of advisory fees waived was $369,468.
(5) The Adviser contractually agreed to waive its advisory fee for the SA Columbia Focused Growth Portfolio so that the advisory fee payable to SAAMCo equals 0.69% of average daily net assets. For the year ended March 31, 2018, the amount of advisory fees waived was $413,051.
(6) The Adviser contractually agreed to waive its advisory fee for the SA Columbia Focused Value Portfolio so that the advisory fee payable to SAAMCo equals 0.67% of average daily net assets. For the year ended March 31, 2018, the amount of advisory fees waived was $1,045,940.
(7) The Adviser contractually agreed to waive its advisory fee for the SA Allocation Growth, SA Allocation Moderate Growth, SA Allocation Moderate and SA Allocation Balanced Portfolios so that the advisory fee payable to SAAMCo equals 0.09% of average daily net assets. For the year ended March 31, 2018, the amount of advisory fees waived was $10,773, $52,138, $32,419 and $23,791, respectively.
The Agreement authorizes SAAMCo to retain one or more subadvisers to make the investment decisions for the Portfolios, and to place the purchase and sale orders for portfolio transactions. The organizations described below act as Subadvisers (with the exception of SAAMCo, which acts as Adviser) to the Trust and certain of its Portfolios pursuant to Subadvisory Agreements with SAAMCo. Each of the Subadvisers is independent of SAAMCo and discharges its responsibilities subject to the policies of the Trust and the oversight and supervision of SAAMCo, which pays the Subadvisers' fees. All subadvisory fees are payable by the Adviser to the respective Subadviser and do not increase Portfolio expenses. Portfolio management is allocated among the following Managers:
Portfolio | Subadviser/Adviser | ||||||
SA Multi-Managed Growth | Janus J.P. Morgan WMC | ||||||
SA Multi-Managed Moderate Growth | Janus J.P. Morgan WMC | ||||||
SA Multi-Managed Income/Equity | Janus WMC | ||||||
SA Multi-Managed Income | Janus WMC | ||||||
SA Putnam Asset Allocation Diversified Growth | Putnam Investment Management, LLC | ||||||
SA T. Rowe Price Growth Stock | T. Rowe Price Associates, Inc. ("T. Rowe Price") | ||||||
SA Multi-Managed Large Cap Growth | Goldman Sachs Asset Management, L.P. Janus SAAMCo | ||||||
SA Multi-Managed Large Cap Value | SAAMCo American Century Investment Management, Inc. WMC | ||||||
SA Multi-Managed Mid Cap Growth | SAAMCo T. Rowe Price WMC | ||||||
SA Multi-Managed Mid Cap Value | T. Rowe Price Massachusetts Financial Services Company SAAMCo | ||||||
SA Multi-Managed Small Cap | PNC Capital Advisors, LLC J.P. Morgan SAAMCo | ||||||
SA Multi-Managed International Equity | Schroder Investment Management T. Rowe Price SAAMCo | ||||||
SA Multi-Managed Diversified Fixed Income | PineBridge WMC |
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Portfolio | Subadviser/Adviser | ||||||
SA Wellington Real Return | WMC | ||||||
SA Columbia Focused Growth | Columbia Management Investment Advisers LLC ("Columbia") | ||||||
SA Columbia Focused Value | Columbia | ||||||
SA Allocation Growth | SAAMCo | ||||||
SA Allocation Moderate Growth | SAAMCo | ||||||
SA Allocation Moderate | SAAMCo | ||||||
SA Allocation Balanced | SAAMCo |
The Adviser has voluntarily agreed to waive fees or reimburse expenses, if necessary, to keep annual operating expenses at or below the following percentages of each of the Portfolos' average net assets. Annual operating expenses shall not include extraordinary expenses (i.e., expenses that are unusual in nature and/or infrequent in occurrence, such as litigation), or acquired fund fees and expenses, brokerage commissions and other transactional expenses relating to the purchase and sale of portfolio securities, interest, taxes and governmental fees, and other expenses not incurred in the ordinary course of the Portfolio's business.
Portfolio | Class 1 | Class 2 | Class 3 | ||||||||||||
SA Multi-Managed Small Cap | 1.15 | % | 1.30 | % | 1.40 | % | |||||||||
SA Multi-Managed International Equity | 1.30 | 1.45 | 1.55 | ||||||||||||
SA Columbia Focused Growth | 1.30 | 1.45 | 1.55 | ||||||||||||
SA Columbia Focused Value | 1.30 | 1.45 | 1.55 | ||||||||||||
SA Allocation Balanced | N/A | N/A | 0.35 |
The Adviser may voluntarily waive additional fees or reimburse expenses to increase the investment return to a Portfolio's investors. The Adviser may terminate all such waivers and/or reimbursements at any time. Any voluntary waivers or reimbursements, with the exception of advisory fee waivers, made by the Adviser are subject to recoupment from that Portfolio within two years after the occurrence of the waivers and/or reimbursements provided that the Portfolio is able to effect such payments to the Adviser and remain in compliance with the expense limitations in effect at the time the waivers and/or reimbursements were made. Effective April 1, 2018, the voluntary waiver for the SA Allocation Balanced Portfolio was terminated. As of March 31, 2018, none of the Portfolios listed above voluntarily reimbursed expenses and none of the Portfolios had balances subject to recoupment pursuant to the expense limitations listed above.
The Trust has entered into a Master Transfer Agency and Service Agreement with VALIC Retirement Services Company ("VRSCO"), a wholly-owned subsidiary of VALIC, which is an affiliate of the Adviser. Under the agreement, VRSCO provides services, which include the issuance and redemption of shares, payment of dividends between the Trust and their "institutional" shareholders and certain shareholder reporting services including confirmation of transactions, statements of account and tax reporting. The Trust and certain other mutual funds advised by SAAMCo pay VRSCO on an annual basis, a fee in the aggregate amount of $150,000 for Transfer Agency Serivces provided, pursuant to the agreement, which is allocated based on shareholder accounts. For the year ended March 31, 2018, transfer agent fees were paid (see Statement of Operations) based on the aforementioned agreement.
Class 2 and Class 3 shares of each Portfolio are subject to Rule 12b-1 plans that provide for service fees payable at the annual rate of 0.15% and 0.25%, respectively, of the average daily net assets of Class 2 and Class 3 shares. The service fees are used to compensate the Life Companies for costs associated with the servicing of Class 2 and Class 3 shares, including the cost of reimbursing the Life Companies for expenditures made to financial intermediaries for providing services to contract holders who are the indirect beneficial owners of the Portfolios' Class 2 and Class 3 shares. For the year ended March 31, 2018, service fees were paid (see Statement of Operations) based on the aforementioned rates. For the year ended March 31, 2018, the Life Companies waived service fees in the amount of $71,339 for the Class 3 shares of the SA Allocation Balanced Portfolio.
On August 17, 2017, the International Equity Portfolio sold 46 shares of Gedi Gruppo Editoriale SPA, a security that the Portfolio did not own. The Portfolio has an investment restriction that prohibits it from engaging in short sales except to the extent the Portfolio contemporaneously owns, or has the right to obtain without payment, securities identical to those sold short ("short sales against the box"). The short position was closed on August 23, 2017, resulting in a gain of $1 to the Portfolio.
Note 4. Federal Income Taxes: The following details the tax basis of distributions as well as the components of distributable earnings. The tax basis components of distributable earnings differ from the amounts reflected in the Statement of Assets and Liabilities by temporary book/tax differences primarily arising from wash sales, post October losses, investments in passive
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foreign investment companies, investments in real estate investment trusts, investments in regulated investment companies, investments in partnerships, straddle loss deferrals, inflation securities, treatment of defaulted securities and derivative transactions.
Distributable Earnings | Tax Distributions | ||||||||||||||||||||||
For the year ended March 31, 2018 | |||||||||||||||||||||||
Portfolio | Ordinary Income | Long-term Gains/ Capital and Other Losses | Unrealized Appreciation (Depreciation)* | Ordinary Income | Long-Term Capital Gains | ||||||||||||||||||
SA Multi-Managed Growth | $ | 684,498 | $ | 4,230,941 | $ | 8,126,945 | $ | 514,991 | $ | 3,408,402 | |||||||||||||
SA Multi-Managed Moderate Growth | 1,309,877 | 5,277,063 | 10,532,777 | 1,293,194 | 3,797,621 | ||||||||||||||||||
SA Multi-Managed Income/Equity | 1,096,652 | 2,528,786 | 3,659,675 | 1,519,779 | 1,236,357 | ||||||||||||||||||
SA Multi-Managed Income | 1,069,552 | 1,173,445 | 1,309,680 | 1,345,161 | 537,619 | ||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 4,314,411 | 4,347,882 | 13,690,428 | 4,616,798 | 7,870,518 | ||||||||||||||||||
SA T. Rowe Price Growth Stock | 4,586,404 | 91,202,977 | 104,332,196 | 195,863 | 52,228,580 | ||||||||||||||||||
SA Multi-Managed Large Cap Growth | 6,479,465 | 71,166,524 | 127,241,822 | 4,607,346 | 28,852,425 | ||||||||||||||||||
SA Multi-Managed Large Cap Value | 28,626,228 | 74,542,792 | 72,105,424 | 38,237,364 | 47,510,326 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth | 6,085,193 | 17,875,668 | 51,479,966 | 1,199,515 | 17,685,974 | ||||||||||||||||||
SA Multi-Managed Mid Cap Value | 6,834,271 | 11,578,176 | 26,773,664 | 15,227,040 | 18,310,114 | ||||||||||||||||||
SA Multi-Managed Small Cap | 2,650,053 | 17,861,284 | 58,699,006 | 2,599,148 | 23,024,369 | ||||||||||||||||||
SA Multi-Managed International Equity | 12,595,043 | — | 81,311,379 | 13,273,368 | — | ||||||||||||||||||
SA Multi-Managed Diversified Fixed Income | 28,570,835 | 1,076,122 | (9,576,054 | ) | 24,662,381 | — | |||||||||||||||||
SA Wellington Real Return | 5,207,182 | (8,114,835 | ) | 6,972,702 | 17,165,665 | — | |||||||||||||||||
SA Columbia Focused Growth | 1,044,355 | 8,692,341 | 30,436,881 | — | — | ||||||||||||||||||
SA Columbia Focused Value | 4,930,871 | 19,351,095 | 69,536,779 | 8,866,802 | 5,093,378 | ||||||||||||||||||
SA Allocation Growth | 2,276,021 | 8,068,156 | 3,583,192 | 1,132,967 | 2,556,454 | ||||||||||||||||||
SA Allocation Moderate Growth | 10,784,561 | 44,552,972 | 18,093,842 | 7,365,719 | 16,516,167 | ||||||||||||||||||
SA Allocation Moderate | 6,643,043 | 25,466,001 | 6,127,995 | 4,669,613 | 6,953,724 | ||||||||||||||||||
SA Allocation Balanced | 4,930,034 | 16,302,435 | 985,911 | 3,729,541 | 7,733,998 |
* Unrealized appreciation (depreciation) includes amounts for derivatives and other assets and liabilities denominated in foreign currency.
Tax Distributions | |||||||||||
For the year ended March 31, 2017 | |||||||||||
Portfolio | Ordinary Income | Long-Term Capital Gains | |||||||||
SA Multi-Managed Growth | $ | 207,179 | $ | 3,536,614 | |||||||
SA Multi-Managed Moderate Growth | 857,823 | 6,777,122 | |||||||||
SA Multi-Managed Income/Equity | 915,494 | 2,728,939 | |||||||||
SA Multi-Managed Income | 1,108,380 | 945,354 | |||||||||
SA Putnam Asset Allocation Diversified Growth | 1,026,670 | 10,473,897 | |||||||||
SA T. Rowe Price Growth Stock | — | 42,728,794 | |||||||||
SA Multi-Managed Large Cap Growth | 2,050,074 | 15,155,847 | |||||||||
SA Multi-Managed Large Cap Value | 16,663,765 | 32,660,324 | |||||||||
SA Multi-Managed Mid Cap Growth | — | 10,247,877 | |||||||||
SA Multi-Managed Mid Cap Value | 3,155,064 | 5,604,797 | |||||||||
SA Multi-Managed Small Cap | 609,826 | 4,689,072 | |||||||||
SA Multi-Managed International Equity | 13,039,077 | — | |||||||||
SA Multi-Managed Diversified Fixed Income | 20,803,038 | 2,129,415 | |||||||||
SA Wellington Real Return | — | — | |||||||||
SA Columbia Focused Growth | 557,949 | 18,385,031 | |||||||||
SA Columbia Focused Value | 4,586,558 | 33,617,555 | |||||||||
SA Allocation Growth | 1,524,052 | 2,089,038 | |||||||||
SA Allocation Moderate Growth | 9,027,944 | 68,945,877 | |||||||||
SA Allocation Moderate | 5,709,081 | 33,431,087 | |||||||||
SA Allocation Balanced | 4,602,450 | 22,827,280 |
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As of March 31, 2018, for Federal income tax purposes, the Portfolios indicated below have capital loss carryforwards, which expire in the year indicated, which are available to offset future capital gains, if any:
Unlimited† | |||||||||||
Portfolio | ST | LT | |||||||||
SA Multi-Managed Growth | $ | — | $ | — | |||||||
SA Multi-Managed Moderate Growth | — | — | |||||||||
SA Multi-Managed Income/Equity | — | — | |||||||||
SA Multi-Managed Income | — | — | |||||||||
SA Putnam Asset Allocation Diversified Growth | — | — | |||||||||
SA T. Rowe Price Growth Stock | — | — | |||||||||
SA Multi-Managed Large Cap Growth | — | — | |||||||||
SA Multi-Managed Large Cap Value | — | — | |||||||||
SA Multi-Managed Mid Cap Growth | — | — | |||||||||
SA Multi-Managed Mid Cap Value | — | — | |||||||||
SA Multi-Managed Small Cap | — | — | |||||||||
SA Multi-Managed International Equity | — | — | |||||||||
SA Multi-Managed Diversified Fixed Income | — | — | |||||||||
SA Wellington Real Return | 2,529,435 | 5,585,400 | |||||||||
SA Columbia Focused Growth | — | — | |||||||||
SA Columbia Focused Value | — | — | |||||||||
SA Allocation Growth | — | — | |||||||||
SA Allocation Moderate Growth | — | — | |||||||||
SA Allocation Moderate | — | — | |||||||||
SA Allocation Balanced | — | — |
† On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the "Act") was enacted which changes various technical rules governing the tax treatment of regulated investment companies. The changes are generally effective taxable years beginning after the date of enactment. Under the Act, a fund will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term losses rather than being considered all short-term as under previous law.
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The Portfolios indicated below utilized or expired capital loss carryforwards which offset net taxable gains in the year ended March 31, 2018.
Portfolio | Capital Loss Carryforward Utilized | Capital Loss Carryforward Expired | |||||||||
SA Multi-Managed Growth | $ | — | $ | — | |||||||
SA Multi-Managed Moderate Growth | — | — | |||||||||
SA Multi-Managed Income/Equity | — | — | |||||||||
SA Multi-Managed Income | — | — | |||||||||
SA Putnam Asset Allocation Diversified Growth | — | — | |||||||||
SA T. Rowe Price Growth Stock | — | — | |||||||||
SA Multi-Managed Large Cap Growth | — | — | |||||||||
SA Multi-Managed Large Cap Value | — | — | |||||||||
SA Multi-Managed Mid Cap Growth | — | — | |||||||||
SA Multi-Managed Mid Cap Value | — | — | |||||||||
SA Multi-Managed Small Cap | — | — | |||||||||
SA Multi-Managed International Equity | 33,519,837 | 39,304,601 | |||||||||
SA Multi-Managed Diversified Fixed Income | — | — | |||||||||
SA Wellington Real Return | 325,476 | — | |||||||||
SA Columbia Focused Growth | 1,229,518 | — | |||||||||
SA Columbia Focused Value | — | — | |||||||||
SA Allocation Growth | — | — | |||||||||
SA Allocation Moderate Growth | — | — | |||||||||
SA Allocation Moderate | — | — | |||||||||
SA Allocation Balanced | — | — |
Under the current law, capital losses realized after October 31 and late year ordinary losses may be deferred and treated as occurring the first day of the following year. For the fiscal year ended March 31, 2018, the Portfolios elected to defer late year ordinary losses and post October capital losses as follows:
Portfolio | Deferred Late Year Ordinary Losses | Deferred Post-October Short-Term Capital Loss | Deferred Post-October Long-Term Capital Loss | ||||||||||||
SA Multi-Managed Growth | $ | — | $ | — | $ | — | |||||||||
SA Multi-Managed Moderate Growth | — | — | — | ||||||||||||
SA Multi-Managed Income/Equity | — | — | — | ||||||||||||
SA Multi-Managed Income | — | — | — | ||||||||||||
SA Putnam Asset Allocation Diversified Growth | — | — | — | ||||||||||||
SA T. Rowe Price Growth Stock | — | — | — | ||||||||||||
SA Multi-Managed Large Cap Growth | — | — | — | ||||||||||||
SA Multi-Managed Large Cap Value | — | — | — | ||||||||||||
SA Multi-Managed Mid Cap Growth | — | — | — | ||||||||||||
SA Multi-Managed Mid Cap Value | — | — | — | ||||||||||||
SA Multi-Managed Small Cap | — | — | — | ||||||||||||
SA Multi-Managed International Equity | — | — | — | ||||||||||||
SA Multi-Managed Diversified Fixed Income | — | — | — | ||||||||||||
SA Wellington Real Return | — | — | — | ||||||||||||
SA Columbia Focused Growth | 150,249 | — | — | ||||||||||||
SA Columbia Focused Value | — | — | — | ||||||||||||
SA Allocation Growth | — | — | — | ||||||||||||
SA Allocation Moderate Growth | — | — | — | ||||||||||||
SA Allocation Moderate | — | — | — | ||||||||||||
SA Allocation Balanced | — | — | — |
356
For the period ended March 31, 2018, the reclassifications arising from book/tax differences resulted in increases (decreases) that were primarily due to net investment losses, treatment of foreign currency, investments in real estate investment trusts, distributions from underlying funds, principal paydown adjustments, investments in partnerships, investments in regulated investment companies and investments in passive foreign investment companies, to the components of net assets as follows:
Portfolio | Accumulated Undistributed Net Investment Income (Loss) | Accumulated Undistributed Net Realized Gain (Loss) | Capital Paid-in | ||||||||||||
SA Multi-Managed Growth | $ | 253,564 | $ | (253,564 | ) | $ | — | ||||||||
SA Multi-Managed Moderate Growth | 356,715 | (356,715 | ) | — | |||||||||||
SA Multi-Managed Income/Equity | 240,874 | (240,874 | ) | — | |||||||||||
SA Multi-Managed Income | 135,732 | (135,732 | ) | — | |||||||||||
SA Putnam Asset Allocation Diversified Growth | 957,540 | (957,540 | ) | — | |||||||||||
SA T. Rowe Price Growth Stock | 80,380 | (80,380 | ) | — | |||||||||||
SA Multi-Managed Large Cap Growth | 413,288 | (413,288 | ) | — | |||||||||||
SA Multi-Managed Large Cap Value | (1,572,880 | ) | 1,572,880 | — | |||||||||||
SA Multi-Managed Mid Cap Growth | 136,164 | (136,164 | ) | — | |||||||||||
SA Multi-Managed Mid Cap Value | 9,965 | (9,965 | ) | — | |||||||||||
SA Multi-Managed Small Cap | 33,335 | (33,335 | ) | — | |||||||||||
SA Multi-Managed International Equity | 782,518 | 38,522,074 | (39,304,592 | ) | |||||||||||
SA Multi-Managed Diversified Fixed Income | 1,558,351 | (1,558,351 | ) | — | |||||||||||
SA Wellington Real Return | (21,483,320 | ) | 21,483,320 | — | |||||||||||
SA Columbia Focused Growth | 340,620 | (340,620 | ) | — | |||||||||||
SA Columbia Focused Value | — | — | — | ||||||||||||
SA Allocation Growth | 540,342 | (540,342 | ) | — | |||||||||||
SA Allocation Moderate Growth | 2,143,640 | (2,143,640 | ) | — | |||||||||||
SA Allocation Moderate | 1,216,198 | (1,216,198 | ) | — | |||||||||||
SA Allocation Balanced | 715,655 | (715,655 | ) | — |
At March 31, 2018, the amounts of aggregate unrealized gain (loss) and the cost of investment securities for federal tax purposes, including short-term securities, repurchase agreements and derivatives, were as follows:
Portfolio | Aggregate Unrealized Gain | Aggregate Unrealized Loss | Net Unrealized Gain/(Loss) | Cost of Investments | |||||||||||||||
SA Multi-Managed Growth | $ | 9,514,758 | $ | (1,387,697 | ) | $ | 8,127,061 | $ | 49,033,273 | ||||||||||
SA Multi-Managed Moderate Growth | 12,715,798 | (2,182,688 | ) | 10,533,110 | 89,285,677 | ||||||||||||||
SA Multi-Managed Income/Equity | 4,829,604 | (1,169,547 | ) | 3,660,057 | 69,991,251 | ||||||||||||||
SA Multi-Managed Income | 2,279,230 | (969,169 | ) | 1,310,061 | 62,420,535 | ||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 18,904,071 | (5,208,681 | ) | 13,695,390 | 136,399,871 | ||||||||||||||
SA T. Rowe Price Growth Stock | 111,906,038 | (7,573,833 | ) | 104,332,205 | 309,046,520 | ||||||||||||||
SA Multi-Managed Large Cap Growth | 133,772,968 | (6,531,134 | ) | 127,241,834 | 384,815,223 | ||||||||||||||
SA Multi-Managed Large Cap Value | 120,568,554 | (48,463,006 | ) | 72,105,548 | 793,858,599 | ||||||||||||||
SA Multi-Managed Mid Cap Growth | 58,560,309 | (7,080,336 | ) | 51,479,973 | 178,460,167 | ||||||||||||||
SA Multi-Managed Mid Cap Value | 39,955,571 | (13,182,625 | ) | 26,772,946 | 225,508,329 | ||||||||||||||
SA Multi-Managed Small Cap | 72,366,169 | (13,667,163 | ) | 58,699,006 | 226,453,280 | ||||||||||||||
SA Multi-Managed International Equity | 99,908,156 | (18,643,456 | ) | 81,264,700 | 529,995,789 | ||||||||||||||
SA Multi-Managed Diversified Fixed Income | 8,417,948 | (17,987,419 | ) | (9,569,471 | ) | 1,209,349,467 | |||||||||||||
SA Wellington Real Return | 22,249,044 | (15,269,803 | ) | 6,979,241 | 730,211,910 | ||||||||||||||
SA Columbia Focused Growth | 34,214,993 | (3,778,112 | ) | 30,436,881 | 99,665,535 | ||||||||||||||
SA Columbia Focused Value | 75,840,120 | (6,303,341 | ) | 69,536,779 | 242,085,534 | ||||||||||||||
SA Allocation Growth | 4,967,931 | (1,384,739 | ) | 3,583,192 | 117,926,997 | ||||||||||||||
SA Allocation Moderate Growth | 22,996,868 | (4,903,026 | ) | 18,093,842 | 489,879,162 | ||||||||||||||
SA Allocation Moderate | 11,084,380 | (4,956,385 | ) | 6,127,995 | 308,421,819 | ||||||||||||||
SA Allocation Balanced | 5,706,115 | (4,720,204 | ) | 985,911 | 224,911,917 |
357
On December 22, 2017, the Tax Cuts and Jobs Act (the "Act") was signed into law. Certain provisions of the Act were effective upon enactment with the remainder becoming effective for tax years beginning after December 31, 2017. Management is currently evaluating the impact, if any, on the financial statements and the accompanying notes to financial statements.
Note 5. Expense Reductions: Through expense offset arrangements resulting from broker commission recapture, a portion of the expenses of certain Portfolios have been reduced. For the year ended March 31, 2018, the amount of expense reductions received by each Portfolio used to offset non-affiliated expenses are reflected as Fees paid indirectly in the Statement of Operations.
Note 6. Purchases and Sales of Investment Securities: The cost of purchases and proceeds from sales and maturities of long-term investments during the year ended March 31, 2018 were as follows:
Portfolio | Purchases of portfolio securities (excluding U.S. government securities) | Sales of portfolio securities (excluding U.S. government securities) | Purchases of U.S. government securities | Sales of U.S. government securities | |||||||||||||||
SA Multi-Managed Growth | $ | 25,899,164 | $ | 31,666,990 | $ | 3,341,948 | $ | 4,681,061 | |||||||||||
SA Multi-Managed Moderate Growth | 46,305,040 | 52,573,387 | 7,415,206 | 8,739,951 | |||||||||||||||
SA Multi-Managed Income/ Equity | 36,616,749 | 39,564,938 | 9,101,692 | 11,732,142 | |||||||||||||||
SA Multi-Managed Income | 32,264,307 | 33,310,184 | 6,478,519 | 8,861,878 | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 64,173,976 | 52,709,864 | 35,219,595 | 31,803,377 | |||||||||||||||
SA T. Rowe Price Growth Stock | 221,678,262 | 347,263,014 | — | — | |||||||||||||||
SA Multi-Managed Large Cap Growth | 194,287,739 | 301,303,049 | — | — | |||||||||||||||
SA Multi-Managed Large Cap Value | 312,886,172 | 520,526,032 | — | — | |||||||||||||||
SA Multi-Managed Mid Cap Growth | 98,058,586 | 115,158,580 | — | — | |||||||||||||||
SA Multi-Managed Mid Cap Value | 75,702,671 | 115,406,594 | — | — | |||||||||||||||
SA Multi-Managed Small Cap | 85,750,657 | 117,309,143 | — | — | |||||||||||||||
SA Multi-Managed International Equity | 136,014,065 | 279,752,477 | — | — | |||||||||||||||
SA Multi-Managed Diversified Fixed Income | 496,695,914 | 477,992,554 | 259,282,933 | 343,220,032 | |||||||||||||||
SA Wellington Real Return | 91,667,577 | 38,350,357 | 136,478,585 | 115,730,182 | |||||||||||||||
SA Columbia Focused Growth Portfolio | 45,509,324 | 73,260,023 | — | — | |||||||||||||||
SA Columbia Focused Value Portfolio | 14,369,683 | 96,536,370 | — | — | |||||||||||||||
SA Allocation Growth | 89,602,090 | 72,872,010 | — | — | |||||||||||||||
SA Allocation Moderate Growth | 297,129,101 | 354,385,534 | — | — | |||||||||||||||
SA Allocation Moderate | 196,140,283 | 232,453,847 | — | — | |||||||||||||||
SA Allocation Balanced | 142,164,020 | 172,522,302 | — | — |
358
Note 7. Capital Share Transactions: Transactions in capital shares of each class of each Portfolio were as follows:
SA Multi-Managed Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 23,923 | $ | 411,195 | 15,759 | $ | 257,254 | 54,487 | $ | 933,667 | 47,864 | $ | 778,726 | |||||||||||||||||||||||
Reinvested dividends | 42,943 | 725,977 | 43,922 | 698,996 | 83,966 | 1,419,038 | 85,259 | 1,356,486 | |||||||||||||||||||||||||||
Shares redeemed | (91,641 | ) | (1,566,155 | ) | (121,808 | ) | (1,984,339 | ) | (173,913 | ) | (3,001,214 | ) | (221,435 | ) | (3,602,118 | ) | |||||||||||||||||||
Net increase (decrease) | (24,775 | ) | $ | (428,983 | ) | (62,127 | ) | $ | (1,028,089 | ) | (35,460 | ) | $ | (648,509 | ) | (88,312 | ) | $ | (1,466,906 | ) | |||||||||||||||
SA Multi-Managed Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 74,588 | $ | 1,280,324 | 201,679 | $ | 3,281,687 | |||||||||||||||||||||||||||||
Reinvested dividends | 105,422 | 1,778,378 | 106,307 | 1,688,311 | |||||||||||||||||||||||||||||||
Shares redeemed | (382,459 | ) | (6,580,523 | ) | (450,043 | ) | (7,336,716 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (202,449 | ) | $ | (3,521,821 | ) | (142,057 | ) | $ | (2,366,718 | ) | |||||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 29,916 | $ | 388,833 | 27,417 | $ | 340,951 | 141,264 | $ | 1,844,423 | 191,194 | $ | 2,387,655 | |||||||||||||||||||||||
Reinvested dividends | 43,819 | 564,015 | 67,351 | 818,609 | 190,087 | 2,444,099 | 294,739 | 3,578,815 | |||||||||||||||||||||||||||
Shares redeemed | (106,065 | ) | (1,385,280 | ) | (177,944 | ) | (2,272,156 | ) | (436,967 | ) | (5,673,054 | ) | (690,718 | ) | (8,724,148 | ) | |||||||||||||||||||
Net increase (decrease) | (32,330 | ) | $ | (432,432 | ) | (83,176 | ) | $ | (1,112,596 | ) | (105,616 | ) | $ | (1,384,532 | ) | (204,785 | ) | $ | (2,757,678 | ) | |||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 |
| ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 149,916 | $ | 1,942,031 | 234,278 | $ | 2,953,861 | |||||||||||||||||||||||||||||
Reinvested dividends | 162,142 | 2,082,701 | 266,921 | 3,237,521 | |||||||||||||||||||||||||||||||
Shares redeemed | (571,672 | ) | (7,438,258 | ) | (747,851 | ) | (9,437,493 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (259,614 | ) | $ | (3,413,526 | ) | (246,652 | ) | $ | (3,246,111 | ) | |||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 62,970 | $ | 712,626 | 43,814 | $ | 480,670 | 273,512 | $ | 3,092,536 | 187,246 | $ | 2,051,810 | |||||||||||||||||||||||
Reinvested dividends | 35,174 | 394,819 | 49,587 | 526,975 | 135,354 | 1,517,947 | 189,058 | 2,007,233 | |||||||||||||||||||||||||||
Shares redeemed | (124,701 | ) | (1,422,532 | ) | (182,515 | ) | (2,010,405 | ) | (655,871 | ) | (7,416,972 | ) | (612,557 | ) | (6,783,722 | ) | |||||||||||||||||||
Net increase (decrease) | (26,557 | ) | $ | (315,087 | ) | (89,114 | ) | $ | (1,002,760 | ) | (247,005 | ) | $ | (2,806,489 | ) | (236,253 | ) | $ | (2,724,679 | ) |
359
SA Multi-Managed Income/Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 184,334 | $ | 2,078,266 | 170,079 | $ | 1,876,377 | |||||||||||||||||||||||||||||
Reinvested dividends | 75,151 | 843,370 | 104,521 | 1,110,225 | |||||||||||||||||||||||||||||||
Shares redeemed | (445,308 | ) | (5,044,969 | ) | (497,149 | ) | (5,555,465 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (185,823 | ) | $ | (2,123,333 | ) | (222,549 | ) | $ | (2,568,863 | ) | |||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 28,998 | $ | 325,667 | 30,306 | $ | 334,382 | 192,414 | $ | 2,170,747 | 154,288 | $ | 1,703,580 | |||||||||||||||||||||||
Reinvested dividends | 19,541 | 217,946 | 24,916 | 268,455 | 93,252 | 1,039,071 | 105,446 | 1,134,992 | |||||||||||||||||||||||||||
Shares redeemed | (100,282 | ) | (1,133,798 | ) | (123,415 | ) | (1,359,504 | ) | (469,340 | ) | (5,281,226 | ) | (422,791 | ) | (4,717,172 | ) | |||||||||||||||||||
Net increase (decrease) | (51,743 | ) | $ | (590,185 | ) | (68,193 | ) | $ | (756,667 | ) | (183,674 | ) | $ | (2,071,408 | ) | (163,057 | ) | $ | (1,878,600 | ) | |||||||||||||||
SA Multi-Managed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 178,211 | $ | 2,006,383 | 148,292 | $ | 1,644,106 | |||||||||||||||||||||||||||||
Reinvested dividends | 56,150 | 625,763 | 60,407 | 650,287 | |||||||||||||||||||||||||||||||
Shares redeemed | (306,612 | ) | (3,455,166 | ) | (491,411 | ) | (5,463,336 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (72,251 | ) | $ | (823,020 | ) | (282,712 | ) | $ | (3,168,943 | ) | |||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 66,816 | $ | 822,031 | 15,034 | $ | 175,933 | 212,616 | $ | 2,643,686 | 104,480 | $ | 1,226,711 | |||||||||||||||||||||||
Reinvested dividends | 114,888 | 1,403,958 | 137,704 | 1,563,267 | 411,013 | 5,025,373 | 482,627 | 5,481,538 | |||||||||||||||||||||||||||
Shares redeemed | (228,767 | ) | (2,856,980 | ) | (323,843 | ) | (3,782,688 | ) | (879,101 | ) | (10,951,490 | ) | (1,020,965 | ) | (11,928,964 | ) | |||||||||||||||||||
Net increase (decrease) | (47,063 | ) | $ | (630,991 | ) | (171,105 | ) | $ | (2,043,488 | ) | (255,472 | ) | $ | (3,282,431 | ) | (433,858 | ) | $ | (5,220,715 | ) | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio |
| ||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 2,674,876 | $ | 33,454,153 | 493,385 | $ | 5,798,623 | |||||||||||||||||||||||||||||
Reinvested dividends | 496,632 | 6,057,985 | 392,848 | 4,455,762 | |||||||||||||||||||||||||||||||
Shares redeemed | (961,653 | ) | (12,006,715 | ) | (1,180,251 | ) | (13,852,324 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | 2,209,855 | $ | 27,505,423 | (294,018 | ) | $ | (3,597,939 | ) |
360
SA T. Rowe Price Growth Stock Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 155,378 | $ | 4,280,626 | 92,834 | $ | 2,145,160 | 36,337 | $ | 1,001,184 | 57,075 | $ | 1,320,778 | |||||||||||||||||||||||
Reinvested dividends | 1,605,712 | 42,229,712 | 1,499,001 | 33,926,523 | 215,185 | 5,508,566 | 213,672 | 4,728,985 | |||||||||||||||||||||||||||
Shares redeemed | (3,967,927 | ) | (108,851,836 | ) | (3,862,386 | ) | (93,683,084 | ) | (481,656 | ) | (12,816,114 | ) | (504,173 | ) | (11,850,893 | ) | |||||||||||||||||||
Net increase (decrease) | (2,206,837 | ) | $ | (62,341,498 | ) | (2,270,551 | ) | $ | (57,611,401 | ) | (230,134 | ) | $ | (6,306,364 | ) | (233,426 | ) | $ | (5,801,130 | ) | |||||||||||||||
SA T. Rowe Price Growth Stock Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 47,633 | $ | 1,246,833 | 132,334 | $ | 3,069,100 | |||||||||||||||||||||||||||||
Reinvested dividends | 186,122 | 4,686,165 | 186,570 | 4,073,286 | |||||||||||||||||||||||||||||||
Shares redeemed | (494,727 | ) | (13,006,284 | ) | (565,888 | ) | (13,196,222 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (260,972 | ) | $ | (7,073,286 | ) | (246,984 | ) | $ | (6,053,836 | ) | |||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 5,656,976 | $ | 83,239,821 | 18,871,063 | $ | 247,156,869 | 89,166 | $ | 1,320,841 | 87,005 | $ | 1,112,506 | |||||||||||||||||||||||
Reinvested dividends | 2,021,233 | 30,133,329 | 1,225,732 | 15,508,950 | 148,777 | 2,174,755 | 88,697 | 1,102,016 | |||||||||||||||||||||||||||
Shares redeemed | (12,459,273 | ) | (186,041,023 | ) | (5,034,207 | ) | (65,968,720 | ) | (414,853 | ) | (6,101,050 | ) | (563,584 | ) | (7,148,476 | ) | |||||||||||||||||||
Net increase (decrease) | (4,781,064 | ) | $ | (72,667,873 | ) | 15,062,588 | $ | 196,697,099 | (176,910 | ) | $ | (2,605,454 | ) | (387,882 | ) | $ | (4,933,954 | ) | |||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 71,362 | $ | 1,025,826 | 340,314 | $ | 4,259,748 | |||||||||||||||||||||||||||||
Reinvested dividends | 79,553 | 1,151,687 | 48,331 | 594,955 | |||||||||||||||||||||||||||||||
Shares redeemed | (276,177 | ) | (4,006,121 | ) | (15,465,014 | ) | (195,468,762 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (125,262 | ) | $ | (1,828,608 | ) | (15,076,369 | ) | $ | (190,614,059 | ) | |||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 2,379,575 | $ | 41,593,430 | 13,318,055 | $ | 218,746,645 | 28,793 | $ | 500,918 | 83,574 | $ | 1,377,839 | |||||||||||||||||||||||
Reinvested dividends | 4,780,858 | 81,468,326 | 2,805,990 | 47,216,867 | 163,557 | 2,785,011 | 80,496 | 1,353,843 | |||||||||||||||||||||||||||
Shares redeemed | (14,400,785 | ) | (253,523,230 | ) | (9,670,301 | ) | (162,571,515 | ) | (288,712 | ) | (5,085,722 | ) | (351,938 | ) | (5,774,806 | ) | |||||||||||||||||||
Net increase (decrease) | (7,240,352 | ) | $ | (130,461,474 | ) | 6,453,744 | $ | 103,391,997 | (96,362 | ) | $ | (1,799,793 | ) | (187,868 | ) | $ | (3,043,124 | ) |
361
SA Multi-Managed Large Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 51,676 | $ | 904,916 | 3,368,422 | $ | 52,998,625 | |||||||||||||||||||||||||||||
Reinvested dividends | 87,760 | 1,494,353 | 44,807 | 753,379 | |||||||||||||||||||||||||||||||
Shares redeemed | (185,078 | ) | (3,255,093 | ) | (12,642,127 | ) | (206,386,797 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (45,642 | ) | $ | (855,824 | ) | (9,228,898 | ) | $ | (152,634,793 | ) | |||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 1,127,173 | $ | 20,426,328 | 1,235,308 | $ | 20,691,547 | 46,660 | $ | 824,719 | 43,295 | $ | 695,837 | |||||||||||||||||||||||
Reinvested dividends | 847,558 | 15,475,813 | 511,866 | 8,295,756 | 115,257 | 2,014,389 | 73,169 | 1,140,967 | |||||||||||||||||||||||||||
Shares redeemed | (1,652,651 | ) | (30,220,795 | ) | (756,836 | ) | (12,483,647 | ) | (214,888 | ) | (3,819,674 | ) | (259,464 | ) | (4,090,880 | ) | |||||||||||||||||||
Net increase (decrease) | 322,080 | $ | 5,681,346 | 990,338 | $ | 16,503,656 | (52,971 | ) | $ | (980,566 | ) | (143,000 | ) | $ | (2,254,076 | ) | |||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 43,879 | $ | 735,824 | 61,231 | $ | 936,356 | |||||||||||||||||||||||||||||
Reinvested dividends | 81,872 | 1,395,287 | 53,176 | 811,154 | |||||||||||||||||||||||||||||||
Shares redeemed | (205,820 | ) | (3,553,679 | ) | (3,362,255 | ) | (51,512,001 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (80,069 | ) | $ | (1,422,568 | ) | (3,247,848 | ) | $ | (49,764,491 | ) | |||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 1,166,991 | $ | 20,810,766 | 1,402,171 | $ | 23,812,555 | 22,107 | $ | 391,345 | 96,351 | $ | 1,656,437 | |||||||||||||||||||||||
Reinvested dividends | 1,635,891 | 27,718,810 | 421,633 | 7,504,980 | 208,160 | 3,517,831 | 42,322 | 751,740 | |||||||||||||||||||||||||||
Shares redeemed | (3,429,926 | ) | (61,692,352 | ) | (3,382,991 | ) | (59,447,901 | ) | (251,164 | ) | (4,471,434 | ) | (351,393 | ) | (5,967,285 | ) | |||||||||||||||||||
Net increase (decrease) | (627,044 | ) | $ | (13,162,776 | ) | (1,559,187 | ) | $ | (28,130,366 | ) | (20,897 | ) | $ | (562,258 | ) | (212,720 | ) | $ | (3,559,108 | ) | |||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 54,713 | $ | 966,461 | 130,760 | $ | 2,181,581 | |||||||||||||||||||||||||||||
Reinvested dividends | 136,376 | 2,300,513 | 28,372 | 503,141 | |||||||||||||||||||||||||||||||
Shares redeemed | (255,190 | ) | (4,551,791 | ) | (2,361,886 | ) | (39,637,139 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (64,101 | ) | $ | (1,284,817 | ) | (2,202,754 | ) | $ | (36,952,417 | ) |
362
SA Multi-Managed Small Cap Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 339,786 | $ | 4,810,859 | 2,633,054 | $ | 33,638,462 | 44,694 | $ | 632,044 | 79,893 | $ | 1,105,916 | |||||||||||||||||||||||
Reinvested dividends | 1,614,464 | 22,814,145 | 333,001 | 4,811,255 | 120,714 | 1,662,406 | 20,858 | 294,432 | |||||||||||||||||||||||||||
Shares redeemed | (2,986,185 | ) | (42,227,086 | ) | (4,476,571 | ) | (62,326,819 | ) | (251,182 | ) | (3,526,143 | ) | (294,507 | ) | (3,828,929 | ) | |||||||||||||||||||
Net increase (decrease) | (1,031,935 | ) | $ | (14,602,082 | ) | (1,510,516 | ) | $ | (23,877,102 | ) | (85,774 | ) | $ | (1,231,693 | ) | (193,756 | ) | $ | (2,428,581 | ) | |||||||||||||||
SA Multi-Managed Small Cap Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 58,455 | $ | 803,463 | 92,774 | $ | 1,176,252 | |||||||||||||||||||||||||||||
Reinvested dividends | 84,609 | 1,146,966 | 13,885 | 193,211 | |||||||||||||||||||||||||||||||
Shares redeemed | (168,765 | ) | (2,336,446 | ) | (3,643,981 | ) | (44,691,882 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (25,701 | ) | $ | (386,017 | ) | (3,537,322 | ) | $ | (43,322,419 | ) | |||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 1,815,942 | $ | 17,002,884 | 27,148,372 | $ | 214,041,190 | 153,900 | $ | 1,446,242 | 142,906 | $ | 1,128,875 | |||||||||||||||||||||||
Reinvested dividends | 1,303,851 | 12,521,978 | 1,573,115 | 12,419,142 | 44,973 | 432,780 | 43,522 | 344,358 | |||||||||||||||||||||||||||
Shares redeemed | (17,779,072 | ) | (169,940,352 | ) | (18,361,113 | ) | (148,987,836 | ) | (378,795 | ) | (3,608,597 | ) | (590,589 | ) | (4,726,882 | ) | |||||||||||||||||||
Net increase (decrease) | (14,659,279 | ) | $ | (140,415,490 | ) | 10,360,374 | $ | 77,472,496 | (179,922 | ) | $ | (1,729,575 | ) | (404,161 | ) | $ | (3,253,649 | ) | |||||||||||||||||
SA Multi-Managed International Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 124,217 | $ | 1,141,505 | 303,702 | $ | 2,370,070 | |||||||||||||||||||||||||||||
Reinvested dividends | 33,209 | 318,610 | 34,939 | 275,577 | |||||||||||||||||||||||||||||||
Shares redeemed | (441,046 | ) | (4,151,317 | ) | (27,959,863 | ) | (219,516,659 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (283,620 | ) | $ | (2,691,202 | ) | (27,621,222 | ) | $ | (216,871,012 | ) | |||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 14,859,892 | $ | 173,898,970 | 43,558,132 | $ | 521,969,428 | 107,109 | $ | 1,269,079 | 133,491 | $ | 1,573,046 | |||||||||||||||||||||||
Reinvested dividends | 2,031,030 | 23,737,627 | 1,922,585 | 22,078,727 | 50,662 | 591,671 | 47,451 | 544,522 | |||||||||||||||||||||||||||
Shares redeemed | (24,854,157 | ) | (295,973,448 | ) | (12,685,009 | ) | (149,587,155 | ) | (472,076 | ) | (5,575,063 | ) | (790,994 | ) | (9,402,227 | ) | |||||||||||||||||||
Net increase (decrease) | (7,963,235 | ) | $ | (98,336,851 | ) | 32,795,708 | $ | 394,461,000 | (314,305 | ) | $ | (3,714,313 | ) | (610,052 | ) | $ | (7,284,659 | ) |
363
SA Multi-Managed Diversified Fixed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 203,931 | $ | 2,383,117 | 1,224,849 | $ | 14,454,545 | |||||||||||||||||||||||||||||
Reinvested dividends | 28,653 | 333,083 | 27,084 | 309,204 | |||||||||||||||||||||||||||||||
Shares redeemed | (380,137 | ) | (4,447,535 | ) | (37,214,707 | ) | (445,915,355 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (147,553 | ) | $ | (1,731,335 | ) | (35,962,774 | ) | $ | (431,151,606 | ) | |||||||||||||||||||||||||
SA Wellington Real Return Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 11,411,819 | $ | 111,054,532 | 15,246,502 | $ | 147,565,139 | 5,144,242 | $ | 49,729,477 | 6,072,373 | $ | 58,522,730 | |||||||||||||||||||||||
Reinvested dividends | 831,044 | 8,021,823 | — | — | 954,267 | 9,143,842 | — | — | |||||||||||||||||||||||||||
Shares redeemed | (2,701,807 | ) | (26,317,213 | ) | (3,296,265 | ) | (31,695,529 | ) | (6,266,709 | ) | (60,581,415 | ) | (9,134,674 | ) | (87,913,269 | ) | |||||||||||||||||||
Net increase (decrease) | 9,541,056 | $ | 92,759,142 | 11,950,237 | $ | 115,869,610 | (168,200 | ) | $ | (1,708,096 | ) | (3,062,301 | ) | $ | (29,390,539 | ) | |||||||||||||||||||
SA Columbia Focused Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 103,955 | $ | 1,098,903 | 1,815,863 | $ | 17,458,025 | 99,776 | $ | 950,819 | 83,059 | $ | 618,627 | |||||||||||||||||||||||
Reinvested dividends | — | — | 1,622,996 | 12,640,920 | — | — | 458,697 | 3,422,901 | |||||||||||||||||||||||||||
Shares redeemed | (2,555,405 | ) | (25,489,519 | ) | (10,413,840 | ) | (94,453,066 | ) | (407,183 | ) | (3,902,367 | ) | (601,826 | ) | (5,171,254 | ) | |||||||||||||||||||
Net increase (decrease) | (2,451,450 | ) | $ | (24,390,616 | ) | (6,974,981 | ) | $ | (64,354,121 | ) | (307,407 | ) | $ | (2,951,548 | ) | (60,070 | ) | $ | (1,129,726 | ) | |||||||||||||||
SA Columbia Focused Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 119,186 | $ | 1,068,551 | 164,570 | $ | 1,290,448 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 395,720 | 2,879,159 | |||||||||||||||||||||||||||||||
Shares redeemed | (476,094 | ) | (4,440,502 | ) | (2,491,482 | ) | (22,237,082 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (356,908 | ) | $ | (3,371,951 | ) | (1,931,192 | ) | $ | (18,067,475 | ) | |||||||||||||||||||||||||
SA Columbia Focused Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 138,503 | $ | 2,876,650 | 2,579,176 | $ | 44,803,799 | 30,929 | $ | 640,330 | 39,092 | $ | 714,891 | |||||||||||||||||||||||
Reinvested dividends | 615,325 | 12,856,576 | 1,940,003 | 35,570,343 | 30,215 | 630,672 | 78,863 | 1,444,928 | |||||||||||||||||||||||||||
Shares redeemed | (4,367,370 | ) | (85,973,760 | ) | (3,799,520 | ) | (70,708,877 | ) | (111,491 | ) | (2,216,264 | ) | (162,631 | ) | (2,952,882 | ) | |||||||||||||||||||
Net increase (decrease) | (3,613,542 | ) | $ | (70,240,534 | ) | 719,659 | $ | 9,665,265 | (50,347 | ) | $ | (945,262 | ) | (44,676 | ) | $ | (793,063 | ) |
364
SA Columbia Focused Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 20,952 | $ | 419,647 | 29,945 | $ | 549,387 | |||||||||||||||||||||||||||||
Reinvested dividends | 22,709 | 472,932 | 65,026 | 1,188,842 | |||||||||||||||||||||||||||||||
Shares redeemed | (128,549 | ) | (2,593,806 | ) | (1,348,534 | ) | (24,206,161 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (84,888 | ) | $ | (1,701,227 | ) | (1,253,563 | ) | $ | (22,467,932 | ) | |||||||||||||||||||||||||
SA Allocation Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the period September 26, 2016@ through March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 2,396 | $ | 35,885 | 7,930 | $ | 100,000 | 2,409,729 | $ | 34,518,413 | 781,556 | $ | 10,102,846 | |||||||||||||||||||||||
Reinvested dividends | 269 | 3,877 | — | — | 256,542 | 3,685,544 | 287,410 | 3,613,090 | |||||||||||||||||||||||||||
Shares redeemed | (16 | ) | (229 | ) | — | — | (1,217,632 | ) | (17,400,326 | ) | (1,487,349 | ) | (19,055,944 | ) | |||||||||||||||||||||
Net increase (decrease) | 2,649 | $ | 39,533 | 7,930 | $ | 100,000 | 1,448,639 | $ | 20,803,631 | (418,383 | ) | $ | (5,340,008 | ) | |||||||||||||||||||||
SA Allocation Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the period September 26, 2016@ through March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 4,082 | $ | 48,626 | 9,346 | $ | 100,000 | 2,241,194 | $ | 26,389,464 | 2,013,622 | $ | 22,698,383 | |||||||||||||||||||||||
Reinvested dividends | 480 | 5,638 | — | — | 2,038,184 | 23,876,248 | 7,310,179 | 77,973,821 | |||||||||||||||||||||||||||
Shares redeemed | (1,358 | ) | (16,505 | ) | — | — | (6,936,893 | ) | (81,762,877 | ) | (6,960,846 | ) | (79,449,721 | ) | |||||||||||||||||||||
Net increase (decrease) | 3,204 | $ | 37,759 | 9,346 | $ | 100,000 | (2,657,515 | ) | $ | (31,497,165 | ) | 2,362,955 | $ | 21,222,483 | |||||||||||||||||||||
SA Allocation Moderate Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the period September 26, 2016@ through March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 1,712 | $ | 20,000 | 9,375 | $ | 100,000 | 2,029,171 | $ | 23,566,955 | 2,224,122 | $ | 25,227,411 | |||||||||||||||||||||||
Reinvested dividends | 359 | 4,167 | — | — | 1,002,440 | 11,619,170 | 3,680,841 | 39,140,168 | |||||||||||||||||||||||||||
Shares redeemed | (1,711 | ) | (20,463 | ) | — | — | (5,063,115 | ) | (58,670,227 | ) | (4,651,719 | ) | (52,158,451 | ) | |||||||||||||||||||||
Net increase (decrease) | 360 | $ | 3,704 | 9,375 | $ | 100,000 | (2,031,504 | ) | $ | (23,484,102 | ) | 1,253,244 | $ | 12,209,128 |
365
SA Allocation Balanced Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2018 | For the period September 26, 2016@ through March 31, 2017 | For the year ended March 31, 2018 | For the year ended March 31, 2017 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | — | $ | — | 9,607 | $ | 100,000 | 2,624,362 | $ | 28,816,830 | 1,990,656 | $ | 21,376,824 | |||||||||||||||||||||||
Reinvested dividends | 500 | 5,437 | — | — | 1,056,395 | 11,458,102 | 2,643,737 | 27,429,730 | |||||||||||||||||||||||||||
Shares redeemed | — | — | — | — | (5,306,727 | ) | (58,271,163 | ) | (5,021,413 | ) | (54,436,871 | ) | |||||||||||||||||||||||
Net increase (decrease) | 500 | $ | 5,437 | 9,607 | $ | 100,000 | (1,625,970 | ) | $ | (17,996,231 | ) | (387,020 | ) | $ | (5,630,317 | ) |
@ Commencement of operations
Note 8. Transactions with Affiliates: As disclosed in the Portfolio of Investments, certain Portfolios owned shares of various portfolios of the Trust, SunAmerica Series Trust or Anchor Series Trust and securities issued by American International Group, Inc. ("AIG") or an affiliate thereof. For the year ended March 31, 2018, transactions in these securities were as follows:
SA Multi-Managed Large Cap Value Portfolio
Security | Income | Capital Gain Distribution Received | Value at March 31, 2017 | Cost of Purchases | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2018 | |||||||||||||||||||||||||||
American International Group, Inc. | $ | 35,338 | $ | — | $ | 2,147,280 | $ | 53,364 | $ | 683,442 | $ | 171,665 | $ | (377,182 | ) | $ | 1,311,685 |
SA Multi-Managed Mid Cap Value Portfolio
Security* | Income | Capital Gain Distribution Received | Value at March 31, 2017 | Cost of Purchases | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2018 | |||||||||||||||||||||||||||
Allied World Assurance Co. Holdings AG | $ | 9,225 | $ | — | $ | 123,670 | $ | — | $ | 114,006 | $ | 30,341 | $ | (40,005 | ) | $ | — |
* The Portfolio no longer owned 5% or more of the outstanding voting shares at March 31, 2018.
366
SA Allocation Growth Portfolio
Security | Income | Capital Gain Distribution Received | Value at March 31, 2017 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2018 | |||||||||||||||||||||||||||
Anchor Series Trust | |||||||||||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | $ | 28,784 | $ | — | $ | — | $ | 1,791,136 | $ | 53,637 | $ | (1,333 | ) | $ | (47,918 | ) | $ | 1,688,248 | |||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Columbia Focused Growth Portfolio, Class 1 | — | — | 1,590,993 | 110,180 | 1,856,330 | (125,238 | ) | 280,395 | — | ||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio, Class 1 | — | — | 1,827,907 | 104,215 | 1,976,775 | 527,734 | (483,081 | ) | — | ||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 107,679 | 9,745 | 13,699,092 | 4,868,973 | 13,822,629 | 274,992 | (84,134 | ) | 4,936,294 | ||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | 238,420 | — | 17,033,497 | 5,552,489 | 12,523,057 | 2,115,214 | 224,663 | 12,402,806 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 67,133 | 791,318 | 21,451,817 | 4,732,544 | 15,127,365 | 1,619,751 | 593,018 | 13,269,765 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | 298,922 | 1,062,001 | 20,970,482 | 5,172,124 | 11,206,155 | 2,327,840 | (2,771,697 | ) | 14,492,594 | ||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | 119,124 | 2,796,769 | 983,444 | 2,484,580 | 49,130 | 216,758 | 1,561,521 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 16,573 | 160,503 | 3,127,187 | 1,510,709 | 2,523,796 | 278,010 | (388,871 | ) | 2,003,239 | ||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | 6,369 | 151,756 | 3,978,993 | 1,222,636 | 3,290,103 | 612,830 | (645,181 | ) | 1,879,175 | ||||||||||||||||||||||||||
SA Wellington Real Return Portfolio, Class 1 | 64,182 | — | 1,973,266 | 1,019,427 | 170,766 | (1,698 | ) | (30,111 | ) | 2,790,118 | |||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | 1,152 | 221,345 | — | 3,764,321 | 214,081 | 9,526 | 131,050 | 3,690,816 | |||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | 1,769 | — | 929,948 | 1,049,109 | 1,380,796 | 6,563 | (2,284 | ) | 602,540 | ||||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | 92,891 | 9,450 | — | 2,430,154 | 72,156 | (3,024 | ) | (116,053 | ) | 2,238,921 | |||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | — | 3,470,105 | 74,217 | (772 | ) | (12,987 | ) | 3,382,129 | |||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | — | 3,134,151 | 64,485 | (925 | ) | (23,515 | ) | 3,045,226 | |||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | — | — | — | 738,480 | 15,590 | 3 | (19,483 | ) | 703,410 | ||||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | 125,405 | 15,914 | — | 6,610,646 | 199,752 | 9,465 | 91,487 | 6,511,846 | |||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | 25,266 | — | 854,058 | 25,814 | 2,131 | 64,886 | 895,261 | |||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | 49,779 | — | 2,155,270 | 811,229 | 394,337 | 77,289 | 528,809 | 3,178,260 |
367
SA Allocation Growth Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2017 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2018 | |||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | $ | 110,509 | $ | 259,356 | $ | — | $ | 6,014,376 | $ | 180,815 | $ | 5,789 | $ | 53,994 | $ | 5,893,344 | |||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | 59,481 | — | — | 2,829,129 | 468,803 | (15,601 | ) | (82,581 | ) | 2,262,144 | |||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | 87,731 | — | 1,832,370 | 55,139 | 4,197 | 132,939 | 1,914,367 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | 109,012 | 80,045 | — | 10,355,159 | 2,689,467 | 203,724 | 332,524 | 8,201,940 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 38,616 | 75,287 | — | 2,485,688 | 73,370 | 3,686 | 26,774 | 2,442,778 | |||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | 28,906 | 88,394 | — | 4,830,100 | 146,738 | 12,347 | 316,155 | 5,011,864 | |||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | 14,693 | 12,425 | — | 1,857,785 | 56,414 | 5,074 | 70,613 | 1,877,058 | |||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | 37,051 | — | — | 3,749,755 | 110,323 | 4,336 | 61,381 | 3,705,149 | |||||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 40,715 | 94,249 | — | 4,560,240 | 137,635 | 2,691 | (121,090 | ) | 4,304,206 | ||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | 76,451 | — | 1,882,274 | 359,728 | 1,310,619 | 72,930 | (74,545 | ) | 929,768 | ||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | 27,630 | — | — | 2,096,506 | 64,265 | 3,140 | 28,613 | 2,063,994 | |||||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | 19,560 | 19,918 | — | 3,646,633 | 102,001 | 10,787 | 75,989 | 3,631,408 | |||||||||||||||||||||||||||
$ | 1,661,682 | $ | 3,283,827 | $ | 93,417,495 | $ | 94,547,599 | $ | 72,872,010 | $ | 8,090,588 | $ | (1,673,483 | ) | $ | 121,510,189 |
† Includes reinvestment of distributions paid.
SA Allocation Moderate Growth Portfolio
Security | Income | Capital Gain Distribution Received | Value at March 31, 2017 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2018 | |||||||||||||||||||||||||||
Anchor Series Trust | |||||||||||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | $ | 224,360 | $ | — | $ | — | $ | 14,002,199 | $ | 927,714 | $ | (19,172 | ) | $ | (355,919 | ) | $ | 12,699,394 | |||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Columbia Focused Growth Portfolio, Class 1 | — | — | 6,833,039 | 16,521 | 7,603,326 | (387,897 | ) | 1,141,663 | — | ||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio, Class 1 | — | — | 8,289,118 | 16,618 | 8,510,940 | 2,554,400 | (2,349,196 | ) | — | ||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 1,444,422 | 130,726 | 137,512,968 | 11,203,505 | 84,133,174 | 140,326 | 1,097,563 | 65,821,188 | |||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | 856,034 | — | 76,736,399 | 3,748,933 | 50,557,888 | 10,942,006 | (1,031,451 | ) | 39,837,999 |
368
SA Allocation Moderate Growth Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2017 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2018 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | $ | 261,609 | $ | 3,083,681 | $ | 100,667,924 | $ | 3,949,265 | $ | 69,563,172 | $ | 9,188,899 | $ | 816,945 | $ | 45,059,861 | |||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | 1,150,237 | 4,086,523 | 98,962,676 | 5,832,120 | 54,661,201 | 14,863,717 | (16,000,759 | ) | 48,996,553 | ||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | 410,423 | 10,324,191 | 468,547 | 6,701,836 | 8,353 | 889,990 | 4,989,245 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 58,488 | 566,448 | 12,489,583 | 3,290,116 | 8,407,657 | 621,143 | (976,206 | ) | 7,016,979 | ||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | 23,010 | 548,276 | 15,888,705 | 644,430 | 10,227,377 | 2,873,819 | (2,885,377 | ) | 6,294,200 | ||||||||||||||||||||||||||
SA Wellington Real Return Portfolio, Class 1 | 487,544 | — | 17,876,145 | 5,968,683 | 2,367,576 | (75,810 | ) | (138,616 | ) | 21,262,826 | |||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | 4,328 | 831,711 | — | 13,050,169 | 1,386,905 | 48,026 | 479,506 | 12,190,796 | |||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | 16,354 | — | 9,257,508 | 5,793,345 | 10,187,254 | 55,237 | (16,216 | ) | 4,902,620 | ||||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | 742,803 | 75,571 | — | 19,023,181 | 1,472,562 | (47,530 | ) | (884,330 | ) | 16,618,759 | |||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | — | 14,461,310 | 664,896 | (3,437 | ) | (81,643 | ) | 13,711,334 | |||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | — | 13,303,397 | 573,001 | (5,515 | ) | (121,660 | ) | 12,603,221 | |||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | — | — | — | 3,206,630 | 87,099 | (1,311 | ) | (87,186 | ) | 3,031,034 | |||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | 474,617 | 60,229 | — | 24,178,122 | 1,646,292 | 69,045 | 389,608 | 22,990,483 | |||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | 107,300 | — | 3,326,603 | 226,466 | 13,319 | 257,353 | 3,370,809 | |||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | 173,778 | — | 7,197,377 | 2,256,983 | 2,282,113 | 493,338 | 1,673,202 | 9,338,787 | |||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | 449,854 | 1,055,768 | — | 22,433,914 | 2,996,012 | 72,392 | 252,432 | 19,762,726 | |||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | 478,090 | — | — | 23,203,527 | 1,396,466 | (41,567 | ) | (767,269 | ) | 20,998,225 | |||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | 317,087 | — | 6,103,114 | 937,443 | 53,034 | 424,573 | 5,643,278 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | 438,788 | 322,190 | — | 38,234,889 | 10,136,882 | 709,017 | 1,433,491 | 30,240,515 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 165,579 | 322,820 | — | 9,783,651 | 1,404,657 | 60,234 | 110,108 | 8,549,336 | |||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | 122,656 | 375,080 | — | 18,760,001 | 2,709,314 | 200,505 | 1,218,150 | 17,469,342 | |||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | 22,300 | 18,858 | — | 2,660,296 | 225,396 | 15,926 | 192,231 | 2,643,057 | |||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | 148,860 | — | — | 13,027,431 | 916,035 | 30,551 | 264,347 | 12,406,294 |
369
SA Allocation Moderate Growth Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2017 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2018 | |||||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | $ | 159,117 | $ | 368,335 | $ | — | $ | 16,323,689 | $ | 1,122,615 | $ | 19,521 | $ | (415,329 | ) | $ | 14,805,266 | ||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | 545,476 | — | 14,301,729 | 624,167 | 9,087,612 | 474,748 | (455,214 | ) | 5,857,818 | ||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | 96,315 | — | — | 6,686,419 | 467,959 | 17,504 | 101,041 | 6,337,005 | |||||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | 79,016 | 80,461 | — | 12,932,448 | 796,694 | 72,971 | 315,329 | 12,524,054 | |||||||||||||||||||||||||||
$ | 8,623,635 | $ | 12,761,487 | $ | 516,337,362 | $ | 318,514,223 | $ | 354,385,534 | $ | 43,015,792 | $ | (15,508,839 | ) | $ | 507,973,004 |
† Includes reinvestment of distributions paid.
SA Allocation Moderate Portfolio
Security | Income | Capital Gain Distribution Received | Value at March 31, 2017 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2018 | |||||||||||||||||||||||||||
Anchor Series Trust | |||||||||||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | $ | 174,664 | $ | — | $ | — | $ | 10,569,514 | $ | 727,690 | $ | (16,147 | ) | $ | (274,371 | ) | $ | 9,551,306 | |||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Columbia Focused Growth Portfolio, Class 1 | — | — | 3,721,295 | 9,454 | 4,136,469 | (253,308 | ) | 659,028 | — | ||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio, Class 1 | — | — | 4,426,925 | 6,030 | 4,536,260 | 1,224,369 | (1,121,064 | ) | — | ||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 1,143,684 | 103,508 | 111,953,159 | 10,669,392 | 72,666,111 | 657,505 | 333,700 | 50,947,645 | |||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | 429,661 | — | 38,201,594 | 2,962,194 | 26,008,194 | 4,883,760 | 78,269 | 20,117,623 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 141,924 | 1,672,909 | 54,625,908 | 2,376,153 | 37,540,247 | 6,849,177 | (1,444,731 | ) | 24,866,260 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | 630,238 | 2,239,087 | 56,907,164 | 3,436,694 | 33,082,930 | 8,530,761 | (9,131,997 | ) | 26,659,692 | ||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | 228,349 | 4,800,844 | 2,282,168 | 4,845,763 | 221,224 | 321,763 | 2,780,236 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 32,298 | 312,802 | 5,162,868 | 3,600,785 | 4,597,943 | 335,954 | (564,576 | ) | 3,937,088 | ||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | 12,844 | 306,048 | 8,721,242 | 1,383,671 | 6,554,738 | 1,077,137 | (1,105,913 | ) | 3,521,399 | ||||||||||||||||||||||||||
SA Wellington Real Return Portfolio, Class 1 | 377,309 | — | 12,484,003 | 5,701,485 | 1,924,538 | (5,281 | ) | (172,514 | ) | 16,083,155 |
370
SA Allocation Moderate Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2017 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2018 | |||||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | $ | 2,594 | $ | 498,403 | $ | — | $ | 7,812,108 | $ | 856,205 | $ | 28,213 | $ | 284,814 | $ | 7,268,930 | |||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | 10,621 | — | 9,335,232 | 3,912,566 | 10,111,325 | 55,074 | (14,793 | ) | 3,176,754 | ||||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | 572,732 | 58,268 | — | 14,228,862 | 990,201 | (35,957 | ) | (683,455 | ) | 12,519,249 | |||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | — | 12,629,020 | 629,974 | (4,630 | ) | (76,327 | ) | 11,918,089 | |||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | — | 11,819,537 | 582,147 | (6,448 | ) | (122,568 | ) | 11,108,374 | |||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | — | — | — | 1,305,741 | 41,159 | (987 | ) | (35,343 | ) | 1,228,252 | |||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | 229,647 | 29,142 | — | 11,656,460 | 801,192 | 29,473 | 185,133 | 11,069,874 | |||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | 54,351 | — | 1,687,393 | 116,643 | 7,052 | 128,254 | 1,706,056 | |||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | 89,731 | — | 3,285,987 | 1,370,620 | 742,935 | 170,237 | 795,852 | 4,879,761 | |||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | 246,226 | 577,872 | — | 12,285,397 | 1,616,501 | 33,221 | 137,652 | 10,839,769 | |||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | 373,690 | — | — | 17,887,628 | 1,096,846 | (36,550 | ) | (596,241 | ) | 16,157,991 | |||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | 177,929 | — | 3,427,311 | 447,202 | 24,959 | 242,917 | 3,247,985 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | 247,174 | 181,493 | — | 21,459,485 | 7,140,210 | 508,717 | 726,969 | 15,554,961 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 87,084 | 169,784 | — | 5,153,249 | 649,929 | 25,898 | 56,166 | 4,585,384 | |||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | 66,062 | 202,018 | — | 10,109,539 | 1,399,857 | 102,901 | 654,324 | 9,466,907 | |||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | 11,331 | 9,582 | — | 1,340,667 | 98,881 | 6,775 | 97,190 | 1,345,751 | |||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | 75,193 | — | — | 6,587,363 | 466,571 | 12,772 | 131,080 | 6,264,644 | |||||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 90,444 | 209,367 | — | 9,286,710 | 642,232 | 6,784 | (238,182 | ) | 8,413,080 | ||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | 438,832 | — | 10,633,118 | 535,386 | 6,631,623 | 334,846 | (347,616 | ) | 4,524,111 | ||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | 47,538 | — | — | 3,303,623 | 233,286 | 7,716 | 48,542 | 3,126,595 | |||||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | 48,829 | 49,721 | — | 8,005,061 | 538,045 | 48,509 | 167,368 | 7,682,893 | |||||||||||||||||||||||||||
$ | 5,580,350 | $ | 7,080,633 | $ | 324,259,339 | $ | 208,801,266 | $ | 232,453,847 | $ | 24,823,726 | $ | (10,880,670 | ) | $ | 314,549,814 |
† Includes reinvestment of distributions paid.
371
SA Allocation Balanced Portfolio
Security | Income | Capital Gain Distribution Received | Value at March 31, 2017 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2018 | |||||||||||||||||||||||||||
Anchor Series Trust | |||||||||||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | $ | 173,373 | $ | — | $ | — | $ | 10,434,172 | $ | 988,388 | $ | (21,917 | ) | $ | (263,227 | ) | $ | 9,160,640 | |||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Columbia Focused Growth Portfolio, Class 1 | — | — | 2,174,966 | 18,991 | 2,432,302 | (128,407 | ) | 366,752 | — | ||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio, Class 1 | — | — | 2,814,480 | 19,728 | 2,904,398 | 779,041 | (708,851 | ) | — | ||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 1,206,179 | 109,164 | 110,834,895 | 10,831,753 | 69,840,834 | 393,082 | 490,191 | 52,709,087 | |||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | 231,651 | — | 20,512,294 | 2,011,601 | 14,840,022 | 2,828,491 | (158,422 | ) | 10,353,942 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 76,300 | 899,378 | 30,337,773 | 1,609,897 | 22,174,115 | 3,953,472 | (972,844 | ) | 12,754,183 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | 335,758 | 1,192,870 | 33,123,510 | 2,157,634 | 21,315,783 | 4,631,621 | (4,938,979 | ) | 13,658,003 | ||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | 112,569 | 1,347,884 | 1,166,243 | 1,364,670 | 129,356 | 71,513 | 1,350,326 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 18,108 | 175,373 | 1,556,652 | 1,752,316 | 1,235,968 | 209,213 | (328,425 | ) | 1,953,788 | ||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | 6,991 | 166,578 | 3,904,068 | 1,250,123 | 3,247,385 | 281,088 | (290,802 | ) | 1,897,092 | ||||||||||||||||||||||||||
SA Wellington Real Return Portfolio, Class 1 | 370,762 | — | 14,268,428 | 3,742,950 | 2,442,732 | (26,102 | ) | (134,822 | ) | 15,407,722 | |||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | 1,437 | 276,201 | — | 4,366,391 | 866,332 | 29,745 | 143,152 | 3,672,956 | |||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | 11,242 | — | 9,089,289 | 2,630,569 | 8,452,204 | 47,754 | (12,647 | ) | 3,302,761 | ||||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | 549,078 | 55,862 | — | 13,987,335 | 1,324,693 | (50,558 | ) | (638,517 | ) | 11,973,567 | |||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | — | 12,643,231 | 982,475 | (6,980 | ) | (99,634 | ) | 11,554,142 | |||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | — | 11,724,476 | 882,215 | (9,734 | ) | (134,413 | ) | 10,698,114 | |||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | — | — | — | 608,781 | 36,726 | (878 | ) | (15,866 | ) | 555,311 | |||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | 120,139 | 15,246 | — | 6,207,873 | 573,326 | 20,969 | 94,134 | 5,749,650 | |||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | 28,171 | — | 876,998 | 88,313 | 4,822 | 74,185 | 867,692 | |||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | 44,249 | — | 1,514,960 | 811,486 | 528,801 | 126,578 | 334,323 | 2,258,546 |
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SA Allocation Balanced Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2017 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2018 | |||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | $ | 132,841 | $ | 311,766 | $ | — | $ | 6,672,690 | $ | 1,249,877 | $ | 23,276 | $ | 71,325 | $ | 5,517,414 | |||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | 369,829 | — | — | 17,379,220 | 1,446,280 | (50,674 | ) | (573,720 | ) | 15,308,546 | |||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | 96,144 | — | 1,872,738 | 189,242 | 9,419 | 134,441 | 1,827,356 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | 134,698 | 98,905 | — | 10,986,081 | 4,098,280 | 281,227 | 350,241 | 7,519,269 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 47,860 | 93,311 | — | 2,848,691 | 508,395 | 19,324 | 28,661 | 2,388,281 | |||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | 35,738 | 109,286 | — | 5,505,006 | 1,215,047 | 90,703 | 320,428 | 4,701,090 | |||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | 6,183 | 5,229 | — | 747,549 | 75,697 | 4,863 | 52,311 | 729,026 | |||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | 41,803 | — | — | 3,687,038 | 352,356 | 9,602 | 70,565 | 3,414,849 | |||||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 48,965 | 113,348 | — | 5,062,628 | 469,808 | 2,509 | (129,175 | ) | 4,466,154 | ||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | 438,363 | — | 9,560,910 | 635,964 | 5,816,245 | 328,060 | (375,901 | ) | 4,332,788 | ||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | 26,352 | — | — | 1,844,151 | 177,049 | 5,625 | 26,228 | 1,698,955 | |||||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | 26,342 | 26,823 | — | 4,410,181 | 402,344 | 34,865 | 73,876 | 4,116,578 | |||||||||||||||||||||||||||
$ | 4,454,241 | $ | 3,886,224 | $ | 241,040,109 | $ | 150,504,485 | $ | 172,522,302 | $ | 13,949,455 | $ | (7,073,919 | ) | $ | 225,897,828 |
† Includes reinvestment of distributions paid.
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The Managed Allocation Portfolios do not invest in underlying Seasons Series Trust Portfolios for the purpose of exercising management or control; however, investments by the Managed Allocation Portfolios within the set limits may represent a significant portion of an underlying Seasons Series Trust Portfolio's net assets.
At March 31, 2018, the following affiliates owned outstanding shares of the following Portfolios:
Holder | |||||||||||||||||||||||||||||||||||||||
Portfolio | USL | AGL | VALIC | SA Allocation Balanced Portfolio | SA Allocation Growth Portfolio | SA Allocation Moderate Growth Portfolio | SA Allocation Moderate Portfolio | SAST SA VCP Dynamic Allocation Portfolio | SAST SA VCP Dynamic Strategy Portfolio | ||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | 1.46 | % | 98.54 | % | — | % | — | % | — | % | — | % | — | % | — | % | — | % | |||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 0.89 | 99.11 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | 0.57 | 99.43 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | 0.93 | 99.07 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 2.36 | 97.13 | 0.51 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio | 0.23 | 22.63 | — | — | — | — | — | 77.14 | — | ||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | 0.13 | 11.37 | — | 2.49 | 2.59 | 8.78 | 4.85 | 33.15 | 36.64 | ||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | 0.05 | 5.21 | — | 1.57 | 1.67 | 5.65 | 3.07 | 46.81 | 35.97 | ||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | 0.27 | 18.77 | — | 0.58 | 0.67 | 2.15 | 1.20 | 45.93 | 30.43 | ||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | 0.26 | 17.32 | �� | 0.77 | 0.79 | 2.78 | 1.56 | 57.87 | 18.65 | ||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | 0.20 | 11.26 | — | 0.66 | 0.66 | 2.20 | 1.23 | 37.09 | 46.70 | ||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | 0.12 | 6.36 | — | 1.68 | 2.01 | 6.45 | 3.26 | 50.67 | 29.45 | ||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 0.08 | 3.82 | — | 4.96 | 0.46 | 6.19 | 4.79 | 66.88 | 12.82 | ||||||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | 2.80 | 50.32 | 0.16 | 1.97 | 0.36 | 2.72 | 2.06 | 28.88 | 10.73 | ||||||||||||||||||||||||||||||
SA Columbia Focused Growth Portfolio | 0.62 | 40.38 | — | — | — | — | — | 59.00 | — | ||||||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio | 0.10 | 8.11 | — | — | — | — | — | 58.91 | 32.88 | ||||||||||||||||||||||||||||||
SA Allocation Growth Portfolio | 6.38 | 92.29 | 1.33 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
SA Allocation Moderate Growth Portfolio | 5.78 | 93.91 | 0.31 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
SA Allocation Moderate Portfolio | 6.28 | 93.01 | 0.71 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
SA Allocation Balanced Portfolio | 9.79 | 89.74 | 0.47 | — | — | — | — | — | — |
Note 9. Investment Concentration: The International Equity Portfolio invests internationally, including in "emerging market" countries. Emerging market securities involve risks not typically associated with investing in securities of issuers in more developed markets. The markets of emerging market countries are typically more volatile and potentially less liquid than more developed countries. These securities may be denominated in currencies other than U.S. dollars. While investing internationally may reduce portfolio risk by increasing the diversification of portfolio investments, the value of the investment may be affected by fluctuating currency values, changing local and regional economic, political and social conditions, and greater market volatility.
Each Portfolio may invest in obligations issued by agencies and instrumentalities of the U.S. Government that may vary in the level of support they receive from the government. The government may choose not to provide financial support to government sponsored agencies or instrumentalities if it is not legally obligated to do so, and if the issuer defaults, a fund holding securities
374
of such issuer might not be able to recover its investment from the U.S. Government. As a result of the SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, and SA Multi-Managed Diversified Fixed Income Portfolios' concentration in such investments, these funds may be subject to risks associated with U.S. Government agencies or instrumentalities.
Note 10. Line of Credit: The Trust has access to a $75 million committed unsecured line of credit and, along with certain other funds managed by the Adviser, a $50 million uncommitted unsecured line of credit. The committed and uncommitted lines of credit are renewable on an annual basis with State Street Bank and Trust Company ("State Street"), the Trust's custodian. Interest is currently payable on the committed line of credit at the higher of the Federal Funds Rate (but not less than zero) plus 125 basis points or the One-Month London Interbank Offered Rate (but not less than zero) plus 125 basis points and State Street's discretionary bid rate on the uncommitted line of credit. The Trust, on behalf of each of the Portfolios, has paid State Street for its own account, such Portfolio's ratable portion of an upfront fee in an amount equal to $25,000 in the aggregate for the uncommitted line of credit made available by State Street to certain other funds managed by the Adviser, which are also party to the uncommitted line of credit. There is also a commitment fee of 25 basis points per annum on the daily unused portion of the committed line of credit. Borrowings under the line of credit will commence when the respective Portfolio's cash shortfall exceeds $100,000. For the year ended March 31, 2018, the following Portfolios had borrowings:
Portfolio | Days Outstanding | Interest Charges | Average Debt Utilized | Weighted Average Interest | |||||||||||||||
SA Multi-Managed Growth | 26 | $ | 202 | $ | 106,469 | 2.50 | % | ||||||||||||
SA Multi-Managed Moderate Growth | 8 | 60 | 104,920 | 2.59 | |||||||||||||||
SA Multi-Managed Income/Equity | 11 | 87 | 114,692 | 2.44 | |||||||||||||||
SA Multi-Managed Income | 3 | 26 | 105,720 | 2.94 | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 1 | 70 | 1,010,996 | 2.49 | |||||||||||||||
SA Multi-Managed Large Cap Growth | 8 | 3,144 | 5,396,944 | 2.60 | |||||||||||||||
SA Multi-Managed Large Cap Value | 64 | 2,262 | 521,088 | 2.54 | |||||||||||||||
SA Multi-Managed Mid Cap Growth | 7 | 105 | 182,771 | 2.95 | |||||||||||||||
SA Multi-Managed Mid Cap Value | 8 | 1,527 | 608,114 | 2.48 | |||||||||||||||
SA Multi-Managed International Equity | 54 | 6,154 | 1,590,303 | 2.60 | |||||||||||||||
SA Multi-Managed Diversified Fixed Income | 4 | 304 | 1,030,698 | 2.63 | |||||||||||||||
SA Columbia Focused Growth | 6 | 477 | 1,152,586 | 2.48 | |||||||||||||||
SA Columbia Focused Value | 5 | 214 | 662,035 | 2.32 |
As of March 31, 2018, there were no outstanding borrowings.
Note 11. Security Transactions with Affiliated Portfolios: The Portfolios are permitted to transfer securities by purchasing from and/or selling to other affiliated funds under certain conditions approved by the Board of Trustees. The affiliated funds involved in such transactions must have a common investment adviser or investment advisers which are affiliated persons of each other, common Trustees, and/or common officers in compliance with Rule 17a-7 of the 1940 Act. Pursuant to the Act, such a transaction must be either a purchase or a sale, for no consideration other than cash payment against prompt delivery of the security at the current market price. No brokerage commission or fee (except for customary transfer fees), or other remuneration is paid in connection with such transactions. For the year ended March 31, 2018, the following Portfolios engaged in security transactions with affiliated Portfolios:
Portfolio | Cost of Purchases | Proceeds from Sales | Realized Gain(Loss) | ||||||||||||
SA T. Rowe Price Growth Stock | $ | 575,691 | $ | 1,043,291 | $ | 337,167 | |||||||||
SA Multi-Managed Large Cap Value | 3,272,557 | 3,547,339 | 97,810 | ||||||||||||
SA Multi-Managed Mid Cap Growth | — | 796,246 | (19,295 | ) | |||||||||||
SA Multi-Managed Mid Cap Value | 313,833 | 49,261 | (1,947 | ) |
Note 12. Interfund Lending Agreement: Pursuant to the exemptive relief granted by the SEC, the Portfolios are permitted to participate in an interfund lending program among investment companies advised by SAAMCo or an affiliate. The interfund lending program allows the participating Portfolios to borrow money from and lend money to each other for temporary or emergency purposes. An interfund loan will be made under this facility only if the participating Portfolios receive a more favorable interest rate than would otherwise be available from a typical bank for a comparable transaction. For the year ended March 31, 2018, none of the Portfolios participated in this program.
375
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets(1) | Ratio of net investment income to average net assets(1) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio## Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | $ | 17.76 | $ | 0.09 | $ | 2.89 | $ | 2.98 | $ | (0.13 | ) | $ | (0.45 | ) | $ | (0.58 | ) | $ | 20.16 | 16.90 | % | $ | 13,202 | 1.28 | % | 0.43 | % | 80 | % | ||||||||||||||||||||||||||
03/31/15 | 20.16 | 0.13 | 2.19 | 2.32 | (0.10 | ) | (3.07 | ) | (3.17 | ) | 19.31 | 12.54 | 12,718 | 1.17 | 0.62 | 67 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 19.31 | 0.10 | (0.64 | ) | (0.54 | ) | (0.12 | ) | (2.76 | ) | (2.88 | ) | 15.89 | (2.79 | ) | 10,696 | 1.19 | 0.56 | 51 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 15.89 | 0.08 | 1.74 | 1.82 | (0.10 | ) | (1.13 | ) | (1.23 | ) | 16.48 | 11.72 | 10,069 | 1.22 | 0.51 | 48 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 16.48 | 0.07 | 1.81 | 1.88 | (0.09 | ) | (1.25 | ) | (1.34 | ) | 17.02 | 11.45 | 9,976 | 1.23 | (2) | 0.41 | (2) | 51 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio## Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 17.75 | 0.06 | 2.89 | 2.95 | (0.10 | ) | (0.45 | ) | (0.55 | ) | 20.15 | 16.73 | 24,035 | 1.43 | 0.28 | 80 | |||||||||||||||||||||||||||||||||||||||
03/31/15 | 20.15 | 0.10 | 2.18 | 2.28 | (0.07 | ) | (3.07 | ) | (3.14 | ) | 19.29 | 12.31 | 23,033 | 1.32 | 0.47 | 67 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 19.29 | 0.07 | (0.63 | ) | (0.56 | ) | (0.09 | ) | (2.76 | ) | (2.85 | ) | 15.88 | (2.90 | ) | 19,939 | 1.34 | 0.40 | 51 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 15.88 | 0.06 | 1.73 | 1.79 | (0.07 | ) | (1.13 | ) | (1.20 | ) | 16.47 | 11.54 | 19,227 | 1.37 | 0.36 | 48 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 16.47 | 0.05 | 1.80 | 1.85 | (0.06 | ) | (1.25 | ) | (1.31 | ) | 17.01 | 11.29 | 19,251 | 1.38 | (2) | 0.26 | (2) | 51 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio## Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 17.72 | 0.04 | 2.88 | 2.92 | (0.09 | ) | (0.45 | ) | (0.54 | ) | 20.10 | 16.58 | 38,236 | 1.52 | 0.19 | 80 | |||||||||||||||||||||||||||||||||||||||
03/31/15 | 20.10 | 0.07 | 2.19 | 2.26 | (0.05 | ) | (3.07 | ) | (3.12 | ) | 19.24 | 12.23 | 35,817 | 1.42 | 0.37 | 67 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 19.24 | 0.05 | (0.63 | ) | (0.58 | ) | (0.06 | ) | (2.76 | ) | (2.82 | ) | 15.84 | (3.00 | ) | 27,626 | 1.44 | 0.30 | 51 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 15.84 | 0.04 | 1.74 | 1.78 | (0.05 | ) | (1.13 | ) | (1.18 | ) | 16.44 | 11.46 | 26,332 | 1.47 | 0.26 | 48 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 16.44 | 0.03 | 1.79 | 1.82 | (0.04 | ) | (1.25 | ) | (1.29 | ) | 16.97 | 11.13 | 23,755 | 1.48 | (2) | 0.16 | (2) | 51 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
## See Note 1
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/14 | 03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | |||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 1 | 0.01 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Growth Portfolio Class 2 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 3 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/18 | |||||||
SA Multi-Managed Growth Portfolio Class 1 | 0.00 | % | |||||
SA Multi-Managed Growth Portfolio Class 2 | 0.00 | ||||||
SA Multi-Managed Growth Portfolio Class 3 | 0.00 |
See Notes to Financial Statements
376
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets(1) | Ratio of net investment income to average net assets(1) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio## Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | $ | 14.44 | $ | 0.12 | $ | 1.76 | $ | 1.88 | $ | (0.15 | ) | $ | (0.82 | ) | $ | (0.97 | ) | $ | 15.35 | 13.24 | % | $ | 13,622 | 1.09 | % | 0.78 | % | 74 | % | ||||||||||||||||||||||||||
03/31/15 | 15.35 | 0.15 | 1.39 | 1.54 | (0.13 | ) | (1.71 | ) | (1.84 | ) | 15.05 | 10.74 | 13,247 | 1.02 | 0.98 | 71 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 15.05 | 0.14 | (0.46 | ) | (0.32 | ) | (0.20 | ) | (2.10 | ) | (2.30 | ) | 12.43 | (2.00 | ) | 10,538 | 1.04 | 1.01 | 48 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 12.43 | 0.13 | 1.11 | 1.24 | (0.16 | ) | (0.98 | ) | (1.14 | ) | 12.53 | 10.24 | 9,579 | 1.07 | 1.02 | 44 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 12.53 | 0.11 | 1.05 | 1.16 | (0.13 | ) | (0.66 | ) | (0.79 | ) | 12.90 | 9.25 | 9,450 | 1.08 | (2) | 0.84 | (2) | 54 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio## Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 14.42 | 0.10 | 1.76 | 1.86 | (0.13 | ) | (0.82 | ) | (0.95 | ) | 15.33 | 13.08 | 55,102 | 1.24 | 0.63 | 74 | |||||||||||||||||||||||||||||||||||||||
03/31/15 | 15.33 | 0.13 | 1.38 | 1.51 | (0.11 | ) | (1.71 | ) | (1.82 | ) | 15.02 | 10.51 | 52,837 | 1.17 | 0.83 | 71 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 15.02 | 0.12 | (0.45 | ) | (0.33 | ) | (0.18 | ) | (2.10 | ) | (2.28 | ) | 12.41 | (2.12 | ) | 44,942 | 1.19 | 0.86 | 48 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 12.41 | 0.11 | 1.10 | 1.21 | (0.13 | ) | (0.98 | ) | (1.11 | ) | 12.51 | 10.06 | 42,741 | 1.22 | 0.86 | 44 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 12.51 | 0.09 | 1.05 | 1.14 | (0.11 | ) | (0.66 | ) | (0.77 | ) | 12.88 | 9.10 | 42,662 | 1.23 | (2) | 0.69 | (2) | 54 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio## Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 14.39 | 0.08 | 1.75 | 1.83 | (0.12 | ) | (0.82 | ) | (0.94 | ) | 15.28 | 12.95 | 78,568 | 1.33 | 0.54 | 74 | |||||||||||||||||||||||||||||||||||||||
03/31/15 | 15.28 | 0.11 | 1.39 | 1.50 | (0.10 | ) | (1.71 | ) | (1.81 | ) | 14.97 | 10.46 | 71,822 | 1.27 | 0.73 | 71 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 14.97 | 0.11 | (0.46 | ) | (0.35 | ) | (0.14 | ) | (2.10 | ) | (2.24 | ) | 12.38 | (2.25 | ) | 40,753 | 1.29 | 0.75 | 48 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 12.38 | 0.10 | 1.10 | 1.20 | (0.11 | ) | (0.98 | ) | (1.09 | ) | 12.49 | 9.95 | 38,030 | 1.32 | 0.76 | 44 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 12.49 | 0.08 | 1.05 | 1.13 | (0.09 | ) | (0.66 | ) | (0.75 | ) | 12.87 | 9.07 | 35,834 | 1.33 | (2) | 0.59 | (2) | 54 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
## See Note 1
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/14 | 03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | |||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 1 | 0.01 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 2 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 3 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/18 | |||||||
SA Multi-Managed Moderate Growth Portfolio Class 1 | 0.00 | % | |||||
SA Multi-Managed Moderate Growth Portfolio Class 2 | 0.00 | ||||||
SA Multi-Managed Moderate Growth Portfolio Class 3 | 0.00 |
See Notes to Financial Statements
377
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets(1) | Ratio of net investment income to average net assets(1) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio## Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | $ | 12.69 | $ | 0.17 | $ | 0.65 | $ | 0.82 | $ | (0.22 | ) | $ | (0.50 | ) | $ | (0.72 | ) | $ | 12.79 | 6.65 | % | $ | 12,165 | 1.05 | % | 1.35 | % | 77 | % | ||||||||||||||||||||||||||
03/31/15 | 12.79 | 0.19 | 0.82 | 1.01 | (0.19 | ) | (1.00 | ) | (1.19 | ) | 12.61 | 8.20 | 11,927 | 1.00 | 1.45 | 86 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 12.61 | 0.19 | (0.22 | ) | (0.03 | ) | (0.27 | ) | (1.30 | ) | (1.57 | ) | 11.01 | (0.11 | ) | 9,748 | 1.02 | 1.60 | 45 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 11.01 | 0.18 | 0.47 | 0.65 | (0.19 | ) | (0.48 | ) | (0.67 | ) | 10.99 | 6.03 | 8,749 | 1.06 | 1.57 | 42 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 10.99 | 0.16 | 0.58 | 0.74 | (0.19 | ) | (0.35 | ) | (0.54 | ) | 11.19 | 6.70 | 8,614 | 1.08 | 1.40 | 62 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio## Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 12.67 | 0.15 | 0.65 | 0.80 | (0.20 | ) | (0.50 | ) | (0.70 | ) | 12.77 | 6.48 | 46,030 | 1.20 | 1.20 | 77 | |||||||||||||||||||||||||||||||||||||||
03/31/15 | 12.77 | 0.17 | 0.82 | 0.99 | (0.17 | ) | (1.00 | ) | (1.17 | ) | 12.59 | 8.03 | 44,486 | 1.15 | 1.31 | 86 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 12.59 | 0.17 | (0.22 | ) | (0.05 | ) | (0.25 | ) | (1.30 | ) | (1.55 | ) | 10.99 | (0.28 | ) | 37,891 | 1.17 | 1.45 | 45 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 10.99 | 0.16 | 0.47 | 0.63 | (0.17 | ) | (0.48 | ) | (0.65 | ) | 10.97 | 5.85 | 35,229 | 1.22 | 1.42 | 42 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 10.97 | 0.14 | 0.58 | 0.72 | (0.17 | ) | (0.35 | ) | (0.52 | ) | 11.17 | 6.54 | 33,123 | 1.23 | 1.25 | 62 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio## Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 12.65 | 0.14 | 0.64 | 0.78 | (0.20 | ) | (0.50 | ) | (0.70 | ) | 12.73 | 6.33 | 49,269 | 1.29 | 1.09 | 77 | |||||||||||||||||||||||||||||||||||||||
03/31/15 | 12.73 | 0.16 | 0.82 | 0.98 | (0.16 | ) | (1.00 | ) | (1.16 | ) | 12.55 | 7.98 | 45,831 | 1.25 | 1.21 | 86 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 12.55 | 0.17 | (0.23 | ) | (0.06 | ) | (0.21 | ) | (1.30 | ) | (1.51 | ) | 10.98 | (0.35 | ) | 23,038 | 1.26 | 1.34 | 45 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 10.98 | 0.15 | 0.46 | 0.61 | (0.14 | ) | (0.48 | ) | (0.62 | ) | 10.97 | 5.67 | 20,590 | 1.31 | 1.32 | 42 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 10.97 | 0.13 | 0.59 | 0.72 | (0.16 | ) | (0.35 | ) | (0.51 | ) | 11.18 | �� | 6.50 | 18,900 | 1.33 | 1.15 | 62 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
## See Note 1
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/14 | 03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | |||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 1 | 0.01 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 2 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 3 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 |
See Notes to Financial Statements
378
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets(1) | Ratio of net investment income to average net assets(1) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio## Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | $ | 12.39 | $ | 0.20 | $ | 0.18 | $ | 0.38 | $ | (0.25 | ) | $ | (0.42 | ) | $ | (0.67 | ) | $ | 12.10 | 3.20 | % | $ | 10,622 | 1.05 | % | 1.59 | % | 63 | % | ||||||||||||||||||||||||||
03/31/15 | 12.10 | 0.22 | 0.53 | 0.75 | (0.22 | ) | (0.53 | ) | (0.75 | ) | 12.10 | 6.30 | 9,975 | 1.00 | 1.81 | 87 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 12.10 | 0.24 | (0.22 | ) | 0.02 | (0.28 | ) | (0.82 | ) | (1.10 | ) | 11.02 | 0.29 | 6,841 | 1.01 | 2.01 | 46 | ||||||||||||||||||||||||||||||||||||||
03/31/17 | 11.02 | 0.22 | 0.27 | 0.49 | (0.23 | ) | (0.24 | ) | (0.47 | ) | 11.04 | 4.50 | 6,106 | 1.08 | 1.95 | 41 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 11.04 | 0.20 | 0.25 | 0.45 | (0.22 | ) | (0.22 | ) | (0.44 | ) | 11.05 | 4.08 | 5,538 | 1.09 | 1.74 | 62 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio## Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 12.37 | 0.18 | 0.18 | 0.36 | (0.23 | ) | (0.42 | ) | (0.65 | ) | 12.08 | 3.02 | 37,405 | 1.21 | 1.44 | 63 | |||||||||||||||||||||||||||||||||||||||
03/31/15 | 12.08 | 0.20 | 0.53 | 0.73 | (0.20 | ) | (0.53 | ) | (0.73 | ) | 12.08 | 6.13 | 36,076 | 1.15 | 1.65 | 87 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 12.08 | 0.22 | (0.22 | ) | 0.00 | (0.26 | ) | (0.82 | ) | (1.08 | ) | 11.00 | 0.11 | 30,780 | 1.17 | 1.87 | 46 | ||||||||||||||||||||||||||||||||||||||
03/31/17 | 11.00 | 0.20 | 0.28 | 0.48 | (0.21 | ) | (0.24 | ) | (0.45 | ) | 11.03 | 4.41 | 29,068 | 1.23 | 1.80 | 41 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 11.03 | 0.18 | 0.25 | 0.43 | (0.20 | ) | (0.22 | ) | (0.42 | ) | 11.04 | 3.92 | 27,062 | 1.24 | 1.59 | 62 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio## Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 12.35 | 0.16 | 0.18 | 0.34 | (0.23 | ) | (0.42 | ) | (0.65 | ) | 12.04 | 2.84 | 38,707 | 1.29 | 1.32 | 63 | |||||||||||||||||||||||||||||||||||||||
03/31/15 | 12.04 | 0.19 | 0.52 | 0.71 | (0.18 | ) | (0.53 | ) | (0.71 | ) | 12.04 | 6.06 | 36,255 | 1.25 | 1.55 | 87 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 12.04 | 0.21 | (0.22 | ) | (0.01 | ) | (0.23 | ) | (0.82 | ) | (1.05 | ) | 10.98 | 0.01 | 20,719 | 1.26 | 1.75 | 46 | |||||||||||||||||||||||||||||||||||||
03/31/17 | 10.98 | 0.19 | 0.28 | 0.47 | (0.18 | ) | (0.24 | ) | (0.42 | ) | 11.03 | 4.35 | 17,689 | 1.33 | 1.70 | 41 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 11.03 | 0.17 | 0.25 | 0.42 | (0.19 | ) | (0.22 | ) | (0.41 | ) | 11.04 | 3.81 | 16,906 | 1.34 | 1.49 | 62 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
## See Note 1
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/14 | 03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | |||||||||||||||||||
SA Multi-Managed Income Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Income Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Income Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
See Notes to Financial Statements
379
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets(1)(2) | Ratio of net investment income to average net assets(1)(2) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio## Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | $ | 11.25 | $ | 0.20 | $ | 1.86 | $ | 2.06 | $ | (0.33 | ) | $ | — | $ | (0.33 | ) | $ | 12.98 | 18.43 | % | $ | 22,898 | 1.01 | % | 1.63 | % | 61 | % | |||||||||||||||||||||||||||
03/31/15 | 12.98 | 0.18 | 1.17 | 1.35 | (0.24 | ) | (0.10 | ) | (0.34 | ) | 13.99 | 10.56 | 21,958 | 0.99 | 1.36 | 79 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 13.99 | 0.19 | (0.85 | ) | (0.66 | ) | (0.43 | ) | (1.42 | ) | (1.85 | ) | 11.48 | (4.69 | ) | 17,363 | 0.98 | 1.46 | 94 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 11.48 | 0.17 | 1.38 | 1.55 | (0.11 | ) | (1.07 | ) | (1.18 | ) | 11.85 | 13.98 | 15,897 | 1.04 | 1.41 | 106 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 11.85 | 0.19 | 1.29 | 1.48 | (0.21 | ) | (0.97 | ) | (1.18 | ) | 12.15 | 12.43 | 15,727 | 0.96 | 1.49 | 69 | |||||||||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio## Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 11.24 | 0.18 | 1.86 | 2.04 | (0.31 | ) | — | (0.31 | ) | 12.97 | 18.26 | 74,099 | 1.16 | 1.48 | 61 | ||||||||||||||||||||||||||||||||||||||||
03/31/15 | 12.97 | 0.16 | 1.17 | 1.33 | (0.22 | ) | (0.10 | ) | (0.32 | ) | 13.98 | 10.39 | 70,798 | 1.14 | 1.21 | 79 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 13.98 | 0.17 | (0.85 | ) | (0.68 | ) | (0.41 | ) | (1.42 | ) | (1.83 | ) | 11.47 | (4.88 | ) | 60,314 | 1.13 | 1.31 | 94 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 11.47 | 0.15 | 1.39 | 1.54 | (0.09 | ) | (1.07 | ) | (1.16 | ) | 11.85 | 13.88 | 57,135 | 1.19 | 1.26 | 106 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 11.85 | 0.17 | 1.29 | 1.46 | (0.19 | ) | (0.97 | ) | (1.16 | ) | 12.15 | 12.25 | 55,477 | 1.11 | 1.33 | 69 | |||||||||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio## Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 11.22 | 0.17 | 1.86 | 2.03 | (0.30 | ) | — | (0.30 | ) | 12.95 | 18.18 | 65,734 | 1.26 | 1.38 | 61 | ||||||||||||||||||||||||||||||||||||||||
03/31/15 | 12.95 | 0.15 | 1.17 | 1.32 | (0.21 | ) | (0.10 | ) | (0.31 | ) | 13.96 | 10.28 | 61,850 | 1.24 | 1.11 | 79 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 13.96 | 0.16 | (0.85 | ) | (0.69 | ) | (0.40 | ) | (1.42 | ) | (1.82 | ) | 11.45 | (5.00 | ) | 51,394 | 1.23 | 1.21 | 94 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 11.45 | 0.14 | 1.39 | 1.53 | (0.08 | ) | (1.07 | ) | (1.15 | ) | 11.83 | 13.77 | 49,593 | 1.29 | 1.16 | 106 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 11.83 | 0.15 | 1.28 | 1.43 | (0.18 | ) | (0.97 | ) | (1.15 | ) | 12.11 | 12.07 | 77,570 | 1.21 | 1.24 | 69 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
## See Note 1
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/14 | 03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | |||||||||||||||||||
SA Multi-Managed Asset Allocation Diversified Growth Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Asset Allocation Diversified Growth Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Asset Allocation Diversified Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/14 | 03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | |||||||||||||||||||
SA Multi-Managed Asset Allocation Diversified Growth Portfolio Class 1 | 0.10 | % | 0.10 | % | 0.10 | % | 0.10 | % | 0.10 | % | |||||||||||||
SA Multi-Managed Asset Allocation Diversified Growth Portfolio Class 2 | 0.10 | 0.10 | 0.10 | 0.10 | 0.10 | ||||||||||||||||||
SA Multi-Managed Asset Allocation Diversified Growth Portfolio Class 3 | 0.10 | 0.10 | 0.10 | 0.10 | 0.10 |
See Notes to Financial Statements
380
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets(1) | Ratio of net investment income to average net assets(1) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio## Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | $ | 18.68 | $ | (0.05 | ) | $ | 5.08 | $ | 5.03 | $ | — | $ | (0.85 | ) | $ | (0.85 | ) | $ | 22.86 | 27.01 | % | $ | 237,515 | 0.91 | % | (0.23 | )% | 36 | % | ||||||||||||||||||||||||||
03/31/15 | 22.86 | (0.03 | ) | 3.70 | 3.67 | — | (1.25 | ) | (1.25 | ) | 25.28 | 16.53 | 381,906 | 0.88 | (0.15 | ) | 32 | ||||||||||||||||||||||||||||||||||||||
03/31/16 | 25.28 | (0.05 | ) | (0.22 | ) | (0.27 | ) | — | (1.80 | ) | (1.80 | ) | 23.21 | (1.32 | ) | 387,062 | 0.87 | (0.19 | ) | 43 | |||||||||||||||||||||||||||||||||||
03/31/17 | 23.21 | (0.01 | ) | 4.13 | 4.12 | — | (2.54 | ) | (2.54 | ) | 24.79 | 18.78 | 357,120 | 0.87 | (0.04 | ) | 38 | ||||||||||||||||||||||||||||||||||||||
03/31/18 | 24.79 | 0.01 | 5.93 | 5.94 | — | (3.42 | ) | (3.42 | ) | 27.31 | 24.49 | 333,144 | 0.87 | 0.02 | 50 | ||||||||||||||||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio## Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 18.46 | (0.08 | ) | 5.02 | 4.94 | — | (0.85 | ) | (0.85 | ) | 22.55 | 26.84 | 58,280 | 1.06 | (0.38 | ) | 36 | ||||||||||||||||||||||||||||||||||||||
03/31/15 | 22.55 | (0.07 | ) | 3.65 | 3.58 | — | (1.25 | ) | (1.25 | ) | 24.88 | 16.36 | 55,803 | 1.03 | (0.30 | ) | 32 | ||||||||||||||||||||||||||||||||||||||
03/31/16 | 24.88 | (0.08 | ) | (0.23 | ) | (0.31 | ) | — | (1.80 | ) | (1.80 | ) | 22.77 | (1.51 | ) | 47,757 | 1.02 | (0.34 | ) | 43 | |||||||||||||||||||||||||||||||||||
03/31/17 | 22.77 | (0.05 | ) | 4.05 | 4.00 | — | (2.54 | ) | (2.54 | ) | 24.23 | 18.61 | 45,160 | 1.02 | (0.19 | ) | 38 | ||||||||||||||||||||||||||||||||||||||
03/31/18 | 24.23 | (0.04 | ) | 5.80 | 5.76 | — | (3.42 | ) | (3.42 | ) | 26.57 | 24.31 | 43,404 | 1.02 | (0.13 | ) | 50 | ||||||||||||||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio## Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 18.33 | (0.10 | ) | 4.98 | 4.88 | — | (0.85 | ) | (0.85 | ) | 22.36 | 26.70 | 53,760 | 1.16 | (0.48 | ) | 36 | ||||||||||||||||||||||||||||||||||||||
03/31/15 | 22.36 | (0.09 | ) | 3.62 | 3.53 | — | (1.25 | ) | (1.25 | ) | 24.64 | 16.27 | 50,706 | 1.13 | (0.40 | ) | 32 | ||||||||||||||||||||||||||||||||||||||
03/31/16 | 24.64 | (0.11 | ) | (0.22 | ) | (0.33 | ) | — | (1.80 | ) | (1.80 | ) | 22.51 | (1.61 | ) | 42,384 | 1.12 | (0.44 | ) | 43 | |||||||||||||||||||||||||||||||||||
03/31/17 | 22.51 | (0.07 | ) | 4.00 | 3.93 | — | (2.54 | ) | (2.54 | ) | 23.90 | 18.52 | 39,088 | 1.12 | (0.29 | ) | 38 | ||||||||||||||||||||||||||||||||||||||
03/31/18 | 23.90 | (0.06 | ) | 5.71 | 5.65 | — | (3.42 | ) | (3.42 | ) | 26.13 | 24.18 | 35,916 | 1.12 | (0.23 | ) | 50 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
## See Note 1
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/14 | 03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | |||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
See Notes to Financial Statements
381
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets(1) | Ratio of net investment income to average net assets(1) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio## Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | $ | 11.66 | $ | 0.06 | $ | 2.55 | $ | 2.61 | $ | (0.08 | ) | $ | (0.47 | ) | $ | (0.55 | ) | $ | 13.72 | 22.60 | % | $ | 158,516 | 0.85 | % | 0.47 | % | 69 | % | ||||||||||||||||||||||||||
03/31/15 | 13.72 | 0.08 | 2.07 | 2.15 | (0.06 | ) | (2.01 | ) | (2.07 | ) | 13.80 | 16.61 | 216,793 | 0.84 | 0.57 | 43 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 13.80 | 0.07 | (0.07 | ) | (0.00 | ) | (0.07 | ) | (1.28 | ) | (1.35 | ) | 12.45 | (0.04 | ) | 244,613 | 0.83 | 0.53 | 46 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 12.45 | 0.07 | 1.63 | 1.70 | (0.06 | ) | (0.40 | ) | (0.46 | ) | 13.69 | 13.96 | 475,135 | 0.82 | 0.58 | 47 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 13.69 | 0.07 | 2.54 | 2.61 | (0.08 | ) | (0.90 | ) | (0.98 | ) | 15.32 | 19.23 | 458,603 | 0.81 | 0.49 | 36 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio## Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 11.50 | 0.04 | 2.51 | 2.55 | (0.06 | ) | (0.47 | ) | (0.53 | ) | 13.52 | 22.38 | 41,595 | 1.01 | 0.32 | 69 | |||||||||||||||||||||||||||||||||||||||
03/31/15 | 13.52 | 0.06 | 2.04 | 2.10 | (0.03 | ) | (2.01 | ) | (2.04 | ) | 13.58 | 16.52 | 41,272 | 0.98 | 0.41 | 43 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 13.58 | 0.05 | (0.07 | ) | (0.02 | ) | (0.05 | ) | (1.28 | ) | (1.33 | ) | 12.23 | (0.20 | ) | 35,318 | 0.98 | 0.37 | 46 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 12.23 | 0.05 | 1.60 | 1.65 | (0.04 | ) | (0.40 | ) | (0.44 | ) | 13.44 | 13.79 | 33,597 | 0.97 | 0.40 | 47 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 13.44 | 0.05 | 2.49 | 2.54 | (0.06 | ) | (0.90 | ) | (0.96 | ) | 15.02 | 19.07 | 34,895 | 0.96 | 0.34 | 36 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio## Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 11.42 | 0.03 | 2.50 | 2.53 | (0.05 | ) | (0.47 | ) | (0.52 | ) | 13.43 | 22.31 | 211,518 | 1.11 | 0.22 | 69 | |||||||||||||||||||||||||||||||||||||||
03/31/15 | 13.43 | 0.04 | 2.03 | 2.07 | (0.02 | ) | (2.01 | ) | (2.03 | ) | 13.47 | 16.35 | 195,439 | 1.08 | 0.31 | 43 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 13.47 | 0.04 | (0.08 | ) | (0.04 | ) | (0.04 | ) | (1.28 | ) | (1.32 | ) | 12.11 | (0.35 | ) | 199,168 | 1.08 | 0.28 | 46 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 12.11 | 0.03 | 1.60 | 1.63 | (0.03 | ) | (0.40 | ) | (0.43 | ) | 13.31 | 13.73 | 18,151 | 1.06 | 0.18 | 47 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 13.31 | 0.04 | 2.46 | 2.50 | (0.04 | ) | (0.90 | ) | (0.94 | ) | 14.87 | 18.96 | 18,417 | 1.06 | 0.24 | 36 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
## See Note 1
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/14 | 03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | |||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 1 | 0.01 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 2 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 3 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 |
See Notes to Financial Statements
382
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets(1) | Ratio of net investment income to average net assets(1) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio## Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | $ | 13.63 | $ | 0.27 | $ | 2.35 | $ | 2.62 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 16.10 | 19.27 | % | $ | 392,153 | 0.82 | % | 1.87 | % | 31 | % | |||||||||||||||||||||||||||
03/31/15 | 16.10 | 0.25 | 0.90 | 1.15 | (0.19 | ) | (0.02 | ) | (0.21 | ) | 17.04 | 7.16 | 672,766 | 0.79 | 1.55 | 27 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 17.04 | 0.30 | (0.87 | ) | (0.57 | ) | (0.23 | ) | (0.87 | ) | (1.10 | ) | 15.37 | (3.19 | ) | 771,124 | 0.78 | 1.87 | 62 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 15.37 | 0.29 | 2.46 | 2.75 | (0.28 | ) | (0.54 | ) | (0.82 | ) | 17.30 | 18.05 | 979,942 | 0.78 | 1.78 | 43 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 17.30 | 0.32 | 0.92 | 1.24 | (0.40 | ) | (1.42 | ) | (1.82 | ) | 16.72 | 6.97 | 825,844 | 0.78 | 1.79 | 34 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio## Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 13.62 | 0.24 | 2.35 | 2.59 | (0.13 | ) | — | (0.13 | ) | 16.08 | 19.04 | 39,393 | 0.98 | 1.59 | 31 | ||||||||||||||||||||||||||||||||||||||||
03/31/15 | 16.08 | 0.23 | 0.89 | 1.12 | (0.16 | ) | (0.02 | ) | (0.18 | ) | 17.02 | 7.00 | 36,827 | 0.94 | 1.39 | 27 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 17.02 | 0.27 | (0.86 | ) | (0.59 | ) | (0.20 | ) | (0.87 | ) | (1.07 | ) | 15.36 | (3.32 | ) | 29,350 | 0.93 | 1.69 | 62 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 15.36 | 0.27 | 2.45 | 2.72 | (0.25 | ) | (0.54 | ) | (0.79 | ) | 17.29 | 17.90 | 29,795 | 0.93 | 1.61 | 43 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 17.29 | 0.29 | 0.92 | 1.21 | (0.38 | ) | (1.42 | ) | (1.80 | ) | 16.70 | 6.77 | 27,174 | 0.93 | 1.63 | 34 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio## Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 13.59 | 0.22 | 2.35 | 2.57 | (0.11 | ) | — | (0.11 | ) | 16.05 | 18.98 | 280,113 | 1.08 | 1.51 | 31 | ||||||||||||||||||||||||||||||||||||||||
03/31/15 | 16.05 | 0.22 | 0.88 | 1.10 | (0.14 | ) | (0.02 | ) | (0.16 | ) | 16.99 | 6.91 | 271,186 | 1.04 | 1.29 | 27 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 16.99 | 0.26 | (0.87 | ) | (0.61 | ) | (0.16 | ) | (0.87 | ) | (1.03 | ) | 15.35 | (3.42 | ) | 155,929 | 1.03 | 1.56 | 62 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 15.35 | 0.25 | 2.46 | 2.71 | (0.24 | ) | (0.54 | ) | (0.78 | ) | 17.28 | 17.80 | 16,087 | 1.02 | 1.28 | 43 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 17.28 | 0.27 | 0.92 | 1.19 | (0.35 | ) | (1.42 | ) | (1.77 | ) | 16.70 | 6.70 | 14,784 | 1.03 | 1.53 | 34 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio## Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 14.16 | (0.02 | ) | 3.38 | 3.36 | — | (0.43 | ) | (0.43 | ) | 17.09 | 23.88 | 82,505 | 0.99 | (0.15 | ) | 55 | ||||||||||||||||||||||||||||||||||||||
03/31/15 | 17.09 | (0.02 | ) | 2.21 | 2.19 | — | (1.42 | ) | (1.42 | ) | 17.86 | 13.56 | 140,381 | 0.94 | (0.13 | ) | 48 | ||||||||||||||||||||||||||||||||||||||
03/31/16 | 17.86 | (0.01 | ) | (1.19 | ) | (1.20 | ) | — | (1.02 | ) | (1.02 | ) | 15.64 | (6.77 | ) | 137,158 | 0.94 | (0.08 | ) | 47 | |||||||||||||||||||||||||||||||||||
03/31/17 | 15.64 | (0.01 | ) | 2.33 | 2.32 | — | (0.87 | ) | (0.87 | ) | 17.09 | 15.14 | 166,759 | 0.94 | (0.04 | ) | 47 | ||||||||||||||||||||||||||||||||||||||
03/31/18 | 17.09 | (0.01 | ) | 3.55 | 3.54 | — | (1.65 | ) | (1.65 | ) | 18.98 | 21.07 | 191,355 | 0.93 | (0.03 | ) | 45 | ||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio## Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 13.80 | (0.05 | ) | 3.30 | 3.25 | — | (0.43 | ) | (0.43 | ) | 16.62 | 23.70 | 30,749 | 1.15 | (0.33 | ) | 55 | ||||||||||||||||||||||||||||||||||||||
03/31/15 | 16.62 | (0.05 | ) | 2.15 | 2.10 | — | (1.42 | ) | (1.42 | ) | 17.30 | 13.40 | 28,242 | 1.09 | (0.29 | ) | 48 | ||||||||||||||||||||||||||||||||||||||
03/31/16 | 17.30 | (0.04 | ) | (1.14 | ) | (1.18 | ) | — | (1.02 | ) | (1.02 | ) | 15.10 | (6.87 | ) | 22,390 | 1.09 | (0.23 | ) | 47 | |||||||||||||||||||||||||||||||||||
03/31/17 | 15.10 | (0.03 | ) | 2.23 | 2.20 | — | (0.87 | ) | (0.87 | ) | 16.43 | 14.89 | 22,024 | 1.09 | (0.20 | ) | 47 | ||||||||||||||||||||||||||||||||||||||
03/31/18 | 16.43 | (0.03 | ) | 3.41 | 3.38 | — | (1.65 | ) | (1.65 | ) | 18.16 | 20.94 | 23,377 | 1.08 | (0.18 | ) | 45 | ||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio## Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 13.61 | (0.07 | ) | 3.26 | 3.19 | — | (0.43 | ) | (0.43 | ) | 16.37 | 23.59 | 50,088 | 1.25 | (0.43 | ) | 55 | ||||||||||||||||||||||||||||||||||||||
03/31/15 | 16.37 | (0.06 | ) | 2.11 | 2.05 | — | (1.42 | ) | (1.42 | ) | 17.00 | 13.30 | 53,768 | 1.19 | (0.38 | ) | 48 | ||||||||||||||||||||||||||||||||||||||
03/31/16 | 17.00 | (0.05 | ) | (1.14 | ) | (1.19 | ) | — | (1.02 | ) | (1.02 | ) | 14.79 | (7.06 | ) | 61,932 | 1.19 | (0.30 | ) | 47 | |||||||||||||||||||||||||||||||||||
03/31/17 | 14.79 | (0.06 | ) | 2.21 | 2.15 | — | (0.87 | ) | (0.87 | ) | 16.07 | 14.86 | 15,080 | 1.18 | (0.35 | ) | 47 | ||||||||||||||||||||||||||||||||||||||
03/31/18 | 16.07 | (0.05 | ) | 3.33 | 3.28 | — | (1.65 | ) | (1.65 | ) | 17.70 | 20.79 | 15,193 | 1.18 | (0.28 | ) | 45 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
## See Note 1
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/14 | 03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | |||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
See Notes to Financial Statements
383
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets(1) | Ratio of net investment income to average net assets(1) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio## Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | $ | 16.81 | $ | 0.18 | $ | 3.35 | $ | 3.53 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | $ | 20.20 | 21.05 | % | $ | 164,147 | 0.93 | % | 0.98 | % | 68 | % | |||||||||||||||||||||||||||
03/31/15 | 20.20 | 0.13 | 1.99 | 2.12 | (0.18 | ) | (1.72 | ) | (1.90 | ) | 20.42 | 11.09 | 193,319 | 0.91 | 0.64 | 95 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 20.42 | 0.19 | (1.53 | ) | (1.34 | ) | (0.11 | ) | (3.15 | ) | (3.26 | ) | 15.82 | (5.94 | ) | 233,605 | 0.91 | 1.05 | 67 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 15.82 | 0.17 | 2.61 | 2.78 | (0.19 | ) | (0.32 | ) | (0.51 | ) | 18.09 | 17.65 | 238,924 | 0.91 | 1.02 | 84 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 18.09 | 0.15 | 1.11 | 1.26 | (0.24 | ) | (2.32 | ) | (2.56 | ) | 16.79 | 6.82 | 211,203 | 0.93 | 0.85 | 30 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio## Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 16.78 | 0.13 | 3.36 | 3.49 | (0.11 | ) | — | (0.11 | ) | 20.16 | 20.86 | 36,743 | 1.08 | �� | 0.72 | 68 | |||||||||||||||||||||||||||||||||||||||
03/31/15 | 20.16 | 0.09 | 1.99 | 2.08 | (0.14 | ) | (1.72 | ) | (1.86 | ) | 20.38 | 10.93 | 34,526 | 1.06 | 0.45 | 95 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 20.38 | 0.15 | (1.52 | ) | (1.37 | ) | (0.08 | ) | (3.15 | ) | (3.23 | ) | 15.78 | (6.12 | ) | 27,278 | 1.06 | 0.84 | 67 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 15.78 | 0.15 | 2.60 | 2.75 | (0.16 | ) | (0.32 | ) | (0.48 | ) | 18.05 | 17.52 | 27,352 | 1.06 | 0.86 | 84 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 18.05 | 0.13 | 1.09 | 1.22 | (0.21 | ) | (2.32 | ) | (2.53 | ) | 16.74 | 6.63 | 25,021 | 1.08 | 0.70 | 30 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio## Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 16.74 | 0.11 | 3.35 | 3.46 | (0.09 | ) | — | (0.09 | ) | 20.11 | 20.71 | 133,694 | 1.18 | 0.60 | 68 | ||||||||||||||||||||||||||||||||||||||||
03/31/15 | 20.11 | 0.07 | 1.99 | 2.06 | (0.11 | ) | (1.72 | ) | (1.83 | ) | 20.34 | 10.83 | 114,177 | 1.16 | 0.34 | 95 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 20.34 | 0.13 | (1.51 | ) | (1.38 | ) | (0.06 | ) | (3.15 | ) | (3.21 | ) | 15.75 | (6.18 | ) | 51,112 | 1.15 | 0.65 | 67 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 15.75 | 0.12 | 2.60 | 2.72 | (0.14 | ) | (0.32 | ) | (0.46 | ) | 18.01 | 17.35 | 18,771 | 1.16 | 0.65 | 84 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 18.01 | 0.11 | 1.09 | 1.20 | (0.19 | ) | (2.32 | ) | (2.51 | ) | 16.70 | 6.53 | 16,337 | 1.18 | 0.60 | 30 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio## Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 11.21 | 0.05 | 2.84 | 2.89 | — | — | — | 14.10 | 25.78 | 95,264 | 0.99 | 0.37 | 41 | ||||||||||||||||||||||||||||||||||||||||||
03/31/15 | 14.10 | 0.06 | 0.71 | 0.77 | (0.03 | ) | (0.56 | ) | (0.59 | ) | 14.28 | 5.78 | 147,337 | 0.94 | 0.46 | 40 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 14.28 | 0.04 | (1.38 | ) | (1.34 | ) | (0.05 | ) | (0.95 | ) | (1.00 | ) | 11.94 | (9.43 | ) | 243,707 | 0.93 | 0.32 | 65 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 11.94 | 0.03 | 2.34 | 2.37 | (0.03 | ) | (0.20 | ) | (0.23 | ) | 14.08 | 19.77 | 266,149 | 0.91 | 0.27 | 33 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 14.08 | 0.03 | 1.55 | 1.58 | (0.06 | ) | (1.32 | ) | (1.38 | ) | 14.28 | 11.30 | 255,293 | 0.91 | (2) | 0.19 | (2) | 30 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio## Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 10.99 | 0.02 | 2.79 | 2.81 | — | — | — | 13.80 | 25.57 | 27,478 | 1.15 | 0.14 | 41 | ||||||||||||||||||||||||||||||||||||||||||
03/31/15 | 13.80 | 0.03 | 0.71 | 0.74 | (0.01 | ) | (0.56 | ) | (0.57 | ) | 13.97 | 5.65 | 23,823 | 1.09 | 0.25 | 40 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 13.97 | 0.02 | (1.35 | ) | (1.33 | ) | (0.03 | ) | (0.95 | ) | (0.98 | ) | 11.66 | (9.61 | ) | 18,131 | 1.08 | 0.13 | 65 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 11.66 | 0.01 | 2.29 | 2.30 | (0.01 | ) | (0.20 | ) | (0.21 | ) | 13.75 | 19.65 | 18,708 | 1.06 | 0.11 | 33 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 13.75 | 0.01 | 1.51 | 1.52 | (0.04 | ) | (1.32 | ) | (1.36 | ) | 13.91 | 11.13 | 17,739 | 1.06 | (2) | 0.04 | (2) | 30 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio## Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 10.86 | 0.01 | 2.75 | 2.76 | — | — | — | 13.62 | 25.41 | 96,671 | 1.25 | 0.04 | 41 | ||||||||||||||||||||||||||||||||||||||||||
03/31/15 | 13.62 | 0.02 | 0.70 | 0.72 | — | (0.56 | ) | (0.56 | ) | 13.78 | 5.60 | 85,401 | 1.19 | 0.15 | 40 | ||||||||||||||||||||||||||||||||||||||||
03/31/16 | 13.78 | 0.00 | (1.33 | ) | (1.33 | ) | — | (0.95 | ) | (0.95 | ) | 11.50 | (9.70 | ) | 51,317 | 1.17 | 0.01 | 65 | |||||||||||||||||||||||||||||||||||||
03/31/17 | 11.50 | (0.01 | ) | 2.26 | 2.25 | — | (0.20 | ) | (0.20 | ) | 13.55 | 19.51 | 12,528 | 1.16 | (0.09 | ) | 33 | ||||||||||||||||||||||||||||||||||||||
03/31/18 | 13.55 | (0.01 | ) | 1.49 | 1.48 | (0.02 | ) | (1.32 | ) | (1.34 | ) | 13.69 | 11.03 | 12,309 | 1.16 | (2) | (0.06 | )(2) | 30 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
## See Note 1
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/14 | 03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | |||||||||||||||||||
SA Multi-Managed Mid Cap Value Class 1 | 0.00 | % | 0.00 | % | 0.01 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Mid Cap Value Class 2 | 0.00 | 0.00 | 0.01 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Mid Cap Value Class 3 | 0.00 | 0.00 | 0.01 | 0.01 | 0.00 | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/18 | |||||||
SA Multi-Managed Small Cap Portfolio Class 1 | 0.00 | % | |||||
SA Multi-Managed Small Cap Portfolio Class 2 | 0.00 | ||||||
SA Multi-Managed Small Cap Portfolio Class 3 | 0.00 |
See Notes to Financial Statements
384
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio## Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | $ | 7.97 | $ | 0.15 | $ | 0.99 | $ | 1.14 | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 9.01 | 14.32 | % | $ | 268,032 | 1.03 | %(1) | 1.84 | %(1) | 52 | % | |||||||||||||||||||||||||||
03/31/15 | 9.01 | 0.14 | (0.20 | ) | (0.06 | ) | (0.14 | ) | — | (0.14 | ) | 8.81 | (0.62 | ) | 421,202 | 0.99 | (1)(2) | 1.58 | (1)(2) | 64 | |||||||||||||||||||||||||||||||||||
03/31/16 | 8.81 | 0.13 | (1.00 | ) | (0.87 | ) | (0.11 | ) | — | (0.11 | ) | 7.83 | (9.94 | ) | 500,027 | 0.92 | (1)(2) | 1.63 | (1)(2) | 28 | |||||||||||||||||||||||||||||||||||
03/31/17 | 7.83 | 0.14 | 0.68 | 0.82 | (0.15 | ) | — | (0.15 | ) | 8.50 | 10.65 | 630,997 | 0.93 | (1)(2) | 1.82 | (1)(2) | 50 | ||||||||||||||||||||||||||||||||||||||
03/31/18 | 8.50 | 0.16 | 1.23 | 1.39 | (0.20 | ) | — | (0.20 | ) | 9.69 | 16.37 | (3) | 577,544 | 0.95 | (2) | 1.72 | (2) | 20 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio## Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 7.98 | 0.14 | 0.98 | 1.12 | (0.09 | ) | — | (0.09 | ) | 9.01 | 14.00 | 30,386 | 1.18 | (1) | 1.65 | (1) | 52 | ||||||||||||||||||||||||||||||||||||||
03/31/15 | 9.01 | 0.13 | (0.20 | ) | (0.07 | ) | (0.12 | ) | — | (0.12 | ) | 8.82 | (0.68 | ) | 28,805 | 1.13 | (1)(2) | 1.46 | (1)(2) | 64 | |||||||||||||||||||||||||||||||||||
03/31/16 | 8.82 | 0.13 | (1.02 | ) | (0.89 | ) | (0.09 | ) | — | (0.09 | ) | 7.84 | (10.09 | ) | 22,223 | 1.08 | (1)(2) | 1.52 | (1)(2) | 28 | |||||||||||||||||||||||||||||||||||
03/31/17 | 7.84 | 0.15 | 0.66 | 0.81 | (0.14 | ) | — | (0.14 | ) | 8.51 | 10.46 | 20,693 | 1.08 | (1)(2) | 1.84 | (1)(2) | 50 | ||||||||||||||||||||||||||||||||||||||
03/31/18 | 8.51 | 0.15 | 1.24 | 1.39 | (0.19 | ) | — | (0.19 | ) | 9.71 | 16.33 | (3) | 21,848 | 1.10 | (2) | 1.54 | (2) | 20 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio## Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 7.95 | 0.14 | 0.97 | 1.11 | (0.08 | ) | — | (0.08 | ) | 8.98 | 13.95 | 266,042 | 1.29 | (1) | 1.56 | (1) | 52 | ||||||||||||||||||||||||||||||||||||||
03/31/15 | 8.98 | 0.12 | (0.20 | ) | (0.08 | ) | (0.11 | ) | — | (0.11 | ) | 8.79 | (0.80 | ) | 266,271 | 1.23 | (1)(2) | 1.35 | (1)(2) | 64 | |||||||||||||||||||||||||||||||||||
03/31/16 | 8.79 | 0.12 | (1.02 | ) | (0.90 | ) | (0.08 | ) | — | (0.08 | ) | 7.81 | (10.21 | ) | 231,504 | 1.18 | (1)(2) | 1.40 | (1)(2) | 28 | |||||||||||||||||||||||||||||||||||
03/31/17 | 7.81 | 0.27 | 0.53 | 0.80 | (0.13 | ) | — | (0.13 | ) | 8.48 | 10.38 | 17,067 | 1.17 | (1)(2) | 2.85 | (1)(2) | 50 | ||||||||||||||||||||||||||||||||||||||
03/31/18 | 8.48 | 0.14 | 1.23 | 1.37 | (0.18 | ) | — | (0.18 | ) | 9.67 | 16.12 | (3) | 16,719 | 1.20 | (2) | 1.46 | (2) | 20 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio## Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 12.00 | 0.20 | (0.31 | ) | (0.11 | ) | (0.20 | ) | (0.11 | ) | (0.31 | ) | 11.58 | (0.87 | ) | 402,275 | 0.70 | 1.77 | 88 | ||||||||||||||||||||||||||||||||||||
03/31/15 | 11.58 | 0.22 | 0.33 | 0.55 | (0.21 | ) | — | (0.21 | ) | 11.92 | 4.75 | 637,855 | 0.69 | 1.92 | 56 | ||||||||||||||||||||||||||||||||||||||||
03/31/16 | 11.92 | 0.23 | (0.10 | ) | 0.13 | (0.23 | ) | (0.08 | ) | (0.31 | ) | 11.74 | 1.15 | 750,909 | 0.68 | 1.99 | 37 | ||||||||||||||||||||||||||||||||||||||
03/31/17 | 11.74 | 0.25 | (0.10 | ) | 0.15 | (0.14 | ) | (0.09 | ) | (0.23 | ) | 11.66 | 1.37 | 1,128,112 | 0.67 | 2.15 | 40 | ||||||||||||||||||||||||||||||||||||||
03/31/18 | 11.66 | 0.27 | (0.11 | ) | 0.16 | (0.27 | ) | (0.02 | ) | (0.29 | ) | 11.53 | 1.38 | 1,023,385 | 0.68 | 2.29 | 63 | ||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio## Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 11.97 | 0.19 | (0.31 | ) | (0.12 | ) | (0.18 | ) | (0.11 | ) | (0.29 | ) | 11.56 | (0.98 | ) | 41,776 | 0.85 | 1.66 | 88 | ||||||||||||||||||||||||||||||||||||
03/31/15 | 11.56 | 0.21 | 0.32 | 0.53 | (0.19 | ) | — | (0.19 | ) | 11.90 | 4.58 | 38,732 | 0.84 | 1.78 | 56 | ||||||||||||||||||||||||||||||||||||||||
03/31/16 | 11.90 | 0.22 | (0.10 | ) | 0.12 | (0.21 | ) | (0.08 | ) | (0.29 | ) | 11.73 | 1.05 | 35,485 | 0.83 | 1.84 | 37 | ||||||||||||||||||||||||||||||||||||||
03/31/17 | 11.73 | 0.24 | (0.10 | ) | 0.14 | (0.13 | ) | (0.09 | ) | (0.22 | ) | 11.65 | 1.22 | 28,136 | 0.82 | 2.01 | 40 | ||||||||||||||||||||||||||||||||||||||
03/31/18 | 11.65 | 0.25 | (0.12 | ) | 0.13 | (0.25 | ) | (0.02 | ) | (0.27 | ) | 11.51 | 1.14 | 24,193 | 0.83 | 2.14 | 63 | ||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio## Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 11.92 | 0.18 | (0.31 | ) | (0.13 | ) | (0.17 | ) | (0.11 | ) | (0.28 | ) | 11.51 | (1.07 | ) | 465,097 | 0.95 | 1.55 | 88 | ||||||||||||||||||||||||||||||||||||
03/31/15 | 11.51 | 0.20 | 0.31 | 0.51 | (0.17 | ) | — | (0.17 | ) | 11.85 | 4.48 | 405,074 | 0.94 | 1.68 | 56 | ||||||||||||||||||||||||||||||||||||||||
03/31/16 | 11.85 | 0.20 | (0.11 | ) | 0.09 | (0.20 | ) | (0.08 | ) | (0.28 | ) | 11.66 | 0.83 | 436,441 | 0.93 | 1.74 | 37 | ||||||||||||||||||||||||||||||||||||||
03/31/17 | 11.66 | 0.29 | (0.17 | ) | 0.12 | (0.11 | ) | (0.09 | ) | (0.20 | ) | 11.58 | 1.13 | 16,843 | 0.92 | 1.92 | 40 | ||||||||||||||||||||||||||||||||||||||
03/31/18 | 11.58 | 0.24 | (0.12 | ) | 0.12 | (0.23 | ) | (0.02 | ) | (0.25 | ) | 11.45 | 1.07 | 14,967 | 0.93 | 2.04 | 63 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
## See Note 1
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/14 | 03/31/15 | 03/31/16 | 03/31/17 | ||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 1 | 0.01 | % | 0.01 | % | 0.00 | % | 0.00 | % | |||||||||||
SA Multi-Managed International Equity Portfolio Class 2 | 0.01 | 0.01 | 0.00 | 0.00 | |||||||||||||||
SA Multi-Managed International Equity Portfolio Class 3 | 0.01 | 0.01 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | ||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 1 | 0.01 | % | 0.04 | % | 0.04 | % | 0.04 | % | |||||||||||
SA Multi-Managed International Equity Portfolio Class 2 | 0.01 | 0.04 | 0.04 | 0.04 | |||||||||||||||
SA Multi-Managed International Equity Portfolio Class 3 | 0.01 | 0.04 | 0.04 | 0.04 |
(3) The Portfolio's performance figure was increased by less than 0.01% from gains on the disposal of investments in violation of investment restrictions.
See Notes to Financial Statements
385
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Wellington Real Return Portfolio## Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | $ | 10.31 | $ | (0.01 | ) | $ | (0.46 | ) | $ | (0.47 | ) | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 9.74 | (4.60 | )% | $ | 169,055 | 0.64 | % | (0.08 | )% | 39 | % | ||||||||||||||||||||||||
03/31/15 | 9.74 | (0.09 | ) | 0.29 | 0.20 | — | — | — | 9.94 | 2.05 | 189,273 | 0.64 | (0.95 | ) | 128 | ||||||||||||||||||||||||||||||||||||||||
03/31/16 | 9.94 | 0.01 | 0.01 | 0.02 | (0.41 | ) | — | (0.41 | ) | 9.55 | 0.24 | 156,274 | 0.63 | 0.09 | 32 | ||||||||||||||||||||||||||||||||||||||||
03/31/17 | 9.55 | 0.08 | 0.11 | 0.19 | — | — | — | 9.74 | 1.99 | 275,808 | 0.62 | (1) | 0.86 | (1) | 53 | ||||||||||||||||||||||||||||||||||||||||
03/31/18 | 9.74 | 0.09 | 0.05 | 0.14 | (0.24 | ) | — | (0.24 | ) | 9.64 | 1.42 | 364,977 | 0.58 | (1) | 0.96 | (1) | 23 | ||||||||||||||||||||||||||||||||||||||
SA Wellington Real Return Portfolio## Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 10.28 | (0.01 | ) | (0.49 | ) | (0.50 | ) | (0.07 | ) | — | (0.07 | ) | 9.71 | (4.82 | ) | 466,940 | 0.90 | (0.09 | ) | 39 | |||||||||||||||||||||||||||||||||||
03/31/15 | 9.71 | (0.09 | ) | 0.26 | 0.17 | — | — | — | 9.88 | 1.75 | 499,722 | 0.89 | (0.92 | ) | 128 | ||||||||||||||||||||||||||||||||||||||||
03/31/16 | 9.88 | (0.01 | ) | 0.01 | (0.00 | ) | (0.38 | ) | — | (0.38 | ) | 9.50 | 0.07 | 440,312 | 0.88 | (0.08 | ) | 32 | |||||||||||||||||||||||||||||||||||||
03/31/17 | 9.50 | 0.07 | 0.09 | 0.16 | — | — | — | 9.66 | 1.68 | 418,436 | 0.87 | (1) | 0.75 | (1) | 53 | ||||||||||||||||||||||||||||||||||||||||
03/31/18 | 9.66 | 0.07 | 0.04 | 0.11 | (0.21 | ) | — | (0.21 | ) | 9.56 | 1.18 | 412,469 | 0.83 | (1) | 0.72 | (1) | 23 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
## See Note 1
(1) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/17 | 03/31/18 | ||||||||||
SA Wellington Real Return Portfolio Class 1 | 0.02 | % | 0.05 | % | |||||||
SA Wellington Real Return Portfolio Class 3 | 0.02 | 0.05 |
See Notes to Financial Statements
386
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets(1) | Ratio of net investment income to average net assets(1) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Columbia Focused Growth Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | $ | 10.27 | $ | (0.03 | ) | $ | 2.53 | $ | 2.50 | $ | — | $ | (0.90 | ) | $ | (0.90 | ) | $ | 11.87 | 24.53 | % | $ | 69,895 | 1.08 | % | (0.31 | )% | 88 | % | ||||||||||||||||||||||||||
03/31/15 | 11.87 | (0.04 | ) | 1.29 | 1.25 | — | (2.37 | ) | (2.37 | ) | 10.75 | 11.44 | 103,468 | 1.07 | (0.36 | ) | 90 | ||||||||||||||||||||||||||||||||||||||
03/31/16 | 10.75 | (0.04 | ) | (1.10 | ) | (1.14 | ) | — | (1.00 | ) | (1.00 | ) | 8.61 | (11.42 | ) | 143,792 | 0.85 | (2) | (0.42 | )(2) | 140 | ||||||||||||||||||||||||||||||||||
03/31/17 | 8.61 | (0.04 | ) | 1.51 | 1.47 | — | (1.28 | ) | (1.28 | ) | 8.80 | 18.94 | 85,649 | 0.76 | (2) | (0.40 | )(2) | 34 | |||||||||||||||||||||||||||||||||||||
03/31/18 | 8.80 | (0.02 | ) | 2.15 | 2.13 | — | — | — | 10.93 | 24.20 | 79,540 | 0.76 | (2) | (0.22 | )(2) | 35 | |||||||||||||||||||||||||||||||||||||||
SA Columbia Focused Growth Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 10.06 | (0.05 | ) | 2.49 | 2.44 | — | (0.90 | ) | (0.90 | ) | 11.60 | 24.44 | 37,394 | 1.23 | (0.46 | ) | 88 | ||||||||||||||||||||||||||||||||||||||
03/31/15 | 11.60 | (0.06 | ) | 1.26 | 1.20 | — | (2.37 | ) | (2.37 | ) | 10.43 | 11.28 | 34,180 | 1.22 | (0.52 | ) | 90 | ||||||||||||||||||||||||||||||||||||||
03/31/16 | 10.43 | (0.06 | ) | (1.06 | ) | (1.12 | ) | — | (1.00 | ) | (1.00 | ) | 8.31 | (11.59 | ) | 25,493 | 1.02 | (2) | (0.59 | )(2) | 140 | ||||||||||||||||||||||||||||||||||
03/31/17 | 8.31 | (0.05 | ) | 1.45 | 1.40 | — | (1.28 | ) | (1.28 | ) | 8.43 | 18.79 | 25,367 | 0.91 | (2) | (0.53 | )(2) | 34 | |||||||||||||||||||||||||||||||||||||
03/31/18 | 8.43 | (0.04 | ) | 2.06 | 2.02 | — | — | — | 10.45 | 23.96 | 28,233 | 0.91 | (2) | (0.38 | )(2) | 35 | |||||||||||||||||||||||||||||||||||||||
SA Columbia Focused Growth Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 9.95 | (0.06 | ) | 2.45 | 2.39 | — | (0.90 | ) | (0.90 | ) | 11.44 | 24.20 | 56,736 | 1.33 | (0.56 | ) | 88 | ||||||||||||||||||||||||||||||||||||||
03/31/15 | 11.44 | (0.07 | ) | 1.24 | 1.17 | — | (2.37 | ) | (2.37 | ) | 10.24 | 11.15 | 41,389 | 1.32 | (0.62 | ) | 90 | ||||||||||||||||||||||||||||||||||||||
03/31/16 | 10.24 | (0.06 | ) | (1.04 | ) | (1.10 | ) | — | (1.00 | ) | (1.00 | ) | 8.14 | (11.61 | ) | 36,225 | 1.11 | (2) | (0.69 | )(2) | 140 | ||||||||||||||||||||||||||||||||||
03/31/17 | 8.14 | (0.06 | ) | 1.42 | 1.36 | — | (1.28 | ) | (1.28 | ) | 8.22 | 18.68 | 20,722 | 1.01 | (2) | (0.66 | )(2) | 34 | |||||||||||||||||||||||||||||||||||||
03/31/18 | 8.22 | (0.04 | ) | 2.00 | 1.96 | — | — | — | 10.18 | 23.84 | 22,030 | 1.01 | (2) | (0.48 | )(2) | 35 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/14 | 03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | |||||||||||||||||||
SA Columbia Focused Growth Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.01 | % | 0.01 | % | 0.01 | % | |||||||||||||
SA Columbia Focused Growth Portfolio Class 2 | 0.00 | 0.00 | 0.01 | 0.01 | 0.01 | ||||||||||||||||||
SA Columbia Focused Growth Portfolio Class 3 | 0.00 | 0.00 | 0.01 | 0.01 | 0.01 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/16 | 03/31/17 | 03/31/18 | |||||||||||||
SA Columbia Focused Growth Portfolio Class 1 | 0.22 | % | 0.31 | % | 0.31 | % | |||||||||
SA Columbia Focused Growth Portfolio Class 2 | 0.20 | 0.31 | 0.31 | ||||||||||||
SA Columbia Focused Growth Portfolio Class 3 | 0.21 | 0.31 | 0.31 |
See Notes to Financial Statements
387
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets(1)(2) | Ratio of net investment income to average net assets(1)(2) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | $ | 13.46 | $ | 0.16 | $ | 2.94 | $ | 3.10 | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | $ | 16.45 | 23.06 | % | $ | 177,811 | 1.05 | % | 1.05 | % | 73 | % | |||||||||||||||||||||||||||
03/31/15 | 16.45 | 0.19 | 1.48 | 1.67 | (0.11 | ) | — | (0.11 | ) | 18.01 | 10.17 | 276,585 | 1.00 | 1.14 | 28 | ||||||||||||||||||||||||||||||||||||||||
03/31/16 | 18.01 | 0.25 | (1.12 | ) | (0.87 | ) | (0.17 | ) | (0.16 | ) | (0.33 | ) | 16.81 | (4.81 | ) | 285,988 | 0.81 | 1.45 | 110 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 16.81 | 0.25 | 3.75 | 4.00 | (0.24 | ) | (1.74 | ) | (1.98 | ) | 18.83 | 24.12 | 333,901 | 0.71 | 1.35 | 13 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 18.83 | 0.31 | 2.14 | 2.45 | (0.33 | ) | (0.59 | ) | (0.92 | ) | 20.36 | 12.87 | 287,475 | 0.71 | 1.51 | 4 | |||||||||||||||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 13.44 | 0.14 | 2.92 | 3.06 | (0.08 | ) | — | (0.08 | ) | 16.42 | 22.83 | 18,979 | 1.21 | 0.90 | 73 | ||||||||||||||||||||||||||||||||||||||||
03/31/15 | 16.42 | 0.17 | 1.48 | 1.65 | (0.08 | ) | — | (0.08 | ) | 17.99 | 10.06 | 17,357 | 1.15 | 0.97 | 28 | ||||||||||||||||||||||||||||||||||||||||
03/31/16 | 17.99 | 0.22 | (1.12 | ) | (0.90 | ) | (0.14 | ) | (0.16 | ) | (0.30 | ) | 16.79 | (4.99 | ) | 13,865 | 0.97 | 1.28 | 110 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 16.79 | 0.22 | 3.74 | 3.96 | (0.21 | ) | (1.74 | ) | (1.95 | ) | 18.80 | 23.92 | 14,687 | 0.86 | 1.20 | 13 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 18.80 | 0.27 | 2.15 | 2.42 | (0.30 | ) | (0.59 | ) | (0.89 | ) | 20.33 | 12.74 | 14,853 | 0.86 | 1.35 | 4 | |||||||||||||||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 13.40 | 0.12 | 2.92 | 3.04 | (0.06 | ) | — | (0.06 | ) | 16.38 | 22.70 | 40,025 | 1.31 | 0.80 | 73 | ||||||||||||||||||||||||||||||||||||||||
03/31/15 | 16.38 | 0.15 | 1.48 | 1.63 | (0.06 | ) | — | (0.06 | ) | 17.95 | 9.95 | 34,399 | 1.25 | 0.86 | 28 | ||||||||||||||||||||||||||||||||||||||||
03/31/16 | 17.95 | 0.21 | (1.12 | ) | (0.91 | ) | (0.12 | ) | (0.16 | ) | (0.28 | ) | 16.76 | (5.07 | ) | 31,162 | 1.07 | 1.19 | 110 | ||||||||||||||||||||||||||||||||||||
03/31/17 | 16.76 | 0.22 | 3.72 | 3.94 | (0.20 | ) | (1.74 | ) | (1.94 | ) | 18.76 | 23.81 | 11,368 | 0.96 | 1.11 | 13 | |||||||||||||||||||||||||||||||||||||||
03/31/18 | 18.76 | 0.25 | 2.14 | 2.39 | (0.28 | ) | (0.59 | ) | (0.87 | ) | 20.28 | 12.60 | 10,566 | 0.96 | 1.25 | 4 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/14 | 03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | |||||||||||||||||||
SA Columbia Focused Value Portfolio Class 1 | 0.01 | % | 0.00 | % | 0.01 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Columbia Focused Value Portfolio Class 2 | 0.01 | 0.00 | 0.01 | 0.00 | 0.00 | ||||||||||||||||||
SA Columbia Focused Value Portfolio Class 3 | 0.01 | 0.00 | 0.01 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/14 | 03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | |||||||||||||||||||
SA Columbia Focused Value Portfolio Class 1 | 0.03 | % | 0.05 | % | 0.23 | % | 0.31 | % | 0.32 | % | |||||||||||||
SA Columbia Focused Value Portfolio Class 2 | 0.02 | 0.05 | 0.22 | 0.31 | 0.32 | ||||||||||||||||||
SA Columbia Focused Value Portfolio Class 3 | 0.02 | 0.05 | 0.22 | 0.31 | 0.32 |
See Notes to Financial Statements
388
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets(1) | Ratio of net investment income to average net assets(1) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Allocation Growth Portfolio† Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/26/16##- 03/31/17 | $ | 12.61 | $ | 0.10 | $ | 0.69 | $ | 0.79 | $ | — | $ | — | $ | — | $ | 13.40 | 6.26 | % | $ | 106 | 0.18 | %#(2) | 1.53 | %#(2) | 34 | % | |||||||||||||||||||||||||||||
03/31/18 | 13.40 | 0.18 | 1.36 | 1.54 | (0.16 | ) | (0.33 | ) | (0.49 | ) | 14.45 | 11.50 | 153 | 0.15 | (2) | 1.27 | (2) | 68 | |||||||||||||||||||||||||||||||||||||
SA Allocation Growth Portfolio† Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 10.82 | 0.06 | 1.73 | 1.79 | (0.09 | ) | — | (0.09 | ) | 12.52 | 16.57 | 119,271 | 0.16 | 0.50 | 12 | ||||||||||||||||||||||||||||||||||||||||
03/31/15 | 12.52 | 0.07 | 0.80 | 0.87 | (0.08 | ) | — | (0.08 | ) | 13.31 | 6.99 | 110,769 | 0.17 | 0.56 | 10 | ||||||||||||||||||||||||||||||||||||||||
03/31/16 | 13.31 | 0.09 | (0.73 | ) | (0.64 | ) | (0.18 | ) | — | (0.18 | ) | 12.49 | (4.78 | ) | 92,251 | 0.16 | (2) | 0.72 | (2) | 28 | |||||||||||||||||||||||||||||||||||
03/31/17 | 12.49 | 0.15 | 1.28 | 1.43 | (0.23 | ) | (0.31 | ) | (0.54 | ) | 13.38 | 11.67 | 93,250 | 0.34 | (2) | 1.13 | (2) | 34 | |||||||||||||||||||||||||||||||||||||
03/31/18 | 13.38 | 0.16 | 1.34 | 1.50 | (0.14 | ) | (0.33 | ) | (0.47 | ) | 14.41 | 11.25 | 121,286 | 0.40 | (2) | 1.14 | (2) | 68 | |||||||||||||||||||||||||||||||||||||
SA Allocation Moderate Growth Portfolio† Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/26/16##- 03/31/17 | 10.70 | 0.09 | 0.45 | 0.54 | — | — | — | 11.24 | 5.05 | 105 | 0.13 | #(2) | 1.61 | #(2) | 25 | ||||||||||||||||||||||||||||||||||||||||
03/31/18 | 11.24 | 0.18 | 0.90 | 1.08 | (0.18 | ) | (0.39 | ) | (0.57 | ) | 11.75 | 9.64 | 147 | 0.11 | (2) | 1.51 | (2) | 57 | |||||||||||||||||||||||||||||||||||||
SA Allocation Moderate Growth Portfolio† Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 11.80 | 0.09 | 1.37 | 1.46 | (0.17 | ) | — | (0.17 | ) | 13.09 | 12.39 | 652,267 | 0.13 | 0.69 | 9 | ||||||||||||||||||||||||||||||||||||||||
03/31/15 | 13.09 | 0.09 | 0.74 | 0.83 | (0.14 | ) | — | (0.14 | ) | 13.78 | 6.35 | 605,233 | 0.13 | 0.70 | 6 | ||||||||||||||||||||||||||||||||||||||||
03/31/16 | 13.78 | 0.12 | (0.65 | ) | (0.53 | ) | (0.18 | ) | (1.07 | ) | (1.25 | ) | 12.00 | (3.72 | ) | 523,326 | 0.12 | (2) | 0.93 | (2) | 22 | ||||||||||||||||||||||||||||||||||
03/31/17 | 12.00 | 0.14 | 0.97 | 1.11 | (0.22 | ) | (1.67 | ) | (1.89 | ) | 11.22 | 10.01 | 516,004 | 0.29 | (2) | 1.24 | (2) | 25 | |||||||||||||||||||||||||||||||||||||
03/31/18 | 11.22 | 0.15 | 0.91 | 1.06 | (0.17 | ) | (0.39 | ) | (0.56 | ) | 11.72 | 9.43 | 507,613 | 0.36 | (2) | 1.29 | (2) | 57 | |||||||||||||||||||||||||||||||||||||
SA Allocation Moderate Portfolio† Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/26/16##- 03/31/17 | 10.67 | 0.09 | 0.36 | 0.45 | — | — | — | 11.12 | 4.22 | 104 | 0.13 | #(2) | 1.64 | #(2) | 26 | ||||||||||||||||||||||||||||||||||||||||
03/31/18 | 11.12 | 0.19 | 0.75 | 0.94 | (0.19 | ) | (0.26 | ) | (0.45 | ) | 11.61 | 8.40 | 113 | 0.12 | (2) | 1.61 | (2) | 60 | |||||||||||||||||||||||||||||||||||||
SA Allocation Moderate Portfolio† Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 11.67 | 0.09 | 1.12 | 1.21 | (0.18 | ) | — | (0.18 | ) | 12.70 | 10.41 | 392,796 | 0.13 | 0.78 | 13 | ||||||||||||||||||||||||||||||||||||||||
03/31/15 | 12.70 | 0.10 | 0.66 | 0.76 | (0.14 | ) | (0.31 | ) | (0.45 | ) | 13.01 | 6.15 | 373,985 | 0.14 | 0.74 | 7 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 13.01 | 0.13 | (0.54 | ) | (0.41 | ) | (0.16 | ) | (0.87 | ) | (1.03 | ) | 11.57 | (3.02 | ) | 323,181 | 0.12 | (2) | 1.03 | (2) | 24 | ||||||||||||||||||||||||||||||||||
03/31/17 | 11.57 | 0.14 | 0.83 | 0.97 | (0.21 | ) | (1.23 | ) | (1.44 | ) | 11.10 | 8.97 | 324,003 | 0.29 | (2) | 1.23 | (2) | 26 | |||||||||||||||||||||||||||||||||||||
03/31/18 | 11.10 | 0.16 | 0.75 | 0.91 | (0.17 | ) | (0.26 | ) | (0.43 | ) | 11.58 | 8.19 | 314,294 | 0.37 | (2) | 1.35 | (2) | 60 | |||||||||||||||||||||||||||||||||||||
SA Allocation Balanced Portfolio† Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
09/26/16##- 03/31/17 | 10.41 | 0.09 | 0.21 | 0.30 | — | — | — | 10.71 | 2.88 | 103 | 0.13 | #(2) | 1.72 | #(2) | 22 | ||||||||||||||||||||||||||||||||||||||||
03/31/18 | 10.71 | 0.20 | 0.48 | 0.68 | (0.19 | ) | (0.37 | ) | (0.56 | ) | 10.83 | 6.39 | 109 | 0.12 | (2) | 1.77 | (2) | 60 | |||||||||||||||||||||||||||||||||||||
SA Allocation Balanced Portfolio† Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/14 | 11.98 | 0.10 | 0.90 | 1.00 | (0.22 | ) | (0.08 | ) | (0.30 | ) | 12.68 | 8.37 | 314,279 | 0.13 | 0.83 | 14 | |||||||||||||||||||||||||||||||||||||||
03/31/15 | 12.68 | 0.10 | 0.62 | 0.72 | (0.15 | ) | (0.81 | ) | (0.96 | ) | 12.44 | 5.93 | 299,059 | 0.14 | 0.77 | 8 | |||||||||||||||||||||||||||||||||||||||
03/31/16 | 12.44 | 0.14 | (0.39 | ) | (0.25 | ) | (0.16 | ) | (0.83 | ) | (0.99 | ) | 11.20 | (1.90 | ) | 256,605 | 0.13 | (2) | 1.18 | (2) | 28 | ||||||||||||||||||||||||||||||||||
03/31/17 | 11.20 | 0.13 | 0.63 | 0.76 | (0.21 | ) | (1.06 | ) | (1.27 | ) | 10.69 | 7.14 | 240,817 | 0.30 | (2) | 1.21 | (2) | 22 | |||||||||||||||||||||||||||||||||||||
03/31/18 | 10.69 | 0.17 | 0.49 | 0.66 | (0.18 | ) | (0.37 | ) | (0.55 | ) | 10.80 | 6.16 | 225,749 | 0.35 | (2) | 1.53 | (2) | 60 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, total returns would have been lower for each period presented. Total return does include expense reimbursements and expense reductions.
# Annualized.
## Commencement of operations.
† See Note 1
(1) Does not include underlying fund expenses that the Portfolios bear indirectly.
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/16 | 03/31/17 | 03/31/18 | |||||||||||||
SA Allocation Growth Portfolio Class 1 | N/A | 0.01 | %# | 0.01 | % | ||||||||||
SA Allocation Growth Portfolio Class 3 | 0.01 | % | 0.01 | 0.01 | |||||||||||
SA Allocation Moderate Growth Portfolio Class 1 | N/A | 0.01 | # | 0.01 | |||||||||||
SA Allocation Moderate Growth Portfolio Class 3 | 0.01 | 0.01 | 0.01 | ||||||||||||
SA Allocation Moderate Portfolio Class 1 | N/A | 0.01 | # | 0.01 | |||||||||||
SA Allocation Moderate Portfolio Class 3 | 0.01 | 0.01 | 0.01 | ||||||||||||
SA Allocation Balanced Portfolio Class 1 | N/A | 0.01 | # | 0.01 | |||||||||||
SA Allocation Balanced Portfolio Class 3 | 0.01 | 0.01 | 0.04 |
See Notes to Financial Statements
389
SEASONS SERIES TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Seasons Series Trust and Shareholders of each of the funds listed in the table below
Opinions on the Financial Statements
We have audited the financial statements and financial highlights of each of the funds listed in the table below (twenty funds constituting Seasons Series Trust, hereafter collectively referred to as the "Funds") as of the date listed in the table below and for the periods listed in the table below (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of the date listed in the table below, the results of each of their operations, the changes in each of their net assets and each of the financial highlights for each of the periods listed in the table below in conformity with accounting principles generally accepted in the United States of America.
SA Allocation Balanced Portfolio (formerly Allocation Balanced Portfolio) (2)
SA Allocation Growth Portfolio (formerly Allocation Growth Portfolio) (2)
SA Allocation Moderate Growth Portfolio (formerly Allocation Moderate Growth Portfolio) (2)
SA Allocation Moderate Portfolio (formerly Allocation Moderate Portfolio) (2)
SA Columbia Focused Growth Portfolio (1)
SA Columbia Focused Value Portfolio (1)
SA Multi-Managed Diversified Fixed Income Portfolio (formerly Diversified Fixed Income Portfolio) (1)
SA Multi-Managed Growth Portfolio (formerly Multi-Managed Growth Portfolio) (1)
SA Multi-Managed Income/Equity Portfolio (formerly Multi-Managed Income/Equity Portfolio) (1)
SA Multi-Managed Income Portfolio (formerly Multi-Managed Income Portfolio) (1)
SA Multi-Managed International Equity Portfolio (formerly International Equity Portfolio) (1)
SA Multi-Managed Large Cap Growth Portfolio (formerly Large Cap Growth Portfolio) (1)
SA Multi-Managed Large Cap Value Portfolio (formerly Large Cap Value Portfolio) (1)
SA Multi-Managed Mid Cap Growth Portfolio (formerly Mid Cap Growth Portfolio) (1)
SA Multi-Managed Mid Cap Value Portfolio (formerly Mid Cap Value Portfolio) (1)
SA Multi-Managed Moderate Growth Portfolio (formerly Multi-Managed Moderate Growth Portfolio) (1)
SA Multi-Managed Small Cap Portfolio (formerly Small Cap Portfolio) (1)
SA Putnam Asset Allocation Diversified Growth Portfolio (formerly Asset Allocation: Diversified Growth Portfolio) (1)
SA T. Rowe Price Growth Stock Portfolio (formerly Stock Portfolio) (1)
SA Wellington Real Return Portfolio (formerly Real Return Portfolio) (1)
(1) The statement of assets and liabilities, including the portfolio of investments, as of March 31, 2018, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period ended March 31, 2018, including the related notes, and the financial highlights for each of the five years in the period ended March 31, 2018
(2) The statement of assets and liabilities, including the portfolio of investments, as of March 31, 2018, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period ended March 31, 2018, including the related notes, and the financial highlights for each of the periods indicated therein
Basis for Opinions
These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements 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 Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
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SEASONS SERIES TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
We conducted our audits of these financial statements 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 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, 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. 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. Our procedures included confirmation of securities owned as of March 31, 2018 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Houston, Texas
May 25, 2018
We have served as the auditor of one or more investment companies in the SunAmerica annuity family of funds (consisting of SunAmerica Series Trust, Seasons Series Trust and Anchor Series Trust) since at least 1986.
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SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2018 (unaudited)
At a meeting held on October 11, 2017, the Board of Trustees (the "Board"), including the Trustees that are not interested persons of Seasons Series Trust (the "Trust"), as defined in the Investment Company Act of 1940, as amended (the "Independent Trustees"), approved with respect to each Portfolio the continuation of the Investment Management and Advisory Agreement between SunAmerica Asset Management LLC ("SAAMCo" or the "Adviser") and the Trust (the "Advisory Agreement") and the continuation of each Subadvisory Agreement between SAAMCo and each of the following subadvisers (the "Subadvisory Agreements"): American Century Investment Management, Inc. ("American Century"), Columbia Management Investment Advisers, LLC ("Columbia"), Goldman Sachs Asset Management, L.P. ("GSAM"), J.P. Morgan Investment Management Inc. ("J.P. Morgan"), Massachusetts Financial Services Company ("MFS"), PineBridge Investments, LLC ("PineBridge"), PNC Capital Advisors, LLC ("PNC"), Putnam Investment Management, LLC ("Putnam"), T. Rowe Price Associates, Inc. ("T. Rowe Price") and Wellington Management Company, LLP ("Wellington") (collectively referred to as the "Subadvisers" and each a "Subadviser"). The Advisory Agreement and Subadvisory Agreements are collectively referred to as the "Advisory Contracts."
In connection with the approval of the Advisory Contracts, the Board received materials related to certain factors used in its consideration whether to renew or approve the Advisory Contracts. Those factors included:
(1) the requirements of the Trust in the areas of investment supervisory and administrative services;
(2) the nature, extent and quality of the investment advisory, administrative, operational and compliance services provided by SAAMCo, including a review of the investment performance of the Portfolios and oversight of the Subadvisers;
(3) the size and structure of the investment advisory fee and any other material payments to the Adviser and Subadvisers and, in connection therewith, a review of the costs of services provided and the profits realized by the Adviser and its affiliates from the relationship with the Trust;
(4) the expenses paid by each of the Portfolios, including their total operating expenses and any applicable expense limitation;
(5) the extent to which the Adviser realizes economies of scale and shares them with the Trust;
(6) the organizational capability, resources, personnel and financial condition of the Adviser and Subadvisers and their affiliates; and
(7) the fees paid by the Adviser to the Subadvisers for managing the Portfolios of the Trust.
In addition, the Board considered (a) the historical relationship between the Trust and SAAMCo; (b) the possibility that services of the type required by the Trust might be better obtained from other organizations; (c) the conditions and trends prevailing in the economy, the securities markets and the investment company industry; and (d) the reasonableness of the amount of the fee retained by the Adviser in light of the services provided by the Adviser and the Subadvisers.
The Independent Trustees were separately represented by counsel that is independent of SAAMCo in connection with their consideration of approval of the Advisory Contracts. The matters discussed below were also considered separately by the Independent Trustees in executive sessions during which their independent counsel provided guidance to the Independent Trustees.
The Board received information regarding the Trust's advisory and subadvisory fees compared to advisory and subadvisory fee rates of a group of funds with similar investment strategies and/or objectives, as applicable (respectively, the "Expense Group/Universe" and the "Subadvised Expense Group/Universe"), as selected and prepared by an independent third-party provider of investment company data. The Board also received performance data and expense information prepared by management. In addition, the Board considered the expenses and performance of SAAMCo and the Subadvisers with respect to accounts and mutual funds managed by each that have comparable investment objectives and strategies to each of the Portfolios that they manage.
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APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2018 (unaudited) (continued)
Nature, Extent and Quality of Services.
The Board, including the Independent Trustees, considered the nature, quality and extent of services provided by SAAMCo and each of the Subadvisers. In making its evaluation, the Board considered that SAAMCo acts as adviser for each Portfolio, manages the investment of portions of certain Portfolios' assets, manages the daily business affairs of the Trust, obtains and evaluates economic, statistical and financial information to formulate and implement investment policies, and provides oversight with respect to the daily management of certain Portfolios' assets, or a portion thereof, allocated to the Subadvisers, subject to the Trustees' oversight and control. It was also noted that SAAMCo's advisory fees compensate SAAMCo for services such as monitoring Portfolio performance, selecting and replacing Subadvisers, determining asset allocations among Portfolios with multiple Subadvisers and ensuring that the Subadvisers' styles adhere to the prospectus and statement of additional information as well as other administrative, compliance and legal services.
The Board noted that SAAMCo is responsible for overseeing the performance of services by the Trust's custodian, transfer agent and dividend disbursing agent. The Board also noted that SAAMCo is responsible for the financial, legal and accounting records required to be maintained by each Portfolio and for the administration of the Trust's business affairs, including providing such office space, bookkeeping, accounting, clerical, secretarial and administrative services (exclusive of, and in addition to, any such service provided by any others retained by the Trust or any Portfolio) and such executive and other personnel as may be necessary for the operations of each Portfolio. The Board considered that SAAMCo monitors and reviews the activities of third-party service providers that may provide additional administrative services.
In addition, the Board considered the key personnel of SAAMCo that are involved in the investment management, administration, compliance and risk management activities with respect to the Portfolios. The Board also considered the compensation program for SAAMCo's investment professionals.
With respect to the Subadvisers, the Board noted that the Subadvisers are responsible for providing investment management services on a day-to-day basis. In such role, each Subadviser (i) determines the securities to be purchased or sold and executes such documents on behalf of the Portfolios they manage as may be necessary in connection therewith; (ii) provides SAAMCo with records concerning their activities; and (iii) renders regular reports to SAAMCo and to officers and Trustees of the Trust concerning their discharge of the foregoing responsibilities. The Board reviewed each Subadviser's history, structure and size, and investment experience. The Board considered each Subadviser's personnel that are involved in the investment management, administration, compliance and risk management activities with respect to the Portfolios, as well as current and projected staffing levels and compensation practices. The Board was informed that in management's judgment, each of the Subadvisers has the size, viability and resources to attract and retain highly qualified investment professionals.
The Board reviewed the qualifications, background and responsibilities of SAAMCo's staff and each of the Subadviser's staff who is responsible for providing investment management services to the Portfolios and other key personnel of SAAMCo in addition to current and projected staffing levels and compensation practices.
The Board considered SAAMCo's reputation and long-standing relationship with the Portfolios and considered the benefit to shareholders of investing in funds that are part of a family of funds offering a variety of types of mutual funds and shareholder services. The Board also considered the Trust's relationship with affiliated life insurance companies that offer the Portfolios through variable annuity and variable life insurance products. The Board considered SAAMCo's experience in providing management and investment advisory and administrative services to advisory clients. The Board also considered SAAMCo's code of ethics and its risk management process, and that SAAMCo has developed internal procedures, adopted by the Board, for monitoring compliance with the investment objectives, policies and restrictions of the Portfolios as set forth in the Portfolios' registration statement.
The Board also reviewed and considered SAAMCo's and each Subadviser's compliance and regulatory history, including information about whether any were involved in any litigation, regulatory actions or investigations that could impair their ability to serve as an adviser or subadviser to the Portfolios. The Board considered SAAMCo's and the Subadvisers' risk
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March 31, 2018 (unaudited) (continued)
assessment and risk management processes. The Board concluded that there was no information provided that would have a material adverse effect on SAAMCo's or the Subadvisers' ability to provide services to the Trust.
The Board concluded that it was satisfied with the nature, quality and extent of the services provided by or to be provided by SAAMCo and each Subadviser and that there was a reasonable basis on which to conclude that they would provide high quality services to the Trust.
Portfolio Fees and Expenses; Investment Performance.
The Board, including the Independent Trustees, received and reviewed information regarding the Portfolios' fees (actual or contractual management fees, subadvisory fees, non-management fees, and 12b-1 fees, if applicable), and expense ratios compared against such fees and expense ratios of the Expense Group/Universe for each Portfolio. Such fees and expense ratios were compared both before and after expense waivers, caps and reimbursements, if any. It was noted that with respect to subadvisory fees, SAAMCo negotiates such fees at arm's length. The Board also considered that the subadvisory fees are paid by SAAMCo out of its advisory fee and not by the Portfolios, and that subadvisory fees may vary widely within a Subadvised Expense Group/Universe for various reasons, including market pricing demands, existing relationships, experience and success, and individual client needs. The Board further considered the amount of subadvisory fees paid out by SAAMCo and the amount of the management fees which it retained and determined that these amounts were reasonable in light of the services performed by SAAMCo and the Subadvisers, respectively.
To assist in analyzing the reasonableness of the advisory and subadvisory fees, the Board received a report prepared independently by Broadridge Financial Solutions, Inc. ("Broadridge") as well as information provided by management. The Board also considered advisory fees received by the Adviser and the Subadvisers with respect to other mutual funds and accounts with similar investment strategies to the Portfolios each advises. Based on the information from Broadridge, the Board reviewed detailed information about peer groups of comparable mutual funds based on various factors such as the type of fund (those underlying variable insurance products), comparable investment objectives and strategies, among other factors. Referred to herein are "Expense Groups" and "Performance Groups" that represent those peer groups of funds used to compare expenses and performance, respectively.
The Trustees noted that expense information as a whole was useful in assessing whether SAAMCo and the Subadvisers were providing services at a cost that was competitive with other similar funds. The performance information included annualized returns for the period since inception and the one-, three-, five- and ten-year periods, as applicable, ended June 30, 2017 from Broadridge and performance information as of June 30, 2017 from management. On a quarterly basis, the Board monitors and reviews various materials presented and prepared by management, including but not limited to each Portfolio's overall performance, performance relative to each Portfolio's relevant benchmark and Morningstar and/or Broadridge peer groups, as applicable, and each Subadviser's performance within a Portfolio. The Board considered that management makes particular note of Portfolios that may require closer monitoring or potential corrective action by the Board.
As part of its review of the Portfolios' fees and expenses and performance, the Board considered information, including but not limited to the following expense and performance information, provided by Broadridge and management in making its determinations. It was noted that actual advisory and subadvisory fees and total expenses were calculated as of each Portfolio's most recent fiscal year end, which may vary among the Portfolio's Expense Group/Universe. The Board considered management's discussion of the Trust's multi-manager subadvisory management structure and its explanation that the structure results in increased advisory fees and expenses to these Portfolios but noted the potential benefits to this type of multi-manager strategy where the Portfolios have access to the expertise of multiple subadvisers and the varied investment techniques employed by each subadviser in connection with a Portfolio's investment objectives/strategies.
• SA Allocation Balanced Portfolio (advised by SAAMCo). The Board considered that the Portfolio's actual advisory fees were below the median of its Expense Group and that its total expenses were above the median of its Expense Group. The Board noted that SAAMCo has contractually agreed to waive 1 basis point of the advisory fee. The Board also noted that the voluntary expense limitation of 0.35% for Class 3 Shares would continue for another year.
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SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2018 (unaudited) (continued)
The Board considered that the Portfolio outperformed its benchmark index for the one-, three- and five-year periods but performed below that index for the ten-year period. The Board also noted that the Portfolio performed above the medians of its Performance Group for the one-, three- and five-year periods and at the median for the ten-year period. It was noted that SAAMCo assumed full control of the Portfolio in July 2015.
• SA Allocation Growth Portfolio (advised by SAAMCo). The Board considered that the Portfolio's actual management fees were below the median of its Expense Group and that its total expenses were above the median of its Expense Group. The Board took into consideration management's discussion of the Portfolio's expenses and noted that SAAMCo has contractually agreed to waive 1 basis point of the advisory fee.
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio underperformed relative to the medians of its Performance Group for the same periods. The Board took into consideration management's discussion of the Portfolio's performance and noted that SAAMCo assumed full control of the Portfolio in July 2015.
• SA Allocation Moderate Portfolio (advised by SAAMCo). The Board considered that the Portfolio's actual management fees were at the median of its Expense Group. It was also noted that the Portfolio's total expenses were above the median of its Expense Group. The Board took into consideration management's discussion of the Portfolio's expenses and noted that SAAMCo has contractually agreed to waive 1 basis point of the advisory fee.
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio performed above the medians of its Performance Group for the one- and five-year periods but below the medians for the three- and ten-year periods. The Board took into consideration management's discussion of the Portfolio's performance and noted that SAAMCo assumed full control of the Portfolio in July 2015.
• SA Allocation Moderate Growth Portfolio (advised by SAAMCo). The Board considered that the Portfolio's actual management fees were below the median of its Expense Group and that its total expenses were above the median of its Expense Group. The Board took into consideration management's discussion of the Portfolio's expenses and noted that SAAMCo has contractually agreed to waive 1 basis point of the advisory fee.
The Board considered that the Portfolio underperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio performed below the medians of its Performance Group for the same periods. The Board took into consideration management's discussion of the Portfolio's performance and noted that SAAMCo assumed full control of the Portfolio in July 2015.
• SA Putnam Asset Allocation Diversified Growth Portfolio (subadvised by Putnam). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses and noted that SAAMCo and Putnam were each voluntarily waiving 10 basis points of the advisory and subadvisory fees, respectively.
The Board considered that the Portfolio outperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio performed above the medians of its Performance Group for the one-, three- and five-year periods and performed below the median for the ten-year period.
• SA Multi-Managed Diversified Fixed Income Portfolio (subadvised by PineBridge and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board also considered that the Portfolio outperformed its benchmark index for the one-year period but performed below that index for the three-, five- and ten-year periods. The Board noted that the Portfolio performed above the median of its Performance Group for the one-year period but below the medians for the three-, five- and ten-year periods.
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SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2018 (unaudited) (continued)
The Board considered that the Portfolio is managed by multiple Subadvisers. The Board took into consideration management's discussion of the Portfolio's performance and noted that the Adviser reallocated the directly managed component of the Portfolio among the Subadvisers in 2013 as part of a restructuring of the Portfolio.
• SA Multi-Managed International Equity Portfolio (advised/subadvised by SAAMCo, Janus Capital Management LLC ("Janus"), and T. Rowe Price). The Board considered that the Portfolio's actual management fees and total expenses were slightly above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses and noted that SAAMCo agreed to waive 4 basis points of the advisory fee. The Board also considered that the voluntary expense limitations of 1.30%, 1.45% and 1.55% for Class 1, Class 2 and Class 3 shares, respectively, would continue for another year.
The Board considered that the Portfolio outperformed its benchmark index for the one-year period but performed below that index for the three-, five- and ten-year periods. The Board noted that the Portfolio performed below the medians of its Performance Group for the one-, three-, five- and ten-year periods. The Board considered that the Portfolio is managed by multiple Subadvisers. The Board took into consideration management's discussion of the Portfolio's performance and noted that management replaced one of the Subadvisers in October 2014.
• SA Multi-Managed Large Cap Growth Portfolio (advised/subadvised by SAAMCo, GSAM and Janus). The Board considered that the Portfolio's actual management fees were above and total expenses were slightly above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was below the medians of its Performance Group for the same periods. The Board took into consideration management's discussion of the Portfolio's performance and noted that the Portfolio is managed by multiple Subadvisers.
• SA Multi-Managed Large Cap Value Portfolio (advised/subadvised by SAAMCo, American Century and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board considered that the Portfolio performed below its benchmark index for the one-, three- and five-year periods and performed above that index for the ten-year period. The Board also considered that performance was below the medians of its Performance Group for the one-, three- and five-year periods and at the median for the ten-year period. The Board considered that the Portfolio is managed by multiple Subadvisers. The Board took into consideration management's discussion of the Portfolio's performance and noted that management has subjected the Portfolio to heightened monitoring and added American Century to replace a Subadviser in October 2015.
• SA Multi-Managed Mid Cap Growth Portfolio (advised/subadvised by SAAMCo, T. Rowe Price and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board considered that the Portfolio outperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was below the median of the Portfolio's Performance Group for the one-year period but above the medians for the three-, five- and ten-year periods.
• SA Multi-Managed Mid Cap Value Portfolio (advised/subadvised by SAAMCo, T. Rowe Price and MFS). The Board considered that the Portfolio's actual management fees and total expenses were slightly above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was below the medians of the Portfolio's Performance Group for the
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SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2018 (unaudited) (continued)
same periods. The Board took into consideration management's discussion of the Portfolio's performance and noted that T. Rowe Price had replaced one of the Subadvisers in February 2017.
• SA Multi-Managed Growth Portfolio (components subadvised by Janus, J.P. Morgan, and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board considered management's report that the Portfolio is a multi-fund strategy and its costs reflect the additional expenses of multi-manager asset allocation and administration.
The Board considered that the Portfolio outperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was above the medians of the Portfolio's Performance Group for the same periods. The Board noted that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 due to performance.
• SA Multi-Managed Income Portfolio (components subadvised by Janus and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board considered management's report that, as a multi-fund strategy, the Portfolio's costs reflect the additional expenses of multi-manager asset allocation and administration.
The Board considered that the Portfolio outperformed its benchmark index for the one-, three- and five-year periods. The Board also noted that performance was at or above the medians of its Performance Group for the one-, three-, and five-year periods but below the median for the ten-year period. The Board noted that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 due to performance.
• SA Multi-Managed Income/Equity Portfolio (components subadvised by Janus and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board considered management's report that, as a multi-fund strategy, the Portfolio's costs reflect the additional expenses of multi-manager asset allocation and administration.
The Board considered that the Portfolio performed above its benchmark index and the medians of its Performance Universe for the one-, three-, five- and ten-year periods. The Board noted that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 due to performance.
• SA Multi-Managed Moderate Growth Portfolio (components subadvised by Janus, J.P. Morgan and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board considered management's report that, as a multi-fund strategy, the Portfolio's costs reflect the additional expenses of multi-manager asset allocation and administration.
The Board considered that the Portfolio outperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was at or above the medians of the Portfolio's Performance Group for the one-, three-, five- and ten-year periods. The Board noted that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 due to performance.
• SA Wellington Real Return Portfolio (subadvised by Wellington). The Board considered that the Portfolio's actual management fees were above and total expenses were slightly above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board considered that the Portfolio outperformed its benchmark index for the one- and three-year periods but performed below that index for the five-year period. The Board also considered that the Portfolio performed below the medians of the Portfolio's Performance Group for the one- and ten-year periods but above the medians for the three- and five-year periods. The Board took into consideration management's discussion of the Portfolio's performance.
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SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2018 (unaudited) (continued)
• SA Columbia Focused Growth Portfolio (subadvised by Columbia). The Board considered that the Portfolio's actual management fees were slightly above the median of its Expense Group and total expenses were below the median of its Expense Group. The Board noted that SAAMCo has contractually agreed to waive 31 basis points of the advisory fees. The Board also considered that the voluntary expense limitations of 1.30%, 1.45% and 1.55% for the Portfolio's Class 1, Class 2 and Class 3 shares, respectively, would continue for another year.
The Board considered that the Portfolio outperformed its benchmark index for the one-year period but performed below that index for the three-, five- and ten-year periods. The Board also considered that the Portfolio performed above the median of its Performance Group for the one-year period but below the medians for the three-, five- and ten-year periods. The Board took into consideration management's discussion of the Portfolio's performance and noted that management replaced the Subadvisers in July 2015.
• SA Columbia Focused Value Portfolio (subadvised by Columbia). The Board considered that the Portfolio's actual management fees and total expenses were slightly above the medians of its Expense Group. The Board noted that SAAMCo has contractually agreed to waive 32 basis points of the advisory fees. The Board also considered that the voluntary expense limitations of 1.30%, 1.45% and 1.55% for Class 1, Class 2 and Class 3 shares, respectively, would continue for another year.
The Board also considered that the Portfolio outperformed its benchmark index for the one-, three- and five-year periods and performed below that index for the ten-year period. The Board noted that the Portfolio performed at or above the medians of the Performance Group for the one-, three- and five-year periods but below the median for the ten-year period. The Board considered that the Portfolio is managed by multiple Subadvisers. The Board also noted that management replaced the Subadvisers in July 2015.
• SA Multi-Managed Small Cap Portfolio (advised/subadvised by SAAMCo, J.P. Morgan, and PNC). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses and noted that the voluntary expense limitations of 1.15%, 1.30% and 1.40% for Class 1, Class 2 and Class 3 shares, respectively, would continue for another year.
The Board considered that the Portfolio underperformed its benchmark index and that the Portfolio's performance was below the medians of its Performance Group for the one-, three-, five- and ten-year periods. The Board took into consideration management's discussion of the Portfolio's performance and noted that PNC replaced one of the Subadvisers in December 2015.
• SA T. Rowe Price Growth Stock Portfolio (subadvised by T. Rowe Price). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board considered that the Portfolio outperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio's performance was above the medians of its Performance Group for the one-, three- and five-year period but slightly below the median for the ten-year period.
The Trustees noted that expense and performance information as a whole was useful in assessing whether the Subadvisers were providing services at a cost that was competitive with other similar funds.
Cost of Services & Benefits Derived.
With respect to indirect costs and benefits, the Board was informed, based on management's judgment, that any indirect costs incurred by SAAMCo in connection with rendering investment advisory services to the Trust were inconsequential to the analysis of the adequacy of the advisory fees, and that any collateral benefits derived as a result of providing advisory services to the Trust did not impact the reasonableness of the advisory fee. The Board considered that SAAMCo is paid an administrative services fee of up to 0.04% of the average daily net asset value of the Trust's Portfolios pursuant to an arrangement between
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APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2018 (unaudited) (continued)
SAAMCo and certain affiliated life insurance companies (the "Life Companies"). The Board considered that the Trust also pays VALIC Retirement Services Company, an affiliate of SAAMCo, a fee for the provision of recordkeeping and shareholder services to contract owners and participants.
In connection with benefits derived from the Trust, the Board considered that the Life Companies may benefit as a result of their direct ownership of the Portfolios' shares, which amounts may be significant. It was noted that in calculating their corporate income tax liability as insurance companies, the Life Companies, as corporate mutual fund shareholders, may exclude a portion of the ordinary dividends paid by underlying U.S. equities in the Portfolios to the same extent the Portfolios receive certain dividends with respect to shares of stock issued by domestic corporations, subject to applicable tax laws and regulations. In addition, the Life Companies may also rely on foreign tax credits with respect to certain foreign securities held by applicable Portfolios. The Board considered that the Life Companies receive financial support from SAAMCo and certain Subadvisers for distribution-related activities, including administrative, marketing and other servicing activities, including payments to help offset costs for marketing activities and training (including training of registered representatives of AIG Capital Services, Inc., an affiliate of SAAMCo) to support sales of the Portfolios, as well as occasional gifts, entertainment or other compensation as incentives. It was noted that such payments may be derived from 12b-1 (service) fees that are deducted directly from the assets of the Portfolios or from investment management fees received by SAAMCo or the Subadvisers. In addition, the Board considered that, because shares of the Portfolios are offered as investment options through variable annuity or life contracts issued by the Life Companies (the "Variable Contracts"), the investment objectives, strategies and performance of the Portfolios may positively or negatively impact a Life Company's ability to hedge and the related hedging costs associated with guarantees that the Life Company may provide as the issuer of the Variable Contracts.
The Board concluded that any benefits that SAAMCo and its affiliates could be expected to receive with regard to providing investment advisory and other services to the Portfolios were reasonable.
Profitability and Economies of Scale.
The Board received information related to SAAMCo's profitability as well as the profitability of certain affiliates with respect to the services they provide to the Trust's Portfolios. The profitability analysis reflected the relationship between SAAMCo and American General Life Insurance Company ("AGL") that provides that SAAMCo contributes the profits earned through its management of the Portfolios of the Trust to AGL. The Board also considered that SAAMCo has entered into an agreement with The United States Life Insurance Company in the City of New York ("U.S. Life") wherein SAAMCo pays U.S. Life a fee to perform certain administrative services for the benefit of certain variable annuity contract owners. Pursuant to additional Administrative Services Agreements between SAAMCo and each of AGL and U.S. Life, SAAMCo pays a fee to each insurer and in return each insurer provides certain administrative, recordkeeping, accounting and similar such services to the Portfolios as they relate to the insurer's participants owning interest in shares of the Trust. The Board further considered that certain SAAMCo affiliates (i.e., AGL, U.S. Life and The Variable Annuity Life Insurance Company) provide services pursuant to certain agreements with the Trust and the Portfolios' Rule 12b-1 Plans. The Board determined that the profitability to SAAMCo in connection with its relationship to the Trust was reasonable.
It was noted that the subadvisory fees paid pursuant to the Subadvisory Agreements are paid by SAAMCo out of the advisory fees that it receives under the Advisory Agreement. The Trustees also relied on the ability of SAAMCo to negotiate the Subadvisory Agreements and the fees thereunder at arm's length. It was noted that SAAMCo reviewed a number of factors in determining appropriate subadvisory fees payable to each Subadviser. Such factors include review of (1) style class peers primarily within the variable annuity universe; (2) key competitor analysis; (3) portfolio analysis; and (4) special considerations such as competitor subaccount characteristics, uniqueness of the product and the manager's prestige. The Board determined that the profitability to each Subadviser in connection with its relationship with the respective Portfolios is therefore not a material factor in their consideration of the Subadvisory Agreements.
The Board also received and considered information regarding the ability of the Portfolios to achieve economies of scale. It was noted that the advisory fees of nearly all Portfolios contain breakpoints that will reduce the fees paid by a Portfolio as its
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SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2018 (unaudited) (continued)
assets increase. The Board also considered that SAAMCo has voluntarily agreed to waive fees in certain instances, which was noted earlier in the discussion of fees. It was noted that as a result of being part of a complex of mutual funds advised or administered by SAAMCo, the Trust is able to share common resources and may share certain expenses, which could result in a Portfolio experiencing lower expenses than it otherwise would achieve if the Trust were a stand-alone entity. The Board considered that management believed that the Portfolios' existing fee schedules and the fee schedules for those Portfolios for which management proposed reductions or waivers reflect the economies of scale inherent in providing investment advice to a Portfolio in its particular asset category and asset size. The Board concluded that any potential economies of scale are currently being shared between the Trust and SAAMCo in an appropriate manner.
The Board considered that certain Subadvisory Agreements also contain breakpoints in the fee schedules, however, since SAAMCo, and not the Trust, is responsible for the payment of the fees pursuant to the Subadvisory Agreements, the Trust does not directly benefit from any reduction in subadvisory fee rates. For similar reasons as stated above with respect to the Subadvisers' profitability and the costs of their providing services, the Board concluded that the potential for economies of scale in the Subadvisers' management of the Portfolios are not a material factor in its consideration at this time.
Terms of Advisory Contracts.
The Board, including the Independent Trustees, reviewed the terms of the Advisory Contracts including the duties and responsibilities undertaken by SAAMCo and the Subadvisers as discussed above. The Board considered that SAAMCo pays all of its own expenses in connection with the performance of its duties, as well as the salaries, fees and expenses of the officers of the Trust who are employees of SAAMCo. The Board also reviewed the terms of payment for services rendered and noted that SAAMCo compensates the Subadvisers out of the fees it receives from the Trust. The Board noted that each Subadvisory Agreement provides that the Subadviser will pay all of its own expenses in connection with the performance of its duties as well as the cost of maintaining the staff and personnel as necessary for it to perform its obligations. The Board also considered other terms and conditions of the Advisory Contracts.
Conclusions.
In reaching its decision to recommend the renewal of the Advisory Contracts, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered and each Trustee attributes different weight to the various factors. Based upon the materials it reviewed, the representations made to it and the considerations described above, and as part of their deliberations, the Board, including the Independent Trustees, concluded that SAAMCo and the Subadvisers possess the capability and resources to perform the duties required of them under their respective Advisory Contracts.
Further, based upon its review of the Advisory Contracts, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that: (1) the terms of the Advisory Contracts are reasonable, fair and in the best interest of the Portfolios and their shareholders, and (2) the advisory fee rates and subadvisory fee rates are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality and the other factors considered.
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SEASONS SERIES TRUST
TRUSTEES AND OFFICERS INFORMATION (unaudited)
The following table contains information regarding the Trustees and Officers that oversee operations of the Portfolios and other investment companies within the Fund complex.
Name, Address and Age† | Position Held With Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee(2) | Other Directorships Held by Trustee(3) | ||||||||||||||||||
Independent Trustees | |||||||||||||||||||||||
Garrett F. Bouton Age: 73 | Trustee | 2007- | Present | Retired (2003-Present); Managing Director and CEO, Barclays Global Investors (1996-2003). | 75 | Chairman/Director, The LECG Company (consulting services) (2006-2010). | |||||||||||||||||
Carl D. Covitz Age: 79 | Trustee | 2001- | Present | Owner and President, Landmark Capital, Inc. (1973-Present). | 75 | Director, Arden Realty, Inc. (real estate) (1995-2006). | |||||||||||||||||
Jane Jelenko Age: 69 | Trustee | 2006- | Present | Retired Partner, KPMG, LLP and Managing Director, Bearingpoint, Inc. (formerly KPMG Consulting) (2003-Present). | 75 | Director, Countrywide Bank (banking) (2003-2008); and Director, Cathay General Bancorp and Cathay Bank (banking) (2012-Present). | |||||||||||||||||
Gilbert T. Ray Age: 73 | Trustee | 2001- | Present | Retired Partner, O'Melveny & Myers LLP (law firm) (2000-Present). | 75 | Director, Advance Auto Parts, Inc. (retail-auto & home supply stores) (2002-Present); Director, Watson, Wyatt Worldwide (services — management consulting services) (2000-2009); Director, DineEquity (services — restaurant) (2004-Present); Director, Diamond Rock Hospitality (financial — real estate) (2005-Present); Director, Towers Watson & Co. (services — management consulting services) (2010-Present). | |||||||||||||||||
Allan L. Sher Age: 86 | Trustee | 1997- | Present | Retired, Brokerage Executive (1992-Present). | 75 | Director, Bowl America Inc. (1997-Present). | |||||||||||||||||
Bruce G. Willison Age: 69 | Trustee and Chairman | 2001- | Present | Professor of Management, Anderson School at UCLA (1999-2011); Dean, Anderson School at UCLA (1999-2005); co-founder, Grandpoint Capital, Inc. (2009-2010). | 75 | Director , GrandPoint Bank (banking) (2011-Present); Director Indy Mac Bancorp (banking) (2003-2008); Director, Move, Inc. ( internet real estate site) (2003-Present); Director, Health Net, Inc. (health insurance plan) (2000-2016). | |||||||||||||||||
Interested Trustee | |||||||||||||||||||||||
Peter A. Harbeck(4) Age: 64 | Trustee | 2014- | Present | President, CEO and Director, SAAMCo (1995-Present); Director, AIG Capital Services, Inc. ("ACS") (1993-Present). | 152 | None. |
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SEASONS SERIES TRUST
TRUSTEES AND OFFICERS INFORMATION (unaudited) (continued)
Name, Address and Age† | Position Held With Trust | Length of Time Served(1) | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Officer(2) | Other Directorship(s) Held by Officer(3) | ||||||||||||||||||
Officers | |||||||||||||||||||||||
John T. Genoy Age: 49 | President | 2007- | Present | Chief Financial Officer and Director, SAAMCo (2002-Present); Senior Vice President, SAAMCo (2003-Present); Chief Operating Officer, SAAMCo (2006-Present). | N/A | N/A | |||||||||||||||||
Gregory R. Kingston Age: 52 | Treasurer | 2014- | Present | Vice President, SAAMCo (2001-Present); Head of Mutual Fund Administration (2014-Present). | N/A | N/A | |||||||||||||||||
Christopher C. Joe Age: 49 | Chief Compliance Officer | 2017- | Present | Chief Compliance Officer, AIG Funds, Seasons Series Trust, SunAmerica Series Trust, VALIC Company I and VALIC Company II (2017-Present); Chief Compliance Officer, VALIC Retirement Services Company (2017-Present); Chief Compliance Officer, Invesco Powershares (2012-2017); Chief Compliance Officer, Invesco Investment Advisers, LLC (2010-2013); U.S. Compliance Director, Invesco, Ltd (2006-2014); Deputy Chief Compliance Officer, Invesco Advisers, Inc. (2014-2015). | N/A | N/A | |||||||||||||||||
Kathleen D. Fuentes Age: 49 | Chief Legal Officer, Vice President and Secretary | 2015- | Present | Vice President and Deputy General Counsel, SAAMCo (2006-Present). | N/A | N/A | |||||||||||||||||
Gregory N. Bressler Age: 51 | Vice President and Assistant Secretary | 2005- | Present | Senior Vice President and General Counsel, SAAMCo (2005-Present). | N/A | N/A | |||||||||||||||||
Shawn Parry Age: 45 | Vice President and Assistant Treasurer | 2014- | Present | Assistant Vice President, SAAMCo (2005-2014); Vice President, SAAMCo (2014-Present) | N/A | N/A | |||||||||||||||||
Donna McManus Age: 57 | Vice President and Assistant Treasurer | 2014- | Present | Vice President, SAAMCo (2014-Present); Managing Director, BNY Mellon (2009-2014). | N/A | N/A | |||||||||||||||||
Matthew J. Hackethal Age: 46 | Anti-Money Laundering Compliance Officer | 2006- | Present | Acting Chief Compliance Officer (2016-2017); Chief Compliance Officer, SAAMCo (2007-Present) and Vice President, SAAMCo (2011-Present). | N/A | N/A |
† The business address for each Trustee and Officer is 21650 Oxnard Street, 10th Fl. Woodland Hills, CA 91367-4901.
(1) Trustees serve until their successors are duly elected and qualified. Each officer will hold office for an indefinite term until the date he or she resigns or retires or until his/her successor is duly elected and qualified.
(2) The "Fund Complex" consists of all registered investment company portfolios for which SAAMCo serves as investment adviser or administrator. The "Fund Complex" includes the Trust (20 portfolios), SunAmerica Specialty Series (7 funds), SunAmerica Series Trust (55 portfolios), SunAmerica Money Market Funds, Inc. (1 fund), SunAmerica Equity Funds (2 funds), SunAmerica Income Funds (3 funds), SunAmerica Series, Inc. (6 portfolios), Anchor Series Trust (8 portfolios), SunAmerica Senior Floating Rate Fund, Inc. (1 fund), VALIC Company I (34 funds), VALIC Company II (15 funds).
(3) Directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., "public companies") or other investment companies regulated under the 1940 Act other than those listed under the preceding column.
(4) Interested Trustee, as defined within the Investment Company Act of 1940, because he serves as President, CEO and Director of SAAMCo, and Director of ACS.
Additional information concerning the Trustees and Officers is contained in the Statement of Additional Information and is available without charge by calling (800) 445-SUN2.
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SEASONS SERIES TRUST
SHAREHOLDERS TAX INFORMATION (unaudited)
Certain tax information regarding the Seasons Series Trust is required to be provided to the shareholders based upon each Portfolio's income and capital gain distributions for the taxable year ended March 31, 2018.
During the year ended March 31, 2018, the Portfolios paid the following dividends per share along with the percentage of ordinary income dividends that qualified for the dividends received deduction for corporations:
Total Dividends | Net Investment Income | Net Short-Term Capital Gains* | Net Long-Term Capital Gains | Qualifying % for the Dividends Received Deduction | |||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 1 | $ | 1.34 | $ | 0.09 | $ | 0.11 | $ | 1.14 | 80.27 | % | |||||||||||||
SA Multi-Managed Growth Portfolio Class 2 | 1.31 | 0.06 | 0.11 | 1.14 | 80.27 | ||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 3 | 1.29 | 0.04 | 0.11 | 1.14 | 80.27 | ||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 1 | 0.79 | 0.13 | 0.09 | 0.57 | 44.81 | ||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 2 | 0.77 | 0.11 | 0.09 | 0.57 | 44.81 | ||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 3 | 0.75 | 0.09 | 0.09 | 0.57 | 44.81 | ||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 1 | 0.54 | 0.19 | 0.12 | 0.23 | 14.76 | ||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 2 | 0.52 | 0.17 | 0.12 | 0.23 | 14.76 | ||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 3 | 0.51 | 0.16 | 0.12 | 0.23 | 14.76 | ||||||||||||||||||
SA Multi-Managed Income Portfolio Class 1 | 0.44 | 0.22 | 0.10 | 0.12 | 7.01 | ||||||||||||||||||
SA Multi-Managed Income Portfolio Class 2 | 0.42 | 0.20 | 0.10 | 0.12 | 7.01 | ||||||||||||||||||
SA Multi-Managed Income Portfolio Class 3 | 0.41 | 0.19 | 0.10 | 0.12 | 7.01 | ||||||||||||||||||
SA Putnam Diversified Growth Portfolio Class 1 | 1.18 | 0.21 | 0.24 | 0.73 | 27.93 | ||||||||||||||||||
SA Putnam Diversified Growth Portfolio Class 2 | 1.16 | 0.19 | 0.24 | 0.73 | 27.93 | ||||||||||||||||||
SA Putnam Diversified Growth Portfolio Class 3 | 1.15 | 0.18 | 0.24 | 0.73 | 27.93 | ||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 1 | 3.42 | — | 0.01 | 3.41 | 100.00 | ||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 2 | 3.42 | — | 0.01 | 3.41 | 100.00 | ||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 3 | 3.42 | — | 0.01 | 3.41 | 100.00 | ||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 1 | 0.98 | 0.08 | 0.06 | 0.84 | 100.00 | ||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 2 | 0.96 | 0.06 | 0.06 | 0.84 | 100.00 | ||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 3 | 0.94 | 0.04 | 0.06 | 0.84 | 100.00 | ||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio - Class 1 | 1.82 | 0.40 | 0.41 | 1.01 | 53.28 | ||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio - Class 2 | 1.80 | 0.38 | 0.41 | 1.01 | 53.28 | ||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio - Class 3 | 1.77 | 0.35 | 0.41 | 1.01 | 53.28 |
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Total Dividends | Net Investment Income | Net Short-Term Capital Gains* | Net Long-Term Capital Gains | Qualifying % for the Dividends Received Deduction | |||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 1 | $ | 1.65 | $ | — | $ | 0.11 | $ | 1.54 | 100.00 | % | |||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 2 | 1.65 | — | 0.11 | 1.54 | 100.00 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 3 | 1.65 | — | 0.11 | 1.54 | 100.00 | ||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio Class 1 | 2.56 | 0.24 | 0.93 | 1.39 | 26.46 | ||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio Class 2 | 2.53 | 0.21 | 0.93 | 1.39 | 26.46 | ||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio Class 3 | 2.51 | 0.19 | 0.93 | 1.39 | 26.46 | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 1 | 1.38 | 0.06 | 0.09 | 1.23 | 100.00 | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 2 | 1.36 | 0.04 | 0.09 | 1.23 | 100.00 | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 3 | 1.34 | 0.02 | 0.09 | 1.23 | 100.00 | ||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 1 | 0.20 | 0.20 | — | — | 0.19 | ||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 2 | 0.19 | 0.19 | — | — | 0.19 | ||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 3 | 0.18 | 0.18 | — | — | 0.19 | ||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio Class 1 | 0.29 | 0.27 | 0.02 | — | 0.02 | ||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio Class 2 | 0.27 | 0.25 | 0.02 | — | 0.02 | ||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio Class 3 | 0.25 | 0.23 | 0.02 | — | 0.02 | ||||||||||||||||||
SA Wellington Real Return Portfolio Class 1 | 0.24 | 0.24 | — | — | — | ||||||||||||||||||
SA Wellington Real Return Portfolio Class 3 | 0.21 | 0.21 | — | — | — | ||||||||||||||||||
SA Columbia Focused Growth Portfolio Class 1 | — | — | — | — | — | ||||||||||||||||||
SA Columbia Focused Growth Portfolio Class 2 | — | — | — | — | — | ||||||||||||||||||
SA Columbia Focused Growth Portfolio Class 3 | — | — | — | — | — | ||||||||||||||||||
SA Columbia Focused Value Class 1 | 0.92 | 0.33 | 0.26 | 0.33 | 87.03 | ||||||||||||||||||
SA Columbia Focused Value Class 2 | 0.89 | 0.30 | 0.26 | 0.33 | 87.03 | ||||||||||||||||||
SA Columbia Focused Value Class 3 | 0.87 | 0.28 | 0.26 | 0.33 | 87.03 | ||||||||||||||||||
SA Allocation Growth Portfolio Class 1 | 0.49 | 0.16 | 0.00 | 0.33 | 36.94 | ||||||||||||||||||
SA Allocation Growth Portfolio Class 3 | 0.47 | 0.14 | 0.00 | 0.33 | 36.94 | ||||||||||||||||||
SA Allocation Moderate Growth Portfolio Class 1 | 0.57 | 0.18 | 0.00 | 0.39 | 28.08 | ||||||||||||||||||
SA Allocation Moderate Growth Portfolio Class 3 | 0.56 | 0.17 | 0.00 | 0.39 | 28.08 | ||||||||||||||||||
SA Allocation Moderate Portfolio Class 1 | 0.45 | 0.19 | — | 0.26 | 25.06 | ||||||||||||||||||
SA Allocation Moderate Portfolio Class 3 | 0.43 | 0.17 | — | 0.26 | 25.06 | ||||||||||||||||||
SA Allocation Balanced Portfolio Class 1 | 0.56 | 0.19 | — | 0.37 | 18.22 | ||||||||||||||||||
SA Allocation Balanced Portfolio Class 3 | 0.55 | 0.18 | — | 0.37 | 18.22 |
* Short-Term capital gains are treated as ordinary income for tax purposes.
The SA Multi-Managed International Equity, SA Allocation Growth, SA Allocation Moderate Growth, SA Allocation Moderate and SA Allocation Balanced Portfolios make an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Portfolios to its shareholders. The total amounts of foreign taxes passed through to the shareholders and gross foreign source income for fiscal year ended March 31, 2018 were $1,580,240, $52,522, $191,558, $95,904 and $51,069 respectively. The foreign source income information reporting is $19,919,917, $538,263, $1,969,709, $981,417 and $522,428 respectively.
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SEASONS SERIES TRUST
INDIVIDUAL PORTFOLIO REVIEWS (unaudited)
To help you better understand the investment management of the Portfolios, we have included on the following pages investment comments regarding the 20 investment portfolios of the Seasons Series Trust:
Seasons Strategies
1. SA Multi-Managed Growth Portfolio
2. SA Multi-Managed Moderate Growth Portfolio
3. SA Multi-Managed Income/Equity Portfolio
4. SA Multi-Managed Income Portfolio
5. SA Putnam Asset Allocation Diversified Growth Portfolio
6. SA T. Rowe Price Stock Portfolio
Seasons Select Portfolios
7. SA Multi-Managed Large Cap Growth Portfolio
8. SA Multi-Managed Large Cap Value Portfolio
9. SA Multi-Managed Mid Cap Growth Portfolio
10. SA Multi-Managed Mid Cap Value Portfolio
11. SA Multi-Managed Small Cap Portfolio
12. SA Multi-Managed International Equity Portfolio
13. SA Multi-Managed Diversified Fixed Income Portfolio
14. SA Wellington Real Return Portfolio
Seasons Focused Portfolios
15. SA Columbia Focused Growth Portfolio
16. SA Columbia Focused Value Portfolio
Seasons Managed Allocation Portfolios
17. SA Allocation Growth Portfolio
18. SA Allocation Moderate Growth Portfolio
19. SA Allocation Moderate Portfolio
20. SA Allocation Balanced Portfolio
Asset allocations for each Portfolio, as shown in your prospectus, represent a "neutral asset allocation mix"; actual allocations may vary based on performance and the money managers' evaluation of market conditions. For more information on the composition of the Seasons Strategies as well as their underlying portfolios, please refer to your prospectus.
Seasons Select Portfolios are two-thirds actively managed, one-third passively managed. The one-third passive management is designed to replicate the performance of the appropriate index. Each of the remaining thirds is actively managed by experts who bring their knowledge and experience to the security selection and asset allocation processes.
The Focused Portfolios invest in a concentrated group of securities hand-picked by a leading money manager from investment opportunities in specific industries and market sectors. Although this concentrated approach offers potentially higher returns, it also comes with potentially higher risk.
In the following pages, we have also included graphs that compare the portfolio's performance with certain market indices. These graphs show the hypothetical growth of a $10,000 investment in the Seasons Series Trust portfolio versus the same $10,000 investment in comparable market indices, from the portfolio's inception date through March 31, 2018. Importantly, such indices represent "paper" portfolios and do not reflect the costs and expenses of actual investing. Descriptions of these market indices are provided next to the individual graphs.
Please note that the graphs and tables that accompany the following investment comments show the performance of the portfolio at the Seasons Series Trust level. The returns shown represent Class 1 shares, unless otherwise noted, and include all trust expenses, but no insurance company expenses associated with the variable
406
annuity contract, and no contingent deferred sales charge. The returns for Class 2 and Class 3 shares differ from Class 1 only to the extent that Class 2 and Class 3 shares are subject to 12b-1 fees. All dividends are assumed to be reinvested. No expenses are deducted from the performance of the indices.
Market indices referenced are unmanaged. You cannot invest directly in an index. Investments in stocks and bonds are subject to risk, including stock market and interest-rate fluctuations. Investments in non-U.S. stocks are subject to additional risks, including political and social instability, differing securities regulations and accounting standards, and limited public information. Mortgage-backed securities are subject to prepayment, which can result in reinvestment of principal at lower yields. Money market instruments generally offer stability and income, but an investment in these securities, like investments in other portfolios, is not guaranteed by the U.S. government or any other entity. Lower rated high yield, high-risk securities generally involve more credit risk. These securities may also be subject to greater market price fluctuations than lower yielding, higher rated debt securities. The common stocks of medium-sized companies may be more volatile than those of larger, more established companies. Investing in real estate involves special risks, which may not be associated with investing in stocks, including possible declines in real estate values, adverse economic conditions, and changes in interest rates. Investments in small capitalization and emerging growth companies involve greater than average risk. Such securities may have limited marketability and the issuers may have limited product lines, markets and financial resources. The value of such investments may fluctuate more widely than investments in larger, more established companies. The technology industry can be significantly affected by obsolescence, short product cycles, falling prices and profits, and competition from new market participants. Funding choices that primarily invest in one sector are more volatile than those that diversify across many industry sectors and companies.
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SA Multi-Managed Growth Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | J.P. Morgan Investment Management Inc. Janus Capital Management LLC Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Growth Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 11.45 | % | 11.29 | % | 11.13 | % | |||||||||
5-Year | 9.75 | % | 9.58 | % | 9.48 | % | |||||||||
10-Year | 7.82 | % | 7.66 | % | 7.55 | % | |||||||||
Since Inception | 8.13 | % | 4.29 | % | 8.34 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.
2 The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index.
3 Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, and generally represents less than 10% of the total market capitalization of the Russell 3000® Index.
4 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
5 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and higher price-earnings ratios, lower dividend yields and higher forecasted growth values.
6 The Blended Index consists of 51% Russell 1000® Index, 27% Bloomberg Barclays U.S. Aggregate Bond Index, 20% Russell 2000® Index, and 2% Citigroup Treasury Bill 3 month Index.
7 The Citigroup Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Growth Portfolio — Class 1
The SA Multi-Managed Growth Portfolio — Class 1 shares posted a return of 11.45% for the 12-month period ending March 31, 2018, compared to a 13.99% return for the S&P 500® Index and a 9.82% return for the blended benchmark, which is comprised of 71% equity and 29% fixed income and short-term bond indexes.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
408
SA Multi-Managed Growth Portfolio Class 1 (unaudited) (continued)
The Portfolio allocates its assets among three distinct components. The managed components include a fixed income component, a growth component, and a small cap growth component. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Bloomberg Barclays U.S. Aggregate Bond Index. The growth component, managed by Janus Capital Management LLC, is benchmarked to the Russell 1000 Growth index. The small cap growth component, managed by J.P. Morgan Investment Management, Inc., is benchmarked to the Russell 2000 Index.
The Portfolio component managed by Wellington Management Company LLP outperformed its benchmark for the period. Outperformance was driven primarily by the Portfolio's allocation to the securitized sectors (high quality collateralized loan obligations, non-agency residential mortgage backed securities, commercial mortgage backed securities, and agency mortgage backed securities) as well as an allocation to the high yield sector. Investment grade credit positioning also contributed to performance. Duration positioning had a negative impact on relative performance overall. U.S. interest rate positioning had an overall negative impact on performance while developed non-U.S. dollar duration trades were a modest contributor.
The Portfolio component managed by Janus Capital Management LLC trailed its benchmark for the period. Relative underperformance was concentrated in the Portfolio's selection of health care and industrial stocks. However, the Portfolio's stock selection in financials and energy contributed to results. Puma Biotechnology, Inc. was the top detractor. Celgene Corp. was another detractor. Amazon, Inc. was a top contributor for the period. Microsoft Corp. was another positive contributor to performance.
The Portfolio component managed by J.P. Morgan Investment Management, Inc. underperformed its benchmark for the period, largely due to stock selection in the software & services and health services & systems sectors. Stock selection in the pharmaceutical and energy sectors contributed to performance. The Portfolio's sector allocations added to performance, driven by the overweight positions in the pharmaceutical and software & services sectors. Alternatively, the Portfolio's overweight positioning in the energy and systems hardware sectors hurt performance. At the individual stock level, overweight positions in Wright Medical Group NV, Versartis and Windstream Holdings, Inc. weighed on results. Overweight positions in Take-Two Interactive, Nektar Therapeutics and MyoKardia, Inc. contributed to performance. As of March 31, 2018, the Portfolio's largest overweight exposures are in the pharmaceutical and health services & systems sectors. The largest underweight exposures are in the consumer cyclical and real estate investment trusts (REITs) sectors.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
409
SA Multi-Managed Moderate Growth Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital, with capital preservation as a secondary objective | ||||||
Managers: | J.P. Morgan Investment Management Inc. Janus Capital Management, LLC Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Moderate Growth Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 9.25 | % | 9.10 | % | 9.07 | % | |||||||||
5-Year | 8.16 | % | 8.01 | % | 7.90 | % | |||||||||
10-Year | 7.18 | % | 7.01 | % | 6.91 | % | |||||||||
Since Inception | 7.49 | % | 4.38 | % | 7.36 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.
2 The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index.
3 Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, and generally represents less than 10% of the total market capitalization of the Russell 3000® Index.
4 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
5 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and higher price-earnings ratios, lower dividend yields and higher forecasted growth values.
6 The Blended Index consists of 37.9% Russell 1000® Index, 42.3% Bloomberg Barclays U.S. Aggregate Bond Index, 18% Russell 2000® Index, and 1.8% Citigroup Treasury Bill 3 months Index.
7 The Citigroup Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Moderate Growth Portfolio — Class 1
The SA Multi-Managed Moderate Growth Portfolio — Class 1 shares posted a return of 9.25% for the 12-month period ending March 31, 2018, compared to a 13.99% return for the S&P 500® Index and a 7.92% return for the blended benchmark, which is comprised of 56% equity and 44% fixed income and short-term bond indexes.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
410
SA Multi-Managed Moderate Growth Portfolio Class 1 (unaudited) (continued)
The Portfolio allocates its assets among three distinct components. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Bloomberg Barclays U.S. Aggregate Bond Index. The growth component, managed by Janus Capital Management LLC, is benchmarked to the Russell 1000 Growth index. The small cap growth component, managed by J.P. Morgan Investment Management, Inc., is benchmarked to the Russell 2000 Index.
The Portfolio component managed by Wellington Management Company LLP outperformed its benchmark for the period. Outperformance was driven primarily by the Portfolio's allocation to the securitized sectors (high quality collateralized loan obligations, non-agency residential mortgage backed securities, commercial mortgage backed securities, and agency mortgage backed securities) as well as an allocation to the high yield sector. Investment grade credit positioning also contributed to performance. Duration positioning had a negative impact on relative performance overall. U.S. interest rate positioning had an overall negative impact on performance while developed non-U.S. dollar duration trades were a modest contributor.
The Portfolio component managed by Janus Capital Management LLC trailed its benchmark for the period. Relative underperformance was concentrated in the Portfolio's selection of health care and industrial stocks. However, the Portfolio's stock selection in financials and energy contributed to results. Puma Biotechnology, Inc. was the top detractor. Celgene Corp. was another detractor. Amazon.com was a top contributor for the period. Microsoft Corp. was another positive contributor to performance.
The Portfolio component managed by J.P. Morgan Investment Management, Inc. underperformed its benchmark for the period, largely due to stock selection in the software & services and health services & systems sectors. Stock selection in the pharmaceutical and energy sectors contributed to performance. The Portfolio's sector allocations added to performance, driven by the overweight positions in the pharmaceutical and software & services sectors. Alternatively, the Portfolio's overweight positioning in the energy and systems hardware sectors hurt performance. At the individual stock level, overweight positions in Wright Medical Group NV, Versartis, Inc. and Windstream Holdings, Inc. weighed on results. Overweight positions in Take-Two Interactive Software, Inc., Nektar Therapeutics and MyoKardia, Inc. contributed to performance. As of March 31, 2018, the Portfolio's largest overweight exposures are in the pharmaceutical and health services & systems sectors. The largest underweight exposures are in the consumer cyclical and finance sectors.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
411
SA Multi-Managed Income/Equity Portfolio Class 1 (unaudited)
Investment Goal: | Conservation of principal while maintaining some potential for long-term growth of capital | ||||||
Managers: | Janus Capital Management LLC Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Income/Equity Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 6.70 | % | 6.54 | % | 6.50 | % | |||||||||
5-Year | 5.45 | % | 5.28 | % | 5.19 | % | |||||||||
10-Year | 5.92 | % | 5.76 | % | 5.66 | % | |||||||||
Since Inception | 6.49 | % | 4.67 | % | 6.04 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.
2 The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index.
3 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
4 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and higher price-earnings ratios, lower dividend yields and higher forecasted growth values.
5 The Blended Index consists of 33.4% Russell 1000® Index, 63.8% Bloomberg Barclays U.S. Aggregate Bond Index, and 2.8% Citigroup Treasury Bill 3 month Index.
6 The Citigroup Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Income/Equity Portfolio — Class 1
The SA Multi-Managed Income/Equity Portfolio — Class 1 shares posted a return of 6.70% for the 12-month period ending March 31, 2018, compared to a 13.99% return for the S&P 500® Index and a 1.20% return for the Bloomberg Barclays U.S. Aggregate Bond Index. The blended benchmark, comprising approximately 33% equity and 67% fixed income and short-term bonds, returned 5.40%.
The Portfolio allocates its assets among two distinct components. The fixed income component, managed by Wellington Management Company, LLP, is benchmarked to the Bloomberg Barclays U.S. Aggregate Bond Index. The growth component, managed by Janus Capital Management LLC, is benchmarked to the Russell 1000 Growth index.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
412
SA Multi-Managed Income/Equity Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Wellington Management Company LLP outperformed its benchmark for the period. Outperformance was driven primarily by the Portfolio's allocation to the securitized sectors (high quality collateralized loan obligations, non-agency residential mortgage backed securities, commercial mortgage backed securities, and agency mortgage backed securities) as well as an allocation to the high yield sector. Investment grade credit positioning also contributed to performance. Duration positioning had a negative impact on relative performance overall. U.S. interest rate positioning had an overall negative impact on performance while developed non-U.S. dollar duration trades were a modest contributor.
The Portfolio component managed by Janus Capital Management LLC trailed its benchmark for the period. Relative underperformance was concentrated in the Portfolio's selection of health care and industrial stocks. However, the Portfolio's stock selection in financials and energy contributed to results. Puma Biotechnology, Inc. was the top detractor. Celgene Corp. was another detractor. Amazon, Inc. was a top contributor for the period. Microsoft Corp. was another positive contributor to performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
413
SA Multi-Managed Income Portfolio Class 1 (unaudited)
Investment Goal: | Capital preservation | ||||||
Managers: | Janus Capital Management LLC Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Income Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 4.08 | % | 3.92 | % | 3.81 | % | |||||||||
5-Year | 3.65 | % | 3.50 | % | 3.39 | % | |||||||||
10-Year | 5.14 | % | 4.98 | % | 4.89 | % | |||||||||
Since Inception | 5.76 | % | 4.62 | % | 5.05 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.
2 The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index.
3 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
4 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values.
5 The Blended Index consists of 17.3% Russell 1000® Index, 81.0% Bloomberg Barclays U.S. Aggregate Bond Index, and 1.7% Citigroup Treasury Bill 3 month Index.
6 The Citigroup Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Income Portfolio — Class 1
The SA Multi-Managed Income Portfolio — Class 1 shares posted a return of 4.08% for the 12-month period ending March 31, 2018, compared to a 13.99% return for the S&P 500® Index and a 1.20% return for the Bloomberg Barclays U.S. Aggregate Bond Index. The blended benchmark, comprising approximately 17% equity and 83% fixed income and short-term bonds, returned 3.37%.
The Portfolio allocates its assets among two distinct components. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Bloomberg Barclays U.S. Aggregate Bond Index. The growth component, managed by Janus Capital Management LLC, is benchmarked to the Russell 1000 Growth index.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
414
SA Multi-Managed Income Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Wellington Management Company LLP outperformed its benchmark for the period. Outperformance was driven primarily by the Portfolio's allocation to the securitized sectors (high quality collateralized loan obligations, non-agency residential mortgage backed securities, commercial mortgage backed securities, and agency mortgage backed securities) as well as an allocation to the high yield sector. Investment grade credit positioning also contributed to performance. Duration positioning had a negative impact on relative performance overall. U.S. interest rate positioning had an overall negative impact on performance while developed non-U.S. dollar duration trades were a modest contributor.
The Portfolio component managed by Janus Capital Management LLC trailed its benchmark for the period. Relative underperformance was concentrated in the Portfolio's selection of health care and industrial stocks. However, the Portfolio's stock selection in financials and energy contributed to results. Puma Biotechnology, Inc. was the top detractor. Celgene Corp. was another detractor. Amazon.com, Inc. was a top contributor for the period. Microsoft Corp. was another positive contributor to performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
415
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 (unaudited)
Investment Goal: | Capital appreciation | ||||||
Manager: | Putnam Investment Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Asset Allocation Diversified Growth Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 12.43 | % | 12.25 | % | 12.07 | % | |||||||||
5-Year | 9.85 | % | 9.68 | % | 9.58 | % | |||||||||
10-Year | 7.51 | % | 7.35 | % | 7.24 | % | |||||||||
Since Inception | 6.21 | % | 5.10 | % | 7.75 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.
2 The Russell 3000® Index measures the performance of the 3000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
3 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
4 MSCI EAFE Index (net)8 (Europe, Australasia, Far East) captures large and mid cap representation across 22 of 24 developed markets, excluding U.S. and Canada. The index covers approximately 84% of the free-float adjusted market capitalization in each country.
5 The Blended Index consists of 60% Russell 3000 Index, 15% Bloomberg Barclays U.S. Aggregate Bond Index, 15% MSCI EAFE Index (net), 5% JP Morgan Developed High Yield Index and 5% MSCI Emerging Markets Index (net).
6 The JP Morgan Developed High Yield Index is designed to mirror the investable universe of the US dollar developed high yield corporate debt market, including domestic and international issues. International issues are comprised of only developed market issues.
7 MSCI Emerging Markets Index (net)8 captures large and mid cap representation across 21 emerging market countries. The index covers approximately 84% of the free-float adjusted market capitalization in each country.
8 The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Asset Allocation Diversified Growth Portfolio — Class 1
The SA Putnam Asset Allocation Diversified Growth Portfolio — Class 1 shares posted a return of 12.43% for the 12-month period ending March 31, 2018, compared to an 13.81% return for the Russell 3000 Index and a 12.09% return for the Blended Index of 60% Russell 3000 Index, 15% MSCI EAFE Index (net), 15% Bloomberg Barclays U.S. Aggregate Bond Index, 5% JP Morgan Developed Market High Yield Index, and 5% MSCI Emerging Markets Index (net).
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
416
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 (unaudited) (continued)
The Portfolio produced positive returns on an absolute basis and outperformed the Blended Index for the period. All asset classes delivered positive returns. Emerging markets equities, U.S. equities, and international equities were the best performers, while high yield and core fixed income holdings lagged other asset classes.
Overall, asset allocation decisions added value over the past 12 months. Being slightly underweight core bond holdings was a notable contributor from asset allocation decisions. An underweight to international equities was a notable detractor for the period. Most allocations were kept relatively close to benchmark.
Security selection was overall positive during the year. Security selection within U.S. large cap equities, emerging market equities and core fixed income holdings were all positive contributors to performance. Selection within high yield was one notable detractor.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
417
SA T. Rowe Price Growth Stock Portfolio Class 1 (unaudited)
Investment Goal: | Long-term capital appreciation, with a secondary objective of increasing dividend income | ||||||
Manager: | T. Rowe Price Associates, Inc. |
Growth of a $10,000 Investment
SA T. Rowe Price Growth Stock Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 24.49 | % | 24.31 | % | 24.18 | % | |||||||||
5-Year | 16.65 | % | 16.47 | % | 16.36 | % | |||||||||
10-Year | 11.49 | % | 11.32 | % | 11.22 | % | |||||||||
Since Inception | 9.59 | % | 6.98 | % | 10.57 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The Russell 1000® Growth Index consists of stocks with a greater-than-average growth orientation. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA T. Rowe Price Growth Stock Portfolio — Class 1
The SA T. Rowe Price Growth Stock Portfolio — Class 1 shares returned 24.49% for the 12-month period ending March 31, 2018, compared to a return of 21.25% for the Russell 1000 Growth Index.
The Portfolio outperformed the Russell 1000 Growth Index for the 12-month period ended March 31, 2018. Both the Portfolio and Index generated positive absolute returns.
Stock selection drove relative outperformance during the period. Amazon.com, Inc., Alibaba Group Holding, Ltd., PayPal Holdings, Inc., Boeing Co., and Booking Holdings, Inc. (formerly Priceline) contributed the most to relative results. On the contrary, of the securities held in the Portfolio during the period, NVIDIA Corp. (underweight), O'Reilly Automotive, Inc., Texas Instruments, Inc., Home Depot, Inc. (underweight), and Acuity Brands, Inc. were among the significant detractors from relative performance.
Sector allocation also contributed to relative outperformance during the period. Most notably, an underweight to the consumer staples sector and an overweight to the utilities sector contributed to relative returns. On the negative side, overweight positions in the health care and real estate sectors detracted from relative results.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
418
SA Multi-Managed Large Cap Growth Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | Goldman Sachs Asset Management, L.P. Janus Capital Management LLC SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Large Cap Growth Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 19.23 | % | 19.07 | % | 18.96 | % | |||||||||
5-Year | 14.19 | % | 14.03 | % | 13.92 | % | |||||||||
10-Year | 9.56 | % | 9.39 | % | 9.28 | % | |||||||||
Since Inception | 5.79 | % | 4.65 | % | 9.35 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Growth Index is constructed by measuring growth and value characteristics of the constituents of the S&P 500® Index across six factors including: sales growth, earnings to price and momentum. The index is comprised of stocks identified as pure growth, plus a portion of the market capitalization of stocks that are neither classified as pure growth nor pure value. The style index series is unmanaged and market capitalization weighted.
2 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Large Cap Growth Portfolio — Class 1
The SA Multi-Managed Large Cap Growth Portfolio — Class 1 shares returned 19.23% for the 12-month period ending March 31, 2018, compared to a 19.69% return for the S&P 500 Growth Index.
Approximately a third of the Portfolio is passively managed by SunAmerica Asset Management, LLC to track the performance of U.S. large cap growth stocks.
The Portfolio component managed by Janus Capital Management LLC, trailed its benchmark, the Russell 1000® Growth Index, for the period. Relative underperformance was concentrated in the Portfolio's selection of health care and industrial stocks. However, the Portfolio's stock selection in the financials and energy sectors contributed positively to results. Puma Biotechnology, Inc. was the top detractor from performance during the period. Celgene Corp. was another detractor. Amazon.com, Inc. was a top contributor to performance during the period. Microsoft Corp. was another positive contributor.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
419
SA Multi-Managed Large Cap Growth Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Goldman Sachs Asset Management, L.P. outperformed its benchmark, the S&P 500® Index, for the period. Stock selection in the industrials and energy sectors contributed to returns, while an overweight in the consumer staples sector and stock selection in the financials sector detracted from performance. Key contributors to performance in the industrials sector included Xylem, Inc. and Northrop Grumman Corp., while contributors to performance in the energy sector were Diamondback Energy, Inc. and EOG Resources, Inc. Key detractors from performance in the consumer staples sector included Kraft Heinz Co. and Costco Wholesale Corp. and key detractors in the financials sector included S&P Global, Inc. and SLM Corp.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
420
SA Multi-Managed Large Cap Value Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | American Century Investment Management, Inc. Wellington Management Company LLP SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Large Cap Value Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 6.97 | % | 6.77 | % | 6.70 | % | |||||||||
5-Year | 9.34 | % | 9.16 | % | 9.08 | % | |||||||||
10-Year | 7.32 | % | 7.15 | % | 7.05 | % | |||||||||
Since Inception | 6.62 | % | 6.40 | % | 8.32 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Value Index is constructed by measuring growth and value characteristics of the constituents of the S&P 500® Index across six factors including: book value to price ratio, earnings to price ratio and sales to price ratio. The index is comprised of stocks identified as pure value, plus a portion of the market capitalization of stocks that are neither classified as pure growth nor pure value. The style index series is unmanaged and market capitalization weighted.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Large Cap Value Portfolio — Class 1
The SA Multi-Managed Large Cap Value Portfolio — Class 1 shares returned 6.97% for the 12-month period ending March 31, 2018, compared to a 7.69% return for the S&P 500 Value Index.
Approximately a third of the Portfolio is passively managed by SunAmerica Asset Management, LLC to track the performance of U.S. large cap value stocks.
The Portfolio component managed by American Century Investment Management, Inc. trailed its benchmark, the Russell 1000® Value Index, for the period. Holdings in the industrials sector detracted from performance. General Electric Co. (GE) was among the Portfolio's top individual detractors. GE's stock fell sharply in the fourth quarter of 2017 on news of a 50% dividend cut. Stocks in the health care sector also weighed on relative returns, particularly those in the pharmaceuticals industry. Among individual holdings, oilfield services company Schlumberger, Ltd. detracted significantly. Despite a rebound in oil prices in 2017, the company's stock declined as investors became concerned that the company's oil production business will raise the overall risk profile of the company.
Conversely, investments in the information technology sector boosted relative returns. Companies in the semiconductor and semiconductor equipment industry, such as Applied Materials, Inc. and Lam Research Corp., were among the top individual contributors. Strong demand for chip equipment propelled the shares of both companies. Stock selection in the consumer staples and telecommunication services sectors was beneficial as well. Not owning AT&T, Inc. was a significant individual contributor to relative performance. AT&T's stock declined both from its attempted acquisition of Time Warner, Inc. and ongoing competitive pressures.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
421
SA Multi-Managed Large Cap Value Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Wellington Management Company, LLP outperformed its benchmark, the S&P 500® Value Index, for the period. Sector allocation, which is a result of the bottom-up stock selection process, drove relative outperformance during the period. The Portfolio's overweight to information technology and an underweight to both telecommunication services and consumer staples contributed to relative performance, while an underweight to energy detracted from relative performance.
Security selection also contributed to relative outperformance performance during the period. This was mainly driven by strong selection within the industrials, information technology, and financials sectors. These results were partially offset by weak security selection within the energy, health care and consumer discretionary sectors. Top relative contributors during the period included not owning General Electric Co. (industrials), and overweight positions in NetApp, Inc. (information technology) and Intel Corp. (information technology). Top detractors from relative performance included positions in Viacom, Inc. (consumer discretionary), not holding Berkshire Hathaway, Inc. (financials), and an overweight position in Marathon Oil Corp. (energy).
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
422
SA Multi-Managed Mid Cap Growth Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | T. Rowe Price Associates, Inc. Wellington Management Company LLP SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Mid Cap Growth Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 21.07 | % | 20.94 | % | 20.79 | % | |||||||||
5-Year | 12.83 | % | 12.66 | % | 12.54 | % | |||||||||
10-Year | 9.97 | % | 9.81 | % | 9.69 | % | |||||||||
Since Inception | 9.14 | % | 6.96 | % | 11.16 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 Russell Midcap® Growth Index measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Mid Cap Growth Portfolio — Class 1
The SA Multi-Managed Mid Cap Growth Portfolio — Class 1 shares returned 21.07% for the 12-month period ending March 31, 2018, compared to a 19.74% return for the Russell Midcap Growth Index.
Approximately a third of the Portfolio is passively managed by SunAmerica Asset Management, LLC to track the performance of U.S. mid cap growth stocks.
The Portfolio component managed by T. Rowe Price Associates, Inc. trailed its benchmark, the Russell Midcap® Growth Index, for the period. Stock picks in health care weighed on returns. Within the sector, names in health care equipment and supplies lagged. An overweight position and stock selection in industrials & business services, particularly within airlines, also held back returns. Conversely, stock selection in the consumer discretionary sector, notably within automobiles, led relative results. An underweight position in the sector also proved beneficial. The consumer staples sector also contributed due to stock choices. Within the sector, names in food products were among the top contributors to performance. Stock selection and an underweight position in real estate also added value. Of the securities held during the period, Newell Brands, Inc., Aptiv PLC, Rockwell Automation, Inc., Align Technology, Inc. (underweight), and TESARO, Inc. detracted most from relative returns. On the positive side, Atlassian Corp. PLC, Match Group, Inc., Harris Corp., Dollar General Corp., and Fidelity National Financial were the most significant contributors to relative results.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
423
SA Multi-Managed Mid Cap Growth Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Wellington Management Company LLP outperformed its benchmark for the period. Security selection was the primary driver of relative outperformance. Stock selection was strongest within the information technology, health care, and consumer staples sectors. Weaker selection within the industrials, energy, and materials sectors partially offset positive performance. Sector allocation, a fall out of the bottom-up security selection process, contributed to relative returns during the period. The most significant contribution to relative results came from the Portfolio's overweight to information technology, while underweight allocations to consumer discretionary and materials also proved favorable. In contrast, the Portfolio's overweight exposure to energy, the worst performing sector over the period, detracted from relative returns, as did the Portfolio's underweight to financials.
Top contributors to relative performance included ServiceNow, Inc. (information technology), Insulet Corp. (health care), and Arista Networks, Inc. (information technology). The top relative detractors in the Portfolio during the period were Ulta Beauty, Inc. (consumer discretionary), Advanced Micro Devices, Inc. (information technology), and Uber Technologies, Inc. (information technology).
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
424
SA Multi-Managed Mid Cap Value Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | T. Rowe Price Massachusetts Financial Services Company SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Mid Cap Value Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 6.82 | % | 6.63 | % | 6.53 | % | |||||||||
5-Year | 9.71 | % | 9.54 | % | 9.43 | % | |||||||||
10-Year | 8.40 | % | 8.24 | % | 8.13 | % | |||||||||
Since Inception | 9.57 | % | 9.11 | % | 9.70 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 Russell Midcap® Value Index measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Mid Cap Value Portfolio — Class 1
The SA Multi-Managed Mid Cap Value Portfolio — Class 1 shares returned 6.82% for the 12-month period ending March 31, 2018, compared to a 6.50% return for the Russell Midcap Value Index.
Approximately a third of the Portfolio is passively managed by SunAmerica Asset Management, LLC to track the performance of U.S. mid cap value equities.
The Portfolio component managed by Massachusetts Financial Services Company outperformed the benchmark for the period. Stock selection in the financial services, utilities & communications and industrial goods & services sectors contributed to performance. Within the financial services sector, overweight positions in XL Group, Ltd., TD Ameritrade Holding Corp., and Comerica, Inc. boosted relative returns. Within the utilities & communications sector, avoiding poor-performing PPLCorp. aided relative performance. Within the industrial goods & services sector, the Portfolio's holdings Deere & Co. and Rockwell Automation, Inc. further bolstered relative performance as both stocks outpaced the benchmark during the period. Stocks in other sectors that were among the Portfolio's top relative contributors included holdings Maxim Integrated Products, Inc. and Aptiv PLC. The Portfolio's avoidance of poor-performing Baker Hughes a GE Co., LLC also benefited relative results. An overweight position in STERIS PLC further helped relative returns.
An overweight allocation and unfavorable stock selection within the consumer staples sector detracted from relative performance. Within this sector, the Portfolio's overweight to Treehouse Foods, Inc. hampered relative results. Stocks in other sectors that were among the Portfolio's top relative detractors included holdings Element Fleet Management Corp., NCR Corp., Forum Energy Technologies, Inc., and Altice USA, Inc. The Portfolio's overweight positions in Frank's International NV, Alaska Air Group, Inc., Harley-Davidson, Inc., and Lifepoint Health, Inc. also hurt relative performance. Not owning strong-performing Marathon Oil Corp. further detracted from relative results.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
425
SA Multi-Managed Mid Cap Value Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by T. Rowe Price Associates, Inc. outperformed its benchmark, the Russell Midcap® Value Index, for the period. Stock selection was mainly responsible for excess returns. The effect of sector allocation was also positive. Utilities led relative results due to stock choices. An underweight position in real estate, along with favorable stock selection, also boosted returns. Stock picks in the industrials & business services sector also added value. Conversely, the consumer discretionary sector detracted due to stock selection. Within the sector, holdings in leisure products and media lagged. Of the securities held during the period, NRG Energy, Inc., C.H. Robinson Worldwide, Inc., Textron, Inc., Rayonier, Inc., and Zoetis, Inc. were the most significant contributors to relative results. On the negative side, Viacom, Inc., Mattel, Inc., EQT Corp., Patterson-UTI Energy, Inc., and Edgewell Personal Care Co. detracted the most from relative returns.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
426
SA Multi-Managed Small Cap Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | SunAmerica Asset Management, LLC PNC Capital Advisors, LLC J.P. Morgan Investment Management Inc. |
Growth of a $10,000 Investment
SA Multi-Managed Small Cap Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 11.30 | % | 11.13 | % | 11.03 | % | |||||||||
5-Year | 9.94 | % | 9.78 | % | 9.67 | % | |||||||||
10-Year | 8.53 | % | 8.37 | % | 8.26 | % | |||||||||
Since Inception | 5.48 | % | 4.37 | % | 8.27 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, and generally represents less than 10% of the total market capitalization of the Russell 3000® Index.
2 The Russell 2000® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. Companies in this index tend to exhibit lower price-to-book ratios and lower forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Small Cap Portfolio — Class 1
The SA Multi-Managed Small Cap Portfolio — Class 1 shares returned 11.30% for the 12-months ended March 31, 2018, compared to a 11.79% return for the Russell 2000 Index.
Approximately a third of the Portfolio is passively managed by SunAmerica Asset Management, LLC to track the performance of broad U.S. small cap equities.
Within the Portfolio component managed by J.P. Morgan Investment Management, Inc., the Portfolio trailed its benchmark, the Russell 2000® Index, for the period largely due to stock selection in the software & services and health services & systems sectors. Stock selection in the pharmaceutical and energy sectors contributed to performance. The Portfolio's sector allocations added to performance, driven by overweight positions in the pharmaceutical and software & services sectors. Alternatively, the Portfolio's overweight positioning in the energy and systems hardware sectors hurt performance. At the individual stock level, overweight positions in Wright Medical Group NV and Versartis, Inc. weighed on results. Overweight positions in Take-Two Interactive Software, Inc., Nektar Therapeutics and MyoKardia, Inc. contributed to performance. As of March 31, 2018, the Portfolio's largest overweight exposures are in the pharmaceutical and health services & systems sectors. The largest underweight exposures are in the consumer cyclical and finance sectors.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
427
SA Multi-Managed Small Cap Portfolio Class 1 (unaudited) (continued)
Within the Portfolio component managed by PNC Capital Advisors, LLC, the Portfolio outperformed its benchmark, the Russell 2000® Index, for the period. Stock selection overall was positive with holdings in the industrials, real estate, health care, and information technology sectors contributing to relative performance. Holdings in the consumer discretionary, financials, and materials sectors detracted from relative performance. Sector allocation was also a contributor to relative performance primarily from the Portfolio's overweight to the industrials sector and underweight to the real estate sector and consumer staples sectors, as well as no exposure to the energy and utilities sectors. This was partially offset by the Portfolio's underweight to the health care and information technology sectors. From an individual stock level perspective, the largest contributors to performance were Credit Acceptance Corp., On Assignment, Inc., HEICO Corp., Insperity, Inc., and Neogen Corp. The largest detractors were WageWorks, Inc., Dorman Products, Inc., REV Group, Inc., EnerSys, and Home BancShares, Inc. As of March 31, 2018, the Portfolio's largest overweight was to the industrials sector followed by the financials and consumer discretionary sectors and the largest underweight was to the health care sector, followed by the information technology and materials sectors. The Portfolio does not currently have any exposure to the energy, consumer staples, telecom, or utilities sectors.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
428
SA Multi-Managed International Equity Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | T. Rowe Price Associates, Inc. Schroder Investment Management SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed International Equity Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 16.37 | % | 16.33 | % | 16.12 | % | |||||||||
5-Year | 5.71 | % | 5.54 | % | 5.45 | % | |||||||||
10-Year | 2.01 | % | 1.87 | % | 1.77 | % | |||||||||
Since Inception | 2.63 | % | 2.13 | % | 6.29 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/10/02
1 The MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid-cap representation across 22 of 24 developed markets, excluding U.S. and Canada. The Index covers approximately 84% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed International Equity Portfolio — Class 1
The SA Multi-Managed International Equity Portfolio — Class 1 shares returned 16.37% for the 12-month period ending March 31, 2018, compared to a 14.80% return for the MSCI EAFE Index (net).
Approximately a third of the Portfolio is passively managed by SunAmerica Asset Management, LLC to track the performance of the broad non-U.S. equity market.
The Portfolio component managed by T. Rowe Price Associates, Inc. outperformed its benchmark, the MSCI EAFE Index (net), for the period. Stock selection was positive and drove relative outperformance for the period. Of securities held by the Portfolio during the period, Taiwan Semiconductor Manufacturing Co., Ltd., Tokyo Electron, Ltd., Tencent Holdings, Ltd., and THK Co., Ltd. were the most significant contributors to relative performance. Conversely, WPP, PLC was the largest relative detractor. Country selection also supported relative performance for the period. China, Japan, Australia, and Denmark holdings contributed the most to relative returns. Conversely, Germany, France, Canada, and Sweden holdings hampered relative results. Sector allocation had a modestly negative effect on relative performance. Most notably, the Portfolio's overweight to the telecommunication services and health care sectors proved detrimental. On the positive side, the Portfolio's overweight to the information technology sector and underweight to consumer staples supported relative returns.
The Portfolio component managed by Schroder Investment Management North America Inc. outperformed its benchmark MSCI EAFE Index (net) for the period. Stock selection drove outperformance. Positions within the financials, consumer staples and information technology sectors were particularly strong. Conversely holdings in industrials and consumer discretionary sectors detracted somewhat. The Portfolio also benefitted from an overweight to the information technology sector. By region, Asia (particularly Japan) and emerging markets positions benefitted the Portfolio. At the stock level, Tencent Holdings, Ltd. was the strongest performer. Shares in Reckitt Benckiser Group PLC detracted over the period.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
429
SA Multi-Managed Diversified Fixed Income Portfolio Class 1 (unaudited)
Investment Goal: | Relatively high current income and secondarily capital appreciation | ||||||
Managers: | PineBridge Investments LLC Wellington Management Company LLP SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Diversified Fixed Income Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 1.38 | % | 1.14 | % | 1.07 | % | |||||||||
5-Year | 1.54 | % | 1.39 | % | 1.27 | % | |||||||||
10-Year | 3.38 | % | 3.22 | % | 3.12 | % | |||||||||
Since Inception | 3.88 | % | 3.85 | % | 3.35 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
2 The Bloomberg Barclays U.S. Government Index is comprised of the U.S. Treasury and U.S. Agency Indices. The U.S. Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than one year) and U.S. agency debentures (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government).
3 The Bloomberg Barclays U.S. Corporate IG Index measures publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered.
4 The Bloomberg Barclays U.S. Agency Fixed Rate MBS Index covers agency fixed-rate mortgage-backed pass-through securities (MBS) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC).
5 The Bloomberg Barclays CMBS ERISA Eligible Index has been designed to measure the performance of the commercial mortgage-backed securities (CMBS) market.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Diversified Fixed Income Portfolio — Class 1
The SA Multi-Managed Diversified Fixed Income Portfolio — Class 1 shares returned 1.38% for the 12-month period ending March 31, 2018, compared to a 1.20% return for the Bloomberg Barclays U.S. Aggregate Bond Index.
Approximately a third of the Portfolio is passively managed by PineBridge Investments, LLC to match the performance of the broad U.S. government bond market.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
430
SA Multi-Managed Diversified Fixed Income Portfolio Class 1 (unaudited) (continued)
The Portfolio component actively managed by PineBridge Investments, LLC, outperformed its benchmark for the period. The Portfolio's allocation to high yield over the course of the year positively impacted performance. An overweight allocation to investment grade corporate credit versus that of the benchmark also contributed to performance. Security selection within investment grade corporate credit contributed to performance as well, particularly selections within the financial and utility sectors. Within the securitized sector, security selection contributed to performance over the year.
The Portfolio component managed by Wellington Management Company LLP outperformed its benchmark 50% Bloomberg Barclays U.S. Corporate IG Index, 40% Bloomberg Barclays U.S. Agency Fixed Rate MBS Index, 10% Bloomberg Barclays CMBS ERISA Eligible Index for the period. Outperformance during the period was driven by investment grade credit positioning, particularly security selection within industrials, and an exposure to the high yield sector and bank loans. Allocations to non-agency residential mortgage-backed securities and high quality collateralized loan obligations also contributed to outperformance. The Portfolio's position in Treasury Inflation Protected Securities contributed to results. During the period, the Portfolio used interest rate futures to manage duration and yield curve exposure. The Portfolio's use of interest rate futures detracted from absolute returns.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
431
SA Wellington Real Return Portfolio Class 3 (unaudited)
Investment Goal: | Total return that equals or exceeds the rate of inflation over the long term, consistent with prudent investment management. | ||||||
Manager: | Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Wellington Real Return Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 3* | ||||||||||
1-Year | 1.42 | % | 1.18 | % | |||||||
5-Year | 0.19 | % | –0.06 | % | |||||||
10-Year | N/A | 2.09 | % | ||||||||
Since Inception | 0.82 | % | 2.46 | % |
* Inception date for Class 1: 01/23/12; Class 3: 02/14/05
1 The Bloomberg Barclays World Government Inflation Linked 1-10 year Index (Hedged to USD) measures the performance of the major government inflation-linked bond markets. This index includes securities with maturities greater than one year but less than 10 years and is hedged to the US Dollar.
2 The Bloomberg Barclays 1-10 Year U.S. Treasury Inflation Protected Securities (TIPS) Index measures the performance of inflation protected securities issued by the US Treasury with maturities greater than one year but less than 10 years.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Wellington Real Return Portfolio — Class 3
The SA Wellington Real Return Portfolio — Class 3 shares returned 1.18% for the 12-month period ending March 31, 2018, compared to a 1.86% return for the Bloomberg Barclays World Government Inflation Linked 1-10 Year Index (Hedged), and a 0.43% return for the Bloomberg Barclays 1-10 Year U.S. Treasury Inflation Protected Securities (TIPS) Index.
The Portfolio's overweight positions to Canadian, New Zealand, and Japanese linkers were additive to relative performance during the year. Within the Portfolio's exposure to the United States, performance relative to its benchmark, the Bloomberg Barclays World Government Inflation Linked 1-10 Year Bond Index (Hedged to USD), was negative overall. Negative contribution from U.S. duration positioning was only partially offset by the benefit of security selection within U.S. Treasury Inflation Protected Securities. Overall, the Portfolio's interest rate positioning contributed positively to benchmark-relative results.
The Portfolio hedges foreign currency exposure through the use of currency forwards. Overall, the Portfolio's currency hedges detracted from absolute returns. The Portfolio also utilized Treasury futures which had a negative impact on absolute returns.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
432
SA Columbia Focused Growth Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Manager: | Columbia Management Investment Advisers, LLC |
Growth of a $10,000 Investment
SA Columbia Focused Growth Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 24.20 | % | 23.96 | % | 23.84 | % | |||||||||
5-Year | 12.67 | % | 12.51 | % | 12.39 | % | |||||||||
10-Year | 8.71 | % | 8.54 | % | 8.43 | % | |||||||||
Since Inception | 4.47 | % | 5.06 | % | 8.79 | % |
* Inception date for Class 1: 07/05/00; Class 2: 10/16/00; Class 3: 11/11/02
1 The Russell 1000® Growth Index measures the performance of those Russell 1000 companies with a greater-than-average growth orientation. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Columbia Focused Growth Portfolio — Class 1
The SA Columbia Focused Growth Portfolio — Class 1 shares returned 24.20% for the 12-month period ending March 31, 2018, compared to a 21.25% return for the Russell 1000 Growth Index.
U.S. equity markets, as represented by the S&P 500® Index, performed strongly throughout the majority of the period, repeatedly hitting record highs along the way. As investor enthusiasm waned after a prolonged period of low volatility, U.S. equity markets pulled back to close the period. Growth stocks outpaced value oriented names as the Russell 1000 Growth Index delivered a 21.25% return versus the Russell 1000 Value Index's 6.95% for the period, which proved beneficial as the Portfolio focuses on high-quality, high-growth equities.
Overall, the Portfolio delivered a strong year outperforming its benchmark the Russell 1000 Growth Index for the period. Positioning in the information technology sector accounted for the bulk of the relative outperformance. The strategy also fared well on a relative basis in the consumer staples sector. Selection in the consumer discretionary sector was mixed for the year and relative results were generally flat. The Portfolio did not keep pace in the health care sector as holdings in the biotechnology and equipment industries held back relative returns. Positioning and an underweight in the rallying industrials sector also proved to be a headwind for the year.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
433
SA Columbia Focused Value Portfolio Class 2 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Manager: | Columbia Management Investment Advisers, LLC |
Growth of a $10,000 Investment
SA Columbia Focused Value Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 12.87 | % | 12.74 | % | 12.60 | % | |||||||||
5-Year | 12.57 | % | 12.41 | % | 12.29 | % | |||||||||
10-Year | N/A | 7.39 | % | 7.29 | % | ||||||||||
Since Inception | 12.87 | % | 8.84 | % | 9.98 | % |
* Inception date for Class 1: 01/23/12; Class 2: 10/01/01; Class 3: 11/11/02
1 The Russell 1000® Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Columbia Focused Value Portfolio — Class 2
The SA Columbia Focused Value Portfolio — Class 2 shares returned 12.74% for the 12-month period ending March 31, 2018, compared to a return of 6.95% for the Russell 1000 Value Index.
Equity markets delivered robust performance for the first three quarters of the period, with all sectors of the S&P 500® Index delivering positive returns. Growth-oriented stocks outperformed value-oriented stocks throughout the period. Technology outperformed during the period, which helped the Portfolio as a result of its overweight to the sector. Lack of exposure to real estate also helped, as did an underweight to the health care sector.
As would be expected given the Portfolio's bottom-up approach, broad-based security selection accounted for the bulk of outperformance. Strong selection in the industrials, health care, and energy sectors drove results. Selection within the utilities and consumer staples sectors also contributed to outperformance. Stocks making the greatest contribution included semiconductor equipment maker Applied Materials, Inc., Tyson Foods, Inc., and data manager Teradata Corp. Not holding General Electric Co. was also a top contributor to relative performance as the stock lagged significantly over the period.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
434
SA Allocation Growth Portfolio Class 3 (unaudited)
Investment Goal: | Long-term capital appreciation | ||||||
Manager: | SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Allocation Growth Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 3* | ||||||||||
1-Year | 11.50 | % | 11.25 | % | |||||||
5-Year | N/A | 8.09 | % | ||||||||
10-Year | N/A | 5.54 | % | ||||||||
Since Inception | 11.87 | % | 5.69 | % |
* Inception date for Class 1: 09/26/16; Class 3: 02/14/05
1 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
2 The Blended Index consists of 57% Russell 3000® Index, 23% MSCI EAFE Index (net) and 20% Bloomberg Barclays U.S. Aggregate Bond Index.
3 The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.
4 MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 22 of 24 developed markets, excluding U.S. and Canada. The index covers approximately 84% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Allocation Growth Portfolio — Class 3
The SA Allocation Growth Portfolio — Class 3 shares posted a return of 11.25% for the 12-month period ending March 31, 2018, compared to a 13.81% return for the Russell 3000 Index, a 14.80% return for the MSCI EAFE Index, a 1.20% return for the Bloomberg Barclays U.S. Aggregate Bond Index (net), and a 11.48% return for the Blended Index (57% Russell 3000 Index, 23% MSCI EAFE Index (net), and 20% Bloomberg Barclays U.S. Aggregate Bond Index).
The Portfolio increased its universe of underlying funds during the period to broaden its investments in both actively and passively-managed funds. The Portfolio increased its average exposure to equities during the last half of the Period. This benefited performance as equity returns were substantially higher than fixed income returns.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
435
SA Allocation Growth Portfolio Class 3 (unaudited) (continued)
Within equities, exposure to small cap U.S. equities detracted from relative performance. The Portfolio was slightly overweight growth equity funds during the period but this did not have a significant impact on performance. Overall, U.S. equity managers within the fund-of-funds underperformed their respective benchmarks during the period while international equity managers outperformed. Exposure to international equities boosted performance as the MSCI EAFE Index outperformed the Russell 3000 Index during the period. In addition, strong performance of the SA Multi-Managed International Equity Portfolio and exposure to emerging markets helped relative returns. Exposure to small-cap U.S. equities detracted from relative performance. The Portfolio was slightly overweight growth equity funds during the period but this did not have a significant impact on performance. U.S. equity managers within the fund-of-funds underperformed their respective benchmarks during the period while international equity managers within the fund-of-funds outperformed.
The Portfolio increased its average exposure to equities during the last half of the period. This benefited performance as equity returns were substantially higher than fixed income returns.
Fixed income managers within the fund-of-funds slightly outperformed the Bloomberg Barclays U.S. Aggregate Bond Index during the period. The SA PineBridge High-Yield Bond Portfolio contributed to relative performance as high-yield bonds outperformed the broader fixed income market. Exposure to the SA PineBridge High-Yield Bond Portfolio was reduced during the period as the extra interest rates paid by these bonds relative to U.S. Treasuries fell.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
436
SA Allocation Moderate Growth Portfolio Class 3 (unaudited)
Investment Goal: | Long-term capital appreciation | ||||||
Manager: | SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Allocation Moderate Growth Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 3* | ||||||||||
1-Year | 9.64 | % | 9.43 | % | |||||||
5-Year | N/A | 6.74 | % | ||||||||
10-Year | N/A | 4.98 | % | ||||||||
Since Inception | 9.79 | % | 5.18 | % |
* Inception date for Class 1: 09/26/16; Class 3: 02/14/05
1 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
2 The Blended Index consists of 47% Russell 3000® Index, 18% MSCI EAFE Index (net) and 35% Bloomberg Barclays U.S. Aggregate Bond Index.
3 The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.
4 MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 22 of 24 developed markets, excluding U.S. and Canada. The index covers approximately 84% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Allocation Moderate Growth Portfolio — Class 3
The SA Allocation Moderate Growth Portfolio — Class 3 shares posted a return of 9.43% for the 12-month period ending March 31, 2018, compared to a 13.81% return for the Russell 3000 Index, a 14.80% return for the MSCI EAFE Index, a 1.20% return for the Bloomberg Barclays U.S. Aggregate Bond Index, and a 9.51% return for the Blended Index (47% Russell 3000 Index, 18% MSCI EAFE Index (net), and 35% Bloomberg Barclays U.S. Aggregate Bond Index).
The Portfolio increased its universe of underlying funds during the period to broaden its investments in both actively and passively-managed funds.
Within equities, exposure to small cap U.S. equities detracted from relative performance. The Portfolio was slightly overweight growth equity funds during the period but this did not have a significant impact on performance. U.S. equity managers within the fund-of-funds underperformed their respective benchmarks during the period while international equity managers within the fund-of-funds outperformed. Exposure to international equities boosted performance as the MSCI EAFE Index outperformed the Russell 3000 Index during the period. In addition, strong performance of the SA Multi-Managed International Equity Portfolio and investments in emerging markets helped relative returns.
The Portfolio increased its average exposure to equities during the last half of the period. This benefited performance as equity returns were substantially higher than fixed income returns.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
437
SA Allocation Moderate Growth Portfolio Class 3 (unaudited) (continued)
Fixed income managers within the fund-of-funds slightly outperformed the Bloomberg Barclays U.S. Aggregate Bond Index during the period. The SA PineBridge High-Yield Bond Portfolio contributed to relative performance as high-yield bonds outperformed the broader fixed income market. Exposure to the SA PineBridge High-Yield Bond Portfolio was reduced during the period as the extra interest rates paid by these bonds relative to U.S. Treasuries fell. Investments in inflation-protected securities were increased during the period to help protect against any increase in inflation.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
438
SA Allocation Moderate Portfolio Class 3 (unaudited)
Investment Goal: | Long-term capital appreciation and moderate current income | ||||||
Manager: | SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Allocation Moderate Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 3* | ||||||||||
1-Year | 8.40 | % | 8.19 | % | |||||||
5-Year | N/A | 6.03 | % | ||||||||
10-Year | N/A | 5.00 | % | ||||||||
Since Inception | 8.40 | % | 5.11 | % |
* Inception date for Class 1: 09/26/16; Class 3: 02/14/05
1 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays Capital fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
2 The Blended Index consists of (41% Russell 3000® Index, 14% MSCI EAFE Index (net)) and 45% Bloomberg Barclays U.S. Aggregate Bond Index.
3 The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.
4 MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 22 of 24 developed markets, excluding U.S. and Canada. The index covers approximately 84% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Allocation Moderate Portfolio — Class 3
The SA Allocation Moderate Portfolio — Class 3 shares posted a return of 8.19% for the 12-month period ending March 31, 2018, compared to a 13.81% return for the Russell 3000 Index, a 14.80% return for the MSCI EAFE Index, a 1.20% return for the Bloomberg Barclays U.S. Aggregate Bond Index, and a 8.20% return for the Blended Index (41% Russell 3000 Index, 14% MSCI EAFE Index (net), and 45% Bloomberg Barclays U.S. Aggregate Bond Index).
The Portfolio increased its universe of underlying funds during the period to broaden its investments in both actively and passively-managed funds.
Within equities, exposure to small cap U.S. equities detracted from relative performance. The Portfolio was slightly overweight growth equity funds during the period but this did not have a significant impact on performance. U.S. equity managers within the fund-of-funds underperformed their respective benchmarks during the period while international equity managers within the fund-of-funds outperformed. Exposure to international equities boosted performance as the MSCI EAFE Index outperformed the Russell 3000 Index during the period. In addition, strong performance of the SA Multi-Managed International Equity Portfolio and investments in emerging markets helped relative returns.
The Portfolio increased its average exposure to equities during the last half of the period. This benefited performance as equity returns were substantially higher than fixed income returns.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
439
SA Allocation Moderate Portfolio Class 3 (unaudited) (continued)
Fixed income managers within the fund-of-funds slightly outperformed the Bloomberg Barclays U.S. Aggregate Bond Index during the period. The SA PineBridge High-Yield Bond Portfolio contributed to relative performance as high-yield bonds outperformed the broader fixed income market. Exposure to the SA PineBridge High-Yield Bond Portfolio was reduced during the period as the extra interest rates paid by these bonds relative to U.S. Treasuries fell. Investments in inflation-protected securities were increased during the period to help protect against any increase in inflation.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
440
SA Allocation Balanced Portfolio Class 3 (unaudited)
Investment Goal: | Long-term capital appreciation and current income | ||||||
Manager: | SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Allocation Balanced Portfolio
Average Annual Total Returns as of 03/31/18
Class 1* | Class 3* | ||||||||||
1-Year | 6.39 | % | 6.16 | % | |||||||
5-Year | N/A | 5.07 | % | ||||||||
10-Year | N/A | 4.80 | % | ||||||||
Since Inception | 6.15 | % | 4.84 | % |
* Inception date for Class 1: 09/26/16; Class 3: 02/14/05
1 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
2 The Blended Index consists of 30% Russell 3000® Index, 10% MSCI EAFE Index (net) & 60% Bloomberg Barclays U.S. Aggregate Bond Index.
3 The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.
4 MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 22 of 24 developed markets, excluding U.S. and Canada. The index covers approximately 84% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Allocation Balanced Portfolio — Class 3
The SA Allocation Balanced Portfolio — Class 3 shares posted a return of 6.16% for the 12-month period ending March 31, 2018, compared to a 13.81% return for the Russell 3000 Index, a 14.80% return for the MSCI EAFE Index, a 1.20% return for the Bloomberg Barclays U.S. Aggregate Bond Index, and a 6.27% return for the Blended Index (30% Russell 3000 Index, 10% MSCI EAFE Index (net), and 60% Bloomberg Barclays U.S. Aggregate Bond Index).
The Portfolio increased its universe of underlying funds during the period to broaden its investments in both actively and passively-managed funds.
Within equities, exposure to small cap U.S. equities detracted from relative performance. The Portfolio was slightly overweight growth equity funds during the period but this did not have a significant impact on performance. U.S. equity managers within the fund-of-funds underperformed their respective benchmarks during the period while international equity managers within the fund-of-funds outperformed. Exposure to international equities boosted performance as the MSCI EAFE Index outperformed the Russell 3000 Index during the period. In addition, strong performance of the SA Multi-Managed International Equity Portfolio and investments in emerging markets helped relative returns.
The Portfolio increased its average exposure to equities during the last half of the period. This benefited performance as equity returns were substantially higher than fixed income returns.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
441
SA Allocation Balanced Portfolio Class 3 (unaudited) (continued)
Fixed income managers within the fund-of-funds slightly outperformed the Bloomberg Barclays U.S. Aggregate Bond Index during the period. The SA PineBridge High-Yield Bond Portfolio contributed to relative performance as high-yield bonds outperformed the broader fixed income market. Exposure to the SA PineBridge High-Yield Bond Portfolio was reduced during the period as the extra interest rates paid by these bonds relative to U.S. Treasuries fell. Investments in inflation-protected securities were increased during the period to help protect against any increase in inflation.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
442
PRESORTED STD
U.S. POSTAGE PAID
MERRILL
CORPORATION
ZIP CODE 10105
ANNUITY SERVICE CENTER
P.O. BOX 15570
AMARILLO, TX 79105-5570
CHANGE SERVICE REQUESTED
J1906AR.14 (5/18)
Item 2. Code of Ethics.
Seasons Series Trust (“the registrant”) has adopted a Code of Ethics applicable to its Principal Executive and Principal Accounting Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 (the “Code”). During the fiscal year ended March 31, 2018, there were no reportable waivers or implicit waivers to a provision of the Code that applies to the registrant’s Principal Executive and Principal Accounting Officers (the “Covered Officers”).
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Trustees has determined that Allan Sher, Jane Jelenko and Garrett Bouton each qualify as audit committee financial experts, as defined in the instructions to Item 3(b) of Form N-CSR. Mr. Sher, Ms. Jelenko and Mr. Bouton are considered to be “independent” for purposes of Item 3(a) (2) of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) – (d) Aggregate fees billed to the registrant for the last two fiscal years for professional services rendered by the registrant’s principal accountant were as follows:
|
| 2017 |
| 2018 |
| ||
(a) Audit Fees |
| $ | 731,889 |
| $ | 753,845 |
|
(b) Audit-Related Fees |
| $ | 0 |
| $ | 0 |
|
(c) Tax Fees |
| $ | 117,960 |
| $ | 163,910 |
|
(d) All Other Fees |
| $ | 0 |
| $ | 0 |
|
Audit Fees include amounts related to the audit of the registrant’s annual financial statements and services normally provided by the principal accountant in connection with statutory and regulatory filings. Tax Fees principally include tax compliance, tax advice, tax planning and preparation of tax returns.
Aggregate fees billed to the investment adviser and Adviser Affiliates (as defined below in Item 4(e)) that are required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X for the last two fiscal years for services rendered by the registrant’s principal accountant were as follows:
|
| 2017 |
| 2018 |
| ||
(b) Audit-Related Fees |
| $ | 0 |
| $ | 0 |
|
(c) Tax Fees |
| $ | 0 |
| $ | 0 |
|
(d) All Other Fees |
| $ | 296,820 |
| $ | 269,506 |
|
(e) (1) The registrant’s audit committee pre-approves all audit services provided by the registrant’s principal accountant for the registrant and all non-audit services provided by the registrant’s principal accountant for the registrant, its investment adviser and any entity controlling, controlled by, or under common control with the investment adviser (“Adviser Affiliates”) that provides ongoing services to the registrant, if the engagement by the investment adviser or Adviser Affiliates relates directly to the operations and financial reporting of the registrant. The audit committee has not presently established any pre-approval policies and procedures that permit the pre-approval of the above services other than by the full audit committee. Certain de minimis exceptions are allowed for non-audit services in accordance with Rule 2-01(c)(7)(i)(C) of Regulation S-X as set forth in the registrant’s audit committee minutes.
(2) No services included in (b)-(d) above in connection with fees billed to the registrant or the investment adviser or Adviser Affiliates were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) The aggregate fees billed for the most recent fiscal year and the preceding fiscal year by the registrant’s principal accountant for non-audit services rendered to the registrant, its investment adviser, and Adviser Affiliates that provides ongoing services to the registrant for 2017 and 2018 were $460,465 and $459,871, respectively.
(h) Non-audit services rendered to the registrant’s investment adviser and any Adviser Affiliates that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X were considered by the registrant’s audit committee as to whether they were compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
Included in Item 1 to the Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407)(as required by 22(b)(15)) of Schedule 14A (17 CFR 240.14a-101), or this Item 10.
Item 11. Controls and Procedures.
(a) An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant’s management, including the President and Treasurer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined under Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))). Based on that evaluation, the registrant’s management, including the President and Treasurer, concluded that the registrant’s disclosure controls and procedures are effective.
(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a) (1) Code of Ethics applicable to its Principal Executive and Principal Accounting Officers pursuant to Section 406 of the Sarbanes-Oxley Act 2002 attached hereto as Exhibit 99.406.Code of Ethics.
(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
(3) Not applicable.
(b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a2(a)) and Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.906.CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Seasons Series Trust | ||
| ||
By: | /s/ John T. Genoy |
|
John T. Genoy | ||
President | ||
Date: June 8, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John T. Genoy |
|
John T. Genoy | ||
President | ||
Date: June 8, 2018 | ||
| ||
| ||
By: | /s/ Gregory R. Kingston |
|
Gregory R. Kingston | ||
Treasurer | ||
Date: June 8, 2018 |